CITIGROUP INC
10-Qs and 10-Ks
PROXIES
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM
10-Q
(Mark One)
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QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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For the quarterly period ended
March 31, 2022
OR
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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For the transition period from to
Commission file number
1-9924
(Exact name of registrant as specified in its charter)
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| (State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |||||||||||||
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| (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.
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☒ | Accelerated filer | ☐ | Non-accelerated filer | ☐ | Smaller reporting company |
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| Emerging growth company |
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If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. Yes
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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, 2022:
1,941,920,542
Available on the web at www.citigroup.com
CITIGROUP’S FIRST QUARTER 2022—FORM 10-Q
| OVERVIEW | |||||
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MANAGEMENT’S DISCUSSION AND
ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS |
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| Executive Summary | |||||
| Summary of Selected Financial Data | |||||
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SEGMENT REVENUES AND INCOME (LOSS)
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| SEGMENT BALANCE SHEET | |||||
| Institutional Clients Group | |||||
| Personal Banking and Wealth Management | |||||
| Legacy Franchises | |||||
| Corporate/Other | |||||
| CAPITAL RESOURCES | |||||
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MANAGING GLOBAL RISK TABLE OF
CONTENTS |
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| MANAGING GLOBAL RISK | |||||
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SIGNIFICANT ACCOUNTING POLICIES AND
SIGNIFICANT ESTIMATES |
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DISCLOSURE CONTROLS AND
PROCEDURES |
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DISCLOSURE PURSUANT TO SECTION 219 OF
THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT |
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| FORWARD-LOOKING STATEMENTS | |||||
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FINANCIAL STATEMENTS AND NOTES
TABLE OF CONTENTS |
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| CONSOLIDATED FINANCIAL STATEMENTS | |||||
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NOTES TO CONSOLIDATED FINANCIAL
STATEMENTS (UNAUDITED) |
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UNREGISTERED SALES OF EQUITY SECURITIES,
REPURCHASES OF EQUITY SECURITIES AND DIVIDENDS |
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| GLOSSARY OF TERMS AND ACRONYMS | |||||
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, 2021 (2021 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 and accessible free of charge on 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 footnote 1 to “Summary of Selected Financial Data” and “Operating Segment and Reporting Unit—Income (Loss) and Revenues” below and Notes 1 and 3.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries. All “Note” references correspond to the Notes to the Consolidated Financial Statements herein, unless otherwise indicated.
For a list of terms and acronyms used in this Quarterly Report on Form 10-Q and other Citigroup presentations, see “Glossary of Terms and Acronyms” at the end of this report.
Please see “Risk Factors” in Citi’s 2021 Form 10-K for a discussion of material risks and uncertainties that could impact Citigroup’s businesses, results of operations and financial condition.
1
As of the first quarter of 2022, Citigroup implemented a change in its operating segments and reporting units to reflect its recent strategic refresh (for additional information, see “Strategic Refresh—Market Exit and Planned Revision to Reporting Structure” in Citi’s 2021 Form 10-K). As a result, Citigroup is managed pursuant to three operating segments:
Institutional Clients Group, Personal Banking and Wealth Management
and
Legacy Franchises
with the remaining operations in
Corporate/Other.
| Citigroup Operating Segments | |||||||||||||||||||||||||||||
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Institutional
Clients Group (ICG) |
Personal Banking
and Wealth Management (PBWM) |
Legacy Franchises | |||||||||||||||||||||||||||
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•
Services
–
Treasury and trade solutions (TTS)
–
Securities services
•
Markets
–
Equity markets
–
Fixed income markets
•
Banking
–
Investment banking
–
Corporate lending
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•
U.S. Personal Banking
–
Cards
◦
Branded cards
◦
Retail services
–
Retail banking
•
Global Wealth Management
(Global Wealth)
–
Private bank
–
Wealth at Work
–
Citigold
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•
Asia Consumer Banking
(Asia Consumer)
–
Retail banking and cards for the 13 exit markets (Australia, Bahrain, China, India, Indonesia, Korea, Malaysia, the Philippines, Poland, Russia, Taiwan, Thailand, Vietnam)
•
Mexico Consumer Banking (Mexico Consumer)
and Mexico Small Business and Middle-Market Banking
(Mexico SBMM)
–
Retail banking and cards
•
Legacy Holdings Assets
–
Certain North America consumer mortgage loans
–
Other legacy assets
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| Corporate/Other | |||||||||||||||||||||||||||||
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•
Corporate Treasury managed portfolios
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Operations and technology
•
Global staff functions and other corporate expenses
•
Discontinued operations
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The following are the four regions in which Citigroup operates. The regional results are fully reflected in the operating segments and
Corporate/Other
above.
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Citigroup Regions
(1)
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North
America |
Europe,
Middle East
and Africa
(EMEA
)
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Latin
America |
Asia | ||||||||||||||||||||||||||||||||
(1) North America includes the U.S., Canada and Puerto Rico, Latin America includes Mexico and Asia includes Japan.
2
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
EXECUTIVE SUMMARY
First Quarter of 2022—Results Demonstrated Continued Progress Across the Franchise
As described further throughout this Executive Summary, during the first quarter of 2022:
• Citi’s revenues declined 2% versus the prior-year period, as higher net interest income—driven by Services, in
Institutional Clients Group (ICG)
, and
Personal Banking and Wealth Management (PBWM)
—was more than offset by lower non-interest revenue across businesses.
• Citi continued to invest in its risk and control environment, modernize its systems and technology infrastructure and make business-led investments, which include attracting front office talent, developing integrated solutions and enhancing product capabilities that improve the digital client experience and add scalability.
• Citi had a modest allowance for credit losses (ACL) release in the quarter that included a build of approximately $1.9 billion related to Citi’s exposures in Russia and the impact of the war in Ukraine on the broader macroeconomic environment (for additional information, see “Cost of Credit” below).
• Citi had solid year-over-year loan and deposit growth across
ICG
and
PBWM
, reflecting continued engagement across both corporate clients and consumers.
• Citi repurchased approximately 50 million common shares and returned approximately $4 billion of capital to common shareholders in the form of repurchases and dividends.
• Citi continued to make progress with its refresh strategy, including entering into sale agreements for an additional seven consumer banking franchises in Asia and EMEA, for a total of 9 of 14 exit markets signed and announced, with a clear wind-down path for Korea.
Various geopolitical and macroeconomic challenges related to, among other things, the war in Ukraine, disruptions of global supply chains, inflationary pressures and higher interest rates will continue to create uncertainties around economic conditions in the U.S. and globally, and consequently for Citi’s businesses and future results. For a discussion of trends, uncertainties and risks that will or could impact Citi’s businesses, results of operations and financial condition during the remainder of 2022, see each respective business’s results of operations, “Managing Global Risk—Other Risks—Country Risk—Russia” and “Forward-Looking Statements” below and “Risk Factors” and “Managing Global Risk” in Citi’s 2021 Form 10-K.
First Quarter of 2022 Results Summary
Citigroup
Citigroup reported net income of $4.3 billion, or $2.02 per share, compared to net income of $7.9 billion, or $3.62 per share in the prior-year period. The decrease in net income was
driven by higher cost of credit, higher expenses and lower revenues. Citigroup’s effective tax rate was 18% versus 23% in the prior-year period, reflecting the resolution of certain tax audit items. Earnings per share decreased 44%, reflecting the decrease in net income, partially offset by a 6% decline in shares outstanding.
Citigroup revenues of $19.2 billion decreased 2%, as higher net interest income driven by
ICG
and
PBWM
was more than offset by lower non-interest revenue across businesses.
Citigroup’s end-of-period loans were $660 billion, down 1% from the prior-year period, as growth in
ICG
and
PBWM
(up 6% and 4%, respectively) was more than offset by lower loans in
Legacy Franchises
, primarily reflecting the reclassification of loans to
Other assets
to reflect held-for-sale accounting as a result of the signing of sale agreements for consumer franchises in Asia and EMEA. Citigroup’s end-of-period deposits increased 3% to $1.3 trillion, driven by increases in both
PBWM
and
ICG
.
Expenses
Citigroup operating expenses of $13.2 billion increased 15%. Citigroup’s expenses included Asia Consumer divestiture-related costs largely related to a goodwill write-down of approximately $535 million (approximately $489 million after-tax) due to the re-segmentation and timing of divestitures. These Asia Consumer divestiture-related costs were recorded in
Legacy Franchises
. Excluding the Asia Consumer divestiture-related costs, operating expenses increased 10%, driven by continued investments in Citi’s transformation, business-led investments and volume-related expenses, partially offset by productivity savings (as used throughout this Form 10-Q, Citi’s results of operations and financial condition excluding the impact of the Asia Consumer divestiture-related costs are non-GAAP financial measures).
Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims was a cost of $0.8 billion, compared to a benefit of $2.1 billion in the prior-year period. The higher cost of credit was driven by a lower ACL release ($0.1 billion versus $3.9 billion in the prior-year period), partially offset by lower net credit losses.
The net ACL release included a $1.9 billion ACL build, consisting of approximately $1 billion related to Citi’s exposures in Russia and approximately $900 million related to the impact of the war in Ukraine on the broader global macroeconomic environment. This build was more than offset by an ACL release related to a COVID-19 uncertainty reserve, primarily in U.S. Personal Banking. 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 $0.9 billion decreased 50%. Consumer net credit losses of $841 million decreased 46%, primarily reflecting improved delinquencies in both the
3
Branded cards and Retail services portfolios in U.S. Personal Banking. Corporate net credit losses decreased 83% to $31 million, from $185 million in the prior-year period, driven by improvements in portfolio credit quality.
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 11.4% as of March 31, 2022, based on the Basel III Standardized Approach for determining risk-weighted assets, compared to 11.6% as of March 31, 2021, based on the Basel III Advanced Approaches for determining risk-weighted assets. The decrease primarily reflected the return of capital to shareholders and the adverse net movements in the
Accumulated other comprehensive income (AOCI)
component of equity, partially offset by net income. Additionally, the change in Citi’s CET1 Capital ratio reflected a change in Citi’s binding constraint from the Advanced Approaches to the Standardized Approach, inclusive of the impact of adopting the Standardized Approach for Counterparty Credit Risk (SA-CCR) on January 1, 2022. For additional information on SA-CCR, see “Capital Resources” below.
Citigroup’s Supplementary Leverage ratio as of March 31, 2022 was 5.6%, compared to 6.9% as of March 31, 2021. The decrease was primarily driven by an increase in Total Leverage Exposure, reflecting the expiration of temporary relief granted by the Federal Reserve Board. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.
Institutional Clients Group
ICG
net income of $2.6 billion decreased 51%, primarily driven by higher expenses, higher cost of credit and slightly lower revenues.
ICG
operating expenses increased 13% to $6.7 billion, reflecting continued investments in Citi’s transformation, business-led investments and volume-related expenses, partially offset by productivity savings.
ICG
revenues of $11.2 billion decreased 2%, largely driven by Banking, partially offset by an increase in Services revenue.
Services revenues of $3.4 billion increased 15%, primarily from TTS revenues of $2.6 billion, which increased 18%, driven by net interest income on higher deposit balances and spreads as well as strong fee growth. Securities services revenues of $858 million increased 6%, as net interest income grew 17%, driven by higher interest rates across currencies, and fee revenues grew 2%, due to higher assets under custody.
Markets revenues of $5.8 billion were down 2%, versus a very strong quarter in the prior-year period. In the current quarter, activity levels benefited from client repositioning and strong risk management, driven by the Federal Reserve’s interest rate increases and overall geopolitical and macroeconomic uncertainty. Fixed income markets revenues of $4.3 billion decreased 1%, as strong client engagement in FX, commodities and rates was offset by less activity in spread products. Equity markets revenues of $1.5 billion were down 4%, compared to a very strong quarter in the prior-year
period, reflecting strong equity derivatives performance and growth in prime finance balances.
Banking revenues of $1.9 billion decreased 23%, including the gain (loss) on loan hedges. Excluding the gain (loss) on loan hedges, Banking revenues decreased 32% versus the prior-year period, as heightened geopolitical uncertainty and the overall macroeconomic backdrop reduced activity in debt and equity capital markets. Investment banking revenues decreased 43% due to lower capital markets activity, partially offset by growth in advisory. Corporate lending revenues of $689 million decreased 6% (excluding gain (loss) on loan hedges), primarily driven by lower average loans. For additional information on the results of operations of
ICG
for the first quarter of 2022, see “
Institutional Clients Group
” below.
Personal Banking and Wealth Management
PBWM
net income of $1.9 billion decreased 23%, largely driven by lower revenues, higher expenses and a lower net ACL release.
PBWM
operating expenses of $3.9 billion increased 14%, driven by transformation and business-led investments, and higher volume-driven expenses, partially offset by productivity savings.
PBWM
revenues of $5.9 billion decreased 1%, as higher net interest income was more than offset by lower non-interest revenue.
U.S. Personal Banking revenues of $4.0 billion decreased 1%, with lower revenues across Branded cards and Retail banking. Branded cards revenues of $2.1 billion decreased 1%, due to higher payment rates and higher acquisition and rewards costs, reflecting increases in new accounts and customer engagement. Retail services revenues of $1.3 billion were largely unchanged, as higher net interest income was offset by higher partner payments, driven by lower net credit losses. Retail banking revenues of $595 million decreased 6%, largely driven by lower mortgage originations.
Global Wealth Management revenues of $1.9 billion decreased 1%, primarily due to lower client activity in investments, particularly in Asia.
For additional information on the results of operations of
PBWM
for the first quarter of 2022, see “
Personal Banking and Wealth Management
” below.
Legacy Franchises
Legacy Franchises
net loss was $383 million, compared to net income of $323 million in the prior-year period, reflecting lower revenues, higher expenses and higher cost of credit. Operating expenses of $2.3 billion increased 31%, reflecting the Asia Consumer divestiture-related costs.
Legacy Franchises
revenues of $1.9 billion decreased 14%, largely resulting from the Korea wind-down, as well as muted investment activity in Asia. For additional information on the results of operations of
Legacy Franchises
for the first quarter of 2022, see “
Legacy Franchises
” below.
Corporate/Other
Corporate/Other
net income was $189 million, compared to a net loss of $194 million in the prior-year period, largely driven by higher revenues and lower expenses. Operating expenses of
4
$260 million decreased 15%, largely due to lower consulting costs.
Corporate/Other
revenues of $190 million increased significantly, largely driven by higher revenue from the investment portfolio. For additional information on the results of operations of
Corporate/Other
for the first quarter of 2022, see “
Corporate/Other
” below.
5
RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA
Citigroup Inc. and Consolidated Subsidiaries
| First Quarter | |||||||||||
| In millions of dollars, except per share amounts | 2022 |
2021
(1)
|
% Change | ||||||||
| Net interest income | $ | 10,871 | $ | 10,506 | 3 | % | |||||
| Non-interest revenue | 8,315 | 9,161 | (9) | ||||||||
| Revenues, net of interest expense | $ | 19,186 | $ | 19,667 | (2) | % | |||||
| Operating expenses | 13,165 | 11,413 | 15 | ||||||||
| Provisions for credit losses and for benefits and claims | 755 | (2,055) | NM | ||||||||
| Income from continuing operations before income taxes | $ | 5,266 | $ | 10,309 | (49) | % | |||||
| Income taxes | 941 | 2,332 | (60) | ||||||||
| Income from continuing operations | $ | 4,325 | $ | 7,977 | (46) | % | |||||
| Income (loss) from discontinued operations, net of taxes | (2) | (2) | — | ||||||||
| Net income before attribution of noncontrolling interests | $ | 4,323 | $ | 7,975 | (46) | % | |||||
| Net income attributable to noncontrolling interests | 17 | 33 | (48) | ||||||||
| Citigroup’s net income | $ | 4,306 | $ | 7,942 | (46) | % | |||||
| Earnings per share | |||||||||||
| Basic | |||||||||||
| Income from continuing operations | $ | 2.03 | $ | 3.64 | (44) | % | |||||
| Net income | 2.03 | 3.64 | (44) | ||||||||
| Diluted | |||||||||||
| Income from continuing operations | $ | 2.02 | $ | 3.62 | (44) | % | |||||
| Net income | 2.02 | 3.62 | (44) | ||||||||
| Dividends declared per common share | 0.51 | 0.51 | — | ||||||||
| Common dividends | $ | 1,014 | $ | 1,074 | (6) | % | |||||
|
Preferred dividends
(2)
|
279 | 292 | (4) | ||||||||
| Common share repurchases | 3,000 | 1,600 | NM | ||||||||
Table continues on the next page, including footnotes.
6
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 | ||||||||||
| 2022 |
2021
(1)
|
% Change | |||||||||
| At March 31: | |||||||||||
| Total assets | $ | 2,394,105 | $ | 2,314,266 | 3 | % | |||||
| Total deposits | 1,333,711 | 1,300,975 | 3 | ||||||||
| Long-term debt | 253,954 | 256,335 | (1) | ||||||||
| Citigroup common stockholders’ equity | 178,714 | 182,269 | (2) | ||||||||
| Total Citigroup stockholders’ equity | 197,709 | 202,549 | (2) | ||||||||
| Average assets | 2,374,040 | 2,316,793 | 2 | ||||||||
|
Direct staff
(in thousands)
|
228 | 211 | 8 | % | |||||||
| Performance metrics | |||||||||||
| Return on average assets | 0.74 | % | 1.39 | % | |||||||
|
Return on average common stockholders’ equity
(3)
|
9.0 | 17.2 | |||||||||
|
Return on average total stockholders’ equity
(3)
|
8.7 | 16.1 | |||||||||
|
Return on tangible common equity (RoTCE)
(4)
|
10.5 | 20.1 | |||||||||
| Efficiency ratio (total operating expenses/total revenues, net) | 68.6 | 58.0 | |||||||||
| Basel III ratios | |||||||||||
|
Common Equity Tier 1 Capital
(5)
|
11.38 | % | 11.57 | % | |||||||
|
Tier 1 Capital
(5)
|
12.98 | 13.24 | |||||||||
|
Total Capital
(5)
|
14.84 | 15.36 | |||||||||
| Supplementary Leverage ratio | 5.58 | 6.95 | |||||||||
| Citigroup common stockholders’ equity to assets | 7.46 | % | 7.88 | % | |||||||
| Total Citigroup stockholders’ equity to assets | 8.26 | 8.75 | |||||||||
|
Dividend payout ratio
(6)
|
25 | 14 | |||||||||
|
Total payout ratio
(7)
|
100 | 35 | |||||||||
| Book value per common share | $ | 92.03 | $ | 88.18 | 4 | % | |||||
|
Tangible book value (TBV) per share
(4)
|
79.03 | 75.50 | 5 | ||||||||
(1) During the fourth quarter of 2021, Citi reclassified deposit insurance expenses from
Interest expense
to
Other operating expenses
for all periods presented. Amount reclassified for the first quarter of 2021 was $340 million.
(2) Certain series of preferred stock have semiannual payment dates. See Note 20 in Citi’s 2021 Form 10-K.
(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 and Tier 1 Capital ratios were derived under the Basel III Standardized Approach framework as of March 31, 2022, and under the Basel III Advanced Approaches framework as of March 31, 2021, whereas Citi’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches framework for both periods presented.
(6) Dividends declared per common share as a percentage of net income per diluted share.
(7) 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 and “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends” below for the component details.
NM Not meaningful
7
SEGMENT REVENUES AND INCOME (LOSS)
REVENUES
| First Quarter | |||||||||||
| In millions of dollars | 2022 | 2021 | % Change | ||||||||
| Institutional Clients Group | $ | 11,160 | $ | 11,388 | (2) | % | |||||
| Personal Banking and Wealth Management | 5,905 | 5,992 | (1) | ||||||||
| Legacy Franchises | 1,931 | 2,243 | (14) | ||||||||
| Corporate/Other | 190 | 44 | NM | ||||||||
| Total Citigroup net revenues | $ | 19,186 | $ | 19,667 | (2) | % | |||||
NM Not meaningful
INCOME
| First Quarter | |||||||||||
| In millions of dollars | 2022 | 2021 | % Change | ||||||||
| Income (loss) from continuing operations | |||||||||||
| Institutional Clients Group | $ | 2,658 | $ | 5,430 | (51) | % | |||||
| Personal Banking and Wealth Management | 1,860 | 2,420 | (23) | ||||||||
| Legacy Franchises | (385) | 320 | NM | ||||||||
| Corporate/Other | 192 | (193) | NM | ||||||||
| Income from continuing operations | $ | 4,325 | $ | 7,977 | (46) | % | |||||
| Discontinued operations | $ | (2) | $ | (2) | — | % | |||||
| Less: Net income attributable to noncontrolling interests | 17 | 33 | (48) | ||||||||
| Citigroup’s net income | $ | 4,306 | $ | 7,942 | (46) | % | |||||
NM Not meaningful
8
SEGMENT BALANCE SHEET
(1)
—MARCH 31, 2022
| In millions of dollars |
Institutional
Clients Group |
Personal Banking
and Wealth Management |
Legacy Franchises |
Corporate/Other
and
consolidating
eliminations
(2)
|
Citigroup
parent company-
issued long-term
debt and
stockholders’
equity
(3)
|
Total
Citigroup consolidated |
||||||||||||||
| Assets | ||||||||||||||||||||
| Cash and deposits with banks, net of allowance | $ | 100,393 | $ | 5,372 | $ | 3,576 | $ | 162,746 | $ | — | $ | 272,087 | ||||||||
| Securities borrowed and purchased under agreements to resell, net of allowance | 345,056 | — | 354 | — | — | 345,410 | ||||||||||||||
| Trading account assets | 342,986 | 2,645 | 1,298 | 11,068 | — | 357,997 | ||||||||||||||
| Investments, net of allowance | 132,308 | 71 | 1,875 | 380,348 | — | 514,602 | ||||||||||||||
| Loans, net of unearned income and allowance for credit losses on loans | 299,351 | 302,551 | 42,374 | — | — | 644,276 | ||||||||||||||
| Other assets, net of allowance | 136,983 | 27,332 | 45,430 | 49,988 | — | 259,733 | ||||||||||||||
|
Net inter-segment liquid assets
(4)
|
347,381 | 138,508 | 27,002 | (512,891) | — | — | ||||||||||||||
| Total assets | $ | 1,704,458 | $ | 476,479 | $ | 121,909 | $ | 91,259 | $ | — | $ | 2,394,105 | ||||||||
| Liabilities and equity | ||||||||||||||||||||
| Total deposits | $ | 825,515 | $ | 451,590 | $ | 51,401 | $ | 5,205 | $ | — | $ | 1,333,711 | ||||||||
|
Securities loaned and sold under agreements
to repurchase |
200,623 | 515 | 3,349 | 7 | — | 204,494 | ||||||||||||||
| Trading account liabilities | 185,652 | 1,809 | 250 | 348 | — | 188,059 | ||||||||||||||
| Short-term borrowings | 29,759 | 7 | 106 | 272 | — | 30,144 | ||||||||||||||
|
Long-term debt
(3)
|
70,178 | 176 | 555 | 12,903 | 170,142 | 253,954 | ||||||||||||||
| Other liabilities | 116,714 | 10,494 | 43,515 | 14,667 | — | 185,390 | ||||||||||||||
|
Net inter-segment funding (lending)
(3)
|
276,017 | 11,888 | 22,733 | 57,213 | (367,851) | — | ||||||||||||||
| Total liabilities | $ | 1,704,458 | $ | 476,479 | $ | 121,909 | $ | 90,615 | $ | (197,709) | $ | 2,195,752 | ||||||||
|
Total stockholders’ equity
(5)
|
— | — | — | 644 | 197,709 | 198,353 | ||||||||||||||
| Total liabilities and equity | $ | 1,704,458 | $ | 476,479 | $ | 121,909 | $ | 91,259 | $ | — | $ | 2,394,105 | ||||||||
(1)
The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reportable segment. The respective segment information depicts the assets and liabilities managed by each segment.
(2)
Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within
Corporate/Other
.
(3)
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.
9
INSTITUTIONAL CLIENTS GROUP
Institutional Clients Group (ICG)
includes Services, Markets and Banking (for additional information on these businesses, see “Citigroup Operating Segments” above).
ICG
provides corporate, institutional and public sector clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, cash management, trade finance and securities services.
ICG
transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products. For more information on
ICG
’s business activities, see “
Institutional Clients Group
” in Citi’s 2021 Form 10-K.
ICG
’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 95 countries and jurisdictions. At March 31, 2022,
ICG
had $1.7 trillion in assets and $825 billion in deposits. Securities services managed $23.0 trillion in assets under custody and administration at March 31, 2022, of which Citi provided both custody and administrative services to certain clients related to $1.9 trillion of such assets. Managed assets under trust were $4.0 trillion at March 31, 2022. For additional information on these operations, see “Administration and Other Fiduciary Fees” in Note 5.
| First Quarter | |||||||||||
| In millions of dollars, except as otherwise noted | 2022 | 2021 | % Change | ||||||||
| Commissions and fees | $ | 1,130 | $ | 1,110 | 2 | % | |||||
| Administration and other fiduciary fees | 672 | 657 | 2 | ||||||||
| Investment banking | 1,039 | 1,787 | (42) | ||||||||
| Principal transactions | 4,442 | 3,745 | 19 | ||||||||
| Other | 93 | 356 | (74) | ||||||||
| Total non-interest revenue | $ | 7,376 | $ | 7,655 | (4) | % | |||||
| Net interest income (including dividends) | 3,784 | 3,733 | 1 | ||||||||
| Total revenues, net of interest expense | $ | 11,160 | $ | 11,388 | (2) | % | |||||
| Total operating expenses | $ | 6,723 | $ | 5,932 | 13 | % | |||||
| Net credit losses on loans | $ | 30 | $ | 175 | (83) | % | |||||
| Credit reserve build (release) for loans | 596 | (1,103) | NM | ||||||||
| Provision (release) for credit losses on unfunded lending commitments | 352 | (606) | NM | ||||||||
| Provisions (releases) for credit losses on HTM debt securities and other assets | (7) | (5) | (40) | ||||||||
| Provisions (releases) for credit losses | $ | 971 | $ | (1,539) | NM | ||||||
| Income from continuing operations before taxes | $ | 3,466 | $ | 6,995 | (50) | % | |||||
| Income taxes | 808 | 1,565 | (48) | ||||||||
| Income from continuing operations | $ | 2,658 | $ | 5,430 | (51) | % | |||||
| Noncontrolling interests | 18 | 37 | (51) | ||||||||
| Net income | $ | 2,640 | $ | 5,393 | (51) | % | |||||
|
Balance Sheet data
(in billions of dollars)
|
|||||||||||
| EOP assets | $ | 1,704 | $ | 1,636 | 4 | % | |||||
|
Average assets
|
1,685 | 1,649 | 2 | ||||||||
| Efficiency ratio | 60 | % | 52 | % | |||||||
|
Average loans by reporting unit
(in billions of dollars)
|
|||||||||||
| Services | $ | 81 | $ | 70 | 16 | % | |||||
| Banking | 194 | 197 | (2) | ||||||||
| Markets | 14 | 14 | — | ||||||||
| Total | $ | 289 | $ | 281 | 3 | % | |||||
|
Average deposits by reporting unit
(in billions of dollars)
|
|||||||||||
| TTS | $ | 664 | $ | 653 | 2 | % | |||||
| Securities services | 135 | 128 | 5 | ||||||||
| Services | $ | 799 | $ | 781 | 2 | % | |||||
| Markets | 27 | 28 | (4) | ||||||||
| Total | $ | 826 | $ | 809 | 2 | % | |||||
NM Not meaningful
10
ICG
Revenue Details
| First Quarter | |||||||||||
| In millions of dollars | 2022 | 2021 | % Change | ||||||||
| Services | |||||||||||
| Net interest income | $ | 1,907 | $ | 1,617 | 18 | % | |||||
| Non-interest revenue | 1,541 | 1,383 | 11 | ||||||||
| Total Services revenues | $ | 3,448 | $ | 3,000 | 15 | % | |||||
| Net interest income | $ | 1,659 | $ | 1,405 | 18 | % | |||||
| Non-interest revenue | 931 | 783 | 19 | ||||||||
| TTS revenues | $ | 2,590 | $ | 2,188 | 18 | % | |||||
| Net interest income | $ | 248 | $ | 212 | 17 | % | |||||
| Non-interest revenue | 610 | 600 | 2 | ||||||||
| Securities services revenues | $ | 858 | $ | 812 | 6 | % | |||||
| Markets | |||||||||||
| Net interest income | $ | 1,109 | $ | 1,309 | (15) | % | |||||
| Non-interest revenue | 4,717 | 4,624 | 2 | ||||||||
|
Total Markets revenues
(1)
|
$ | 5,826 | $ | 5,933 | (2) | % | |||||
| Fixed income markets | $ | 4,299 | $ | 4,346 | (1) | % | |||||
| Equity markets | 1,527 | 1,587 | (4) | ||||||||
| Total Markets revenues | $ | 5,826 | $ | 5,933 | (2) | % | |||||
| Rates and currencies | $ | 3,231 | $ | 3,024 | 7 | % | |||||
| Spread products / other fixed income | 1,068 | 1,322 | (19) | ||||||||
| Total Fixed income markets revenues | $ | 4,299 | $ | 4,346 | (1) | % | |||||
| Banking | |||||||||||
| Net interest income | $ | 768 | $ | 807 | (5) | % | |||||
| Non-interest revenue | 1,118 | 1,648 | (32) | ||||||||
| Total Banking revenues | $ | 1,886 | $ | 2,455 | (23) | % | |||||
|
Investment banking
|
|||||||||||
| Advisory | $ | 347 | $ | 281 | 23 | % | |||||
| Equity underwriting | 185 | 835 | (78) | ||||||||
| Debt underwriting | 496 | 682 | (27) | ||||||||
| Total investment banking revenues | $ | 1,028 | $ | 1,798 | (43) | % | |||||
|
Corporate lending (excluding gains (losses) on loan hedges)
(2)
|
$ | 689 | $ | 735 | (6) | % | |||||
|
Total Banking revenues (excluding gains (losses) on loan hedges)
(2)
|
$ | 1,717 | $ | 2,533 | (32) | % | |||||
|
Gain (loss) on loan hedges
(2)
|
169 | (78) | NM | ||||||||
|
Total Banking revenues (including gains (losses) on loan hedges)
(2)
|
$ | 1,886 | $ | 2,455 | (23) | % | |||||
|
Total
ICG
revenues, net of interest expense
|
$ | 11,160 | $ | 11,388 | (2) | % | |||||
(1) Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate
Net interest income
may be risk managed with derivatives that are recorded in
Principal transactions
revenue within
Non-interest revenue
. For a description of the composition of these revenue line items, see Notes 4, 5 and 6.
(2) Credit derivatives are used to economically hedge a portion of the corporate loan portfolio that includes both accrual loans and loans at fair value. 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 corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.
NM Not meaningful
11
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.
1Q22 vs. 1Q21
Net income
of $2.6 billion decreased 51%, primarily driven by higher cost of credit, lower revenues and higher expenses.
Revenues
decreased 2%, primarily reflecting higher Services revenues more than offset by lower Banking and Markets revenues. Services revenues were up 15%, driven by higher revenues in TTS and Securities services. Banking revenues were down 23% (including the impact of gains (losses) on loan hedges), reflecting lower revenues in both Investment banking and Corporate lending (excluding the impact of gains (losses) on loan hedges). Markets revenues were down 2%, reflecting declines in revenues in Fixed income and Equity markets.
Within Services:
•
TTS revenues increased 18%, with increases across both net interest income and non-interest revenue. The increase in net interest income was driven by higher deposit balances and spreads, and higher loan volumes, driven by client momentum and the overall market rebound. The increase in non-interest revenue was primarily due to strong fee growth across both cash and trade, reflecting solid client engagement, including higher transaction volumes across cross-border solutions, commercial cards and USD clearing.
•
Securities services revenues increased 6%, driven by an increase in fee revenues due to growth in assets under custody and clearing volumes, and net interest income due to higher interest rates across currencies and higher average deposit balances.
Within Markets:
•
Total Markets revenues declined 2% versus a strong prior-year quarter. In the current quarter, activity levels benefited from client repositioning and strong risk management, driven by the Federal Reserve Board’s interest rate increases and overall geopolitical and macroeconomic uncertainty. Non-interest revenues increased 2%, reflecting the higher client activity, particularly across rates and currencies, while net interest income decreased 15%, largely reflecting a change in the mix of trading positions.
•
Fixed income markets revenues decreased 1%, as growth in EMEA and Latin America was more than offset by a decline in North America. The decline in revenues was largely driven by lower client activity in spread products, partially offset by strength in FX and commodities.
Rates and currencies revenues increased 7%, primarily driven by FX, due to strong client engagement, particularly with corporate clients. Spread products and other fixed income revenues decreased 19%, reflecting lower client activity and a challenging environment due to widening spreads.
•
Equity markets revenues decreased 4% reflecting a strong prior-year period comparison, with declines in cash equities, equity derivatives and prime finance. Cash equities revenue decreased, reflecting lower client activity.
Equity derivatives revenue decreased against a strong comparison in the prior-year period. Prime finance revenue decreased driven by lower spreads, partially offset by increased financing balances.
Within Banking:
•
Investment banking revenues declined 43%, reflecting a decline in the overall market wallet, as heightened geopolitical uncertainty and the overall macroeconomic backdrop reduced activity in debt and equity capital markets, as well as a decline in wallet share. Advisory revenues increased 23%, primarily reflecting strength in North America and Asia, driven by growth in the market wallet as well as wallet share gains. Equity underwriting revenues decreased 78%, reflecting a decline in North America, EMEA and Asia, driven by a decline in the market wallet, as well as a decline in wallet share. Debt underwriting revenues decreased 27%, reflecting weakness in North America, EMEA and Asia, driven by a decline in the market wallet, as well as a decline in wallet share.
•
Corporate lending revenues increased 31%, including the impact of gains (losses) on loan hedges. Excluding the impact of gains (losses) on loan hedges, revenues decreased 6%, primarily due to lower average loans, reflecting continued strong client liquidity positions and higher hedging costs.
Expenses
were up 13%, primarily driven by continued investments in Citi’s transformation, business-led investments and higher volume-related expenses, partially offset by productivity savings.
Provisions
increased during the quarter to $971 million compared to a benefit of $1.5 billion in the prior-year period, driven by an ACL build.
Net credit losses declined to $30 million from $175 million in the prior-year period, driven by improvements in portfolio credit quality.
The ACL build for the quarter was $941 million compared to a release of $1.7 billion for the prior-year period, primarily driven by a $1.5 billion ACL build related to Citi’s exposures in Russia and the broader impact of the war in Ukraine on the macroeconomic environment, partially offset by strong credit performance across the portfolio. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on
ICG
’s
corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information on trends in
ICG
’s deposits and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.
For additional information about trends, uncertainties and risks related to
ICG
’s future results, see “Managing Global Risk—Other Risks—Country Risk—Argentina” and “—Russia” below and “Risk Factors” in Citi’s 2021 Form 10-K.
12
PERSONAL BANKING AND WEALTH MANAGEMENT
Personal Banking and Wealth Management (PBWM)
consists of U.S. Personal Banking and Global Wealth Management (Global Wealth). U.S. Personal Banking includes Retail banking, which provides traditional banking services to retail and small business customers. U.S. Personal Banking’s cards product portfolio includes its proprietary portfolio (Double Cash, Custom Cash, ThankYou and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Branded cards, as well as its co-brand and private label relationships (including, among others, The Home Depot, Sears, Best Buy and Macy’s) within Retail services. Global Wealth includes Private bank, Wealth at Work and Citigold and provides financial services to the entire continuum of wealth clients—from affluent to ultra-high-net-worth—through banking, lending, mortgages, investment, custody and trust product offerings in approximately 20 countries including the U.S., Mexico and the four wealth management centers: Singapore, Hong Kong, the UAE and London.
At March 31, 2022, U.S. Personal Banking had 658 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, 2022, U.S. Personal Banking had $33 billion in retail banking loans and $120 billion in deposits, and $130 billion in outstanding card loan balances.
At March 31, 2022, Global Wealth had a combined $150 billion in loans and $332 billion in deposits.
| First Quarter | |||||||||||
| In millions of dollars, except as otherwise noted | 2022 | 2021 | % Change | ||||||||
| Net interest income | $ | 5,385 | $ | 5,165 | 4 | % | |||||
| Non-interest revenue | 520 | 827 | (37) | ||||||||
| Total revenues, net of interest expense | $ | 5,905 | $ | 5,992 | (1) | % | |||||
| Total operating expenses | $ | 3,889 | $ | 3,422 | 14 | % | |||||
| Net credit losses on loans | $ | 691 | $ | 990 | (30) | % | |||||
| Credit reserve build (release) for loans | (1,062) | (1,542) | 31 | ||||||||
| Provision (release) for credit losses on unfunded lending commitments | (2) | (11) | 82 | ||||||||
| Provisions (release) for benefits and claims, and other assets | (3) | 6 | NM | ||||||||
| Provisions (releases) for credit losses and for benefits and claims (PBC) | $ | (376) | $ | (557) | 32 | % | |||||
| Income (loss) from continuing operations before taxes | $ | 2,392 | $ | 3,127 | (24) | % | |||||
| Income taxes (benefits) | 532 | 707 | (25) | ||||||||
| Income (loss) from continuing operations | $ | 1,860 | $ | 2,420 | (23) | % | |||||
| Noncontrolling interests | — | — | NM | ||||||||
| Net income (loss) | $ | 1,860 | $ | 2,420 | (23) | % | |||||
|
Balance Sheet data
(in billions of dollars)
|
|||||||||||
|
EOP assets
|
$ | 476 | $ | 461 | 3 | % | |||||
|
Average assets
|
474 | 458 | 3 | ||||||||
| Average loans | 312 | 303 | 3 | ||||||||
| Average deposits | 447 | 397 | 13 | ||||||||
| Efficiency ratio | 66 | % | 57 | % | |||||||
| Net credit losses as a percentage of average loans | 0.90 | 1.32 | |||||||||
| Revenue by reporting unit and component | |||||||||||
| Branded cards | $ | 2,090 | $ | 2,104 | (1) | % | |||||
| Retail services | 1,299 | 1,305 | — | ||||||||
| Retail banking | 595 | 635 | (6) | ||||||||
| U.S. Personal Banking | $ | 3,984 | $ | 4,044 | (1) | % | |||||
| Private bank | $ | 779 | $ | 786 | (1) | % | |||||
| Wealth at Work | 183 | 171 | 7 | ||||||||
| Citigold | 959 | 991 | (3) | ||||||||
|
Global Wealth Management
|
$ | 1,921 | $ | 1,948 | (1) | % | |||||
| Total | $ | 5,905 | $ | 5,992 | (1) | % | |||||
NM Not meaningful
13
1Q22 vs. 1Q21
Net income
was $1.9 billion, compared to $2.4 billion in the prior-year period, largely driven by lower revenues, higher expenses and a lower net ACL release.
Revenues
decreased 1%, as higher net interest income was more than offset by lower non-interest revenue.
U.S. Personal Banking revenues decreased 1%, reflecting lower revenues in Retail banking and Branded cards.
Cards revenues decreased 1%. Branded cards revenues decreased 1%, primarily driven by higher payment rates and higher acquisition and rewards costs, reflecting increases in new accounts and customer engagement. Branded card spend volume increased 24%, reflecting a continued recovery in sales activity from the pandemic-driven lower levels in the prior year.
Retail services revenues were largely unchanged, as higher net interest income was offset by higher partner payments, driven by lower net credit losses. For additional information on partner payments, see Note 5. Retail services card spend volume increased 14%, also reflecting a continued recovery in sales activity from the pandemic-driven lower levels in the prior year.
Retail banking revenues decreased 6%, as the benefit of strong deposit growth was more than offset by lower mortgage revenues due to lower mortgage originations. Average deposits increased 9%, driven by higher levels of consumer liquidity and strategic efforts to drive organic growth.
Global Wealth revenues decreased 1%, driven by lower revenues in Asia and Latin America, partially offset by higher revenues in North America and EMEA. The decrease reflected lower client activity in investment products (particularly in Asia), partially offset by higher loans (average loans up 5%) and higher deposit volumes and spreads (average deposits up 14%). Private bank and Citigold revenues were down 1% and 3%, respectively, while Wealth at Work revenues increased 7% with strength across all products.
Expenses
increased 14%, primarily driven by transformation and business-led investments, and higher volume-driven expenses, partially offset by productivity savings.
Provisions
reflected a benefit of $376 million, compared to a benefit of $557 million in the prior-year period, primarily driven by a lower net ACL release, partially offset by lower net credit losses. Net credit losses decreased 30%, consisting of lower net credit losses in both Branded cards (down 45% to $303 million) and Retail services (down 33% to $252 million), primarily driven by lower loan volumes and improved delinquencies, primarily as a result of the higher payment rates.
The net ACL release was $1.1 billion, compared to a net release of $1.6 billion in the prior-year period. The net ACL release in the current quarter primarily reflected improvement in portfolio credit quality and the continued improvement in the macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates.”
For additional information on U.S. Personal Banking’s Retail banking, and its Branded cards and Retail services portfolios, see “Credit Risk—Consumer Credit.”
For additional information about trends, uncertainties and risks related to
PBWM
’s future results, see “Executive Summary” above and “Forward-Looking Statements” below, and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.
14
LEGACY FRANCHISES
Legacy Franchises
includes Asia Consumer Banking (Asia Consumer), representing the operations of the 13 Asia and EMEA exit countries; Mexico Consumer Banking (Mexico Consumer) and Mexico Small Business and Middle-Market Banking (Mexico SBMM), collectively Mexico Consumer/SBMM; and Legacy Holdings Assets (certain North America consumer mortgage loans and other legacy assets).
Asia Consumer provides traditional retail banking and branded card products to retail and small business customers across the 13 Asia and EMEA exit countries. In 2021, Citi entered into agreements to sell its consumer banking businesses in Australia and the Philippines, and made a decision to wind down and close its Korea consumer banking business (see Note 2 for additional information). In early 2022, Citi entered into agreements to sell its consumer banking businesses in Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam.
Mexico Consumer/SBMM provides traditional retail banking and branded card products to consumer and small business customers and provides traditional middle-market banking products and services to commercial customers through Citibanamex. As previously disclosed, Citi is also pursuing an exit of Mexico Consumer/SBMM. For additional information, see Citi’s Current Report on Form 8-K filed with the SEC on January 11, 2022.
At March 31, 2022, on a combined basis, the
Legacy Franchises
businesses had 1,467 retail branches, $29 billion in retail banking loans and $51 billion in deposits. In addition, the businesses had $8 billion in outstanding card loan balances, and Mexico SBMM had $7 billion in outstanding corporate loan balances. These amounts exclude approximately $29 billion of loans ($20 billion of retail banking loans and $9 billion of credit card loan balances) and $31 billion of deposits, all of which were reclassified to
Other assets
and
Other liabilities
held-for-sale (HFS) at March 31, 2022 as a result of Citi’s agreements to sell its consumer banking businesses in the above listed countries. See Note 2 for additional information.
| First Quarter | |||||||||||
|
In millions of dollars, except as otherwise noted
(1)
|
2022 | 2021 | % Change | ||||||||
| Net interest income | $ | 1,508 | $ | 1,563 | (4) | % | |||||
| Non-interest revenue | 423 | 680 | (38) | ||||||||
| Total revenues, net of interest expense | $ | 1,931 | $ | 2,243 | (14) | % | |||||
| Total operating expenses | $ | 2,293 | $ | 1,752 | 31 | % | |||||
| Net credit losses on loans | $ | 151 | $ | 583 | (74) | % | |||||
| Credit reserve build (release) for loans | (146) | (582) | 75 | ||||||||
| Provision (release) for credit losses on unfunded lending commitments | 124 | (9) | NM | ||||||||
| Provisions for benefits and claims, HTM debt securities and other assets | 31 | 52 | (40) | ||||||||
| Provisions for credit losses | $ | 160 | $ | 44 | NM | ||||||
| Income (loss) from continuing operations before taxes | $ | (522) | $ | 447 | NM | ||||||
| Income taxes (benefits) | (137) | 127 | NM | ||||||||
| Income (loss) from continuing operations | $ | (385) | $ | 320 | NM | ||||||
| Noncontrolling interests | (2) | (3) | NM | ||||||||
| Net income (loss) | $ | (383) | $ | 323 | NM | ||||||
|
Balance Sheet data
(in billions of dollars)
|
|||||||||||
| EOP assets | $ | 122 | $ | 129 | (5) | % | |||||
|
Average assets
|
124 | 129 | (4) | ||||||||
| EOP loans | 44 | 80 | (45) | ||||||||
| EOP deposits | 51 | 87 | (41) | ||||||||
| Efficiency ratio | 119 | % | 78 | % | |||||||
| Revenue by reporting unit and component | |||||||||||
| Asia Consumer | $ | 787 | $ | 1,075 | (27) | % | |||||
| Mexico Consumer/SBMM | 1,139 | 1,137 | — | ||||||||
| Legacy Holdings Assets | 5 | 31 | (84) | ||||||||
| Total | $ | 1,931 | $ | 2,243 | (14) | % | |||||
NM Not meaningful
15
1Q22 vs. 1Q21
Net loss
was $383 million, compared to net income of $323
million in the prior-year period, reflecting lower revenues, higher expenses and higher cost of credit.
Results for the current quarter included Asia Consumer divestiture-related impacts of $677 million ($588 million after-tax) due to (i) costs consisting of a goodwill write-down of $535 million ($489 million after-tax), recorded in expenses, due to the re-segmentation and timing of divestitures, as well as additional costs related to the Korea voluntary early retirement program (VERP) of $24 million (approximately $18 million after-tax); and (ii) the revenue impact due to a pretax loss from the sale of the Australia consumer business of $(118) million ($81 million after-tax). This pretax loss included an ACL release of $(104) million and a net revenue impact of $(14) million due to contractual adjustments of the divestiture recorded in
Other revenue
.
Revenues
decreased 14%, reflecting lower revenues across Asia Consumer.
Asia Consumer revenues decreased 27%, largely resulting from the Korea wind-down and lower investments and insurance revenues due to muted investment activity in Asia. Average loans decreased 58% and average deposits decreased 57%, due to approximately $27 billion of average loans and approximately $26 billion of average deposits reclassified to held-for-sale as a result of Citi’s entry into agreements to sell its consumer banking businesses in multiple exit markets.
Mexico Consumer/SBMM revenues were largely unchanged. Retail banking revenues increased 2% and cards revenues decreased 2%, the latter due to higher acquisition and rewards costs.
Expenses
increased 31%, including the Asia divestiture-related costs. Excluding the Asia divestiture-related costs, expenses decreased 1%, primarily driven by productivity savings, partially offset by continued investments in Citi’s transformation.
Provisions
of $160 million compared to $44 million in the prior-year period, primarily driven by a lower net ACL release, partially offset by lower net credit losses. Net credit losses decreased 74%, primarily reflecting lower loan volumes and improved delinquencies.
The net ACL release was $146 million, compared to a release of $582 million in the prior-year period. The net ACL release in the current quarter primarily reflected an improvement in portfolio credit quality. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates.”
For additional information about trends, uncertainties and risks related to
Legacy Franchises
’ future results, see “Executive Summary” above and “Forward-Looking Statements” below, and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.
16
CORPORATE/OTHER
Activities not assigned to the operating segments (
ICG
,
PBWM
and
Legacy Franchises
) are included in
Corporate/Other. Corporate/Other
included certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance-related costs), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as results of Corporate Treasury investment activities and discontinued operations. At March 31, 2022,
Corporate/Other
had $92 billion in assets.
| First Quarter | |||||||||||
| In millions of dollars | 2022 | 2021 | % Change | ||||||||
| Net interest income | $ | 194 | $ | 45 | NM | ||||||
| Non-interest revenue | (4) | (1) | NM | ||||||||
| Total revenues, net of interest expense | $ | 190 | $ | 44 | NM | ||||||
| Total operating expenses | $ | 260 | $ | 307 | (15) | % | |||||
| Provisions (releases) for HTM debt securities and other assets | $ | — | $ | (3) | 100 | % | |||||
| Income (loss) from continuing operations before taxes | $ | (70) | $ | (260) | 73 | % | |||||
| Income taxes (benefits) | (262) | (67) | NM | ||||||||
| Income (loss) from continuing operations | $ | 192 | $ | (193) | NM | ||||||
| Income (loss) from discontinued operations, net of taxes | (2) | (2) | — | % | |||||||
| Net income (loss) before attribution of noncontrolling interests | $ | 190 | $ | (195) | NM | ||||||
| Noncontrolling interests | 1 | (1) | NM | ||||||||
| Net income (loss) | $ | 189 | $ | (194) | NM | ||||||
NM Not meaningful
1Q22 vs. 1Q21
Net income
was $189 million in the first quarter of 2022, compared to a
net loss
of $194 million in the prior-year period, primarily driven by higher revenues and lower expenses.
Revenues
of $190 million increased from $44 million in the prior-year period, largely reflecting higher net revenue from the investment portfolio.
Expenses
decreased 15%, primarily driven by lower consulting expenses, partially offset by investments in Citi’s transformation.
For additional information about trends, uncertainties and risks related to
Corporate/Other
’s future results, see “Forward-Looking Statements” and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.
17
CAPITAL RESOURCES
For additional information about capital resources, including Citi’s capital management, regulatory capital buffers, the stress testing component of capital planning and current regulatory capital standards and developments, see “Capital Resources” and “Risk Factors” in Citi’s 2021 Form 10-K.
During the first quarter of 2022, Citi returned a total of $4.0 billion of capital to common shareholders in the form of $1.0 billion in dividends and $3.0 billion in share repurchases totaling approximately 50
million common shares
. For additional information, see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends” below.
Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 (CET1) Capital ratio under the Basel III Standardized Approach was 11.4% as of March 31, 2022, compared to 12.2% as of December 31, 2021, relative to an effective regulatory minimum CET1 Capital ratio requirement of 10.5% under the Standardized Approach for both periods. Citi’s CET1 Capital ratio under the Basel III Advanced Approaches was 11.4% as of March 31, 2022, compared to 12.3% as of December 31, 2021, relative to an effective regulatory minimum CET1 Capital ratio requirement of 10.0% under the Advanced Approaches for both periods. Citi’s CET1 Capital ratio decreased under both the Standardized Approach and Advanced Approaches during the three months ended March 31, 2022, as an increase in risk-weighted assets due to the adoption of SA-CCR (see below), the return of capital to shareholders and interest-rate-driven adverse net movements in
AOCI
were partially offset by net income of $4.3 billion.
Adoption of the Standardized Approach for Counterparty Credit Risk (SA-CCR)
As previously disclosed, Citi adopted SA-CCR as of January 1, 2022. SA-CCR replaced the Current Exposure Method (CEM), which was the previous methodology used to calculate exposure for derivative contracts.
Adoption of SA-CCR increased Citigroup’s risk-weighted assets measured under the Standardized Approach by approximately $51 billion, which resulted in a 49 basis point decrease to Citigroup’s Common Equity Tier 1 Capital ratio under the Standardized Approach on January 1, 2022. Adoption of SA-CCR also increased Citigroup’s risk-weighted assets measured under the Advanced Approaches by approximately $29 billion, which resulted in a 29 basis point decrease to Citigroup’s CET1 Capital ratio under the Advanced Approaches on January 1, 2022.
For additional information on SA-CCR, see “Capital Resources—Adoption of the Standardized Approach for Counterparty Credit Risk” in Citi’s 2021 Form 10-K.
Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology
As previously disclosed, Citi’s regulatory capital ratios reflect certain deferrals based on the modified regulatory capital transition provision related to the current expected credit losses (CECL) standard. On January 1, 2022, these deferrals commenced phase-in to regulatory capital at 25% per year, which resulted in an approximate 6 basis point decrease to Citigroup’s CET1 Capital ratio. The CECL transition provision will continue to phase-in to regulatory capital on January 1 of each year through January 1, 2025.
For additional information on the impact of the modified CECL transition provision, see “Capital Resources (Full Adoption of CECL)” below, and “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2021 Form 10-K.
18
Citigroup’s Capital Resources
The following table sets forth Citi’s effective minimum risk-based capital requirements as of March 31, 2022 and December 31, 2021:
| Advanced Approaches | Standardized Approach | |||||||||||||
| March 31, 2022 | December 31, 2021 | March 31, 2022 | December 31, 2021 | |||||||||||
|
Common Equity Tier 1 Capital ratio
(1)
|
10.0 | % | 10.0 | % | 10.5 | % | 10.5 | % | ||||||
|
Tier 1 Capital ratio
(1)
|
11.5 | 11.5 | 12.0 | 12.0 | ||||||||||
|
Total Capital ratio
(1)
|
13.5 | 13.5 | 14.0 | 14.0 | ||||||||||
(1)
Citi’s effective minimum risk-based capital requirements include the 3.0% 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). Commencing January 1, 2023, Citi’s GSIB surcharge will increase from 3.0% to 3.5%, which will be applicable to both the Standardized Approach and Advanced Approaches.
The following tables set forth Citi’s capital components and ratios:
| Advanced Approaches | Standardized Approach | |||||||||||||
|
In millions of dollars, except ratios
|
March 31,
2022 |
December 31,
2021 |
March 31,
2022 |
December 31,
2021 |
||||||||||
|
Common Equity Tier 1 Capital
(1)
|
$ | 143,749 | $ | 149,305 | $ | 143,749 | $ | 149,305 | ||||||
|
Tier 1 Capital
|
164,015 | 169,568 | 164,015 | 169,568 | ||||||||||
|
Total Capital (Tier 1 Capital
+ Tier 2 Capital)
(1)
|
186,980 | 194,006 | 197,133 | 203,838 | ||||||||||
|
Total Risk-Weighted Assets
|
1,259,935 | 1,209,374 | 1,263,298 | 1,219,175 | ||||||||||
|
Credit Risk
(1)
|
$ | 885,880 | $ | 840,483 | $ | 1,178,657 | $ | 1,135,906 | ||||||
|
Market Risk
|
81,797 | 78,634 | 84,641 | 83,269 | ||||||||||
|
Operational Risk
|
292,258 | 290,257 | — | — | ||||||||||
|
Common Equity Tier 1
Capital ratio
(2)
|
11.41 | % | 12.35 | % | 11.38 | % | 12.25 | % | ||||||
|
Tier 1 Capital ratio
(2)
|
13.02 | 14.02 | 12.98 | 13.91 | ||||||||||
|
Total Capital ratio
(2)
|
14.84 | 16.04 | 15.60 | 16.72 | ||||||||||
|
In millions of dollars, except ratios
|
Effective Minimum Requirement | March 31, 2022 | December 31, 2021 | ||||||||
|
Quarterly Adjusted Average Total Assets
(1)(3)
|
$ | 2,337,375 | $ | 2,351,434 | |||||||
|
Total Leverage Exposure
(1)(4)
|
2,939,533 | 2,957,764 | |||||||||
|
Tier 1 Leverage ratio
|
4.0 | % | 7.02 | % | 7.21 | % | |||||
|
Supplementary Leverage ratio
|
5.0 | 5.58 | 5.73 | ||||||||
(1)
Citi’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the current expected credit losses (CECL) standard. For additional information, see “Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” above and “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2021 Form 10-K.
(2)
Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas Citi’s Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented.
(3)
Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(4)
Supplementary Leverage ratio denominator.
As indicated in the table above, Citigroup’s risk-based capital ratios at March 31, 2022 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citi was “well capitalized” under current federal bank regulatory agency definitions as of March 31, 2022.
