CITIGROUP INC - Quarter Report: 2022 June (Form 10-Q)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
| ☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 | ||||
For the quarterly period ended June 30, 2022
OR
| ☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 | ||||
For the transition period from to
Commission file number 1-9924
Citigroup Inc.
(Exact name of registrant as specified in its charter)
| Delaware | 52-1568099 | |||||||||||||
| (State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |||||||||||||
| 388 Greenwich Street, | New York | NY | 10013 | |||||||||||
| (Address of principal executive offices) | (Zip code) | |||||||||||||
(212) 559-1000
(Registrant's telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 formatted in Inline XBRL: See Exhibit 99.01
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and “emerging growth company” in Rule 12b-2 of the Exchange Act.
| Large accelerated filer | ☒ | Accelerated filer | ☐ | Non-accelerated filer | ☐ | Smaller reporting company | ☐ | ||||||||||||||||
| Emerging growth company | ☐ | ||||||||||||||||||||||
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. Yes ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒
Number of shares of Citigroup Inc. common stock outstanding on June 30, 2022: 1,936,709,623
Available on the web at www.citigroup.com
CITIGROUP’S SECOND QUARTER 2022—FORM 10-Q
| OVERVIEW | |||||
| MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | |||||
| Executive Summary | |||||
| Summary of Selected Financial Data | |||||
SEGMENT REVENUES AND INCOME (LOSS) | |||||
| SEGMENT BALANCE SHEET | |||||
| Institutional Clients Group | |||||
| Personal Banking and Wealth Management | |||||
| Legacy Franchises | |||||
| Corporate/Other | |||||
| CAPITAL RESOURCES | |||||
| MANAGING GLOBAL RISK TABLE OF CONTENTS | |||||
| MANAGING GLOBAL RISK | |||||
| SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES | |||||
| DISCLOSURE CONTROLS AND PROCEDURES | |||||
| DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT | |||||
| FORWARD-LOOKING STATEMENTS | |||||
| FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS | |||||
| CONSOLIDATED FINANCIAL STATEMENTS | |||||
| NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) | |||||
| UNREGISTERED SALES OF EQUITY SECURITIES, REPURCHASES OF EQUITY SECURITIES AND DIVIDENDS | |||||
| 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, Citigroup’s Current Report on Form 8-K dated May 10, 2022 (as amended by a Current Report on Form 8-K/A dated May 10, 2022) with Historical Consolidated Financial Statements and Notes, and Management’s Discussion and Analysis of Financial Condition and Results of Operations and other Form 10-K sections conformed to reflect changes in Citigroup’s operating segments and reporting units from those contained in Citi’s 2021 Annual Report on Form 10-K, included as an exhibit thereto (such Current Report on Form 8-K together with Citigroup’s 2021 Annual Report on Form 10-K, collectively referred to as the 2021 Form 10-K), and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2022 (First Quarter of 2022 Form 10-Q).
Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s annual reports on Form 10-K, quarterly reports on Form 10-Q, current reports on Form 8-K and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available 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 these filings 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 changes 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 | |||||||||||||||||||||||||||||
| Institutional Clients Group (ICG) | Personal Banking and Wealth Management (PBWM) | Legacy Franchises | |||||||||||||||||||||||||||
•Services –Treasury and trade solutions (TTS) –Securities services •Markets –Equity markets –Fixed income markets •Banking –Investment banking –Corporate lending | •U.S. Personal Banking –Cards ◦Branded cards ◦Retail services –Retail banking •Global Wealth Management (Global Wealth) –Private bank –Wealth at Work –Citigold | •Asia Consumer Banking (Asia Consumer) –Retail banking and cards for the remaining 12 exit markets (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 | |||||||||||||||||||||||||||
| Corporate/Other | |||||||||||||||||||||||||||||
•Corporate Treasury managed portfolios •Operations and technology •Global staff functions and other corporate expenses •Discontinued operations | |||||||||||||||||||||||||||||
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the operating segments and Corporate/Other above.
Citigroup Regions(1) | |||||||||||||||||||||||||||||||||||
| North America | Europe, Middle East and Africa (EMEA) | Latin America | Asia | ||||||||||||||||||||||||||||||||
(1) North America includes the U.S., Canada and Puerto Rico, Latin America includes Mexico and Asia includes Japan.
2
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
EXECUTIVE SUMMARY
Second Quarter of 2022—Strong Results and Continued Progress Toward Achieving Priorities
As described further throughout this Executive Summary, during the second quarter of 2022:
•Citi’s revenues increased 11% versus the prior-year period, reflecting growth in net interest income—primarily driven by benefits from higher interest rates and strong volumes in Institutional Clients Group (ICG) and Personal Banking and Wealth Management (PBWM), and growth in non-interest revenue—driven by Fixed income markets and Services in ICG, partially offset by lower non-interest revenue in ICG’s Investment banking business and PBWM.
•Citi’s expenses increased 8%, driven by continued investments in its transformation, including enhancing its risk and control environment and modernizing its data and technology infrastructure; and business-led investments, including hiring front office employees and enhancing product capabilities and platforms that improve the digital client experience and add scalability.
•Citi returned a total of $1.3 billion to common shareholders in the form of dividends and repurchases.
•Citi’s Common Equity Tier 1 (CET1) Capital ratio increased to 11.9% as of June 30, 2022, compared to 11.8% as of June 30, 2021. As previously disclosed, on October 1, 2022, Citi’s effective minimum CET1 Capital ratio will increase to 11.5% from 10.5% under the Standardized Approach due to the increase in the Stress Capital Buffer (SCB) requirement to 4.0% from 3.0%. In addition, on January 1, 2023, Citi’s effective minimum CET1 Capital requirement will increase to 12% from 11.5% under the Standardized Approach, as the GSIB surcharge increases to 3.5% from 3.0% (for additional information, see “Capital Resources” below). Due to the increases, Citi announced it is pausing common share repurchases as it continues to build capital.
•Citi continued to make progress on its divestitures in the current quarter, including completing the sale of its Australia consumer business, which resulted in a regulatory capital benefit of approximately $1.4 billion, and making progress on closing the other eight previously signed consumer business transactions and the wind-down of the Korea consumer business. As previously announced, Citi also completed the sale of its Philippines consumer business on August 1, 2022, resulting in a regulatory capital benefit of approximately $700 million.
Various geopolitical and macroeconomic challenges and uncertainties continue to adversely impact economic conditions in the U.S. and globally. The U.S. and other countries have experienced significantly elevated levels of inflation, resulting in central banks implementing a series of interest rates increases, with additional increases expected in
the near term. In addition to the humanitarian crisis, the war in Ukraine has caused supply shocks in energy and food markets.
Disruptions in global supply chains have continued and the COVID-19 pandemic continues to evolve. An economic rebound in China faces constraints given the potential for future pandemic-related lockdowns, the amount of leverage in its economy and stress in the property sector. All of these factors have caused a decline in financial markets, negatively impacted economic growth rates, contributed to sharply lower consumer confidence and increased the overall risk of recession in Europe, the U.S. and other countries. These and other factors could adversely affect Citi’s customers, clients, businesses, funding costs and results during the remainder of 2022.
For a further discussion of trends, uncertainties and risks that will or could impact Citi’s businesses, results of operations, capital and other financial condition during 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.
Second Quarter of 2022 Results Summary
Citigroup
Citigroup reported net income of $4.5 billion, or $2.19 per share, compared to net income of $6.2 billion, or $2.85 per share in the prior-year period. The decrease in net income was largely driven by higher cost of credit, as well as higher expenses, partially offset by the increase in revenues. Citigroup’s reported effective tax rate was 19.8%, compared to the second quarter of 2021 effective tax rate of 15.7%. The lower effective tax rate in the prior-year period reflected a $450 million valuation allowance release related to foreign tax credit carry-forwards, compared to a significantly lower release in the current quarter. These releases were due to revised projections of future income (for additional information, see “Income Taxes” below). Earnings per share decreased 23%, reflecting the decrease in net income, partially offset by a 6% decline in average diluted shares outstanding.
Citigroup revenues of $19.6 billion increased 11%, reflecting increased interest rates and volumes in ICG and PBWM, primarily from higher client activity in Markets in ICG and continued momentum in Services non-interest revenue, partially offset by a slowdown in Investment banking activity as well as investment fee headwinds in Global Wealth Management (Global Wealth) in PBWM.
Citigroup’s end-of-period loans were $657 billion, down 3% from the prior-year period, as growth in ICG and PBWM (up 2% and 4%, respectively) was more than offset by lower loans in Legacy Franchises. The decline in Legacy Franchises primarily reflected the reclassification of loans to Other assets to reflect held-for-sale (HFS) accounting as a result of the signing of sale agreements for consumer franchises in Asia and EMEA. Citigroup’s end-of-period deposits increased 1%
3
to $1.3 trillion, largely driven by growth in Treasury and trade solutions (TTS) in ICG and Global Wealth.
Expenses
Citigroup’s operating expenses of $12.4 billion increased 8%, driven by continued investments in its transformation, higher business-led investments and volume-related expenses, partially offset by productivity savings. As previously announced, Citi expects to continue to incur higher expenses during the remainder of 2022, compared to the prior-year period, reflecting ongoing transformation-related and business-led investments.
Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims was a cost of $1.3 billion, compared to a benefit of $1.1 billion in the prior-year period. The higher cost of credit was driven by an allowance for credit losses (ACL) build of approximately $400 million (compared to a net release of $2.4 billion in the prior-year period), partially offset by lower net credit losses.
The net ACL build primarily related to increased macroeconomic uncertainty, partially offset by a release related to a reduction in Russia-related risk in ICG in the quarter. 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 36%. Consumer net credit losses decreased 33% to $827 million, largely reflecting improved delinquencies in Legacy Franchises and certain PBWM businesses. Specifically, the decline reflected lower net credit losses in Legacy Franchises (down 66%), primarily reflecting improved delinquencies and the reclassification of loans to reflect HFS accounting as a result of the signing of sales agreements for consumer franchises in Asia and EMEA. The decline was also driven by lower net credit losses in both Branded cards (down 30% to $329 million) and Retail services (down 11% to $290 million) in PBWM, driven by continued strong credit performance across portfolios. Corporate net credit losses decreased 70% to $23 million, 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 CET1 Capital ratio was 11.9% as of June 30, 2022, compared to 11.8% as of June 30, 2021, based on the Basel III Standardized Approach for determining risk-weighted assets. The increase was driven primarily by net income, a decrease in risk-weighted assets and the impact related to the closing of the Australia consumer banking sale, partially offset by interest rate-related adverse net movements in the Accumulated other comprehensive income (AOCI) component of equity, and the return of capital to common shareholders. The increase in Citi’s CET1 Capital ratio was also partially offset by the impact of adopting the Standardized Approach for Counterparty Credit Risk (SA-CCR) on January
1, 2022. For additional information on SA-CCR, see “Capital Resources” in Citi’s First Quarter of 2022 Form 10-Q.
Citigroup’s Supplementary Leverage ratio as of June 30, 2022 was 5.6%, compared to 5.8% as of June 30, 2021. The decrease was driven by the increase in Total Leverage Exposure and the decrease in Tier 1 Capital. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.
Institutional Clients Group
ICG net income of $4.0 billion increased 16%, driven by higher revenues, partially offset by higher expenses and higher cost of credit. ICG operating expenses of $6.4 billion increased 10%, driven by continued investments in Citi’s transformation, higher business-led investments and volume-related expenses, partially offset by productivity savings.
ICG revenues of $11.4 billion increased 20% (including gains (losses) on loan hedges), driven by growth in Services and Markets revenues, partially offset by a decrease in Investment banking revenues. Results included a gain on loan hedges of $0.5 billion, compared with a loss on loan hedges of $37 million in the prior-year period.
Services revenues of $4.0 billion increased 28%. TTS revenues of $3.0 billion increased 33%, driven by 42% growth in net interest income, as well as 17% growth in non-interest revenue, reflecting strength with both mid-size and large corporate clients. Securities services revenues of $994 million increased 16%, as net interest income grew 41%, driven by higher interest rates across currencies, and non-interest revenue grew 8%, reflecting elevated levels of corporate settlement activity in Issuer services.
Markets revenues of $5.3 billion were up 25%, driven by elevated volatility leading to higher client activity. Fixed income markets revenues of $4.1 billion increased 31%, primarily reflecting strong client engagement in the rates, currencies and commodities businesses. Equity markets revenues of $1.2 billion were up 8%, driven by strong equity derivatives performance, partially offset by less client activity in cash, and a net decrease in prime balances, as lower asset valuations more than offset new client balances.
Banking revenues of $2.1 billion decreased 4%. Excluding the gains (losses) on loan hedges, Banking revenues of $1.6 billion decreased 28%. Investment banking revenues of $805 million declined 46%, as heightened geopolitical uncertainty and the overall macroeconomic backdrop reduced capital markets activity and M&A. The decline in Investment banking revenues was partially offset by higher revenues in Corporate lending. For additional information on the results of operations of ICG for the second quarter of 2022, see “Institutional Clients Group” below.
Personal Banking and Wealth Management
PBWM net income of $553 million decreased 69%, largely driven by higher cost of credit and higher expenses, partially offset by higher revenues. PBWM operating expenses of $4.0 billion increased 12%, driven by continued investments in Citi’s transformation, higher business-led investments and volume-related expenses, partially offset by productivity savings.
4
PBWM revenues of $6.0 billion increased 6%, as net interest income growth was partially offset by a decline in non-interest revenue, largely driven by higher partner payments in Retail services.
U.S. Personal Banking revenues of $4.1 billion increased 9%. Branded cards revenues of $2.2 billion increased 10%, driven by higher interest income on higher loan balances. New accounts and card spend volume each increased 18%, while average loans increased 11%. Retail services revenues of $1.3 billion increased 7%, driven by higher interest income on higher loan balances, partially offset by the higher partner payments. Retail banking revenues of $656 million increased 6%, largely driven by higher deposit spreads and volumes.
Global Wealth revenues of $1.9 billion were largely unchanged, as investment fee headwinds, particularly in Asia, were offset by an increase in revenues driven by growth in average deposits and average loans. For additional information on the results of operations of PBWM for the second quarter of 2022, see “Personal Banking and Wealth Management” below.
Legacy Franchises
Legacy Franchises net loss was $17 million, compared to net income of $494 million in the prior-year period, reflecting lower revenues, higher expenses and higher cost of credit. Legacy Franchises expenses increased 1%, driven by impairment of long-lived assets related to the Russia consumer banking business (see “Managing Global Risk—Other Risks—Country Risk—Russia” below) and higher marketing expenses in Mexico Consumer/SBMM, partially offset by lower expenses related to the Asia Consumer exit markets.
Legacy Franchises revenues of $1.9 billion decreased 15%, largely driven by the impacts of the Korea wind-down and the closing of the Australia consumer banking sale, as well as lower investment activity in Asia Consumer. The decline in revenues was also driven by a portion of the release of a currency translation adjustment (CTA) loss (net of hedges) from AOCI related to the substantial liquidation of a legacy U.K. consumer operation (for additional information, see Note 2). In addition, another portion of the CTA loss release was reported in discontinued operations in Corporate/Other. For additional information on the results of operations of Legacy Franchises for the second quarter of 2022, see “Legacy Franchises” below.