19
Components of Citigroup Capital
|
In millions of dollars
|
March 31,
2022 |
December 31,
2021 |
||||||
|
Common Equity Tier 1 Capital
|
||||||||
|
Citigroup common stockholders’ equity
(1)
|
$ | 178,845 | $ | 183,108 | ||||
|
Add: Qualifying noncontrolling interests
|
126 | 143 | ||||||
|
Regulatory capital adjustments and deductions:
|
||||||||
|
Add: CECL transition provision
(2)
|
2,271 | 3,028 | ||||||
|
Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax
|
(1,440) | 101 | ||||||
|
Less: Cumulative unrealized net gain (loss) related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax
|
27 | (896) | ||||||
|
Less: Intangible assets:
|
||||||||
|
Goodwill, net of related DTLs
(3)
|
20,120 | 20,619 | ||||||
|
Identifiable intangible assets other than MSRs, net of related DTLs
|
3,698 | 3,800 | ||||||
|
Less: Defined benefit pension plan net assets; other
|
2,230 | 2,080 | ||||||
|
Less: DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards
(4)
|
11,701 | 11,270 | ||||||
|
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments, and MSRs
(4)(5)
|
1,157 | — | ||||||
|
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)
|
$ | 143,749 | $ | 149,305 | ||||
|
Additional Tier 1 Capital
|
||||||||
|
Qualifying noncumulative perpetual preferred stock
(1)
|
$ | 18,864 | $ | 18,864 | ||||
|
Qualifying trust preferred securities
(6)
|
1,401 | 1,399 | ||||||
|
Qualifying noncontrolling interests
|
30 | 34 | ||||||
|
Regulatory capital deductions:
|
||||||||
|
Less: Other
|
29 | 34 | ||||||
|
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)
|
$ | 20,266 | $ | 20,263 | ||||
|
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
(Standardized Approach and Advanced Approaches)
|
$ | 164,015 | $ | 169,568 | ||||
|
Tier 2 Capital
|
||||||||
|
Qualifying subordinated debt
|
$ | 18,660 | $ | 20,064 | ||||
|
Qualifying trust preferred securities
(7)
|
— | 248 | ||||||
|
Qualifying noncontrolling interests
|
36 | 42 | ||||||
|
Eligible allowance for credit losses
(2)(8)
|
14,758 | 14,209 | ||||||
|
Regulatory capital deduction:
|
||||||||
|
Less: Other
|
336 | 293 | ||||||
|
Total Tier 2 Capital (Standardized Approach)
|
$ | 33,118 | $ | 34,270 | ||||
|
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)
|
$ | 197,133 | $ | 203,838 | ||||
|
Adjustment for excess of eligible credit reserves over expected credit losses
(2)(8)
|
$ | (10,153) | $ | (9,832) | ||||
|
Total Tier 2 Capital (Advanced Approaches)
|
$ | 22,965 | $ | 24,438 | ||||
|
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)
|
$ | 186,980 | $ | 194,006 | ||||
(1)
Issuance costs of $131 million related to outstanding noncumulative perpetual preferred stock at March 31, 2022 and December 31, 2021 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’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the current expected credit losses (CECL) standard. For additional information, see “Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” above and “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2021 Form 10-K.
(3)
Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
Footnotes continue on the following page.
20
(4)
Of Citi’s $26.7 billion of net DTAs at March 31, 2022, $15.4 billion was included in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $11.3 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of March 31, 2022 was $12.9 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards as well as timing differences. The amount excluded was reduced by $1.6 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.
(5)
Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At March 31, 2022, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. At December 31, 2021, none of these assets were in excess of the 10%/15% limitations.
(6)
Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(7)
Represents the amount of non-grandfathered trust preferred securities that were previously eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules. Commencing January 1, 2022, non-grandfathered trust preferred securities have been fully phased out of Tier 2 Capital.
(8)
Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $4.6 billion and $4.4 billion at March 31, 2022 and December 31, 2021, respectively.
21
Citigroup Capital Rollforward
|
In millions of dollars
|
Three Months Ended
March 31, 2022 |
||||
|
Common Equity Tier 1 Capital, beginning of period
|
$ | 149,305 | |||
|
Net income
|
4,306 | ||||
|
Common and preferred dividends declared
|
(1,293) | ||||
|
Net increase in treasury stock
|
(2,504) | ||||
|
Net increase in common stock and additional paid-in capital
|
47 | ||||
|
Net change in foreign currency translation adjustment net of hedges, net of tax
|
(14) | ||||
|
Net change in unrealized gains (losses) on debt securities AFS, net of tax
|
(4,277) | ||||
|
Net decrease in defined benefit plans liability adjustment, net of tax
|
171 | ||||
|
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness,
net of tax
|
(130) | ||||
|
Net decrease in excluded component of fair value hedges
|
48 | ||||
|
Net decrease in goodwill, net of related DTLs
|
499 | ||||
|
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs
|
102 | ||||
|
Net increase in defined benefit pension plan net assets
|
(186) | ||||
|
Net increase in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards
|
(431) | ||||
|
Net increase in excess over 10%/15% limitations for other DTAs, certain common stock investments and MSRs
|
(1,157) | ||||
|
Net decrease in CECL transition provision
|
(757) | ||||
|
Other
|
20 | ||||
|
Net decrease in Common Equity Tier 1 Capital
|
$ | (5,556) | |||
|
Common Equity Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
|
$ | 143,749 | |||
|
Additional Tier 1 Capital, beginning of period
|
$ | 20,263 | |||
|
Net increase in qualifying trust preferred securities
|
2 | ||||
|
Other
|
1 | ||||
|
Net increase in Additional Tier 1 Capital
|
$ | 3 | |||
|
Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
|
$ | 164,015 | |||
|
Tier 2 Capital, beginning of period (Standardized Approach)
|
$ | 34,270 | |||
|
Net decrease in qualifying subordinated debt
|
(1,404) | ||||
|
Net increase in eligible allowance for credit losses
|
549 | ||||
|
Other
|
(297) | ||||
|
Net decrease in Tier 2 Capital (Standardized Approach)
|
$ | (1,152) | |||
|
Tier 2 Capital, end of period (Standardized Approach)
|
$ | 33,118 | |||
|
Total Capital, end of period (Standardized Approach)
|
$ | 197,133 | |||
|
Tier 2 Capital, beginning of period (Advanced Approaches)
|
$ | 24,438 | |||
|
Net decrease in qualifying subordinated debt
|
(1,404) | ||||
|
Net increase in excess of eligible credit reserves over expected credit losses
|
228 | ||||
|
Other
|
(297) | ||||
|
Net decrease in Tier 2 Capital (Advanced Approaches)
|
$ | (1,473) | |||
|
Tier 2 Capital, end of period (Advanced Approaches)
|
$ | 22,965 | |||
|
Total Capital, end of period (Advanced Approaches)
|
$ | 186,980 | |||
22
Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
|
In millions of dollars
|
Three Months Ended
March 31, 2022 |
||||
| Total Risk-Weighted Assets, beginning of period | $ | 1,219,175 | |||
|
Changes in Credit Risk-Weighted Assets
|
|||||
|
General credit risk exposures
(1)
|
3,265 | ||||
|
Repo-style transactions
(2)
|
(2,828) | ||||
|
Securitization exposures
|
(480) | ||||
|
Equity exposures
|
1,316 | ||||
|
Over-the-counter (OTC) derivatives
(3)
|
45,720 | ||||
|
Other exposures
|
494 | ||||
|
Off-balance sheet exposures
(4)
|
(4,736) | ||||
|
Net increase in Credit Risk-Weighted Assets
|
$ | 42,751 | |||
|
Changes in Market Risk-Weighted Assets
|
|||||
|
Risk levels
|
$ | 263 | |||
| Model and methodology updates | 1,109 | ||||
|
Net increase in Market Risk-Weighted Assets
|
$ | 1,372 | |||
|
Total Risk-Weighted Assets, end of period
|
$ | 1,263,298 | |||
(1)
General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three months ended March 31, 2022 primarily due to increases in wholesale loans and cash deposits.
(2)
Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions decreased during the three months ended March 31, 2022 primarily due to business activities.
(3)
OTC derivatives increased during the three months ended March 31, 2022 primarily due to the adoption of SA-CCR. For additional information, see “Adoption of the Standardized Approach for Counterparty Credit Risk” above and “Capital Resources—Adoption of the Standardized Approach for Counterparty Credit Risk” in Citi’s 2021 Form 10-K.
(4)
Off-balance sheet exposures decreased during the three months ended March 31, 2022 primarily due to a decrease in wholesale loan commitments.
23
Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
|
In millions of dollars
|
Three Months Ended
March 31, 2022 |
||||
| Total Risk-Weighted Assets, beginning of period | $ | 1,209,374 | |||
|
Changes in Credit Risk-Weighted Assets
|
|||||
|
Retail exposures
|
(1,901) | ||||
|
Wholesale exposures
(1)
|
8,936 | ||||
|
Repo-style transactions
(2)
|
(5,751) | ||||
|
Securitization exposures
|
198 | ||||
|
Equity exposures
|
1,705 | ||||
|
Over-the-counter (OTC) derivatives
(3)
|
17,160 | ||||
|
Derivatives CVA
(3)
|
25,533 | ||||
|
Other exposures
|
(1,607) | ||||
|
Supervisory 6% multiplier
|
1,124 | ||||
|
Net increase in Credit Risk-Weighted Assets
|
$ | 45,397 | |||
|
Changes in Market Risk-Weighted Assets
|
|||||
|
Risk levels
|
$ | 2,054 | |||
| Model and methodology updates | 1,109 | ||||
|
Net increase in Market Risk-Weighted Assets
(4)
|
$ | 3,163 | |||
| Net increase in Operational Risk-Weighted Assets | $ | 2,001 | |||
|
Total Risk-Weighted Assets, end of period
|
$ | 1,259,935 | |||
(1)
Wholesale exposures increased during the three months ended March 31, 2022 mainly due to increases in wholesale loans and cash deposits.
(2)
Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions decreased during the three months ended March 31, 2022 primarily due to business activities.
(3)
OTC derivatives and derivatives CVA both increased during the three months ended March 31, 2022 primarily due to the adoption of SA-CCR. For additional information, see “Adoption of the Standardized Approach for Counterparty Credit Risk” above and “Capital Resources—Adoption of the Standardized Approach for Counterparty Credit Risk” in Citi’s 2021 Form 10-K.
(4)
Market risk-weighted assets increased during the three months ended March 31, 2022 primarily due to exposure changes.
24
Supplementary Leverage Ratio
The following table sets forth Citi’s Supplementary Leverage ratio and related components:
| In millions of dollars, except ratios | March 31, 2022 | December 31, 2021 | ||||||
| Tier 1 Capital | $ | 164,015 | $ | 169,568 | ||||
| Total Leverage Exposure | ||||||||
|
On-balance sheet assets
(1)(2)
|
$ | 2,376,310 | $ | 2,389,237 | ||||
|
Certain off-balance sheet exposures:
(3)
|
||||||||
| Potential future exposure on derivative contracts | 200,710 | 222,241 | ||||||
|
Effective notional of sold credit derivatives, net
(4)
|
30,493 | 23,788 | ||||||
|
Counterparty credit risk for repo-style transactions
(5)
|
23,902 | 25,775 | ||||||
| Other off-balance sheet exposures | 347,053 | 334,526 | ||||||
| Total of certain off-balance sheet exposures | $ | 602,158 | $ | 606,330 | ||||
| Less: Tier 1 Capital deductions | 38,935 | 37,803 | ||||||
| Total Leverage Exposure | $ | 2,939,533 | $ | 2,957,764 | ||||
| Supplementary Leverage ratio | 5.58 | % | 5.73 | % | ||||
(1)
Represents the daily average of on-balance sheet assets for the quarter.
(2)
Citi’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the current expected credit losses (CECL) standard. For additional information, see “Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” above and “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2021 Form 10-K.
(3)
Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(4)
Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(5)
Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
As set forth in the table above, Citigroup’s Supplementary Leverage ratio was approximately 5.6% at March 31, 2022, compared to 5.7% at December 31, 2021, as the adverse net movements in
AOCI
and the return of capital to common shareholders were partially offset by net income.
25
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
(1)
|
Standardized Approach
(1)
|
||||||||||||||||
|
In millions of dollars, except ratios
|
Effective Minimum Requirement
(2)
|
March 31, 2022 | December 31, 2021 | March 31, 2022 | December 31, 2021 | ||||||||||||
|
Common Equity Tier 1 Capital
(3)
|
$ | 147,400 | $ | 148,548 | $ | 147,400 | $ | 148,548 | |||||||||
|
Tier 1 Capital
|
149,527 | 150,679 | 149,527 | 150,679 | |||||||||||||
|
Total Capital (Tier 1 Capital
+ Tier 2 Capital)
(3)(4)
|
165,783 | 166,921 | 174,315 | 175,427 | |||||||||||||
|
Total Risk-Weighted Assets
|
1,063,411 | 1,017,774 | 1,094,456 | 1,066,015 | |||||||||||||
|
Credit Risk
(3)
|
$ | 787,496 | $ | 737,802 | $ | 1,043,646 | $ | 1,016,293 | |||||||||
|
Market Risk
|
48,434 | 48,089 | 50,810 | 49,722 | |||||||||||||
|
Operational Risk
|
227,481 | 231,883 | — | — | |||||||||||||
|
Common Equity Tier 1
Capital ratio
(5)(6)
|
7.0 | % | 13.86 | % | 14.60 | % | 13.47 | % | 13.93 | % | |||||||
|
Tier 1 Capital ratio
(5)(6)
|
8.5 | 14.06 | 14.80 | 13.66 | 14.13 | ||||||||||||
|
Total Capital ratio
(5)(6)
|
10.5 | 15.59 | 16.40 | 15.93 | 16.46 | ||||||||||||
|
In millions of dollars, except ratios
|
Effective Minimum Requirement | March 31, 2022 | December 31, 2021 | ||||||||
|
Quarterly Adjusted Average Total Assets
(3)(7)
|
$ | 1,697,393 | $ | 1,716,596 | |||||||
|
Total Leverage Exposure
(3)(8)
|
2,210,947 | 2,236,839 | |||||||||
|
Tier 1 Leverage ratio
(6)
|
5.0 | % | 8.81 | % | 8.78 | % | |||||
|
Supplementary Leverage ratio
(6)
|
6.0 | 6.76 | 6.74 | ||||||||
(1)
Certain of the above prior-period amounts have been revised to conform with enhancements made in the current period.
(2)
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).
(3)
Citibank’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the current expected credit losses (CECL) standard. For additional information, see “Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” above and “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2021 Form 10-K.
(4)
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.
(5)
Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas Citibank’s Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented.
(6)
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.”
(7)
Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(8)
Supplementary Leverage ratio denominator.
As indicated in the table above, Citibank’s capital ratios at March 31, 2022 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was “well capitalized” as of March 31, 2022.
26
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, 2022. This information is provided for the purpose of analyzing the impact that a change in Citigroup’s or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.
|
Common Equity
Tier 1 Capital ratio
|
Tier 1 Capital ratio
|
Total Capital ratio
|
||||||||||||||||||
|
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 | 1.0 | 0.8 | 1.2 | ||||||||||||||
|
Standardized Approach
|
0.8 | 0.9 | 0.8 | 1.0 | 0.8 | 1.2 | ||||||||||||||
|
Citibank
|
||||||||||||||||||||
|
Advanced Approaches
|
0.9 | 1.3 | 0.9 | 1.3 | 0.9 | 1.5 | ||||||||||||||
|
Standardized Approach
|
0.9 | 1.2 | 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 | 0.3 | 0.2 | ||||||||||
|
Citibank
|
0.6 | 0.5 | 0.5 | 0.3 | ||||||||||
27
Citigroup Broker-Dealer Subsidiaries
At March 31, 2022, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of
$10 billion, which exceeded the minimum requirement by $5 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total regulatory capital of $28 billion at March 31, 2022, which exceeded the PRA’s minimum regulatory capital requirements.
In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at March 31, 2022.
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.
| March 31, 2022 | ||||||||
| In billions of dollars, except ratios | External TLAC | LTD | ||||||
| Total eligible amount | $ | 323 | $ | 156 | ||||
|
% of Standardized Approach risk-
weighted assets |
25.6 | % | 12.3 | % | ||||
|
Effective minimum requirement
(1)(2)
|
22.5 | 9.0 | ||||||
| Surplus amount | $ | 39 | $ | 42 | ||||
| % of Total Leverage Exposure | 11.0 | % | 5.3 | % | ||||
| Effective minimum requirement | 9.5 | 4.5 | ||||||
| Surplus amount | $ | 44 | $ | 23 | ||||
(1) External TLAC includes Method 1 GSIB surcharge of 2.0%.
(2) LTD includes Method 2 GSIB surcharge of 3.0%.
As of March 31, 2022, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $23 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.
For additional information on Citi’s TLAC-related requirements, see “Capital Resources—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance Risks” in Citi’s 2021 Form 10-K.
28
Capital Resources (Full Adoption of CECL)
(1)
The following tables set forth Citigroup’s and Citibank’s capital components and ratios reflecting the full impact of CECL as of March 31, 2022:
| Citigroup | Citibank | ||||||||||||||||||||||
| Effective Minimum Requirement, Advanced Approaches | Effective Minimum Requirement, Standardized Approach | Advanced Approaches | Standardized Approach |
Effective Minimum Requirement
(2)
|
Advanced Approaches | Standardized Approach | |||||||||||||||||
|
Common Equity Tier 1 Capital ratio
|
10.0 | % | 10.5 | % | 11.19 | % | 11.16 | % | 7.0 | % | 13.67 | % | 13.28 | % | |||||||||
|
Tier 1 Capital ratio
|
11.5 | 12.0 | 12.80 | 12.77 | 8.5 | 13.87 | 13.48 | ||||||||||||||||
| Total Capital ratio | 13.5 | 14.0 | 14.68 | 15.40 | 10.5 | 15.42 | 15.74 | ||||||||||||||||
| Effective Minimum Requirement | Citigroup | Effective Minimum Requirement | Citibank | |||||||||||||||||
|
Tier 1 Leverage ratio
|
4.0 | % | 6.89 % | 5.0 | % | 8.69 % | ||||||||||||||
|
Supplementary Leverage ratio
|
5.0 | 5.48 | 6.0 | 6.67 | ||||||||||||||||
(1)
See footnote 2 on the “Components of Citigroup Capital” table above.
(2)
Citibank’s effective minimum requirements were the same under the Standardized Approach and the Advanced Approaches Framework.
Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity
Tangible common equity (TCE), as defined by Citi, represents common stockholders’ equity less goodwill and identifiable intangible assets (other than mortgage servicing rights (MSRs)). RoTCE represents net income available to common
shareholders as a percentage of average TCE. Tangible book value per share represents TCE divided by common shares outstanding. Other companies may calculate these measures in a different manner. TCE, tangible book value per share and RoTCE are non-GAAP financial measures.
|
In millions of dollars or shares, except per share amounts
|
March 31,
2022 |
December 31,
2021 |
||||||
|
Total Citigroup stockholders’ equity
|
$ | 197,709 | $ | 201,972 | ||||
|
Less: Preferred stock
|
18,995 | 18,995 | ||||||
|
Common stockholders’ equity
|
$ | 178,714 | $ | 182,977 | ||||
|
Less:
|
||||||||
|
Goodwill
|
19,865 | 21,299 | ||||||
|
Identifiable intangible assets (other than MSRs)
|
4,002 | 4,091 | ||||||
|
Goodwill and identifiable intangible assets (other than MSRs) related to
assets held-for-sale (HFS)
|
1,384 | 510 | ||||||
|
Tangible common equity (TCE)
|
$ | 153,463 | $ | 157,077 | ||||
|
Common shares outstanding (CSO)
|
1,941.9 | 1,984.4 | ||||||
|
Book value per share (common stockholders’ equity/CSO)
|
$ | 92.03 | $ | 92.21 | ||||
|
Tangible book value per share (TCE/CSO)
|
79.03 | 79.16 | ||||||
| Three Months Ended March 31, | ||||||||
|
In millions of dollars
|
2022 | 2021 | ||||||
|
Net income available to common shareholders
|
$ | 4,027 | $ | 7,650 | ||||
|
Average common stockholders’ equity
|
181,169 | 180,421 | ||||||
|
Average TCE
|
155,270 | 154,723 | ||||||
|
Return on average common stockholders’ equity
|
9.0 | % | 17.2 | % | ||||
|
RoTCE
|
10.5 | 20.1 | ||||||
29
Managing Global Risk Table of Contents
| MANAGING GLOBAL RISK | ||||||||
|
CREDIT RISK
(1)
|
||||||||
| Corporate Credit | ||||||||
| Consumer Credit | ||||||||
| Additional Consumer and Corporate Credit Details | ||||||||
| Loans Outstanding | ||||||||
| Details of Credit Loss Experience | ||||||||
| Allowance for Credit Losses on Loans (ACLL) | 44 | |||||||
| Non-Accrual Loans and Assets and Renegotiated Loans | ||||||||
| LIQUIDITY RISK | ||||||||
| High-Quality Liquid Assets (HQLA) | ||||||||
| Liquidity Coverage Ratio (LCR) | ||||||||
| Loans | 51 | |||||||
| Deposits | 51 | |||||||
| Long-Term Debt | 52 | |||||||
| Secured Funding Transactions and Short-Term Borrowings | 54 | |||||||
| Credit Ratings | 55 | |||||||
|
MARKET RISK
(1)
|
||||||||
| Market Risk of Non-Trading Portfolios | ||||||||
| Market Risk of Trading Portfolios | ||||||||
| OTHER RISKS | ||||||||
| LIBOR Transition Risk | ||||||||
| Country Risk | ||||||||
| Russia | ||||||||
| Ukraine | ||||||||
| Argentina | ||||||||
(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.
30
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, strategy, value proposition, key guiding principles and risk appetite.
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 2021 Form 10-K.
CORPORATE CREDIT
The following table details Citi’s corporate credit portfolio within
ICG
and the Mexico SBMM component of
Legacy Franchises
(excluding certain loans managed on a delinquency basis, loans carried at fair value and loans held-for-sale), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:
| March 31, 2022 | December 31, 2021 | March 31, 2021 | ||||||||||||||||||||||||||||||||||||
| 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)
|
$ | 164 | $ | 117 | $ | 21 | $ | 302 | $ | 145 | $ | 119 | $ | 20 | $ | 284 | $ | 141 | $ | 120 | $ | 21 | $ | 282 | ||||||||||||||
|
Unfunded lending commitments (off-balance sheet)
(2)
|
148 | 268 | 10 | 426 | 147 | 269 | 13 | 429 | 158 | 275 | 11 | 444 | ||||||||||||||||||||||||||
| Total exposure | $ | 312 | $ | 385 | $ | 31 | $ | 728 | $ | 292 | $ | 388 | $ | 33 | $ | 713 | $ | 299 | $ | 395 | $ | 32 | $ | 726 | ||||||||||||||
(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 based on Citi’s internal management geography:
|
March 31,
2022 |
December 31, 2021 |
March 31,
2021 |
|||||||||
| North America | 56 | % | 56 | % | 56 | % | |||||
| EMEA | 25 | 25 | 26 | ||||||||
| Asia | 13 | 13 | 12 | ||||||||
| Latin America | 6 | 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.
31
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
| Total exposure | |||||||||||
|
March 31,
2022 |
December 31,
2021 |
March 31,
2021 |
|||||||||
| AAA/AA/A | 49 | % | 48 | % | 47 | % | |||||
| BBB | 33 | 34 | 33 | ||||||||
| BB/B | 16 | 16 | 17 | ||||||||
| CCC or below | 2 | 2 | 3 | ||||||||
| 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.
Citigroup believes the corporate credit portfolio to be appropriately rated and classified as of March 31, 2022. Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.
As obligor risk ratings are downgraded, the probability of default increases. Downgrades of obligor risk ratings tend to result in a higher provision for credit losses. In addition, downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in Citi’s seeking to reduce exposure to an obligor or an industry sector. Citi will continue to review exposures to ensure that the appropriate probability of default is incorporated into all risk assessments.
See Note 13 for additional information on Citi’s corporate credit portfolio.
Portfolio Mix—Industry
Citi’s corporate credit portfolio is diversified by industry. The following table details the allocation of Citi’s total corporate credit portfolio by industry:
| Total exposure | |||||||||||
|
March 31,
2022 |
December 31,
2021 |
March 31,
2021 |
|||||||||
| Transportation and industrials | 20 | % | 20 | % | 20 | % | |||||
| Technology, media and telecom | 12 | 12 | 12 | ||||||||
| Consumer retail | 11 | 11 | 11 | ||||||||
| Real estate | 9 | 10 | 9 | ||||||||
| Power, chemicals, metals and mining | 9 | 9 | 9 | ||||||||
| Banks and finance companies | 9 | 8 | 8 | ||||||||
| Asset managers and funds | 8 | 8 | 8 | ||||||||
| Energy and commodities | 7 | 7 | 7 | ||||||||
| Health | 5 | 5 | 5 | ||||||||
| Insurance | 4 | 4 | 4 | ||||||||
| Public sector | 3 | 3 | 4 | ||||||||
| Financial markets infrastructure | 2 | 2 | 2 | ||||||||
| Securities firms | — | — | — | ||||||||
| Other industries | 1 | 1 | 1 | ||||||||
| Total | 100 | % | 100 | % | 100 | % | |||||
32
The following table details Citi’s corporate credit portfolio by industry as of March 31, 2022:
| 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 | Net credit losses (recoveries) |
Credit derivative hedges
(3)
|
||||||||||||||||||||||
| Transportation and industrials | $ | 147,271 | $ | 54,122 | $ | 93,149 | $ | 110,888 | $ | 21,297 | $ | 13,854 | $ | 1,233 | $ | 296 | $ | 1 | $ | (8,643) | ||||||||||||
|
Autos
(4)
|
49,443 | 19,203 | 30,240 | 39,597 | 5,815 | 3,910 | 121 | 69 | — | (3,221) | ||||||||||||||||||||||
| Transportation | 27,010 | 11,703 | 15,307 | 19,372 | 2,654 | 4,340 | 644 | 47 | — | (1,315) | ||||||||||||||||||||||
| Industrials | 70,818 | 23,216 | 47,602 | 51,919 | 12,828 | 5,604 | 468 | 180 | 1 | (4,107) | ||||||||||||||||||||||
| Technology, media and telecom | 86,035 | 31,969 | 54,066 | 65,764 | 16,983 | 3,175 | 113 | 132 | — | (6,549) | ||||||||||||||||||||||
| Consumer retail | 79,591 | 36,130 | 43,461 | 61,780 | 13,633 | 3,788 | 390 | 324 | 1 | (5,000) | ||||||||||||||||||||||
| Real estate | 68,956 | 46,517 | 22,439 | 58,713 | 6,316 | 3,918 | 10 | 348 | — | (752) | ||||||||||||||||||||||
| Power, chemicals, metals and mining | 64,456 | 21,787 | 42,669 | 50,606 | 11,938 | 1,656 | 256 | 212 | — | (5,281) | ||||||||||||||||||||||
| Power | 23,703 | 5,851 | 17,852 | 19,929 | 3,284 | 398 | 92 | 48 | — | (2,555) | ||||||||||||||||||||||
| Chemicals | 26,511 | 9,272 | 17,239 | 21,782 | 3,987 | 618 | 124 | 127 | — | (2,103) | ||||||||||||||||||||||
| Metals and mining | 14,242 | 6,664 | 7,578 | 8,895 | 4,667 | 640 | 40 | 37 | — | (623) | ||||||||||||||||||||||
| Banks and finance companies | 62,266 | 39,791 | 22,475 | 52,668 | 5,813 | 3,730 | 55 | 98 | 1 | (641) | ||||||||||||||||||||||
| Asset managers and funds | 54,791 | 25,160 | 29,631 | 53,428 | 1,252 | 106 | 5 | 484 | — | (893) | ||||||||||||||||||||||
|
Energy and commodities
(5)
|
54,024 | 17,741 | 36,283 | 44,225 | 7,549 | 2,037 | 214 | 286 | 19 | (3,680) | ||||||||||||||||||||||
| Health | 35,129 | 8,968 | 26,161 | 29,495 | 4,691 | 835 | 107 | 107 | — | (2,475) | ||||||||||||||||||||||
| Insurance | 30,245 | 2,880 | 27,365 | 29,383 | 847 | 15 | — | 3 | (2,654) | |||||||||||||||||||||||
| Public sector | 25,022 | 13,707 | 11,315 | 20,609 | 1,879 | 2,407 | 127 | 17 | 4 | (1,272) | ||||||||||||||||||||||
| Financial markets infrastructure | 13,133 | 176 | 12,957 | 13,110 | 23 | — | — | — | — | (23) | ||||||||||||||||||||||
| Securities firms | 1,357 | 520 | 837 | 798 | 387 | 172 | — | 2 | — | (3) | ||||||||||||||||||||||
| Other industries | 5,628 | 2,714 | 2,914 | 3,031 | 2,223 | 340 | 32 | 81 | 5 | (4) | ||||||||||||||||||||||
| Total | $ | 727,904 | $ | 302,182 | $ | 425,722 | $ | 594,498 | $ | 94,831 | $ | 36,033 | $ | 2,542 | $ | 2,390 | $ | 31 | $ | (37,870) | ||||||||||||
(1) Excludes $1.4 billion and $0.1 billion of funded and unfunded exposure at March 31, 2022, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balance also excludes loans carried at fair value of $5.7 billion at March 31, 2022.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $37.9 billion of purchased credit protection, $34.6 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.4 billion ($6.6 billion in funded, with more than 99% rated investment grade) as of March 31, 2022.
(5) 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 March 31, 2022, Citi’s total exposure to these energy-related entities was approximately $5.3 billion, of which approximately $3.1 billion consisted of direct outstanding funded loans.
33
The following table details Citi’s corporate credit portfolio by industry as of December 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 | Net credit losses (recoveries) |
Credit derivative hedges
(3)
|
||||||||||||||||||||||
| Transportation and industrials | $ | 143,445 | $ | 51,502 | $ | 91,943 | $ | 110,047 | $ | 19,051 | $ | 13,196 | $ | 1,151 | $ | 384 | $ | 127 | $ | (8,791) | ||||||||||||
|
Autos
(4)
|
48,210 | 18,662 | 29,548 | 39,824 | 5,365 | 2,906 | 115 | 49 | 2 | (3,228) | ||||||||||||||||||||||
| Transportation | 26,897 | 12,085 | 14,812 | 19,233 | 2,344 | 4,447 | 873 | 105 | 104 | (1,334) | ||||||||||||||||||||||
| Industrials | 68,338 | 20,755 | 47,583 | 50,990 | 11,342 | 5,843 | 163 | 230 | 21 | (4,229) | ||||||||||||||||||||||
| Technology, media and telecom | 84,333 | 28,542 | 55,791 | 64,676 | 15,873 | 3,587 | 197 | 156 | 11 | (6,875) | ||||||||||||||||||||||
| Consumer retail | 78,994 | 32,894 | 46,100 | 60,686 | 13,590 | 4,311 | 407 | 224 | 100 | (5,115) | ||||||||||||||||||||||
| Real estate | 69,808 | 46,220 | 23,588 | 58,089 | 6,761 | 4,923 | 35 | 116 | 50 | (798) | ||||||||||||||||||||||
| Power, chemicals, metals and mining | 65,641 | 20,224 | 45,417 | 53,575 | 10,708 | 1,241 | 117 | 292 | 22 | (5,808) | ||||||||||||||||||||||
| Power | 26,199 | 5,610 | 20,589 | 22,860 | 2,832 | 420 | 87 | 100 | 17 | (3,032) | ||||||||||||||||||||||
| Chemicals | 25,550 | 8,525 | 17,025 | 20,788 | 4,224 | 528 | 10 | 88 | 6 | (2,141) | ||||||||||||||||||||||
| Metals and mining | 13,892 | 6,089 | 7,803 | 9,927 | 3,652 | 293 | 20 | 104 | (1) | (635) | ||||||||||||||||||||||
| Banks and finance companies | 58,252 | 36,804 | 21,448 | 49,465 | 4,892 | 3,890 | 5 | 150 | (5) | (680) | ||||||||||||||||||||||
| Asset managers and funds | 55,517 | 26,879 | 28,638 | 54,119 | 1,019 | 377 | 2 | 211 | — | (869) | ||||||||||||||||||||||
|
Energy and commodities
(5)
|
48,973 | 13,485 | 35,488 | 38,972 | 7,517 | 2,220 | 264 | 224 | 78 | (3,679) | ||||||||||||||||||||||
| Health | 33,393 | 8,826 | 24,567 | 27,600 | 4,702 | 942 | 149 | 95 | — | (2,465) | ||||||||||||||||||||||
| Insurance | 28,495 | 3,162 | 25,333 | 27,447 | 987 | 61 | — | 2 | 1 | (2,711) | ||||||||||||||||||||||
| Public sector | 23,842 | 12,464 | 11,378 | 21,035 | 1,527 | 1,275 | 5 | 37 | (3) | (1,282) | ||||||||||||||||||||||
| Financial markets infrastructure | 14,341 | 109 | 14,232 | 14,323 | 18 | — | — | — | — | (22) | ||||||||||||||||||||||
| Securities firms | 1,472 | 613 | 859 | 605 | 816 | 51 | — | 4 | — | (5) | ||||||||||||||||||||||
| Other industries | 6,591 | 2,803 | 3,788 | 4,151 | 1,890 | 489 | 61 | — | 5 | (169) | ||||||||||||||||||||||
| Total | $ | 713,097 | $ | 284,527 | $ | 428,570 | $ | 584,790 | $ | 89,351 | $ | 36,563 | $ | 2,393 | $ | 1,895 | $ | 386 | $ | (39,269) | ||||||||||||
(1) Excludes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2021, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balance also excludes loans carried at fair value of $6.1 billion at December 31, 2021.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $39.3 billion of purchased credit protection, $36.0 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.9 billion ($6.5 billion in funded, with more than 99% rated investment grade) as of December 31, 2021.
(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2021, Citi’s total exposure to these energy-related entities was approximately $5.1 billion, of which approximately $2.6 billion consisted of direct outstanding funded loans.
34
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, 2022, December 31, 2021 and March 31, 2021,
ICG
had economic hedges on the corporate credit portfolio of $37.9 billion, $39.3 billion and $38.5 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
corporate credit portfolio exposures with the following risk rating distribution:
Rating of Hedged Exposure
|
March 31,
2022 |
December 31,
2021 |
March 31,
2021 |
|||||||||
| AAA/AA/A | 38 | % | 35 | % | 32 | % | |||||
| BBB | 46 | 49 | 47 | ||||||||
| BB/B | 13 | 13 | 18 | ||||||||
| CCC or below | 3 | 3 | 3 | ||||||||
| Total | 100 | % | 100 | % | 100 | % | |||||
35
CONSUMER CREDIT
Consumer Credit Portfolio
The following table shows Citi’s quarterly end-of-period consumer loans
(1)
:
| In billions of dollars | 1Q21 | 2Q21 |
3Q21
(2)
|
4Q21
(2)
|
1Q22
(2)
|
||||||||||||
| Personal Banking and Wealth Management | |||||||||||||||||
| U.S. Personal Banking | |||||||||||||||||
| Cards | |||||||||||||||||
| Branded cards | $ | 78.5 | $ | 82.1 | $ | 82.8 | $ | 87.9 | $ | 85.9 | |||||||
| Retail services | 42.5 | 42.7 | 42.7 | 46.0 | 44.1 | ||||||||||||
| Retail banking | |||||||||||||||||
| Mortgages | 32.0 | 31.0 | 30.5 | 30.2 | 30.5 | ||||||||||||
| Personal, small business and other | 3.6 | 3.3 | 2.9 | 2.8 | 2.8 | ||||||||||||
| Global Wealth Management | |||||||||||||||||
|
Private bank and Wealth at Work
(3)
|
101.5 | 104.9 | 105.0 | 105.3 | 104.6 | ||||||||||||
|
Citigold
(4)
|
43.9 | 44.8 | 45.3 | 46.0 | 45.6 | ||||||||||||
| Total | $ | 302.0 | $ | 308.8 | $ | 309.2 | $ | 318.2 | $ | 313.5 | |||||||
| Legacy Franchises | |||||||||||||||||
|
Asia Consumer
(5)
|
$ | 54.0 | $ | 53.5 | $ | 42.9 | $ | 41.1 | $ | 19.5 | |||||||
| Mexico Consumer (excludes Mexico SBMM) | 13.4 | 13.5 | 13.0 | 13.3 | 13.6 | ||||||||||||
|
Legacy Holdings Assets
(6)
|
6.1 | 5.0 | 4.2 | 3.9 | 3.7 | ||||||||||||
| Total | $ | 73.5 | $ | 72.0 | $ | 60.1 | $ | 58.3 | $ | 36.8 | |||||||
| Total consumer loans | $ | 375.5 | $ | 380.8 | $ | 369.3 | $ | 376.5 | $ | 350.3 | |||||||
(1)
End-of-period loans include interest and fees on credit cards.
(2)
Legacy Franchises
—1Q22 Asia Consumer loan balances exclude approximately $29 billion of loans ($20 billion of retail banking loans and $9 billion of credit card loan balances) reclassified to held-for-sale (HFS) (
Other assets
on the Consolidated Balance Sheet) as a result of Citi’s signed agreements to sell its consumer banking businesses in nine countries (see
Legacy Franchises
above and Note 2 for additional information). In addition, the Australia consumer banking business was also reclassified to HFS in 3Q21 and 4Q21, and the Philippines consumer banking business was reclassified to HFS in 4Q21, with loans from both businesses excluded from the Asia Consumer loan balances as of such periods.
(3)
Primarily consists of residential and commercial real estate lending, margin security-backed financing and other tailored lending programs.
(4)
Primarily consists of residential real estate lending, margin security-backed financing and unsecured lending.
(5)
Asia Consumer also includes loans and leases in certain EMEA countries for all periods presented.
(6)
Primarily consists of certain North America consumer mortgages.
For information on changes to Citi’s consumer loans, see “Liquidity Risk—Loans” below.
36
Consumer Credit Trends
Personal Banking and Wealth Management (PBWM)
| Personal Banking and Wealth Management | ||
PBWM
provides mortgage, home equity, small business and personal loans through Citi’s Retail banking network; card products through Branded cards and Retail services businesses; and Private bank loans. The retail bank is concentrated in six major metropolitan cities in the U.S.
As of March 31, 2022, approximately 80% of U.S. Personal Banking consumer loans consisted of Branded cards and Retail services cards, which generally drives the overall credit performance of U.S. Personal Banking.
As shown in the chart above, the net credit loss rate in
PBWM
for the first quarter of 2022
increased quarter-over-quarter, primarily due to seasonality in U.S. Personal Banking’s cards portfolios, and decreased year-over-year, primarily reflecting the high payment rates in Branded cards and Retail services, driven by government stimulus, and unemployment benefits and consumer relief programs in U.S. Personal Banking.
PBWM
’s 90+ days past due delinquency rate remained broadly stable quarter-over-quarter. The 90+ days past due delinquency rate decreased year-over-year, primarily due to the continued impacts of government stimulus, unemployment benefits and consumer relief programs in U.S. Personal Banking.
| Branded Cards | ||
U.S. Personal Banking’s Branded cards portfolio includes proprietary and co-branded cards.
As shown in the chart above, the net credit loss rate in Branded cards for the first quarter of 2022 increased quarter-
over-quarter, driven by seasonality, and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate increased quarter-over-quarter due to seasonality, and decreased year-over year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
| Retail Services | ||
U.S. Personal Banking’s Retail services partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Retail services’ target market focuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel.
Retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
As shown in the chart above, the net credit loss rate in Retail services for the first quarter of 2022 increased quarter-over-quarter driven by seasonality, and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate increased quarter-over-quarter due to seasonality, and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs. 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.
37
Legacy Franchises
Legacy Franchises
provides traditional retail banking and branded card products to retail and small business customers in Asia Consumer and Mexico Consumer.
|
Asia
(1)
Consumer
|
||
(1)
Asia includes
Legacy Franchises
activities in certain EMEA countries for all periods presented.
Asia Consumer operates in 13 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 first quarter of 2022 net credit loss rate in Asia Consumer decreased quarter-over-quarter and year-over-year, driven by the impact of the charge-off of peak delinquent loans in recent quarters, resulting in lower delinquencies that led to lower net credit losses in the current quarter. The decrease was also driven by the reclassification of approximately $29 billion of loans ($20 billion of retail banking loans and $9 billion of credit card loan balances) to held-for-sale as a result of Citi’s agreements to sell its consumer banking businesses in Australia, the Philippines, Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (Asia HFS reclass).
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, mainly driven by the impact of the Asia HFS reclass and the charge-off of peak delinquencies in recent quarters, as elevated losses returned to pre-pandemic levels.
The performance of Asia Consumer’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.
| Mexico Consumer | ||
Mexico Consumer operates in Mexico through Citibanamex and provides credit cards, consumer mortgages and small business and personal loans. Mexico Consumer serves a more mass-market segment in Mexico and focuses on developing multiproduct relationships with customers.
As shown in the chart above, the net credit loss rate in Mexico Consumer for the first quarter of 2022 decreased quarter-over-quarter and year-over-year. The impact of charge-offs of delinquent loans in prior quarters resulted in lower delinquencies that led to lower net credit losses in the current quarter.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year. The impact of charge-offs of delinquent loans in prior quarters and higher payment rates resulted in a lower 90+ days past due delinquency rate in the current quarter.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see
PBWM
and
Legacy Franchises
results of operations above and Note 13.
38
U.S. Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s U.S. 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.
Branded Cards
|
FICO distribution
(1)
|
March 31, 2022 | December 31, 2021 | March 31, 2021 | ||||||||
| > 760 | 48 | % | 49 | % | 46 | % | |||||
| 680–760 | 39 | 38 | 40 | ||||||||
| < 680 | 13 | 13 | 14 | ||||||||
| Total | 100 | % | 100 | % | 100 | % | |||||
Retail Services
|
FICO distribution
(1)
|
March 31, 2022 | December 31, 2021 | March 31, 2021 | ||||||||
| > 760 | 27 | % | 28 | % | 26 | % | |||||
| 680–760 | 44 | 44 | 45 | ||||||||
| < 680 | 29 | 28 | 29 | ||||||||
| 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 largely stable compared to the prior quarter and improved compared to the prior year, demonstrating strong underlying credit quality and a benefit from the impacts of government stimulus, unemployment benefits and customer relief programs, as well as lower credit utilization. See Note 13 for additional information on FICO scores.
39
Additional Consumer Credit Details
Consumer Loan Delinquencies Amounts and Ratios
|
EOP
loans
(1)
|
90+ days past due
(2)
|
30–89 days past due
(2)
|
|||||||||||||||||||||
|
In millions of dollars,
except EOP loan amounts in billions |
March 31,
2022 |
March 31,
2022 |
December 31,
2021 |
March 31,
2021 |
March 31,
2022 |
December 31,
2021 |
March 31,
2021 |
||||||||||||||||
|
Personal Banking and Wealth Management
(3)(4)(5)
|
|||||||||||||||||||||||
| Total | $ | 254.8 | $ | 1,383 | $ | 1,278 | $ | 1,558 | $ | 1,397 | $ | 1,934 | $ | 2,078 | |||||||||
| Ratio | 0.54 | % | 0.50 | % | 0.64 | % | 0.55 | % | 0.75 | % | 0.86 | % | |||||||||||
|
U.S. Cards
(4)
|
|||||||||||||||||||||||
| Total | $ | 130.0 | $ | 910 | $ | 871 | $ | 1,181 | $ | 987 | $ | 947 | $ | 997 | |||||||||
| Ratio | 0.70 | % | 0.65 | % | 0.98 | % | 0.76 | % | 0.71 | % | 0.82 | % | |||||||||||
|
Branded cards
|
85.9 | 404 | 389 | 590 | 425 | 408 | 484 | ||||||||||||||||
| Ratio | 0.47 | % | 0.44 | % | 0.75 | % | 0.49 | % | 0.46 | % | 0.62 | % | |||||||||||
|
Retail services
|
44.1 | 506 | 482 | 591 | 562 | 539 | 513 | ||||||||||||||||
| Ratio | 1.15 | % | 1.05 | % | 1.39 | % | 1.27 | % | 1.17 | % | 1.21 | % | |||||||||||
|
U.S. Retail Banking and Global Wealth Management
(3)(5)
|
124.8 | $ | 473 | $ | 407 | $ | 377 | $ | 410 | $ | 987 | $ | 1,081 | ||||||||||
| Ratio | 0.38 | % | 0.33 | % | 0.31 | % | 0.33 | % | 0.80 | % | 0.89 | % | |||||||||||
| Legacy Franchises | |||||||||||||||||||||||
| Total | $ | 36.8 | $ | 432 | $ | 613 | $ | 960 | $ | 316 | $ | 546 | $ | 874 | |||||||||
| Ratio | 1.19 | % | 1.06 | % | 1.31 | % | 0.87 | % | 0.94 | % | 1.20 | % | |||||||||||
|
Asia Consumer
(6)(7)
|
19.5 | 54 | 209 | 368 | 62 | 285 | 457 | ||||||||||||||||
| Ratio | 0.28 | % | 0.51 | % | 0.68 | % | 0.32 | % | 0.69 | % | 0.85 | % | |||||||||||
| Mexico Consumer | 13.6 | 180 | 183 | 315 | 177 | 173 | 279 | ||||||||||||||||
| Ratio | 1.32 | % | 1.38 | % | 2.35 | % | 1.30 | % | 1.30 | % | 2.08 | % | |||||||||||
|
Legacy Holdings Assets (consumer)
(8)
|
3.7 | 198 | 221 | 277 | 77 | 88 | 138 | ||||||||||||||||
| Ratio | 6.00 | % | 6.31 | % | 4.86 | % | 2.33 | % | 2.51 | % | 2.42 | % | |||||||||||
|
Global Wealth Management
classifiably managed loans
(9)
|
$ | 58.7 | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||
| Total Citigroup consumer | $ | 350.3 | $ | 1,815 | $ | 1,891 | $ | 2,518 | $ | 1,713 | $ | 2,480 | $ | 2,952 | |||||||||
| Ratio | 0.63 | % | 0.60 | % | 0.80 | % | 0.59 | % | 0.79 | % | 0.94 | % | |||||||||||
(1)
End-of-period (EOP) loans include interest and fees on credit cards.
(2)
The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(3)
Excludes EOP classifiably managed Private bank loans. These loans are not included in the delinquency numerator, denominator and ratios.
(4)
The 90+ days past due balances for Branded cards and 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
Retail banking exclude loans 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 $161 million ($0.9 billion), $185 million ($1.1 billion) and $176 million ($0.7 billion) at March 31, 2022, December 31, 2021 and March 31, 2021, respectively. The amounts excluded for loans 30–89 days past due (the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $62 million, $74 million and $84 million at March 31, 2022, December 31, 2021 and March 31, 2021, respectively. The EOP loans in the table include the guaranteed loans.
(6)
Asia Consumer includes delinquencies and loans in certain EMEA
countries for all periods presented.
(7)
Citi recently entered into agreements to sell certain Asia consumer banking businesses. Accordingly, the loans of these businesses have been reclassified as HFS in
Other assets
on the Consolidated Balance Sheet and hence the loans and related delinquencies and ratios are not included in this table. The reclassifications commenced as follows: Australia (3Q21), the Philippines (4Q21) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22). See Note 2 for additional information.
(8)
The 90+ days past due and 30–89 days past due and related ratios exclude U.S. mortgage loans that are primarily related to U.S. mortgages guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and (EOP loans) were $124 million ($0.4 billion), $138 million ($0.4 billion) and $169 million ($0.4 billion) at March 31, 2022, December 31, 2021 and March 31, 2021, respectively. The amounts excluded for loans 30–89 days past due (the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $34 million, $35 million and $55 million at March 31, 2022, December 31, 2021 and March 31, 2021, respectively. The EOP loans in the table include the guaranteed loans.
(9)
These loans are evaluated for non-accrual status and write-off based on their internal risk classification and not on their delinquency status.
N/A Not applicable
40
Consumer Loan Net Credit Losses and Ratios
|
Average
loans
(1)
|
Net credit losses
(2)
|
|||||||||||||
| In millions of dollars, except average loan amounts in billions | 1Q22 | 1Q22 | 4Q21 | 1Q21 | ||||||||||
|
Personal Banking and Wealth Management
(2)
|
||||||||||||||
| Total | $ | 312.0 | $ | 691 | $ | 568 | $ | 990 | ||||||
| Ratio | 0.90 | % | 0.72 | % | 1.32 | % | ||||||||
| U.S. Cards | ||||||||||||||
| Total | $ | 128.2 | $ | 555 | $ | 516 | $ | 924 | ||||||
| Ratio | 1.76 | % | 1.60 | % | 3.06 | % | ||||||||
| Branded cards | 84.0 | 303 | 284 | 551 | ||||||||||
| Ratio | 1.46 | % | 1.33 | % | 2.84 | % | ||||||||
| Retail services | 44.2 | 252 | 232 | 373 | ||||||||||
| Ratio | 2.31 | % | 2.10 | % | 3.45 | % | ||||||||
|
U.S. Retail banking and Global Wealth Management
(2)
|
183.8 | 136 | 52 | 66 | ||||||||||
| Ratio | 0.30 | % | 0.11 | % | 0.15 | % | ||||||||
| Legacy Franchises | ||||||||||||||
| Total | $ | 40.2 | $ | 150 | $ | 213 | $ | 573 | ||||||
| Ratio | 1.51 | % | 1.43 | % | 3.09 | % | ||||||||
|
Asia Consumer
(3)(4)
|
23.1 | 45 | 102 | 226 | ||||||||||
| Ratio | 0.79 | % | 0.96 | % | 1.67 | % | ||||||||
| Mexico Consumer | 13.1 | 122 | 130 | 365 | ||||||||||
| Ratio | 3.78 | % | 3.97 | % | 10.65 | % | ||||||||
| Legacy Holdings Assets (consumer) | 4.0 | (17) | (19) | (18) | ||||||||||
| Ratio | (1.72) | % | (1.70) | % | (1.06) | % | ||||||||
| Total Citigroup | $ | 352.2 | $ | 841 | $ | 781 | $ | 1,563 | ||||||
| Ratio | 0.97 | % | 0.83 | % | 1.68 | % | ||||||||
(1)
Average loans include interest and fees on credit cards.
(2)
The ratios of net credit losses are calculated based on average loans, net of unearned income.
(3)
Asia Consumer includes NCLs and average loans in certain EMEA countries (Russia, Poland and UAE) for all periods presented.
(4)
Citi recently entered into agreements to sell certain Asia consumer banking businesses, which have been reclassified as HFS. As a result, approximately $53 million and $1 million of related net credit losses (NCLs) was recorded as a reduction in revenue (
Other revenue
) in the first quarter of 2022 and fourth quarter of 2021, respectively. Accordingly, these NCLs are not included in this table. The reclassifications commenced as follows: Australia (3Q21), the Philippines (4Q21) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22). See Note 2 for additional information.
41
ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS
Loans Outstanding
| 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. | 1st Qtr. | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2021 | 2021 | 2021 | ||||||||||||
| Consumer loans | |||||||||||||||||
|
In North America offices
(1)
|
|||||||||||||||||
|
Residential first mortgages
(2)
|
$ | 84,569 | $ | 83,361 | $ | 83,593 | $ | 83,227 | $ | 82,645 | |||||||
|
Home equity loans
(2)
|
5,328 | 5,745 | 6,194 | 6,892 | 7,328 | ||||||||||||
| Credit cards | 129,989 | 133,868 | 125,526 | 124,823 | 121,048 | ||||||||||||
| Personal, small business and other | 41,297 | 40,713 | 39,909 | 40,835 | 39,748 | ||||||||||||
| Total | $ | 261,183 | $ | 263,687 | $ | 255,222 | $ | 255,777 | $ | 250,769 | |||||||
|
In offices outside North America
(1)
|
|||||||||||||||||
|
Residential mortgages
(2)
|
$ | 29,017 | $ | 37,889 | $ | 46,920 | $ | 43,260 | $ | 42,676 | |||||||
| Credit cards | 11,546 | 17,808 | 17,763 | 20,776 | 21,137 | ||||||||||||
| Personal, small business and other | 48,582 | 57,150 | 49,387 | 60,991 | 60,950 | ||||||||||||
| Total | $ | 89,145 | $ | 112,847 | $ | 114,070 | $ | 125,027 | $ | 124,763 | |||||||
|
Consumer loans, net of unearned income
(3)
|
$ | 350,328 | $ | 376,534 | $ | 369,292 | $ | 380,804 | $ | 375,532 | |||||||
| Corporate loans | |||||||||||||||||
|
In North America offices
(1)
|
|||||||||||||||||
| Commercial and industrial | $ | 54,063 | $ | 48,364 | $ | 52,988 | $ | 49,759 | $ | 51,820 | |||||||
| Financial institutions | 47,930 | 49,804 | 44,172 | 46,369 | 39,770 | ||||||||||||
|
Mortgage and real estate
(2)
|
17,536 | 15,965 | 16,422 | 15,801 | 15,947 | ||||||||||||
| Installment and other | 18,812 | 20,143 | 16,944 | 16,985 | 19,347 | ||||||||||||
| Lease financing | 379 | 415 | 425 | 547 | 539 | ||||||||||||
| Total | $ | 138,720 | $ | 134,691 | $ | 130,951 | $ | 129,461 | $ | 127,423 | |||||||
|
In offices outside North America
(1)
|
|||||||||||||||||
| Commercial and industrial | $ | 112,732 | $ | 102,735 | $ | 105,124 | $ | 104,857 | $ | 101,801 | |||||||
| Financial institutions | 27,657 | 22,158 | 25,013 | 27,285 | 26,099 | ||||||||||||
|
Mortgage and real estate
(2)
|
4,705 | 4,374 | 4,749 | 4,886 | 5,167 | ||||||||||||
| Installment and other | 21,275 | 22,812 | 25,277 | 25,092 | 25,127 | ||||||||||||
| Lease financing | 47 | 40 | 47 | 54 | 56 | ||||||||||||
| Governments and official institutions | 4,205 | 4,423 | 4,311 | 4,395 | 4,783 | ||||||||||||
| Total | $ | 170,621 | $ | 156,542 | $ | 164,521 | $ | 166,569 | $ | 163,033 | |||||||
|
Corporate loans, net of unearned income
(4)
|
$ | 309,341 | $ | 291,233 | $ | 295,472 | $ | 296,030 | $ | 290,456 | |||||||
| Total loans—net of unearned income | $ | 659,669 | $ | 667,767 | $ | 664,764 | $ | 676,834 | $ | 665,988 | |||||||
| Allowance for credit losses on loans (ACLL) | (15,393) | (16,455) | (17,715) | (19,238) | (21,638) | ||||||||||||
| Total loans—net of unearned income and ACLL | $ | 644,276 | $ | 651,312 | $ | 647,049 | $ | 657,596 | $ | 644,350 | |||||||
|
ACLL as a percentage of total loans—
net of unearned income (5) |
2.35 | % | 2.49 | % | 2.69 | % | 2.88 | % | 3.29 | % | |||||||
|
ACLL for consumer loan losses as a percentage of
total consumer loans—net of unearned income (5) |
3.53 | % | 3.73 | % | 4.09 | % | 4.35 | % | 4.82 | % | |||||||
|
ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income (5) |
1.00 | % | 0.85 | % | 0.91 | % | 0.93 | % | 1.25 | % | |||||||
(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 $591 million, $629 million, $616 million, $633 million and $642 million at March 31, 2022, December 31, 2021, September 30, 2021, June 30, 2021 and March 31, 2021, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(4)
Corporate loans include Mexico SBMM loans and are net of unearned income of $(766) million, $(770) million, $(798) million, $(798) million and $(787) million at March 31, 2022, December 31, 2021, September 30, 2021, June 30, 2021 and March 31, 2021, 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.
42
Details of Credit Loss Experience
| 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. | 1st Qtr. | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2021 | 2021 | 2021 | ||||||||||||
| Allowance for credit losses on loans (ACLL) at beginning of period | $ | 16,455 | $ | 17,715 | $ | 19,238 | $ | 21,638 | $ | 24,956 | |||||||
| Provision for credit losses on loans (PCLL) | |||||||||||||||||
|
Consumer
(1)
|
$ | (372) | $ | (202) | $ | (180) | $ | (340) | $ | (437) | |||||||
| Corporate | 632 | (108) | (8) | (786) | (1,042) | ||||||||||||
| Total | $ | 260 | $ | (310) | $ | (188) | $ | (1,126) | $ | (1,479) | |||||||
| Gross credit losses on loans | |||||||||||||||||
| Consumer | |||||||||||||||||
| In U.S. offices | $ | 947 | $ | 802 | $ | 893 | $ | 1,131 | $ | 1,249 | |||||||
| In offices outside the U.S. | 245 | 360 | 449 | 576 | 760 | ||||||||||||
| Corporate | |||||||||||||||||
| In U.S. offices | 29 | 27 | 17 | 42 | 153 | ||||||||||||
| In offices outside the U.S. | 19 | 90 | 30 | 95 | 46 | ||||||||||||
| Total | $ | 1,240 | $ | 1,279 | $ | 1,389 | $ | 1,844 | $ | 2,208 | |||||||
|
Gross recoveries on loans
(1)
|
|||||||||||||||||
| Consumer | |||||||||||||||||
| In U.S. offices | $ | 293 | $ | 273 | $ | 299 | $ | 324 | $ | 318 | |||||||
| In offices outside the U.S. | 58 | 108 | 121 | 140 | 128 | ||||||||||||
| Corporate | |||||||||||||||||
| In U.S. offices | 13 | 8 | 5 | 38 | 8 | ||||||||||||
| In offices outside the U.S. | 4 | 24 | 3 | 22 | 6 | ||||||||||||
| Total | $ | 368 | $ | 413 | $ | 428 | $ | 524 | $ | 460 | |||||||
| Net credit losses on loans (NCLs) | |||||||||||||||||
| In U.S. offices | $ | 670 | $ | 548 | $ | 606 | $ | 811 | $ | 1,076 | |||||||
| In offices outside the U.S. | 202 | 318 | 355 | 509 | 672 | ||||||||||||
| Total | $ | 872 | $ | 866 | $ | 961 | $ | 1,320 | $ | 1,748 | |||||||
|
Other—net
(2)(3)(4)(5)(6)(7)
|
$ | (450) | $ | (84) | $ | (374) | $ | 46 | $ | (91) | |||||||
| Allowance for credit losses on loans (ACLL) at end of period | $ | 15,393 | $ | 16,455 | $ | 17,715 | $ | 19,238 | $ | 21,638 | |||||||
|
ACLL as a percentage of EOP loans
(8)
|
2.35 | % | 2.49 | % | 2.69 | % | 2.88 | % | 3.29 | % | |||||||
|
Allowance for credit losses on unfunded lending commitments (ACLUC)
(9)
|
$ | 2,343 | $ | 1,871 | $ | 2,063 | $ | 2,073 | $ | 2,012 | |||||||
| Total ACLL and ACLUC | $ | 17,736 | $ | 18,326 | $ | 19,778 | $ | 21,311 | $ | 23,650 | |||||||
| Net consumer credit losses on loans | $ | 841 | $ | 781 | $ | 922 | $ | 1,243 | $ | 1,563 | |||||||
| As a percentage of average consumer loans | 0.97 | % | 0.83 | % | 0.98 | % | 1.32 | % | 1.68 | % | |||||||
| Net corporate credit losses on loans | $ | 31 | $ | 85 | $ | 39 | $ | 77 | $ | 185 | |||||||
| As a percentage of average corporate loans | 0.04 | % | 0.11 | % | 0.05 | % | 0.11 | % | 0.26 | % | |||||||
|
ACLL by type at end of period
(10)
|
|||||||||||||||||
| Consumer | $ | 12,368 | $ | 14,040 | $ | 15,105 | $ | 16,566 | $ | 18,096 | |||||||
| Corporate | 3,025 | 2,415 | 2,610 | 2,672 | 3,542 | ||||||||||||
| Total | $ | 15,393 | $ | 16,455 | $ | 17,715 | $ | 19,238 | $ | 21,638 | |||||||
(1)
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.
(2)
Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(3)
The first quarter of 2022 includes an approximate $350 million reclass related to the announced sales of Citi’s consumer banking businesses in Thailand, India, Malaysia, Taiwan, Indonesia, Bahrain and Vietnam. The ACLL was reclassified to
Other assets
during 1Q22. 1Q22 consumer also includes a decrease of approximately $100 million related to FX translation.
(4)
The fourth quarter of 2021 includes an approximate $90 million reclass related to the announced sale of Citi’s consumer banking operations in the Philippines. The ACLL was reclassified to
Other assets
during 4Q21. 4Q21 consumer also includes a decrease of approximately $6 million related to FX translation.
(5)
The third quarter of 2021 includes an approximate $280 million reclass related to the announced sale of Citi’s consumer banking business in Australia. The ACLL was reclassified to
Other assets
during 3Q21. 3Q21 consumer also includes a decrease of approximately $93 million related to FX translation.
43
(6)
The second quarter of 2021 includes an increase of approximately $62 million related to FX translation.
(7)
The first quarter of 2021 includes a decrease of approximately $108 million related to FX translation.
(8)
March 31, 2022, December 31, 2021, September 30, 2021, June 30, 2021 and March 31, 2021 exclude $5.7 billion, $6.1 billion, $7.2 billion, $7.7 billion and $7.5 billion, respectively, of loans that are carried at fair value.
(9)
Represents additional credit reserves recorded as
Other liabilities
on the Consolidated Balance Sheet.
(10)
See “Significant Accounting Policies and Significant Estimates” below. Attribution of the allowance is made for analytical purposes only and 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, 2022 | |||||||||||
| In billions of dollars | ACLL |
EOP loans, net of
unearned income |
ACLL as a
percentage of EOP loans
(1)
|
||||||||
| Consumer | |||||||||||
|
North America cards
(2)
|
$ | 9.9 | $ | 130.0 | 7.6 | % | |||||
| North America mortgages | 0.4 | 89.9 | 0.4 | ||||||||
| North America other | 0.4 | 41.3 | 1.0 | ||||||||
| International cards | 0.9 | 11.5 | 7.8 | ||||||||
|
International other
(3)
|
0.8 | 77.6 | 1.0 | ||||||||
| Total | $ | 12.4 | $ | 350.3 | 3.5 | % | |||||
| Corporate | |||||||||||
| Commercial and industrial | $ | 2.1 | $ | 163.4 | 1.3 | % | |||||
| Financial institutions | 0.2 | 75.3 | 0.3 | ||||||||
| Mortgage and real estate | 0.3 | 22.2 | 1.4 | ||||||||
| Installment and other | 0.4 | 42.8 | 0.9 | ||||||||
| Total | $ | 3.0 | $ | 303.7 | 1.0 | % | |||||
|
Loans at fair value
(1)
|
N/A | $ | 5.7 | N/A | |||||||
| Total Citigroup | $ | 15.4 | $ | 659.7 | 2.4 | % | |||||
(1)
Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)
Includes both Branded cards and Retail services. The $9.9 billion of loan loss reserves represented approximately 53 months of coincident net credit loss coverage. As of March 31, 2022, Branded cards ACLL as a percentage of EOP loans was 6.6% and Retail services ACLL as a percentage of EOP loans was 9.5%.
(3)
Includes mortgages and other retail loans.
N/A Not applicable
| December 31, 2021 | |||||||||||
| In billions of dollars | ACLL |
EOP loans, net of
unearned income |
ACLL as a
percentage of EOP loans
(1)
|
||||||||
| Consumer | |||||||||||
|
North America cards
(2)
|
$ | 10.8 | $ | 133.9 | 8.1 | % | |||||
| North America mortgages | 0.5 | 89.1 | 0.6 | ||||||||
| North America other | 0.4 | 40.7 | 1.0 | ||||||||
| International cards | 1.2 | 17.8 | 6.7 | ||||||||
|
International other
(3)
|
1.2 | 95.0 | 1.3 | ||||||||
| Total | $ | 14.1 | $ | 376.5 | 3.7 | % | |||||
| Corporate | |||||||||||
| Commercial and industrial | $ | 1.6 | $ | 147.0 | 1.1 | % | |||||
| Financial institutions | 0.3 | 71.8 | 0.4 | ||||||||
| Mortgage and real estate | 0.3 | 20.3 | 1.5 | ||||||||
| Installment and other | 0.2 | 46.1 | 0.4 | ||||||||
| Total | $ | 2.4 | $ | 285.2 | 0.8 | % | |||||
|
Loans at fair value
(1)
|
N/A | $ | 6.1 | N/A | |||||||
| Total Citigroup | $ | 16.5 | $ | 667.8 | 2.5 | % | |||||
(1)
Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
44
(2)
Includes both Branded cards and Retail services. The $10.8 billion of loan loss reserves represented approximately 63 months of coincident net credit loss coverage. As of December 31, 2021, Branded cards ACLL as a percentage of EOP loans was 7.1% and Retail services ACLL as a percentage of EOP loans was 10.0%.
(3)
Includes mortgages and other retail loans.
N/A Not applicable
45
The following table details Citi’s corporate credit ACLL by industry exposure:
| March 31, 2022 | |||||||||||
| In millions of dollars, except percentages |
Funded exposure
(1)
|
ACLL | ACLL as a % of funded exposure | ||||||||
| Transportation and industrials | $ | 54,122 | $ | 629 | 1.2 | % | |||||
| Technology, media and telecom | 31,969 | 181 | 0.6 | ||||||||
| Consumer retail | 36,130 | 437 | 1.2 | ||||||||
| Real estate | 46,517 | 411 | 0.9 | ||||||||
| Power, chemicals, metals and mining | 21,787 | 511 | 2.3 | ||||||||
| Banks and finance companies | 39,791 | 118 | 0.3 | ||||||||
| Asset managers and funds | 25,160 | 27 | — | ||||||||
| Energy and commodities | 17,741 | 272 | 1.5 | ||||||||
| Health | 8,968 | 76 | 0.8 | ||||||||
| Insurance | 2,880 | 8 | 0.3 | ||||||||
| Public sector | 13,707 | 133 | 1.0 | ||||||||
| Financial markets infrastructure | 176 | — | — | ||||||||
| Securities firms | 520 | 3 | 0.6 | ||||||||
| Other industries | 2,714 | 213 | 7.8 | ||||||||
|
Total classifiably managed loans
(2)
|
$ | 302,182 | $ | 3,019 | 1.0 | % | |||||
|
Loans managed on a delinquency basis
(3)
|
$ | 1,468 | $ | 6 | 0.4 | % | |||||
| Total | $ | 303,650 | $ | 3,025 | 1.0 | % | |||||
(1) Funded exposure excludes loans carried at fair value of $5.7 billion that are not subject to ACLL under the CECL standard.
(2) As of March 31, 2022, the ACLL shown above reflects coverage of 0.4% of funded investment-grade exposure and 3.0% of funded non-investment-grade exposure.
(3) Primarily associated with delinquency-managed loans including commercial credit cards and other loans at March 31, 2022.
The following table details Citi’s corporate credit ACLL by industry exposure:
| December 31, 2021 | |||||||||||
| In millions of dollars, except percentages |
Funded exposure
(1)
|
ACLL | ACLL as a % of funded exposure | ||||||||
| Transportation and industrials | $ | 51,502 | $ | 597 | 1.2 | % | |||||
| Technology, media and telecom | 28,542 | 170 | 0.6 | ||||||||
| Consumer retail | 32,894 | 288 | 0.9 | ||||||||
| Real estate | 46,220 | 509 | 1.1 | ||||||||
| Power, chemicals, metals and mining | 20,224 | 151 | 0.7 | ||||||||
| Banks and finance companies | 36,804 | 197 | 0.5 | ||||||||
| Asset managers and funds | 26,879 | 34 | 0.1 | ||||||||
| Energy and commodities | 13,485 | 268 | 2.0 | ||||||||
| Health | 8,826 | 73 | 0.8 | ||||||||
| Insurance | 3,162 | 8 | 0.3 | ||||||||
| Public sector | 12,464 | 74 | 0.6 | ||||||||
| Financial markets infrastructure | 109 | — | — | ||||||||
| Securities firms | 613 | 10 | 1.6 | ||||||||
| Other industries | 2,803 | 28 | 1.0 | ||||||||
|
Total classifiably managed loans
(2)
|
$ | 284,527 | $ | 2,407 | 0.8 | % | |||||
|
Loans managed on a delinquency basis
(3)
|
$ | 636 | $ | 8 | 1.3 | % | |||||
| Total | $ | 285,163 | $ | 2,415 | 0.8 | % | |||||
(1) Funded exposure excludes loans carried at fair value of $6.1 billion that are not subject to ACLL under the CECL standard.
(2) As of December 31, 2021, the ACLL shown above reflects coverage of 0.7% of funded investment-grade exposure and 2.3% of funded non-investment-grade exposure.
(3) Primarily associated with delinquency-managed loans including commercial credit cards and other loans at December 31, 2021.
46
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 2021 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 | 2022 | 2021 | 2021 | 2021 | 2021 | ||||||||||||
|
Corporate non-accrual loans by region
(1)(2)(3)
|
|||||||||||||||||
| North America | $ | 462 | $ | 510 | $ | 923 | $ | 895 | $ | 1,211 | |||||||
| EMEA | 688 | 367 | 407 | 447 | 562 | ||||||||||||
| Latin America | 631 | 568 | 679 | 767 | 739 | ||||||||||||
| Asia | 85 | 108 | 110 | 141 | 204 | ||||||||||||
| Total | $ | 1,866 | $ | 1,553 | $ | 2,119 | $ | 2,250 | $ | 2,716 | |||||||
|
Corporate non-accrual loans
(1)(2)(3)
|
|||||||||||||||||
| Banking | $ | 1,323 | $ | 1,239 | $ | 1,739 | $ | 1,852 | $ | 2,362 | |||||||
| Services | 297 | 70 | 74 | 81 | 84 | ||||||||||||
| Markets | 13 | 12 | 13 | 12 | 20 | ||||||||||||
| Mexico SBMM | 233 | 232 | 293 | 305 | 250 | ||||||||||||
| Total | $ | 1,866 | $ | 1,553 | $ | 2,119 | $ | 2,250 | $ | 2,716 | |||||||
|
Consumer non-accrual loans
(1)
|
|||||||||||||||||
| Personal Banking and Global Wealth Management | $ | 586 | $ | 680 | $ | 637 | $ | 711 | $ | 817 | |||||||
|
Asia Consumer
(4)
|
38 | 209 | 259 | 303 | 292 | ||||||||||||
| Mexico Consumer | 512 | 524 | 549 | 612 | 720 | ||||||||||||
|
Legacy Holdings Assets—Consumer
|
381 | 413 | 425 | 506 | 545 | ||||||||||||
| Total | $ | 1,517 | $ | 1,826 | $ | 1,870 | $ | 2,132 | $ | 2,374 | |||||||
| Total non-accrual loans | $ | 3,383 | $ | 3,379 | $ | 3,989 | $ | 4,382 | $ | 5,090 | |||||||
(1)
Corporate loans are placed on non-accrual status based upon a review by Citigroup’s risk officers. Corporate non-accrual loans may still be current on interest payments. With limited exceptions, the following practices are applied for consumer loans: consumer loans, excluding credit cards and mortgages, are placed on non-accrual status at 90 days past due, and are charged off at 120 days past due; residential mortgage loans are placed on non-accrual status at 90 days past due and written down to net realizable value at 180 days past due. Consistent with industry conventions, Citigroup generally accrues interest on credit card loans until such loans are charged off, which typically occurs at 180 days contractual delinquency. As such, the non-accrual loan disclosures do not include credit card loans. The balances above represent non-accrual loans within
Consumer loans
and
Corporate loans
on the Consolidated Balance Sheet. The increase in corporate non-accrual loans relates to Russia exposures, which are adequately reserved for.
(2)
Approximately 66%, 56%, 58%, 55% and 54% of Citi’s corporate non-accrual loans were performing at March 31, 2022, December 31, 2021, September 30, 2021, June 30, 2021 and March 31, 2021, re
spectively.
(3)
The March 31, 2022 total corporate non-accrual loans represented 0.60% of
total corporate loans
.
(4) Asia Consumer includes balances in certain EMEA
countries for all periods presented.
47
The changes in Citigroup’s non-accrual loans were as follows:
| Three Months Ended | Three Months Ended | |||||||||||||||||||
| March 31, 2022 | March 31, 2021 | |||||||||||||||||||
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | ||||||||||||||
| Non-accrual loans at beginning of quarter | $ | 1,553 | $ | 1,826 | $ | 3,379 | $ | 3,046 | $ | 2,621 | $ | 5,667 | ||||||||
| Additions | 820 | 299 | 1,119 | 475 | 698 | 1,173 | ||||||||||||||
| Sales and transfers to HFS | (1) | (188) | (189) | (56) | (58) | (114) | ||||||||||||||
| Returned to performing | (133) | (179) | (312) | — | (235) | (235) | ||||||||||||||
| Paydowns/settlements | (323) | (96) | (419) | (549) | (174) | (723) | ||||||||||||||
| Charge-offs | (49) | (155) | (204) | (189) | (449) | (638) | ||||||||||||||
| Other | (1) | 10 | 9 | (11) | (29) | (40) | ||||||||||||||
| Ending balance | $ | 1,866 | $ | 1,517 | $ | 3,383 | $ | 2,716 | $ | 2,374 | $ | 5,090 | ||||||||
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 | 2022 | 2021 | 2021 | 2021 | 2021 | ||||||||||||
| OREO | |||||||||||||||||
| North America | $ | 14 | $ | 15 | $ | 10 | $ | 12 | $ | 14 | |||||||
| EMEA | — | — | — | — | — | ||||||||||||
| Latin America | 7 | 8 | 10 | 11 | 10 | ||||||||||||
| Asia | 5 | 4 | 1 | 10 | 19 | ||||||||||||
| Total OREO | $ | 26 | $ | 27 | $ | 21 | $ | 33 | $ | 43 | |||||||
| Non-accrual assets | |||||||||||||||||
| Corporate non-accrual loans | $ | 1,866 | $ | 1,553 | $ | 2,119 | $ | 2,250 | $ | 2,716 | |||||||
| Consumer non-accrual loans | 1,517 | 1,826 | 1,870 | 2,132 | 2,374 | ||||||||||||
| Non-accrual loans (NAL) | $ | 3,383 | $ | 3,379 | $ | 3,989 | $ | 4,382 | $ | 5,090 | |||||||
| OREO | $ | 26 | $ | 27 | $ | 21 | $ | 33 | $ | 43 | |||||||
| Non-accrual assets (NAA) | $ | 3,409 | $ | 3,406 | $ | 4,010 | $ | 4,415 | $ | 5,133 | |||||||
| NAL as a percentage of total loans | 0.51 | % | 0.51 | % | 0.60 | % | 0.65 | % | 0.76 | % | |||||||
| NAA as a percentage of total assets | 0.14 | 0.15 | 0.17 | 0.19 | 0.22 | ||||||||||||
|
ACLL as a percentage of NAL
(1)
|
455 | % | 487 | % | 444 | % | 439 | % | 425 | % | |||||||
(1)
The ACLL includes the allowance for Citi’s credit card portfolios and purchased credit-deteriorated loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios).
48
Renegotiated Loans
The following table presents Citi’s loans modified in TDRs:
| In millions of dollars | Mar. 31, 2022 | Dec. 31, 2021 | ||||||
|
Corporate renegotiated loans
(1)
|
||||||||
| In U.S. offices | ||||||||
|
Commercial and industrial
(2)
|
$ | 96 | $ | 103 | ||||
| Mortgage and real estate | 1 | 2 | ||||||
| Financial institutions | — | — | ||||||
| Other | 19 | 20 | ||||||
| Total | $ | 116 | $ | 125 | ||||
| In offices outside the U.S. | ||||||||
|
Commercial and industrial
(2)
|
$ | 109 | $ | 133 | ||||
| Mortgage and real estate | 19 | 18 | ||||||
| Financial institutions | — | — | ||||||
| Other | 4 | 8 | ||||||
| Total | $ | 132 | $ | 159 | ||||
| Total corporate renegotiated loans | $ | 248 | $ | 284 | ||||
|
Consumer renegotiated loans
(3)
|
||||||||
| In U.S. offices | ||||||||
| Mortgage and real estate | $ | 1,509 | $ | 1,484 | ||||
| Cards | 1,213 | 1,269 | ||||||
| Installment and other | 23 | 26 | ||||||
| Total | $ | 2,745 | $ | 2,779 | ||||
| In offices outside the U.S. | ||||||||
| Mortgage and real estate | $ | 164 | $ | 227 | ||||
| Cards | 76 | 313 | ||||||
| Installment and other | 109 | 428 | ||||||
| Total | $ | 349 | $ | 968 | ||||
| Total consumer renegotiated loans | $ | 3,094 | $ | 3,747 | ||||
(1)
Includes $204 million and $284 million of non-accrual loans included in the non-accrual loans table above at March 31, 2022 and December 31, 2021, respectively. The remaining loans are accruing interest.
(2)
In addition to modifications reflected as TDRs at March 31, 2022 and December 31, 2021, Citi may have modifications that were not considered TDRs because the modifications did not involve a concession or because they qualified for exemptions from TDR accounting provided by the CARES Act or the interagency guidance.
(3)
Includes $586 million and $664 million of non-accrual loans included in the non-accrual loans table above at March 31, 2022 and December 31, 2021, respectively. The remaining loans were accruing interest.
49
LIQUIDITY RISK
For additional information on funding and liquidity at Citi, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors—Liquidity Risks” in Citi’s 2021 Form 10-K.
High-Quality Liquid Assets (HQLA)
| Citibank | Citi non-bank and other entities | Total | |||||||||||||||||||||||||||
| In billions of dollars | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | ||||||||||||||||||||
| Available cash | $ | 214.9 | $ | 253.6 | $ | 276.6 | $ | 2.2 | $ | 2.6 | $ | 3.0 | $ | 217.1 | $ | 256.2 | $ | 279.6 | |||||||||||
|
U.S. sovereign
|
139.7 | 119.6 | 85.0 | 57.5 | 63.1 | 67.7 | 197.2 | 182.7 | 152.7 | ||||||||||||||||||||
|
U.S. agency/agency MBS
|
49.8 | 45.0 | 37.0 | 5.2 | 5.7 | 6.3 | 55.0 | 50.7 | 43.3 | ||||||||||||||||||||
|
Foreign government debt
(1)
|
53.8 | 48.9 | 43.6 | 13.8 | 13.6 | 13.7 | 67.6 | 62.5 | 57.3 | ||||||||||||||||||||
|
Other investment grade
|
1.9 | 1.6 | 1.4 | 1.4 | 0.8 | 0.6 | 3.3 | 2.4 | 2.0 | ||||||||||||||||||||
| Total HQLA (AVG) | $ | 460.1 | $ | 468.7 | $ | 443.6 | $ | 80.1 | $ | 85.8 | $ | 91.3 | $ | 540.2 | $ | 554.5 | $ | 534.8 | |||||||||||
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 average HQLA for the first quarter of 2022 decreased quarter-over-quarter, primarily reflecting a reduction in average deposits, partially offset by an increase in unsecured benchmark senior debt.
As of March 31, 2022, Citigroup had approximately $965 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, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | ||||||||
| HQLA | $ | 540.2 | $ | 554.5 | $ | 534.8 | |||||
| Net outflows | 466.2 | 482.9 | 463.7 | ||||||||
| LCR | 116 | % | 115 | % | 115 | % | |||||
| HQLA in excess of net outflows | $ | 74.0 | $ | 71.6 | $ | 71.1 | |||||
Note: The amounts are presented on an average basis.
As of March 31, 2022, Citigroup’s average LCR increased from the quarter ended December 31, 2021. The increase was primarily driven by a reduction in non-operational deposit outflows, partially offset by a decrease in average HQLA.
50
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.
The final rule became effective beginning July 1, 2021, while public disclosure requirements to report the ratio will occur on a semiannual basis beginning June 30, 2023. Citi was in compliance with the final rule as of March 31, 2022.
Loans
The table below details the average loans, by business and/or segment, and the total Citigroup end-of-period loans for each of the periods indicated:
| In billions of dollars | 1Q22 | 4Q21 | 1Q21 | ||||||||
| Personal Banking and Wealth Management | |||||||||||
| U.S. Retail banking | $ | 33 | $ | 34 | $ | 36 | |||||
| U.S. Cards | 128 | 128 | 123 | ||||||||
|
Global Wealth Management
|
151 | 150 | 144 | ||||||||
| Total | $ | 312 | $ | 312 | $ | 303 | |||||
| Institutional Clients Group | |||||||||||
| Services | $ | 81 | $ | 77 | $ | 70 | |||||
| Banking | 194 | 195 | 197 | ||||||||
|
Markets
|
14 | 17 | 14 | ||||||||
| Total | $ | 289 | $ | 289 | $ | 281 | |||||
|
Total
Legacy Franchises
(1)
|
$ | 48 | $ | 66 | $ | 82 | |||||
| Total Citigroup loans (AVG) | $ | 649 | $ | 667 | $ | 666 | |||||
| Total Citigroup loans (EOP) | $ | 660 | $ | 668 | $ | 666 | |||||
(1)
See footnote 2 to the table in “Credit Risk—Consumer Credit—Consumer Credit Portfolio” above.
End-of-period loans decreased 1% year-over-year and sequentially.
On an average basis, loans declined 3% both year-over-year and sequentially, driven by lower loans in
Legacy Franchises
, primarily reflecting the impact of held-for-sale accounting as a result of the entry into sale agreements for consumer franchises in Asia and EMEA.
PBWM
average loans increased 3% year-over-year, primarily driven by secured lending in the Private bank, including residential real estate lending.
ICG
average loans increased 3% year-over-year as a result of growth in trade loans within TTS.
Deposits
The table below details the average deposits, by business and/or segment, and the total Citigroup end-of-period deposits for each of the periods indicated:
| In billions of dollars | 1Q22 | 4Q21 | 1Q21 | ||||||||
| Personal Banking and Wealth Management | |||||||||||
| U.S. Personal Banking | $ | 118 | $ | 114 | $ | 108 | |||||
| Global Wealth Management | 329 | 323 | 289 | ||||||||
| Total | $ | 447 | $ | 437 | $ | 397 | |||||
| Institutional Clients Group | |||||||||||
| TTS | $ | 664 | $ | 684 | $ | 653 | |||||
|
Securities services
|
135 | 140 | 128 | ||||||||
| Markets | 27 | 28 | 28 | ||||||||
| Total | $ | 826 | $ | 852 | $ | 809 | |||||
|
Legacy Franchises
(1)
|
$ | 55 | $ | 74 | $ | 87 | |||||
| Corporate/Other | $ | 6 | $ | 7 | $ | 11 | |||||
| Total Citigroup deposits (AVG) | $ | 1,334 | $ | 1,370 | $ | 1,304 | |||||
| Total Citigroup deposits (EOP) | $ | 1,334 | $ | 1,317 | $ | 1,301 | |||||
(1)
See footnote 2 to the table in “Credit Risk—Consumer Credit—Consumer Credit Portfolio” above.
End-of-period deposits increased 3% year-over-year and 1% sequentially.
On an average basis, deposits increased 2% year-over-year and declined 3% sequentially. The year-over-year increase in average deposits reflected a continuation of elevated levels of liquidity in the financial system as well as client engagement, partially offset by the impact of held-for-
sale accounting as a result of the entry into sale agreements for
consumer franchises in Asia and EMEA. Average deposits in
PBWM
increased 13%, led by growth in the Private bank.
ICG
average deposits grew 2% year-over-year, driven by an increase across both TTS and Securities services.
51
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 8.5 years as of March 31, 2022, compared to 8.9 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, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | ||||||||
|
Non-bank
(1)
|
|||||||||||
| Benchmark debt: | |||||||||||
|
Senior debt
|
$ | 122.2 | $ | 117.8 | $ | 120.1 | |||||
|
Subordinated debt
|
24.7 | 25.7 | 25.9 | ||||||||
|
Trust preferred
|
1.6 | 1.7 | 1.7 | ||||||||
| Customer-related debt | 78.4 | 78.3 | 66.2 | ||||||||
|
Local country and other
(2)
|
7.8 | 7.3 | 5.9 | ||||||||
| Total non-bank | $ | 234.7 | $ | 230.8 | $ | 219.8 | |||||
| Bank | |||||||||||
| FHLB borrowings | $ | 1.0 | $ | 5.3 | $ | 10.9 | |||||
|
Securitizations
(3)
|
9.5 | 9.6 | 12.8 | ||||||||
| Citibank benchmark senior debt | 3.5 | 3.6 | 9.2 | ||||||||
|
Local country and other
(2)
|
5.3 | 5.1 | 3.6 | ||||||||
| Total bank | $ | 19.3 | $ | 23.6 | $ | 36.5 | |||||
| Total long-term debt | $ | 254.0 | $ | 254.4 | $ | 256.3 | |||||
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, 2022, non-bank included $64.5 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries that are consolidated into Citigroup Inc., the parent holding company. Certain Citigroup consolidated hedging activities are also included in this line.
(2)
Local country and other includes debt issued by Citi’s affiliates in support of their local operations. Within non-bank, certain secured financing is also included.
(3)
Predominantly credit card securitizations, primarily backed by Branded cards receivables.
Citi’s total long-term debt outstanding was largely unchanged year-over-year, as declines in FHLB borrowings and unsecured benchmark senior debt at the bank were offset by the issuance of customer-related debt at the non-bank entities. Sequentially, long-term debt outstanding was largely unchanged as decreases in FHLB borrowings at the bank were mostly offset by an increase in unsecured benchmark senior debt at the non-bank entities.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to redeem or repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such redemptions and repurchases help reduce Citi’s overall funding costs. During the first quarter of 2022, Citi redeemed or repurchased an aggregate of approximately $5.7 billion of its outstanding long-term debt.
52
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:
| 1Q22 | 4Q21 | 1Q21 | ||||||||||||||||||
| In billions of dollars | Maturities | Issuances | Maturities | Issuances | Maturities | Issuances | ||||||||||||||
| Non-bank | ||||||||||||||||||||
| Benchmark debt: | ||||||||||||||||||||
| Senior debt | $ | 4.6 | $ | 13.8 | $ | 8.7 | $ | 4.0 | $ | 4.3 | $ | 2.5 | ||||||||
| Subordinated debt | — | — | — | — | — | — | ||||||||||||||
| Trust preferred | — | — | — | — | — | — | ||||||||||||||
| Customer-related debt | 7.5 | 14.5 | 7.2 | 11.2 | 8.6 | 12.2 | ||||||||||||||
| Local country and other | 0.3 | 0.9 | 0.3 | 0.3 | 1.4 | 0.5 | ||||||||||||||
| Total non-bank | $ | 12.4 | $ | 29.2 | $ | 16.2 | $ | 15.5 | $ | 14.3 | $ | 15.2 | ||||||||
| Bank | ||||||||||||||||||||
| FHLB borrowings | $ | 4.3 | $ | — | $ | 0.5 | $ | — | $ | — | $ | — | ||||||||
| Securitizations | — | — | 1.3 | — | 3.7 | — | ||||||||||||||
| Citibank benchmark senior debt | — | — | — | — | 4.3 | — | ||||||||||||||
| Local country and other | 0.4 | 0.5 | 0.5 | 1.2 | 0.1 | 0.3 | ||||||||||||||
| Total bank | $ | 4.7 | $ | 0.5 | $ | 2.3 | $ | 1.2 | $ | 8.1 | $ | 0.3 | ||||||||
| Total | $ | 17.1 | $ | 29.7 | $ | 18.5 | $ | 16.7 | $ | 22.4 | $ | 15.5 | ||||||||
The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2022, as well as its aggregate expected remaining long-term debt maturities by year as of March 31, 2022:
| 1Q22 | Maturities | ||||||||||||||||||||||||||||
| In billions of dollars | 2022 | 2023 | 2024 | 2025 | 2026 | 2027 | Thereafter | Total | |||||||||||||||||||||
| Non-bank | |||||||||||||||||||||||||||||
| Benchmark debt: | |||||||||||||||||||||||||||||
| Senior debt | $ | 4.6 | $ | 5.7 | $ | 10.4 | $ | 10.8 | $ | 10.3 | $ | 22.0 | $ | 7.3 | $ | 55.7 | $ | 122.2 | |||||||||||
| Subordinated debt | — | 0.8 | 1.3 | 1.0 | 5.0 | 2.4 | 3.8 | 10.3 | 24.7 | ||||||||||||||||||||
| Trust preferred | — | — | — | — | — | — | — | 1.6 | 1.6 | ||||||||||||||||||||
| Customer-related debt | 7.5 | 8.2 | 11.0 | 9.9 | 6.3 | 5.3 | 4.1 | 33.6 | 78.4 | ||||||||||||||||||||
| Local country and other | 0.3 | 1.7 | 2.7 | — | — | 0.7 | — | 2.7 | 7.8 | ||||||||||||||||||||
| Total non-bank | $ | 12.4 | $ | 16.4 | $ | 25.4 | $ | 21.7 | $ | 21.6 | $ | 30.4 | $ | 15.2 | $ | 103.9 | $ | 234.7 | |||||||||||
| Bank | |||||||||||||||||||||||||||||
| FHLB borrowings | $ | 4.3 | $ | 1.0 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1.0 | |||||||||||
| Securitizations | — | 2.0 | 3.4 | 1.3 | 0.3 | — | 0.8 | 1.7 | 9.5 | ||||||||||||||||||||
| Citibank benchmark senior debt | — | 0.9 | — | 2.6 | — | — | — | — | 3.5 | ||||||||||||||||||||
| Local country and other | 0.4 | 1.4 | 0.7 | 1.4 | 0.2 | 0.1 | — | 1.5 | 5.3 | ||||||||||||||||||||
| Total bank | $ | 4.7 | $ | 5.3 | $ | 4.1 | $ | 5.3 | $ | 0.5 | $ | 0.1 | $ | 0.8 | $ | 3.2 | $ | 19.3 | |||||||||||
| Total long-term debt | $ | 17.1 | $ | 21.7 | $ | 29.5 | $ | 27.0 | $ | 22.1 | $ | 30.5 | $ | 16.0 | $ | 107.1 | $ | 254.0 | |||||||||||
53
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 $204 billion as of March 31, 2022 decreased 7% from the prior-year period and increased 7% sequentially, driven by normal business activity. The average balance for secured funding was approximately $210 billion for the quarter ended March 31, 2022.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less liquid securities, including equity securities, corporate bonds and asset-backed securities, the tenor of which is generally equal to or longer than the tenor of the corresponding matched book assets.
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, 2022.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenor, haircut, collateral profile and client actions. In addition, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.
Short-Term Borrowings
Citi’s short-term borrowings of $30 billion decreased 6% year-over-year, reflecting a decline in FHLB advances, partially offset by commercial paper issuance. On a sequential basis, short-term borrowing increased 8%, driven primarily by commercial paper issuance (see Note 16 for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).
54
Credit Ratings
While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were A/A-1 at S&P Global Ratings and A+/F1 at Fitch as of March 31, 2022.
Ratings as of March 31, 2022
| Citigroup Inc. | Citibank, N.A. | |||||||||||||||||||
|
Senior
debt |
Commercial
paper |
Outlook |
Long-
term |
Short-
term |
Outlook | |||||||||||||||
| Fitch Ratings (Fitch) | A | F1 | Stable | A+ | F1 | Stable | ||||||||||||||
| Moody’s Investors Service (Moody’s) | A3 | P-2 | Stable | Aa3 | P-1 | Stable | ||||||||||||||
| S&P Global Ratings (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.
For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors—Liquidity Risks” and “Credit Ratings” in Citi’s 2021 Form 10-K.
Citigroup Inc. and Citibank—Potential Derivative Triggers
As of March 31, 2022, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $1.1 billion, compared to $0.8 billion as of December 31, 2021. 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, 2022, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity due to derivative triggers by approximately $0.6 billion, unchanged from December 31, 2021. 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, 2022, 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 $1.7 billion, compared to $1.4 billion as of December 31, 2021 (see also Note 19). As detailed under “High-Quality Liquid Assets (HQLA)” above, Citigroup has various liquidity resources available to its bank and non-bank entities in part as a contingency for the potential events described above.
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, 2022, Citibank had liquidity commitments of approximately $9.1 billion to consolidated asset-backed commercial paper conduits, compared to $9.0 billion as of December 31, 2021 (see Note 18 for additional information).
In addition to the above-referenced liquidity resources of certain Citibank entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients’ adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.
55
MARKET RISK
Market risk arises from both Citi’s trading and non-trading portfolios. For additional information on market risk and market risk management at Citi, see “Market Risk” and “Risk Factors” in Citi’s 2021 Form 10-K.
Market Risk of Non-Trading Portfolios
The following table sets forth the estimated impact to Citi’s net interest income (referred to as interest rate exposure or IRE),
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, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | ||||||||
| Estimated annualized impact to net interest income | |||||||||||
|
U.S. dollar
(1)
|
$ | 482 | $ | 563 | $ | 102 | |||||
| All other currencies | 705 | 612 | 636 | ||||||||
| Total | $ | 1,187 | $ | 1,175 | $ | 738 | |||||
| As a percentage of average interest-earning assets | 0.05 | % | 0.05 | % | 0.03 | % | |||||
|
Estimated initial negative impact to
AOCI
(after-tax)
(2)
|
$ | (3,439) | $ | (4,609) | $ | (5,395) | |||||
| Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) | (18) | (30) | (32) | ||||||||
(1)
Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the estimated impact to net interest income 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 $(127) million for a 100 bps instantaneous increase in interest rates as of March 31, 2022.
(2)
Includes the effect of changes in interest rates on
AOCI
related to investment securities, cash flow hedges and pension liability adjustments.
The estimated impact to Citi’s net interest income (IRE) was largely unchanged from the fourth quarter of 2021, with increased expected gains in non-USD currencies offset by decreased expected gains due to USD rate moves.
The decline in the estimated impact to
AOCI
primarily reflected a continuation of the positioning strategy of Citi’s investment securities and related interest rate derivatives portfolio.
In the event of a parallel instantaneous 100 bps increase in interest rates, as of March 31, 2022, Citi expects that the $3.4 billion initial 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 approximately 15 months.
Citi is planning to transition the sensitivity analysis for its net interest income, employing enhanced methodologies and changes to certain assumptions. The changes include, among other things, assumptions around the projected balance sheet (holding it static), coupled with revisions to the treatment of certain business contributions to IRE. These changes will be implemented and disclosed before the end of 2022 and will result in a better reflection of the nature of the portfolios.
The following table sets forth the estimated impact to Citi’s net interest income,
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.
56
| 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 income | |||||||||||||||||
| U.S. dollar | $ | 482 | $ | 604 | $ | 27 | $ | (36) | $ | (752) | |||||||
| All other currencies | 705 | 660 | 41 | (41) | (523) | ||||||||||||
| Total | $ | 1,187 | $ | 1,264 | $ | 68 | $ | (77) | $ | (1,275) | |||||||
|
Estimated initial impact to
AOCI
(after-tax)
(1)
|
$ | (3,439) | $ | (1,844) | $ | (1,213) | $ | 796 | $ | 3,041 | |||||||
| Estimated initial impact to Common Equity Tier 1 Capital ratio (bps) | (18) | (11) | (8) | 5 | 14 | ||||||||||||
Note: Each scenario assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated.
(1)
Includes the effect of changes in interest rates on
AOCI
related to investment securities, cash flow hedges and pension liability adjustments.
As shown in the table above, the magnitude of the impact to Citi’s net interest income 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.
Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of March 31, 2022, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.4 billion, or 0.9%, 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. See Note 17 for additional information on the changes in
AOCI
.
| For the quarter ended | |||||||||||
| In millions of dollars, except as otherwise noted | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | ||||||||
|
Change in FX spot rate
(1)
|
0.09 | % | (0.6) | % | (2.3) | % | |||||
| Change in TCE due to FX translation, net of hedges | $ | (40) | $ | (438) | $ | (1,030) | |||||
| As a percentage of TCE | — | % | (0.3) | % | (0.7) | % | |||||
|
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 | (1) | (1) | ||||||||
(1) FX spot rate change is a weighted average based on Citi’s quarterly average GAAP capital exposure to foreign countries.
57
Interest Revenue/Expense and Net Interest Margin (NIM)
| 1st Qtr. | 4th Qtr. | 1st Qtr. | Change | |||||||||||||||||||||||
| In millions of dollars, except as otherwise noted | 2022 | 2021 | 2021 | 1Q22 vs. 1Q21 | ||||||||||||||||||||||
|
Interest revenue
(1)
|
$ | 13,193 | $ | 12,870 | $ | 12,587 | 5 | % | ||||||||||||||||||
|
Interest expense
(2)
|
2,280 | 2,009 | 2,028 | 12 | ||||||||||||||||||||||
|
Net interest income, taxable equivalent basis
(1)
|
$ | 10,913 | $ | 10,861 | $ | 10,559 | 3 | % | ||||||||||||||||||
|
Interest revenue—average rate
(3)
|
2.47 | % | 2.35 | % | 2.41 | % | 6 | bps | ||||||||||||||||||
| Interest expense—average rate | 0.54 | 0.46 | 0.48 | 6 | bps | |||||||||||||||||||||
|
Net interest margin
(3)(4)
|
2.05 | 1.98 | 2.02 | 3 | bps | |||||||||||||||||||||
| Interest-rate benchmarks | ||||||||||||||||||||||||||
| Two-year U.S. Treasury note—average rate | 1.46 | % | 0.53 | % | 0.13 | % | 133 | bps | ||||||||||||||||||
| 10-year U.S. Treasury note—average rate | 1.95 | 1.53 | 1.34 | 61 | bps | |||||||||||||||||||||
| 10-year vs. two-year spread | 49 | bps | 100 | bps | 121 | bps | ||||||||||||||||||||
(1)
Interest revenue
and
Net interest income
include the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged loan programs (based on the U.S. federal statutory tax rate of 21%) of $42 million, $42 million and $53 million for the three months ended March 31, 2022, December 31, 2021 and March 31, 2021, 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 income by average interest-earning assets.
58
Non-
ICG
Markets Net Interest Income
| 1st Qtr. | 4th Qtr. | 1st Qtr. | Change | |||||||||||
|
In millions of dollars
|
2022 | 2021 | 2021 | 1Q22 vs. 1Q21 | ||||||||||
|
Net interest income (NII)—taxable equivalent basis
(1)
per above
|
$ | 10,913 | $ | 10,861 | $ | 10,559 | 3 | % | ||||||
|
ICG
Markets NII—taxable equivalent basis
(1)
|
1,111 | 1,250 | 1,311 | (15) | ||||||||||
|
Non-
ICG
Markets NII—taxable equivalent basis
(1)
|
$ | 9,802 | $ | 9,611 | $ | 9,248 | 6 | % | ||||||
(1)
Interest revenue
and
Net interest income
include the taxable equivalent adjustments discussed in the table above.
Citi’s NII in the first quarter of 2022 increased 3% to $10.9 billion versus the prior-year period. As set forth in the table above, Citi’s NII on a taxable equivalent basis also increased 3% year-over-year, or $354 million, driven by higher NII in non-
ICG
Markets, partially offset by lower NII in
ICG
Markets (Fixed income and Equity markets). The increase in non-
ICG
Markets NII primarily reflected higher interest income from cards, higher deposit volumes and spreads as well as income from Citi’s investment portfolio. The decrease in
ICG
Markets NII largely reflected a change in the mix of trading positions in support of client activity.
Citi’s NIM was 2.05% on a taxable equivalent basis in the first quarter of 2022, an increase of 7 basis points from the prior quarter, as higher interest income from loans and lower average deposits in Services were partially offset by balance sheet growth and the lower NII in
ICG
Markets.
59
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 | 2022 | 2021 | 2021 | 2022 | 2021 | 2021 | 2022 | 2021 | 2021 | ||||||||||||||||||||
|
Deposits with banks
(4)
|
$ | 260,536 | $ | 295,330 | $ | 307,340 | $ | 296 | $ | 159 | $ | 145 | 0.46 | % | 0.21 | % | 0.19 | % | |||||||||||
|
Securities borrowed and purchased under agreements to resell
(5)
|
|||||||||||||||||||||||||||||
| In U.S. offices | $ | 177,996 | $ | 178,582 | $ | 163,790 | $ | 109 | $ | 113 | $ | 117 | 0.25 | % | 0.25 | % | 0.29 | % | |||||||||||
|
In offices outside the U.S.
(4)
|
165,640 | 162,674 | 142,591 | 285 | 176 | 177 | 0.70 | 0.43 | 0.50 | ||||||||||||||||||||
| Total | $ | 343,636 | $ | 341,256 | $ | 306,381 | $ | 394 | $ | 289 | $ | 294 | 0.46 | % | 0.34 | % | 0.39 | % | |||||||||||
|
Trading account assets
(6)(7)
|
|||||||||||||||||||||||||||||
| In U.S. offices | $ | 136,857 | $ | 129,944 | $ | 154,798 | $ | 592 | $ | 657 | $ | 752 | 1.75 | % | 2.01 | % | 1.97 | % | |||||||||||
|
In offices outside the U.S.
(4)
|
133,603 | 139,205 | 153,019 | 556 | 619 | 586 | 1.69 | 1.76 | 1.55 | ||||||||||||||||||||
| Total | $ | 270,460 | $ | 269,149 | $ | 307,817 | $ | 1,148 | $ | 1,276 | $ | 1,338 | 1.72 | % | 1.88 | % | 1.76 | % | |||||||||||
| Investments | |||||||||||||||||||||||||||||
| In U.S. offices | |||||||||||||||||||||||||||||
| Taxable | $ | 353,906 | $ | 343,423 | $ | 295,570 | $ | 1,021 | $ | 939 | $ | 806 | 1.17 | % | 1.08 | % | 1.11 | % | |||||||||||
| Exempt from U.S. income tax | 11,612 | 11,697 | 12,902 | 95 | 106 | 118 | 3.32 | 3.60 | 3.71 | ||||||||||||||||||||
|
In offices outside the U.S.
(4)
|
153,302 | 157,061 | 149,477 | 951 | 906 | 856 | 2.52 | 2.29 | 2.32 | ||||||||||||||||||||
| Total | $ | 518,820 | $ | 512,181 | $ | 457,949 | $ | 2,067 | $ | 1,951 | $ | 1,780 | 1.62 | % | 1.51 | % | 1.58 | % | |||||||||||
|
Consumer loans
(8)
|
|||||||||||||||||||||||||||||
| In U.S. offices | $ | 257,257 | $ | 256,639 | $ | 251,520 | $ | 5,045 | $ | 5,070 | $ | 4,991 | 7.95 | % | 7.84 | % | 8.05 | % | |||||||||||
|
In offices outside the U.S.
(4)
|
94,973 | 114,842 | 126,565 | 1,217 | 1,548 | 1,711 | 5.20 | 5.35 | 5.48 | ||||||||||||||||||||
| Total | $ | 352,230 | $ | 371,481 | $ | 378,085 | $ | 6,262 | $ | 6,618 | $ | 6,702 | 7.21 | % | 7.07 | % | 7.19 | % | |||||||||||
|
Corporate loans
(8)
|
|||||||||||||||||||||||||||||
| In U.S. offices | $ | 136,876 | $ | 136,849 | $ | 128,436 | $ | 1,112 | $ | 1,076 | $ | 1,051 | 3.29 | % | 3.12 | % | 3.32 | % | |||||||||||
|
In offices outside the U.S.
(4)
|
159,470 | 159,078 | 159,449 | 1,365 | 1,252 | 1,180 | 3.47 | 3.12 | 3.00 | ||||||||||||||||||||
| Total | $ | 296,346 | $ | 295,927 | $ | 287,885 | $ | 2,477 | $ | 2,328 | $ | 2,231 | 3.39 | % | 3.12 | % | 3.14 | % | |||||||||||
|
Total loans
(8)
|
|||||||||||||||||||||||||||||
| In U.S. offices | $ | 394,133 | $ | 393,488 | $ | 379,956 | $ | 6,157 | $ | 6,146 | $ | 6,042 | 6.34 | % | 6.20 | % | 6.45 | % | |||||||||||
|
In offices outside the U.S.
(4)
|
254,443 | 273,920 | 286,014 | 2,582 | 2,800 | 2,891 | 4.12 | 4.06 | 4.10 | ||||||||||||||||||||
| Total | $ | 648,576 | $ | 667,408 | $ | 665,970 | $ | 8,739 | $ | 8,946 | $ | 8,933 | 5.46 | % | 5.32 | % | 5.44 | % | |||||||||||
|
Other interest-earning assets
(9)
|
$ | 119,815 | $ | 86,527 | $ | 76,091 | $ | 549 | $ | 249 | $ | 97 | 1.86 | % | 1.14 | % | 0.52 | % | |||||||||||
| Total interest-earning assets | $ | 2,161,843 | $ | 2,171,851 | $ | 2,121,548 | $ | 13,193 | $ | 12,870 | $ | 12,587 | 2.47 | % | 2.35 | % | 2.41 | % | |||||||||||
|
Non-interest-earning assets
(6)
|
$ | 212,197 | $ | 214,358 | $ | 195,245 | |||||||||||||||||||||||
| Total assets | $ | 2,374,040 | $ | 2,386,209 | $ | 2,316,793 | |||||||||||||||||||||||
(1)
Interest revenue
and
Net interest income
include the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged loan programs (based on the U.S. federal statutory tax rate of 21%) of $42 million, $42 million and $53 million for the three months ended March 31, 2022, December 31, 2021 and March 31, 2021, respectively.
(2)
Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.
(3)
Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However,
Interest revenue
excludes the impact of ASC 210-20-45.
(6)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in
Non-interest-earning assets
and
Other non-interest-bearing liabilities
.
(7)
Interest expense
on
Trading account liabilities
of
ICG
is reported as a reduction of
Interest revenue
.
Interest revenue
and
Interest expense
on cash collateral positions are reported in interest on
Trading account assets
and
Trading account liabilities
, respectively.
(8)
Net of unearned income. Includes cash-basis loans.
(9)
Includes assets from businesses held-for-sale (See Note 2) and
Brokerage receivables
.
60
Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Income
(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 | 2022 | 2021 | 2021 | 2022 | 2021 | 2021 | 2022 | 2021 | 2021 | ||||||||||||||||||||
| Deposits | |||||||||||||||||||||||||||||
|
In U.S. offices
(4)
|
$ | 560,018 | $ | 568,931 | $ | 505,694 | $ | 237 | $ | 260 | $ | 282 | 0.17 | % | 0.18 | % | 0.23 | % | |||||||||||
|
In offices outside the U.S.
(5)
|
520,087 | 543,013 | 568,133 | 634 | 518 | 430 | 0.49 | 0.38 | 0.31 | ||||||||||||||||||||
| Total | $ | 1,080,105 | $ | 1,111,944 | $ | 1,073,827 | $ | 871 | $ | 778 | $ | 712 | 0.33 | % | 0.28 | % | 0.27 | % | |||||||||||
|
Securities loaned and sold under agreements to repurchase
(6)
|
|||||||||||||||||||||||||||||
| In U.S. offices | $ | 117,793 | $ | 127,362 | $ | 146,942 | $ | 161 | $ | 140 | $ | 171 | 0.55 | % | 0.44 | % | 0.47 | % | |||||||||||
|
In offices outside the U.S.
(5)
|
92,308 | 94,586 | 88,321 | 121 | 72 | 82 | 0.53 | 0.30 | 0.38 | ||||||||||||||||||||
| Total | $ | 210,101 | $ | 221,948 | $ | 235,263 | $ | 282 | $ | 212 | $ | 253 | 0.54 | % | 0.38 | % | 0.44 | % | |||||||||||
|
Trading account liabilities
(7)(8)
|
|||||||||||||||||||||||||||||
| In U.S. offices | $ | 48,593 | $ | 47,518 | $ | 51,797 | $ | 36 | $ | 29 | $ | 22 | 0.30 | % | 0.24 | % | 0.17 | % | |||||||||||
|
In offices outside the U.S.
(5)
|
65,720 | 66,715 | 65,567 | 111 | 83 | 92 | 0.68 | 0.49 | 0.57 | ||||||||||||||||||||
| Total | $ | 114,313 | $ | 114,233 | $ | 117,364 | $ | 147 | $ | 112 | $ | 114 | 0.52 | % | 0.39 | % | 0.39 | % | |||||||||||
|
Short-term borrowings and other interest-bearing liabilities
(9)
|
|||||||||||||||||||||||||||||
| In U.S. offices | $ | 78,662 | $ | 70,792 | $ | 72,414 | $ | 13 | $ | 9 | $ | — | 0.07 | % | 0.05 | % | — | % | |||||||||||
|
In offices outside the U.S.
(5)
|
60,199 | 32,731 | 20,930 | 42 | 42 | 31 | 0.28 | 0.51 | 0.60 | ||||||||||||||||||||
| Total | $ | 138,861 | $ | 103,523 | $ | 93,344 | $ | 55 | $ | 51 | $ | 31 | 0.16 | % | 0.20 | % | 0.13 | % | |||||||||||
|
Long-term debt
(10)
|
|||||||||||||||||||||||||||||
| In U.S. offices | $ | 166,974 | $ | 171,865 | $ | 201,491 | $ | 889 | $ | 825 | $ | 905 | 2.16 | % | 1.90 | % | 1.82 | % | |||||||||||
|
In offices outside the U.S.
(5)
|
3,953 | 3,939 | 4,773 | 36 | 31 | 13 | 3.69 | 3.12 | 1.10 | ||||||||||||||||||||
| Total | $ | 170,927 | $ | 175,804 | $ | 206,264 | $ | 925 | $ | 856 | $ | 918 | 2.19 | % | 1.93 | % | 1.80 | % | |||||||||||
| Total interest-bearing liabilities | $ | 1,714,307 | $ | 1,727,452 | $ | 1,726,062 | $ | 2,280 | $ | 2,009 | $ | 2,028 | 0.54 | % | 0.46 | % | 0.48 | % | |||||||||||
| Demand deposits in U.S. offices | $ | 129,349 | $ | 135,629 | $ | 56,632 | |||||||||||||||||||||||
|
Other non-interest-bearing liabilities
(7)
|
329,572 | 321,245 | 333,113 | ||||||||||||||||||||||||||
| Total liabilities | $ | 2,173,228 | $ | 2,184,326 | $ | 2,115,807 | |||||||||||||||||||||||
| Citigroup stockholders’ equity | $ | 200,164 | $ | 201,164 | $ | 200,301 | |||||||||||||||||||||||
| Noncontrolling interests | 648 | 719 | 685 | ||||||||||||||||||||||||||
| Total equity | $ | 200,812 | $ | 201,883 | $ | 200,986 | |||||||||||||||||||||||
| Total liabilities and stockholders’ equity | $ | 2,374,040 | $ | 2,386,209 | $ | 2,316,793 | |||||||||||||||||||||||
|
Net interest income as a percentage of average interest-earning assets
(11)
|
|||||||||||||||||||||||||||||
| In U.S. offices | $ | 1,247,057 | $ | 1,263,333 | $ | 1,231,795 | $ | 6,858 | $ | 6,865 | $ | 6,583 | 2.23 | % | 2.16 | % | 2.17 | % | |||||||||||
|
In offices outside the U.S.