Corporate/Other
Corporate/Other net income was $50 million, compared to net income of $473 million in the prior-year period, largely reflecting lower tax benefits related to certain non-U.S. operations and a portion of the release of a CTA loss (net of hedges) from AOCI related to the substantial liquidation of a legacy U.K. consumer operation, recorded in discontinued operations. As discussed above, the other portion of the CTA loss was recorded in revenues in Legacy Franchises. The decline in net income was partially offset by lower expenses and modestly higher revenues. Corporate/Other expenses of $160 million decreased 48%, driven by certain settlements and the benefit of foreign currency translation into U.S. dollars for reporting purposes (FX translation).
Corporate/Other revenues of $255 million increased 12%, largely driven by higher net revenues from the investment portfolio, reflecting higher interest rates. For additional information on the results of operations of Corporate/Other for the second quarter of 2022, see “Corporate/Other” below.
5
RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA
Citigroup Inc. and Consolidated Subsidiaries
| Second Quarter | Six Months | |||||||||||||||||||
| In millions of dollars, except per share amounts | 2022 | 2021(1) | % Change | 2022 | 2021(1) | % Change | ||||||||||||||
| Net interest income | $ | 11,964 | $ | 10,478 | 14 | % | $ | 22,835 | $ | 20,984 | 9 | % | ||||||||
| Non-interest revenue | 7,674 | 7,275 | 5 | 15,989 | 16,436 | (3) | ||||||||||||||
| Revenues, net of interest expense | $ | 19,638 | $ | 17,753 | 11 | % | $ | 38,824 | $ | 37,420 | 4 | % | ||||||||
| Operating expenses | 12,393 | 11,471 | 8 | 25,558 | 22,884 | 12 | ||||||||||||||
| Provisions for credit losses and for benefits and claims | 1,274 | (1,066) | NM | 2,029 | (3,121) | NM | ||||||||||||||
| Income from continuing operations before income taxes | $ | 5,971 | $ | 7,348 | (19) | % | $ | 11,237 | $ | 17,657 | (36) | % | ||||||||
| Income taxes | 1,182 | 1,155 | 2 | 2,123 | 3,487 | (39) | ||||||||||||||
| Income from continuing operations | $ | 4,789 | $ | 6,193 | (23) | % | $ | 9,114 | $ | 14,170 | (36) | % | ||||||||
| Income (loss) from discontinued operations, net of taxes | (221) | 10 | NM | (223) | 8 | NM | ||||||||||||||
| Net income before attribution to noncontrolling interests | $ | 4,568 | $ | 6,203 | (26) | % | $ | 8,891 | $ | 14,178 | (37) | % | ||||||||
| Net income attributable to noncontrolling interests | 21 | 10 | NM | 38 | 43 | (12) | ||||||||||||||
| Citigroup’s net income | $ | 4,547 | $ | 6,193 | (27) | % | $ | 8,853 | $ | 14,135 | (37) | % | ||||||||
| Earnings per share | ||||||||||||||||||||
| Basic | ||||||||||||||||||||
| Income from continuing operations | $ | 2.32 | $ | 2.86 | (19) | % | $ | 4.34 | $ | 6.51 | (33) | % | ||||||||
| Net income | 2.20 | 2.87 | (23) | 4.23 | 6.52 | (35) | ||||||||||||||
| Diluted | ||||||||||||||||||||
| Income from continuing operations | $ | 2.30 | $ | 2.84 | (19) | % | $ | 4.32 | $ | 6.47 | (33) | % | ||||||||
| Net income | 2.19 | 2.85 | (23) | 4.20 | 6.47 | (35) | ||||||||||||||
| Dividends declared per common share | 0.51 | 0.51 | — | 1.02 | 1.02 | — | ||||||||||||||
| Common dividends | $ | 1,010 | $ | 1,062 | (5) | % | $ | 2,024 | $ | 2,136 | (5) | % | ||||||||
Preferred dividends(2) | 238 | 253 | (6) | 517 | 545 | (5) | ||||||||||||||
| Common share repurchases | 250 | 3,000 | NM | 3,250 | 4,600 | (29) | ||||||||||||||
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 | Second Quarter | Six Months | ||||||||||||||||||
| 2022 | 2021(1) | % Change | 2022 | 2021(1) | % Change | |||||||||||||||
| At June 30: | ||||||||||||||||||||
| Total assets | $ | 2,380,904 | $ | 2,327,868 | 2 | % | ||||||||||||||
| Total deposits | 1,321,848 | 1,310,281 | 1 | |||||||||||||||||
| Long-term debt | 257,425 | 264,575 | (3) | |||||||||||||||||
| Citigroup common stockholders’ equity | 180,019 | 184,164 | (2) | |||||||||||||||||
| Total Citigroup stockholders’ equity | 199,014 | 202,159 | (2) | |||||||||||||||||
| Average assets | 2,380,053 | 2,341,810 | 2 | $ | 2,377,047 | $ | 2,329,302 | 2 | % | |||||||||||
Direct staff (in thousands) | 231 | 214 | 8 | % | ||||||||||||||||
| Performance metrics | ||||||||||||||||||||
| Return on average assets | 0.77 | % | 1.06 | % | 0.75 | % | 1.22 | % | ||||||||||||
Return on average common stockholders’ equity(3) | 9.7 | 13.0 | 9.3 | 15.1 | ||||||||||||||||
Return on average total stockholders’ equity(3) | 9.2 | 12.3 | 9.0 | 14.2 | ||||||||||||||||
Return on tangible common equity (RoTCE)(4) | 11.2 | 15.2 | 10.8 | 17.6 | ||||||||||||||||
| Efficiency ratio (total operating expenses/total revenues, net) | 63.1 | 64.6 | 65.8 | 61.2 | ||||||||||||||||
| Basel III ratios | ||||||||||||||||||||
Common Equity Tier 1 Capital(5) | 11.90 | % | 11.77 | % | ||||||||||||||||
Tier 1 Capital(5) | 13.57 | 13.28 | ||||||||||||||||||
Total Capital(5) | 15.16 | 15.58 | ||||||||||||||||||
| Supplementary Leverage ratio | 5.63 | 5.84 | ||||||||||||||||||
| Citigroup common stockholders’ equity to assets | 7.56 | % | 7.91 | % | ||||||||||||||||
| Total Citigroup stockholders’ equity to assets | 8.36 | 8.68 | ||||||||||||||||||
Dividend payout ratio(6) | 23 | 18 | 24 | % | 16 | % | ||||||||||||||
Total payout ratio(7) | 29 | 68 | 63 | 50 | ||||||||||||||||
| Book value per common share | $ | 92.95 | $ | 90.86 | 2 | % | ||||||||||||||
Tangible book value (TBV) per share(4) | 80.25 | 77.87 | 3 | |||||||||||||||||
(1) During the fourth quarter of 2021, Citi reclassified deposit insurance expenses from Interest expense to Other operating expenses for all periods presented. The amounts reclassified for the second quarter and six months of 2021 were $279 million and $619 million, respectively.
(2) Certain series of preferred stock have semiannual payment dates. See Note 20 to the Consolidated Financial Statements 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, 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
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SEGMENT REVENUES AND INCOME (LOSS)
REVENUES
| Second Quarter | Six Months | |||||||||||||||||||
| In millions of dollars | 2022 | 2021 | % Change | 2022 | 2021 | % Change | ||||||||||||||
| Institutional Clients Group | $ | 11,419 | $ | 9,549 | 20 | % | $ | 22,579 | $ | 20,937 | 8 | % | ||||||||
| Personal Banking and Wealth Management | 6,029 | 5,698 | 6 | 11,934 | 11,690 | 2 | ||||||||||||||
| Legacy Franchises | 1,935 | 2,279 | (15) | 3,866 | 4,522 | (15) | ||||||||||||||
| Corporate/Other | 255 | 227 | 12 | 445 | 271 | 64 | ||||||||||||||
| Total Citigroup net revenues | $ | 19,638 | $ | 17,753 | 11 | % | $ | 38,824 | $ | 37,420 | 4 | % | ||||||||
NM Not meaningful
INCOME
| Second Quarter | Six Months | |||||||||||||||||||
| In millions of dollars | 2022 | 2021 | % Change | 2022 | 2021 | % Change | ||||||||||||||
| Income (loss) from continuing operations | ||||||||||||||||||||
| Institutional Clients Group | $ | 3,978 | $ | 3,433 | 16 | % | $ | 6,636 | $ | 8,863 | (25) | % | ||||||||
| Personal Banking and Wealth Management | 553 | 1,805 | (69) | 2,413 | 4,225 | (43) | ||||||||||||||
| Legacy Franchises | (15) | 492 | NM | (400) | 812 | NM | ||||||||||||||
| Corporate/Other | 273 | 463 | (41) | 465 | 270 | 72 | ||||||||||||||
| Income from continuing operations | $ | 4,789 | $ | 6,193 | (23) | % | $ | 9,114 | $ | 14,170 | (36) | % | ||||||||
| Discontinued operations | $ | (221) | $ | 10 | NM | $ | (223) | $ | 8 | NM | ||||||||||
| Less: Net income attributable to noncontrolling interests | 21 | 10 | NM | 38 | 43 | (12) | % | |||||||||||||
| Citigroup’s net income | $ | 4,547 | $ | 6,193 | (27) | % | $ | 8,853 | $ | 14,135 | (37) | % | ||||||||
NM Not meaningful
8
SEGMENT BALANCE SHEET(1)—JUNE 30, 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 | $ | 99,355 | $ | 5,222 | $ | 3,351 | $ | 176,102 | $ | — | $ | 284,030 | ||||||||
| Securities borrowed and purchased under agreements to resell, net of allowance | 360,940 | — | 394 | — | — | 361,334 | ||||||||||||||
| Trading account assets | 327,672 | 3,080 | 963 | 9,160 | — | 340,875 | ||||||||||||||
| Investments, net of allowance | 128,824 | 72 | 1,793 | 383,189 | — | 513,878 | ||||||||||||||
| Loans, net of unearned income and allowance for credit losses on loans | 291,809 | 310,009 | 39,563 | — | — | 641,381 | ||||||||||||||
| Other assets, net of allowance | 134,804 | 26,634 | 35,873 | 42,095 | — | 239,406 | ||||||||||||||
Net inter-segment liquid assets(4) | 356,212 | 133,780 | 25,710 | (515,702) | — | — | ||||||||||||||
| Total assets | $ | 1,699,616 | $ | 478,797 | $ | 107,647 | $ | 94,844 | $ | — | $ | 2,380,904 | ||||||||
| Liabilities and equity | ||||||||||||||||||||
| Total deposits | $ | 828,705 | $ | 427,605 | $ | 52,699 | $ | 12,839 | $ | — | $ | 1,321,848 | ||||||||
| Securities loaned and sold under agreements to repurchase | 196,362 | 35 | 2,075 | — | — | 198,472 | ||||||||||||||
| Trading account liabilities | 177,811 | 2,133 | 305 | 204 | — | 180,453 | ||||||||||||||
| Short-term borrowings | 32,057 | 7 | — | 7,990 | — | 40,054 | ||||||||||||||
Long-term debt(3) | 77,676 | 245 | 499 | 11,131 | 167,874 | 257,425 | ||||||||||||||
| Other liabilities | 123,045 | 11,253 | 33,471 | 15,257 | — | 183,026 | ||||||||||||||
Net inter-segment funding (lending)(3) | 263,960 | 37,519 | 18,598 | 46,811 | (366,888) | — | ||||||||||||||
| Total liabilities | $ | 1,699,616 | $ | 478,797 | $ | 107,647 | $ | 94,232 | $ | (199,014) | $ | 2,181,278 | ||||||||
Total stockholders’ equity(5) | — | — | — | 612 | 199,014 | 199,626 | ||||||||||||||
| Total liabilities and equity | $ | 1,699,616 | $ | 478,797 | $ | 107,647 | $ | 94,844 | $ | — | $ | 2,380,904 | ||||||||
(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 June 30, 2022, ICG had $1.7 trillion in assets and $829 billion in deposits. Securities services managed $21.1 trillion in assets under custody and administration at June 30, 2022, of which Citi provided both custody and administrative services to certain clients related to $1.7 trillion of such assets. Managed assets under trust were $4.0 trillion at June 30, 2022. For additional information on these operations, see “Administration and Other Fiduciary Fees” in Note 5.
| Second Quarter | Six Months | |||||||||||||||||||
| In millions of dollars, except as otherwise noted | 2022 | 2021 | % Change | 2022 | 2021 | % Change | ||||||||||||||
| Commissions and fees | $ | 1,125 | $ | 1,071 | 5 | % | $ | 2,255 | $ | 2,181 | 3 | % | ||||||||
| Administration and other fiduciary fees | 732 | 698 | 5 | 1,404 | 1,355 | 4 | ||||||||||||||
Investment banking fees(1) | 990 | 1,568 | (37) | 2,029 | 3,355 | (40) | ||||||||||||||
| Principal transactions | 4,358 | 2,135 | NM | 8,800 | 5,880 | 50 | ||||||||||||||
| Other | (306) | 317 | NM | (213) | 673 | NM | ||||||||||||||
| Total non-interest revenue | $ | 6,899 | $ | 5,789 | 19 | % | $ | 14,275 | $ | 13,444 | 6 | % | ||||||||
| Net interest income (including dividends) | 4,520 | 3,760 | 20 | 8,304 | 7,493 | 11 | ||||||||||||||
| Total revenues, net of interest expense | $ | 11,419 | $ | 9,549 | 20 | % | $ | 22,579 | $ | 20,937 | 8 | % | ||||||||
| Total operating expenses | $ | 6,434 | $ | 5,829 | 10 | % | $ | 13,157 | $ | 11,761 | 12 | % | ||||||||
| Net credit losses on loans | $ | 18 | $ | 68 | (74) | % | $ | 48 | $ | 243 | (80) | % | ||||||||
| Credit reserve build (release) for loans | (76) | (812) | 91 | 520 | (1,915) | NM | ||||||||||||||
| Provision (release) for credit losses on unfunded lending commitments | (169) | 47 | NM | 183 | (559) | NM | ||||||||||||||
| Provisions (releases) for credit losses on HTM debt securities and other assets | 25 | 3 | NM | 18 | (2) | NM | ||||||||||||||
| Provisions (releases) for credit losses | $ | (202) | $ | (694) | 71 | % | $ | 769 | $ | (2,233) | NM | |||||||||
| Income from continuing operations before taxes | $ | 5,187 | $ | 4,414 | 18 | % | $ | 8,653 | $ | 11,409 | (24) | % | ||||||||
| Income taxes | 1,209 | 981 | 23 | 2,017 | 2,546 | (21) | ||||||||||||||
| Income from continuing operations | $ | 3,978 | $ | 3,433 | 16 | % | $ | 6,636 | $ | 8,863 | (25) | % | ||||||||
| Noncontrolling interests | 17 | 12 | 42 | 35 | 49 | (29) | ||||||||||||||
| Net income | $ | 3,961 | $ | 3,421 | 16 | % | $ | 6,601 | $ | 8,814 | (25) | % | ||||||||
Balance Sheet data (in billions of dollars) | ||||||||||||||||||||
| EOP assets | $ | 1,700 | $ | 1,654 | 3 | % | ||||||||||||||
Average assets | 1,698 | 1,667 | 2 | $ | 1,692 | $ | 1,658 | 2 | % | |||||||||||
| Efficiency ratio | 56 | % | 61 | % | 58 | % | 56 | % | ||||||||||||
Average loans by reporting unit (in billions of dollars) | ||||||||||||||||||||
| Services | $ | 85 | $ | 74 | 15 | % | $ | 82 | $ | 72 | 14 | % | ||||||||
| Banking | 199 | 197 | 1 | 197 | 197 | — | ||||||||||||||
| Markets | 13 | 16 | (19) | 14 | 15 | (7) | ||||||||||||||
| Total | $ | 297 | $ | 287 | 3 | % | $ | 293 | $ | 284 | 3 | % | ||||||||
Average deposits by reporting unit (in billions of dollars) | ||||||||||||||||||||
| TTS | $ | 665 | $ | 652 | 2 | % | $ | 664 | $ | 652 | 2 | % | ||||||||
| Securities services | 137 | 137 | — | 136 | 133 | 2 | ||||||||||||||
| Services | $ | 802 | $ | 789 | 2 | % | $ | 800 | $ | 785 | 2 | % | ||||||||
| Markets | 28 | 29 | (3) | 28 | 29 | (3) | ||||||||||||||
| Total | $ | 830 | $ | 818 | 1 | % | $ | 828 | $ | 814 | 2 | % | ||||||||
(1) Investment banking fees are substantially composed of underwriting and advisory revenues.