(6)
|
914,786 | 908,518 | 889,753 | 4,055 | 3,996 | 3,976 | 1.80 | 1.75 | 1.81 | ||||||||||||||||||||
| Total | $ | 2,161,843 | $ | 2,171,851 | $ | 2,121,548 | $ | 10,913 | $ | 10,861 | $ | 10,559 | 2.05 | % | 1.98 | % | 2.02 | % | |||||||||||
(1)
Interest revenue
and
Net interest income
include the taxable equivalent adjustments discussed in the table above.
(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.
(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
.
61
(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)
| 1Q22 vs. 4Q21 | 1Q22 vs. 1Q21 | |||||||||||||||||||
|
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)
|
$ | (21) | $ | 158 | $ | 137 | $ | (25) | $ | 176 | $ | 151 | ||||||||
| Securities borrowed and purchased under agreements to resell | ||||||||||||||||||||
| In U.S. offices | $ | — | $ | (4) | $ | (4) | $ | 9 | $ | (17) | $ | (8) | ||||||||
|
In offices outside the U.S.
(3)
|
3 | 106 | 109 | 32 | 76 | 108 | ||||||||||||||
| Total | $ | 3 | $ | 102 | $ | 105 | $ | 41 | $ | 59 | $ | 100 | ||||||||
|
Trading account assets
(4)
|
||||||||||||||||||||
| In U.S. offices | $ | 33 | $ | (98) | $ | (65) | $ | (82) | $ | (78) | $ | (160) | ||||||||
|
In offices outside the U.S.
(3)
|
(24) | (39) | (63) | (78) | 48 | (30) | ||||||||||||||
| Total | $ | 9 | $ | (137) | $ | (128) | $ | (160) | $ | (30) | $ | (190) | ||||||||
|
Investments
(1)
|
||||||||||||||||||||
| In U.S. offices | $ | 31 | $ | 40 | $ | 71 | $ | 174 | $ | 18 | $ | 192 | ||||||||
|
In offices outside the U.S.
(3)
|
(22) | 67 | 45 | 22 | 73 | 95 | ||||||||||||||
| Total | $ | 9 | $ | 107 | $ | 116 | $ | 196 | $ | 91 | $ | 287 | ||||||||
|
Consumer loans (net of unearned income)
(5)
|
||||||||||||||||||||
| In U.S. offices | $ | 13 | $ | (38) | $ | (25) | $ | 113 | $ | (59) | $ | 54 | ||||||||
|
In offices outside the U.S.
(3)
|
(258) | (73) | (331) | (409) | (85) | (494) | ||||||||||||||
| Total | $ | (245) | $ | (111) | $ | (356) | $ | (296) | $ | (144) | $ | (440) | ||||||||
|
Corporate loans (net of unearned income)
(5)
|
||||||||||||||||||||
| In U.S. offices | $ | — | $ | 36 | $ | 36 | $ | 69 | $ | (8) | $ | 61 | ||||||||
|
In offices outside the U.S.
(3)
|
3 | 110 | 113 | — | 185 | 185 | ||||||||||||||
| Total | $ | 3 | $ | 146 | $ | 149 | $ | 69 | $ | 177 | $ | 246 | ||||||||
|
Loans (net of unearned income)
(5)
|
||||||||||||||||||||
| In U.S. offices | $ | 13 | $ | (2) | $ | 11 | $ | 182 | $ | (67) | $ | 115 | ||||||||
|
In offices outside the U.S.
(3)
|
(255) | 37 | (218) | (409) | 100 | (309) | ||||||||||||||
| Total | $ | (242) | $ | 35 | $ | (207) | $ | (227) | $ | 33 | $ | (194) | ||||||||
|
Other interest-earning assets
(6)
|
$ | 118 | $ | 182 | $ | 300 | $ | 82 | $ | 370 | $ | 452 | ||||||||
| Total interest revenue | $ | (124) | $ | 447 | $ | 323 | $ | (93) | $ | 699 | $ | 606 | ||||||||
(1)
Interest revenue
and
Net interest income
include the taxable equivalent adjustments discussed in the table above.
(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
.
62
Analysis of Changes in Interest Expense and Net Interest Income
(1)(2)(3)
| 1Q22 vs. 4Q21 | 1Q22 vs. 1Q21 | |||||||||||||||||||
|
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 | $ | (4) | $ | (19) | $ | (23) | $ | 28 | $ | (73) | $ | (45) | ||||||||
|
In offices outside the U.S.
(3)
|
(23) | 139 | 116 | (39) | 243 | 204 | ||||||||||||||
| Total | $ | (27) | $ | 120 | $ | 93 | $ | (11) | $ | 170 | $ | 159 | ||||||||
| Securities loaned and sold under agreements to repurchase | ||||||||||||||||||||
| In U.S. offices | $ | (11) | $ | 32 | $ | 21 | $ | (37) | $ | 27 | $ | (10) | ||||||||
|
In offices outside the U.S.
(3)
|
(2) | 51 | 49 | 4 | 35 | 39 | ||||||||||||||
| Total | $ | (13) | $ | 83 | $ | 70 | $ | (33) | $ | 62 | $ | 29 | ||||||||
|
Trading account liabilities
(4)
|
||||||||||||||||||||
| In U.S. offices | $ | — | $ | 7 | $ | 7 | $ | (1) | $ | 15 | $ | 14 | ||||||||
|
In offices outside the U.S.
(3)
|
(1) | 29 | 28 | — | 19 | 19 | ||||||||||||||
| Total | $ | (1) | $ | 36 | $ | 35 | $ | (1) | $ | 34 | $ | 33 | ||||||||
|
Short-term borrowings and other interest-bearing liabilities
(5)
|
||||||||||||||||||||
| In U.S. offices | $ | 1 | $ | 3 | $ | 4 | $ | — | $ | 13 | $ | 13 | ||||||||
|
In offices outside the U.S.
(3)
|
25 | (25) | — | 34 | (23) | 11 | ||||||||||||||
| Total | $ | 26 | $ | (22) | $ | 4 | $ | 34 | $ | (10) | $ | 24 | ||||||||
| Long-term debt | ||||||||||||||||||||
| In U.S. offices | $ | (24) | $ | 88 | $ | 64 | $ | (168) | $ | 152 | $ | (16) | ||||||||
|
In offices outside the U.S.
(3)
|
— | 5 | 5 | (3) | 26 | 23 | ||||||||||||||
| Total | $ | (24) | $ | 93 | $ | 69 | $ | (171) | $ | 178 | $ | 7 | ||||||||
| Total interest expense | $ | (39) | $ | 310 | $ | 271 | $ | (182) | $ | 434 | $ | 252 | ||||||||
| Net interest income | $ | (31) | $ | 83 | $ | 52 | $ | 218 | $ | 136 | $ | 354 | ||||||||
(1)
Interest revenue
and
Net interest income
include the taxable equivalent adjustments discussed in the table above.
(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
Brokerage payables
.
63
Market Risk of Trading Portfolios
Value at Risk (VAR)
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. As of March 31, 2022, Citi estimates that the conservative features of the VAR calibration contribute an approximate 41% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets. As of December 31, 2021, the add-on was 33%.
As set forth in the table below, Citi’s average trading VAR for the first quarter of 2022 increased quarter-over-quarter, mainly due to higher volatilities in
ICG
Markets
businesses. Citi’s average trading and credit portfolio VAR for the first quarter of 2022 increased quarter-over-quarter due to additional hedging and higher volatilities.
Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
| First Quarter | Fourth Quarter | First Quarter | ||||||||||||||||||
| In millions of dollars | March 31, 2022 | 2022 Average | Dec. 31, 2021 | 2021 Average | March 31, 2021 | 2021 Average | ||||||||||||||
| Interest rate | $ | 84 | $ | 57 | $ | 50 | $ | 56 | $ | 68 | $ | 66 | ||||||||
| Credit spread | 70 | 66 | 59 | 65 | 67 | 72 | ||||||||||||||
|
Covariance adjustment
(1)
|
(51) | (32) | (35) | (38) | (43) | (43) | ||||||||||||||
|
Fully diversified interest rate and credit spread
(2)
|
$ | 103 | $ | 91 | $ | 74 | $ | 83 | $ | 92 | $ | 95 | ||||||||
| Foreign exchange | 35 | 36 | 36 | 39 | 45 | 45 | ||||||||||||||
| Equity | 29 | 30 | 29 | 33 | 37 | 30 | ||||||||||||||
| Commodity | 65 | 42 | 28 | 36 | 30 | 29 | ||||||||||||||
|
Covariance adjustment
(1)
|
(116) | (100) | (88) | (98) | (105) | (97) | ||||||||||||||
|
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)
(2)
|
$ | 116 | $ | 99 | $ | 79 | $ | 93 | $ | 99 | $ | 102 | ||||||||
|
Specific risk-only component
(3)
|
$ | — | $ | 6 | $ | 3 | $ | — | $ | (2) | $ | 5 | ||||||||
| Total trading VAR—general market risk factors only (excluding credit portfolios) | $ | 116 | $ | 93 | $ | 76 | $ | 93 | $ | 101 | $ | 97 | ||||||||
|
Incremental impact of the credit portfolio
(4)
|
$ | 29 | $ | 38 | $ | 45 | $ | 35 | $ | 28 | $ | 21 | ||||||||
| Total trading and credit portfolio VAR | $ | 145 | $ | 137 | $ | 124 | $ | 128 | $ | 127 | $ | 123 | ||||||||
(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 | ||||||||||||||||||
| 2022 | 2021 | 2021 | ||||||||||||||||||
| In millions of dollars | Low | High | Low | High | Low | High | ||||||||||||||
| Interest rate | $ | 45 | $ | 102 | $ | 47 | $ | 65 | $ | 51 | $ | 84 | ||||||||
| Credit spread | 59 | 71 | 54 | 75 | 63 | 82 | ||||||||||||||
| Fully diversified interest rate and credit spread | $ | 72 | $ | 125 | $ | 74 | $ | 93 | $ | 86 | $ | 106 | ||||||||
| Foreign exchange | 33 | 61 | 33 | 46 | 41 | 49 | ||||||||||||||
| Equity | 12 | 44 | 25 | 47 | 21 | 37 | ||||||||||||||
| Commodity | 29 | 65 | 27 | 53 | 17 | 42 | ||||||||||||||
| Total trading | $ | 78 | $ | 127 | $ | 79 | $ | 106 | $ | 89 | $ | 120 | ||||||||
| Total trading and credit portfolio | 110 | 159 | 115 | 144 | 108 | 139 | ||||||||||||||
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.
64
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, 2022 | ||||
|
Total—all market risk factors, including
general and specific risk |
|||||
| Average—during quarter | $ | 100 | |||
| High—during quarter | 133 | ||||
| Low—during quarter | 81 | ||||
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, 2022, there was one back-testing exception observed for Citi’s Regulatory VAR for the prior 12 months.
OTHER RISKS
For additional information regarding other risks, including Citi’s management of other risks, see “Managing Global Risk—Other Risks” in Citi’s 2021 Form 10-K.
LIBOR Transition Risk
In March 2022, U.S. federal legislation was signed into law that provides for the use of a statutory replacement for the overnight, one-month, three-month, six-month and 12-month tenors of USD LIBOR in all contracts governed by U.S. law. The Federal Reserve Board is required to select a Secured Overnight Funding Rate (SOFR)-based replacement for USD LIBOR and issue rules to implement the legislation no later than 180 days after its enactment. Citi continues to review the effect of this legislation, which is expected to facilitate the transition to replacement rates for Citi’s USD LIBOR-linked securities, loans and contracts without fallbacks or fallbacks based on USD LIBOR that have not yet been remediated.
For additional information about Citi’s actions to address a transition away from and discontinuance of LIBOR, see “Managing Global Risk—Other Risks—LIBOR Transition Risk” in Citi’s 2021 Form 10-K. For information about Citi’s LIBOR transition risks, see “Risk Factors—Other Risks” in the 2021 Form 10-K.
65
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, 2022. (Including the U.S., the total exposure as of March 31, 2022 to the top 25 countries would represent approximately 97% 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 34% of corporate loans presented in the table below are to U.K. domiciled entities (37% for unfunded commitments), with the balance of the loans predominately to European domiciled counterparties. Approximately 85% of the total U.K. funded loans and 84% of the total U.K. unfunded commitments were investment grade as of March 31, 2022.
Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.
| In billions of dollars |
ICG
loans |
PBWM loans
(1)
|
Legacy Franchises |
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 1Q22 |
Total
as of 4Q21 |
Total
as of 1Q21 |
Total
as a % of Citi as of 1Q22 |
||||||||||||||||||||||||||||
| United Kingdom | $ | 37.8 | $ | 5.8 | $ | — | $ | 1.4 | $ | 44.3 | $ | 13.2 | $ | (5.4) | $ | 4.4 | $ | 0.6 | $ | 102.1 | $ | 95.9 | $ | 115.3 | 5.7 | % | |||||||||||||||
| Mexico | 8.2 | 0.1 | 20.7 | 0.3 | 7.7 | 2.5 | (1.0) | 19.0 | 2.8 | 60.3 | 59.6 | 62.2 | 3.4 | ||||||||||||||||||||||||||||
| Hong Kong | 13.3 | 21.6 | — | 0.3 | 6.6 | 1.3 | (1.7) | 9.5 | 0.9 | 51.8 | 50.4 | 47.8 | 2.9 | ||||||||||||||||||||||||||||
| Ireland | 17.3 | — | — | 1.1 | 29.4 | 0.7 | (0.2) | — | 0.6 | 48.9 | 44.5 | 44.1 | 2.7 | ||||||||||||||||||||||||||||
| Singapore | 10.7 | 20.2 | — | 0.1 | 7.0 | 1.7 | (0.6) | 7.8 | 1.7 | 48.6 | 45.7 | 41.5 | 2.7 | ||||||||||||||||||||||||||||
| South Korea | 3.8 | — | 13.8 | 0.1 | 2.2 | 2.0 | (0.8) | 9.7 | 0.5 | 31.3 | 32.0 | 35.0 | 1.8 | ||||||||||||||||||||||||||||
| Brazil | 12.6 | — | — | 0.1 | 3.3 | 6.7 | (0.7) | 5.6 | 2.8 | 30.4 | 27.3 | 23.7 | 1.7 | ||||||||||||||||||||||||||||
|
India
(7)
|
7.3 | — | — | 0.5 | 5.3 | 4.6 | (0.7) | 8.9 | 0.5 | 26.4 | 29.8 | 29.6 | 1.5 | ||||||||||||||||||||||||||||
| China | 8.0 | — | 3.5 | 0.7 | 1.7 | 3.3 | (0.9) | 6.5 | (0.1) | 22.7 | 23.4 | 21.1 | 1.3 | ||||||||||||||||||||||||||||
| Germany | 0.4 | — | — | 0.1 | 5.8 | 5.4 | (3.6) | 8.9 | 3.4 | 20.4 | 19.4 | 25.8 | 1.1 | ||||||||||||||||||||||||||||
| Japan | 2.2 | — | — | — | 3.2 | 4.7 | (1.9) | 4.8 | 4.3 | 17.3 | 15.9 | 18.9 | 1.0 | ||||||||||||||||||||||||||||
|
Australia
(8)
|
5.7 | 0.5 | — | (0.1) | 8.7 | 1.8 | (0.8) | 1.3 | 0.1 | 17.2 | 16.4 | 23.1 | 1.0 | ||||||||||||||||||||||||||||
| Jersey | 3.1 | 3.9 | — | — | 9.2 | 0.1 | (0.2) | — | — | 16.1 | 17.7 | 14.0 | 0.9 | ||||||||||||||||||||||||||||
| Canada | 1.4 | 1.5 | — | 0.1 | 6.6 | 1.9 | (1.8) | 3.7 | 2.5 | 15.9 | 14.7 | 16.1 | 0.9 | ||||||||||||||||||||||||||||
| United Arab Emirates | 7.5 | 1.5 | — | 0.1 | 4.4 | 0.4 | (0.5) | 2.0 | 0.1 | 15.5 | 14.9 | 13.5 | 0.9 | ||||||||||||||||||||||||||||
| Poland | 3.5 | — | 1.7 | — | 2.5 | 0.4 | (0.2) | 5.4 | 0.9 | 14.2 | 13.1 | 11.4 | 0.8 | ||||||||||||||||||||||||||||
|
Taiwan
(7)
|
5.0 | — | — | 0.1 | 1.3 | 0.7 | (0.1) | 0.2 | 0.7 | 7.9 | 15.3 | 17.0 | 0.4 | ||||||||||||||||||||||||||||
|
Thailand
(7)
|
1.2 | — | — | — | 2.1 | — | — | 1.8 | 0.1 | 5.2 | 7.9 | 7.4 | 0.3 | ||||||||||||||||||||||||||||
|
Indonesia
(7)
|
2.3 | — | — | — | 1.3 | 0.5 | (0.1) | 1.3 | (0.1) | 5.2 | 5.5 | 6.1 | 0.3 | ||||||||||||||||||||||||||||
|
Malaysia
(7)
|
1.5 | — | — | 0.2 | 0.9 | 0.3 | (0.1) | 1.9 | — | 4.7 | 7.8 | 8.4 | 0.3 | ||||||||||||||||||||||||||||
| Luxembourg | 0.2 | 0.9 | — | — | — | 0.1 | (0.6) | 3.7 | 0.2 | 4.5 | 4.0 | 5.5 | 0.3 | ||||||||||||||||||||||||||||
| Russia | 1.7 | — | 0.6 | — | 0.5 | 0.4 | (0.2) | 0.9 | — | 3.9 | 5.4 | 5.1 | 0.2 | ||||||||||||||||||||||||||||
| South Africa | 1.5 | — | — | — | 0.6 | 0.1 | (0.1) | 1.8 | (0.1) | 3.8 | 3.8 | 3.6 | 0.2 | ||||||||||||||||||||||||||||
| Czech Republic | 0.7 | — | — | — | 0.9 | 1.5 | (0.1) | 0.3 | 0.1 | 3.4 | 3.5 | 4.5 | 0.2 | ||||||||||||||||||||||||||||
|
Philippines
(9)
|
0.8 | — | — | 0.1 | 0.5 | 0.7 | — | 1.2 | (0.3) | 3.0 | 2.3 | 4.1 | 0.2 | ||||||||||||||||||||||||||||
| Total as a % of Citi’s total exposure | 32.7 | % | |||||||||||||||||||||||||||||||||||||||
| Total as a % of Citi’s non-U.S. total exposure | 91.6 | % | |||||||||||||||||||||||||||||||||||||||
(1)
PBWM
loans reflect funded corporate loans and Private bank loans, net of unearned income. As of March 31, 2022, Private bank loans in the table above totaled $24.8 billion, concentrated in Hong Kong ($6.5 billion), Singapore ($6.4 billion) and the U.K. ($5.7 billion).
(2) Other funded includes
Legacy Franchises
and other direct exposures such as accounts receivable, loans HFS 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.
66
(5) Investment securities include debt securities available-for-sale, recorded at fair market value, and debt securities held-to-maturity, recorded at amortized 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.
(7) March 31, 2022 excludes
Legacy Franchises
loans reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in this country. For additional information, see “Asia Consumer” above and Note 2.
(8) March 31, 2022 and December 31, 2021 exclude
Legacy Franchises
loans reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in Australia. For additional information, see “Asia Consumer” above and Note 2.
(9) March 31, 2022 and December 31, 2021 exclude
Legacy Franchises
loans reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in the Philippines. For additional information, see “Asia Consumer” above and Note 2.
Russia
Introduction
In Russia, Citi operates through both its
ICG
and
Legacy Franchises
segments. In March 2022, Citi announced it had expanded the scope of the previously announced divestiture to include other lines of business beyond its consumer activities. Citi will continue to reduce its operations and exposures in Russia. Citi has ceased soliciting any new business or new clients in Russia. Due to the nature of banking and financial services operations, escalation of the war in Ukraine, the financial and economic sanctions that have been implemented by the U.S., the U.K., the EU and other jurisdictions, the divestiture and other reduction of activities will take time to complete. Citi will continue to manage its existing regulatory commitments and obligations to depositors, as well as support its employees during this period.
Citi continues to monitor the war, sanctions and economic conditions and intends to mitigate its exposures and risks as appropriate. For additional information about Citi’s risks related to its Russia exposures, see “Forward-Looking Statements” below and “Risk Factors—Market-Related Risk,” “—Operational Risks” and “—Other Risks” in Citi’s 2021 Form 10-K.
Impact of Russia’s Invasion of Ukraine on Citi’s Businesses
Russia-related Balance Sheet Exposures
Citi’s domestic operations in Russia are conducted through a subsidiary of Citibank, AO Citibank, which uses the Russian ruble as its functional currency.
The following table summarizes Citi’s exposures related to its Russia operations:
|
In billions of dollars
|
March 31,
2022 |
December 31, 2021 |
Change 1Q22 vs. 4Q21
|
||||||||
|
Loans
|
$ | 2.3 | $ | 2.9 | $ | (0.6) | |||||
|
Investment securities
(1)
|
0.9 | 1.5 | (0.6) | ||||||||
|
Net MTM on derivatives/repos
(2)
|
0.4 | 0.4 | — | ||||||||
|
Total hedges (on loans and CVA)
|
(0.2) | (0.1) | (0.1) | ||||||||
|
Unfunded
(3)
|
0.5 | 0.7 | (0.2) | ||||||||
|
Country risk exposure
(included in Top 25 Country Exposures)
|
$ | 3.9 | $ | 5.4 | $ | (1.5) | |||||
|
Cash on deposit and placements
(4)
|
2.6 | 1.0 | 1.6 | ||||||||
|
Reverse repurchase agreements
|
0.6 | 1.8 | (1.2) | ||||||||
|
Total third-party exposure
(5)
|
$ | 7.1 | $ | 8.2 | $ | (1.1) | |||||
|
Additional exposures to Russian counterparties that are not held on the Russian subsidiary
|
0.8 | 1.6 | (0.8) | ||||||||
|
Total Russia exposure
|
$ | 7.9 | $ | 9.8 | $ | (1.9) | |||||
(1) Investment securities include debt securities available-for-sale (AFS), recorded at fair market value, primarily local government debt securities. AO Citibank had AFS debt securities losses during the first quarter of 2022 due to yield increases, which were reflected in
AOCI
, although no credit impairment was recognized on the losses.
(2) Net mark-to-market on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of credit valuation adjustments (CVA) and include margin loans.
(3) Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.
(4) Cash on deposit and placements are primarily with the Central Bank of Russia.
(5) The majority of AO Citibank’s third-party exposures were funded with domestic deposit liabilities from both
ICG
and personal banking clients.
67
Beginning in January 2022, Citi began actively reducing its operations in Russia and Russia-related exposures, resulting in a $1.9 billion decline in Citi’s Russia-related exposures during the first quarter of 2022. This reduction primarily reflected a decrease in
ICG
loans in the quarter due to borrower paydowns, limiting extension of new credit and a depreciation in the ruble against the US dollar. The reduction was also driven by a decrease in AFS securities in the quarter, largely driven by sales and mark-to-market losses in
AOCI
from higher yields and the impact of depreciation of the ruble. The increase in cash and deposits with banks in the quarter was due to Citi’s actions to reduce credit exposures as well as the placement of higher excess client liquidity and higher client deposit balances. Reverse repurchase agreements declined in the quarter due to a wind-down of positions with financial institutions and clearinghouse counterparties. Finally, the decline in the quarter of Citi’s additional exposures to Russian counterparties not held by AO Citibank was also due to Citi’s risk mitigation efforts.
Citi’s resulting net investment in Russia was approximately $0.7 billion as of March 31, 2022 (compared to $1 billion as of December 31, 2021). The majority of Citi’s net investment was hedged for foreign currency depreciation as of March 31, 2022, using forward foreign exchange contracts executed with international peer banks. In addition, Citi is exposed to a currency translation adjustment (CTA) loss of approximately $1.0 billion related to Russia in the event of a loss of control or substantial liquidation of AO Citibank (see “Deconsolidation Risk” below).
1Q22 Earnings Impacts on Citi’s Businesses
Both Citi’s
ICG
and
Legacy Franchises
segments were impacted by a broad array of macroeconomic factors, including the effects of the war in Ukraine:
•
ICG
Markets revenues
declined 2% versus a very strong first quarter in the prior year. Activity levels in Markets benefited from client repositioning and strong risk management, driven by the Federal Reserve Board’s interest rate increases and overall geopolitical and macroeconomic uncertainty. During the quarter, Markets also benefited from significantly higher FX and commodities volatilities and increased spreads.
•
ICG
Banking revenues
of $1.9 billion decreased 23%, including the gain (loss) on loan hedges, driven by heightened geopolitical uncertainty, including the impact of the war in Ukraine, and overall macroeconomic backdrop, which reduced activity in debt and equity capital markets. Investment banking revenues declined 43%, reflecting a decline in the overall market wallet. Specifically, equity underwriting revenues and debt underwriting revenues decreased by 78% and 27%, respectively, due to weakness in the market wallet across North America, EMEA and Asia, largely due to uncertainty caused by the war in Ukraine, which created a less conducive market backdrop for capital markets origination activities during the quarter.
•
Legacy Franchises
revenues
of $1.9 billion decreased 14%, largely resulting from the Korea wind-down, as well as muted investment activity in Asia. Revenues in Citi’s
Russia consumer business in Asia Consumer decreased 6% year-over-year to $32 million, primarily driven by the impact of sanctions, the cessation of the acquisition of new accounts and a reduction in investment sales.
•
Citigroup cost of credit
included a net ACL build of $1.9 billion, consisting of approximately $1 billion related to Citi’s exposures to Russian counterparties and approximately $900 million related to the impact of the war in Ukraine on the broader global macroeconomic environment. Citi’s corporate non-accrual loans increased by approximately $320 million, primarily related to Citi’s
ICG
exposures in Russia, which Citi believes are adequately reserved for. Approximately 66% of Citi’s overall corporate non-accrual loans were performing at March 31, 2022.
Sanctions and Other Operational Risks
Citi has undertaken significantly more sanctions screening and other requirements as a result of the war in Ukraine, as the U.S., the U.K. and the EU have imposed increasingly extensive sanctions and export controls against Russian-related entities and individuals. This has resulted in increased operational complexity for Citi related to its Russia-related exposures, including delaying payments to counterparties as a result of the need for additional controls. Citi’s Russia-related ACL build in the first quarter of 2022 also reflected specific corporate clients that were sanctioned by various governmental authorities.
Citi continues to comply with all applicable sanction requirements and export controls, including obtaining required sanctions-related licenses. This response has included enhanced operational controls and management oversight to maintain compliance and minimize disruption to client operations.
Goodwill and Long-Lived Assets
In the first quarter of 2022, Citi completed a goodwill impairment test and recorded a goodwill impairment charge of $535 million to the Asia Consumer reporting unit within
Legacy Franchises
, due to the re-segmentation and timing of divestitures and unrelated to the war in Ukraine. In the quarter, Citi did not experience any impairments related to the reporting units within
ICG
based on its latest impairment test. In addition, Citi had approximately $50 million of long-lived assets in Russia that did not experience any impairment. For additional information on goodwill impairment, see Note 15.
Citi’s Planned Sale of Certain Russia Businesses
As discussed above, Citi announced it had expanded the scope of the divestiture of certain activities in Russia beyond the consumer business to include commercial banking. Citi has commenced sale discussions with a number of potential buyers. Any additional financial or economic sanctions that may be implemented by the U.S., the U.K., the EU and any other jurisdictions, as well as any governmental approvals that may be required for any transaction, may cause delays or reduce the certainty of such transaction being concluded. Such delays may be significant.
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Deconsolidation Risk
Citi’s continued operations in Russia subject it to various risks, including, among others, foreign currency volatility, including devaluations; business restrictions; sanctions or asset freezes; or other deconsolidation events (for additional information, see “Risk Factors—Other Risks” in Citi’s 2021 Form 10-K). Examples of triggers that may result in deconsolidation of AO Citibank include voluntary or forced sale of ownership or loss of control due to actions of relevant governmental authorities, including expropriation (i.e., the entity becomes subject to the complete control of a government, court, administrator or regulator); revocation of banking license; and loss of ability to elect a board of directors or appoint members of senior management. As of March 31, 2022, Citi continued to consolidate AO Citibank because none of the deconsolidation triggers was met.
In the event of a loss of control or substantial liquidation of AO Citibank, Citi would be required to write off its net investment of approximately $0.7 billion (compared to $1 billion as of December 31, 2021) and recognize a CTA loss of approximately $1.0 billion through earnings. Once recognized in earnings, this CTA loss would be removed from the
AOCI
component of equity and therefore would have a neutral impact to Citi’s Capital. As discussed above, the majority of Citi’s net investment was hedged for foreign currency depreciation as of March 31, 2022. For information about CTA components of
AOCI
and related risks, see Note 17.
Citi as Paying Agent for Russian-related Clients
Citi serves as paying agent on bonds issued by various entities in Russia, including both Russian corporate clients and the Russian Ministry of Finance. Citi’s role as paying agent is administrative. In its role as paying agent, Citi acts as an agent of its client, the bond issuer, receiving interest and principal payments from the bond issuer and then making payments to international central securities depositories (e.g., Depository Trust Company, Euroclear, Clearstream). The international central securities depositories (ICSDs) make payments to those participants or account holders (e.g., broker/dealers) that have clients that are investors in the applicable bonds (i.e., bondholders). As a paying agent, Citi generally does not have information about the identity of the bondholders. Citi may be exposed to risks due to its responsibilities for receiving and processing payments on behalf of its clients as a result of sanctions or other governmental requirements and prohibitions. To mitigate operational and sanctions risks, Citi has established policies, procedures and controls for client relationships and payment processing to help ensure compliance with U.S., U.K., EU and other jurisdictions’ sanctions laws.
These processes may require Citi to delay or withhold the processing of payments as a result of sanctions on the bond issuer. Citi is also prevented from making payments to accounts on behalf of bondholders should the ICSDs disclose to Citi the presence of sanctioned bondholders. In both instances, Citi is generally required to segregate, restrict or block the funds until applicable sanctions are lifted or the payment is otherwise authorized under applicable law.
Reputational Risks
Citi has continued its efforts to enhance and protect its reputation with its colleagues, clients, customers, investors, regulators and the public. Citi’s response to the war in Ukraine, including any action or inaction, may have a negative impact on Citi’s reputation with some or all of these parties.
For example, Citi is exposed to reputational risk as a result of its presence in Russia and association with Russian individuals or entities, whether subject to sanctions or not, including Citi’s inability to support its global clients in Russia as part of its core value proposition, which could adversely affect its broader client relationships and businesses; involvement in transactions or supporting activities involving Russian assets or interests; failure to correctly interpret and apply laws and regulations; perceived misalignment of Citi’s actions to its stated strategy toward Russia; and the reputational impact on Citi’s Russia business from its activity and engagement with Ukraine or with non-Russian clients exiting their Russia businesses. Citi has considered the potential for reputation risk and taken actions to mitigate such risks. Citi established a new Russia Special Review Process with Management’s Reputations Risk Committee with oversight for significant Russia-related reputation risks and completed a number of reputation risk reviews of matters with a Russian nexus.
While Citi announced its intention to divest certain businesses in Russia, Citi will continue to manage those operations during the sale process, which may take significant time to complete. Also, sanctions and sanctions compliance are highly complex and may change over time and result in increased operational risk. Failure to fully comply with relevant sanctions or the application of sanctions where they should not be applied may negatively impact Citi’s reputation. In addition, Citi continues to perform services for, conduct business with, or deal in, non-sanctioned Russian-owned businesses and Russian assets. This has attracted, and will likely continue to attract, negative attention, despite the expansion of the scope of Citi’s divestiture, cessation of new business and client originations, and reduction of other exposures.
Citi’s continued presence or divestiture of businesses in Russia could also increase its susceptibility to cyberattacks that could negatively impact its relationships with clients and customers, harm its reputation, increase its compliance costs and adversely affect its business operations and results of operations. For additional information on operational and cyber risks, see “Risk Factors—Operational Risk” in Citi’s 2021 Form 10-K.
Board’s Role in Overseeing Related Risks
The Citi Board of Directors (Board) and the Board’s Risk Management Committee (RMC) and its other Committees have received and continue to receive regular reports from senior management regarding the war in Ukraine and its impact on Citi’s operations in Russia, Ukraine and elsewhere, as well as the war’s broader geopolitical, macroeconomic and reputational impacts.
In addition to receiving regular briefings from management, the full Board has routinely been invited to attend portions of the RMC meetings for discussions related to the war in Ukraine, including with respect to Citi’s risk
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exposures and stress testing. The reports to the Board and its Committees from senior management who represent the impacted businesses and the EMEA region,
Independent Risk Management, Finance, Independent Compliance Risk Management, including those individuals responsible for sanctions compliance, and Human Resources, have included detailed information regarding financial impacts, impacts on capital, cybersecurity, strategic considerations, sanctions compliance, employee assistance and reputational risks, enabling the Board and its Committees to properly exercise their oversight responsibilities. In addition, senior management has also provided updates to Citi’s Executive Management Team and the Board, outside of formal meetings, regarding Citi’s Russia-related risks, including with respect to cybersecurity matters.
Ukraine
Citi has continued to operate in Ukraine throughout the war through its
ICG
businesses, serving the local subsidiaries of multinationals, along with local financial institutions and the public sector. Citi employs approximately 250 people in Ukraine and their safety is a top priority.
All of Citi’s domestic operations in Ukraine are conducted through a subsidiary of Citibank, which uses the Ukrainian hryvnia as its functional currency. Citi exposures in Ukraine are not significant enough to be included in the “Top 25 Country Exposures” table above. As of March 31, 2022, these exposures amounted to $0.9 billion (compared to $1.2 billion as of December 31, 2021) and were exclusively composed of third-party assets held on the Citi Ukraine subsidiary.
Argentina
Citi operates in Argentina through its
ICG
businesses. As of March 31, 2022, Citi’s net investment in its Argentine operations was approximately $1.6 billion. Citi uses the U.S. dollar as the functional currency for its operations in countries that are deemed highly inflationary under U.S. GAAP. Citi uses Argentina’s official market exchange rate to remeasure its net Argentine peso-denominated assets into the U.S. dollar. As of March 31, 2022, the official Argentine peso exchange rate against the U.S. dollar was 111.00.
As previously disclosed, the Central Bank of Argentina has continued to maintain certain capital and currency controls that restrict Citi’s ability to access U.S. dollars in Argentina and remit earnings from its Argentine operations. As a result, Citi’s net investment in its Argentine operations is likely to continue to increase as Citi generates net income in its Argentine franchise and its earnings cannot be remitted.
Due to the currency controls implemented by the Central Bank of Argentina, certain indirect foreign exchange mechanisms have developed that some Argentine entities may use to obtain U.S. dollars, generally at rates that are significantly higher than Argentina’s official exchange rate. Citibank Argentina is precluded from accessing these alternative mechanisms, and these exchange mechanisms cannot be used to remeasure Citi’s net monetary assets into the U.S. dollar under U.S. GAAP. Citi cannot predict future fluctuations in Argentina’s official market exchange rate or to what extent Citi may be able to access U.S. dollars at the official exchange rate in the future.
Citi economically hedges the foreign currency risk in its net Argentine peso-denominated assets to the extent possible and prudent using non-deliverable forward (NDF) derivative instruments that are primarily executed outside of Argentina. As of March 31, 2022, the international NDF market had very limited liquidity, resulting in Citi being unable to economically hedge its Argentine peso exposure. Accordingly, and to the extent that Citi does not execute NDF contracts for this unhedged exposure in the future, Citi would record devaluations on its net Argentine peso‐denominated assets in earnings, without any benefit from a change in the fair value of derivative positions used to economically hedge the exposure.
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 ACL on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for credit and sovereign risks under U.S. GAAP as of March 31, 2022. However, U.S. regulatory agencies may require Citi to record additional reserves in the future, increasing
ICG
’s cost of credit, based on the perceived country risk associated with its Argentine exposures. For additional information on emerging markets risks, see “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.
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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 Citi’s 2021 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 Citi’s 2021 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. The fair value of these instruments is reported on Citi’s Consolidated
Balance Sheet with the changes in fair value recognized in either the Consolidated Statement of Income or in
AOCI
.
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 in this Form 10-Q and Note 1 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
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Citi’s Allowance for Credit Losses (ACL)
The table below shows Citi’s ACL as of the first quarter of 2022. 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 ASC Topic 326,
Financial Instruments—Credit losses; Current Expected Credit Losses (CECL)
, see Note 1 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
| ACL | |||||||||||||||||
| In millions of dollars | Balance Dec. 31, 2021 |
1Q22
build (release) |
1Q22 FX/Other | Balance Mar. 31, 2022 |
ACLL/EOP loans Mar. 31, 2022
(1)
|
||||||||||||
| ICG | $ | 2,241 | $ | 596 | $ | 5 | $ | 2,842 | |||||||||
|
Legacy Franchises
corporate (Mexico SBMM)
|
174 | 5 | 4 | 183 | |||||||||||||
| Total corporate ACLL | $ | 2,415 | $ | 601 | $ | 9 | $ | 3,025 | 1.00 | % | |||||||
|
U.S. Cards
(1)
|
$ | 10,840 | $ | (1,009) | $ | — | $ | 9,831 | 7.56 | % | |||||||
| Retail banking and Global Wealth Management | 1,181 | (53) | (5) | 1,123 | |||||||||||||
|
Total
PBWM
|
$ | 12,021 | $ | (1,062) | $ | (5) | $ | 10,954 | |||||||||
|
Legacy Franchises
consumer
|
2,019 | (151) | (454) | 1,414 | |||||||||||||
| Total consumer ACLL | $ | 14,040 | $ | (1,213) | $ | (459) | $ | 12,368 | 3.53 | % | |||||||
| Total ACLL | $ | 16,455 | $ | (612) | $ | (450) | $ | 15,393 | 2.35 | % | |||||||
| Allowance for credit losses on unfunded lending commitments (ACLUC) | $ | 1,871 | $ | 474 | $ | (2) | $ | 2,343 | |||||||||
| Total ACLL and ACLUC | $ | 18,326 | $ | (138) | $ | (452) | $ | 17,736 | |||||||||
|
Other
(2)
|
148 | (6) | (6) | 136 | |||||||||||||
| Total ACL | $ | 18,474 | $ | (144) | $ | (458) | $ | 17,872 | |||||||||
(1) As of March 31, 2022, in U.S. Personal Banking, Branded cards ACLL/EOP loans was 6.6% and Retail services ACLL/EOP loans was 9.5%.
(2) Includes ACL on HTM securities and
Other assets
.
Citi’s reserves for expected credit losses on funded loans and for unfunded lending commitments, standby letters of credit and financial guarantees are reflected on the Consolidated Balance Sheet in the
Allowance for credit losses on loans
(ACLL) and
Other liabilities
(Allowance for credit losses on unfunded lending commitments (ACLUC)), respectively. In addition, Citi reserves for expected credit losses on other financial assets carried at amortized cost, including held-to-maturity securities, reverse repurchase agreements, securities borrowed, deposits with banks and other financial receivables. These reserves, together with the ACLL and ACLUC, are referred to as the ACL.
Changes in the ACL are reflected as
Provision for credit losses
in the Consolidated Statement of Income for each reporting period. Citi’s ability to estimate expected credit losses over the reasonable and supportable (R&S) period is based on the ability to forecast economic activity over an R&S timeframe. During the first quarter of 2022, Citi updated its R&S forecast periods to use an eight-quarter R&S period for consumer and corporate loans.
The ACL is composed of quantitative and qualitative management adjustment components. The quantitative component uses a forward-looking base macroeconomic forecast. The qualitative management adjustment component reflects economic uncertainty using alternative downside macroeconomic scenarios and portfolio characteristics and current economic conditions not captured in the quantitative
component. Both the quantitative and qualitative components are further discussed below.
Quantitative Component
Citi estimates expected credit losses for its quantitative component using (i) its comprehensive internal data on loss and default history, (ii) internal credit risk ratings, (iii) external credit bureau and rating agencies information, and (iv) a reasonable and supportable forecast of macroeconomic conditions.
For its consumer and corporate portfolios, Citi’s expected credit losses are determined primarily by utilizing models that consider the borrowers’ probability of default (PD), loss given default (LGD) and exposure at default (EAD). The loss likelihood and severity models used for estimating expected credit losses are sensitive to changes in macroeconomic variables that inform the forecasts, and cover a wide range of geographic, industry, product and business segments.
In addition, Citi’s models determine expected credit losses based on leading credit indicators, including loan delinquencies, changes in portfolio size, default frequency, risk ratings and loss recovery rates (among other things), as well as other current economic factors and credit trends, including housing prices, unemployment and gross domestic product (GDP).
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Qualitative Component
The qualitative management adjustment component includes, among other things, management adjustments to reflect economic uncertainty based on the likelihood and severity of downside scenarios and certain portfolio characteristics not captured in the quantitative component, such as concentrations, collateral valuation, model limitations, idiosyncratic events and other factors as required by banking supervisory guidance for the ACL. The qualitative management adjustment component also reflects remaining uncertainty around the estimated impact of the COVID-19 pandemic and the war in Ukraine on credit losses. This includes, among other things, potential delay in credit losses due to various government stimulus actions and potential effects on consumer behavior and market liquidity. The extent of the impact of the war in Ukraine will depend on the spillover effects on European and global macroeconomic and market factors, including inflation, interest rates and commodity prices.
1Q22 Changes in the ACL
In the first quarter of 2022, Citi released $1.1 billion of the ACL for its consumer portfolios and increased the ACL by $1.0 billion for its corporate portfolios primarily related to Russia, for a net release of $0.1 billion. The release in the consumer ACL was driven primarily a reduction in reserves related to COVID uncertainty. The build in the corporate ACL was primarily related to Citi’s exposures in Russia and the broader impact of the war in Ukraine on the global macroeconomic environment. Based on its latest macroeconomic forecast, Citi believes its analysis of the ACL reflects the forward view of the economic environment as of March 31, 2022.
Macroeconomic Variables
Citi considers a multitude of macroeconomic variables for both the base and downside macroeconomic forecasts it uses to estimate the ACL, including domestic and international variables for its global portfolios and exposures. Citi’s forecasts of the U.S. unemployment rate and U.S. Real GDP growth rate represent the key macroeconomic variables that most significantly affect its estimate of the ACL.
The tables below show Citi’s forecasted quarterly average U.S. unemployment rate and year-over-year U.S. Real GDP growth rate used in determining Citi’s ACL for each quarterly reporting period from 1Q21 to 1Q22:
| Quarterly average | ||||||||||||||
| U.S. unemployment | 2Q22 | 4Q22 | 2Q23 |
13-quarter average
(1)
|
||||||||||
| Citi forecast at 1Q21 | 4.1 | % | 3.8 | % | 3.7 | % | 4.3 | % | ||||||
| Citi forecast at 2Q21 | 4.1 | 3.9 | 3.7 | 4.1 | ||||||||||
| Citi forecast at 3Q21 | 4.1 | 3.9 | 3.8 | 4.0 | ||||||||||
| Citi forecast at 4Q21 | 4.0 | 3.8 | 3.7 | 3.8 | ||||||||||
| Citi forecast at 1Q22 | 3.7 | 3.5 | 3.5 | 3.6 | ||||||||||
(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 | 2022 | 2023 | 2024 | ||||||||
| Citi forecast at 1Q21 | 4.1 | % | 1.9 | % | 1.5 | % | |||||
| Citi forecast at 2Q21 | 3.7 | 2.0 | 1.8 | ||||||||
| Citi forecast at 3Q21 | 3.9 | 2.1 | 1.8 | ||||||||
| Citi forecast at 4Q21 | 4.0 | 2.2 | 1.8 | ||||||||
| Citi forecast at 1Q22 | 3.3 | 2.4 | 2.1 | ||||||||
(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 1Q22, U.S. Real GDP growth is expected to remain strong during the remainder of 2022 and in 2023, 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 released $1.1 billion of the ACL for its consumer portfolios in the first quarter of 2022, which reduced the ACL balance to $12.4 billion, or 3.53% of total consumer loans at March 31, 2022. Citi’s consumer ACL is largely driven by the cards businesses.
For U.S. Cards, the level of reserves as a percentage to EOP loans decreased to 7.56% at March 31, 2022, compared to 8.10% at December 31, 2021, primarily driven by a reduction in reserves related to COVID uncertainty. For the remaining consumer exposures, the level of reserves relative to EOP loans decreased to 1.2% at March 31, 2022, compared to 1.3% at December 31, 2021.
Corporate
Citi had a corporate ACLL build of $0.6 billion in the first quarter of 2022, which increased the ACLL reserve balance to $3.0 billion, or 1.00% of total funded loans. The build was primarily driven by exposures in Russia and the broader impact of the war in Ukraine on the global macroeconomic environment.
ACLUC
The total allowance for credit losses on unfunded lending commitments (ACLUC) build in the first quarter of 2022 increased $0.5 billion, primarily driven by exposures in Russia and the broader impact of the war in Ukraine. The total ACLUC reserve balance included in
Other liabilities
was $2.3 billion at March 31, 2022.
ACLL and Non-accrual Ratios
At March 31, 2022, the ratio of the ACLL to total funded loans was 2.35% (3.53% for consumer loans and 1.00% for corporate loans), compared to 2.49% at December 31, 2021 (3.73% for consumer loans and 0.85% for corporate
loans).
Citi’s total non-accrual loans were $3.4 billion at March 31, 2022, largely unchanged from December 31, 2021. Consumer non-accrual loans decreased $309 million to $1.5 billion at March 31, 2022 from $1.8 billion at December 31, 2021, while corporate non-accrual loans increased $313
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million to $1.9 billion at March 31, 2022 from $1.6 billion at December 31, 2021. In addition, the ratio of non-accrual loans to total corporate loans was 0.60%, and 0.43% of non-accrual loans to total consumer loans, at March 31, 2022.
Regulatory Capital Impact
Citi has elected to phase in the CECL impact for regulatory capital purposes. After two years with no impact on capital, the CECL adoption impact commenced phase in with 25% of the impact (net of deferred taxes) recognized on January 1, 2022, with an additional 25% to be recognized on the first day of each subsequent year through January 1, 2025. In addition, 25% of the build (pretax) made in 2020 and 2021 was deferred and is being amortized over the same timeframe.
See Notes 1 and 14 for a further description of the ACL and related accounts.
Goodwill
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 would more-likely-than-not reduce the fair value of a reporting unit below its carrying amount, such as a significant adverse change in the business climate, a decision to sell or dispose of all or a significant portion of a reporting unit or a significant decline in Citi’s stock price.
Citi performed interim goodwill impairment tests as a result of the previously discussed changes in operating segments and reporting units during the first quarter of 2022. The tests resulted in an impairment of $535 million to the Asia Consumer reporting unit within
Legacy Franchises
, due to implementation of Citi’s operating segment and reporting unit changes in the first quarter of 2022, as well as the timing of the entry into its Asia consumer banking business sale agreements. Based on the interim impairment tests, the fair value of Citi’s other reporting units as a percentage of their allocated carrying values ranged from approximately 114% to 267%, resulting in no further impairment recognized as of March 31, 2022. While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations of the reporting units, the economic and business environments continue to evolve as management implements its strategic refresh. If management’s future estimate of key economic and market assumptions were to differ from its current assumptions, Citi could potentially experience material goodwill impairment charges in the future. See Note 16 for a further discussion of goodwill.
Litigation Accruals
See the discussion in Note 23 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 “Capital Resources,” “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 2021 Form 10-K.
The table below summarizes Citi’s net DTAs balance:
| Jurisdiction/Component | DTAs balance | |||||||
| In billions of dollars |
March 31,
2022 |
December 31, 2021 | ||||||
| Total U.S. | $ | 23.8 | $ | 22.1 | ||||
| Total foreign | 2.9 | 2.7 | ||||||
| Total | $ | 26.7 | $ | 24.8 | ||||
At March 31, 2022, Citigroup had recorded net DTAs of approximately $26.7 billion, an increase of $1.9 billion from December 31, 2021, primarily as a result of losses in
Other comprehensive income
. Of Citi’s $26.7 billion of net DTAs, $15.4 billion was not deducted in calculating regulatory capital, and was appropriately risk weighted under the Basel III rules.
The remaining $11.3 billion (compared to $9.5 billion at December 31, 2021) was deducted in calculating Citi’s regulatory capital.
Of the $11.3 billion, Citi had $11.7 billion related to tax carry-forward DTAs, reduced by net deferred tax liabilities (DTLs) of $1.6 billion (for a net deduction of $10.1 billion). The $1.6 billion of net DTLs was primarily associated with goodwill and certain other intangible assets that are separately deducted from capital.
In addition, net DTAs arising from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations. Citi had $1.2 billion of such DTAs excluded from regulatory capital at March 31, 2022 (compared to no such DTAs at December 31, 2021), primarily due to tax benefits on losses in
Other comprehensive income
.
DTA Realizability
Citi believes that the realization of the recognized net DTAs of $26.7 billion at March 31, 2022 is more-likely-than-not based on management’s expectations of future taxable income generation 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
).
Effective Tax Rate
Citi’s reported effective tax rate for the first quarter of 2022 was approximately 18%, compared to the first quarter of 2021 effective tax rate of 23%. The decline in the effective tax rate reflected the resolution of certain tax audit items during the current quarter.
74
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, 2022. 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 (Section 219), which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with certain individuals or entities that are the subject of sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law.
During the first quarter of 2022, Citigroup processed two transactions that were reportable pursuant to Section 219. On February 16, 2022, Citibank Europe plc processed a payment from an individual to the Iranian Embassy in London for visa-related fees, which is exempt pursuant to the travel exemption of the Iranian Transactions and Sanctions Regulations. The total value of the payment was GBP 5.00 (approximately USD 6.56). In addition, in January 2022, two subsidiaries of Citigroup Inc. processed a transaction between the Central Bank of Iran (the CBI) and an international organization (IO). The CBI sent funds to the IO’s Korean won account at Citibank Korea Inc., which were then converted to U.S. dollars and transferred to the IO’s U.S. dollar account at Citibank, N.A., New York branch. The total value of the payment was approximately USD 18,581,402.08. The transaction was a payment for the Government of Iran’s membership dues to the IO. Citi obtained a two-year license from the U.S. Office of Foreign Assets Control for such payments. Citigroup Inc.’s two subsidiaries realized nominal fees for the processing of this payment.
75
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 2021 Form 10-K and other SEC filings; (ii) the factors listed and described under “Risk Factors” in Citi’s 2021 Form 10-K; and (iii) the risks and uncertainties summarized below:
•
the potential impact to Citi from macroeconomic, geopolitical and other challenges and uncertainties and volatilities, including, among others, governmental fiscal and monetary actions or expected actions, such as further changes in interest rate policies, including an abrupt and sustained increase in interest rates, and reductions in central bank balance sheets; a continued elevated level of inflation; slowing of the Chinese economy and related impacts or any policy actions; significant disruptions and volatility in financial markets; geopolitical tensions and conflicts; protracted or widespread trade tensions; financial market, other economic and political disruption driven by anti-establishment movements; natural disasters; additional pandemics; and election outcomes;
•
impacts related to or resulting from the war in Ukraine, including further escalation of tensions between Russia and the U.S. and its allies; the potential adverse effects on Citi’s businesses and customers in and related to Russia and Ukraine, including credit costs or other losses, charges or other negative financial or strategic impacts, including from any expropriation or other deconsolidation event; existing and future financial and economic sanctions and export controls against Russian organizations and/or individuals imposed by the U.S., the EU, the U.K. and other jurisdictions; commodity and energy market disruptions; inflationary impacts; additional supply chain disruptions; the impact of cyber incidents; and the resulting negative impacts and uncertainties on regional and global financial markets and economic conditions;
•
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 as well as any variants becoming more prevalent and impactful; further production, distribution, acceptance and effectiveness of vaccines; availability and efficiency of testing; the public response and government actions; any weakness or slowing in the economic recovery or a further economic downturn, whether due to further supply chain disruptions, higher inflation, higher interest rates or otherwise; the impact of the pandemic on Citi’s consumer and corporate borrowers, including greater stress levels on some borrowers as the benefits of credit and customer assistance support wanes; the potential impact of pandemic restrictions; 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 annual recalibration of the Stress Capital Buffer, which is based upon the results of the CCAR process as well as supervisory stress tests; Citi’s results of operations and financial condition; the capital impact related to Citi’s divestitures, including the timing of transaction signings and closings; Citi’s DTA utilization; forecasts of macroeconomic conditions; Citi’s implementation and maintenance of an effective capital planning framework, and effectiveness in planning, managing and calculating its level of risk-weighted assets under both the Advanced Approaches and the Standardized Approach, Supplementary Leverage ratio and GSIB surcharge; elevated levels of liquidity in the financial system related to the pandemic; changes in regulatory capital rules, requirements or interpretations, including adoption of the U.S. SA-CCR rule for purposes of future supervisory stress testing or otherwise; and changes to the U.S. regulatory capital framework, including among other things, revisions to the U.S. Basel III rules;
•
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, tax and other changes due to the differing priorities of the current U.S. presidential administration, changes in regulatory leadership or focus and actions of Congress; potential changes to various aspects of the regulatory capital framework; future legislative and regulatory requirements in the U.S. and globally relating to climate change, including any new disclosure requirements, such as those recently proposed by the SEC; 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;
•
the additional disclosure and other requirements proposed by the SEC regarding Special Purpose Acquisition Companies (SPACs) that more closely align SPAC transaction requirements with those for an initial public offering with the objective of enhancing investor
76
protection and expanding the responsibilities of underwriters; and the potential impact of these final requirements on
ICG
’s results of operations;
•
Citi’s ability, as part of its transformation initiatives and strategic refresh, to achieve its projected or expected results from its continued investments and other initiatives, including to improve its infrastructure, risk management and controls and further enhance safety and soundness, deepen client relationships and enhance client offerings and capabilities in order to simplify Citi and enhance its allocation of resources, including as a result of factors that Citi cannot control, which could make the initiatives more costly and more challenging to implement, and limit their effectiveness;
•
Citi’s ability to achieve its objectives from its strategic refresh, including, among others, those related to its Global Wealth Management business and its exits of consumer businesses in 13 markets in Asia and EMEA
and the consumer, small business and middle-market banking operations in Mexico, which involve significant execution complexity, may not be as productive, effective or timely as Citi expects and could result in additional foreign currency translation adjustment (CTA) or other losses, charges or other negative financial or strategic impacts, which could be material;
•
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), the recent Foreign Tax Credit guidelines published in the Federal register, and 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, and the resulting payment of additional taxes, penalties or interest;
•
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 economic environment; changes in consumer sentiment, spending patterns and credit card usage behaviors; a decline in sales and revenues, partner store closures, government-imposed restrictions, reduced air and business travel or other operational difficulties of the retailer or merchant; early 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, particularly given the highly competitive environment for talent;
•
Citi’s ability to effectively compete in the U.S. and globally with both financial and non-financial services firms, including as a result of certain competitors being subject to less stringent legal and regulatory requirements; emerging technologies; changes in the payments space; growth of digital assets; and the increased operational, compliance and other risks resulting from the need to develop new or change or adapt existing products and services to attract and retain customers or clients or to compete more effectively with competitors;
•
the potential impact to Citi from a prior or future failure or disruption of its operational processes or systems, including as a result of, among other things, human error, such as manual transaction processing errors (e.g., a manual error by any Citi trader that causes system or market disruptions or losses for Citi or its clients); fraud or malice; accidental system or technological failure; electrical or telecommunication outages; failure of or cyber incidents involving computer servers or infrastructure; or other similar losses or damage to Citi’s property or assets; failures by third parties, as well as disruptions in the operations of Citi’s businesses, clients, customers or other third parties; and the increased reputational, legal and compliance risks resulting from any such failure or disruption of its operational process or systems, including fines or legal or regulatory actions or proceedings;
•
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 or customer 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 qualitative management adjustment component; reserves related to litigation, regulatory and tax matters exposures; valuation of DTAs; and fair value of certain assets and liabilities; and the assessment of goodwill or other assets for impairment;
•
the financial impact from reclassification of any CTA component of
AOCI
, including related hedges and taxes, into Citi’s earnings, due to the sale, substantial liquidation or any other deconsolidation event of any foreign entity, such as those related to any of Citi’s legacy or exit businesses, whether due to Citi’s strategic refresh or otherwise;
•
the impact of changes to financial accounting and reporting standards or interpretations, on how Citi records
77
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 comprehensive stress testing initiatives or ability to manage and aggregate data, are deficient or ineffective, or Citi’s Basel III regulatory capital models 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, or Citi being unable to liquidate or realize the fair value of its collateral;
•
the potential impact on Citi’s liquidity and/or costs of funding as a result of various factors, including, among others, 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, the competitive environment for deposits, changes in Citi’s credit spreads, higher interest rates and changes in currency exchange rates;
•
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 governance, infrastructure, data and risk management practices and controls, customer and client protection, market practices, anti-money laundering and sanctions, 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;
•
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 risks and controls, such as risk management, compliance, data quality management and governance and internal controls, and policies and procedures; Citi’s ability to remediate deficiencies on a timely and sufficient basis, including the resulting significant investments required for such remediation efforts; as well as the heightened scrutiny and
expectations generally from regulators, and the severity of the remedies sought by regulators, such as significant monetary penalties, supervisory or enforcement orders, business restrictions, limitations on dividends and changes to directors and/or officers, and collateral consequences to Citi arising from such outcomes;
•
the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, limitations or unavailability of hedges on foreign investments; foreign currency volatility and devaluations; sovereign volatility; election outcomes; regulatory changes and political events; foreign exchange controls, including inability to access indirect foreign exchange mechanisms; macroeconomic volatility and disruptions, including with respect to commodity prices; 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, whether related to geopolitical conflicts or otherwise; U.S. regulators imposing mandatory loan loss or other reserve requirements on Citi; and increased compliance and regulatory risks and costs;
•
the potential impact to Citi from climate change and the transition to a low carbon economy, including both physical risks, such as increased frequency and/or severity of adverse weather events and transition risks, such as those arising from changes in regulations or market preferences toward a low-carbon economy, as well as higher regulatory, compliance and reputational risks and costs and data-related challenges, including as a result of any new SEC rules related to climate change disclosures, such as those recently proposed by the SEC, and an increased focus by banking regulators and others on the issue of climate change at financial institutions directly and with respect to their clients; and
•
the transition away from and discontinuance of LIBOR and any other interest rate benchmark and the adverse consequences it could have for market participants, including Citi.