NM Not meaningful
10
ICG Revenue Details
| Second Quarter | Six Months | |||||||||||||||||||
| In millions of dollars | 2022 | 2021 | % Change | 2022 | 2021 | % Change | ||||||||||||||
| Services | ||||||||||||||||||||
| Net interest income | $ | 2,327 | $ | 1,640 | 42 | % | $ | 4,234 | $ | 3,257 | 30 | % | ||||||||
| Non-interest revenue | 1,696 | 1,500 | 13 | 3,237 | 2,883 | 12 | ||||||||||||||
| Total Services revenues | $ | 4,023 | $ | 3,140 | 28 | % | $ | 7,471 | $ | 6,140 | 22 | % | ||||||||
| Net interest income | $ | 2,026 | $ | 1,427 | 42 | % | $ | 3,685 | $ | 2,832 | 30 | % | ||||||||
| Non-interest revenue | 1,003 | 858 | 17 | 1,934 | 1,641 | 18 | ||||||||||||||
| TTS revenues | $ | 3,029 | $ | 2,285 | 33 | % | $ | 5,619 | $ | 4,473 | 26 | % | ||||||||
| Net interest income | $ | 301 | $ | 213 | 41 | % | $ | 549 | $ | 425 | 29 | % | ||||||||
| Non-interest revenue | 693 | 642 | 8 | 1,303 | 1,242 | 5 | ||||||||||||||
| Securities services revenues | $ | 994 | $ | 855 | 16 | % | $ | 1,852 | $ | 1,667 | 11 | % | ||||||||
| Markets | ||||||||||||||||||||
| Net interest income | $ | 1,383 | $ | 1,379 | — | % | $ | 2,492 | $ | 2,688 | (7) | % | ||||||||
| Non-interest revenue | 3,937 | 2,876 | 37 | 8,654 | 7,500 | 15 | ||||||||||||||
Total Markets revenues(1) | $ | 5,320 | $ | 4,255 | 25 | % | $ | 11,146 | $ | 10,188 | 9 | % | ||||||||
| Fixed income markets | $ | 4,084 | $ | 3,111 | 31 | % | $ | 8,383 | $ | 7,457 | 12 | % | ||||||||
| Equity markets | 1,236 | 1,144 | 8 | 2,763 | 2,731 | 1 | ||||||||||||||
| Total Markets revenues | $ | 5,320 | $ | 4,255 | 25 | % | $ | 11,146 | $ | 10,188 | 9 | % | ||||||||
| Rates and currencies | $ | 3,277 | $ | 1,978 | 66 | % | $ | 6,508 | $ | 5,002 | 30 | % | ||||||||
| Spread products / other fixed income | 807 | 1,133 | (29) | 1,875 | 2,455 | (24) | ||||||||||||||
| Total Fixed income markets revenues | $ | 4,084 | $ | 3,111 | 31 | % | $ | 8,383 | $ | 7,457 | 12 | % | ||||||||
| Banking | ||||||||||||||||||||
| Net interest income | $ | 810 | $ | 741 | 9 | % | $ | 1,578 | $ | 1,548 | 2 | % | ||||||||
| Non-interest revenue | 1,266 | 1,413 | (10) | 2,384 | 3,061 | (22) | ||||||||||||||
| Total Banking revenues | $ | 2,076 | $ | 2,154 | (4) | % | $ | 3,962 | $ | 4,609 | (14) | % | ||||||||
Investment banking | ||||||||||||||||||||
| Advisory | $ | 357 | $ | 405 | (12) | % | $ | 704 | $ | 686 | 3 | % | ||||||||
| Equity underwriting | 177 | 484 | (63) | 362 | 1,319 | (73) | ||||||||||||||
| Debt underwriting | 271 | 614 | (56) | 767 | 1,296 | (41) | ||||||||||||||
| Total Investment banking revenues | $ | 805 | $ | 1,503 | (46) | % | $ | 1,833 | $ | 3,301 | (44) | % | ||||||||
Corporate lending (excluding gains (losses) on loan hedges)(2) | $ | 777 | $ | 688 | 13 | % | $ | 1,466 | $ | 1,423 | 3 | % | ||||||||
Total Banking revenues (excluding gains (losses) on loan hedges)(2) | $ | 1,582 | $ | 2,191 | (28) | % | $ | 3,299 | $ | 4,724 | (30) | % | ||||||||
Gains (losses) on loan hedges(2) | 494 | (37) | NM | 663 | (115) | NM | ||||||||||||||
Total Banking revenues (including gains (losses) on loan hedges)(2) | $ | 2,076 | $ | 2,154 | (4) | % | $ | 3,962 | $ | 4,609 | (14) | % | ||||||||
Total ICG revenues, net of interest expense | $ | 11,419 | $ | 9,549 | 20 | % | $ | 22,579 | $ | 20,937 | 8 | % | ||||||||
(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 and loans at fair value, which are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.
2Q22 vs. 2Q21
Net income of $4.0 billion increased 16%, primarily driven by higher revenues, partially offset by higher expenses and higher cost of credit.
Revenues increased 20% (including gain (loss) on loan hedges), primarily reflecting higher Services and Markets revenues, partially offset by lower Banking revenues. Services revenues were up 28%, driven by higher revenues in both TTS and Securities services. Markets revenues were up 25%, reflecting higher revenues in both Fixed income markets and Equity markets, both driven by elevated volatility leading to higher client engagement. Banking revenues were down 4% (including the impact of gains (losses) on loan hedges). Excluding the impact of gains (losses) on loan hedges, revenues declined 28%, largely reflecting lower revenues in Investment banking, partially offset by higher Corporate lending revenues.
Citi expects that Investment banking revenues will likely continue to reflect lower levels of capital markets and M&A activity during the remainder of 2022.
Within Services:
•TTS revenues increased 33%, driven by 42% growth in net interest income and 17% growth in non-interest revenue, reflecting strong growth with both mid-size and large corporate clients. The increase in net interest income was driven by both the cash and trade businesses, reflecting benefits from rates, higher average deposits (2% increase) and higher average loans (17% increase). The increase in average loans was driven by the trade business, reflecting strength in trade flows, primarily in Asia, Latin America and EMEA, partially offset by asset sales in North America. The increase in non-interest revenue was primarily due to strong fee growth across both the cash and trade businesses, reflecting solid client engagement, including higher transaction volumes, as cross-border flows increased 17%, commercial cards volumes increased 61% and U.S. dollar clearing volumes increased 2%.
•Securities services revenues increased 16%, as net interest income grew 41%, driven by higher interest rates across currencies. Non-interest revenues grew 8%, largely reflecting elevated levels of corporate activity in Issuer services. The increase in non-interest revenues was partially offset by a decline in fees in the custody business, due to lower assets under custody (7% decrease), driven by declines in global financial markets.
Within Markets:
•Fixed income markets revenues increased 31%, with growth across all regions, due to strong client engagement, particularly with corporate clients.
Rates and currencies increased 66%, driven by increased market volatility largely resulting from increased interest rates by central banks in response to elevated levels of inflation. Spread products and other fixed income
revenues decreased 29%, reflecting lower client activity in spread products and a challenging environment due to widening spreads. The decline in spread products and other fixed income revenues was partially offset by strength in commodities, particularly with corporate clients, as the business assisted the clients in managing risk associated with the increased volatility.
•Equity markets revenues increased 8%, primarily driven by equity derivatives, reflecting strong client engagement with both corporate and institutional clients, partially offset by lower client activity in cash and a net decrease in prime balances, as lower asset valuations more than offset new client balances.
Within Banking:
•Investment banking revenues declined 46%, reflecting a decline in the overall market wallet, as continued heightened geopolitical uncertainty and the overall macroeconomic backdrop reduced activity. Advisory revenues decreased 12%, reflecting a decline in EMEA and Asia, driven by the decline in the market wallet and a decline in wallet share. Equity underwriting revenues decreased 63%, reflecting a decline in North America, EMEA and Asia, driven by a decline in the market wallet across all products, partially offset by wallet share gains. Debt underwriting revenues decreased 56%, reflecting weakness in North America and EMEA, driven by the decline in the market wallet as well as a decline in wallet share in non-investment grade, partially offset by an increase in wallet share in investment grade. The decline in debt underwriting revenues also reflected markdowns on the leveraged finance portfolio.
•Corporate lending revenues were $1.3 billion versus $651 million in the prior-year period, including the impact of gains (losses) on loan hedges. Excluding the impact of gains (losses) on loan hedges, revenues increased 13%, primarily driven by the impacts of foreign currency and improved spreads.
Expenses were up 10%, primarily driven by continued investments in Citi’s transformation, business-led investments and higher volume-related expenses, partially offset by productivity savings.
Provisions were a benefit of $202 million, compared to a benefit of $694 million in the prior-year period.
Net credit losses declined to $18 million from $68 million in the prior-year period, driven by improvements in portfolio credit quality.
The ACL release was $220 million, compared to a release of $762 million in the prior-year period. The ACL release was largely driven by a reduction in Russia-related risk, partially offset by a build due to increased macroeconomic uncertainty. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
12
For additional information on ICG’s corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information on trends in ICG’s deposits and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.
For additional information about trends, uncertainties and risks related to ICG’s future results, see “Executive Summary” above, “Managing Global Risk—Other Risks—Country Risk—Argentina” and “—Russia” and “Forward-Looking Statements” below and “Risk Factors” in Citi’s 2021 Form 10-K.
2022 YTD vs. 2021 YTD
Year-to-date, ICG experienced similar trends to those described above. Net income of $6.6 billion decreased 25% versus the prior-year period, primarily driven by higher cost of credit and higher expenses, partially offset by higher revenues.
Revenues increased 8% (including gains (losses) on loan hedges), primarily reflecting higher revenues in Services and Markets, partially offset by lower Banking revenues. Services revenues were up 22%, driven by higher revenues in both TTS and Securities services. Markets revenues were up 9%, primarily driven by higher revenues in Fixed income markets. Banking revenues declined 14% (including the impact of gains (losses) on loan hedges). Excluding the impact of gains (losses) on loan hedges, Banking revenues declined 30% (excluding the impact of gains (losses) on loan hedges), primarily driven by lower revenues in Investment banking.
Within Services:
•TTS revenues increased 26%, reflecting higher net interest income and non-interest revenue, driven by the same factors described above.
•Securities services revenues increased 11%, reflecting higher net interest income and non-interest revenue, driven by the same factors described above.
Within Markets:
•Fixed income markets revenues increased 12%, reflecting growth across EMEA, Latin America and Asia, driven by growth in rates and currencies, partially offset by a decline in spread products, driven by the same factors described above.
•Equity markets revenues increased 1%, reflecting higher revenues in equity derivatives, mostly offset by declines in equity cash and prime finance, driven by the same factors described above.
Within Banking:
•Investment banking revenues decreased 44%. Advisory revenues increased 3%, primarily driven by the strength in the first quarter of 2022. Equity underwriting revenues decreased 73%, primarily driven by a decline in the market wallet as well as a decline in wallet share. Debt underwriting revenues decreased 41%, driven by the same factors described above.
•Corporate lending revenues increased 63%, including the impact of gains (losses) on loan hedges. Excluding the impact of gains (losses) on loan hedges, revenues increased 3%, driven by the same factors described above, partially offset by lower average loans and higher hedging costs.
Expenses increased 12%, primarily driven by continued investments in Citi’s transformation and business-led investments, partially offset by productivity savings.
Provisions were $769 million, compared to a net benefit of $2.2 billion in the prior-year period, driven by an ACL build, partially offset by lower net credit losses. Net credit losses declined to $48 million from $243 million in the prior-year period, driven by improvements in portfolio credit quality. The ACL build was $721 million, compared to a release of $2.5 billion in the prior-year period. The ACL build primarily related to Citi’s exposures in Russia and the broader impact of the war in Ukraine on the macroeconomic environment in the first quarter of 2022, as well as a build due to increased macroeconomic uncertainty in the current quarter, partially offset by a reduction in Russia-related exposure in the current quarter.
13
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 20 countries, including the U.S., Mexico and the four wealth management centers: Singapore, Hong Kong, the UAE and London.
At June 30, 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 June 30, 2022, U.S. Personal Banking had $137 billion in outstanding credit card balances, $35 billion in retail banking loans and $116 billion in deposits.