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.
78
FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
| CONSOLIDATED FINANCIAL STATEMENTS | |||||
|
Consolidated Statement of Income (Unaudited)—
For the Three Months Ended March 31, 2022 and 2021 |
|||||
|
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three Months Ended March 31, 2022 and 2021
|
|||||
|
Consolidated Balance Sheet—March 31, 2022 (Unaudited) and December 31, 2021
|
|||||
|
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three Months Ended March 31, 2022 and 2021
|
|||||
|
Consolidated Statement of Cash Flows (Unaudited)—
For the Three Months Ended March 31, 2022 and 2021 |
|||||
| NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) | |||||
|
Note 1—Basis of Presentation, Updated Accounting Policies
and Accounting Changes |
|||||
|
Note 2—Discontinued Operations, Significant Disposals
and Other Business Exits |
|||||
| Note 3—Operating Segments | |||||
| Note 4—Interest Revenue and Expense | |||||
|
Note 5—Commissions and Fees; Administration and Other
Fiduciary Fees |
|||||
| Note 6—Principal Transactions | |||||
| Note 7—Incentive Plans | |||||
| Note 8—Retirement Benefits | |||||
| Note 9—Earnings per Share | |||||
|
Note 10—Securities Borrowed, Loaned and
Subject to Repurchase Agreements |
|||||
| Note 11—Brokerage Receivables and Brokerage Payables | |||||
| Note 12—Investments | |||||
| Note 13—Loans | |||||
| Note 14—Allowance for Credit Losses | |||||
| Note 15—Goodwill and Intangible Assets | |||||
| Note 16—Debt | |||||
|
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI) |
|||||
| Note 18—Securitizations and Variable Interest Entities | |||||
| Note 19—Derivatives | |||||
| Note 20—Fair Value Measurement | |||||
| Note 21—Fair Value Elections | |||||
| Note 22—Guarantees, Leases and Commitments | |||||
| Note 23—Contingencies | |||||
| Note 24—Condensed Consolidating Financial Statements | |||||
79
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 | 2022 | 2021 | ||||||
| Revenues | ||||||||
| Interest revenue | $ |
|
$ |
|
||||
| Interest expense |
|
|
||||||
| Net interest income | $ |
|
$ |
|
||||
| Commissions and fees | $ |
|
$ |
|
||||
| Principal transactions |
|
|
||||||
| Administration and other fiduciary fees |
|
|
||||||
| Realized gains on sales of investments, net |
|
|
||||||
| Impairment losses on investments: | ||||||||
| Impairment losses on investments and other assets |
(
|
(
|
||||||
|
Provision for credit losses on AFS debt securities
(1)
|
|
|
||||||
| Net impairment losses recognized in earnings | $ |
(
|
$ |
(
|
||||
| Other revenue | $ |
|
$ |
|
||||
| Total non-interest revenues | $ |
|
$ |
|
||||
| Total revenues, net of interest expense | $ |
|
$ |
|
||||
| Provisions for credit losses and for benefits and claims | ||||||||
| Provision for credit losses on loans | $ |
|
$ |
(
|
||||
| Provision for credit losses on held-to-maturity (HTM) debt securities |
(
|
(
|
||||||
| Provision for credit losses on other assets |
(
|
|
||||||
| Policyholder benefits and claims |
|
|
||||||
| Provision for credit losses on unfunded lending commitments |
|
(
|
||||||
|
Total provisions for credit losses and for benefits and claims
(2)
|
$ |
|
$ |
(
|
||||
| Operating expenses | ||||||||
| Compensation and benefits | $ |
|
$ |
|
||||
| Premises and equipment |
|
|
||||||
| Technology/communication |
|
|
||||||
| Advertising and marketing |
|
|
||||||
| Other operating |
|
|
||||||
| Total operating expenses | $ |
|
$ |
|
||||
| Income from continuing operations before income taxes | $ |
|
$ |
|
||||
| Provision for income taxes |
|
|
||||||
| Income from continuing operations | $ |
|
$ |
|
||||
| Discontinued operations | ||||||||
| Income (loss) from discontinued operations | $ |
(
|
$ |
(
|
||||
| Benefit for income taxes |
|
|
||||||
| Income (loss) from discontinued operations, net of taxes | $ |
(
|
$ |
(
|
||||
| Net income before attribution of noncontrolling interests | $ |
|
$ |
|
||||
| Noncontrolling interests |
|
|
||||||
| Citigroup’s net income | $ |
|
$ |
|
||||
|
Basic earnings per share
(3)
|
||||||||
| Income from continuing operations | $ |
|
$ |
|
||||
| Income from discontinued operations, net of taxes |
|
|
||||||
| Net income | $ |
|
$ |
|
||||
|
Weighted average common shares outstanding
(in millions)
|
|
|
||||||
|
Diluted earnings per share
(3)
|
||||||||
| Income from continuing operations | $ |
|
$ |
|
||||
| Income (loss) from discontinued operations, net of taxes |
|
|
||||||
| Net income | $ |
|
$ |
|
||||
|
Adjusted weighted average common shares outstanding
(in millions)
|
|
|
||||||
80
(1)
In accordance with ASC 326, which requires the provision for credit losses on AFS securities to be included in revenue.
(2)
This total excludes the provision for credit losses on AFS securities, which is disclosed separately above.
(3)
Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
| CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME | Citigroup Inc. and Subsidiaries | |||||||
| (UNAUDITED) | ||||||||
| Three Months Ended March 31, | ||||||||
| In millions of dollars | 2022 | 2021 | ||||||
| Citigroup’s net income | $ |
|
$ |
|
||||
|
Add: Citigroup’s other comprehensive income
(1)
|
||||||||
|
Net change in unrealized gains and losses on debt securities,
net of taxes
(1)
|
$ |
(
|
$ |
(
|
||||
|
Net change in debt valuation adjustment (DVA), net of taxes
(2)
|
|
(
|
||||||
| Net change in cash flow hedges, net of taxes |
(
|
(
|
||||||
| Benefit plans liability adjustment, net of taxes |
|
|
||||||
| Net change in foreign currency translation adjustment, net of taxes and hedges |
(
|
(
|
||||||
| Net change in excluded component of fair value hedges, net of taxes |
|
(
|
||||||
| Citigroup’s total other comprehensive income (loss) | $ |
(
|
$ |
(
|
||||
| Citigroup’s total comprehensive income | $ |
(
|
$ |
|
||||
|
Add: Other comprehensive loss attributable to
noncontrolling interests |
$ |
(
|
$ |
(
|
||||
| Add: Net income (loss) attributable to noncontrolling interests |
|
|
||||||
| Total comprehensive income | $ |
(
|
$ |
|
||||
(1)
See Note 17.
(2)
See Note 20.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
81
| CONSOLIDATED BALANCE SHEET | Citigroup Inc. and Subsidiaries | |||||||
| March 31, | ||||||||
| 2022 | December 31, | |||||||
| In millions of dollars | (Unaudited) | 2021 | ||||||
| Assets | ||||||||
| Cash and due from banks (including segregated cash and other deposits) | $ |
|
$ |
|
||||
| Deposits with banks, net of allowance |
|
|
||||||
|
Securities borrowed and purchased under agreements to resell (including $
|
|
|
||||||
| Brokerage receivables, net of allowance |
|
|
||||||
|
Trading account assets (including $
|
|
|
||||||
|
Investments:
|
||||||||
|
Available-for-sale debt securities (including $
|
|
|
||||||
|
Held-to-maturity debt securities (including $
|
|
|
||||||
|
Equity securities (including $
|
|
|
||||||
|
Total investments
|
$ |
|
$ |
|
||||
| Loans: | ||||||||
|
Consumer (including $
|
|
|
||||||
|
Corporate (including $
|
|
|
||||||
| Loans, net of unearned income | $ |
|
$ |
|
||||
| Allowance for credit losses on loans (ACLL) |
(
|
(
|
||||||
| Total loans, net | $ |
|
$ |
|
||||
| Goodwill |
|
|
||||||
|
Intangible assets (including MSRs of $
|
|
|
||||||
|
Other assets (including $
|
|
|
||||||
| Total assets | $ |
|
$ |
|
||||
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, | ||||||||
| 2022 | December 31, | |||||||
| In millions of dollars | (Unaudited) | 2021 | ||||||
| Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | ||||||||
| Cash and due from banks | $ |
|
$ |
|
||||
| Trading account assets |
|
|
||||||
| Investments |
|
|
||||||
| Loans, net of unearned income | ||||||||
|
Consumer
|
|
|
||||||
|
Corporate
|
|
|
||||||
| Loans, net of unearned income | $ |
|
$ |
|
||||
| Allowance for credit losses on loans (ACLL) |
(
|
(
|
||||||
| Total loans, net | $ |
|
$ |
|
||||
| Other assets |
|
|
||||||
| Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | $ |
|
$ |
|
||||
Statement continues on the next page.
82
CONSOLIDATED BALANCE SHEET
Citigroup Inc. and Subsidiaries
(Continued)
| March 31, | ||||||||
| 2022 | December 31, | |||||||
| In millions of dollars, except shares and per share amounts | (Unaudited) | 2021 | ||||||
| Liabilities | ||||||||
| Non-interest-bearing deposits in U.S. offices | $ |
|
$ |
|
||||
|
Interest-bearing deposits in U.S. offices (including $
|
|
|
||||||
| Non-interest-bearing deposits in offices outside the U.S. |
|
|
||||||
|
Interest-bearing deposits in offices outside the U.S. (including $
|
|
|
||||||
| Total deposits | $ |
|
$ |
|
||||
|
Securities loaned and sold under agreements to repurchase (including $
|
|
|
||||||
|
Brokerage payables (including $
respectively, at fair value)
|
|
|
||||||
| Trading account liabilities |
|
|
||||||
|
Short-term borrowings (including $
|
|
|
||||||
|
Long-term debt (including $
|
|
|
||||||
| Other liabilities |
|
|
||||||
| Total liabilities | $ |
|
$ |
|
||||
| Stockholders’ equity | ||||||||
|
Preferred stock ($
|
$ |
|
$ |
|
||||
|
Common stock ($
|
|
|
||||||
| Additional paid-in capital |
|
|
||||||
| Retained earnings |
|
|
||||||
|
Treasury stock, at cost:
March 31, 2022—
December 31, 2021— |
(
|
(
|
||||||
|
Accumulated other comprehensive income (loss) (
AOCI
)
|
(
|
(
|
||||||
| Total Citigroup stockholders’ equity | $ |
|
$ |
|
||||
| Noncontrolling interests |
|
|
||||||
| Total equity | $ |
|
$ |
|
||||
| Total liabilities and equity | $ |
|
$ |
|
||||
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, | ||||||||
| 2022 | December 31, | |||||||
| In millions of dollars | (Unaudited) | 2021 | ||||||
|
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup |
||||||||
| Short-term borrowings | $ |
|
$ |
|
||||
|
Long-term debt
|
|
|
||||||
| Other liabilities |
|
|
||||||
|
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup |
$ |
|
$ |
|
||||
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
83
| CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED) | Citigroup Inc. and Subsidiaries | |||||||
| Three Months Ended March 31, | ||||||||
| In millions of dollars | 2022 | 2021 | ||||||
| Preferred stock at aggregate liquidation value | ||||||||
| Balance, beginning of period | $ |
|
$ |
|
||||
| Issuance of new preferred stock | — |
|
||||||
| Redemption of preferred stock | — |
(
|
||||||
| Balance, end of period | $ |
|
$ |
|
||||
| Common stock and additional paid-in capital (APIC) | ||||||||
| Balance, beginning of period | $ |
|
$ |
|
||||
| Employee benefit plans |
|
(
|
||||||
| Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions) | — |
|
||||||
| Other |
|
— | ||||||
| Balance, end of period | $ |
|
$ |
|
||||
| Retained earnings | ||||||||
| Balance, beginning of period | $ |
|
$ |
|
||||
| Citigroup’s net income |
|
|
||||||
|
Common dividends
(1)
|
(
|
(
|
||||||
| Preferred dividends |
(
|
(
|
||||||
| Other (primarily reclassifications from APIC for preferred issuance costs on redemptions) |
|
(
|
||||||
| Balance, end of period | $ |
|
$ |
|
||||
| Treasury stock, at cost | ||||||||
| Balance, beginning of period | $ |
(
|
$ |
(
|
||||
|
Employee benefit plans
(2)
|
|
|
||||||
|
Treasury stock acquired
(3)
|
(
|
(
|
||||||
| Balance, end of period | $ |
(
|
$ |
(
|
||||
| Citigroup’s accumulated other comprehensive income (loss) | ||||||||
| Balance, beginning of period | $ |
(
|
$ |
(
|
||||
| Citigroup’s total other comprehensive income |
(
|
(
|
||||||
| Balance, end of period | $ |
(
|
$ |
(
|
||||
| Total Citigroup common stockholders’ equity | $ |
|
$ |
|
||||
| Total Citigroup stockholders’ equity | $ |
|
$ |
|
||||
| Noncontrolling interests | ||||||||
| Balance, beginning of period | $ |
|
$ |
|
||||
| Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary | — | — | ||||||
| Transactions between Citigroup and the noncontrolling-interest shareholders |
(
|
— | ||||||
| Net income attributable to noncontrolling-interest shareholders |
|
|
||||||
| Distributions paid to noncontrolling-interest shareholders | — | — | ||||||
|
Other comprehensive income (loss)
attributable to noncontrolling-interest shareholders
|
(
|
(
|
||||||
| Other |
(
|
(
|
||||||
| Net change in noncontrolling interests | $ |
(
|
$ |
(
|
||||
| Balance, end of period | $ |
|
$ |
|
||||
| Total equity | $ |
|
$ |
|
||||
(1)
Common dividends declared were $
0.51
per share for each of the first quarters of 2022 and 2021.
(2)
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.
(3)
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.
84
| CONSOLIDATED STATEMENT OF CASH FLOWS | Citigroup Inc. and Subsidiaries | |||||||
| (UNAUDITED) | ||||||||
| Three Months Ended March 31, | ||||||||
| In millions of dollars | 2022 | 2021 | ||||||
| Cash flows from operating activities of continuing operations | ||||||||
| Net income before attribution of noncontrolling interests | $ |
|
$ |
|
||||
| Net income attributable to noncontrolling interests |
|
|
||||||
| Citigroup’s net income | $ |
|
$ |
|
||||
| Loss from discontinued operations, net of taxes |
(
|
(
|
||||||
| Income from continuing operations—excluding noncontrolling interests | $ |
|
$ |
|
||||
| Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations | ||||||||
|
Net loss on significant disposals
(1)
|
|
|
||||||
| Depreciation and amortization |
|
|
||||||
| Provisions for credit losses on loans and unfunded lending commitments |
|
(
|
||||||
| Goodwill impairment |
|
|
||||||
| Realized gains from sales of investments |
(
|
(
|
||||||
| Impairment losses on investments and other assets |
|
|
||||||
| Change in trading account assets |
(
|
|
||||||
| Change in trading account liabilities |
|
|
||||||
| Change in brokerage receivables net of brokerage payables |
(
|
(
|
||||||
| Change in loans HFS |
|
|
||||||
| Change in other assets |
(
|
(
|
||||||
| Change in other liabilities |
|
|
||||||
| Other, net |
(
|
(
|
||||||
| Total adjustments | $ |
(
|
$ |
|
||||
| Net cash provided by (used in) operating activities of continuing operations | $ |
(
|
$ |
|
||||
| Cash flows from investing activities of continuing operations | ||||||||
| Change in securities borrowed and purchased under agreements to resell | $ |
(
|
$ |
(
|
||||
| Change in loans |
(
|
|
||||||
| Proceeds from sales and securitizations of loans |
|
|
||||||
|
Available-for-sale debt securities
(2)
:
|
||||||||
| Purchases of investments |
(
|
(
|
||||||
| Proceeds from sales of investments |
|
|
||||||
| Proceeds from maturities of investments |
|
|
||||||
|
Held-to-maturity debt securities
(2)
:
|
||||||||
| Purchases of investments |
(
|
(
|
||||||
| Proceeds from maturities of investments |
|
|
||||||
| Capital expenditures on premises and equipment and capitalized software |
(
|
(
|
||||||
|
Proceeds from sales of premises and equipment, subsidiaries and affiliates
and repossessed assets |
|
|
||||||
| Other, net |
|
|
||||||
| Net cash used in investing activities of continuing operations | $ |
(
|
$ |
(
|
||||
| Cash flows from financing activities of continuing operations | ||||||||
| Dividends paid | $ |
(
|
$ |
(
|
||||
| Issuance of preferred stock |
|
|
||||||
| Redemption of preferred stock |
|
(
|
||||||
85
| CONSOLIDATED STATEMENT OF CASH FLOWS | ||||||||
| (UNAUDITED) (Continued) | ||||||||
| Three Months Ended March 31, | ||||||||
| In millions of dollars | 2022 | 2021 | ||||||
| Treasury stock acquired | $ |
(
|
$ |
(
|
||||
| Stock tendered for payment of withholding taxes |
(
|
(
|
||||||
| Change in securities loaned and sold under agreements to repurchase |
|
|
||||||
| Issuance of long-term debt |
|
|
||||||
| Payments and redemptions of long-term debt |
(
|
(
|
||||||
| Change in deposits |
|
|
||||||
| Change in short-term borrowings |
|
|
||||||
| Net cash provided by financing activities of continuing operations | $ |
|
$ |
|
||||
| Effect of exchange rate changes on cash and due from banks | $ |
(
|
$ |
(
|
||||
| Change in cash, due from banks and deposits with banks |
|
|
||||||
| Cash, due from banks and deposits with banks at beginning of period |
|
|
||||||
| Cash, due from banks and deposits with banks at end of period | $ |
|
$ |
|
||||
| Cash and due from banks (including segregated cash and other deposits) | $ |
|
$ |
|
||||
| Deposits with banks, net of allowance |
|
|
||||||
| Cash, due from banks and deposits with banks at end of period | $ |
|
$ |
|
||||
| Supplemental disclosure of cash flow information for continuing operations | ||||||||
| Cash paid during the period for income taxes | $ |
|
$ |
|
||||
| Cash paid during the period for interest |
|
|
||||||
|
Non-cash investing activities
(1)(3)
|
||||||||
| Decrease in net loans associated with significant disposals reclassified to HFS | $ |
|
$ |
|
||||
| Decrease in goodwill associated with significant disposals reclassified to HFS |
|
|
||||||
|
Transfers to loans HFS (
Other assets
) from loans
|
|
|
||||||
|
Non-cash financing activities
(1)
|
||||||||
| Decrease in deposits associated with significant disposals reclassified to HFS | $ |
|
$ |
|
||||
| Decrease in long-term debt associated with significant disposals reclassified to HFS |
|
|
||||||
(1)
See Note 2 for further information on significant disposals.
(2)
Citi has revised the Consolidated Statement of Cash Flows to present purchases of investments, sales of investments and proceeds from maturities of investments separately between available-for-sale debt securities and held-to-maturity debt securities. Citi had no sales of held-to-maturity debt securities during the periods presented.
(3)
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 for more information and balances as of March 31, 2022.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
86
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, 2022 and for the three-month periods ended March 31, 2022 and 2021 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, 2021 (2021 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 2021 Form 10-K for a summary of all of Citigroup’s significant accounting policies.
ACCOUNTING CHANGES
Accounting for Deposit Insurance Expenses
During the fourth quarter of 2021, Citi changed its presentation of accounting for deposit insurance costs paid to the Federal Deposit Insurance Corporation (FDIC) and similar foreign regulators. These costs were previously presented within
Interest expense
and, as a result of this change, are now presented within
Other operating expenses
. Citi concluded that this presentation was preferable in Citi’s circumstances, as it better reflected the nature of these deposit insurance costs in that these costs do not directly represent interest payments to creditors, but are similar in nature to other payments to regulatory agencies that are accounted for as operating expenses.
This change in income statement presentation represents a “change in accounting principle” under ASC Topic 250,
Accounting Changes and Error Corrections
, with retrospective application to the earliest period presented. This change in accounting principle resulted in a reclassification of $
340
million of deposit insurance expenses from
Interest expense
to
Other operating expenses
, for the quarter ended March 31, 2021. This change had no impact on Citi’s net income or the total deposit insurance expense incurred by Citi.
FUTURE ACCOUNTING CHANGES
Obligations to Safeguard Crypto-assets Held for Platform Users
In March 2022, the SEC issued Staff Accounting Bulletin (SAB) No. 121, which expresses the views of the SEC staff regarding the accounting for obligations to safeguard crypto-assets an entity holds for platform users. Specifically, the guidance requires issuers that hold digital assets for their platform users to recognize a liability for their obligation to safeguard the digital assets held and a corresponding asset, measured initially and subsequently at fair value. The guidance is effective for interim and annual periods ending after June 15, 2022, with retrospective application to the beginning of the fiscal year, with early adoption permitted. Citi is currently assessing the application of SAB 121, but based on its current activity does not expect any impact to its results of operations as a result of adopting SAB 121.
Fair Value Hedging—Portfolio Layer Method
In March 2022, the FASB issued ASU No. 2022-01,
Derivatives and Hedging (Topic 815): Fair Value Hedging—Portfolio Layer Method
, intended to better align hedge accounting with an organization’s risk management strategies. Specifically, the guidance expands the current single-layer method to allow multiple hedge layers of a single closed portfolio of qualifying assets, which include both prepayable and non-prepayable assets. Upon the adoption of the guidance, entities may elect to reclassify securities held-to-maturity to the available-for-sale category as long as the reclassified securities are designated in a portfolio hedge. The guidance is effective for fiscal years beginning after December 15, 2022, and interim periods within those fiscal years with early adoption permitted. Citi is evaluating when to adopt the amendments in ASU 2022-01. Citi does not expect a material impact to its results of operations as a result of adopting the amendments.
Troubled Debt Restructurings and Vintage Disclosures
In March 2022, the FASB issued ASU No. 2022-02,
Financial Instruments—Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures
. The ASU eliminates the accounting guidance for troubled debt restructurings by creditors, enhances disclosure requirements for certain loan refinancings and restructurings by creditors and requires that an entity disclose current-period gross write-offs by year of origination for financing receivables and net investments in
87
leases within the scope of Subtopic 326-20. The guidance is effective beginning January 1, 2023 and early adoption is permitted. Citi is evaluating whether to early adopt and the effect that ASU 2022-02 will have on its Consolidated Financial Statements and related disclosures.
Long-Duration Insurance Contracts
In August 2018, the FASB issued ASU No. 2018-12,
Financial Services—Insurance: Targeted Improvements to the Accounting for Long-Duration Contracts
, which changes the existing recognition, measurement, presentation and disclosures for long-duration contracts issued by an insurance entity. Specifically, the guidance (i) improves the timeliness of recognizing changes in the liability for future policy benefits and prescribes the rate used to discount future cash flows for long-duration insurance contracts, (ii) simplifies and improves the accounting for certain market-based options or guarantees associated with deposit (or account balance) contracts, (iii) simplifies the amortization of deferred acquisition costs and (iv) introduces additional quantitative and qualitative disclosures. Citi has certain insurance subsidiaries, primarily in Mexico, that issue long-duration insurance contracts such as traditional life insurance policies and life-contingent annuity contracts that 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,
Financial Services—Insurance: Effective Date
(issued in October 2019) and by ASU 2020-11,
Financial Services—Insurance: Effective Date and Early Application
(issued in November 2020). Citi 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, SIGNIFICANT DISPOSALS AND OTHER BUSINESS EXITS
Discontinued Operations
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 | 2022 | 2021 | ||||||
| Total revenues, net of interest expense | $ |
|
$ |
|
||||
|
Income (loss) from discontinued operations
(1)
|
$ |
(
|
$ |
(
|
||||
| Benefit for income taxes |
|
|
||||||
| Income (loss) from discontinued operations, net of taxes | $ |
(
|
$ |
(
|
||||
(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.
88
Significant Disposals
The following five consumer banking business sale agreements (of nine total) were identified as significant disposals that are recorded within the
Legacy Franchises
segment, including the assets and liabilities that were reclassified to HFS within
Other assets
and
Other liabilities
on the Consolidated Balance Sheet and the
Income (loss) before taxes (benefits)
related to each business.
All sales agreements in the table below are subject to regulatory approvals and other closing conditions:
|
Three Months Ended
March 31, |
March 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||
| In millions of dollars |
Income (loss) before taxes
(1)
|
Assets | Liabilities | |||||||||||||||||||||||||||||||||||||||||
| Consumer banking business in | Sale agreement date | Expected close | 2022 |
2021
|
Cash and deposits with banks |
Loans
(2)
|
Goodwill
(3)
|
Other assets, advances to/from subsidiaries | Other assets | Total assets | Deposits | Long-term debt | Other liabilities | Total liabilities | ||||||||||||||||||||||||||||||
|
Australia
(4)
|
8/9/21 | first half 2022 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||||||||
|
Philippines
(5)
|
12/23/21 | second half 2022 |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||
|
Thailand
(5)
|
1/14/22 | second half 2022 | $ |
(
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||||||||
|
Taiwan
(5)
|
1/28/22 | second half 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||
|
India
(5)
|
3/30/22 | first half 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||
(1) Income before taxes for the period in which the individually significant component was classified as HFS for all prior periods presented. For Australia, excludes the pretax loss on sale.
(2) Loans, net of allowance as of March 31, 2022: Australia $
145
million, Philippines $
71
million, Thailand $
71
million, Taiwan $
66
million and India $
69
million.
(3) For Australia, includes intangible assets.
(4) Beginning in the third quarter of 2021, Citi reported the business as HFS. In the third and fourth quarters of 2021, Citi recognized an aggregate pretax loss on sale of approximately $
700
million ($
600
million after-tax), subject to closing adjustments. The loss on sale primarily reflects the impact of a pretax $
625
million currency translation adjustment (CTA) loss (net of hedges) ($
475
million after-tax) already reflected in the
Accumulated other comprehensive income
(AOCI)
component of equity. Upon closing, the CTA-related balance will be removed from the
AOCI
component of equity, resulting in a neutral CTA impact to Citi’s Common Equity Tier 1 Capital. In the first quarter of 2022, Citi recorded an additional pretax loss on sale of approximately $
118
million recorded in
Other revenue
($
81
million after-tax), primarily reflecting the impact of a pretax ACL release of $
104
million and contractual adjustments of $
14
million.
(5) These sales are expected to result in an after-tax gain upon closing.
Citi did not have any other significant disposals to report as of March 31, 2022. As of May 9, 2022, Citi had not entered into any other definitive sales agreements related to its recently announced intention to pursue exits of its consumer franchises in 13 markets across Asia and EMEA.
For a description of the Company’s significant disposal transactions in prior periods and financial impact, see Note 2 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
Other Business Exits
Wind-Down of Korea Consumer Banking Business
On October 25, 2021, Citi announced its decision to wind down and close its Korea consumer banking business, which is reported in the
Legacy Franchises
operating segment. In connection with the announcement, Citibank Korea Inc. (CKI) commenced a voluntary early termination program (Korea VERP). Due to the voluntary nature of this termination program, no liabilities for termination benefits are recorded until CKI makes formal offers to employees that are then irrevocably accepted by those employees. Related charges are recorded as
Compensation and benefits
.
For the quarter ended March 31, 2022, Citigroup recorded an additional pretax charge of $
31
million, composed of gross charges connected to the Korea VERP.
The following table summarizes the reserve charges related to the Korea VERP and other initiatives reported in the
Legacy Franchises
operating segment and
Corporate/Other
:
| In millions of dollars | Employee termination costs | ||||
| Total Citigroup (pretax) | |||||
| Original charges | $ |
|
|||
| Utilization |
(
|
||||
| Foreign exchange |
|
||||
| Balance at December 31, 2021 | $ |
|
|||
| Additional charges | $ |
|
|||
| Utilization |
(
|
||||
| Foreign exchange |
(
|
||||
| Balance at March 31, 2022 | $ |
|
|||
The total estimated cash charges for the wind-down are $
1.1
billion, most of which were recognized in 2021. Citi will recognize the remaining charges through 2022, as voluntary retirements are phased in and irrevocably accepted in order to minimize business and operational impacts.
89
3.
OPERATING SEGMENTS
Effective January 1, 2022, Citi changed its management structure resulting in changes in its operating segments and reporting units to reflect how the CEO, who is the chief operating decision maker, intends to manage the Company, allocate resources and measure performance. Citi reorganized its management reporting into
three
operating segments:
Institutional Clients Group (ICG)
,
Personal Banking and Wealth Management (PBWM)
and
Legacy Franchises
, with
Corporate/Other
including activities not assigned to a specific operating segment, as well as discontinued operations. The prior-period balances reflect reclassifications to conform the presentation in those periods to the current operating segment structure. Citi’s consolidated results were not impacted by the changes discussed above and remain unchanged for all periods presented.
The operating segments are determined based on how management allocates resources and measures financial performance to make business decisions, and are reflective of the types of customers served and the products and services provided.
ICG
consists of Services, Markets and Banking, providing corporate, institutional and public sector clients around the world with a full range of wholesale banking products and services.
PBWM
consists of U.S. Personal Banking and Global Wealth Management
,
providing traditional banking services and credit cards to retail and small business customers in the U.S., and financial services to the entire continuum of wealth clients—from affluent to ultra-high-net-worth—through banking, lending, mortgages, investment, custody and trust product offerings in approximately 20 countries, including the U.S., Mexico and the four wealth management centers: Singapore, Hong Kong, the UAE and London.
Legacy Franchises
consists of Asia Consumer and Mexico Consumer/SBMM businesses that Citi intends to exit, and its remaining Legacy Holdings Assets
.
Corporate/Other
includes activities not assigned to the operating segments, including certain unallocated costs of global functions, other corporate expenses and net treasury results, offsets to certain line-item reclassifications and eliminations, and unallocated taxes, as well as discontinued operations.
| Three Months Ended March 31, | ||||||||||||||||||||||||||||||||
| In millions of dollars, except identifiable assets, average loans and average deposits in billions | ICG | PBWM | Legacy Franchises | Corporate/Other | Total Citi | |||||||||||||||||||||||||||
| 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
| Net interest income | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Non-interest revenue |
|
|
|
|
|
|
(
|
(
|
|
|
||||||||||||||||||||||
| Total revenues, net of interest expense | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Operating expense |
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
| Provision for credit losses |
|
(
|
(
|
(
|
|
|
|
(
|
|
(
|
||||||||||||||||||||||
| Income (loss) from continuing operations before taxes | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
$ |
(
|
$ |
|
$ |
|
||||||||||||
| Provision (benefits) for income taxes |
|
|
|
|
(
|
|
(
|
(
|
|
|
||||||||||||||||||||||
| Income (loss) from continuing operations | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
||||||||||||
| Identifiable assets (March 31, 2022 and December 31, 2021) | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Average loans |
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
| Average deposits |
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
90
4.
INTEREST REVENUE AND EXPENSE
Interest revenue
and
Interest expense
consisted of the following:
| Three Months Ended March 31, | ||||||||
| In millions of dollars | 2022 | 2021 | ||||||
| Interest revenue | ||||||||
| Consumer loans | $ |
|
$ |
|
||||
| Corporate loans |
|
|
||||||
| Loan interest, including fees | $ |
|
$ |
|
||||
| Deposits with banks |
|
|
||||||
| Securities borrowed and purchased under agreements to resell |
|
|
||||||
| Investments, including dividends |
|
|
||||||
|
Trading account assets
(1)
|
|
|
||||||
| Other interest-bearing assets |
|
|
||||||
| Total interest revenue | $ |
|
$ |
|
||||
| Interest expense | ||||||||
| Deposits | $ |
|
$ |
|
||||
| Securities loaned and sold under agreements to repurchase |
|
|
||||||
|
Trading account liabilities
(1)
|
|
|
||||||
| Short-term borrowings and other interest-bearing liabilities |
|
|
||||||
| Long-term debt |
|
|
||||||
| Total interest expense | $ |
|
$ |
|
||||
| Net interest income | $ |
|
$ |
|
||||
| Provision (benefit) for credit losses on loans |
|
(
|
||||||
| Net interest income after provision for credit losses on loans | $ |
|
$ |
|
||||
(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.
91
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 2021 Form 10-K.
The following tables present
Commissions and fees
revenue:
| Three Months Ended March 31, 2022 | |||||||||||||||||
| In millions of dollars | ICG | PBWM | Legacy Franchises | Corporate/Other | Total | ||||||||||||
| Investment banking | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Brokerage commissions |
|
|
|
|
|
||||||||||||
| Credit and bank card income | |||||||||||||||||
| Interchange fees |
|
|
|
|
|
||||||||||||
| Card-related loan fees |
|
|
|
|
|
||||||||||||
|
Card rewards and partner payments
(1)
|
(
|
(
|
(
|
|
(
|
||||||||||||
|
Deposit-related fees
(2)
|
|
|
|
|
|
||||||||||||
| Transactional service fees |
|
|
|
|
|
||||||||||||
|
Corporate finance
(3)
|
|
|
|
|
|
||||||||||||
| Insurance distribution revenue |
|
|
|
|
|
||||||||||||
| Insurance premiums |
|
|
|
|
|
||||||||||||
| Loan servicing |
|
|
|
|
|
||||||||||||
| Other |
(
|
|
|
|
|
||||||||||||
|
Total commissions and fees
(4)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Three Months Ended March 31, 2021 | |||||||||||||||||
| In millions of dollars | ICG | PBWM | Legacy Franchises | Corporate/Other | Total | ||||||||||||
| Investment banking | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Brokerage commissions |
|
|
|
|
|
||||||||||||
| Credit and bank card income | |||||||||||||||||
| Interchange fees |
|
|
|
|
|
||||||||||||
| Card-related loan fees |
|
|
|
|
|
||||||||||||
|
Card rewards and partner payments
(1)
|
(
|
(
|
(
|
|
(
|
||||||||||||
|
Deposit-related fees
(2)
|
|
|
|
|
|
||||||||||||
| Transactional service fees |
|
|
|
|
|
||||||||||||
|
Corporate finance
(3)
|
|
|
|
|
|
||||||||||||
| Insurance distribution revenue |
|
|
|
|
|
||||||||||||
| Insurance premiums |
|
|
|
|
|
||||||||||||
| Loan servicing |
|
|
|
|
|
||||||||||||
| Other |
|
|
|
|
|
||||||||||||
|
Total commissions and fees
(4)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
(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 $
32
million and $
24
million for the three months ended March 31, 2022 and 2021, 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.
(4)
Commissions and fees
include $(
2,427
) million and $(
1,749
) million not accounted for under ASC 606,
Revenue from Contracts with Customers
, for the three months ended March 31, 2022 and 2021, respectively. Amounts reported in
Commissions and fees
accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.
92
The following tables present
Administration and other fiduciary fees
revenue:
| Three Months Ended March 31, 2022 | |||||||||||||||||
| In millions of dollars | ICG | PBWM | Legacy Franchises | Corporate/Other | Total | ||||||||||||
| Custody fees | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Fiduciary fees |
|
|
|
|
|
||||||||||||
| Guarantee fees |
|
|
|
|
|
||||||||||||
|
Total administration and other fiduciary fees
(1)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Three Months Ended March 31, 2021 | |||||||||||||||||
| In millions of dollars | ICG | PBWM | Legacy Franchises | Corporate/Other | Total | ||||||||||||
| Custody fees | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Fiduciary fees |
|
|
|
|
|
||||||||||||
| Guarantee fees |
|
|
|
|
|
||||||||||||
|
Total administration and other fiduciary fees
(1)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
(1)
Administration and other fiduciary fees
include $
144
million and $
145
million for the three months ended March 31, 2022 and 2021, respectively, that are not accounted for under ASC 606,
Revenue from Contracts with Customers.
These generally include guarantee fees.
93
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 income related to trading activities, which is an integral part of trading activities’ profitability. See Note 4 for information about net interest income related to trading activities. Principal transactions include CVA (credit valuation adjustments) and FVA (funding valuation adjustments) on over-the-counter derivatives, and gains (losses) on certain economic hedges on loans in
ICG
. These adjustments are discussed further in Note 20.
In certain transactions, Citi incurs fees and presents these fees paid to third parties in operating expenses.
| Three Months Ended March 31, | ||||||||
| In millions of dollars | 2022 | 2021 | ||||||
|
Interest rate risks
(1)
|
$ |
|
$ |
|
||||
|
Foreign exchange risks
(2)
|
|
|
||||||
|
Equity risks
(3)
|
|
|
||||||
|
Commodity and other risks
(4)
|
|
|
||||||
|
Credit products and risks
(5)
|
|
|
||||||
| Total | $ |
|
$ |
|
||||
(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.
94
7.
INCENTIVE PLANS
8.
RETIREMENT BENEFITS
For additional information on Citi’s retirement benefits, see Note 8 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
Net (Benefit) Expense
| 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 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||
| Benefits earned during the period | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
| Interest cost on benefit obligation |
|
|
|
|
|
|
|
|
||||||||||||||||||
| Expected return on assets |
(
|
(
|
(
|
(
|
(
|
(
|
(
|
(
|
||||||||||||||||||
| Amortization of unrecognized: | ||||||||||||||||||||||||||
| Prior service cost (benefit) |
|
|
(
|
(
|
(
|
(
|
(
|
(
|
||||||||||||||||||
| Net actuarial loss (gain) |
|
|
|
|
(
|
|
|
|
||||||||||||||||||
| Total net (benefit) expense | $ |
(
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
(
|
$ |
|
$ |
|
||||||||||
95
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, 2022 | ||||||||||||||
| 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 | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Plans measured annually |
(
|
(
|
|
(
|
||||||||||
|
Projected benefit obligation at beginning of year—Significant Plans
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||
| Benefits earned during the period |
|
|
|
|
||||||||||
| Interest cost on benefit obligation |
|
|
|
|
||||||||||
|
Actuarial gain
(1)
|
(
|
(
|
(
|
(
|
||||||||||
| Benefits paid, net of participants’ contributions and government subsidy |
(
|
(
|
(
|
(
|
||||||||||
|
Settlement gain
(2)
|
|
(
|
|
|
||||||||||
|
Curtailment gain
(2)
|
|
(
|
|
|
||||||||||
| Foreign exchange impact and other |
|
|
|
(
|
||||||||||
| Projected benefit obligation at period end—Significant Plans | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Change in plan assets | ||||||||||||||
| Plan assets at fair value at beginning of year | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Plans measured annually |
|
(
|
|
(
|
||||||||||
|
Plan assets at fair value at beginning of year—Significant Plans
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||
| Actual return on plan assets |
(
|
(
|
(
|
(
|
||||||||||
| Company contributions, net of reimbursements |
|
|
|
|
||||||||||
| Benefits paid, net of participants’ contributions and government subsidy |
(
|
(
|
(
|
(
|
||||||||||
|
Settlements gain
(2)
|
|
(
|
|
|
||||||||||
| Foreign exchange impact and other |
|
|
|
(
|
||||||||||
|
Plan assets at fair value at period end—Significant Plans
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||
|
Qualified plans
(3)
|
$ |
|
$ |
|
$ |
(
|
$ |
|
||||||
|
Nonqualified plans
(4)
|
(
|
|
|
|
||||||||||
|
Funded status of the plans at period end—Significant Plans
|
$ |
|
$ |
|
$ |
(
|
$ |
|
||||||
| Net amount recognized at period end | ||||||||||||||
| Benefit asset | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Benefit liability |
(
|
(
|
(
|
|
||||||||||
|
Net amount recognized on the balance sheet—Significant Plans
|
$ |
|
$ |
|
$ |
(
|
$ |
|
||||||
|
Amounts recognized in
AOCI
at period end
(5)
|
||||||||||||||
| Prior service benefit | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Net actuarial (loss) gain |
(
|
(
|
|
(
|
||||||||||
|
Net amount recognized in equity (pretax)—Significant Plans
|
$ |
(
|
$ |
(
|
$ |
|
$ |
(
|
||||||
|
Accumulated benefit obligation at period end—Significant Plans
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||
(1)
During 2022, the actuarial gain is primarily due to the increase in global discount rates.
(2)
Gains due to settlement and curtailment relate to divestiture activities.
(3)
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, 2022 and no minimum required funding is expected for 2022.
(4)
The nonqualified plans of the Company are unfunded.
(5)
The framework for the Company’s pension oversight process includes monitoring of potential settlement charges for all plans. Settlement accounting is triggered when either the sum of all settlements (including lump sum payments) for the year is greater than service plus interest costs or if more than 10% of the plan’s projected benefit obligation will be settled. Because some of Citi’s significant plans are frozen and have no material service cost, settlement accounting may apply in the future.
96
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, 2022 | Twelve Months Ended December 31, 2021 | Three Months Ended March 31, 2021 | ||||||||
|
Beginning of period balance, net of tax
(1)(2)
|
$ |
(
|
$ |
(
|
$ |
(
|
|||||
| Actuarial assumptions changes and plan experience |
|
|
|
||||||||
| Net asset loss due to difference between actual and expected returns |
(
|
(
|
(
|
||||||||
| Net amortization |
|
|
|
||||||||
| Prior service cost |
|
(
|
|
||||||||
|
Curtailment/settlement gain
(3)
|
|
|
|
||||||||
| Foreign exchange impact and other |
|
|
|
||||||||
| Change in deferred taxes, net |
(
|
(
|
(
|
||||||||
| Change, net of tax | $ |
|
$ |
|
$ |
|
|||||
|
End of period balance, net of tax
(1)(2)
|
$ |
(
|
$ |
(
|
$ |
(
|
|||||
(1)
See Note 17 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 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, 2022 | Dec. 31, 2021 | |||||||
| U.S. plans | ||||||||
| Qualified pension |
|
% |
|
% | ||||
| Nonqualified pension |
|
|
||||||
| Postretirement |
|
|
||||||
| Non-U.S. plans | ||||||||
| Pension |
|
|
||||||
| Weighted average |
|
|
||||||
| Postretirement |
|
|
||||||
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, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | ||||||||
| U.S. plans | |||||||||||
| Qualified pension |
|
% |
|
% |
|
% | |||||
| Nonqualified pension |
|
|
|
||||||||
| Postretirement |
|
|
|
||||||||
| Non-U.S. plans | |||||||||||
| Pension |
|
|
|
||||||||
| Weighted average |
|
|
|
||||||||
| Postretirement |
|
|
|
||||||||
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, 2022 | ||||||||
| In millions of dollars | One-percentage-point increase | One-percentage-point decrease | ||||||
| Pension | ||||||||
| U.S. plans | $ |
|
$ |
(
|
||||
| Non-U.S. plans |
(
|
|
||||||
| Postretirement | ||||||||
| U.S. plans |
|
|
||||||
| Non-U.S. plans |
(
|
|
||||||
97
Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first three months of 2022.
The following table summarizes the Company’s actual contributions for the three months ended March 31, 2022 and 2021, as well as expected Company contributions for the remainder of 2022 and the actual contributions made in 2021:
| Pension plans | Postretirement plans | |||||||||||||||||||||||||
|
U.S. plans
(1)
|
Non-U.S. plans | U.S. plans | Non-U.S. plans | |||||||||||||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||
|
Company contributions
(2)
for the three months ended
March 31
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
|
Company contributions (reimbursements) made during the
remainder of the year |
— |
|
— |
|
— |
|
— |
|
||||||||||||||||||
|
Company contributions expected to be made during the remainder of the year
(3)
|
|
— |
|
— |
|
— |
|
— | ||||||||||||||||||
(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.
(3)
Estimated 2022 benefit payments have increased due to the wind-down of Citi’s consumer banking business in Korea, as it is expected that employees who elected the VERP will be withdrawing their pension plan assets. See Note 2 for additional information.
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 | 2022 | 2021 | ||||||
| U.S. plans | $ |
|
$ |
|
||||
| Non-U.S. plans |
|
|
||||||
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 | 2022 | 2021 | ||||||
| Non-service-related expense | $ |
|
$ |
|
||||
| Total net expense | $ |
|
$ |
|
||||
98
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 | 2022 | 2021 | ||||||
| Earnings per common share | ||||||||
| Income from continuing operations before attribution of noncontrolling interests | $ |
|
$ |
|
||||
| Less: Noncontrolling interests from continuing operations |
|
|
||||||
| Net income from continuing operations (for EPS purposes) | $ |
|
$ |
|
||||
| Income (loss) from discontinued operations, net of taxes |
(
|
(
|
||||||
| Citigroup’s net income | $ |
|
$ |
|
||||
| Less: Preferred dividends |
|
|
||||||
| Net income available to common shareholders | $ |
|
$ |
|
||||
| Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS |
|
|
||||||
| Net income allocated to common shareholders for basic EPS | $ |
|
$ |
|
||||
|
Weighted-average common shares outstanding applicable to basic EPS
(in millions)
|
|
|
||||||
|
Basic earnings per share
(1)
|
||||||||
| Income from continuing operations | $ |
|
$ |
|
||||
| Discontinued operations |
|
|
||||||
| Net income per share—basic | $ |
|
$ |
|
||||
| Diluted earnings per share | ||||||||
| Net income allocated to common shareholders for basic EPS | $ |
|
$ |
|
||||
| Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable |
|
|
||||||
| Net income allocated to common shareholders for diluted EPS | $ |
|
$ |
|
||||
|
Weighted-average common shares outstanding applicable to basic EPS
(in millions)
|
|
|
||||||
| Effect of dilutive securities | ||||||||
|
Options
(2)
|
|
|
||||||
| Other employee plans |
|
|
||||||
|
Adjusted weighted-average common shares outstanding applicable to diluted EPS
(in millions)
(3)
|
|
|
||||||
|
Diluted earnings per share
(1)
|
||||||||
| Income from continuing operations | $ |
|
$ |
|
||||
| Discontinued operations |
|
|
||||||
| Net income per share—diluted | $ |
|
$ |
|
||||
(1)
Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
(2) During the first quarters of 2022 and 2021, no significant options to purchase shares of common stock were outstanding.
(3) 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.
99
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 2021 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,
2022 |
December 31, 2021 | ||||||
| Securities purchased under agreements to resell | $ |
|
$ |
|
||||
| Deposits paid for securities borrowed |
|
|
||||||
|
Total, net
(1)
|
$ |
|
$ |
|
||||
|
Allowance for credit losses on securities purchased and borrowed
(2)
|
(
|
(
|
||||||
| Total, net of allowance | $ |
|
$ |
|
||||
Securities loaned and sold under agreements to repurchase
, at their respective carrying values, consisted of the following:
| In millions of dollars |
March 31,
2022 |
December 31, 2021 | ||||||
| Securities sold under agreements to repurchase | $ |
|
$ |
|
||||
| Deposits received for securities loaned |
|
|
||||||
|
Total, net
(1)
|
$ |
|
$ |
|
||||
(1) The above tables do not include securities-for-securities lending transactions of $
3.7
billion and $
3.6
billion at March 31, 2022 and December 31, 2021, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within
Other assets
and the obligation to return those securities as a liability within
Brokerage payables
.
(2) See Note 14 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. 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. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and posts or obtains additional collateral in order to maintain contractual margin protection.
The 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, 2022 | |||||||||||||||||
| 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 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Deposits paid for securities borrowed |
|
|
|
|
|
||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
100
| 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 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Deposits received for securities loaned |
|
|
|
|
|
||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| As of December 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 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Deposits paid for securities borrowed |
|
|
|
|
|
||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| 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 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Deposits received for securities loaned |
|
|
|
|
|
||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
(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, 2022 | |||||||||||||||||
| 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 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Deposits received for securities loaned |
|
|
|
|
|
||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| As of December 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 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Deposits received for securities loaned |
|
|
|
|
|
||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
101
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, 2022 | |||||||||||
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total | ||||||||
| U.S. Treasury and federal agency securities | $ |
|
$ |
|
$ |
|
|||||
| State and municipal securities |
|
|
|
||||||||
| Foreign government securities |
|
|
|
||||||||
| Corporate bonds |
|
|
|
||||||||
| Equity securities |
|
|
|
||||||||
| Mortgage-backed securities |
|
|
|
||||||||
| Asset-backed securities |
|
|
|
||||||||
| Other |
|
|
|
||||||||
| Total | $ |
|
$ |
|
$ |
|
|||||
| As of December 31, 2021 | |||||||||||
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total | ||||||||
| U.S. Treasury and federal agency securities | $ |
|
$ |
|
$ |
|
|||||
| State and municipal securities |
|
|
|
||||||||
| Foreign government securities |
|
|
|
||||||||
| Corporate bonds |
|
|
|
||||||||
| Equity securities |
|
|
|
||||||||
| Mortgage-backed securities |
|
|
|
||||||||
| Asset-backed securities |
|
|
|
||||||||
| Other |
|
|
|
||||||||
| Total | $ |
|
$ |
|
$ |
|
|||||
102
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 2021 Form 10-K.
Brokerage receivables
and
Brokerage payables
consisted of the following:
| In millions of dollars |
March 31,
2022 |
December 31, 2021 | ||||||
| Receivables from customers | $ |
|
$ |
|
||||
| Receivables from brokers, dealers and clearing organizations |
|
|
||||||
|
Total brokerage receivables
(1)
|
$ |
|
$ |
|
||||
| Payables to customers | $ |
|
$ |
|
||||
| Payables to brokers, dealers and clearing organizations |
|
|
||||||
|
Total brokerage payables
(1)
|
$ |
|
$ |
|
||||
103
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 2021 Form 10-K.
The following table presents Citi’s investments by category:
| In millions of dollars |
March 31,
2022 |
December 31, 2021 | ||||||
| Debt securities available-for-sale (AFS) | $ |
|
$ |
|
||||
|
Debt securities held-to-maturity (HTM)
(1)
|
|
|
||||||
|
Marketable equity securities carried at fair value
(2)
|
|
|
||||||
|
Non-marketable equity securities carried at fair value
(2)
|
|
|
||||||
|
Non-marketable equity securities measured using the measurement alternative
(3)
|
|
|
||||||
|
Non-marketable equity securities carried at cost
(4)
|
|
|
||||||
| Total investments | $ |
|
$ |
|
||||
(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 | 2022 | 2021 | ||||||
| Taxable interest | $ |
|
$ |
|
||||
| Interest exempt from U.S. federal income tax |
|
|
||||||
| Dividend income |
|
|
||||||
| Total interest and dividend income on investments | $ |
|
$ |
|
||||
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 | 2022 | 2021 | ||||||
| Gross realized investment gains | $ |
|
$ |
|
||||
| Gross realized investment losses |
(
|
(
|
||||||
| Net realized gains on sales of investments | $ |
|
$ |
|
||||
104
Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
| March 31, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||
| 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 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Non-U.S. residential |
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
| Commercial |
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
| Total mortgage-backed securities | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| U.S. Treasury and federal agency securities | ||||||||||||||||||||||||||||||||
| U.S. Treasury | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Agency obligations |
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
| Total U.S. Treasury and federal agency securities | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| State and municipal | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Foreign government |
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
| Corporate |
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
|
Asset-backed securities
(1)
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
| Other debt securities |
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
| Total debt securities AFS | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
(1)
The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. See Note 18 for mortgage- and asset-backed securitizations in which the Company has other involvement.
105
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, 2022 | ||||||||||||||||||||
| Debt securities AFS | ||||||||||||||||||||
| Mortgage-backed securities | ||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Non-U.S. residential |
|
|
|
|
|
|
||||||||||||||
| Commercial |
|
|
|
|
|
|
||||||||||||||
| Total mortgage-backed securities | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| U.S. Treasury | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| State and municipal |
|
|
|
|
|
|
||||||||||||||
| Foreign government |
|
|
|
|
|
|
||||||||||||||
| Corporate |
|
|
|
|
|
|
||||||||||||||
| Asset-backed securities |
|
|
|
|
|
|
||||||||||||||
| Other debt securities |
|
|
|
|
|
|
||||||||||||||
| Total debt securities AFS | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| December 31, 2021 | ||||||||||||||||||||
| Debt securities AFS | ||||||||||||||||||||
| Mortgage-backed securities | ||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Non-U.S. residential |
|
|
|
|
|
|
||||||||||||||
| Commercial |
|
|
|
|
|
|
||||||||||||||
| Total mortgage-backed securities | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| U.S. Treasury and federal agency securities | ||||||||||||||||||||
| U.S. Treasury | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Agency obligations |
|
|
|
|
|
|
||||||||||||||
| Total U.S. Treasury and federal agency securities | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| State and municipal | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Foreign government |
|
|
|
|
|
|
||||||||||||||
| Corporate |
|
|
|
|
|
|
||||||||||||||
| Asset-backed securities |
|
|
|
|
|
|
||||||||||||||
| Other debt securities |
|
|
|
|
|
|
||||||||||||||
| Total debt securities AFS | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
106
The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
| March 31, 2022 | December 31, 2021 | |||||||||||||
| In millions of dollars |
Amortized
cost |
Fair
value |
Amortized
cost |
Fair
value |
||||||||||
|
Mortgage-backed securities
(1)
|
||||||||||||||
| Due within 1 year | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| After 1 but within 5 years |
|
|
|
|
||||||||||
| After 5 but within 10 years |
|
|
|
|
||||||||||
| After 10 years |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| U.S. Treasury and federal agency securities | ||||||||||||||
| Due within 1 year | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| After 1 but within 5 years |
|
|
|
|
||||||||||
| After 5 but within 10 years |
|
|
|
|
||||||||||
| After 10 years |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| State and municipal | ||||||||||||||
| Due within 1 year | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| After 1 but within 5 years |
|
|
|
|
||||||||||
| After 5 but within 10 years |
|
|
|
|
||||||||||
| After 10 years |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Foreign government | ||||||||||||||
| Due within 1 year | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| After 1 but within 5 years |
|
|
|
|
||||||||||
| After 5 but within 10 years |
|
|
|
|
||||||||||
| After 10 years |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
|
All other
(2)
|
||||||||||||||
| Due within 1 year | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| After 1 but within 5 years |
|
|
|
|
||||||||||
| After 5 but within 10 years |
|
|
|
|
||||||||||
| After 10 years |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Total debt securities AFS | $ |
|
$ |
|
$ |
|
$ |
|
||||||
(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)
Includes corporate, asset-backed and other debt securities.