At June 30, 2022, Global Wealth had $78 billion in mortgage loans, $67 billion in personal and small business loans, $4 billion in outstanding credit card balances and $312 billion in deposits.
| Second Quarter | Six Months | |||||||||||||||||||
| In millions of dollars, except as otherwise noted | 2022 | 2021 | % Change | 2022 | 2021 | % Change | ||||||||||||||
| Net interest income | $ | 5,569 | $ | 4,985 | 12 | % | $ | 10,954 | $ | 10,150 | 8 | % | ||||||||
| Non-interest revenue | 460 | 713 | (35) | 980 | 1,540 | (36) | ||||||||||||||
| Total revenues, net of interest expense | $ | 6,029 | $ | 5,698 | 6 | % | $ | 11,934 | $ | 11,690 | 2 | % | ||||||||
| Total operating expenses | $ | 3,985 | $ | 3,547 | 12 | % | $ | 7,874 | $ | 6,969 | 13 | % | ||||||||
| Net credit losses on loans | $ | 699 | $ | 862 | (19) | % | $ | 1,390 | $ | 1,852 | (25) | % | ||||||||
| Credit reserve build (release) for loans | 638 | (1,040) | NM | (424) | (2,582) | 84 | ||||||||||||||
| Provision (release) for credit losses on unfunded lending commitments | 13 | 5 | NM | 11 | (6) | NM | ||||||||||||||
| Provisions (release) for benefits and claims, and other assets | 5 | 3 | 67 | 2 | 9 | (78) | ||||||||||||||
| Provisions (releases) for credit losses and for benefits and claims (PBC) | $ | 1,355 | $ | (170) | NM | $ | 979 | $ | (727) | NM | ||||||||||
| Income (loss) from continuing operations before taxes | $ | 689 | $ | 2,321 | (70) | % | $ | 3,081 | $ | 5,448 | (43) | % | ||||||||
| Income taxes (benefits) | 136 | 516 | (74) | 668 | 1,223 | (45) | ||||||||||||||
| Income (loss) from continuing operations | $ | 553 | $ | 1,805 | (69) | % | $ | 2,413 | $ | 4,225 | (43) | % | ||||||||
| Noncontrolling interests | — | — | — | — | — | — | ||||||||||||||
| Net income (loss) | $ | 553 | $ | 1,805 | (69) | % | $ | 2,413 | $ | 4,225 | (43) | % | ||||||||
Balance Sheet data (in billions of dollars) | ||||||||||||||||||||
EOP assets | $ | 479 | $ | 452 | 6 | % | ||||||||||||||
Average assets | 474 | 458 | 3 | $ | 474 | $ | 458 | 3 | % | |||||||||||
| Average loans | 317 | 304 | 4 | 315 | 304 | 4 | ||||||||||||||
| Average deposits | 435 | 410 | 6 | 441 | 404 | 9 | ||||||||||||||
| Efficiency ratio | 66 | % | 62 | % | 66 | % | 60 | % | ||||||||||||
| Net credit losses as a percentage of average loans | 0.88 | 1.14 | 0.89 | 1.23 | ||||||||||||||||
| Revenue by reporting unit and component | ||||||||||||||||||||
| Branded cards | $ | 2,168 | $ | 1,968 | 10 | % | $ | 4,258 | $ | 4,072 | 5 | % | ||||||||
| Retail services | 1,300 | 1,210 | 7 | 2,599 | 2,515 | 3 | ||||||||||||||
| Retail banking | 656 | 618 | 6 | 1,251 | 1,253 | — | ||||||||||||||
| U.S. Personal Banking | $ | 4,124 | $ | 3,796 | 9 | % | $ | 8,108 | $ | 7,840 | 3 | % | ||||||||
| Private bank | $ | 745 | $ | 747 | — | % | $ | 1,524 | $ | 1,533 | (1) | % | ||||||||
| Wealth at Work | 170 | 171 | (1) | 353 | 342 | 3 | ||||||||||||||
| Citigold | 990 | 984 | 1 | 1,949 | 1,975 | (1) | ||||||||||||||
Global Wealth | $ | 1,905 | $ | 1,902 | — | % | $ | 3,826 | $ | 3,850 | (1) | % | ||||||||
| Total | $ | 6,029 | $ | 5,698 | 6 | % | $ | 11,934 | $ | 11,690 | 2 | % | ||||||||
NM Not meaningful
14
2Q22 vs. 2Q21
Net income was $553 million, compared to $1.8 billion in the prior-year period, largely driven by higher cost of credit and higher expenses, partially offset by higher revenues.
Revenues increased 6%, as higher net interest income was partially offset by lower non-interest revenue, reflecting higher partner payments in Retail services.
U.S. Personal Banking revenues increased 9%, reflecting higher revenues in Cards and Retail banking.
Cards revenues increased 9%. Branded cards revenues increased 10%, driven by higher interest on higher loan balances. Branded cards new accounts and spend volume both increased 18%, while average loans increased 11%, reflecting higher card spend volume, investments to drive growth and the realization of benefits from a market re-entry beginning in the second half of 2021.
Retail services revenues increased 7%, driven by higher interest on higher loan balances, partially offset by the higher partner payments, reflecting higher income sharing as a result of higher revenues and lower net credit losses (for additional information on partner payments, see Note 5). Retail services card spend volume increased 11%, while average loans increased 6%, reflecting increased customer spending.
Retail banking revenues increased 6%, largely driven by higher deposit spreads and volumes. Average deposits increased 3%, reflecting higher levels of consumer liquidity.
Global Wealth revenues were largely unchanged, reflecting investment fee headwinds, particularly in Asia, driven by overall market volatility, offset by an increase in revenues driven by growth in average deposits (up 7%) and average loans (up 2%). Client assets decreased 8%, driven principally by declines in market valuation. Global Wealth also continued to add client advisors, which increased 8%. Citigold revenues increased 1%, while Private bank revenues were largely unchanged and Wealth at Work revenues decreased 1%.
Expenses increased 12%, primarily driven by continued investments in Citi’s transformation and higher business-led investments and volume-driven expenses, partially offset by productivity savings.
Provisions were $1.4 billion, compared to a benefit of $170 million in the prior-year period, largely driven by a net ACL build, partially offset by lower net credit losses. Net credit losses decreased 19%, reflecting lower net credit losses in both Branded cards (down 30% to $329 million) and Retail services (down 11% to $290 million), driven by continued strong credit performance across portfolios.
The net ACL build was $651 million, compared to a net release of $1.0 billion in the prior-year period. The net ACL build primarily reflected increased macroeconomic uncertainty. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on U.S. Personal Banking’s Retail banking, Branded cards and Retail services portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to PBWM’s future results, see “Executive Summary” above and “Forward-Looking Statements” below, and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.
2022 YTD vs. 2021 YTD
Year-to-date, PBWM experienced similar trends to those described above. Net income was $2.4 billion, compared to net income of $4.2 billion in the prior-year period, largely driven by higher cost of credit and higher expenses, partially offset by higher revenues.
Revenues increased 2%, reflecting higher revenues in U.S. Personal Banking. U.S. Personal Banking revenues increased 3%, reflecting higher revenues in Cards, largely driven by the same factors described above. Global Wealth revenues decreased 1%, largely driven by investment fee headwinds, particularly in Asia.
Expenses increased 13%, driven by the same factors described above.
Provisions were $979 million, compared to a benefit of $727 million in the prior-year period, driven by a lower ACL release, partially offset by lower net credit losses. Net credit losses decreased 25%, driven by the same factors described above. The net ACL release was $413 million, compared to a release of $2.6 billion in the prior-year period. The net ACL release primarily reflected improvement in portfolio credit quality and the continued improvement in the macroeconomic outlook in the first quarter of 2022, partially offset by the net ACL build in the current quarter due to the increased macroeconomic uncertainty.
15
LEGACY FRANCHISES
As of June 30, 2022, Legacy Franchises included Asia Consumer Banking (Asia Consumer), representing the consumer banking operations of the remaining 12 Asia and EMEA exit countries (and Australia until its sale closing on June 1, 2022); Mexico Consumer Banking (Mexico Consumer) and Mexico Small Business and Middle-Market Banking (Mexico SBMM), collectively Mexico Consumer/SBMM, which Citi also plans to exit; and Legacy Holdings Assets (certain North America consumer mortgage loans and other legacy assets).
Asia Consumer provides traditional retail banking and branded card products to retail and small business customers. Mexico Consumer/SBMM provides traditional retail banking and branded card products to consumers and small business customers and provides traditional middle-market banking products and services to commercial customers through Citibanamex.
As previously disclosed, Citi entered into an agreement to sell its consumer banking business in Australia (which was completed on June 1, 2022) and made a decision to wind down and close its Korea consumer banking business (see Note 2 for additional information). In addition, on August 1, 2022, Citi completed the sale of its Philippines consumer business. Citi has also entered into agreements to sell its consumer banking businesses in Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam.
At June 30, 2022, on a combined basis, the Legacy Franchises business had 1,457 retail branches, $26 billion in retail banking loans and $53 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 $19 billion of loans ($13 billion of retail banking loans and $6 billion of credit card loan balances) and $22 billion of deposits, all of which were reclassified to Other assets and Other liabilities held-for-sale (HFS) as a result of Citi’s agreements to sell its consumer banking businesses in the above listed countries. See Note 2 for additional information.
| Second Quarter | Six Months | % Change | ||||||||||||||||||
In millions of dollars, except as otherwise noted(1) | 2022 | 2021 | % Change | 2022 | 2021 | |||||||||||||||
| Net interest income | $ | 1,474 | $ | 1,621 | (9) | % | $ | 2,982 | $ | 3,184 | (6) | % | ||||||||
| Non-interest revenue | 461 | 658 | (30) | 884 | 1,338 | (34) | ||||||||||||||
| Total revenues, net of interest expense | $ | 1,935 | $ | 2,279 | (15) | % | $ | 3,866 | $ | 4,522 | (15) | % | ||||||||
| Total operating expenses | $ | 1,814 | $ | 1,788 | 1 | % | $ | 4,107 | $ | 3,540 | 16 | % | ||||||||
| Net credit losses on loans | $ | 133 | $ | 390 | (66) | % | $ | 284 | $ | 973 | (71) | % | ||||||||
| Credit reserve build (release) for loans | (28) | (594) | 95 | (174) | (1,176) | 85 | ||||||||||||||
| Provision (release) for credit losses on unfunded lending commitments | (3) | (8) | 63 | 121 | (17) | NM | ||||||||||||||
| Provisions for benefits and claims, HTM debt securities and other assets | 19 | 8 | NM | 50 | 60 | (17) | ||||||||||||||
| Provisions (releases) for credit losses | $ | 121 | $ | (204) | NM | $ | 281 | $ | (160) | NM | ||||||||||
| Income (loss) from continuing operations before taxes | $ | — | $ | 695 | (100) | % | $ | (522) | $ | 1,142 | NM | |||||||||
| Income taxes (benefits) | 15 | 203 | (93) | (122) | 330 | NM | ||||||||||||||
| Income (loss) from continuing operations | $ | (15) | $ | 492 | NM | $ | (400) | $ | 812 | NM | ||||||||||
| Noncontrolling interests | 2 | (2) | NM | — | (5) | 100 | % | |||||||||||||
| Net income (loss) | $ | (17) | $ | 494 | NM | $ | (400) | $ | 817 | NM | ||||||||||
Balance Sheet data (in billions of dollars) | ||||||||||||||||||||
| EOP assets | $ | 108 | $ | 131 | (18) | % | ||||||||||||||
Average assets | 115 | 128 | (10) | $ | 120 | $ | 129 | (7) | % | |||||||||||
| EOP loans | 41 | 79 | (48) | |||||||||||||||||
| EOP deposits | 53 | 87 | (39) | |||||||||||||||||
| Efficiency ratio | 94 | % | 78 | % | 106 | % | 78 | % | ||||||||||||
| Revenue by reporting unit and component | ||||||||||||||||||||
| Asia Consumer | $ | 880 | $ | 1,052 | (16) | % | $ | 1,667 | $ | 2,127 | (22) | % | ||||||||
| Mexico Consumer/SBMM | 1,184 | 1,184 | — | 2,323 | 2,321 | — | ||||||||||||||
| Legacy Holdings Assets | (129) | 43 | NM | (124) | 74 | NM | ||||||||||||||
| Total | $ | 1,935 | $ | 2,279 | (15) | % | $ | 3,866 | $ | 4,522 | (15) | % | ||||||||
NM Not meaningful
16
2Q22 vs. 2Q21
Net loss was $17 million, compared to net income of $494 million in the prior-year period, reflecting lower revenues, higher expenses and higher cost of credit.
Revenues decreased 15%, reflecting lower revenues across Asia Consumer and Legacy Holdings Assets, while Mexico Consumer/SBMM was largely unchanged.
Asia Consumer revenues decreased 16%, largely resulting from impacts related to the Korea wind-down, completion of the Australia consumer banking sale and lower investments revenues due to muted investment activity in Asia, reflecting overall market volatility.
Mexico Consumer/SBMM revenues were largely unchanged, as cards revenues increased 1%, due to higher rates and lending volumes, resulting from higher card spend volumes, while retail banking and SBMM revenues were largely unchanged.
Legacy Holdings Assets revenues of $(129) million decreased from $43 million in the prior-year period, largely driven by a portion of the release of a CTA loss (net of hedges) recorded in AOCI related to the substantial liquidation of a legacy U.K. consumer operation (for additional information, see Note 2). The other portion of the CTA loss release was recorded in discontinued operations in Corporate/Other in the current quarter.
Expenses increased 1%, driven by impairment of long-lived assets related to the Russia consumer banking business (see “Managing Global Risk—Other Risks—Country Risk—Russia” below) and higher marketing expenses in Mexico Consumer/SBMM, partially offset by lower expenses related to the Asia Consumer exit markets.
Provisions were $121 million, compared to a benefit of $204 million in the prior-year period, driven by a lower net ACL release, partially offset by lower net credit losses. Net credit losses decreased 66%, primarily reflecting improved delinquencies in both Mexico Consumer and Asia Consumer and the reclassification of loans to reflect HFS accounting as a result of the signing of sales agreements for consumer franchises in Asia and EMEA.
The net ACL release was $31 million, compared to a release of $602 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.
2022 YTD vs. 2021 YTD
Year-to-date, Legacy Franchises experienced similar trends to those described above. The net loss was $400 million, compared to net income of $817 million in the prior-year period, primarily driven by lower revenues, higher expenses and higher cost of credit.
Results for the first half of 2022 included aggregate Asia Consumer divestiture-related impacts of approximately $629 million (pretax), including a goodwill write-down of $535 million, recorded in expenses, due to the re-segmentation and timing of divestitures; and incremental losses on sale recorded in revenues of approximately $(98) million from the sale of the Australia consumer banking business.
Revenues decreased 15%, reflecting lower revenues in Asia Consumer and Legacy Holdings Assets, while Mexico Consumer/SBMM was largely unchanged.
Asia Consumer revenues decreased 22%, driven by the same factors described above, as well as the revenue impact in the first half of 2022 related to the sale of the Australia consumer banking business. Legacy Holdings Assets revenues of $(124) million decreased from $74 million, largely driven by the CTA loss (net of hedges).
Expenses increased 16%, primarily driven by the first quarter goodwill write-down and the long-lived assets impairment, partially offset by lower expenses related to the Asia Consumer exit markets.
Provisions were $281 million, compared to a benefit of $160 million in the prior-year period, driven by a lower net ACL release, partially offset by lower net credit losses. The net ACL release was $53 million, compared to a release of $1.2 billion in the prior-year period. The net ACL release in the current period was driven by the same factors described above.
17
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 June 30, 2022, Corporate/Other had $94 billion in assets, primarily related to investment securities.
| Second Quarter | Six Months | % Change | ||||||||||||||||||
| In millions of dollars | 2022 | 2021 | % Change | 2022 | 2021 | |||||||||||||||
| Net interest income | $ | 401 | $ | 112 | NM | $ | 595 | $ | 157 | NM | ||||||||||
| Non-interest revenue | (146) | 115 | NM | (150) | 114 | NM | ||||||||||||||
| Total revenues, net of interest expense | $ | 255 | $ | 227 | 12 | % | $ | 445 | $ | 271 | 64 | % | ||||||||
| Total operating expenses | $ | 160 | $ | 307 | (48) | % | $ | 420 | $ | 614 | (32) | % | ||||||||
| Provisions (releases) for HTM debt securities and other assets | $ | — | $ | 2 | (100) | % | $ | — | $ | (1) | 100 | % | ||||||||
| Income (loss) from continuing operations before taxes | $ | 95 | $ | (82) | NM | $ | 25 | $ | (342) | NM | ||||||||||
| Income taxes (benefits) | (178) | (545) | 67 | % | (440) | (612) | 28 | % | ||||||||||||
| Income (loss) from continuing operations | $ | 273 | $ | 463 | (41) | % | $ | 465 | $ | 270 | 72 | % | ||||||||
| Income (loss) from discontinued operations, net of taxes | (221) | 10 | NM | (223) | 8 | NM | ||||||||||||||
| Net income (loss) before attribution to noncontrolling interests | $ | 52 | $ | 473 | (89) | % | $ | 242 | $ | 278 | (13) | % | ||||||||
| Noncontrolling interests | 2 | — | NM | 3 | (1) | NM | ||||||||||||||
| Net income (loss) | $ | 50 | $ | 473 | (89) | % | $ | 239 | $ | 279 | (14) | % | ||||||||
NM Not meaningful
2Q22 vs. 2Q21
Net income was $50 million, compared to net income of $473 million in the prior-year period. The decline in net income was primarily driven by certain income tax benefit items related to non-U.S. operations in the prior-year period, as well as the release of a portion of a CTA loss (net of hedges) from AOCI, recorded in discontinued operations, related to the substantial liquidation of a U.K. consumer legacy operation (for additional information, see Note 2). As discussed above, the other portion of the CTA loss was recorded in revenues in Legacy Franchises. The decline in net income was partially offset by lower expenses and modestly higher revenues.
Revenues increased 12%, primarily driven by higher net revenue from the investment portfolio, largely due to higher interest rates.
Expenses decreased 48%, driven by certain settlements and the benefit of FX translation in the current period.
For additional information about trends, uncertainties and risks related to Corporate/Other’s future results, see “Executive Summary” above, “Forward-Looking Statements” below and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.
2022 YTD vs. 2021 YTD
Year-to-date, Corporate/Other experienced similar trends
to those described above. Net income was $239 million, compared to net income of $279 million in the prior-year period, driven by the same factors described above.
Revenues increased 64%, driven by the same factors described above.
Expenses decreased 32%, driven by the same factors described above.
18
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 second quarter of 2022, Citi returned a total of $1.3 billion of capital to common shareholders in the form of $1.0 billion in dividends and $0.3 billion in share repurchases totaling approximately 5 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 11.9% as of June 30, 2022, compared to 11.4% as of March 31, 2022 and 12.2% as of December 31, 2021, relative to a required regulatory minimum CET1 Capital ratio of 10.5% under the Standardized Approach. Citi’s CET1 Capital ratio under the Basel III Advanced Approaches was 11.7% as of June 30, 2022, compared to 11.4% as of March 31, 2022 and 12.3% as of December 31, 2021, relative to an effective regulatory minimum CET1 Capital ratio requirement of 10.0% under the Advanced Approaches.
Citi’s CET1 Capital ratio increased under both the Standardized Approach and Advanced Approaches from March 31, 2022, driven primarily by net income, a decrease in risk-weighted assets and the impact related to the closing of the Australia consumer banking sale, partially offset by interest rate-related adverse net movements in AOCI and the return of capital to common shareholders.
Citi’s CET1 Capital ratio decreased under both the Standardized Approach and Advanced Approaches from year-end 2021, as the interest rate-related adverse net movements in AOCI and the return of capital to common shareholders were partially offset by year-to-date net income of $8.9 billion and the impact related to the closing of the Australia consumer banking sale. The decline in the CET1 Capital ratio also reflected higher risk-weighted assets due to adoption of the Standardized Approach for Counterparty Credit Risk (SA-CCR) under both the Standardized Approach and Advanced Approaches. The increase in risk-weighted assets from SA-CCR under the Standardized Approach was more than offset by lower risk-weighted assets due to business-driven declines in derivatives and repo-style transactions. For additional information on SA-CCR, see “Capital Resources” in Citi’s First Quarter of 2022 Form 10-Q.
Stress Capital Buffer
In June 2022, the Federal Reserve Board communicated that Citi’s Stress Capital Buffer (SCB) requirement (which will be finalized by the end of August 2022) is expected to increase from the current requirement of 3.0% to 4.0% for the four-quarter window of October 1, 2022 to September 30, 2023.
Accordingly, effective October 1, 2022, Citi will be required to maintain an 11.5% effective minimum CET1 Capital ratio under the Standardized Approach, incorporating this SCB and its current GSIB surcharge of 3.0%. Citi’s effective minimum CET1 Capital ratio requirement under the Advanced Approaches (using the fixed 2.5% Capital Conservation Buffer) will remain unchanged at 10.0%.
As previously disclosed, commencing January 1, 2023, Citi’s GSIB surcharge will increase from 3.0% to 3.5%, which will be applicable to both the Standardized and the Advanced Approaches, resulting in a required minimum CET1 Capital ratio of 12.0% under the Standardized Approach and 10.5% under the Advanced Approaches, both as of such date.
The SCB applies to Citigroup only. The regulatory capital framework applicable to Citibank, including the Capital Conservation Buffer, is unaffected by Citigroup’s SCB. For additional information regarding regulatory capital buffers, including the SCB and GSIB surcharge, see “Capital Resources—Regulatory Capital Buffers” in Citi’s 2021 Form 10-K. For additional information regarding CCAR and DFAST, see “Capital Resources—Stress Testing Component of Capital Planning” in Citi’s 2021 Form 10-K.
19
Citigroup’s Capital Resources
The following table presents Citi’s effective minimum risk-based capital requirements as of June 30, 2022, March 31, 2022 and December 31, 2021:
| Advanced Approaches | Standardized Approach | |||||||||||||||||||
| June 30, 2022 | March 31, 2022 | December 31, 2021 | June 30, 2022 | March 31, 2022 | December 31, 2021 | |||||||||||||||
Common Equity Tier 1 Capital ratio(1) | 10.0 | % | 10.0 | % | 10.0 | % | 10.5 | % | 10.5 | % | 10.5 | % | ||||||||
Tier 1 Capital ratio(1) | 11.5 | 11.5 | 11.5 | 12.0 | 12.0 | 12.0 | ||||||||||||||
Total Capital ratio(1) | 13.5 | 13.5 | 13.5 | 14.0 | 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). These effective minimum requirements are applicable through September 30, 2022. See “Stress Capital Buffer” above for more information.
The following tables present Citi’s capital components and ratios:
| Advanced Approaches | Standardized Approach | |||||||||||||||||||
In millions of dollars, except ratios | June 30, 2022 | March 31, 2022 | December 31, 2021 | June 30, 2022 | March 31, 2022 | December 31, 2021 | ||||||||||||||
Common Equity Tier 1 Capital(1) | $ | 144,893 | $ | 143,749 | $ | 149,305 | $ | 144,893 | $ | 143,749 | $ | 149,305 | ||||||||
Tier 1 Capital | 165,159 | 164,015 | 169,568 | 165,159 | 164,015 | 169,568 | ||||||||||||||
Total Capital (Tier 1 Capital + Tier 2 Capital)(1) | 187,350 | 186,980 | 194,006 | 196,408 | 197,133 | 203,838 | ||||||||||||||
Total Risk-Weighted Assets | 1,235,956 | 1,259,935 | 1,209,374 | 1,217,459 | 1,263,298 | 1,219,175 | ||||||||||||||
Credit Risk(1) | $ | 861,298 | $ | 885,880 | $ | 840,483 | $ | 1,135,558 | $ | 1,178,657 | $ | 1,135,906 | ||||||||
Market Risk | 79,912 | 81,797 | 78,634 | 81,901 | 84,641 | 83,269 | ||||||||||||||
Operational Risk | 294,746 | 292,258 | 290,257 | — | — | — | ||||||||||||||
Common Equity Tier 1 Capital ratio(2) | 11.72 | % | 11.41 | % | 12.35 | % | 11.90 | % | 11.38 | % | 12.25 | % | ||||||||
Tier 1 Capital ratio(2) | 13.36 | 13.02 | 14.02 | 13.57 | 12.98 | 13.91 | ||||||||||||||
Total Capital ratio(2) | 15.16 | 14.84 | 16.04 | 16.13 | 15.60 | 16.72 | ||||||||||||||
In millions of dollars, except ratios | Effective Minimum Requirement | June 30, 2022 | March 31, 2022 | December 31, 2021 | ||||||||||
Quarterly Adjusted Average Total Assets(1)(3) | $ | 2,344,675 | $ | 2,337,375 | $ | 2,351,434 | ||||||||
Total Leverage Exposure(1)(4) | 2,935,289 | 2,939,533 | 2,957,764 | |||||||||||
Tier 1 Leverage ratio | 4.0 | % | 7.04 | % | 7.02 | % | 7.21 | % | ||||||
Supplementary Leverage ratio | 5.0 | 5.63 | 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 “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2021 Form 10-K.
(2)Citi’s binding Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach, whereas Citi’s binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented.
(3)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(4)Supplementary Leverage ratio denominator.
As indicated in the table above, Citigroup’s risk-based capital ratios at June 30, 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 June 30, 2022.
20
Components of Citigroup Capital
In millions of dollars | June 30, 2022 | December 31, 2021 | ||||||
Common Equity Tier 1 Capital | ||||||||
Citigroup common stockholders’ equity(1) | $ | 180,150 | $ | 183,108 | ||||
Add: Qualifying noncontrolling interests | 129 | 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 | (2,106) | 101 | ||||||
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | 2,145 | (896) | ||||||
Less: Intangible assets: | ||||||||
Goodwill, net of related DTLs(3) | 19,504 | 20,619 | ||||||
Identifiable intangible assets other than MSRs, net of related DTLs | 3,599 | 3,800 | ||||||
Less: Defined benefit pension plan net assets; other | 2,038 | 2,080 | ||||||
Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards(4) | 11,679 | 11,270 | ||||||
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments, and MSRs(4)(5) | 798 | — | ||||||
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 144,893 | $ | 149,305 | ||||
Additional Tier 1 Capital | ||||||||
Qualifying noncumulative perpetual preferred stock(1) | $ | 18,864 | $ | 18,864 | ||||
Qualifying trust preferred securities(6) | 1,403 | 1,399 | ||||||
Qualifying noncontrolling interests | 30 | 34 | ||||||
Regulatory capital deductions: | ||||||||
Less: Other | 31 | 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) | $ | 165,159 | $ | 169,568 | ||||
Tier 2 Capital | ||||||||
Qualifying subordinated debt | $ | 17,338 | $ | 20,064 | ||||
Qualifying trust preferred securities(7) | — | 248 | ||||||
Qualifying noncontrolling interests | 37 | 42 | ||||||
Eligible allowance for credit losses(2)(8) | 14,226 | 14,209 | ||||||
Regulatory capital deduction: | ||||||||
Less: Other | 352 | 293 | ||||||
Total Tier 2 Capital (Standardized Approach) | $ | 31,249 | $ | 34,270 | ||||
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) | $ | 196,408 | $ | 203,838 | ||||
Adjustment for excess of eligible credit reserves over expected credit losses(2)(8) | $ | (9,058) | $ | (9,832) | ||||
Total Tier 2 Capital (Advanced Approaches) | $ | 22,191 | $ | 24,438 | ||||
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) | $ | 187,350 | $ | 194,006 | ||||
(1)Issuance costs of $131 million related to outstanding noncumulative perpetual preferred stock at June 30, 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 “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.
21
(4)Of Citi’s $26.5 billion of net DTAs at June 30, 2022, $15.8 billion was included in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $10.7 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of June 30, 2022 was $12.5 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards as well as DTAs from temporary differences that exceed 10%/15% limitations. The amount excluded was reduced by $1.8 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 June 30, 2022, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. At December 31, 2021, none of these assets were in excess of the 10%/15% limitations.
(6)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(7)Represents the amount of non-grandfathered trust preferred securities that were previously eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules. Commencing January 1, 2022, non-grandfathered trust preferred securities have been fully phased out of Tier 2 Capital.
(8)Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework were $5.2 billion and $4.4 billion at June 30, 2022 and December 31, 2021, respectively.
22
Citigroup Capital Rollforward
In millions of dollars | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2022 | ||||||
Common Equity Tier 1 Capital, beginning of period | $ | 143,749 | $ | 149,305 | ||||
Net income | 4,547 | 8,853 | ||||||
Common and preferred dividends declared | (1,248) | (2,541) | ||||||
Net increase in treasury stock | (244) | (2,748) | ||||||
Net increase in common stock and additional paid-in capital | 160 | 207 | ||||||
Net change in foreign currency translation adjustment net of hedges, net of tax | (1,630) | (1,644) | ||||||
Net change in unrealized gains (losses) on debt securities AFS, net of tax | (1,501) | (5,778) | ||||||
Net change in defined benefit plans liability adjustment, net of tax | (89) | 82 | ||||||
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax | (151) | (281) | ||||||
Net decrease in excluded component of fair value hedges | 9 | 57 | ||||||
Net decrease in goodwill, net of related DTLs | 616 | 1,115 | ||||||
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs | 99 | 201 | ||||||
Net decrease in defined benefit pension plan net assets | 204 | 18 | ||||||
Net change in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards | 22 | (409) | ||||||
Net change in excess over 10%/15% limitations for other DTAs, certain common stock investments and MSRs | 359 | (798) | ||||||
Net change in CECL transition provision | — | (757) | ||||||
Other | (9) | 11 | ||||||
Net change in Common Equity Tier 1 Capital | $ | 1,144 | $ | (4,412) | ||||
Common Equity Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 144,893 | $ | 144,893 | ||||
Additional Tier 1 Capital, beginning of period | $ | 20,266 | $ | 20,263 | ||||
Net increase in qualifying trust preferred securities | 2 | 4 | ||||||
Other | (2) | (1) | ||||||
Net change in Additional Tier 1 Capital | $ | — | $ | 3 | ||||
Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 165,159 | $ | 165,159 | ||||
Tier 2 Capital, beginning of period (Standardized Approach) | $ | 33,118 | $ | 34,270 | ||||
Net decrease in qualifying subordinated debt | (1,322) | (2,726) | ||||||
Net change in eligible allowance for credit losses | (532) | 17 | ||||||
Other | (15) | (312) | ||||||
Net decrease in Tier 2 Capital (Standardized Approach) | $ | (1,869) | $ | (3,021) | ||||
Tier 2 Capital, end of period (Standardized Approach) | $ | 31,249 | $ | 31,249 | ||||
Total Capital, end of period (Standardized Approach) | $ | 196,408 | $ | 196,408 | ||||
Tier 2 Capital, beginning of period (Advanced Approaches) | $ | 22,965 | $ | 24,438 | ||||
Net decrease in qualifying subordinated debt | (1,322) | (2,726) | ||||||
Net increase in excess of eligible credit reserves over expected credit losses | 563 | 791 | ||||||
Other | (15) | (312) | ||||||
Net decrease in Tier 2 Capital (Advanced Approaches) | $ | (774) | $ | (2,247) | ||||
Tier 2 Capital, end of period (Advanced Approaches) | $ | 22,191 | $ | 22,191 | ||||
Total Capital, end of period (Advanced Approaches) | $ | 187,350 | $ | 187,350 | ||||
23
Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
In millions of dollars | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2022 | ||||||
| Total Risk-Weighted Assets, beginning of period | $ | 1,263,298 | $ | 1,219,175 | ||||
Changes in Credit Risk-Weighted Assets | ||||||||
General credit risk exposures(1) | (6,611) | (3,346) | ||||||
Repo-style transactions(2) | (9,087) | (11,915) | ||||||
Securitization exposures | (356) | (836) | ||||||
Equity exposures(3) | (3,212) | (1,896) | ||||||
Over-the-counter (OTC) derivatives(4) | (18,542) | 27,178 | ||||||
Other exposures | (2,600) | (2,106) | ||||||
Off-balance sheet exposures(5) | (2,691) | (7,427) | ||||||
Net decrease in Credit Risk-Weighted Assets | $ | (43,099) | $ | (348) | ||||
Changes in Market Risk-Weighted Assets | ||||||||
Risk levels | $ | (4,122) | $ | (3,859) | ||||
| Model and methodology updates | 1,382 | 2,491 | ||||||
Net decrease in Market Risk-Weighted Assets(6) | $ | (2,740) | $ | (1,368) | ||||
Total Risk-Weighted Assets, end of period | $ | 1,217,459 | $ | 1,217,459 | ||||
(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures decreased during the three and six months ended June 30, 2022 primarily due to decreases in wholesale and consumer loans, partially offset by increases in cash deposits and held-to-maturity securities.