107
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, 2022 | ||||||||||||||
| Debt securities HTM | ||||||||||||||
|
Mortgage-backed securities
(2)
|
||||||||||||||
| U.S. government-sponsored agency guaranteed | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Non-U.S. residential |
|
|
|
|
||||||||||
| Commercial |
|
|
|
|
||||||||||
| Total mortgage-backed securities | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| U.S. Treasury securities | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| State and municipal |
|
|
|
|
||||||||||
| Foreign government |
|
|
|
|
||||||||||
|
Asset-backed securities
(2)
|
|
|
|
|
||||||||||
| Total debt securities HTM, net | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| December 31, 2021 | ||||||||||||||
| Debt securities HTM | ||||||||||||||
|
Mortgage-backed securities
(2)
|
||||||||||||||
| U.S. government-sponsored agency guaranteed | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Non-U.S. residential |
|
|
|
|
||||||||||
| Commercial |
|
|
|
|
||||||||||
| Total mortgage-backed securities | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| U.S. Treasury securities | $ |
|
$ |
|
$ |
|
$ |
|
||||||
|
State and municipal
(3)
|
|
|
|
|
||||||||||
| Foreign government |
|
|
|
|
||||||||||
|
Asset-backed securities
(2)
|
|
|
|
|
||||||||||
| Total debt securities HTM, net | $ |
|
$ |
|
$ |
|
$ |
|
||||||
(1)
Amortized cost is reported net of ACL of $
85
million and $
87
million at March 31, 2022 and December 31, 2021, respectively.
(2)
The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. See Note 18 for mortgage- and asset-backed securitizations in which the Company has other involvement.
(3)
In February 2021, the Company 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.
108
The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
| March 31, 2022 | December 31, 2021 | |||||||||||||
| In millions of dollars |
Amortized cost
(1)
|
Fair value |
Amortized cost
(1)
|
Fair value | ||||||||||
| Mortgage-backed securities | ||||||||||||||
| Due within 1 year | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| After 1 but within 5 years |
|
|
|
|
||||||||||
| After 5 but within 10 years |
|
|
|
|
||||||||||
| After 10 years |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| U.S. Treasury securities | ||||||||||||||
| Due within 1 year | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| After 1 but within 5 years |
|
|
|
|
||||||||||
| After 5 but within 10 years |
|
|
|
|
||||||||||
| After 10 years |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| State and municipal | ||||||||||||||
| Due within 1 year | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| After 1 but within 5 years |
|
|
|
|
||||||||||
| After 5 but within 10 years |
|
|
|
|
||||||||||
| After 10 years |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Foreign government | ||||||||||||||
| Due within 1 year | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| After 1 but within 5 years |
|
|
|
|
||||||||||
| After 5 but within 10 years |
|
|
|
|
||||||||||
| After 10 years |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
|
All other
(2)
|
||||||||||||||
| Due within 1 year | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| After 1 but within 5 years |
|
|
|
|
||||||||||
| After 5 but within 10 years |
|
|
|
|
||||||||||
| After 10 years |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Total debt securities HTM | $ |
|
$ |
|
$ |
|
$ |
|
||||||
(1)
Amortized cost is reported net of ACL of $
85
million and $
87
million at March 31, 2022 and December 31, 2021, respectively.
(2)
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, 2022
or December 31, 2021.
There were no purchased credit-deteriorated HTM debt securities held by the Company as of
March 31, 2022
or December 31, 2021.
109
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 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, 2022.
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
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
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.
For more information on evaluating investments for impairment, see Note 13 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
110
Recognition and Measurement of Impairment
The following tables present total impairment on
Investments
recognized in earnings:
|
Three Months Ended
March 31, 2022 |
Three Months Ended
March 31, 2021 |
|||||||||||||||||||
| 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 |
|
|
|
|
|
|
||||||||||||||
| Total impairment losses recognized in earnings | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
Allowance for Credit Losses on AFS Debt Securities
| Three Months Ended March 31, 2022 | ||||||||
| In millions of dollars | Corporate | Total AFS | ||||||
| Allowance for credit losses at beginning of period | $ |
|
$ |
|
||||
| Gross write-offs |
|
|
||||||
| Gross recoveries |
|
|
||||||
| Net credit losses (NCLs) | $ |
|
$ |
|
||||
| NCLs | $ |
|
$ |
|
||||
| Credit losses on securities without previous credit losses |
|
|
||||||
| Net reserve builds (releases) on securities with previous credit losses |
|
|
||||||
| Total provision for credit losses | $ |
|
$ |
|
||||
| Initial allowance on newly purchased credit-deteriorated securities during the period |
|
|
||||||
| Allowance for credit losses at end of period | $ |
|
$ |
|
||||
| Three Months Ended March 31, 2021 | ||||||||
| In millions of dollars | Corporate | Total AFS | ||||||
| Allowance for credit losses at beginning of period | $ |
|
$ |
|
||||
| Gross write-offs |
|
|
||||||
| Gross recoveries |
|
|
||||||
| Net credit losses (NCLs) | $ |
|
$ |
|
||||
| NCLs | $ |
|
$ |
|
||||
| Credit losses on securities without previous credit losses |
|
|
||||||
| Net reserve builds (releases) on securities with previous credit losses |
|
|
||||||
| Total provision for credit losses | $ |
|
$ |
|
||||
| Initial allowance on newly purchased credit-deteriorated securities during the period |
|
|
||||||
| Allowance for credit losses at end of period | $ |
|
$ |
|
||||
111
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. For details on impairment indicators that are considered, see Note 13 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
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, 2022 and December 31, 2021:
| In millions of dollars | March 31, 2022 | December 31, 2021 | ||||||
| Measurement alternative: | ||||||||
| Carrying value | $ |
|
$ |
|
||||
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 | 2022 | 2021 | ||||||
|
Measurement alternative:
(1)
|
||||||||
| Impairment losses | $ |
|
$ |
|
||||
| Downward changes for observable prices |
|
|
||||||
| Upward changes for observable prices |
|
|
||||||
(1) See Note 20 for additional information on these nonrecurring fair value measurements.
| Life-to-date amounts on securities still held | |||||
| In millions of dollars | March 31, 2022 | ||||
| Measurement alternative: | |||||
| Impairment losses | $ |
|
|||
| Downward changes for observable prices |
|
||||
| Upward changes for observable prices |
|
||||
A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three months ended March 31, 2022 and 2021, there was
no
impairment loss recognized in earnings for non-marketable equity securities carried at cost.
112
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.
| Fair value |
Unfunded
commitments |
Redemption frequency
(if currently eligible) monthly, quarterly, annually |
Redemption
notice period |
|||||||||||||||||
| In millions of dollars |
March 31,
2022 |
December 31, 2021 |
March 31,
2022 |
December 31, 2021 | ||||||||||||||||
|
Private equity funds
(1)(2)
|
$ |
|
$ |
|
$ |
|
$ |
|
N/A | N/A | ||||||||||
|
Real estate funds
(2)(3)
|
|
|
|
|
N/A | N/A | ||||||||||||||
| Mutual/collective investment funds |
|
|
|
|
N/A | N/A | ||||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
N/A | N/A | ||||||||||
(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.
N/A Not applicable
113
13.
LOANS
Corporate Loans
Corporate loans represent loans and leases managed by
ICG
and the Mexico SBMM component of
Legacy Franchises.
The following table presents information by corporate loan type:
| In millions of dollars |
March 31,
2022 |
December 31,
2021 |
||||||
|
In North America offices
(1)
|
||||||||
| Commercial and industrial | $ |
|
$ |
|
||||
| Financial institutions |
|
|
||||||
|
Mortgage and real estate
(2)
|
|
|
||||||
| Installment and other |
|
|
||||||
| Lease financing |
|
|
||||||
| Total | $ |
|
$ |
|
||||
|
In offices outside North America
(1)
|
||||||||
| Commercial and industrial | $ |
|
$ |
|
||||
| Financial institutions |
|
|
||||||
|
Mortgage and real estate
(2)
|
|
|
||||||
| Installment and other |
|
|
||||||
| Lease financing |
|
|
||||||
| Governments and official institutions |
|
|
||||||
| Total | $ |
|
$ |
|
||||
|
Corporate loans, net of unearned income
(3)
|
$ |
|
$ |
|
||||
(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 ($
766
) million and ($
770
) million at March 31, 2022 and December 31, 2021, 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 $
0.3
billion of corporate loans during the three months ended March 31, 2022, and $
0.5
billion of corporate loans during the three months ended March 31, 2021. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three months ended March 31, 2022 or 2021.
114
Corporate Loan Delinquencies and Non-Accrual Details at March 31, 2022
| 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 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Financial institutions |
|
|
|
|
|
|
||||||||||||||
| Mortgage and real estate |
|
|
|
|
|
|
||||||||||||||
| Lease financing |
|
|
|
|
|
|
||||||||||||||
| Other |
|
|
|
|
|
|
||||||||||||||
| Loans at fair value |
|
|||||||||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
Corporate Loan Delinquencies and Non-Accrual Details at December 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 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Financial institutions |
|
|
|
|
|
|
||||||||||||||
| Mortgage and real estate |
|
|
|
|
|
|
||||||||||||||
| Lease financing |
|
|
|
|
|
|
||||||||||||||
| Other |
|
|
|
|
|
|
||||||||||||||
| Loans at fair value |
|
|||||||||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
(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.
115
Corporate Loans Credit Quality Indicators
|
Recorded investment in loans
(1)
|
||||||||||||||||||||||||||
| Term loans by year of origination |
Revolving line
of credit arrangements
(2)
|
March 31,
2022 |
||||||||||||||||||||||||
| In millions of dollars | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | ||||||||||||||||||||
|
Investment grade
(3)
|
||||||||||||||||||||||||||
|
Commercial and industrial
(4)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
|
Financial institutions
(4)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Mortgage and real estate |
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Other
(5)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Total investment grade | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
|
Non-investment grade
(3)
|
||||||||||||||||||||||||||
| Accrual | ||||||||||||||||||||||||||
|
Commercial and industrial
(4)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
|
Financial institutions
(4)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Mortgage and real estate |
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Other
(5)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Non-accrual | ||||||||||||||||||||||||||
|
Commercial and industrial
(4)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Financial institutions |
|
|
|
|
|
|
|
|
||||||||||||||||||
| Mortgage and real estate |
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Other
(5)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Total non-investment grade | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
|
Loans at fair value
(6)
|
$ |
|
||||||||||||||||||||||||
| Corporate loans, net of unearned income | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
116
|
Recorded investment in loans
(1)
|
||||||||||||||||||||||||||
| Term loans by year of origination |
Revolving line
of credit arrangements
(2)
|
December 31, 2021 | ||||||||||||||||||||||||
| In millions of dollars | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | ||||||||||||||||||||
|
Investment grade
(3)
|
||||||||||||||||||||||||||
|
Commercial and industrial
(4)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
|
Financial institutions
(4)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Mortgage and real estate |
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Other
(5)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Total investment grade | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
|
Non-investment grade
(3)
|
||||||||||||||||||||||||||
| Accrual | ||||||||||||||||||||||||||
|
Commercial and industrial
(4)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
|
Financial institutions
(4)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Mortgage and real estate |
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Other
(5)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Non-accrual | ||||||||||||||||||||||||||
|
Commercial and industrial
(4)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Financial institutions |
|
|
|
|
|
|
|
|
||||||||||||||||||
| Mortgage and real estate |
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Other
(5)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Total non-investment grade | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
|
Loans at fair value
(6)
|
$ |
|
||||||||||||||||||||||||
| Corporate loans, net of unearned income | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
(1)
Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)
There were no significant revolving line of credit arrangements that converted to term loans during the 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)
Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.
117
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, 2022 |
Three Months Ended
March 31, 2022 |
Three Months Ended
March 31, 2021 |
||||||||||||||||||
| In millions of dollars |
Recorded
investment
(1)
|
Unpaid
principal balance |
Related specific
allowance |
Average
carrying
value
(2)
|
Interest income recognized |
Interest
income recognized
(3)
|
||||||||||||||
| Non-accrual corporate loans | ||||||||||||||||||||
| Commercial and industrial | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Financial institutions |
|
|
|
|
|
|
||||||||||||||
| Mortgage and real estate |
|
|
|
|
|
|
||||||||||||||
| Lease financing |
|
|
|
|
|
|
||||||||||||||
| Other |
|
|
|
|
|
|
||||||||||||||
| Total non-accrual corporate loans | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| December 31, 2021 | ||||||||||||||
| In millions of dollars |
Recorded
investment
(1)
|
Unpaid
principal balance |
Related specific
allowance |
Average
carrying
value
(2)
|
||||||||||
| Non-accrual corporate loans | ||||||||||||||
| Commercial and industrial | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Financial institutions |
|
|
|
|
||||||||||
| Mortgage and real estate |
|
|
|
|
||||||||||
| Lease financing |
|
|
|
|
||||||||||
| Other |
|
|
|
|
||||||||||
| Total non-accrual corporate loans | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| March 31, 2022 | December 31, 2021 | |||||||||||||
| 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 | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Financial institutions |
|
|
|
|
||||||||||
| Mortgage and real estate |
|
|
|
|
||||||||||
| Other |
|
|
|
|
||||||||||
| Total non-accrual corporate loans with specific allowances | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Non-accrual corporate loans without specific allowances | ||||||||||||||
| Commercial and industrial | $ |
|
$ |
|
||||||||||
| Financial institutions |
|
|
||||||||||||
| Mortgage and real estate |
|
|
||||||||||||
| Lease financing |
|
|
||||||||||||
| Other |
|
|
||||||||||||
| Total non-accrual corporate loans without specific allowances | $ |
|
N/A | $ |
|
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
118
Corporate Troubled Debt Restructurings
(1)
For the Three Months Ended March 31, 2022
| 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 | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Mortgage and real estate |
|
|
|
|
||||||||||
| Other |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
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 | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Mortgage and real estate |
|
|
|
|
||||||||||
| Other |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
(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, 2022 |
TDR loans that re-defaulted in 2022 within one year of modification |
TDR balances at
March 31, 2021 |
TDR loans that re-defaulted in 2021 within one year of modification | ||||||||||
| Commercial and industrial | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Mortgage and real estate |
|
|
|
|
||||||||||
| Other |
|
|
|
|
||||||||||
|
Total
(1)
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||
(1)
The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.
119
Consumer Loans
Consumer loans represent loans and leases managed primarily by
PBWM
and
Legacy Franchises
, except Mexico SBMM.
Consumer Loans, Delinquencies and Non-Accrual Status at March 31, 2022
| 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)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
|
Home equity loans
(8)(9)
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
| Credit cards |
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
| Personal, small business and other |
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
|
In offices outside North America
(6)
|
|||||||||||||||||||||||||||||
|
Residential mortgages
(7)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
| Credit cards |
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
| Personal, small business and other |
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
|
Total Citigroup
(10)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
(1)
Loans less than 30 days past due are presented as current.
(2)
Includes $
10
million of residential first mortgages recorded at fair value.
(3)
Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes classifiably managed Private bank loans.
(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 loans 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 $
0.3
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 and $
0.0 billion
of residential first mortgage loans in process of foreclosure in North America and outside of North America, respectively.
(8)
Includes approximately $
0.1
billion and $
0.0 billion
of home equity loans in process of foreclosure in North America and outside of North America, respectively.
(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 $
591
million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
Interest Income Recognized for Non-Accrual Consumer Loans
| In millions of dollars | Three Months Ended March 31, 2022 | Three Months Ended March 31, 2021 | ||||||
|
In North America offices
(1)
|
||||||||
| Residential first mortgages | $ |
|
$ |
|
||||
| Home equity loans |
|
|
||||||
| Credit cards |
|
|
||||||
| Personal, small business and other |
|
|
||||||
| Total | $ |
|
$ |
|
||||
|
In offices outside North America
(1)
|
||||||||
| Residential mortgages | $ |
|
$ |
|
||||
| Credit cards |
|
|
||||||
| Personal, small business and other |
|
|
||||||
| Total | $ |
|
$ |
|
||||
| Total Citigroup | $ |
|
$ |
|
||||
(1)
North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
120
Consumer Loans, Delinquencies and Non-Accrual Status at December 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)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
|
Home equity loans
(8)(9)
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
| Credit cards |
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
| Personal, small business and other |
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
|
In offices outside North America
(6)
|
|||||||||||||||||||||||||||||
|
Residential mortgages
(7)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
| Credit cards |
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
| Personal, small business and other |
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
|
Total Citigroup
(10)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
(1)
Loans less than 30 days past due are presented as current.
(2)
Includes $
12
million of residential first mortgages recorded at fair value.
(3)
Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes classifiably managed Private bank loans.
(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 loans 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 $
0.3
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.
During the three months ended March 31, 2022, the Company sold and/or reclassified to HFS $
7
million of consumer loans. During the three months ended March 31, 2021, the Company sold and/or reclassified to HFS $
96
million of consumer loans. Loans held by a business for sale are not included in the above. See Note 2 for additional information regarding Citigroup’s businesses for sale.
121
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, 2022 | ||||||||||||||||
| In millions of dollars |
Less than
680 |
680
to 760 |
Greater
than 760 |
FICO not available | Total loans | ||||||||||||
| Residential first mortgages | |||||||||||||||||
| 2022 | $ |
|
$ |
|
$ |
|
|||||||||||
| 2021 |
|
|
|
||||||||||||||
| 2020 |
|
|
|
||||||||||||||
| 2019 |
|
|
|
||||||||||||||
| 2018 |
|
|
|
||||||||||||||
| Prior |
|
|
|
||||||||||||||
| Total residential first mortgages | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Home equity loans (pre-reset) | $ |
|
$ |
|
$ |
|
|||||||||||
| Home equity loans (post-reset) |
|
|
|
||||||||||||||
| Total home equity loans | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
|
Credit cards
(3)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Personal, small business and other | |||||||||||||||||
| 2022 | $ |
|
$ |
|
$ |
|
|||||||||||
| 2021 |
|
|
|
||||||||||||||
| 2020 |
|
|
|
||||||||||||||
| 2019 |
|
|
|
||||||||||||||
| 2018 |
|
|
|
||||||||||||||
| Prior |
|
|
|
||||||||||||||
|
Total personal, small business and other
(4)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
|
FICO score distribution in U.S. portfolio
(1)(2)
|
December 31, 2021 | ||||||||||||||||
| In millions of dollars |
Less than
680 |
680
to 760 |
Greater
than 760 |
FICO not available |
Total
loans |
||||||||||||
| Residential first mortgages | |||||||||||||||||
| 2021 | $ |
|
$ |
|
$ |
|
|||||||||||
| 2020 |
|
|
|
||||||||||||||
| 2019 |
|
|
|
||||||||||||||
| 2018 |
|
|
|
||||||||||||||
| 2017 |
|
|
|
||||||||||||||
| Prior |
|
|
|
||||||||||||||
| Total residential first mortgages | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Home equity loans (pre-reset) | $ |
|
$ |
|
$ |
|
|||||||||||
| Home equity loans (post-reset) |
|
|
|
||||||||||||||
| Total home equity loans | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
|
Credit cards
(3)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Personal, small business and other | |||||||||||||||||
| 2021 | $ |
|
$ |
|
$ |
|
|||||||||||
| 2020 |
|
|
|
||||||||||||||
| 2019 |
|
|
|
||||||||||||||
| 2018 |
|
|
|
||||||||||||||
| 2017 |
|
|
|
||||||||||||||
| Prior |
|
|
|
||||||||||||||
|
Total personal, small business and other
(4)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
(1) The FICO bands in the tables are consistent with general industry peer presentations.
122
(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 $
507
million and $
517
million of balances related to Canada for March 31, 2022 and December 31, 2021, respectively.
(4) Excludes $
938
million and $
907
million of balances related to Canada for March 31, 2022 and December 31, 2021, respectively.
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, 2022 | ||||||||||||||||
| 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 | |||||||||||||||||
| 2022 | $ |
|
$ |
|
$ |
|
|||||||||||
| 2021 |
|
|
|
||||||||||||||
| 2020 |
|
|
|
||||||||||||||
| 2019 |
|
|
|
||||||||||||||
| 2018 |
|
|
|
||||||||||||||
| Prior |
|
|
|
||||||||||||||
| Total residential first mortgages | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Home equity loans (pre-reset) | $ |
|
$ |
|
$ |
|
|||||||||||
| Home equity loans (post-reset) |
|
|
|
||||||||||||||
| Total home equity loans | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| LTV distribution in U.S. portfolio | December 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 | $ |
|
$ |
|
$ |
|
|||||||||||
| 2020 |
|
|
|
||||||||||||||
| 2019 |
|
|
|
||||||||||||||
| 2018 |
|
|
|
||||||||||||||
| 2017 |
|
|
|
||||||||||||||
| Prior |
|
|
|
||||||||||||||
| Total residential first mortgages | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Home equity loans (pre-reset) | $ |
|
$ |
|
$ |
|
|||||||||||
| Home equity loans (post-reset) |
|
|
|
||||||||||||||
| Total home equity loans | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
123
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, 2022 | 2022 | 2021 | ||||||||||||||||||
| In millions of dollars |
Recorded
investment
(1)(2)
|
Unpaid
principal balance |
Related
specific allowance
(3)
|
Average
carrying value
(4)
|
Interest income
recognized (6) |
Interest income
recognized (6) |
||||||||||||||
| Mortgage and real estate | ||||||||||||||||||||
| Residential first mortgages | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Home equity loans |
|
|
(
|
|
|
|
||||||||||||||
| Credit cards |
|
|
|
|
|
|
||||||||||||||
| Personal, small business and other |
|
|
|
|
|
|
||||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Balance at December 31, 2021 | ||||||||||||||
| In millions of dollars |
Recorded
investment
(1)(2)
|
Unpaid
principal balance |
Related
specific allowance
(3)(4)
|
Average
carrying value
(5)
|
||||||||||
| Mortgage and real estate | ||||||||||||||
| Residential first mortgages | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Home equity loans |
|
|
(
|
|
||||||||||
| Credit cards |
|
|
|
|
||||||||||
| Personal, small business and other |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
(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, 2022, $
191
million of residential first mortgages and $
88
million of home equity loans do not have a specific allowance. For December 31, 2021, $
190
million of residential first mortgages and $
94
million of home equity loans do not have a specific allowance.
(3)
Included in the
Allowance for credit losses on loans
.
(4)
The negative allowance on home equity loans resulted from expected recoveries on previously written-off accounts.
(5)
Average carrying value represents the average recorded investment ending balance for the last
four
quarters and does not include the related specific allowance.
124
Consumer Troubled Debt Restructurings
(1)
| For the Three Months Ended March 31, 2022 | ||||||||||||||||||||
| 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 |
|
$ |
|
$ |
|
$ |
|
$ |
|
|
% | |||||||||
| Home equity loans |
|
|
|
|
|
|
||||||||||||||
| Credit cards |
|
|
|
|
|
|
||||||||||||||
| Personal, small business and other |
|
|
|
|
|
|
||||||||||||||
|
Total
(7)
|
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
| International | ||||||||||||||||||||
| Residential mortgages |
|
$ |
|
$ |
|
$ |
|
$ |
|
|
% | |||||||||
| Credit cards |
|
|
|
|
|
|
||||||||||||||
| Personal, small business and other |
|
|
|
|
|
|
||||||||||||||
|
Total
(7)
|
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
| For the Three Months Ended March 31, 2021 | ||||||||||||||||||||
| 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 |
|
$ |
|
$ |
|
$ |
|
$ |
|
|
% | |||||||||
| Home equity loans |
|
|
|
|
|
|
||||||||||||||
| Credit cards |
|
|
|
|
|
|
||||||||||||||
| Personal, small business and other |
|
|
|
|
|
|
||||||||||||||
|
Total
(7)
|
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
| International | ||||||||||||||||||||
| Residential mortgages |
|
$ |
|
$ |
|
$ |
|
$ |
|
|
% | |||||||||
| Credit cards |
|
|
|
|
|
|
||||||||||||||
| Personal, small business and other |
|
|
|
|
|
|
||||||||||||||
|
Total
(7)
|
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
(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 $
1
million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31, 2022. These amounts include $
1
million of residential first mortgages that were newly classified as TDRs in the three months ended March 31, 2022, 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 $
3
million of residential first mortgages 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 that were newly classified as TDRs in the three months ended March 31, 2021, based on previously received OCC guidance.
125
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 | 2022 | 2021 | ||||||
| North America | ||||||||
| Residential first mortgages | $ |
|
$ |
|
||||
| Home equity loans |
|
|
||||||
| Credit cards |
|
|
||||||
| Personal, small business and other |
|
|
||||||
| Total | $ |
|
$ |
|
||||
| International | ||||||||
| Residential mortgages | $ |
|
$ |
|
||||
| Credit cards |
|
|
||||||
| Personal, small business and other |
|
|
||||||
| Total | $ |
|
$ |
|
||||
Purchased Credit-Deteriorated Assets
| Three Months Ended March 31, 2022 | Three Months Ended December 31, 2021 |
Three Months Ended March 31,
2021 |
|||||||||||||||||||||||||||
| 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 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
| Allowance for credit losses at acquisition date |
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
| Discount or premium attributable to non-credit factors |
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
| Par value (amortized cost basis) | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
(1) Includes loans sold to agencies that were bought back at par due to repurchase agreements.
126
14.
ALLOWANCE FOR CREDIT LOSSES
| Three Months Ended March 31, | ||||||||
| In millions of dollars | 2022 | 2021 | ||||||
| Allowance for credit losses on loans (ACLL) at beginning of period | $ |
|
$ |
|
||||
| Gross credit losses on loans | $ |
(
|
$ |
(
|
||||
| Gross recoveries on loans |
|
|
||||||
| Net credit losses on loans (NCLs) | $ |
(
|
$ |
(
|
||||
| Replenishment of NCLs | $ |
|
$ |
|
||||
| Net reserve builds (releases) for loans |
(
|
(
|
||||||
| Net specific reserve builds (releases) for loans |
|
(
|
||||||
| Total provision for credit losses on loans (PCLL) | $ |
|
$ |
(
|
||||
| Other, net (see table below) |
(
|
(
|
||||||
| ACLL at end of period | $ |
|
$ |
|
||||
|
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period
(1)
|
$ |
|
$ |
|
||||
| Provision (release) for credit losses on unfunded lending commitments |
|
(
|
||||||
|
Other, net
|
(
|
(
|
||||||
|
ACLUC at end of period
(1)
|
$ |
|
$ |
|
||||
| Total allowance for credit losses on loans, leases and unfunded lending commitments | $ |
|
$ |
|
||||
| Other, net details | Three Months Ended March 31, | |||||||
| In millions of dollars | 2022 | 2021 | ||||||
|
Reclasses of consumer ACLL to HFS
(2)
|
$ |
(
|
$ |
|
||||
| FX translation and other |
(
|
(
|
||||||
| Other, net | $ |
(
|
$ |
(
|
||||
(1)
Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in
Other liabilities
on the Consolidated Balance Sheet.
(2)
See Note 2.
127
Allowance for Credit Losses on Loans and End-of-Period Loans
| Three Months Ended | ||||||||||||||||||||
| March 31, 2022 | March 31, 2021 | |||||||||||||||||||
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | ||||||||||||||
| ACLL at beginning of period | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Gross credit losses on loans |
(
|
(
|
(
|
(
|
(
|
(
|
||||||||||||||
| Gross recoveries on loans |
|
|
|
|
|
|
||||||||||||||
| Replenishment of NCLs |
|
|
|
|
|
|
||||||||||||||
| Net reserve builds (releases) |
|
(
|
(
|
(
|
(
|
(
|
||||||||||||||
| Net specific reserve builds (releases) |
|
(
|
|
(
|
(
|
(
|
||||||||||||||
| Other |
|
(
|
(
|
(
|
(
|
(
|
||||||||||||||
| Ending balance | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
(1)
See “Accounting Changes” in Note 1 for additional details.
| March 31, 2022 | December 31, 2021 | |||||||||||||||||||
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | ||||||||||||||
| ACLL | ||||||||||||||||||||
| Collectively evaluated | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Individually evaluated |
|
|
|
|
|
|
||||||||||||||
| Purchased credit deteriorated |
|
(
|
(
|
|
|
|
||||||||||||||
| Total ACLL | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Loans, net of unearned income | ||||||||||||||||||||
| Collectively evaluated | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Individually evaluated |
|
|
|
|
|
|
||||||||||||||
| Purchased credit deteriorated |
|
|
|
|
|
|
||||||||||||||
| Held at fair value |
|
|
|
|
|
|
||||||||||||||
| Total loans, net of unearned income | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
128
Allowance for Credit Losses on HTM Debt Securities
| Three Months Ended March 31, 2022 | |||||||||||||||||
| 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 quarter |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Gross credit losses |
|
|
|
|
|
||||||||||||
| Gross recoveries |
|
|
|
|
|
||||||||||||
| Net credit losses (NCLs) | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Replenishment of NCLs | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Net reserve builds (releases) |
(
|
|
(
|
(
|
(
|
||||||||||||
| Net specific reserve builds (releases) |
|
|
|
|
|
||||||||||||
| Total provision for credit losses on HTM debt securities | $ |
(
|
$ |
|
$ |
(
|
$ |
(
|
$ |
(
|
|||||||
|
Allowance for credit losses on HTM debt securities
at end of quarter |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
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 quarter |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Gross credit losses |
|
|
|
|
|
||||||||||||
| Gross recoveries |
|
|
|
|
|
||||||||||||
| Net credit losses (NCLs) | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Replenishment of NCLs | $ |
(
|
$ |
|
$ |
|
$ |
|
$ |
(
|
|||||||
| Net reserve builds (releases) |
|
(
|
(
|
(
|
(
|
||||||||||||
| Net specific reserve builds (releases) |
|
|
|
|
|
||||||||||||
| Total provision for credit losses on HTM debt securities | $ |
(
|
$ |
(
|
$ |
(
|
$ |
(
|
$ |
(
|
|||||||
|
Allowance for credit losses on HTM debt securities
at end of quarter |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
129
Allowance for Credit Losses on Other Assets
| Three Months Ended March 31, 2022 | |||||||||||||||||
| In millions of dollars | Deposits with banks |
Securities borrowed and purchased under agreements
to resell |
Brokerage receivables |
All other assets
(1)
|
Total | ||||||||||||
|
Allowance for credit losses on other assets
at beginning of quarter |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Gross credit losses |
|
|
|
(
|
(
|
||||||||||||
| Gross recoveries |
|
|
|
|
|
||||||||||||
| Net credit losses (NCLs) | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
(
|
|||||||
| Replenishment of NCLs | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Net reserve builds (releases) |
(
|
(
|
|
(
|
(
|
||||||||||||
| Total provision for credit losses | $ |
(
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
|||||||
| Other, net | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
|
Allowance for credit losses on other assets
at end of quarter |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
(1)
Primarily accounts receivable.
Allowance for Credit Losses on Other Assets
| Three Months Ended March 31, 2021 | |||||||||||||||||
| In millions of dollars | 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 quarter | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Gross credit losses |
|
|
|
|
|
||||||||||||
| Gross recoveries |
|
|
|
|
|
||||||||||||
| Net credit losses (NCLs) | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Replenishment of NCLs | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Net reserve builds (releases) |
|
(
|
|
|
|
||||||||||||
| Total provision for credit losses | $ |
|
$ |
(
|
$ |
|
$ |
|
$ |
|
|||||||
| Other, net | $ |
(
|
$ |
|
$ |
|
$ |
|
$ |
(
|
|||||||
|
Allowance for credit losses on other assets
at end of quarter |
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
(1) Primarily accounts receivable.
130
15.
GOODWILL AND INTANGIBLE ASSETS
Goodwill
The changes in
Goodwill
were as follows:
| In millions of dollars | Institutional Clients Group | Personal Banking and Wealth Management | Legacy Franchises | Total | ||||||||||
| Balance at December 31, 2021 | $ |
|
$ |
|
$ |
|
$ |
|
||||||
|
Impairment
(1)
|
|
|
(
|
(
|
||||||||||
|
Divestitures
(2)
|
|
|
(
|
(
|
||||||||||
| Foreign currency translation |
(
|
|
|
(
|
||||||||||
| Balance at March 31, 2022 | $ |
|
$ |
|
$ |
|
$ |
|
||||||
(1)
Goodwill impairment of $
535
million (approximately $
489
million after-tax) was incurred in the Asia Consumer reporting unit of
Legacy Franchises
due to the re-segmentation and timing of divestitures recorded in the first quarter.
(2)
Primarily relates to Citi’s agreement to sell its consumer banking businesses in Malaysia, Thailand, Indonesia, Vietnam, Taiwan, India and Bahrain within Asia Consumer, during the first quarter of 2022 and reclassified as HFS as of March 31, 2022. See Note 2.
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 2021 annual impairment test resulted in no impairment.
As discussed in Note 3, effective January 1, 2022, as part of its strategic refresh, Citi made changes to its management structure, which resulted in changes in its operating segments and reporting units to reflect how the CEO, who is the chief operating decision maker, intends to manage the Company, allocate resources and measure performance. Goodwill balances were reallocated across the new reporting units based on their relative fair values using the valuation performed as of the effective date of the reorganization. Further, the Goodwill balances associated with certain Asia Consumer businesses within the
Legacy Franchises
operating segment were reclassified to HFS as of March 31, 2022. See Note 2 for a discussion of Citi’s divestiture activities.
The reorganization of Citi’s reporting structure and the announced sales of businesses within a reporting unit were identified as triggering events for purposes of goodwill impairment testing. Consistent with the requirements of ASC 350, interim goodwill impairment tests were performed that resulted in an impairment of $
535
million to the Asia Consumer reporting unit within the
Legacy Franchises
operating segment, due to the implementation of Citi’s revised operating segments and reporting units, as well as the timing of the announced sales of its Asia consumer banking businesses. This impairment was recorded in the first quarter of 2022 as an operating expense.
To determine the goodwill impairment, Citi used a combination of the income approach, market approach and bids from buyers, where available, to determine the fair value of the Asia Consumer reporting unit. Under the market approach, Citi estimated fair value by comparing the business to similar businesses or guideline companies whose securities are actively traded in public markets. Under the income approach, Citi used a discounted cash flow (DCF) model in which cash flows anticipated over several periods, plus a terminal value at the end of that time horizon, are discounted
to their present value using an appropriate rate that is commensurate with the risk inherent within the reporting unit.
The key assumptions used to determine the fair value of the Asia Consumer reporting unit consisted primarily of significant unobservable inputs (Level 3 fair value inputs), including discount rates, estimated cash flows, growth rates, earnings multiples and/or transaction multiples of similar businesses or guideline public companies, and bids from buyers. The DCF method employs a capital asset pricing model in estimating the discount rate based on several factors including market interest rates, and includes adjustments for market risk and company-specific risk. Estimated cash flows are based on internally developed estimates and the growth rates are based on industry knowledge and historical performance.
Based on the interim impairment tests, the fair values of all of Citi’s other reporting units as a percentage of their allocated carrying values ranged from approximately
114
% to
267
%, resulting in no further impairment recognized as of March 31, 2022.
While the inherent risk of uncertainty is embedded in the key assumptions used in the valuations, the economic and business environments continue to evolve as management implements its strategic refresh. If management’s future estimate of key economic and market assumptions were to differ from its current assumptions, Citi could potentially experience material goodwill impairment charges in the future.
See Note 3 for a description of Citi’s operating segments. For additional information regarding Citi’s accounting policy for goodwill and its related goodwill impairment testing process, see Note 1 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
131
Intangible Assets
The components of intangible assets were as follows:
| March 31, 2022 | December 31, 2021 | |||||||||||||||||||
| In millions of dollars |
Gross
carrying amount |
Accumulated
amortization |
Net
carrying amount |
Gross
carrying amount |
Accumulated
amortization |
Net
carrying amount |
||||||||||||||
| Purchased credit card relationships | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
|
Credit card contract-related intangibles
(1)
|
|
|
|
|
|
|
||||||||||||||
| Core deposit intangibles |
|
|
|
|
|
|
||||||||||||||
| Other customer relationships |
|
|
|
|
|
|
||||||||||||||
| Present value of future profits |
|
|
|
|
|
|
||||||||||||||
| Indefinite-lived intangible assets |
|
— |
|
|
— |
|
||||||||||||||
| Other |
|
|
|
|
|
|
||||||||||||||
| Intangible assets (excluding MSRs) | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
|
Mortgage servicing rights (MSRs)
(2)
|
|
— |
|
|
— |
|
||||||||||||||
| Total intangible assets | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
(1)
Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented
97
% of the aggregate net carrying amount as of both March 31, 2022 and December 31, 2021.
(2)
See Note 18 for additional information on Citi’s MSRs.
The changes in intangible assets were as follows:
| In millions of dollars | Net carrying amount at December 31, 2021 |
Acquisitions/renewals/
divestitures |
Amortization | Impairments | FX translation and other | Net carrying amount at March 31, 2022 | ||||||||||||||
|
Purchased credit card relationships
(1)
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
|
||||||||
|
Credit card contract-related intangibles
(2)
|
|
|
(
|
|
|
|
||||||||||||||
| Core deposit intangibles |
|
|
|
|
|
|
||||||||||||||
| Other customer relationships |
|
|
(
|
|
(
|
|
||||||||||||||
| Present value of future profits |
|
|
|
|
|
|
||||||||||||||
| Indefinite-lived intangible assets |
|
|
|
|
|
|
||||||||||||||
| Other |
|
|
(
|
|
(
|
|
||||||||||||||
| Intangible assets (excluding MSRs) | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
|
||||||||
|
Mortgage servicing rights (MSRs)
(3)
|
|
|
||||||||||||||||||
| Total intangible assets | $ |
|
$ |
|
||||||||||||||||
(1)
Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract-related intangibles, and includes credit card accounts primarily in the Costco, Macy’s and Sears portfolios.
(2)
Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented
97
% of the aggregate net carrying amount at both March 31, 2022 and December 31, 2021.
(3)
See Note 18 for additional information on Citi’s MSRs, including the rollforward for the three months ended March 31, 2022.
132
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 2021 Form 10-K.
Short-Term Borrowings
| In millions of dollars |
March 31,
2022 |
December 31,
2021 |
||||||
| Commercial paper | ||||||||
|
Bank
(1)
|
$ |
|
$ |
|
||||
|
Broker-dealer and other
(2)
|
|
|
||||||
| Total commercial paper | $ |
|
$ |
|
||||
|
Other borrowings
(3)
|
|
|
||||||
| Total | $ |
|
$ |
|
||||
(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, 2022 and December 31, 2021, there were
no
collateralized short-term advances from the Federal Home Loan Banks.
Long-Term Debt
| In millions of dollars |
March 31,
2022 |
December 31, 2021 | ||||||
|
Citigroup Inc.
(1)
|
$ |
|
$ |
|
||||
|
Bank
(2)
|
|
|
||||||
|
Broker-dealer and other
(3)
|
|
|
||||||
| Total | $ |
|
$ |
|
||||
(1)
Represents the parent holding company.
(2)
Represents Citibank entities as well as other bank entities. At March 31, 2022 and December 31, 2021, collateralized long-term advances from the Federal Home Loan Banks were $
1.0
billion and $
5.3
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 $
1.6
billion and $
1.7
billion at March 31, 2022 and December 31, 2021, respectively.
The following table summarizes Citi’s outstanding trust preferred securities at March 31, 2022:
| 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 |
|
$ |
|
|
% |
|
$ |
|
Dec. 1, 2036 | Not redeemable | |||||||||||||||
| Citigroup Capital XIII | Sept. 2010 |
|
|
3 mo. LIBOR +
|
|
|
Oct. 30, 2040 | Oct. 30, 2015 | ||||||||||||||||||
| Total obligated | $ |
|
$ |
|
||||||||||||||||||||||
Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and quarterly for Citigroup Capital XIII.
(1)
Represents the notional value received by outside investors from the trusts at the time of issuance. This differs from Citi’s balance sheet carrying value due primarily to unamortized discount and issuance costs.
133
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, 2022
| 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)(5) |
Excluded component of fair value hedges |
Accumulated
other comprehensive income (loss) |
||||||||||||||||
| Balance, December 31, 2021 | $ |
(
|
$ |
(
|
$ |
|
$ |
(
|
$ |
(
|
$ |
(
|
$ |
(
|
|||||||||
|
Other comprehensive income before
reclassifications |
(
|
|
(
|
|
(
|
|
(
|
||||||||||||||||
|
Increase (decrease) due to amounts
reclassified from
AOCI
|
|
|
(
|
(
|
|
|
(
|
||||||||||||||||
|
Change, net of taxes
|
$ |
(
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
|||||||||
| Balance at March 31, 2022 | $ |
(
|
$ |
(
|
$ |
(
|
$ |
(
|
$ |
(
|
$ |
|
$ |
(
|
|||||||||
Three Months Ended March 31, 2021
| 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, 2020 | $ |
|
$ |
(
|
$ |
|
$ |
(
|
$ |
(
|
$ |
(
|
$ |
(
|
|||||||||
|
Other comprehensive income before
reclassifications |
(
|
(
|
(
|
|
(
|
(
|
(
|
||||||||||||||||
|
Increase (decrease) due to amounts
reclassified from
AOCI
|
(
|
|
(
|
|
|
|
(
|
||||||||||||||||
|
Change, net of taxes
|
$ |
(
|
$ |
(
|
$ |
(
|
$ |
|
$ |
(
|
$ |
(
|
$ |
(
|
|||||||||
| Balance at March 31, 2021 | $ |
|
$ |
(
|
$ |
|
$ |
(
|
$ |
(
|
$ |
(
|
$ |
(
|
|||||||||
(1)
Reflects the after-tax valuation of Citi’s fair value option liabilities. See “Market Valuation Adjustments” in Note 20.
(2)
Primarily driven by Citi’s pay floating/receive fixed interest rate swap programs that hedge certain floating rates on assets.
(3)
Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.
(4)
Primarily reflects the movements in (by order of impact) the Brazilian real, Japanese yen, Mexican peso, South Korean won, Euro, Chilean peso and Indian rupee against the U.S. dollar and changes in related tax effects and hedges for the three months ended March 31, 2022. 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. Amounts recorded in the CTA component of
AOCI
remain in
AOCI
until the sale or substantial liquidation of the foreign entity, at which point such amounts related to the foreign entity are reclassified into earnings.
(5)
March 31, 2022 includes an approximate $
475
million (after-tax) ($
625
million pretax) currency translation adjustment (CTA) loss (net of hedges) associated with Citi’s agreement to sell its consumer banking business in Australia (see Note 2). The loss on sale primarily reflects the impact of the CTA loss (net of hedges) already reflected in
AOCI.
Upon closing, the CTA-related balance will be removed from
AOCI
, resulting in a neutral impact from CTA to Citi’s Common Equity Tier 1 Capital.
134
The pretax and after-tax changes in each component of
Accumulated other comprehensive income (loss)
were as follows:
Three Months Ended March 31, 2022
| In millions of dollars | Pretax | Tax effect | After-tax | ||||||||
| Balance, December 31, 2021 | $ |
(
|
$ |
|
$ |
(
|
|||||
| Change in net unrealized gains (losses) on debt securities |
(
|
|
(
|
||||||||
| Debt valuation adjustment (DVA) |
|
(
|
|
||||||||
| Cash flow hedges |
(
|
|
(
|
||||||||
| Benefit plans |
|
(
|
|
||||||||
| Foreign currency translation adjustment |
(
|
|
(
|
||||||||
| Excluded component of fair value hedges |
|
(
|
|
||||||||
| Change | $ |
(
|
$ |
|
$ |
(
|
|||||
| Balance at March 31, 2022 | $ |
(
|
$ |
|
$ |
(
|
|||||
Three Months Ended March 31, 2021
| In millions of dollars | Pretax | Tax effect | After-tax | ||||||||
| Balance, December 31, 2020 | $ |
(
|
$ |
|
$ |
(
|
|||||
| Change in net unrealized gains (losses) on debt securities |
(
|
|
(
|
||||||||
| Debt valuation adjustment (DVA) |
(
|
(
|
(
|
||||||||
| Cash flow hedges |
(
|
|
(
|
||||||||
| Benefit plans |
|
(
|
|
||||||||
| Foreign currency translation adjustment |
(
|
|
(
|
||||||||
| Excluded component of fair value hedges |
(
|
|
(
|
||||||||
| Change | $ |
(
|
$ |
|
$ |
(
|
|||||
| Balance, March 31, 2021 | $ |
(
|
$ |
|
$ |
(
|
|||||
135
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 | 2022 | 2021 | ||||||
| Realized (gains) losses on sales of investments | $ |
(
|
$ |
(
|
||||
| Gross impairment losses |
|
|
||||||
| Subtotal, pretax | $ |
|
$ |
(
|
||||
| Tax effect |
(
|
|
||||||
|
Net realized (gains) losses on investments after-tax
(1)
|
$ |
|
$ |
(
|
||||
| Realized DVA (gains) losses on fair value option liabilities, pretax | $ |
|
$ |
|
||||
| Tax effect |
|
(
|
||||||
| Net realized DVA, after-tax | $ |
|
$ |
|
||||
| Interest rate contracts | $ |
(
|
$ |
(
|
||||
| Foreign exchange contracts |
|
|
||||||
| Subtotal, pretax | $ |
(
|
$ |
(
|
||||
| Tax effect |
|
|
||||||
|
Amortization of cash flow hedges, after-tax
(2)
|
$ |
(
|
$ |
(
|
||||
| Amortization of unrecognized: | ||||||||
| Prior service cost (benefit) | $ |
(
|
$ |
(
|
||||
| Net actuarial loss |
|
|
||||||
|
Curtailment/settlement impact
(3)
|
(
|
|
||||||
| Subtotal, pretax | $ |
(
|
$ |
|
||||
| Tax effect |
|
(
|
||||||
|
Amortization of benefit plans, after-tax
(3)
|
$ |
(
|
$ |
|
||||
| Excluded component of fair value hedges, pretax | $ |
|
$ |
|
||||
| Tax effect |
(
|
|
||||||
| Excluded component of fair value hedges, after-tax | $ |
|
$ |
|
||||
| Foreign currency translation adjustment, pretax | $ |
|
$ |
|
||||
| Tax effect |
|
|
||||||
| Foreign currency translation adjustment, after-tax | $ |
|
$ |
|
||||
|
Total amounts reclassified out of
AOCI
, pretax
|
$ |
(
|
$ |
(
|
||||
| Total tax effect |
|
|
||||||
|
Total amounts reclassified out of
AOCI
, after-tax
|
$ |
(
|
$ |
(
|
||||
(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 for additional details.
(2)
See Note 19 for additional details.
(3)
See Note 8 for additional details.
136
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 2021 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, 2022 | ||||||||||||||||||||||||||
|
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
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
|
Mortgage securitizations
(4)
|
||||||||||||||||||||||||||
|
U.S. agency-sponsored
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Non-agency-sponsored
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Citi-administered asset-backed commercial paper conduits |
|
|
|
|
|
|
|
|
||||||||||||||||||
| Collateralized loan obligations (CLOs) |
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Asset-based financing
(5)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Municipal securities tender option bond trusts (TOBs) |
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Municipal investments
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Client intermediation
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Investment funds |
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Other
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Total
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
| As of December 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
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
|
Mortgage securitizations
(4)
|
||||||||||||||||||||||||||
|
U.S. agency-sponsored
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Non-agency-sponsored
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Citi-administered asset-backed commercial paper conduits |
|
|
|
|
|
|
|
|
||||||||||||||||||
| Collateralized loan obligations (CLOs) |
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Asset-based financing
(5)
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Municipal securities tender option bond trusts (TOBs) |
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Municipal investments
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Client intermediation
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Investment funds |
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Other
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Total
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
(1) The definition of maximum exposure to loss is included in the text that follows this table.
(2) Included on Citigroup’s March 31, 2022 and December 31, 2021 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 $
100
billion and $
100
billion in unconsolidated VIE assets and $
498
million and $
497
million in maximum exposure to loss as of March 31, 2022 and December 31, 2021, respectively.
137
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, 2022 and December 31, 2021, the Company’s maximum exposure to loss related to these deals was $
54.8
billion and $
55.6
billion, respectively (for more information on these positions, see Note 13 and Note 26 to the Consolidated Financial Statements in Citigroup’s 2021 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 (see Notes 12 and 20 for more information on these positions);
•
certain representations and warranties exposures in Citigroup residential mortgage securitizations, in which the original mortgage loan balances are no longer outstanding; and
•
VIEs such as 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 classification of the asset (e.g., loan or security) and the associated accounting model ascribed to that classification.
The asset balances for unconsolidated VIEs in which the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments, unless fair value information is readily available to the Company.
The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE, adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.
138
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, 2022 | December 31, 2021 | |||||||||||||
|
In millions of dollars
|
Liquidity
facilities |
Loan/equity
commitments |
Liquidity
facilities |
Loan/equity
commitments |
||||||||||
| Non-agency-sponsored mortgage securitizations | $ |
|
$ |
|
$ |
|
$ |
|
||||||
|
Asset-based financing
|
|
|
|
|
||||||||||
|
Municipal securities tender option bond trusts (TOBs)
|
|
|
|
|
||||||||||
|
Municipal investments
|
|
|
|
|
||||||||||
|
Investment funds
|
|
|
|
|
||||||||||
|
Other
|
|
|
|
|
||||||||||
|
Total funding commitments
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||
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, 2022 | December 31, 2021 | ||||||
|
Cash
|
$ |
|
$ |
|
||||
|
Trading account assets
|
|
|
||||||
|
Investments
|
|
|
||||||
|
Total loans, net of allowance
|
|
|
||||||
|
Other
|
|
|
||||||
|
Total assets
|
$ |
|
$ |
|
||||
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 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, 2022 | December 31, 2021 | ||||||
|
Ownership interests in principal amount of trust credit card receivables
|
||||||||
| Sold to investors via trust-issued securities | $ |
|
$ |
|
||||
| Retained by Citigroup as trust-issued securities |
|
|
||||||
| Retained by Citigroup via non-certificated interests |
|
|
||||||
|
Total
|
$ |
|
$ |
|
||||
The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:
| Three Months Ended March 31, | ||||||||
|
In billions of dollars
|
2022 | 2021 | ||||||
|
Proceeds from new securitizations
|
$ |
|
$ |
|
||||
|
Pay down of maturing notes
|
|
(
|
||||||
Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was
3.3
years as of March 31, 2022 and
3.6
years as of December 31, 2021.
|
In billions of dollars
|
Mar. 31, 2022 | Dec. 31, 2021 | ||||||
|
Term notes issued to third parties
|
$ |
|
$ |
|
||||
| Term notes retained by Citigroup affiliates |
|
|
||||||
|
Total Master Trust liabilities
|
$ |
|
$ |
|
||||
Omni Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was
1.4
years as of March 31, 2022 and
1.6
years as of December 31, 2021.
|
In billions of dollars
|
Mar. 31, 2022 | Dec. 31, 2021 | ||||||
|
Term notes issued to third parties
|
$ |
|
$ |
|
||||
| Term notes retained by Citigroup affiliates |
|
|
||||||
|
Total Omni Trust liabilities
|
$ |
|
$ |
|
||||
139
Mortgage Securitizations
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
| Three Months Ended March 31, | ||||||||||||||
| 2022 | 2021 | |||||||||||||
|
In billions of dollars
|
U.S. agency-
sponsored mortgages |
Non-agency-
sponsored mortgages |
U.S. agency-
sponsored mortgages |
Non-agency-
sponsored mortgages |
||||||||||
|
Principal securitized
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||
|
Proceeds from new securitizations
|
|
|
|
|
||||||||||
| Contractual servicing fees received |
|
|
|
|
||||||||||
| Cash flows received on retained interests and other new cash flows |
|
|
|
|
||||||||||
|
Purchases of previously transferred financial assets
|
|
|
|
|
||||||||||
Note: Excludes re-securitization transactions.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $
0.3
million for the three months ended March 31, 2022. For the three months ended March 31, 2022, gains recognized on the securitization of non-agency-sponsored mortgages were $
39
million.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $
1
million for the three months ended March 31, 2021. Gains recognized on the securitization of non-agency-sponsored mortgages were $
166
million for the three months ended March 31, 2021.
| March 31, 2022 | December 31, 2021 | |||||||||||||||||||
|
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)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
(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 $
62
million related to personal loan securitizations at March 31, 2022.
(3) Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 20 for more information about fair value measurements.
140
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, 2022 | |||||||||||
|
Non-agency-sponsored mortgages
(1)
|
|||||||||||
|
U.S. agency-
sponsored mortgages |
Senior
interests |
Subordinated
interests |
|||||||||
| Weighted average discount rate |
|
% |
|
% |
|
% | |||||
| Weighted average constant prepayment rate |
|
% |
|
% |
|
% | |||||
|
Weighted average anticipated net credit losses
(2)
|
NM |
|
% |
|
% | ||||||
|
Weighted average life
|
|
|
|
||||||||
| Three Months Ended March 31, 2021 | |||||||||||
|
Non-agency-sponsored mortgages
(1)
|
|||||||||||
|
U.S. agency-
sponsored mortgages |
Senior
interests |
Subordinated
interests |
|||||||||
| Weighted average discount rate |
|
% |
|
% |
|
% | |||||
| Weighted average constant prepayment rate |
|
% |
|
% |
|
% | |||||
|
Weighted average anticipated net credit losses
(2)
|
NM |
|
% |
|
% | ||||||
|
Weighted average life
|
|
|
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.
141
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, 2022 | |||||||||||
|
Non-agency-sponsored mortgages
(1)
|
|||||||||||
|
U.S. agency-
sponsored mortgages |
Senior
interests |
Subordinated
interests |
|||||||||
| Weighted average discount rate |
|
% |
|
% |
|
% | |||||
| Weighted average constant prepayment rate |
|
% |
|
% |
|
% | |||||
|
Weighted average anticipated net credit losses
(2)
|
NM |
|
% |
|
% | ||||||
|
Weighted average life
|
|
|
|
||||||||
| December 31, 2021 | |||||||||||
|
Non-agency-sponsored mortgages
(1)
|
|||||||||||
|
U.S. agency-
sponsored mortgages |
Senior
interests |
Subordinated
interests |
|||||||||
| Weighted average discount rate |
|
% |
|
% |
|
% | |||||
| Weighted average constant prepayment rate |
|
% |
|
% |
|
% | |||||
|
Weighted average anticipated net credit losses
(2)
|
NM |
|
% |
|
% | ||||||
|
Weighted average life
|
|
|
|
||||||||
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
The 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, 2022 | |||||||||||
| Non-agency-sponsored mortgages | |||||||||||
|
In millions of dollars
|
U.S. agency-
sponsored mortgages |
Senior
interests |
Subordinated
interests |
||||||||
|
Discount rate
|
|||||||||||
| Adverse change of 10% | $ |
(
|
$ |
|
$ |
|
|||||
| Adverse change of 20% |
(
|
|
|
||||||||
|
Constant prepayment rate
|
|||||||||||
| Adverse change of 10% |
(
|
|
|
||||||||
| Adverse change of 20% |
(
|
|
|
||||||||
|
Anticipated net credit losses
|
|||||||||||
| Adverse change of 10% | NM |
|
|
||||||||
| Adverse change of 20% | NM |
|
|
||||||||
142
| December 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% | $ |
(
|
$ |
(
|
$ |
|
|||||
| Adverse change of 20% |
(
|
(
|
|
||||||||
|
Constant prepayment rate
|
|||||||||||
| Adverse change of 10% |
(
|
|
|
||||||||
| Adverse change of 20% |
(
|
|
|
||||||||
|
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, 2022 | Dec. 31, 2021 | Mar. 31, 2022 | Dec. 31, 2021 | 2022 | 2021 | ||||||||||||||
|
Securitized assets
|
||||||||||||||||||||
|
Residential mortgages
(1)
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
|
Commercial and other
|
|
|
|
|
|
|
||||||||||||||
|
Total
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $
520
million and $
433
million at March 31, 2022 and 2021, respectively. The MSRs correspond to principal loan balances of $
58
billion and $
52
billion as of March 31, 2022 and 2021, respectively.
The following table summarizes the changes in capitalized MSRs:
| Three Months Ended March 31, | ||||||||
| In millions of dollars | 2022 | 2021 | ||||||
| Balance, beginning of period | $ |
|
$ |
|
||||
| Originations |
|
|
||||||
| Changes in fair value of MSRs due to changes in inputs and assumptions |
|
|
||||||
|
Other changes
(1)
|
(
|
(
|
||||||
| Sales of MSRs |
|
|
||||||
| Balance, as of March 31 | $ |
|
$ |
|
||||
(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 | 2022 | 2021 | ||||||
|
Servicing fees
|
$ |
|
$ |
|
||||
|
Late fees
|
|
|
||||||
|
Ancillary fees
|
|
|
||||||
|
Total MSR fees
|
$ |
|
$ |
|
||||
In the Consolidated Statement of Income these fees are primarily classified as
Commissions and fees
, and changes in MSR fair values are classified as
Other revenue
.
143
Re-securitizations
The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. Citi did not transfer non-agency (private label) securities to re-securitization entities during the three months ended March 31, 2022 and 2021. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of March 31, 2022 and December 31, 2021, Citi held
no
retained interests in private label re-securitization transactions structured by Citi.
The Company also re-securitizes U.S. government-agency-guaranteed mortgage-backed (agency) securities. During the three months ended March 31, 2022, Citi transferred agency securities with a fair value of approximately $
9.3
billion to re-securitization entities, compared to approximately $
13.1
billion for the three months ended March 31, 2021.
As of March 31, 2022, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $
1.2
billion (including $
300
million
related to re-securitization transactions executed in 2022) unchanged from to $
1.2
billion as of December 31, 2021 (including $
641
million related to re-securitization transactions executed in 2021), which is recorded in
Trading account assets
. The original fair values of agency re-securitization transactions in which Citi holds a retained interest as of March 31, 2022 and December 31, 2021 were approximately $
80.3
billion and $
78.4
billion, respectively.
As of March 31, 2022 and December 31, 2021, the Company did not consolidate any private label or agency re-securitization entities.
Citi-Administered Asset-Backed Commercial Paper Conduits
At March 31, 2022 and December 31, 2021, the commercial paper conduits administered by Citi had approximately $
13.6
billion and $
14
billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $
16.7
billion and $
18.3
billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At March 31, 2022 and December 31, 2021, the weighted average remaining lives of the commercial paper issued by the conduits were approximately
63
and
70
days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. Each asset purchased by the conduit is structured with transaction-specific credit enhancement features provided by the third-party client seller, including over-collateralization, cash and excess spread collateral accounts, direct recourse or third-party guarantees. These credit enhancements are sized with the objective of approximating a credit rating of A or above, based on Citi’s internal risk ratings. In addition to the transaction-specific credit enhancements, the conduits, other than the government-guaranteed loan conduit, have obtained letters of credit from the Company, which equal at least
8
% to
10
% of the conduit’s assets with a minimum of $
200
million. The letters of credit
provided by the Company to the conduits total approximately $
1.2
billion and $
1.3
billion as of March 31, 2022 and December 31, 2021, 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, 2022 and December 31, 2021, the Company owned $
4.5
billion and $
4.9
billion, respectively, of the commercial paper issued by its administered conduits. The Company’s investments were not driven by market illiquidity and the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.
Collateralized Loan Obligations (CLOs)
There were no new securitizations during the three months ended March 31, 2022 and 2021.
The following table summarizes selected retained interests related to Citigroup CLOs:
|
In millions of dollars
|
Mar. 31, 2022 | Dec. 31, 2021 | ||||||
|
Carrying value of retained interests
|
$ |
|
$ |
|
||||
All of Citi’s retained interests were held-to-maturity securities as of March 31, 2022 and December 31, 2021.
Municipal Securities Tender Option Bond (TOB) Trusts
At March 31, 2022 and December 31, 2021, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At March 31, 2022 and December 31, 2021, liquidity agreements provided with respect to customer TOB trusts totaled $
1.8
billion and $
1.5
billion, respectively, of which $
0.8
billion and $
0.6
billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the residual owned by the customer was at least
25
% of the bond value at the inception of the transaction, no reimbursement agreement was executed.
The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $
1.8
billion and $
2
billion as of March 31, 2022 and December 31, 2021, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.
144
Asset-Based Financing
The primary types of Citi’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement and Citi’s maximum exposure to loss are shown below. For Citi to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.
| March 31, 2022 | December 31, 2021 | |||||||||||||
|
In millions of dollars
|
Total
unconsolidated VIE assets |
Maximum
exposure to unconsolidated VIEs |
Total
unconsolidated VIE assets |
Maximum
exposure to unconsolidated VIEs |
||||||||||
|
Type
|
||||||||||||||
| Commercial and other real estate | $ |
|
$ |
|
$ |
|
$ |
|
||||||
|
Corporate loans
|
|
|
|
|
||||||||||
| Other (including investment funds, airlines and shipping) |
|
|
|
|
||||||||||
|
Total
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||
145
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 2021 Form 10-K.
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.
Derivative Notionals
| Hedging instruments under ASC 815 | Trading derivative instruments | |||||||||||||
| In millions of dollars |
March 31,
2022 |
December 31,
2021 |
March 31,
2022 |
December 31,
2021 |
||||||||||
| Interest rate contracts | ||||||||||||||
| Swaps | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Futures and forwards |
|
|
|
|
||||||||||
| Written options |
|
|
|
|
||||||||||
| Purchased options |
|
|
|
|
||||||||||
| Total interest rate contracts | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Foreign exchange contracts | ||||||||||||||
| Swaps | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Futures, forwards and spot |
|
|
|
|
||||||||||
| Written options |
|
|
|
|
||||||||||
| Purchased options |
|
|
|
|
||||||||||
| Total foreign exchange contracts | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Equity contracts | ||||||||||||||
| Swaps | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Futures and forwards |
|
|
|
|
||||||||||
| Written options |
|
|
|
|
||||||||||
| Purchased options |
|
|
|
|
||||||||||
| Total equity contracts | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Commodity and other contracts | ||||||||||||||
| Swaps | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Futures and forwards |
|
|
|
|
||||||||||
| Written options |
|
|
|
|
||||||||||
| Purchased options |
|
|
|
|
||||||||||
| Total commodity and other contracts | $ |
|
$ |
|
$ |
|
$ |
|
||||||
|
Credit derivatives
(1)
|
||||||||||||||
| Protection sold | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Protection purchased |
|
|
|
|
||||||||||
| Total credit derivatives | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Total derivative notionals | $ |
|
$ |
|
$ |
|
$ |
|
||||||
(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.
146
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, 2022 and December 31, 2021. Gross positive fair values are offset against gross negative fair values by counterparty, pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.
In addition, the following tables reflect rule changes adopted by clearing organizations that require or allow entities to treat certain derivative assets, liabilities and the related variation margin as settlement of the related derivative fair values for legal and accounting purposes, as opposed to presenting gross derivative assets and liabilities that are subject to collateral, whereby the counterparties would also record a related collateral payable or receivable. As a result, the tables reflect a reduction of approximately $
430
billion and $
340
billion as of March 31, 2022 and December 31, 2021, 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.
147
Derivative Mark-to-Market (MTM) Receivables/Payables
| In millions of dollars at March 31, 2022 |
Derivatives classified in
Trading account assets/liabilities (1)(2) |
|||||||
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities | ||||||
| Over-the-counter | $ |
|
$ |
|
||||
| Cleared |
|
|
||||||
| Interest rate contracts | $ |
|
$ |
|
||||
| Over-the-counter | $ |
|
$ |
|
||||
| Cleared |
|
|
||||||
| Foreign exchange contracts | $ |
|
$ |
|
||||
| Total derivatives instruments designated as ASC 815 hedges | $ |
|
$ |
|
||||
| Derivatives instruments not designated as ASC 815 hedges | ||||||||
| Over-the-counter | $ |
|
$ |
|
||||
| Cleared |
|
|
||||||
| Exchange traded |
|
|
||||||
| Interest rate contracts | $ |
|
$ |
|
||||
| Over-the-counter | $ |
|
$ |
|
||||
| Cleared |
|
|
||||||
| Foreign exchange contracts | $ |
|
$ |
|
||||
| Over-the-counter | $ |
|
$ |
|
||||
| Cleared |
|
|
||||||
| Exchange traded |
|
|
||||||
| Equity contracts | $ |
|
$ |
|
||||
| Over-the-counter | $ |
|
$ |
|
||||
| Exchange traded |
|
|
||||||
| Commodity and other contracts | $ |
|
$ |
|
||||
| Over-the-counter | $ |
|
$ |
|
||||
| Cleared |
|
|
||||||
| Credit derivatives | $ |
|
$ |
|
||||
| Total derivatives instruments not designated as ASC 815 hedges | $ |
|
$ |
|
||||
| Total derivatives | $ |
|
$ |
|
||||
|
Less: Netting agreements
(3)
|
$ |
(
|
$ |
(
|
||||
|
Less: Netting cash collateral received/paid
(4)
|
(
|
(
|
||||||
|
Net receivables/payables included on the Consolidated Balance Sheet
(5)
|
$ |
|
$ |
|
||||
|
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet |
||||||||
| Less: Cash collateral received/paid | $ |
(
|
$ |
(
|
||||
| Less: Non-cash collateral received/paid |
(
|
(
|
||||||
|
Total net receivables/payables
(5)
|
$ |
|
$ |
|
||||
(1)
The derivative fair values are also presented in Note 20.
(2)
Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(3)
Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $
272
billion, $
24
billion and $
24
billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(4)
Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(5)
The net receivables/payables include approximately $
10
billion of derivative asset and $
14
billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
148
| In millions of dollars at December 31, 2021 |
Derivatives classified in
Trading account assets/liabilities (1)(2) |
|||||||
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities | ||||||
| Over-the-counter | $ |
|
$ |
|
||||
| Cleared |
|
|
||||||
| Interest rate contracts | $ |
|
$ |
|
||||
| Over-the-counter | $ |
|
$ |
|
||||
| Cleared |
|
|
||||||
| Foreign exchange contracts | $ |
|
$ |
|
||||
| Total derivatives instruments designated as ASC 815 hedges | $ |
|
$ |
|
||||
| Derivatives instruments not designated as ASC 815 hedges | ||||||||
| Over-the-counter | $ |
|
$ |
|
||||
| Cleared |
|
|
||||||
| Exchange traded |
|
|
||||||
| Interest rate contracts | $ |
|
$ |
|
||||
| Over-the-counter | $ |
|
$ |
|
||||
| Cleared |
|
|
||||||
| Foreign exchange contracts | $ |
|
$ |
|
||||
| Over-the-counter | $ |
|
$ |
|
||||
| Cleared |
|
|
||||||
| Exchange traded |
|
|
||||||
| Equity contracts | $ |
|
$ |
|
||||
| Over-the-counter | $ |
|
$ |
|
||||
| Exchange traded |
|
|
||||||
| Commodity and other contracts | $ |
|
$ |
|
||||
| Over-the-counter | $ |
|
$ |
|
||||
| Cleared |
|
|
||||||
| Credit derivatives | $ |
|
$ |
|
||||
| Total derivatives instruments not designated as ASC 815 hedges | $ |
|
$ |
|
||||
| Total derivatives | $ |
|
$ |
|
||||
|
Less: Netting agreements
(3)
|
$ |
(
|
$ |
(
|
||||
|
Less: Netting cash collateral received/paid
(4)
|
(
|
(
|
||||||
|
Net receivables/payables included on the Consolidated Balance Sheet
(5)
|
$ |
|
$ |
|
||||
| Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | ||||||||
| Less: Cash collateral received/paid | $ |
(
|
$ |
(
|
||||
| Less: Non-cash collateral received/paid |
(
|
(
|
||||||
|
Total net receivables/payables
(5)
|
$ |
|
$ |
|
||||
(1)
The derivative fair values are also presented in Note 20.
(2)
Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(3)
Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $
259
billion, $
14
billion and $
20
billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(4)
Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(5)
The net receivables/payables include approximately $
10
billion of derivative asset and $
11
billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
149
For the three months ended March 31, 2022 and 2021, amounts recognized in
Principal transactions
in the Consolidated Statement of Income include certain derivatives not designated in a qualifying hedging relationship. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents how these portfolios are risk managed. See Note 6 for further information.
The amounts recognized in
Other revenue
in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are 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 | 2022 | 2021 | ||||||
| Interest rate contracts | $ |
|
$ |
(
|
||||
| Foreign exchange |
(
|
(
|
||||||
| Total | $ |
(
|
$ |
(
|
||||
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.
150
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, | ||||||||||||||
| 2022 | 2021 | |||||||||||||
| In millions of dollars | Other revenue | Net interest income | Other revenue | Net interest income | ||||||||||
| Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | ||||||||||||||
| Interest rate hedges | $ |
|
$ |
(
|
$ |
|
$ |
(
|
||||||
| Foreign exchange hedges |
(
|
|
(
|
|
||||||||||
| Commodity hedges |
|
|
(
|
|
||||||||||
| Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | $ |
|
$ |
(
|
$ |
(
|
$ |
(
|
||||||
| Gain (loss) on the hedged item in designated and qualifying fair value hedges | ||||||||||||||
| Interest rate hedges | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Foreign exchange hedges |
|
|
|
|
||||||||||
| Commodity hedges |
(
|
|
|
|
||||||||||
| Total gain (loss) on the hedged item in designated and qualifying fair value hedges | $ |
(
|
$ |
|
$ |
|
$ |
|
||||||
|
Net gain (loss) on the hedging derivatives excluded from
assessment of the effectiveness of fair value hedges |
||||||||||||||
| Interest rate hedges | $ |
|
$ |
(
|
$ |
|
$ |
(
|
||||||
|
Foreign exchange hedges
(2)
|
|
|
|
|
||||||||||
| Commodity hedges |
|
|
(
|
|
||||||||||
| Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | $ |
|
$ |
(
|
$ |
(
|
$ |
(
|
||||||
(1)
Gain (loss) amounts for interest rate risk hedges are included in
Interest income/Interest expense
. The accrued interest income on fair value hedges is recorded in
Net interest income
and is excluded from this table.
(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 $
64
million and $(
13
) million for the three months ended March 31, 2022 and 2021, respectively.
151
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, 2022 and December 31, 2021, 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, 2022 | |||||||||||
|
Debt securities AFS
(1)(3)
|
$ |
|
$ |
(
|
$ |
(
|
|||||
| Long-term debt |
|
(
|
|
||||||||
| As of December 31, 2021 | |||||||||||
|
Debt securities AFS
(2)(3)
|
$ |
|
$ |
|
$ |
|
|||||
| Long-term debt |
|
|
|
||||||||
(1)
These amounts include a cumulative basis adjustment of $(
322
) million for active hedges and $(
179
) million for de-designated hedges as of March 31, 2022, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $
8
billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $
34
billion as of March 31, 2022) in a last-of-layer hedging relationship.
(2)
These amounts include a cumulative basis adjustment of $
24
million for active hedges and $(
92
) million for de-designated hedges as of December 31, 2021, related to certain prepayable financial assets designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $
6
billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $
25
billion as of December 31, 2021) in a last-of-layer hedging relationship.
(3)
Carrying amount represents the amortized cost.
152
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, 2022 is approximately $
200
million. The maximum length of time over which forecasted cash flows are hedged is
10
years.
| Three Months Ended March 31, | ||||||||||||||
| In millions of dollars | 2022 | 2021 | ||||||||||||
|
Amount of gain (loss) recognized in
AOCI
on derivatives
|
||||||||||||||
| Interest rate contracts | $ |
(
|
$ |
(
|
||||||||||
| Foreign exchange contracts |
|
|
||||||||||||
|
Total gain (loss) recognized in
AOCI
|
$ |
(
|
$ |
(
|
||||||||||
|
|
Other
revenue |
Net interest
revenue |
Other
revenue |
Net interest revenue |
||||||||||
|
Amount of gain (loss) reclassified from
AOCI
to earnings
(1)
|
||||||||||||||
| Interest rate contracts | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Foreign exchange contracts |
(
|
|
(
|
|
||||||||||
|
Total gain (loss) reclassified from
AOCI
into earnings
|
$ |
(
|
$ |
|
$ |
(
|
$ |
|
||||||
|
Net pretax change in cash flow hedges included within
AOCI
|
$ |
(
|
$ |
(
|
||||||||||
(1)
All amounts reclassified into earnings for interest rate contracts are included in
Interest income/Interest expense (Net interest income)
. For all other hedges, the amounts reclassified to earnings are included primarily in
Other revenue
and
Net interest income
in the Consolidated Statement of Income.
153
Net Investment Hedges
The pretax gain (loss) recorded in
Foreign currency translation adjustment
within
AOCI
, related to net investment hedges, was ($
195
) million and $
557
million for the three months ended March 31, 2022 and 2021, 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, 2022 |
Receivable
(1)
|
Payable
(2)
|
Protection
purchased |
Protection
sold |
||||||||||
| By industry of counterparty | ||||||||||||||
| Banks | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Broker-dealers |
|
|
|
|
||||||||||
| Non-financial |
|
|
|
|
||||||||||
|
Insurance and other financial
institutions |
|
|
|
|
||||||||||
| Total by industry of counterparty | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| By instrument | ||||||||||||||
| Credit default swaps and options | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Total return swaps and other |
|
|
|
|
||||||||||
| Total by instrument | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| By rating of reference entity | ||||||||||||||
| Investment grade | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Non-investment grade |
|
|
|
|
||||||||||
| Total by rating of reference entity | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| By maturity | ||||||||||||||
| Within 1 year | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| From 1 to 5 years |
|
|
|
|
||||||||||
| After 5 years |
|
|
|
|
||||||||||
| Total by maturity | $ |
|
$ |
|
$ |
|
$ |
|
||||||
(1)
The fair value amount receivable is composed of $
5,310
million under protection purchased and $
5,933
million under protection sold.
(2)
The fair value amount payable is composed of $
6,250
million under protection purchased and $
4,896
million under protection sold.
154
| Fair values | Notionals | |||||||||||||
| In millions of dollars at December 31, 2021 |
Receivable
(1)
|
Payable
(2)
|
Protection
purchased |
Protection
sold |
||||||||||
| By industry of counterparty | ||||||||||||||
| Banks | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Broker-dealers |
|
|
|
|
||||||||||
| Non-financial |
|
|
|
|
||||||||||
|
Insurance and other financial
institutions |
|
|
|
|
||||||||||
| Total by industry of counterparty | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| By instrument | ||||||||||||||
| Credit default swaps and options | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Total return swaps and other |
|
|
|
|
||||||||||
| Total by instrument | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| By rating of reference entity | ||||||||||||||
| Investment grade | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Non-investment grade |
|
|
|
|
||||||||||
| Total by rating of reference entity | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| By maturity | ||||||||||||||
| Within 1 year | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| From 1 to 5 years |
|
|
|
|
||||||||||
| After 5 years |
|
|
|
|
||||||||||
| Total by maturity | $ |
|
$ |
|
$ |
|
$ |
|
||||||
(1) The fair value amount receivable is composed of $
3,705
million under protection purchased and $
6,513
million under protection sold.
(2) The fair value amount payable is composed of $
7,354
million under protection purchased and $
3,661
million under protection sold.
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 March 31, 2022 and December 31, 2021 was $
19
billion and $
19
billion, respectively. The Company posted $
16
billion and $
16
billion as collateral for this exposure in the normal course of business as of March 31, 2022 and December 31, 2021, respectively.
A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all
three
major rating agencies as of March 31, 2022, the Company could be required to post an additional $
1.6
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 $
0.1
billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $
1.7
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 $
0.8
billion and $
2.9
billion as of March 31, 2022 and December 31, 2021, respectively.
At March 31, 2022, the fair value of these previously derecognized assets was $
0.8
billion. The fair value of the total return swaps as of March 31, 2022 was $
30
million recorded as gross derivative assets and $
5
million recorded as gross derivative liabilities. At December 31, 2021, the fair value of these previously derecognized assets was $
2.9
billion, and the fair value of the total return swaps was $
13
million recorded as gross derivative assets and $
58
million recorded as gross derivative liabilities.
The balances for the total return swaps are on a gross basis, before the application of counterparty and cash collateral netting, and are included primarily as equity derivatives in the tabular disclosures in this Note.
155
20.
FAIR VALUE MEASUREMENT
For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2021 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, 2022 and December 31, 2021:
|
Credit and funding
valuation adjustments contra-liability (contra-asset) |
||||||||
| In millions of dollars |
March 31,
2022 |
December 31,
2021 |
||||||
| Counterparty CVA | $ |
(
|
$ |
(
|
||||
| Asset FVA |
(
|
(
|
||||||
| Citigroup (own credit) CVA |
|
|
||||||
| Liability FVA |
|
|
||||||
| Total CVA and FVA—derivative instruments | $ |
(
|
$ |
(
|
||||
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 | 2022 | 2021 | ||||||
| Counterparty CVA | $ |
(
|
$ |
|
||||
| Asset FVA |
(
|
|
||||||
| Own credit CVA |
|
(
|
||||||
| Liability FVA |
|
|
||||||
| Total CVA and FVA—derivative instruments | $ |
(
|
$ |
|
||||
|
DVA related to own FVO liabilities
(1)
|
$ |
|
$ |
(
|
||||
| Total CVA, DVA and FVA | $ |
|
$ |
|
||||
Fair Value Hierarchy
ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:
•
Level 1: Quoted prices for
identical
instruments in active markets.
•
Level 2: Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active and model-derived valuations in which all significant inputs and significant value drivers are
observable
in the market.
•
Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are
unobservable
.
As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible.
The fair value hierarchy classification approach typically utilizes rules-based and data-driven selection criteria to determine whether an instrument is classified as Level 1, Level 2 or Level 3:
•
The determination of whether an instrument is quoted in an active market and therefore considered a Level 1 instrument is based upon the frequency of observed transactions and the quality of independent market data available on the measurement date.
•
A Level 2 classification is assigned where there is observability of prices/market inputs to models, or where any unobservable inputs are not significant to the valuation. The determination of whether an input is considered observable is based on the availability of independent market data and its corroboration, for example through observed transactions in the market.
•
Otherwise, an instrument is classified as Level 3.
156
Items Measured at Fair Value on a Recurring Basis
Fair Value Levels
| In millions of dollars at March 31, 2022 | Level 1 | Level 2 | Level 3 |
Gross
inventory |
Netting
(1)
|
Net
balance |
||||||||||||||
| Assets | ||||||||||||||||||||
| Securities borrowed and purchased under agreements to resell | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
||||||||
| Trading non-derivative assets | ||||||||||||||||||||
| Trading mortgage-backed securities | ||||||||||||||||||||
| U.S. government-sponsored agency guaranteed |
|
|
|
|
— |
|
||||||||||||||
| Residential |
|
|
|
|
— |
|
||||||||||||||
| Commercial |
|
|
|
|
— |
|
||||||||||||||
| Total trading mortgage-backed securities | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| U.S. Treasury and federal agency securities | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| State and municipal |
|
|
|
|
— |
|
||||||||||||||
| Foreign government |
|
|
|
|
— |
|
||||||||||||||
| Corporate |
|
|
|
|
— |
|
||||||||||||||
| Equity securities |
|
|
|
|
— |
|
||||||||||||||
| Asset-backed securities |
|
|
|
|
— |
|
||||||||||||||
|
Other trading assets
(2)
|
|
|
|
|
— |
|
||||||||||||||
| Total trading non-derivative assets | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| Trading derivatives | ||||||||||||||||||||
| Interest rate contracts | $ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Foreign exchange contracts |
|
|
|
|
||||||||||||||||
| Equity contracts |
|
|
|
|
||||||||||||||||
| Commodity contracts |
|
|
|
|
||||||||||||||||
| Credit derivatives |
|
|
|
|
||||||||||||||||
| Total trading derivatives—before netting and collateral | $ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Netting agreements | $ |
(
|
||||||||||||||||||
| Netting of cash collateral received |
(
|
|||||||||||||||||||
| Total trading derivatives—after netting and collateral | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
||||||||
| Investments | ||||||||||||||||||||
| Mortgage-backed securities | ||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| Residential |
|
|
|
|
— |
|
||||||||||||||
| Commercial |
|
|
|
|
— |
|
||||||||||||||
| Total investment mortgage-backed securities | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| U.S. Treasury and federal agency securities | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| State and municipal |
|
|
|
|
— |
|
||||||||||||||
| Foreign government |
|
|
|
|
— |
|
||||||||||||||
| Corporate |
|
|
|
|
— |
|
||||||||||||||
| Marketable equity securities |
|
|
|
|
— |
|
||||||||||||||
| Asset-backed securities |
|
|
|
|
— |
|
||||||||||||||
| Other debt securities |
|
|
|
|
— |
|
||||||||||||||
|
Non-marketable equity securities
(3)
|
|
|
|
|
— |
|
||||||||||||||
| Total investments | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
Table continues on the next page.
157
| In millions of dollars at March 31, 2022 | Level 1 | Level 2 | Level 3 |
Gross
inventory |
Netting
(1)
|
Net
balance |
||||||||||||||
| Loans | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| Mortgage servicing rights |
|
|
|
|
— |
|
||||||||||||||
| Non-trading derivatives and other financial assets measured on a recurring basis | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Total assets | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
||||||||
|
Total as a percentage of gross assets
(4)
|
|
|
|
|||||||||||||||||
| Liabilities | ||||||||||||||||||||
| Interest-bearing deposits | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| Securities loaned and sold under agreements to repurchase |
|
|
|
|
(
|
|
||||||||||||||
| Trading account liabilities | ||||||||||||||||||||
| Securities sold, not yet purchased |
|
|
|
|
— |
|
||||||||||||||
| Other trading liabilities |
|
|
|
|
— |
|
||||||||||||||
| Total trading liabilities | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| Trading derivatives | ||||||||||||||||||||
| Interest rate contracts | $ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Foreign exchange contracts |
|
|
|
|
||||||||||||||||
| Equity contracts |
|
|
|
|
||||||||||||||||
| Commodity contracts |
|
|
|
|
||||||||||||||||
| Credit derivatives |
|
|
|
|
||||||||||||||||
| Total trading derivatives—before netting and collateral | $ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Netting agreements | $ |
(
|
||||||||||||||||||
| Netting of cash collateral paid |
(
|
|||||||||||||||||||
| Total trading derivatives—after netting and collateral | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
||||||||
| Short-term borrowings | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| Long-term debt |
|
|
|
|
— |
|
||||||||||||||
| Total non-trading derivatives and other financial liabilities measured on a recurring basis | $ |
|
$ |
|
$ |
|
$ |
|
|
$ |
|
|||||||||
| Total liabilities | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
||||||||
|
Total as a percentage of gross liabilities
(4)
|
|
% |
|
% |
|
% | ||||||||||||||
(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. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)
Amounts exclude $
0.2
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).
(4)
Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
158
Fair Value Levels
| In millions of dollars at December 31, 2021 | Level 1 | Level 2 | Level 3 |
Gross
inventory |
Netting
(1)
|
Net
balance |
||||||||||||||
| Assets | ||||||||||||||||||||
| Securities borrowed and purchased under agreements to resell | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
||||||||
| Trading non-derivative assets | ||||||||||||||||||||
| Trading mortgage-backed securities | ||||||||||||||||||||
| U.S. government-sponsored agency guaranteed |
|
|
|
|
— |
|
||||||||||||||
| Residential |
|
|
|
|
— |
|
||||||||||||||
| Commercial |
|
|
|
|
— |
|
||||||||||||||
| Total trading mortgage-backed securities | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| U.S. Treasury and federal agency securities | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| State and municipal |
|
|
|
|
— |
|
||||||||||||||
| Foreign government |
|
|
|
|
— |
|
||||||||||||||
| Corporate |
|
|
|
|
— |
|
||||||||||||||
| Equity securities |
|
|
|
|
— |
|
||||||||||||||
| Asset-backed securities |
|
|
|
|
— |
|
||||||||||||||
|
Other trading assets
(2)
|
|
|
|
|
— |
|
||||||||||||||
| Total trading non-derivative assets | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| Trading derivatives | ||||||||||||||||||||
| Interest rate contracts | $ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Foreign exchange contracts |
|
|
|
|
||||||||||||||||
| Equity contracts |
|
|
|
|
||||||||||||||||
| Commodity contracts |
|
|
|
|
||||||||||||||||
| Credit derivatives |
|
|
|
|
||||||||||||||||
| Total trading derivatives—before netting and collateral | $ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Netting agreements | $ |
(
|
||||||||||||||||||
| Netting of cash collateral received |
(
|
|||||||||||||||||||
| Total trading derivatives—after netting and collateral | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
||||||||
| Investments | ||||||||||||||||||||
| Mortgage-backed securities | ||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| Residential |
|
|
|
|
— |
|
||||||||||||||
| Commercial |
|
|
|
|
— |
|
||||||||||||||
| Total investment mortgage-backed securities | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| U.S. Treasury and federal agency securities | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| State and municipal |
|
|
|
|
— |
|
||||||||||||||
| Foreign government |
|
|
|
|
— |
|
||||||||||||||
| Corporate |
|
|
|
|
— |
|
||||||||||||||
| Marketable equity securities |
|
|
|
|
— |
|
||||||||||||||
| Asset-backed securities |
|
|
|
|
— |
|
||||||||||||||
| Other debt securities |
|
|
|
|
— |
|
||||||||||||||
|
Non-marketable equity securities
(3)
|
|
|
|
|
— |
|
||||||||||||||
| Total investments | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
Table continues on the next page.
159
| In millions of dollars at December 31, 2021 | Level 1 | Level 2 | Level 3 |
Gross
inventory |
Netting
(1)
|
Net
balance |
||||||||||||||
| Loans | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| Mortgage servicing rights |
|
|
|
|
— |
|
||||||||||||||
| Non-trading derivatives and other financial assets measured on a recurring basis | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Total assets | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
||||||||
|
Total as a percentage of gross assets
(4)
|
|
|
|
|||||||||||||||||
| Liabilities | ||||||||||||||||||||
| Interest-bearing deposits | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| Securities loaned and sold under agreements to repurchase |
|
|
|
|
(
|
|
||||||||||||||
| Trading account liabilities | ||||||||||||||||||||
| Securities sold, not yet purchased |
|
|
|
|
— |
|
||||||||||||||
| Other trading liabilities |
|
|
|
|
— |
|
||||||||||||||
| Total trading liabilities | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| Trading derivatives | ||||||||||||||||||||
| Interest rate contracts | $ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Foreign exchange contracts |
|
|
|
|
||||||||||||||||
| Equity contracts |
|
|
|
|
||||||||||||||||
| Commodity contracts |
|
|
|
|
||||||||||||||||
| Credit derivatives |
|
|
|
|
||||||||||||||||
| Total trading derivatives—before netting and collateral | $ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Netting agreements | $ |
(
|
||||||||||||||||||
| Netting of cash collateral paid |
(
|
|||||||||||||||||||
| Total trading derivatives—after netting and collateral | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
||||||||
| Short-term borrowings | $ |
|
$ |
|
$ |
|
$ |
|
$ | — | $ |
|
||||||||
| Long-term debt |
|
|
|
|
— |
|
||||||||||||||
| Non-trading derivatives and other financial liabilities measured on a recurring basis | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Total liabilities | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
||||||||
|
Total as a percentage of gross liabilities
(4)
|
|
% |
|
% |
|
% | ||||||||||||||
(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. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)
Amounts exclude $
0.1
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).
(4)
Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
160
Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the three months ended March 31, 2022 and 2021. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are classified in a different level. For example,
the gains and losses for assets and liabilities in the Level 3 category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 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, 2021 |
Principal
transactions |
Other
(1)(2)
|
into
Level 3 |
out of
Level 3 |
Purchases | Issuances | Sales | Settlements | Mar. 31, 2022 | |||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||||||||
| Securities borrowed and purchased under agreements to resell | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
|||||||||||||
| Trading non-derivative assets | |||||||||||||||||||||||||||||||||||
| Trading mortgage-backed securities | |||||||||||||||||||||||||||||||||||
| U.S. government-sponsored agency guaranteed |
|
|
|
|
(
|
|
|
(
|
|
|
|
||||||||||||||||||||||||
| Residential |
|
|
|
|
(
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Commercial |
|
(
|
|
|
(
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Total trading mortgage-backed securities | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
|||||||||||||
| U.S. Treasury and federal agency securities | $ |
|
$ |
(
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||||
| State and municipal |
|
|
|
|
(
|
|
|
(
|
|
|
|
||||||||||||||||||||||||
| Foreign government |
|
|
|
|
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Corporate |
|
|
|
|
(
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Marketable equity securities |
|
(
|
|
|
(
|
|
|
(
|
|
|
|
||||||||||||||||||||||||
| Asset-backed securities |
|
|
|
|
(
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Other trading assets |
|
|
|
|
(
|
|
|
(
|
(
|
|
(
|
||||||||||||||||||||||||
| Total trading non-derivative assets | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
(
|
$ |
|
$ |
(
|
|||||||||||||
|
Trading derivatives, net
(4)
|
|||||||||||||||||||||||||||||||||||
| Interest rate contracts | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
(
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
|||||||||||||
| Foreign exchange contracts |
(
|
|
|
(
|
|
|
|
(
|
(
|
(
|
|
||||||||||||||||||||||||
| Equity contracts |
(
|
|
|
(
|
(
|
|
|
(
|
(
|
(
|
|
||||||||||||||||||||||||
| Commodity contracts |
|
|
|
|
(
|
|
|
(
|
(
|
|
|
||||||||||||||||||||||||
| Credit derivatives |
(
|
(
|
|
|
|
|
|
(
|
|
(
|
(
|
||||||||||||||||||||||||
|
Total trading derivatives, net
(4)
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
(
|
$ |
(
|
$ |
|
|||||||||||||
Table continues on the next page.
161
|
Net realized/unrealized
gains (losses) incl. in
(1)
|
Transfers |
Unrealized
gains (losses) still held (3) |
|||||||||||||||||||||||||||||||||
| In millions of dollars | Dec. 31, 2021 |
Principal
transactions |
Other
(1)(2)
|
into
Level 3 |
out of
Level 3 |
Purchases | Issuances | Sales | Settlements | Mar. 31, 2022 | |||||||||||||||||||||||||
| Investments | |||||||||||||||||||||||||||||||||||
| Mortgage-backed securities | |||||||||||||||||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
|||||||||||||
| Residential |
|
|
(
|
|
(
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Total investment mortgage-backed securities | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
|||||||||||||
| U.S. Treasury and federal agency securities | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||||
| State and municipal |
|
|
(
|
|
(
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Foreign government |
|
|
(
|
|
(
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Corporate |
|
|
(
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
| Marketable equity securities |
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
| Asset-backed securities |
|
|
|
|
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Other debt securities |
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
| Non-marketable equity securities |
|
|
(
|
|
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Total investments | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
|||||||||||||
| Loans | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
|||||||||||||
| Mortgage servicing rights |
|
|
|
|
|
|
|
|
(
|
|
|
||||||||||||||||||||||||
| Other financial assets measured on a recurring basis |
|
|
|
|
(
|
|
|
(
|
(
|
|
|
||||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||||||||
| Interest-bearing deposits | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
|||||||||||||
| Securities loaned and sold under agreements to repurchase |
|
|
|
|
|
|
|
|
(
|
|
|
||||||||||||||||||||||||
| Trading account liabilities | |||||||||||||||||||||||||||||||||||
| Securities sold, not yet purchased |
|
|
|
|
(
|
|
|
|
(
|
|
(
|
||||||||||||||||||||||||
| Other trading liabilities |
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
| Short-term borrowings |
|
|
|
|
(
|
|
|
|
(
|
|
|
||||||||||||||||||||||||
| Long-term debt |
|
|
|
|
(
|
|
|
|
(
|
|
|
||||||||||||||||||||||||
| Other financial liabilities measured on a recurring basis |
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
(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, 2022.
(4)
Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
162
|
Net realized/unrealized
gains (losses) incl. in
(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 | $ |
|
$ |
(
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
|||||||||||||
| Trading non-derivative assets | |||||||||||||||||||||||||||||||||||
| Trading mortgage-backed securities | |||||||||||||||||||||||||||||||||||
| U.S. government-sponsored agency guaranteed |
|
(
|
|
|
(
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Residential |
|
|
|
|
(
|
|
|
(
|
|
|
|
||||||||||||||||||||||||
| Commercial |
|
|
|
|
(
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Total trading mortgage-backed securities | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
|||||||||||||
| U.S. Treasury and federal agency securities | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||||
| State and municipal |
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
| Foreign government |
|
|
|
|
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Corporate |
|
|
|
|
(
|
|
|
(
|
|
|
|
||||||||||||||||||||||||
| Marketable equity securities |
|
|
|
|
(
|
|
|
(
|
|
|
|
||||||||||||||||||||||||
| Asset-backed securities |
|
|
|
|
(
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Other trading assets |
|
(
|
|
|
(
|
|
|
(
|
(
|
|
|
||||||||||||||||||||||||
| Total trading non-derivative assets | $ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
(
|
$ |
|
$ |
(
|
|||||||||||||
|
Trading derivatives, net
(4)
|
|||||||||||||||||||||||||||||||||||
| Interest rate contracts | $ |
|
$ |
(
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
|||||||||||||
| Foreign exchange contracts |
|
(
|
|
|
|
|
|
(
|
(
|
(
|
(
|
||||||||||||||||||||||||
| Equity contracts |
(
|
|
|
|
|
|
|
(
|
(
|
(
|
|
||||||||||||||||||||||||
| Commodity contracts |
|
|
|
|
(
|
|
|
(
|
|
|
|
||||||||||||||||||||||||
| Credit derivatives |
|
(
|
|
|
|
|
|
|
|
|
(
|
||||||||||||||||||||||||
|
Total trading derivatives, net
(4)
|
$ |
(
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
(
|
$ |
(
|
$ |
(
|
$ |
|
|||||||||||||
| Investments | |||||||||||||||||||||||||||||||||||
| Mortgage-backed securities | |||||||||||||||||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||||
| Residential |
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
| Commercial |
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
| Total investment mortgage-backed securities | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||||
| U.S. Treasury and federal agency securities | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||||
| State and municipal |
|
|
(
|
|
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Foreign government |
|
|
(
|
|
|
|
|
(
|
|
|
(
|
||||||||||||||||||||||||
| Corporate |
|
|
(
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
| Asset-backed securities |
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
| Non-marketable equity securities |
|
|
|
|
|
|
|
(
|
|
|
|
||||||||||||||||||||||||
| Total investments | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
|||||||||||||
Table continues on the next page.
163
|
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 | |||||||||||||||||||||||||
| Loans | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
|||||||||||||
| Mortgage servicing rights |
|
|
|
|
|
|
|
|
(
|
|
|
||||||||||||||||||||||||
| Other financial assets measured on a recurring basis |
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||||||||
| Interest-bearing deposits | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||||
| Securities loaned and sold under agreements to repurchase |
|
(
|
|
|
|
|
|
|
(
|
|
(
|
||||||||||||||||||||||||
| Trading account liabilities | |||||||||||||||||||||||||||||||||||
| Securities sold, not yet purchased |
|
|
|
|
(
|
|
|
|
(
|
|
|
||||||||||||||||||||||||
| Other trading liabilities |
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
| Short-term borrowings |
|
(
|
|
|
(
|
|
|
|
(
|
|
(
|
||||||||||||||||||||||||
| Long-term debt |
|
|
|
|
(
|
|
|
|
(
|
|
|
||||||||||||||||||||||||
| Other financial liabilities measured on a recurring basis |
|
|
(
|
|
|
|
|
|
(
|
|
(
|
||||||||||||||||||||||||
(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 other-than-temporary 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, 2022.
(4)
Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
Level 3 Fair Value Rollforward
The following were the significant Level 3 transfers for the period December 31, 2021 to March 31, 2022:
•
During the three months ended March 31, 2022, transfers of
Long-term debt
were $
3.4
billion from Level 2 to Level 3. Of the $
3.4
billion transfer in the three months ended March 31, 2022, approximately $
2.9
billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $
0.5
billion related to equity and credit derivative inputs (in addition to other volatility inputs, e.g., interest rate volatility inputs) becoming unobservable and/or significant to their overall valuation. In other instances, market changes have resulted in some inputs becoming more observable, and some unobservable inputs becoming less significant to the overall valuation of the instruments (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $
0.9
billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three months ended March 31, 2022.
There were no significant Level 3 transfers for the period December 31, 2020 to March 31, 2021.
164
Valuation Techniques and Inputs for Level 3 Fair Value Measurements
| As of March 31, 2022 |
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 | $ |
|
Model-based |
Credit spread
|
|
|
|
|||||||||||||
|
Interest rate
|
|
% |
|
% |
|
% | ||||||||||||||
| Mortgage-backed securities | $ |
|
Yield analysis | Yield |
|
% |
|
% |
|
% | ||||||||||
|
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||||
| State and municipal, foreign government, corporate and other debt securities | $ |
|
Price-based
|
Price
|
$ |
|
$ |
|
$ |
|
||||||||||
|
|
Model-based
|
|||||||||||||||||||
|
Marketable equity securities
(5)
|
$ |
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||
|
|
Model-based | WAL |
|
|
|
|||||||||||||||
|
Recovery
(in millions)
|
$ |
|
$ |
|
$ |
|
||||||||||||||
| Asset-backed securities | $ |
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||
|
|
Yield analysis | Yield |
|
% |
|
% |
|
% | ||||||||||||
| Non-marketable equities | $ |
|
Comparables analysis | Illiquidity discount |
|
% |
|
% |
|
% | ||||||||||
|
|
Price-based | PE ratio |
|
|
|
|||||||||||||||
|
|
Model-based | Adjustment factor |
|
|
|
|||||||||||||||
| Price | $ |
|
$ |
|
$ |
|
||||||||||||||
| Cost of capital |
|
% |
|
% |
|
% | ||||||||||||||
| Revenue multiple |
|
|
|
|||||||||||||||||
|
Derivatives—gross
(6)
|
||||||||||||||||||||
| Interest rate contracts (gross) | $ |
|
Model-based | IR Normal volatility |
|
% |
|
% |
|
% | ||||||||||
| Foreign exchange contracts (gross) | $ |
|
Model-based | Yield |
(
|
% |
|
% |
|
% | ||||||||||
| IR Normal volatility |
|
% |
|
% |
|
% | ||||||||||||||
| Credit spread |
|
|
|
|||||||||||||||||
|
Equity contracts (gross)
(7)
|
$ |
|
Model-based | Equity volatility |
|
% |
|
% |
|
% | ||||||||||
| Equity forward |
|
% |
|
% |
|
% | ||||||||||||||
| Equity-Equity correlation |
(
|
% |
|
% |
|
% | ||||||||||||||
| Equity-FX correlation |
(
|
% |
|
% |
(
|
% | ||||||||||||||
| Commodity and other contracts (gross) | $ |
|
Model-based | Commodity correlation |
(
|
% |
|
% |
|
% | ||||||||||
| Commodity volatility |
|
% |
|
% |
|
% | ||||||||||||||
| Forward price |
|
% |
|
% |
|
% | ||||||||||||||
| Credit derivatives (gross) | $ |
|
Model-based | Credit spread |
|
|
|
|||||||||||||
|
|
Price-based | Recovery rate |
|
% |
|
% |
|
% | ||||||||||||
| Upfront points |
(
|
% |
|
% |
|
% | ||||||||||||||
| Credit correlation |
|
% |
|
% |
|
% | ||||||||||||||
| Price | $ |
|
$ |
|
$ |
|
||||||||||||||
| Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | $ |
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||
| Loans and leases | $ |
|
Model-based | Equity volatility |
|
% |
|
% |
|
% | ||||||||||
| Commodity volatility |
|
% |
|
% |
|
% | ||||||||||||||
165
| As of March 31, 2022 |
Fair value
(1)
(in millions)
|
Methodology | Input |
Low
(2)(3)
|
High
(2)(3)
|
Weighted
average
(4)
|
||||||||||||||
| Commodity correlation |
(
|
% |
|
% |
|
% | ||||||||||||||
| Forward price |
|
% |
|
% |
|
% | ||||||||||||||
| Mortgage servicing rights | $ |
|
Cash flow | Yield |
|
% |
|
% |
|
% | ||||||||||
|
|
Model-based | WAL |
|
|
|
|||||||||||||||
| Liabilities | ||||||||||||||||||||
| Interest-bearing deposits | $ |
|
Model-based | IR Normal volatility |
|
% |
|
% |
|
% | ||||||||||
| Forward price |
|
% |
|
% |
|
% | ||||||||||||||
| Equity forward |
|
% |
|
% |
|
% | ||||||||||||||
| Equity volatility |
|
% |
|
% |
|
% | ||||||||||||||
| Securities loaned and sold under agreements to repurchase | $ |
|
Model-based
|
Interest rate
|
|
% |
|
% |
|
% | ||||||||||
| Trading account liabilities | ||||||||||||||||||||
| Securities sold, not yet purchased and other trading liabilities | $ |
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||
| Short-term borrowings and long-term debt | $ |
|
Model-based
|
IR Normal volatility |
|
% |
|
% |
|
% | ||||||||||
| Equity volatility |
|
% |
|
% |
|
% | ||||||||||||||
| Equity forward |
|
% |
|
% |
|
% | ||||||||||||||
| Equity-IR correlation |
(
|
% |
|
% |
|
% | ||||||||||||||
| As of December 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 | $ |
|
Model-based | Credit spread |
|
|
|
|||||||||||||
| Interest rate |
|
% |
|
% |
|
% | ||||||||||||||
| Mortgage-backed securities | $ |
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||
|
|
Yield analysis | Yield |
|
% |
|
% |
|
% | ||||||||||||
| State and municipal, foreign government, corporate and other debt securities | $ |
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||
|
|
Model-based | Equity volatility |
|
% |
|
% |
|
% | ||||||||||||
|
Marketable equity securities
(5)
|
$ |
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||
|
|
Model-based | WAL |
|
|
|
|||||||||||||||
|
Recovery
(in millions)
|
$ |
|
$ |
|
$ |
|
||||||||||||||
| Asset-backed securities | $ |
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||
|
|
Yield analysis | Yield |
|
% |
|
% |
|
% | ||||||||||||
| Non-marketable equities | $ |
|
Price-based | Illiquidity discount |
|
% |
|
% |
|
% | ||||||||||
|
|
Comparables analysis | PE ratio |
|
|
|
|||||||||||||||
|
|
Model-based | Price | $ |
|
$ |
|
$ |
|
||||||||||||
| Adjustment factor |
|
|
|
|||||||||||||||||
| Revenue multiple |
|
|
|
|||||||||||||||||
| Cost of capital |
|
% |
|
% |
|
% | ||||||||||||||
|
Derivatives—gross
(6)
|
||||||||||||||||||||
| Interest rate contracts (gross) | $ |
|
Model-based | IR normal volatility |
|
% |
|
% |
|
% | ||||||||||
| Foreign exchange contracts (gross) | $ |
|
Model-based | IR Normal volatility |
|
% |
|
% |
|
% | ||||||||||
| FX volatility |
|
% |
|
% |
|
% | ||||||||||||||
| Credit spread |
|
|
|
|||||||||||||||||
|
Equity contracts (gross)
(7)
|
$ |
|
Model-based | Equity volatility |
|
% |
|
% |
|
% | ||||||||||
| Equity forward |
|
% |
|
% |
|
% | ||||||||||||||
166
| Equity-FX correlation |
(
|
% |
|
% |
(
|
% | ||||||||||||||
| Equity-Equity correlation |
(
|
% |
|
% |
|
% | ||||||||||||||
| Commodity and other contracts (gross) | $ |
|
Model-based | Forward price |
|
% |
|
% |
|
% | ||||||||||
| Commodity volatility |
|
% |
|
% |
|
% | ||||||||||||||
| Commodity correlation |
(
|
% |
|
% |
(
|
% | ||||||||||||||
| Credit derivatives (gross) | $ |
|
Model-based | Credit spread |
|
|
|
|||||||||||||
|
|
Price-based | Recovery rate |
|
% |
|
% |
|
% | ||||||||||||
| Upfront points |
|
% |
|
% |
|
% | ||||||||||||||
| Price | $ |
|
$ |
|
$ |
|
||||||||||||||
| Credit correlation |
|
% |
|
% |
|
% | ||||||||||||||
| Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | $ |
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||
| Loans and leases | $ |
|
Model-based | Equity volatility |
|
% |
|
% |
|
% | ||||||||||
| Forward price |
|
% |
|
% |
|
% | ||||||||||||||
| Commodity volatility |
|
% |
|
% |
|
% | ||||||||||||||
| Commodity correlation |
(
|
% |
|
% |
(
|
% | ||||||||||||||
| Mortgage servicing rights | $ |
|
Cash flow | Yield |
(
|
% |
|
% |
|
% | ||||||||||
|
|
Model-based | WAL |
|
|
|
|||||||||||||||
| Liabilities | ||||||||||||||||||||
| Interest-bearing deposits | $ |
|
Model-based | IR Normal volatility |
|
% |
|
% |
|
% | ||||||||||
| Equity volatility |
|
% |
|
% |
|
% | ||||||||||||||
| Equity forward |
|
% |
|
% |
|
% | ||||||||||||||
| Securities loaned and sold under agreements to repurchase | $ |
|
Model-based | Interest rate |
|
% |
|
% |
|
% | ||||||||||
| Trading account liabilities | ||||||||||||||||||||
| Securities sold, not yet purchased and other trading liabilities | $ |
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||
| Short-term borrowings and long-term debt | $ |
|
Model-based | IR Normal volatility |
|
% |
|
% |
|
% | ||||||||||
| Equity volatility |
|
% |
|
% |
|
% | ||||||||||||||
| Equity-IR correlation |
(
|
% |
|
% |
|
% | ||||||||||||||
| Equity-FX correlation |
(
|
% |
|
% |
(
|
% | ||||||||||||||
| FX volatility |
|
% |
|
% |
|
% | ||||||||||||||
(1)
The tables above include the fair values for the items listed and may not foot to the total population for each category.
(2)
Some inputs are shown as zero due to rounding.
(3)
When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.
(4)
Weighted averages are calculated based on the fair values of the instruments.
(5)
For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.
(6)
Both trading and non-trading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)
Includes hybrid products.
167
Items Measured at Fair Value on a Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a nonrecurring basis and, therefore, are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for an identical or similar investment in the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market value.
The following tables present the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded:
| In millions of dollars | Fair value | Level 2 | Level 3 | ||||||||
| March 31, 2022 | |||||||||||
|
Loans HFS
(1)
|
$ |
|
$ |
|
$ |
|
|||||
| Other real estate owned |
|
|
|
||||||||
|
Loans
(2)
|
|
|
|
||||||||
| Non-marketable equity securities measured using the measurement alternative |
|
|
|
||||||||
| Total assets at fair value on a nonrecurring basis | $ |
|
$ |
|
$ |
|
|||||
| In millions of dollars | Fair value | Level 2 | Level 3 | ||||||||
| December 31, 2021 | |||||||||||
|
Loans HFS
(1)
|
$ |
|
$ |
|
$ |
|
|||||
| Other real estate owned |
|
|
|
||||||||
|
Loans
(2)
|
|
|
|
||||||||
| Non-marketable equity securities measured using the measurement alternative |
|
|
|
||||||||
| Total assets at fair value on a nonrecurring basis | $ |
|
$ |
|
$ |
|
|||||
(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.
168
Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements
The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:
| As of March 31, 2022 |
Fair value
(1)
(in millions)
|
Methodology | Input |
Low
(2)
|
High |
Weighted
average
(3)
|
||||||||||||||
| Loans held-for-sale | $ |
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||
| Other real estate owned | $ |
|
Recovery analysis |
Appraised value
(4)
|
$ |
|
$ |
|
$ |
|
||||||||||
|
Loans
(5)
|
$ |
|
Recovery analysis |
Appraised value
(4)
|
$ |
|
$ |
|
$ |
|
||||||||||
| Non-marketable equity securities measured using the measurement alternative | $ |
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||
| As of December 31, 2021 |
Fair value
(1)
(in millions)
|
Methodology | Input |
Low
(2)
|
High |
Weighted
average
(3)
|
||||||||||||||
| Loans HFS | $ |
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||
| Other real estate owned | $ |
|
Price-based |
Appraised value
(4)
|
$ |
|
$ |
|
$ |
|
||||||||||
|
|
Recovery analysis | |||||||||||||||||||
|
Loans
(5)
|
$ |
|
Recovery analysis |
Appraised value
(4)
|
$ |
|
$ |
|
$ |
|
||||||||||
|
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||||
| Recovery rate |
|
% |
|
% |
|
% | ||||||||||||||
| Non-marketable equity securities measured using the measurement alternative | $ |
|
Price-based | Price | $ |
|
$ |
|
$ |
|
||||||||||
(1)
The table above includes the fair values for the items listed and may not foot to the total population for each category.
(2)
Some inputs are shown as zero due to rounding.
(3)
Weighted averages are calculated based on the fair values of the instruments.
(4)
Appraised values are disclosed in whole dollars.
(5)
Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
Nonrecurring Fair Value Changes
The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:
| Three Months Ended March 31, | ||||||||
| In millions of dollars | 2022 | 2021 | ||||||
| Loans HFS | $ |
(
|
$ |
(
|
||||
| Other real estate owned |
|
|
||||||
|
Loans
(1)
|
|
|
||||||
| Non-marketable equity securities measured using the measurement alternative |
|
|
||||||
| Total nonrecurring fair value gains (losses) | $ |
(
|
$ |
|
||||
(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.