(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 and six months ended June 30, 2022 primarily due to exposure-driven decreases of repurchase agreements.
(3)Equity exposures decreased during the three months ended June 30, 2022 primarily due to decreases in market share prices of various investments.
(4)OTC derivatives decreased during the three months ended June 30, 2022 primarily due to decreases in equities, commodities and rates. OTC derivatives increased during the six months ended June 30, 2022 primarily due to the adoption of SA-CCR, partially offset by decreases in equities, commodities and rates. For additional information on SA-CCR, see “Capital Resources” in Citi’s First Quarter of 2022 Form 10-Q.
(5)Off-balance sheet exposures decreased during the six months ended June 30, 2022 primarily due to a decrease in wholesale loan commitments.
(6)Market risk-weighted assets decreased during the three and six months ended June 30, 2022 primarily due to exposure changes, partially offset by changes in model inputs regarding volatility and the correlation between market risk factors.
24
Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
In millions of dollars | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2022 | ||||||
| Total Risk-Weighted Assets, beginning of period | $ | 1,259,935 | $ | 1,209,374 | ||||
Changes in Credit Risk-Weighted Assets | ||||||||
Retail exposures(1) | 6,092 | 4,191 | ||||||
Wholesale exposures(2) | (12,806) | (3,870) | ||||||
Repo-style transactions(3) | (3,922) | (9,673) | ||||||
Securitization exposures | 278 | 476 | ||||||
Equity exposures(4) | (3,228) | (1,523) | ||||||
Over-the-counter (OTC) derivatives(5) | (7,155) | 10,005 | ||||||
Derivatives CVA(6) | (9,292) | 16,241 | ||||||
Other exposures(7) | 6,316 | 4,709 | ||||||
Supervisory 6% multiplier | (865) | 259 | ||||||
Net change in Credit Risk-Weighted Assets | $ | (24,582) | $ | 20,815 | ||||
Changes in Market Risk-Weighted Assets | ||||||||
Risk levels | $ | (3,267) | $ | (1,213) | ||||
| Model and methodology updates | 1,382 | 2,491 | ||||||
Net change in Market Risk-Weighted Assets(8) | $ | (1,885) | $ | 1,278 | ||||
| Net increase in Operational Risk-Weighted Assets | $ | 2,488 | $ | 4,489 | ||||
Total Risk-Weighted Assets, end of period | $ | 1,235,956 | $ | 1,235,956 | ||||
(1)Retail exposures increased during the three and six months ended June 30, 2022 primarily due to increases in qualifying revolving (cards) exposures and model recalibrations.
(2)Wholesale exposures decreased during the three and six months ended June 30, 2022 primarily due to decreases in wholesale loans and available-for-sale securities.
(3)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions decreased during the three and six months ended June 30, 2022 primarily due to exposure-driven decreases of repurchase agreements.
(4)Equity exposures decreased during the three months ended June 30, 2022 primarily due to decreases in market share prices of various investments.
(5)OTC derivatives decreased during the three months ended June 30, 2022 primarily due to decreases in equities and commodities. OTC derivatives increased during the six months ended June 30, 2022 primarily due to the adoption of SA-CCR, partially offset by decreases in equities and commodities. For additional information on SA-CCR, see “Capital Resources” in Citi’s First Quarter of 2022 Form 10-Q.
(6)Derivatives CVA decreased during the three months ended June 30, 2022 primarily due to decreases in equities and rates. Derivatives CVA increased during the six months ended June 30, 2022 primarily due to the adoption of SA-CCR, partially offset by decreases in equities and rates. For additional information on SA-CCR, see “Capital Resources” in Citi’s First Quarter of 2022 Form 10-Q.
(7)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures increased during the three and six months ended June 30, 2022 primarily due to increases in various other assets.
(8)Market risk-weighted assets decreased during the three months ended June 30, 2022 primarily due to exposure changes, partially offset by changes in model inputs regarding volatility and the correlation between market risk factors. Market risk-weighted assets increased during the six months ended June 30, 2022 primarily due to changes in model inputs regarding volatility and the correlation between market risk factors, partially offset by exposure changes.
25
Supplementary Leverage Ratio
The following table presents Citi’s Supplementary Leverage ratio and related components:
| In millions of dollars, except ratios | June 30, 2022 | March 31, 2022 | December 31, 2021 | ||||||||
| Tier 1 Capital | $ | 165,159 | $ | 164,015 | $ | 169,568 | |||||
| Total Leverage Exposure | |||||||||||
On-balance sheet assets(1)(2) | $ | 2,382,324 | $ | 2,376,310 | $ | 2,389,237 | |||||
Certain off-balance sheet exposures:(3) | |||||||||||
| Potential future exposure on derivative contracts | 178,183 | 200,710 | 222,241 | ||||||||
Effective notional of sold credit derivatives, net(4) | 33,187 | 30,493 | 23,788 | ||||||||
Counterparty credit risk for repo-style transactions(5) | 20,022 | 23,902 | 25,775 | ||||||||
| Other off-balance sheet exposures | 359,222 | 347,053 | 334,526 | ||||||||
| Total of certain off-balance sheet exposures | $ | 590,614 | $ | 602,158 | $ | 606,330 | |||||
| Less: Tier 1 Capital deductions | 37,649 | 38,935 | 37,803 | ||||||||
| Total Leverage Exposure | $ | 2,935,289 | $ | 2,939,533 | $ | 2,957,764 | |||||
| Supplementary Leverage ratio | 5.63 | % | 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 “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 presented in the table above, Citigroup’s Supplementary Leverage ratio was 5.6% at June 30, 2022 and March 31, 2022, compared to 5.7% at December 31, 2021. The ratio remained largely unchanged from the first quarter of 2022. The ratio decreased from the fourth quarter of 2021, primarily driven by a reduction in Tier 1 Capital resulting from interest rate-related adverse net movements in AOCI and the return of capital to common shareholders, partially offset by year-to-date net income of $8.9 billion.
26
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 present the capital components and ratios for Citibank, Citi’s primary subsidiary U.S. depository institution:
| Advanced Approaches | Standardized Approach | ||||||||||||||||||||||
In millions of dollars, except ratios | Effective Minimum Requirement(1) | June 30, 2022 | March 31, 2022 | December 31, 2021 | June 30, 2022 | March 31, 2022 | December 31, 2021 | ||||||||||||||||
Common Equity Tier 1 Capital(2) | $ | 148,742 | $ | 147,400 | $ | 148,548 | $ | 148,742 | $ | 147,400 | $ | 148,548 | |||||||||||
Tier 1 Capital | 150,870 | 149,527 | 150,679 | 150,870 | 149,527 | 150,679 | |||||||||||||||||
Total Capital (Tier 1 Capital + Tier 2 Capital)(2)(3) | 166,094 | 165,783 | 166,921 | 174,213 | 174,315 | 175,427 | |||||||||||||||||
Total Risk-Weighted Assets | 1,057,336 | 1,063,411 | 1,017,774 | 1,068,525 | 1,094,456 | 1,066,015 | |||||||||||||||||
Credit Risk(2) | $ | 780,785 | $ | 787,496 | $ | 737,802 | $ | 1,023,309 | $ | 1,043,646 | $ | 1,016,293 | |||||||||||
Market Risk | 44,755 | 48,434 | 48,089 | 45,216 | 50,810 | 49,722 | |||||||||||||||||
Operational Risk | 231,796 | 227,481 | 231,883 | — | — | — | |||||||||||||||||
Common Equity Tier 1 Capital ratio(4)(5) | 7.0 | % | 14.07 | % | 13.86 | % | 14.60 | % | 13.92 | % | 13.47 | % | 13.93 | % | |||||||||
Tier 1 Capital ratio(4)(5) | 8.5 | 14.27 | 14.06 | 14.80 | 14.12 | 13.66 | 14.13 | ||||||||||||||||
Total Capital ratio(4)(5) | 10.5 | 15.71 | 15.59 | 16.40 | 16.30 | 15.93 | 16.46 | ||||||||||||||||
In millions of dollars, except ratios | Effective Minimum Requirement | June 30, 2022 | March 31, 2022 | December 31, 2021 | ||||||||||
Quarterly Adjusted Average Total Assets(2)(6) | $ | 1,680,846 | $ | 1,697,393 | $ | 1,716,596 | ||||||||
Total Leverage Exposure(2)(7) | 2,178,239 | 2,210,947 | 2,236,839 | |||||||||||
Tier 1 Leverage ratio(5) | 5.0 | % | 8.98 | % | 8.81 | % | 8.78 | % | ||||||
Supplementary Leverage ratio(5) | 6.0 | 6.93 | 6.76 | 6.74 | ||||||||||
(1)Citibank’s effective minimum risk-based capital requirements are inclusive of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)Citibank’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 “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2021 Form 10-K.
(3)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the ACL is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess ACL being deducted in arriving at credit risk-weighted assets.
(4)Citibank’s binding Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach, whereas Citibank’s binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented.
(5)Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.”
(6)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(7)Supplementary Leverage ratio denominator.
As indicated in the table above, Citibank’s capital ratios at June 30, 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 June 30, 2022.
27
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 June 30, 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 | 1.1 | 0.8 | 1.2 | ||||||||||||||
Standardized Approach | 0.8 | 1.0 | 0.8 | 1.1 | 0.8 | 1.3 | ||||||||||||||
Citibank | ||||||||||||||||||||
Advanced Approaches | 0.9 | 1.3 | 0.9 | 1.4 | 0.9 | 1.5 | ||||||||||||||
Standardized Approach | 0.9 | 1.3 | 0.9 | 1.3 | 0.9 | 1.5 | ||||||||||||||
Tier 1 Leverage ratio | Supplementary Leverage ratio | |||||||||||||
In basis points | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in quarterly adjusted average total assets | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in Total Leverage Exposure | ||||||||||
Citigroup | 0.4 | 0.3 | 0.3 | 0.2 | ||||||||||
Citibank | 0.6 | 0.5 | 0.5 | 0.3 | ||||||||||
28
Citigroup Broker-Dealer Subsidiaries
At June 30, 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 $11 billion, which exceeded the minimum requirement by $6 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total regulatory capital of $28 billion at June 30, 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 June 30, 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.
| June 30, 2022 | ||||||||
| In billions of dollars, except ratios | External TLAC | LTD | ||||||
| Total eligible amount | $ | 329 | $ | 157 | ||||
| % of Advanced Approaches risk- weighted assets | 26.6 | % | 12.7 | % | ||||
Effective minimum requirement(1)(2) | 22.5 | 9.0 | ||||||
| Surplus amount | $ | 51 | $ | 46 | ||||
| % of Total Leverage Exposure | 11.2 | % | 5.4 | % | ||||
| Effective minimum requirement | 9.5 | 4.5 | ||||||
| Surplus amount | $ | 50 | $ | 25 | ||||
(1) External TLAC includes Method 1 GSIB surcharge of 2.0%.
(2) LTD includes Method 2 GSIB surcharge of 3.0%.
As of June 30, 2022, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $25 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.
29
Capital Resources (Full Adoption of CECL)(1)
The following tables present Citigroup’s and Citibank’s capital components and ratios under a hypothetical scenario where the full impact of CECL is reflected as of June 30, 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 | % | 11.50 | % | 11.68 | % | 7.0 | % | 13.87 | % | 13.73 | % | |||||||||
Tier 1 Capital ratio | 11.5 | 12.0 | 13.15 | 13.35 | 8.5 | 14.08 | 13.93 | ||||||||||||||||
| Total Capital ratio | 13.5 | 14.0 | 14.95 | 15.92 | 10.5 | 15.52 | 16.12 | ||||||||||||||||
| Effective Minimum Requirement | Citigroup | Effective Minimum Requirement | Citibank | |||||||||||||||||
Tier 1 Leverage ratio | 4.0 | % | 6.92 % | 5.0 | % | 8.86 % | ||||||||||||||
Supplementary Leverage ratio | 5.0 | 5.52 | 6.0 | 6.83 | ||||||||||||||||
(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.
30
Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity
Tangible common equity (TCE), as defined by Citi, represents common stockholders’ equity less goodwill and identifiable intangible assets (other than mortgage servicing rights (MSRs)). RoTCE represents annualized net income available to common shareholders as a percentage of average TCE. Tangible book value per share represents average TCE divided by average common shares outstanding. Other companies may calculate these measures differently. TCE, RoTCE and tangible book value per share are non-GAAP financial measures.
In millions of dollars or shares, except per share amounts | June 30, 2022 | December 31, 2021 | ||||||
Total Citigroup stockholders’ equity | $ | 199,014 | $ | 201,972 | ||||
Less: Preferred stock | 18,995 | 18,995 | ||||||
Common stockholders’ equity | $ | 180,019 | $ | 182,977 | ||||
Less: | ||||||||
Goodwill | 19,597 | 21,299 | ||||||
Identifiable intangible assets (other than MSRs) | 3,926 | 4,091 | ||||||
Goodwill and identifiable intangible assets (other than MSRs) related to assets held-for-sale (HFS) | 1,081 | 510 | ||||||
Tangible common equity (TCE) | $ | 155,415 | $ | 157,077 | ||||
Common shares outstanding (CSO) | 1,936.7 | 1,984.4 | ||||||
Book value per share (common stockholders’ equity/CSO) | $ | 92.95 | $ | 92.21 | ||||
Tangible book value per share (TCE/CSO) | 80.25 | 79.16 | ||||||
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
Net income available to common shareholders | $ | 4,309 | $ | 5,940 | $ | 8,336 | $ | 13,590 | ||||||
Average common stockholders’ equity | 178,981 | 183,231 | 180,075 | 181,826 | ||||||||||
Average TCE | 154,439 | 156,946 | 155,318 | 155,760 | ||||||||||
Return on average common stockholders’ equity | 9.7 | % | 13.0 | % | 9.3 | % | 15.1 | % | ||||||
RoTCE | 11.2 | 15.2 | 10.8 | 17.6 | ||||||||||
31
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) | 46 | |||||||
| Non-Accrual Loans and Assets and Renegotiated Loans | ||||||||
| LIQUIDITY RISK | ||||||||
| High-Quality Liquid Assets (HQLA) | ||||||||
| Liquidity Coverage Ratio (LCR) | ||||||||
| Loans | 52 | |||||||
| Deposits | 52 | |||||||
| Long-Term Debt | 53 | |||||||
| Secured Funding Transactions and Short-Term Borrowings | 55 | |||||||
| Credit Ratings | 56 | |||||||
MARKET RISK(1) | ||||||||
| Market Risk of Non-Trading Portfolios | ||||||||
| Market Risk of Trading Portfolios | ||||||||
| OTHER RISKS | ||||||||
| LIBOR Transition Risk | ||||||||
| Country Risk | ||||||||
| Russia | ||||||||
| Ukraine | ||||||||
| Turkey | ||||||||
| 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.
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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:
| June 30, 2022 | March 31, 2022 | December 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) | $ | 158 | $ | 117 | $ | 21 | $ | 296 | $ | 164 | $ | 117 | $ | 21 | $ | 302 | $ | 145 | $ | 119 | $ | 20 | $ | 284 | ||||||||||||||
Unfunded lending commitments (off-balance sheet)(2) | 141 | 264 | 9 | 414 | 148 | 268 | 10 | 426 | 147 | 269 | 13 | 429 | ||||||||||||||||||||||||||
| Total exposure | $ | 299 | $ | 381 | $ | 30 | $ | 710 | $ | 312 | $ | 385 | $ | 31 | $ | 728 | $ | 292 | $ | 388 | $ | 33 | $ | 713 | ||||||||||||||
(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:
| June 30, 2022 | March 31, 2022 | December 31, 2021 | |||||||||
| North America | 56 | % | 56 | % | 56 | % | |||||
| EMEA | 25 | 25 | 25 | ||||||||
| Asia | 12 | 13 | 13 | ||||||||
| Latin America | 7 | 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.
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The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
| Total exposure | |||||||||||
| June 30, 2022 | March 31, 2022 | December 31, 2021 | |||||||||
| AAA/AA/A | 50 | % | 49 | % | 48 | % | |||||
| BBB | 33 | 33 | 34 | ||||||||
| BB/B | 15 | 16 | 16 | ||||||||
| CCC or below | 2 | 2 | 2 | ||||||||
| Total | 100 | % | 100 | % | 100 | % | |||||
Note: Total exposure includes direct outstandings and unfunded lending commitments.
In addition to the obligor and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi’s interpretation of the U.S. banking regulators’ definition of criticized exposures, which may categorize exposures as special mention, substandard, doubtful or loss.
Risk ratings and classifications are reviewed regularly, and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment.
Citigroup believes the corporate credit portfolio to be appropriately rated and classified as of June 30, 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 | |||||||||||
| June 30, 2022 | March 31, 2022 | December 31, 2021 | |||||||||
| Transportation and industrials | 20 | % | 20 | % | 20 | % | |||||
| Technology, media and telecom | 12 | 12 | 12 | ||||||||
| Consumer retail | 11 | 11 | 11 | ||||||||
| Real estate | 10 | 9 | 10 | ||||||||
| Power, chemicals, metals and mining | 9 | 9 | 9 | ||||||||
| Banks and finance companies | 9 | 9 | 8 | ||||||||
| Asset managers and funds | 7 | 8 | 8 | ||||||||
| Energy and commodities | 7 | 7 | 7 | ||||||||
| Health | 5 | 5 | 5 | ||||||||
| Insurance | 4 | 4 | 4 | ||||||||
| Public sector | 3 | 3 | 3 | ||||||||
| Financial markets infrastructure | 2 | 2 | 2 | ||||||||
| Securities firms | — | — | — | ||||||||
| Other industries | 1 | 1 | 1 | ||||||||
| Total | 100 | % | 100 | % | 100 | % | |||||
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The following table details Citi’s corporate credit portfolio by industry as of June 30, 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 | $ | 138,776 | $ | 53,641 | $ | 85,135 | $ | 107,569 | $ | 19,402 | $ | 11,304 | $ | 501 | $ | 254 | $ | (17) | $ | (8,281) | ||||||||||||
Autos(4) | 46,698 | 18,516 | 28,182 | 39,064 | 5,195 | 2,319 | 120 | 63 | — | (2,976) | ||||||||||||||||||||||
| Transportation | 25,413 | 11,394 | 14,019 | 18,245 | 2,701 | 4,293 | 174 | 21 | (23) | (1,293) | ||||||||||||||||||||||
| Industrials | 66,665 | 23,731 | 42,934 | 50,260 | 11,506 | 4,692 | 207 | 170 | 6 | (4,012) | ||||||||||||||||||||||
| Technology, media and telecom | 85,235 | 31,428 | 53,807 | 66,879 | 14,677 | 3,380 | 299 | 174 | 2 | (5,942) | ||||||||||||||||||||||
| Consumer retail | 78,690 | 34,924 | 43,766 | 61,970 | 12,749 | 3,335 | 636 | 253 | 10 | (4,833) | ||||||||||||||||||||||
| Real estate | 70,343 | 47,001 | 23,342 | 60,352 | 6,520 | 3,469 | 2 | 68 | 3 | (670) | ||||||||||||||||||||||
| Power, chemicals, metals and mining | 63,355 | 19,886 | 43,469 | 49,982 | 11,889 | 1,226 | 258 | 243 | 9 | (4,842) | ||||||||||||||||||||||
| Power | 24,427 | 4,975 | 19,452 | 19,951 | 4,024 | 342 | 110 | 9 | — | (2,227) | ||||||||||||||||||||||
| Chemicals | 24,992 | 8,624 | 16,368 | 20,717 | 3,697 | 469 | 109 | 71 | 9 | (2,006) | ||||||||||||||||||||||
| Metals and mining | 13,936 | 6,287 | 7,649 | 9,314 | 4,168 | 415 | 39 | 163 | — | (609) | ||||||||||||||||||||||
| Banks and finance companies | 64,180 | 39,794 | 24,386 | 53,433 | 6,704 | 3,999 | 44 | 118 | 14 | (937) | ||||||||||||||||||||||
| Asset managers and funds | 47,022 | 21,154 | 25,868 | 45,669 | 1,242 | 107 | 4 | 392 | — | (866) | ||||||||||||||||||||||
Energy and commodities(5) | 52,574 | 16,822 | 35,752 | 43,821 | 6,577 | 1,962 | 214 | 132 | 1 | (3,532) | ||||||||||||||||||||||
| Health | 33,619 | 9,161 | 24,458 | 28,287 | 4,585 | 736 | 11 | 121 | (1) | (2,485) | ||||||||||||||||||||||
| Insurance | 29,489 | 3,519 | 25,970 | 28,558 | 928 | 3 | — | 28 | — | (2,658) | ||||||||||||||||||||||
| Public sector | 25,428 | 14,668 | 10,760 | 22,040 | 1,462 | 1,716 | 210 | 46 | — | (1,444) | ||||||||||||||||||||||
| Financial markets infrastructure | 13,472 | 124 | 13,348 | 13,450 | 22 | — | — | 1 | — | (19) | ||||||||||||||||||||||
| Securities firms | 1,408 | 701 | 707 | 330 | 906 | 170 | 2 | 9 | — | (3) | ||||||||||||||||||||||
| Other industries | 6,237 | 3,148 | 3,089 | 3,834 | 1,998 | 340 | 65 | 50 | 2 | (335) | ||||||||||||||||||||||
| Total | $ | 709,828 | $ | 295,971 | $ | 413,857 | $ | 586,174 | $ | 89,661 | $ | 31,747 | $ | 2,246 | $ | 1,889 | $ | 23 | $ | (36,847) | ||||||||||||
(1) Excludes $1.2 billion and $0.1 billion of funded and unfunded exposure at June 30, 2022, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balance also excludes loans carried at fair value of $4.5 billion at June 30, 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 $36.9 billion of purchased credit protection, $33.6 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 $28.3 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 $17.0 billion ($6.4 billion in funded, with 100% rated investment grade) as of June 30, 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 June 30, 2022, Citi’s total exposure to these energy-related entities was approximately $5.3 billion, of which approximately $2.7 billion consisted of direct outstanding funded loans.
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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.
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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 June 30, 2022, March 31, 2022 and December 31, 2021, ICG had economic hedges on the corporate credit portfolio of $36.8 billion, $37.9 billion and $39.3 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
| June 30, 2022 | March 31, 2022 | December 31, 2021 | |||||||||
| AAA/AA/A | 37 | % | 38 | % | 35 | % | |||||
| BBB | 44 | 46 | 49 | ||||||||
| BB/B | 14 | 13 | 13 | ||||||||
| CCC or below | 5 | 3 | 3 | ||||||||
| Total | 100 | % | 100 | % | 100 | % | |||||
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CONSUMER CREDIT
Consumer Credit Portfolio
The following table shows Citi’s quarterly end-of-period consumer loans(1):
| In billions of dollars | 2Q21 | 3Q21(2) | 4Q21(2) | 1Q22(2) | 2Q22(2) | ||||||||||||
| Personal Banking and Wealth Management | |||||||||||||||||
| U.S. Personal Banking | |||||||||||||||||
| Cards | |||||||||||||||||
| Branded cards | $ | 82.1 | $ | 82.8 | $ | 87.9 | $ | 85.9 | $ | 91.6 | |||||||
| Retail services | 42.7 | 42.7 | 46.0 | 44.1 | 45.8 | ||||||||||||
| Retail banking | |||||||||||||||||
Mortgages(5) | 31.0 | 30.5 | 30.2 | 30.5 | 32.3 | ||||||||||||
| Personal, small business and other | 3.3 | 2.9 | 2.8 | 2.8 | 3.1 | ||||||||||||
Global Wealth(3)(4) | |||||||||||||||||
| Cards | 3.7 | 3.7 | 4.0 | 3.8 | 4.0 | ||||||||||||
Mortgages(5) | 72.8 | 73.9 | 74.6 | 75.4 | 77.8 | ||||||||||||
Personal, small business and other(6) | 73.2 | 72.7 | 72.7 | 71.0 | 67.0 | ||||||||||||
| Total | $ | 308.8 | $ | 309.2 | $ | 318.2 | $ | 313.5 | $ | 321.6 | |||||||
| Legacy Franchises | |||||||||||||||||
Asia Consumer(7) | $ | 53.5 | $ | 42.9 | $ | 41.1 | $ | 19.5 | $ | 17.3 | |||||||
| Mexico Consumer (excludes Mexico SBMM) | 13.5 | 13.0 | 13.3 | 13.6 | 13.5 | ||||||||||||
Legacy Holdings Assets(8) | 5.0 | 4.2 | 3.9 | 3.7 | 3.2 | ||||||||||||
| Total | $ | 72.0 | $ | 60.1 | $ | 58.3 | $ | 36.8 | $ | 34.0 | |||||||
| Total consumer loans | $ | 380.8 | $ | 369.3 | $ | 376.5 | $ | 350.3 | $ | 355.6 | |||||||
(1)End-of-period loans include interest and fees on credit cards.
(2)Legacy Franchises—2Q22 Asia Consumer loan balances exclude approximately $19 billion of loans ($13 billion of retail banking loans and $6 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 eight countries (see Legacy Franchises above and Note 2 for additional information). The Philippines consumer banking business was reclassified to HFS starting 4Q21. The Indonesia, Malaysia, Thailand, Vietnam, Taiwan, India and Bahrain consumer banking businesses were reclassified to HFS starting 1Q22. In addition, the Australia consumer banking business was also reclassified to HFS starting from 3Q21 until the closing of its sale June 1, 2022. Accordingly, loans from these businesses are excluded from the Asia Consumer loan balances as of such periods.
(3)Consists of $94.6 billion, $94.1 billion, $92.7 billion, $92.0 billion and $91.7 billion of loans in North America as of June 30, 2022, March 31, 2022, December 31, 2021, September 30, 2021 and June 30, 2021, respectively. For additional information on the credit quality of the Global Wealth portfolio, see Note 13.
(4)Consists of $54.2 billion, $56.1 billion, $58.6 billion, $58.3 billion and $58.0 billion of loans outside of North America as of June 30, 2022, March 31, 2022, December 31, 2021, September 30, 2021 and June 30, 2021, respectively.
(5)See Note 13 for details on loan-to-value ratios for the portfolios, and FICO scores for the U.S. portfolio.
(6)At June 30, 2022, includes approximately $55 billion of classifiably managed loans. Over 90% of these loans are fully collateralized (consisting primarily of marketable investment securities, commercial real estate and limited partner capital commitments in private equity) and have experienced very low NCLs. As discussed below, approximately 94% of the classifiably managed portion of these loans are investment grade. See “Consumer Loan Delinquencies Amounts and Ratios” below for details on the delinquency-managed portfolio.
(7)Asia Consumer also includes loans and leases in certain EMEA countries for all periods presented.
(8)Primarily consists of certain North America consumer mortgages.
For information on changes to Citi’s consumer loans, see “Liquidity Risk—Loans” below.
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Consumer Credit Trends
Personal Banking and Wealth Management (PBWM)
| Personal Banking and Wealth Management | ||
As indicated above, PBWM consists of U.S. Personal Banking and Global Wealth Management (Global Wealth). U.S. Personal Banking provides cards products through Branded cards and Retail services, and mortgages and home equity, small business and personal consumer loans through Citi’s Retail banking network. The Retail bank is concentrated in six major metropolitan cities in the U.S. Global Wealth provides cards, mortgages and personal, small business and other consumer loans through the Private bank, as well as Citigold loans in Asia and the U.S.
As of June 30, 2022, approximately 43% of PBWM consumer loans consisted of Branded cards and Retail services card loans, which generally drives the overall credit performance of PBWM.
As shown in the chart above, the second quarter of 2022 net credit loss rate in PBWM was broadly stable quarter-over-quarter and decreased year-over-year, primarily reflecting high payment rates in Branded cards and Retail services, driven by the continued impact of government stimulus, unemployment benefits and consumer relief programs.
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.
| Branded Cards | ||
U.S. Personal Banking’s Branded cards portfolio includes proprietary and co-branded cards.
As shown in the chart above, the second quarter of 2022 net credit loss rate in Branded cards increased quarter-over-quarter, driven by a modest increase in net flow rates, and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate remained broadly stable quarter-over-quarter, as the increase in net flow rates was offset by higher volumes, and decreased year-over year, primarily reflecting the continued impact of high payment rates, driven by government stimulus, 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 second quarter of 2022 net credit loss rate in Retail services increased quarter-over-quarter, driven by a modest increase in net flow rates, and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate remained broadly stable quarter-over-quarter and increased year-over-year, driven by a modest increase in net flow rates.
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.
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| Retail Banking | ||
The Retail banking portfolio (within U.S. Personal Banking) consists primarily of consumer mortgages and other secured lending products such as small business loans, and personal loans. The portfolio is generally delinquency managed, where Citi evaluates credit risk based on FICO scores, delinquencies and the value of underlying collateral. The mortgages in this portfolio have historically been extended to high credit quality customers, generally with loan-to-value ratios that are less than 80% on first and second mortgages. For additional information, see “Loan-to-Value (LTV) Ratios” in Note 13.
As shown in the chart above, the net credit loss rate in Retail banking for the second quarter of 2022 decreased quarter-over-quarter, due to industry-wide episodic overdraft losses in the prior quarter and early in the second quarter, and increased year-over-year, primarily driven by the episodic losses.
The 90+ days past due delinquency rate declined quarter-over-quarter and year-over-year, primarily reflecting the continued impacts of government stimulus, unemployment benefits and consumer relief programs.
| Global Wealth | ||
The Global Wealth credit portfolio primarily consists of consumer mortgages, cards and other lending products extended to customer segments that range from the affluent to ultra-high-net-worth through both the Private bank and Citigold. These customer segments represent a target market that is characterized by historically low default rates and delinquencies.