169
Estimated Fair Value of Financial Instruments Not Carried at Fair Value
| March 31, 2022 | Estimated fair value | ||||||||||||||||
|
Carrying
value |
Estimated
fair value |
||||||||||||||||
| In billions of dollars | Level 1 | Level 2 | Level 3 | ||||||||||||||
| Assets | |||||||||||||||||
| Investments, net of allowance | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Securities borrowed and purchased under agreements to resell |
|
|
|
|
|
||||||||||||
|
Loans
(1)(2)
|
|
|
|
|
|
||||||||||||
|
Other financial assets
(2)(3)
|
|
|
|
|
|
||||||||||||
| Liabilities | |||||||||||||||||
| Deposits | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Securities loaned and sold under agreements to repurchase |
|
|
|
|
|
||||||||||||
|
Long-term debt
(4)
|
|
|
|
|
|
||||||||||||
|
Other financial liabilities
(5)
|
|
|
|
|
|
||||||||||||
| December 31, 2021 | Estimated fair value | ||||||||||||||||
|
Carrying
value |
Estimated
fair value |
||||||||||||||||
| In billions of dollars | Level 1 | Level 2 | Level 3 | ||||||||||||||
| Assets | |||||||||||||||||
| Investments, net of allowance | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Securities borrowed and purchased under agreements to resell |
|
|
|
|
|
||||||||||||
|
Loans
(1)(2)
|
|
|
|
|
|
||||||||||||
|
Other financial assets
(2)(3)
|
|
|
|
|
|
||||||||||||
| Liabilities | |||||||||||||||||
| Deposits | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Securities loaned and sold under agreements to repurchase |
|
|
|
|
|
||||||||||||
|
Long-term debt
(4)
|
|
|
|
|
|
||||||||||||
|
Other financial liabilities
(5)
|
|
|
|
|
|
||||||||||||
(1)
The carrying value of loans is net of the
Allowance for credit losses on loans
of $
15.4
billion for March 31, 2022 and $
16.5
billion for December 31, 2021. In addition, the carrying values exclude $
0.4
billion and $
0.5
billion of lease finance receivables at March 31, 2022 and December 31, 2021, 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, 2022 and December 31, 2021 were off-balance sheet liabilities of $
9.8
billion and $
8.1
billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.
170
21.
FAIR VALUE ELECTIONS
The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election may not 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.
The Company has elected fair value accounting for its mortgage servicing rights (MSRs). See Note 18 for additional details on Citi’s MSRs.
The following table presents the changes in fair value of those items for which the fair value option has been elected:
| Changes in fair value—gains (losses) | ||||||||
| Three Months Ended March 31, | ||||||||
| In millions of dollars | 2022 | 2021 | ||||||
| Assets | ||||||||
| Securities borrowed and purchased under agreements to resell | $ |
(
|
$ |
(
|
||||
| Trading account assets |
(
|
|
||||||
| Loans | ||||||||
| Certain corporate loans |
(
|
|
||||||
| Certain consumer loans |
(
|
|
||||||
| Total loans | $ |
(
|
$ |
|
||||
| Other assets | ||||||||
| MSRs | $ |
|
$ |
|
||||
|
Certain mortgage loans HFS
(1)
|
(
|
(
|
||||||
| Total other assets | $ |
(
|
$ |
|
||||
| Total assets | $ |
(
|
$ |
|
||||
| Liabilities | ||||||||
| Interest-bearing deposits | $ |
|
$ |
|
||||
| Securities loaned and sold under agreements to repurchase |
|
|
||||||
| Trading account liabilities |
(
|
|
||||||
|
Short-term borrowings
(2)
|
|
(
|
||||||
|
Long-term debt
(2)
|
|
|
||||||
| Total liabilities | $ |
|
$ |
|
||||
(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.
171
Own Debt Valuation Adjustments (DVA)
Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected using Citi’s credit spreads observed in the bond market. 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 gain of $
1,050
million and a loss of $
38
million for the three months ended March 31, 2022 and 2021, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.
The Fair Value Option for Financial Assets and Financial Liabilities
Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain Uncollateralized Short-Term Borrowings
The Company elected the fair value option for certain portfolios of fixed income securities purchased under agreements to resell and fixed income securities sold under agreements to repurchase, securities borrowed, securities loaned and certain uncollateralized short-term borrowings held primarily by broker-dealer entities in the United States, the United Kingdom and Japan. In each case, the election was made because the related interest rate risk is managed on a portfolio basis, primarily with offsetting derivative instruments that are accounted for at fair value through earnings.
Changes in fair value for transactions in these portfolios are recorded in
Principal transactions
. The related interest revenue and interest expense are measured based on the contractual rates specified in the transactions and are reported as
Interest revenue
and
Interest expense
in the Consolidated Statement of Income.
Certain Loans and Other Credit Products
Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.
The following table provides information about certain credit products carried at fair value:
| March 31, 2022 | December 31, 2021 | |||||||||||||
| In millions of dollars | Trading assets | Loans | Trading assets | Loans | ||||||||||
| Carrying amount reported on the Consolidated Balance Sheet | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Aggregate unpaid principal balance in excess of (less than) fair value |
|
|
(
|
|
||||||||||
| Balance of non-accrual loans or loans more than 90 days past due |
|
|
|
|
||||||||||
| Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due |
|
|
|
|
||||||||||
172
In addition to the amounts reported above, $
713
million and $
719
million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of March 31, 2022 and December 31, 2021, 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, 2022 and 2021 due to instrument-specific credit risk totaled to losses of $(
59
) million and $(
2
) 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 $
0.3
billion and $
0.3
billion at March 31, 2022 and December 31, 2021, respectively. The amounts are expected to fluctuate based on trading activity in future periods.
As part of its commodity and foreign currency trading activities, Citi trades unallocated precious metals investments and executes forward purchase and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of March 31, 2022, there were approximately $
23.6
billion and $
14.4
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,
2022 |
December 31, 2021 | ||||||
| Carrying amount reported on the Consolidated Balance Sheet | $ |
|
$ |
|
||||
| Aggregate fair value in excess of (less than) unpaid principal balance |
(
|
|
||||||
| Balance of non-accrual loans or loans more than 90 days past due |
|
|
||||||
| Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due |
|
|
||||||
173
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, 2022 and 2021 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 Debt Liabilities
The Company has elected the fair value option for certain debt liabilities. The Company elected the fair value option because these exposures are considered to be trading-related positions and, therefore, they are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives classified as
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 notes carried at fair value, disaggregated by type of risk:
| In billions of dollars | March 31, 2022 | December 31, 2021 | ||||||
| Interest rate linked | $ |
|
$ |
|
||||
| Foreign exchange linked |
|
|
||||||
| Equity linked |
|
|
||||||
| Commodity linked |
|
|
||||||
| Credit linked |
|
|
||||||
| Total | $ |
|
$ |
|
||||
The portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of
AOCI
while all other changes in fair value are reported in
Principal transactions
. Changes in the fair value of these liabilities include accrued interest, which is also included in the change in fair value reported in
Principal transactions
.
The following table provides information about long-term debt carried at fair value:
| In millions of dollars | March 31, 2022 | December 31, 2021 | ||||||
| Carrying amount reported on the Consolidated Balance Sheet | $ |
|
$ |
|
||||
| Aggregate unpaid principal balance in excess of (less than) fair value |
(
|
(
|
||||||
The following table provides information about short-term borrowings carried at fair value:
| In millions of dollars | March 31, 2022 | December 31, 2021 | ||||||
| Carrying amount reported on the Consolidated Balance Sheet | $ |
|
$ |
|
||||
| Aggregate unpaid principal balance in excess of (less than) fair value |
|
(
|
||||||
174
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 these tables, see Note 26 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
| Maximum potential amount of future payments | ||||||||||||||
| In billions of dollars at March 31, 2022 |
Expire within
1 year |
Expire after
1 year |
Total amount
outstanding |
Carrying value
(in millions of dollars)
|
||||||||||
| Financial standby letters of credit | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Performance guarantees |
|
|
|
|
||||||||||
| Derivative instruments considered to be guarantees |
|
|
|
|
||||||||||
| Loans sold with recourse |
|
|
|
|
||||||||||
|
Securities lending indemnifications
(1)
|
|
|
|
|
||||||||||
|
Credit card merchant processing
(2)
|
|
|
|
|
||||||||||
| Credit card arrangements with partners |
|
|
|
|
||||||||||
| Other |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Maximum potential amount of future payments | ||||||||||||||
| In billions of dollars at December 31, 2021 |
Expire within
1 year |
Expire after
1 year |
Total amount
outstanding |
Carrying value
(
in millions of dollars)
|
||||||||||
| Financial standby letters of credit | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Performance guarantees |
|
|
|
|
||||||||||
| Derivative instruments considered to be guarantees |
|
|
|
|
||||||||||
| Loans sold with recourse |
|
|
|
|
||||||||||
|
Securities lending indemnifications
(1)
|
|
|
|
|
||||||||||
|
Credit card merchant processing
(2)
|
|
|
|
|
||||||||||
| Credit card arrangements with partners |
|
|
|
|
||||||||||
| Other |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
(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, 2022 and December 31, 2021, this maximum potential exposure was estimated to be $
112
billion and $
119
billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants.
175
Loans Sold with Recourse
Loans sold with recourse represent Citi’s obligations to reimburse the buyers for loan losses under certain circumstances. Recourse refers to the clause in a sales agreement under which a seller/lender will fully reimburse the buyer/investor for any losses resulting from the purchased loans. This may be accomplished by the 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 $
18
million and $
19
million at March 31, 2022 and December 31, 2021, 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, 2022 and December 31, 2021, 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, 2022 or December 31, 2021 for potential obligations that could arise from Citi’s involvement with VTN associations.
Long-Term Care Insurance Indemnification
Through reinsurance agreements and a long-term care indemnification with Genworth Financial Inc. for what are presently referred to as the Genworth Trusts, and only as a result of two unlikely events, Citi would be responsible for an indemnification obligation. Since the likelihood of such events occurring is currently not probable, there is no liability reflected on the Consolidated Balance Sheet as of March 31, 2022 and December 31, 2021 related to this indemnification. However, if both events become reasonably possible (meaning more than remote but less than probable), Citi will be required to estimate and disclose a reasonably possible loss or range of loss to the extent that such an estimate could be made. In addition, if both events become probable, Citi will be required to accrue for such liability in accordance with applicable accounting principles. Citi continues to closely monitor its potential exposure under this indemnification obligation. For additional information, see Note 26 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
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
176
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 $
19.8
billion and $
18.7
billion as of March 31, 2022 and December 31, 2021, respectively.
Variation margin due from clients to the respective CCP, or from the CCP to clients, reflects changes in the value of the client’s derivative contracts for each trading day. As a clearing member, Citi is exposed to the risk of non-performance by clients (e.g., failure of a client to post variation margin to the CCP for negative changes in the value of the client’s derivative contracts). In the event of non-performance by a client, Citi would move to close out the client’s positions. The CCP would typically utilize initial margin posted by the client and held by the CCP, with any remaining shortfalls required to be paid by Citi as clearing member. Citi generally holds incremental cash or securities margin posted by the client, which would typically be expected to be sufficient to mitigate Citi’s credit risk in the event 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, 2022 and December 31, 2021, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to approximately $
1.5
billion and $
1.4
billion, respectively. The carrying value of financial and performance guarantees is included in
Other liabilities
. For loans sold with recourse, the carrying value of the liability is included in
Other liabilities
.
Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $
62.9
billion and $
56.5
billion at March 31, 2022 and December 31, 2021, respectively. Securities and other marketable assets held as collateral amounted to $
85.3
billion and $
84.2
billion at March 31, 2022 and December 31, 2021, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. In addition, letters of credit in favor of Citi held as collateral amounted to $
3.8
billion and $
4.1
billion at March 31, 2022 and December 31, 2021, respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.
177
Performance Risk
| Maximum potential amount of future payments | ||||||||||||||
| In billions of dollars at March 31, 2022 |
Investment
grade |
Non-investment
grade |
Not
rated |
Total | ||||||||||
| Financial standby letters of credit | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Performance guarantees |
|
|
|
|
||||||||||
| Derivative instruments deemed to be guarantees |
|
|
|
|
||||||||||
| Loans sold with recourse |
|
|
|
|
||||||||||
| Securities lending indemnifications |
|
|
|
|
||||||||||
| Credit card merchant processing |
|
|
|
|
||||||||||
| Credit card arrangements with partners |
|
|
|
|
||||||||||
| Other |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Maximum potential amount of future payments | ||||||||||||||
| In billions of dollars at December 31, 2021 |
Investment
grade |
Non-investment
grade |
Not
rated |
Total | ||||||||||
| Financial standby letters of credit | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| Performance guarantees |
|
|
|
|
||||||||||
| Derivative instruments deemed to be guarantees |
|
|
|
|
||||||||||
| Loans sold with recourse |
|
|
|
|
||||||||||
| Securities lending indemnifications |
|
|
|
|
||||||||||
| Credit card merchant processing |
|
|
|
|
||||||||||
| Credit card arrangements with partners |
|
|
|
|
||||||||||
| Other |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
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, 2022. The operating lease ROU asset and lease liability were $
2.9
billion and $
3.1
billion, respectively, as of March 31, 2022, compared to an operating lease ROU asset of $
2.9
billion and lease liability of $
3.1
billion as of December 31, 2021. 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.
178
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,
2022 |
December 31,
2021 |
||||||||||
| Commercial and similar letters of credit | $ |
|
$ |
|
$ |
|
$ |
|
||||||
| One- to four-family residential mortgages |
|
|
|
|
||||||||||
| Revolving open-end loans secured by one- to four-family residential properties |
|
|
|
|
||||||||||
| Commercial real estate, construction and land development |
|
|
|
|
||||||||||
| Credit card lines |
|
|
|
|
||||||||||
| Commercial and other consumer loan commitments |
|
|
|
|
||||||||||
| Other commitments and contingencies |
|
|
|
|
||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ |
|
||||||
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, 2022 and December 31, 2021, Citigroup had approximately $
153.0
billion and $
126.6
billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $
48.6
billion and $
41.1
billion of unsettled repurchase and securities lending agreements, respectively. See Note 10 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.
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,
2022 |
December 31,
2021 |
||||||
| Cash and due from banks | $ |
|
$ |
|
||||
| Deposits with banks, net of allowance |
|
|
||||||
| Total | $ |
|
$ |
|
||||
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.
179
23.
CONTINGENCIES
The following information supplements and amends, as applicable, the disclosure in Note 27 to the Consolidated Financial Statements in Citi’s 2021 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 for which an estimate can be made. At March 31, 2022, 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 only have preliminary or incomplete 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 amounts accrued in relation to matters for which an estimate has been made could be substantially higher or lower than the range of loss included in the estimate.
Subject to the foregoing, it is the opinion of Citigroup’s management, based on current knowledge and after taking into account its current accruals, that the eventual outcome of all matters described in this Note would not 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 2021 Form 10-K.
Foreign Exchange Matters
Antitrust and Other Litigation
: On March 8, 2022, in NYPL v. JPMORGAN CHASE & CO., ET AL., the United States District Court for the Southern District of New York denied plaintiffs’ motion for class certification and granted in part defendants’ motion to exclude plaintiffs’ expert’s analyses. Additional information concerning this action is publicly available in court filings under the docket number 15-CV-9300 (S.D.N.Y.) (Schofield, J.).
On March 31, 2022, in MICHAEL O’HIGGINS FX CLASS REPRESENTATIVE LIMITED v. BARCLAYS BANK PLC AND OTHERS and PHILLIP EVANS v. BARCLAYS BANK PLC AND OTHERS, the U.K.’s Competition Appeal Tribunal issued its judgment on certification. Additional information concerning these actions is publicly available in court filings under the case numbers 1329/7/7/19 and 1336/7/7/19.
On April 6, 2022, in GERTLER, ET AL. v. DEUTSCHE BANK AG, the Supreme Court of Israel rejected Citibank’s motion for leave to appeal the Central District Court’s denial of its motion to dismiss. Additional information concerning this action is publicly available in court filings under the docket number CA 29013-09-18.
Hong Kong Private Bank Litigation
On April 12, 2022, in PT ASURANSI TUGU PRATAMA INDONESIA TBK v. CITIBANK N.A., the Hong Kong Court of Appeal dismissed plaintiff’s appeal. Additional information concerning this case is publicly available in court filings under docket number CACV 548/2018.
Interbank Offered Rates-Related Litigation
Antitrust and Other Litigation
: On February 14, 2022, in IN RE ICE LIBOR ANTITRUST LITIGATION, the United States Court of Appeals for the Second Circuit dismissed plaintiff’s appeal. Additional information concerning this action is publicly available in court filings under the docket numbers 19-CV-439 (S.D.N.Y.) (Daniels, J.) and 20-1492 (2d Cir.).
Record-Keeping Matters
Certain U.S. regulators and authorities are conducting investigations of Citigroup Global Markets Inc. (CGMI) and other firms regarding compliance with record-keeping obligations in connection with business-related communications sent over unapproved electronic messaging channels. CGMI is cooperating with the investigations.
180
Sovereign Securities Litigation
On March 14, 2022, in IN RE EUROPEAN GOVERNMENT BONDS ANTITRUST LITIGATION, the court granted in part and denied in part defendants’ motions to dismiss, including denying CGMI and Citigroup Global Markets Limited’s (CGML) motion to dismiss. On March 28, 2022, certain defendants, including CGMI and CGML, moved for reconsideration. Additional information concerning this action is publicly available in court filings under the docket number 19-CV-02601 (S.D.N.Y.) (Marrero, J.).
On March 30, 2022, in IN RE MEXICAN GOVERNMENT BONDS ANTITRUST LITIGATION, the United States District Court for the Southern District of New York denied plaintiffs’ motion for reconsideration of the order dismissing certain defendants, including Citibanamex, for lack of personal jurisdiction. Additional information concerning this action is publicly available in court filings under the docket number 18-CV-2830 (S.D.N.Y.) (Oetken, J.).
On March 31, 2022, in IN RE TREASURY SECURITIES AUCTION ANTITRUST LITIGATION, the court granted defendants’ motions to dismiss and denied leave to amend. Additional information concerning this action is publicly available in court filings under the docket number 15-MD-2673 (S.D.N.Y.) (Gardephe, J.).
Wind Farm Litigations
On March 17, 2022, the action filed by Midway was voluntarily dismissed. Additional information concerning this action is publicly available in court filings under docket number 2021-23588 (District Court Harris County TX) (Schaffer, J.).
Settlement Payments
Payments required in any settlement agreements described above have been made or are covered by existing litigation or other accruals.
181
24.
CONDENSED CONSOLIDATING FINANCIAL STATEMENTS
Citigroup’s Registration Statement on Form S-3 on file with the SEC includes its wholly owned subsidiary, Citigroup Global Markets Holdings Inc. (CGMHI), as a co-registrant. Any securities issued by CGMHI under the Form S-3 will be fully and unconditionally guaranteed by Citigroup.
The following are the Condensed Consolidating Statements of Income and Comprehensive Income for the three months ended March 31, 2022 and 2021, Condensed Consolidating Balance Sheet as of March 31, 2022 and December 31, 2021 and Condensed Consolidating Statement of Cash Flows for the three months ended March 31, 2022 and 2021 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.
182
Condensed Consolidating Statements of Income and Comprehensive Income
| Three Months Ended March 31, 2022 | |||||||||||||||||
| In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated | ||||||||||||
| Revenues | |||||||||||||||||
| Dividends from subsidiaries | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Interest revenue |
|
|
|
|
|
||||||||||||
| Interest revenue—intercompany |
|
|
(
|
|
|
||||||||||||
| Interest expense |
|
|
|
|
|
||||||||||||
| Interest expense—intercompany |
|
|
(
|
|
|
||||||||||||
| Net interest income | $ |
(
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Commissions and fees | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Commissions and fees—intercompany |
|
|
(
|
|
|
||||||||||||
| Principal transactions |
|
|
|
|
|
||||||||||||
| Principal transactions—intercompany |
(
|
(
|
|
|
|
||||||||||||
| Other revenue |
|
|
|
|
|
||||||||||||
| Other revenue—intercompany |
(
|
(
|
|
|
|
||||||||||||
| Total non-interest revenues | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Total revenues, net of interest expense | $ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Provisions for credit losses and for benefits and claims | $ |
|
$ |
(
|
$ |
|
$ |
|
$ |
|
|||||||
| Operating expenses | |||||||||||||||||
| Compensation and benefits | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Compensation and benefits—intercompany |
|
|
(
|
|
|
||||||||||||
| Other operating |
|
|
|
|
|
||||||||||||
| Other operating—intercompany |
|
|
(
|
|
|
||||||||||||
| Total operating expenses | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Equity in undistributed income of subsidiaries | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Income (loss) from continuing operations before income taxes | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Provision (benefit) for income taxes |
(
|
(
|
|
|
|
||||||||||||
| Income (loss) from continuing operations | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Income (loss) from discontinued operations, net of taxes |
|
|
(
|
|
(
|
||||||||||||
| Net income before attribution of noncontrolling interests | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Noncontrolling interests |
|
|
|
|
|
||||||||||||
| Net income (loss) | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Comprehensive income | |||||||||||||||||
| Add: Other comprehensive income (loss) | $ |
(
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
|||||||
| Total Citigroup comprehensive income (loss) | $ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
(
|
|||||||
| Add: Other comprehensive income attributable to noncontrolling interests | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
|||||||
| Add: Net income attributable to noncontrolling interests |
|
|
|
|
|
||||||||||||
| Total comprehensive income (loss) | $ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
(
|
|||||||
183
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 | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Interest revenue |
|
|
|
|
|
||||||||||||
| Interest revenue—intercompany |
|
|
(
|
|
|
||||||||||||
| Interest expense |
|
|
|
|
|
||||||||||||
| Interest expense—intercompany |
|
|
(
|
|
|
||||||||||||
| Net interest income | $ |
(
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Commissions and fees | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Commissions and fees—intercompany |
(
|
|
(
|
|
|
||||||||||||
| Principal transactions |
|
|
(
|
|
|
||||||||||||
| Principal transactions—intercompany |
(
|
(
|
|
|
|
||||||||||||
| Other revenue |
|
|
|
|
|
||||||||||||
| Other revenue—intercompany |
(
|
(
|
|
|
|
||||||||||||
| Total non-interest revenues | $ |
(
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Total revenues, net of interest expense | $ |
(
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Provisions for credit losses and for benefits and claims | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
|||||||
| Operating expenses | |||||||||||||||||
| Compensation and benefits | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Compensation and benefits—intercompany |
|
|
(
|
|
|
||||||||||||
| Other operating |
|
|
|
|
|
||||||||||||
| Other operating—intercompany |
|
|
(
|
|
|
||||||||||||
| Total operating expenses | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Equity in undistributed income of subsidiaries | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
|
Income (loss) from continuing operations before income
taxes |
$ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Provision (benefit) for income taxes |
(
|
|
|
|
|
||||||||||||
| Income (loss) from continuing operations | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Income (loss) from discontinued operations, net of taxes |
|
|
(
|
|
(
|
||||||||||||
| Net income (loss) before attribution of noncontrolling interests | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Noncontrolling interests |
|
|
|
|
|
||||||||||||
| Net income (loss) | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Comprehensive income | |||||||||||||||||
| Add: Other comprehensive income (loss) | $ |
(
|
$ |
(
|
$ |
|
$ |
(
|
$ |
(
|
|||||||
| Total Citigroup comprehensive income (loss) | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Add: Other comprehensive income attributable to noncontrolling interests | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
|||||||
| Add: Net income attributable to noncontrolling interests |
|
|
|
|
|
||||||||||||
| Total comprehensive income (loss) | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
184
Condensed Consolidating Balance Sheet
| March 31, 2022 | |||||||||||||||||
| In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated | ||||||||||||
| Assets | |||||||||||||||||
| Cash and due from banks | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Cash and due from banks—intercompany |
|
|
(
|
|
|
||||||||||||
| Deposits with banks, net of allowance |
|
|
|
|
|
||||||||||||
| Deposits with banks—intercompany |
|
|
(
|
|
|
||||||||||||
| Securities borrowed and purchased under resale agreements |
|
|
|
|
|
||||||||||||
| Securities borrowed and purchased under resale agreements—intercompany |
|
|
(
|
|
|
||||||||||||
| Trading account assets |
|
|
|
|
|
||||||||||||
| Trading account assets—intercompany |
|
|
(
|
|
|
||||||||||||
| Investments, net of allowance |
|
|
|
|
|
||||||||||||
| Loans, net of unearned income |
|
|
|
|
|
||||||||||||
| Loans, net of unearned income—intercompany |
|
|
|
|
|
||||||||||||
| Allowance for credit losses on loans (ACLL) |
|
|
(
|
|
(
|
||||||||||||
| Total loans, net | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Advances to subsidiaries | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
|||||||
| Investments in subsidiaries |
|
|
|
(
|
|
||||||||||||
|
Other assets, net of allowance
(1)
|
|
|
|
|
|
||||||||||||
| Other assets—intercompany |
|
|
(
|
|
|
||||||||||||
| Total assets | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Liabilities and equity | |||||||||||||||||
| Deposits | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Deposits—intercompany |
|
|
|
|
|
||||||||||||
| Securities loaned and sold under repurchase agreements |
|
|
|
|
|
||||||||||||
| Securities loaned and sold under repurchase agreements—intercompany |
|
|
(
|
|
|
||||||||||||
| Trading account liabilities |
|
|
|
|
|
||||||||||||
| Trading account liabilities—intercompany |
|
|
(
|
|
|
||||||||||||
| Short-term borrowings |
|
|
|
|
|
||||||||||||
| Short-term borrowings—intercompany |
|
|
(
|
|
|
||||||||||||
| Long-term debt |
|
|
|
|
|
||||||||||||
| Long-term debt—intercompany |
|
|
(
|
|
|
||||||||||||
| Advances from subsidiaries |
|
|
(
|
|
|
||||||||||||
| Other liabilities |
|
|
|
|
|
||||||||||||
| Other liabilities—intercompany |
|
|
(
|
|
|
||||||||||||
| Stockholders’ equity |
|
|
|
(
|
|
||||||||||||
| Total liabilities and equity | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
(1)
Other assets
for Citigroup parent company at March 31, 2022 included $
32.8
billion of placements to Citibank and its branches, of which $
20.6
billion had a remaining term of less than 30 days.
185
Condensed Consolidating Balance Sheet
| December 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 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Cash and due from banks—intercompany |
|
|
(
|
|
|
||||||||||||
| Deposits with banks, net of allowance |
|
|
|
|
|
||||||||||||
| Deposits with banks—intercompany |
|
|
(
|
|
|
||||||||||||
| Securities borrowed and purchased under resale agreements |
|
|
|
|
|
||||||||||||
| Securities borrowed and purchased under resale agreements—intercompany |
|
|
(
|
|
|
||||||||||||
| Trading account assets |
|
|
|
|
|
||||||||||||
| Trading account assets—intercompany |
|
|
(
|
|
|
||||||||||||
| Investments, net of allowance |
|
|
|
|
|
||||||||||||
| Loans, net of unearned income |
|
|
|
|
|
||||||||||||
| Loans, net of unearned income—intercompany |
|
|
|
|
|
||||||||||||
| Allowance for credit losses on loans (ACLL) |
|
|
(
|
|
(
|
||||||||||||
| Total loans, net | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Advances to subsidiaries | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
|
|||||||
| Investments in subsidiaries |
|
|
|
(
|
|
||||||||||||
|
Other assets, net of allowance
(1)
|
|
|
|
|
|
||||||||||||
| Other assets—intercompany |
|
|
(
|
|
|
||||||||||||
| Total assets | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
| Liabilities and equity | |||||||||||||||||
| Deposits | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Deposits—intercompany |
|
|
|
|
|
||||||||||||
| Securities loaned and sold under repurchase agreements |
|
|
|
|
|
||||||||||||
| Securities loaned and sold under repurchase agreements—intercompany |
|
|
(
|
|
|
||||||||||||
| Trading account liabilities |
|
|
|
|
|
||||||||||||
| Trading account liabilities—intercompany |
|
|
(
|
|
|
||||||||||||
| Short-term borrowings |
|
|
|
|
|
||||||||||||
| Short-term borrowings—intercompany |
|
|
(
|
|
|
||||||||||||
| Long-term debt |
|
|
|
|
|
||||||||||||
| Long-term debt—intercompany |
|
|
(
|
|
|
||||||||||||
| Advances from subsidiaries |
|
|
(
|
|
|
||||||||||||
| Other liabilities |
|
|
|
|
|
||||||||||||
| Other liabilities—intercompany |
|
|
(
|
|
|
||||||||||||
| Stockholders’ equity |
|
|
|
(
|
|
||||||||||||
| Total liabilities and equity | $ |
|
$ |
|
$ |
|
$ |
(
|
$ |
|
|||||||
186
Condensed Consolidating Statement of Cash Flows
| Three Months Ended March 31, 2022 | |||||||||||||||||
| 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 | $ |
(
|
$ |
(
|
$ |
(
|
$ |
|
$ |
(
|
|||||||
| Cash flows from investing activities of continuing operations | |||||||||||||||||
| Available-for-sale debt securities: | |||||||||||||||||
| Purchases of investments | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
|||||||
| Proceeds from sales of investments |
|
|
|
|
|
||||||||||||
| Proceeds from maturities of investments |
|
|
|
|
|
||||||||||||
| Held-to-maturity debt securities: | |||||||||||||||||
| Purchases of investments |
|
|
(
|
|
(
|
||||||||||||
| Proceeds from maturities of investments |
|
|
|
|
|
||||||||||||
| Change in loans |
|
|
(
|
|
(
|
||||||||||||
| Proceeds from sales and securitizations of loans |
|
|
|
|
|
||||||||||||
| Change in securities borrowed and purchased under agreements to resell |
|
(
|
(
|
|
(
|
||||||||||||
| Changes in investments and advances—intercompany |
(
|
(
|
|
|
|
||||||||||||
|
Other investing activities
|
|
|
(
|
|
(
|
||||||||||||
| Net cash provided by (used in) investing activities of continuing operations | $ |
(
|
$ |
(
|
$ |
(
|
$ |
|
$ |
(
|
|||||||
| Cash flows from financing activities of continuing operations | |||||||||||||||||
| Dividends paid | $ |
(
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
|||||||
| Treasury stock acquired |
(
|
|
|
|
(
|
||||||||||||
| Proceeds (repayments) from issuance of long-term debt, net |
|
|
(
|
|
|
||||||||||||
| Proceeds (repayments) from issuance of long-term debt—intercompany, net |
|
|
(
|
|
|
||||||||||||
| Change in deposits |
|
|
|
|
|
||||||||||||
| Change in securities loaned and sold under agreements to repurchase |
|
|
|
|
|
||||||||||||
| Change in short-term borrowings |
|
|
(
|
|
|
||||||||||||
| Net change in short-term borrowings and other advances—intercompany |
|
|
(
|
|
|
||||||||||||
| Capital contributions from (to) parent |
|
|
(
|
|
|
||||||||||||
| Other financing activities |
(
|
|
|
|
(
|
||||||||||||
| Net cash provided by (used in) financing activities of continuing operations | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Effect of exchange rate changes on cash and due from banks | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
|||||||
| Change in cash and due from banks and deposits with banks | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Cash and due from banks and deposits with banks at beginning of period |
|
|
|
|
|
||||||||||||
| Cash and due from banks and deposits with banks at end of period | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Cash and due from banks | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Deposits with banks, net of allowance |
|
|
|
|
|
||||||||||||
| Cash and due from banks and deposits with banks at end of period | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Supplemental disclosure of cash flow information for continuing operations | |||||||||||||||||
| Cash paid (received) during the period for income taxes | $ |
(
|
$ |
(
|
$ |
|
$ |
|
$ |
|
|||||||
|
Cash paid during the period for interest
|
|
|
|
|
|
||||||||||||
|
Non-cash investing activities
|
|||||||||||||||||
| Decrease in net loans associated with significant disposals reclassified to HFS | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Decrease in goodwill associated with significant disposals reclassified to HFS |
|
|
|
|
|
||||||||||||
|
Transfers to loans HFS (
Other assets
) from loans
|
|
|
|
|
|
||||||||||||
|
Non-cash financing activities
|
|||||||||||||||||
| Decrease in deposits associated with significant disposals reclassified to HFS | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Decrease in long-term debt associated with significant disposals reclassified to HFS |
|
|
|
|
|
||||||||||||
187
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 | $ |
(
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Cash flows from investing activities of continuing operations | |||||||||||||||||
| Available-for-sale debt securities: | |||||||||||||||||
| Purchases of investments | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
|||||||
| Proceeds from sales of investments |
|
|
|
|
|
||||||||||||
| Proceeds from maturities of investments |
|
|
|
|
|
||||||||||||
| Held-to-maturity debt securities: | |||||||||||||||||
| Purchases of investments |
|
|
(
|
|
(
|
||||||||||||
| Proceeds from maturities of investments |
|
|
|
|
|
||||||||||||
| Change in loans |
|
|
|
|
|
||||||||||||
| Proceeds from sales and securitizations of loans |
|
|
|
|
|
||||||||||||
| Change in securities borrowed and purchased under agreements to resell |
|
(
|
|
|
(
|
||||||||||||
| Changes in investments and advances—intercompany |
|
(
|
|
|
|
||||||||||||
| Other investing activities |
|
(
|
(
|
|
(
|
||||||||||||
| Net cash provided by (used in) investing activities of continuing operations | $ |
|
$ |
(
|
$ |
(
|
$ |
|
$ |
(
|
|||||||
| Cash flows from financing activities of continuing operations | |||||||||||||||||
| Dividends paid | $ |
(
|
$ |
(
|
$ |
|
$ |
|
$ |
(
|
|||||||
| Issuance of preferred stock |
|
|
|
|
|
||||||||||||
| Redemption of preferred stock |
(
|
|
|
|
(
|
||||||||||||
| Treasury stock acquired |
(
|
|
|
|
(
|
||||||||||||
| Proceeds (repayments) from issuance of long-term debt, net |
(
|
|
(
|
|
(
|
||||||||||||
| Proceeds (repayments) from issuance of long-term debt—intercompany, net |
|
|
(
|
|
|
||||||||||||
| Change in deposits |
|
|
|
|
|
||||||||||||
| Change in securities loaned and sold under agreements to repurchase |
|
|
|
|
|
||||||||||||
| Change in short-term borrowings |
|
|
|
|
|
||||||||||||
| Net change in short-term borrowings and other advances—intercompany |
|
(
|
(
|
|
|
||||||||||||
| Other financing activities |
(
|
|
|
|
(
|
||||||||||||
| Net cash provided by financing activities of continuing operations | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Effect of exchange rate changes on cash and due from banks | $ |
|
$ |
|
$ |
(
|
$ |
|
$ |
(
|
|||||||
| Change in cash and due from banks and deposits with banks | $ |
(
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Cash and due from banks and deposits with banks at beginning of period |
|
|
|
|
|
||||||||||||
| Cash and due from banks and deposits with banks at end of period | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Cash and due from banks | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Deposits with banks, net of allowance |
|
|
|
|
|
||||||||||||
| Cash and due from banks and deposits with banks at end of period | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Supplemental disclosure of cash flow information for continuing operations | |||||||||||||||||
| Cash paid during the period for income taxes | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
| Cash paid during the period for interest |
|
|
|
|
|
||||||||||||
| Non-cash investing activities | |||||||||||||||||
| Transfers to loans HFS from loans | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||
188
UNREGISTERED SALES OF EQUITY SECURITIES, REPURCHASES OF EQUITY SECURITIES AND DIVIDENDS
Unregistered Sales of Equity Securities
None.
Equity Security Repurchases
All large banks, including Citi, are subject to limitations on capital distributions in the event of a breach of any regulatory capital buffers, including the Stress Capital Buffer, with the degree of such restrictions based on the extent to which the buffers are breached. For additional information, see “Capital Resources—Regulatory Capital Buffers” and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.
As indicated in the table below, Citi repurchased $3.0 billion of common shares during the first quarter of 2022. All shares repurchased were added to treasury stock.
The following table summarizes Citi’s common share repurchases:
| In millions, except per share amounts | Total shares purchased |
Average
price paid per share |
||||||
| January 2022 | ||||||||
| Open market repurchases | 8.8 | $ | 63.75 | |||||
|
Employee transactions
(1)
|
— | — | ||||||
| February 2022 | ||||||||
| Open market repurchases | 11.2 | 66.75 | ||||||
|
Employee transactions
(1)
|
— | — | ||||||
| March 2022 | ||||||||
| Open market repurchases | 30.3 | 55.90 | ||||||
|
Employee transactions
(1)
|
— | — | ||||||
| Total for 1Q22 | 50.3 | $ | 59.68 | |||||
(1) During the first quarter, pursuant to Citigroup’s Board of Directors’ authorization, Citi withheld 676,126 shares (at an average price of $67.84) of common stock, added to treasury stock, related to activity on employee stock programs to satisfy the employee tax requirements.
Dividends
Citi paid common dividends of $0.51 per share during the first quarter of 2022, and on April 1, 2022, declared common dividends of $0.51 per share for the second quarter of 2022. As previously announced, Citi intends to maintain its planned capital actions, which include a quarterly common dividend of at least $0.51 per share, subject to financial and macroeconomic conditions as well as Board of Directors’ approval.
As discussed above, Citi’s ability to pay common stock dividends is subject to limitations on capital distributions in the event of a breach of any regulatory capital buffers, including the Stress Capital Buffer, with the degree of such restrictions based on the extent to which the buffers are breached. For additional information, see “Capital Resources—Regulatory Capital Buffers” and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.
Any dividend on Citi’s outstanding common stock would also need to be in compliance with Citi’s obligations on its outstanding preferred stock.
On April 1, 2022, Citi declared preferred dividends of approximately $238 million for the second quarter of 2022.
For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 18 in Citi’s 2021 Form 10-K.
189
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 9th day of May, 2022.
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)
190
GLOSSARY OF TERMS AND ACRONYMS
The following is a list of terms and acronyms that are used in this Annual Report on Form 10-K and other Citigroup presentations.
* Denotes a Citi metric
2021 Annual Report on Form 10-K:
Annual report on Form 10-K for year ended December 31, 2021, filed with the SEC.
90+ days past due delinquency rate*:
Represents consumer loans that are past due by 90 or more days, divided by that period’s total EOP loans.
ABS:
Asset-backed securities
ACL:
Allowance for credit losses
ACLL:
Allowance for credit losses on loans
ACLUC:
Allowance for credit losses on unfunded lending commitments
AFS:
Available-for-sale
ALCO:
Asset Liability Committee
Amortized cost:
Amount at which a financing receivable or investment is originated or acquired, adjusted for accretion or amortization of premium, discount, and net deferred fees or costs, collection of cash, charge-offs, foreign exchange, and fair value hedge accounting adjustments. For AFS securities, amortized cost is also reduced by any impairment losses recognized in earnings. Amortized cost is not reduced by the allowance for credit losses, except where explicitly presented net.
AOCI:
Accumulated other comprehensive income (loss)
ARM:
Adjustable rate mortgage(s)
ASC:
Accounting Standards Codification under GAAP issued by the FASB.
Asia Consumer:
Asia Consumer Banking
ASU:
Accounting Standards Update under GAAP issued by the FASB.
AUC:
Assets under custody
AUM:
Assets under management. Represent assets managed on behalf of Citi’s clients.
Available liquidity resources*:
Resources available at the balance sheet date to support Citi’s client and business needs, including HQLA assets; additional unencumbered securities, including excess liquidity held at bank entities that is non-transferable to other entities within Citigroup; and available assets not already accounted for within Citi’s HQLA to support Federal Home Loan Bank (FHLB) and Federal Reserve Bank discount window borrowing capacity.
Basel III:
Liquidity and capital rules adopted by the FRB based on an internationally agreed set of measures developed by the Basel Committee on Banking Supervision.
Beneficial interests issued by consolidated VIEs:
Represents the interest of third-party holders of debt, equity securities or other obligations, issued by VIEs that Citi consolidates.
Benefit obligation:
Refers to the projected benefit obligation for pension plans and the accumulated postretirement benefit obligation for OPEB plans.
BHC:
Bank holding company
Book value per share*:
EOP common equity divided by EOP common shares outstanding.
Bps:
Basis points. One basis point equals 1/100th of one percent.
Branded cards:
Citi’s branded cards business with a portfolio of proprietary cards (Double Cash, Custom Cash, ThankYou and Value cards) and co-branded cards (including, among others, American Airlines and Costco).
Build:
A net increase in ACL through the provision for credit losses.
Cards:
Citi’s credit cards’ businesses or activities.
CCAR:
Comprehensive Capital Analysis and Review
CCO:
Chief Compliance Officer
CDS:
Credit default swaps
CECL:
Current expected credit losses
CEO:
Chief Executive Officer
CET1 Capital:
Common Equity Tier 1 Capital. See “Capital Resources—Components of Citigroup Capital” above for the components of CET1.
CET1 Capital Ratio*:
Common Equity Tier 1 Capital ratio. A primary regulatory capital ratio representing end-of-period CET1 Capital divided by total risk-weighted assets.
CFO:
Chief Financial Officer
CFTC:
Commodity Futures Trading Commission
CGMHI:
Citigroup Global Markets Holdings Inc.
Citi:
Citigroup Inc.
Citibank or CBNA:
Citibank, N.A. (National Association)
Client assets:
Represent assets under management as well as custody, brokerage, administration and deposit accounts.
CLO:
Collateralized loan obligations
Collateral-dependent:
A loan is considered collateral dependent when repayment of the loan is expected to be provided substantially through the operation or sale of the collateral when the borrower is experiencing financial difficulty, including when foreclosure is deemed probable based on borrower delinquency.
Commercial cards:
Provides a wide range of payment services to corporate and public sector clients worldwide through commercial card products. Services include procurement, corporate travel and entertainment, expense
191
management services, and business-to-business payment solutions.
Consent orders:
In October 2020, Citigroup and Citibank entered into consent orders with the Federal Reserve and OCC that require Citigroup and Citibank to make improvements in various aspects of enterprise-wide risk management, compliance, data quality management and governance and internal controls.
CRE:
Commercial real estate
Credit card spend volume*:
Dollar amount of card customers’ purchases, net of returns. Also known as purchase sales.
Credit cycle:
A period of time over which credit quality improves, deteriorates and then improves again (or vice versa). The duration of a credit cycle can vary from a couple of years to several years.
Credit derivatives:
Financial instruments whose value is derived from the credit risk associated with the debt of a third-party issuer (the reference entity), which allow one party (the protection purchaser) to transfer that risk to another party (the protection seller).
Critical Audit Matters:
Audit matters communicated by KPMG to Citi’s Audit Committee of the Board of Directors, relating to accounts or disclosures that are material to the consolidated financial statements and involved especially challenging, subjective or complex judgments. See “Report of Independent Registered Public Accounting Firm” above.
Criticized:
Criticized loans, lending-related commitments and derivative receivables that are classified as special mention, substandard and doubtful categories for regulatory purposes.
CRO:
Chief Risk Officer
CVA:
Credit valuation adjustment
Dividend payout ratio*:
Represents dividends declared per common share as a percentage of net income per diluted share.
Dodd-Frank Act:
Wall Street Reform and Consumer Protection Act
DPD:
Days past due
DVA:
Debit valuation adjustment
EC:
European Commission
Efficiency ratio*:
A ratio signifying how much of a dollar in expenses (as a percentage) it takes to generate one dollar in revenue. Represents total operating expenses divided by total revenues, net.
EMEA:
Europe, Middle East and Africa
EOP:
End-of-period
EPS*:
Earnings per share
ERISA:
Employee Retirement Income Security Act of 1974
ETR:
Effective tax rate
EU:
European Union
Fannie Mae:
Federal National Mortgage Association
FASB:
Financial Accounting Standards Board
FDIC:
Federal Deposit Insurance Corporation
Federal Reserve:
The Board of the Governors of the Federal Reserve System
FFIEC:
Federal Financial Institutions Examination Council
FHA:
Federal Housing Administration
FHLB:
Federal Home Loan Bank
FICO:
Fair Issac Corporation
FICO score:
A measure of consumer credit risk provided by credit bureaus, typically produced from statistical models by Fair Isaac Corporation utilizing data collected by the credit bureaus.
FINRA:
Financial Industry Regulatory Authority
Firm:
Citigroup Inc.
FRBNY:
Federal Reserve Bank of New York
Freddie Mac:
Federal Home Loan Mortgage Corporation
Free standing derivatives:
A derivative contract entered into either separate and apart from any of the Company’s other financial instruments or equity transactions, or in conjunction with some other transaction and legally detachable and separately exercisable.
FTCs:
Foreign tax credit carry-forwards
FTE:
Full-time employee
FVA:
Funding valuation adjustment
FX:
Foreign exchange
FX translation:
The impact of converting non-U.S.-dollar currencies into U.S. dollars.
G7:
Group of Seven nations. Countries in the G7 are Canada, France, Germany, Italy, Japan, the U.K. and the U.S.
GAAP or U.S. GAAP:
Generally accepted accounting principles in the United States of America.
Ginnie Mae:
Government National Mortgage Association
Global Wealth:
Global Wealth Management
GSIB:
Global systemically important banks
HELOC:
Home equity line of credit
HFI loans:
Loans that are held-for-investment (i.e., excludes loans held-for-sale).
HFS:
Held-for-sale
HQLA:
High-quality liquid assets. Consist of cash and certain high-quality liquid securities as defined in the LCR rule.
HTM:
Held-to-maturity
IBOR:
Interbank Offered Rate
ICG:
Institutional Clients Group
ICRM:
Independent Compliance Risk Management
IPO:
Initial public offering
ISDA:
International Swaps and Derivatives Association
192
KM:
K
ey financial and non-financial metric used by management when evaluating consolidated and/or individual business results.
KPMG LLP:
Citi’s Independent Registered Public Accounting Firm.
LATAM:
Latin America, which for Citi, includes Mexico.
LCR:
Liquidity coverage ratio. Represents HQLA divided by net outflows in the period.
LDA:
Loss Distribution Approach
LGD:
Loss given default
LIBOR:
London Interbank Offered Rate
LLC:
Limited Liability Company
LTD:
Long-term debt
LTV:
Loan-to-value. For residential real estate loans, the relationship, expressed as a percentage, between the principal amount of a loan and the appraised value of the collateral (i.e., residential real estate) securing the loan.
Master netting agreement:
A single agreement with a counterparty that permits multiple transactions governed by that agreement to be terminated or accelerated and settled through a single payment in a single currency in the event of a default (e.g., bankruptcy, failure to make a required payment or securities transfer or deliver collateral or margin when due).
MBS:
Mortgage-backed securities
MCA:
Manager’s control assessment
MD&A:
Management’s discussion and analysis
Measurement alternative:
Measures equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer.
Mexico Consumer:
Mexico Consumer Banking
Mexico Consumer/SBMM:
Mexico Consumer Banking and Small Business and Middle-Market Banking
Mexico SBMM:
Mexico Small Business and Middle-Market Banking
Moody’s:
Moody’s Investor Services
MSRs:
Mortgage servicing rights
N/A:
Data is not applicable or available for the period presented.
NAA:
Non-accrual assets. Consists of non-accrual loans and OREO.
NAL:
Non-accrual loans. Loans for which interest income is not recognized on an accrual basis. Loans (other than credit card loans and certain consumer loans insured by U.S. government sponsored agencies) are placed on non-accrual status when full payment of principal and interest is not expected, regardless of delinquency status, or when principal and interest have been in default for a period of 90 days or more unless the loan is both well-secured and in the process of collection. Collateral-dependent loans are typically maintained on non-accrual status.
NAV:
Net asset value
NCL(s):
Net credit losses. Represents gross credit losses, less gross credit recoveries.
NCL ratio*:
Represents net credit losses (recoveries) (annualized), divided by average loans for the reporting period.
Net Capital Rule:
Rule 15c3-1 under the Securities Exchange Act of 1934.
Net interchange income:
Includes the following components:
• Interchange revenue: Fees earned from merchants based on Citi’s credit and debit card customers’ sales transactions.
• Reward costs: The cost to Citi for points earned by cardholders enrolled in credit card rewards programs generally tied to sales transactions.
• Partner payments: Payments to co-brand credit card partners based on the cost of loyalty program rewards earned by cardholders on credit card transactions.
NII:
Net interest income. Represents total interest revenue, less total interest expenses.
NIM*:
Net interest margin expressed as a yield percentage, calculated as annualized net interest income divided by average interest-earning assets for the period.
NIR:
Non-interest revenues
NM:
Not meaningful
Noncontrolling interests:
The portion of an investment that has been consolidated by Citi that is not 100% owned by Citi.
Non-GAAP financial measure:
Management uses these financial measures because it believes they provide information to enable investors to understand the underlying operational performance and trends of Citi and its businesses.
NSFR:
Net Stable Funding Ratio
O/S:
Outstanding
OCC:
Office of the Comptroller of the Currency
OCI:
Other comprehensive income (loss)
OREO:
Other real estate owned
OTTI:
Other-than-temporary impairment
Over-the-counter cleared (OTC-cleared) derivatives:
Derivative contracts that are negotiated and executed bilaterally, but subsequently settled via a central clearing house, such that each derivative counterparty is only exposed to the default of that clearing house.
Over-the-counter (OTC) derivatives:
Derivative contracts that are negotiated, executed and settled bilaterally between two derivative counterparties, where one or both counterparties is a derivatives dealer.
Parent Company:
Citigroup Inc.
Participating securities:
Represents unvested share-based compensation awards containing nonforfeitable rights to dividends or dividend equivalents (collectively, “dividends”), which are included in the earnings per share calculation using
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the two-class method. Citi grants RSUs to certain employees under its share-based compensation programs, which entitle the recipients to receive non-forfeitable dividends during the vesting period on a basis equivalent to the dividends paid to holders of common stock. These unvested awards meet the definition of participating securities. Under the two-class method, all earnings (distributed and undistributed) are allocated to each class of common stock and participating securities, based on their respective rights to receive dividends.
PBWM:
Personal Banking and Wealth Management
PCD:
Purchased credit-deteriorated assets are financial assets that as of the date of acquisition have experienced a more-than-insignificant deterioration in credit quality since origination, as determined by the Company.
PCI:
Purchased credit-impaired loans represented certain loans that were acquired and deemed to be credit impaired on the acquisition date. The now superseded FASB guidance that allowed purchasers to aggregate credit-impaired loans acquired in the same fiscal quarter into one or more pools, provided that the loans had common risk characteristics (e.g., product type, LTV ratios).
PD:
Probability of default
Principal transactions revenue:
Primarily trading-related revenues predominantly generated by the
ICG
businesses. See Note 6.
Provisions:
Provisions for credit losses and for benefits and claims.
PSUs:
Performance share units
Real GDP:
Real gross domestic product is the inflation-adjusted value of the goods and services produced by labor and property located in a country.
Regulatory VAR:
Daily aggregated VAR calculated in accordance with regulatory rules.
REITs:
Real estate investment trusts
Release:
A net decrease in ACL through the provision for credit losses.
Reported basis:
Financial statements prepared under U.S. GAAP.
Results of operations that exclude certain
impacts from gains or losses on sale, or one-time charges
*:
Represents GAAP items, excluding the impact of gains or losses on sales, or one-time charges (e.g., the loss on sale related to the sale of Citi’s consumer banking business in Australia).
Results of operations that exclude the impact of FX translation*:
Represents GAAP items, excluding the impact of FX translation, whereby the prior periods’ foreign currency balances are translated into U.S. dollars at the current periods’ conversion rates (also known as Constant dollar).
Retail services:
Citi’s U.S. retail services cards business with a portfolio of co-brand and private label relationships (including, among others, The Home Depot, Sears, Best Buy and Macy’s).
ROA*:
Return on assets. Represents net income (annualized), divided by average assets for the period.
ROCE*:
Return on Common Equity. Represents net income less preferred dividends (both annualized), divided by average common equity for the period.
ROE:
Return on equity. Represents net income less preferred dividends (both annualized), divided by average Citigroup equity for the period.
RoTCE*:
Return on tangible common equity. Represents net income less preferred dividends (both annualized), divided by average tangible common equity for the period.
RSU(s):
Restricted stock units
RWA:
Risk-weighted assets. Basel III establishes two comprehensive approaches for calculating RWA (a Standardized approach and an Advanced approach), which include capital requirements for credit risk, market risk, and in the case of Basel III Advanced, also operational risk. Key differences in the calculation of credit risk RWA between the Standardized and Advanced approaches are that for Basel III Advanced, credit risk RWA is based on risk-sensitive approaches which largely rely on the use of internal credit models and parameters, whereas for Basel III Standardized, credit risk RWA is generally based on supervisory risk-weightings, which vary primarily by counterparty type and asset class. Market risk RWA is calculated on a generally consistent basis between Basel III Standardized and Basel III Advanced Approaches.
S&P:
Standard and Poor’s Global Ratings
SCB:
Stress Capital Buffer
SEC:
The U.S. Securities and Exchange Commission
Securities financing agreements:
Include resale, repurchase, securities borrowed and securities loaned agreements.
SLR:
Supplementary leverage ratio. Represents Tier 1 Capital, divided by total leverage exposure.
SOFR:
Secured Overnight Financing Rate
SPEs:
Special purpose entities
Structured notes:
Financial instruments whose cash flows are linked to the movement in one or more indexes, interest rates, foreign exchange rates, commodities prices, prepayment rates, or other market variables. The notes typically contain embedded (but not separable or detachable) derivatives. Contractual cash flows for principal, interest or both can vary in amount and timing throughout the life of the note based on non-traditional indexes or non-traditional uses of traditional interest rates or indexes.
Tangible book value per share (TBVPS)*:
Represents tangible common equity divided by EOP common shares outstanding.
Tangible common equity (TCE):
Represents common stockholders’ equity less goodwill and identifiable intangible assets, other than MSRs.
Taxable-equivalent basis:
Represents the total revenue, net of interest expense for the business, adjusted for revenue from
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investments that receive tax credits and the impact of tax-exempt securities. This metric presents results on a level comparable to taxable investments and securities.
Tax Reform:
Tax Cuts and Jobs Act of 2017
TDR:
Troubled debt restructuring. TDR is deemed to occur when the Company modifies the original terms of a loan agreement by granting a concession to a borrower that is experiencing financial difficulty. Loans with short-term and other insignificant modifications that are not considered concessions are not TDRs.
TLAC:
Total loss-absorbing capacity
Total payout ratio*:
Represents total common dividends declared plus common share repurchases as a percentage of net income available to common shareholders.
Transformation:
Citi has embarked on a multiyear transformation, with the target outcome to change Citi’s business and operating models such that they simultaneously strengthen risk and controls and improve Citi’s value to customers, clients and shareholders.
U.K.:
United Kingdom
Unaudited:
Financial statements and information that have not been subjected to auditing procedures sufficient to permit an independent certified public accountant to express an opinion.
USD:
U.S. dollar
U.S.:
United States of America
U.S. government agencies:
U.S. government agencies include, but are not limited to, agencies such as Ginnie Mae and FHA, and do not include Fannie Mae and Freddie Mac, which are U.S. government-sponsored enterprises (U.S. GSEs). In general, obligations of U.S. government agencies are fully and explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government in the event of a default.
U.S. Treasury:
U.S. Department of the Treasury
VAR:
Value at risk. A measure of the dollar amount of potential loss from adverse market moves in an ordinary market environment.
VIEs:
Variable interest entities
Wallet:
Proportion of fee revenue based on estimates of investment banking fees generated across the industry (i.e., the revenue wallet) from investment banking transactions in M&A, equity and debt underwriting, and loan syndications.
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EXHIBIT INDEX
| Exhibit | ||||||||
| Number | Description of Exhibit | |||||||
| 101.01+ |
Financial statements from the Quarterly Report on Form 10-Q of Citigroup for the quarterly period ended March 31, 2022, filed on May 9, 2022, formatted in Inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Stockholders’ 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.
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