As of June 30, 2022, $54.8 billion, or 37%, of the portfolio was classifiably managed and primarily consisted of margin lending, commercial real estate, subscription credit finance and other lending programs. These classifiably
managed loans are primarily evaluated for credit risk based on their internal risk rating, of which 94% is rated investment grade. In the chart above, while the delinquency rate is calculated only for the delinquency-managed portfolio, the net credit loss rate is calculated using net credit losses for both the delinquency and classifiably managed portfolios.
As shown in the chart above, the net credit loss rate for the second quarter of 2022 was largely stable quarter-over-quarter and declined year-over-year, primarily driven by the impact of the charge-off of peak delinquent loans in Asia in early 2021, resulting in lower delinquencies that led to lower net credit losses. The 90+ days past due delinquency rate declined quarter-over‐quarter, and was unchanged year-over-year.
Legacy Franchises
Legacy Franchises provides traditional retail banking and branded card products to retail and small business customers in Asia Consumer and Mexico Consumer.
Asia(1) Consumer | ||
(1)Asia Consumer includes Legacy Franchises activities in certain EMEA countries for all periods presented.
As of June 30, 2022, Asia Consumer operated in the remaining 12 countries in Asia and EMEA (Australia was included until its sale on June 1, 2022) and provides credit cards, consumer mortgages and small business and personal loans.
As shown in the chart above, the net credit loss rate in Asia Consumer for the second quarter of 2022 decreased quarter-over-quarter and year-over-year, driven by the impact of the charge-off of peak delinquent loans in early 2021, 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 $19 billion of loans ($13 billion of retail banking loans and $6 billion of credit card loan balances) to held-for-sale as a result of Citi’s agreements to sell its consumer banking businesses in the Philippines, Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (Asia HFS reclass).
The 90+ days past due delinquency rate remained broadly stable quarter-over-quarter and decreased year-over-year, mainly driven by the impact of the Asia HFS reclass and the charge-off of peak delinquencies.
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
40
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 second quarter of 2022 net credit loss rate in Mexico Consumer decreased quarter-over-quarter and year-over-year, driven by the impact of the charge-off of peak delinquencies in early 2021, resulting in lower delinquencies that led to lower net credit losses in the current quarter. The decline was also driven by growth in card balances.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, driven by the impact of the charge-off of peak delinquencies and high payment rates.
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.
U.S. Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s Branded cards and Retail services portfolios based on end-of-period receivables. FICO scores are updated monthly for substantially all of the portfolio and on a quarterly basis for the remaining portfolio.
Branded Cards
FICO distribution(1) | June 30, 2022 | March 31, 2022 | June 30, 2021 | ||||||||
| > 760 | 49 | % | 48 | % | 49 | % | |||||
| 680–760 | 38 | 39 | 39 | ||||||||
| < 680 | 13 | 13 | 12 | ||||||||
| Total | 100 | % | 100 | % | 100 | % | |||||
Retail Services
FICO distribution(1) | June 30, 2022 | March 31, 2022 | June 30, 2021 | ||||||||
| > 760 | 28 | % | 27 | % | 28 | % | |||||
| 680–760 | 43 | 44 | 45 | ||||||||
| < 680 | 29 | 29 | 27 | ||||||||
| 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 declined modestly compared to the prior year. The FICO distribution continues to reflect strong underlying credit quality and a benefit from the continued impacts of government stimulus, unemployment benefits and customer relief programs, as well as lower credit utilization primarily by customers with lower FICO scores. See Note 13 for additional information on FICO scores.
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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 | June 30, 2022 | June 30, 2022 | March 31, 2022 | June 30, 2021 | June 30, 2022 | March 31, 2022 | June 30, 2021 | ||||||||||||||||
Personal Banking and Wealth Management(3)(4)(5) | |||||||||||||||||||||||
| Total | $ | 321.6 | $ | 1,383 | $ | 1,383 | $ | 1,366 | $ | 1,435 | $ | 1,397 | $ | 1,263 | |||||||||
| Ratio | 0.52 | % | 0.54 | % | 0.55 | % | 0.54 | % | 0.55 | % | 0.51 | % | |||||||||||
| U.S. Personal Banking | |||||||||||||||||||||||
| Total | $ | 172.8 | $ | 1,128 | $ | 1,090 | $ | 1,124 | $ | 1,201 | $ | 1,159 | $ | 1,002 | |||||||||
| Ratio | 0.66 | % | 0.68 | % | 0.71 | % | 0.70 | % | 0.71 | % | 0.63 | % | |||||||||||
Cards(4) | |||||||||||||||||||||||
| Total | 137.4 | 949 | 910 | 920 | 1,009 | 987 | 770 | ||||||||||||||||
| Ratio | 0.69 | % | 0.70 | % | 0.74 | % | 0.73 | % | 0.76 | % | 0.62 | % | |||||||||||
Branded cards | 91.6 | 420 | 404 | 457 | 428 | 425 | 355 | ||||||||||||||||
| Ratio | 0.46 | % | 0.47 | % | 0.56 | % | 0.47 | % | 0.49 | % | 0.43 | % | |||||||||||
Retail services | 45.8 | 529 | 506 | 463 | 581 | 562 | 415 | ||||||||||||||||
| Ratio | 1.16 | % | 1.15 | % | 1.08 | % | 1.27 | % | 1.27 | % | 0.97 | % | |||||||||||
Retail banking(3) | 35.4 | 179 | 180 | 204 | 192 | 172 | 232 | ||||||||||||||||
| Ratio | 0.52 | % | 0.56 | % | 0.61 | % | 0.55 | % | 0.53 | % | 0.69 | % | |||||||||||
Global Wealth delinquency-managed loans(5) | $ | 94.0 | $ | 255 | $ | 293 | $ | 242 | $ | 234 | $ | 238 | $ | 261 | |||||||||
| Ratio | 0.27 | % | 0.32 | % | 0.27 | % | 0.25 | % | 0.26 | % | 0.29 | % | |||||||||||
Global Wealth classifiably managed loans(6) | $ | 54.8 | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||
| Legacy Franchises | |||||||||||||||||||||||
| Total | $ | 34.0 | $ | 393 | $ | 432 | $ | 857 | $ | 293 | $ | 316 | $ | 793 | |||||||||
| Ratio | 1.16 | % | 1.19 | % | 1.20 | % | 0.87 | % | 0.87 | % | 1.11 | % | |||||||||||
Asia Consumer(7)(8) | 17.3 | 51 | 54 | 349 | 70 | 62 | 466 | ||||||||||||||||
| Ratio | 0.29 | % | 0.28 | % | 0.65 | % | 0.40 | % | 0.32 | % | 0.87 | % | |||||||||||
| Mexico Consumer | 13.5 | 174 | 180 | 249 | 159 | 177 | 216 | ||||||||||||||||
| Ratio | 1.29 | % | 1.32 | % | 1.84 | % | 1.18 | % | 1.30 | % | 1.60 | % | |||||||||||
Legacy Holdings Assets (consumer)(9) | 3.2 | 168 | 198 | 259 | 64 | 77 | 111 | ||||||||||||||||
| Ratio | 5.60 | % | 6.00 | % | 5.51 | % | 2.13 | % | 2.33 | % | 2.36 | % | |||||||||||
| Total Citigroup consumer | $ | 355.6 | $ | 1,776 | $ | 1,815 | $ | 2,223 | $ | 1,728 | $ | 1,713 | $ | 2,056 | |||||||||
| Ratio | 0.59 | % | 0.63 | % | 0.70 | % | 0.58 | % | 0.59 | % | 0.64 | % | |||||||||||
(1)End-of-period (EOP) loans include interest and fees on credit cards.
(2)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(3)The 90+ days past due and 30–89 days past due and related ratios for Retail banking exclude loans guaranteed by U.S. government-sponsored agencies since the potential risk of loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $119 million ($0.7 billion), $161 million ($0.9 billion) and $150 million ($0.7 billion) at June 30, 2022, March 31, 2022 and June 30, 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 $72 million, $62 million and $80 million at June 30, 2022, March 31, 2022 and June 30, 2021, respectively. The EOP loans in the table include the guaranteed loans.
(4)The 90+ days past due balances for Branded cards and Retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless a notification of bankruptcy filing has been received earlier.
(5)Excludes EOP classifiably managed Private bank loans. These loans are not included in the delinquency numerator, denominator and ratios.
(6)These loans are evaluated for non-accrual status and write-off primarily based on their internal risk classification and not solely on their delinquency status, and therefore delinquency metrics are excluded from this table. As of June 30, 2022, March 31, 2022 and June 30, 2021, 94%, 92% and 95% of the Global Wealth classifiably managed loans were rated investment grade. For additional information on the credit quality of the Global Wealth portfolio, including classifiably managed portfolios, see “Consumer Credit Trends” above.
(7)Asia Consumer includes delinquencies and loans in certain EMEA countries for all periods presented.
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(8)Citi recently entered into agreements to sell certain Asia consumer banking businesses. Accordingly, the loans of these businesses have been reclassified as HFS in Other assets on the Consolidated Balance Sheet, and hence the loans and related delinquencies and ratios are not included in this table. The reclassifications commenced as follows: Australia (3Q21, and closed on June 1, 2022), the Philippines (4Q21) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22). See Note 2 for additional information.
(9)The 90+ days past due and 30–89 days past due and related ratios exclude U.S. mortgage loans that are primarily related to U.S. mortgages guaranteed by U.S. government-sponsored agencies since the potential risk of loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and (EOP loans) were $84 million ($0.2 billion), $124 million ($0.4 billion) and $125 million ($0.4 billion) at June 30, 2022, March 31, 2022 and June 30, 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 $27 million, $34 million and $48 million at June 30, 2022, March 31, 2022 and June 30, 2021, respectively. The EOP loans in the table include the guaranteed loans.
Consumer Loan Net Credit Losses and Ratios
Average loans(1) | Net credit losses(2) | |||||||||||||
| In millions of dollars, except average loan amounts in billions | 2Q22 | 2Q22 | 1Q22 | 2Q21 | ||||||||||
Personal Banking and Wealth Management(2) | ||||||||||||||
| Total | $ | 317.2 | $ | 699 | $ | 691 | $ | 862 | ||||||
| Ratio | 0.88 | % | 0.90 | % | 1.14 | % | ||||||||
| U.S. Personal Banking | ||||||||||||||
| Total | $ | 167.2 | $ | 679 | $ | 681 | $ | 818 | ||||||
| Ratio | 1.63 | % | 1.71 | % | 2.10 | % | ||||||||
| Cards | ||||||||||||||
| Total | 132.7 | 619 | 555 | 793 | ||||||||||
| Ratio | 1.87 | % | 1.76 | % | 2.61 | % | ||||||||
| Branded cards | 87.9 | 329 | 303 | 467 | ||||||||||
| Ratio | 1.50 | % | 1.46 | % | 2.36 | % | ||||||||
| Retail services | 44.8 | 290 | 252 | 326 | ||||||||||
| Ratio | 2.60 | % | 2.31 | % | 3.09 | % | ||||||||
| Retail banking | 34.5 | 60 | 126 | 25 | ||||||||||
| Ratio | 0.70 | % | 1.54 | % | 0.29 | % | ||||||||
| Global Wealth | $ | 150.0 | $ | 20 | $ | 10 | $ | 44 | ||||||
| Ratio | 0.05 | % | 0.03 | % | 0.12 | % | ||||||||
| Legacy Franchises | ||||||||||||||
| Total | $ | 35.3 | $ | 128 | $ | 150 | $ | 381 | ||||||
| Ratio | 1.45 | % | 1.51 | % | 2.08 | % | ||||||||
Asia Consumer(3)(4) | 18.2 | 35 | 45 | 153 | ||||||||||
| Ratio | 0.77 | % | 0.79 | % | 1.13 | % | ||||||||
| Mexico Consumer | 13.5 | 105 | 122 | 250 | ||||||||||
| Ratio | 3.12 | % | 3.78 | % | 7.43 | % | ||||||||
| Legacy Holdings Assets (consumer) | 3.6 | (12) | (17) | (22) | ||||||||||
| Ratio | (1.34) | % | (1.72) | % | (1.52) | % | ||||||||
| Total Citigroup | $ | 352.5 | $ | 827 | $ | 841 | $ | 1,243 | ||||||
| Ratio | 0.94 | % | 0.97 | % | 1.32 | % | ||||||||
(1)Average loans include interest and fees on credit cards.
(2)The ratios of net credit losses are calculated based on average loans, net of unearned income.
(3)Asia Consumer includes NCLs and average loans in certain EMEA countries (Russia, Poland and Bahrain) for all periods presented.
(4)Citi recently entered into agreements to sell certain Asia consumer banking businesses, which have been reclassified as HFS in Other assets and Other liabilities on the Consolidated Balance Sheet. As a result, approximately $50 million and $53 million in related net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) in the second and first quarters of 2022, respectively. Accordingly, these NCLs are not included in this table. The reclassifications commenced as follows: Australia (3Q21, and closed on June 1, 2022), the Philippines (4Q21) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22). See Note 2 for additional information.
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ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS
Loans Outstanding
| 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. | |||||||||||||
| In millions of dollars | 2022 | 2022 | 2021 | 2021 | 2021 | ||||||||||||
| Consumer loans | |||||||||||||||||
In North America offices(1) | |||||||||||||||||
Residential first mortgages(2) | $ | 88,662 | $ | 84,569 | $ | 83,361 | $ | 83,593 | $ | 83,227 | |||||||
Home equity loans(2) | 5,074 | 5,328 | 5,745 | 6,194 | 6,892 | ||||||||||||
| Credit cards | 137,412 | 129,989 | 133,868 | 125,526 | 124,823 | ||||||||||||
| Personal, small business and other | 39,436 | 41,297 | 40,713 | 39,909 | 40,835 | ||||||||||||
| Total | $ | 270,584 | $ | 261,183 | $ | 263,687 | $ | 255,222 | $ | 255,777 | |||||||
In offices outside North America(1) | |||||||||||||||||
Residential mortgages(2) | $ | 28,129 | $ | 29,017 | $ | 37,889 | $ | 46,920 | $ | 43,260 | |||||||
| Credit cards | 11,858 | 11,546 | 17,808 | 17,763 | 20,776 | ||||||||||||
| Personal, small business and other | 45,034 | 48,582 | 57,150 | 49,387 | 60,991 | ||||||||||||
| Total | $ | 85,021 | $ | 89,145 | $ | 112,847 | $ | 114,070 | $ | 125,027 | |||||||
Consumer loans, net of unearned income(3) | $ | 355,605 | $ | 350,328 | $ | 376,534 | $ | 369,292 | $ | 380,804 | |||||||
| Corporate loans | |||||||||||||||||
In North America offices(1) | |||||||||||||||||
| Commercial and industrial | $ | 55,823 | $ | 54,063 | $ | 48,364 | $ | 52,988 | $ | 49,759 | |||||||
| Financial institutions | 46,088 | 47,930 | 49,804 | 44,172 | 46,369 | ||||||||||||
Mortgage and real estate(2) | 17,359 | 17,536 | 15,965 | 16,422 | 15,801 | ||||||||||||
| Installment and other | 20,466 | 18,812 | 20,143 | 16,944 | 16,985 | ||||||||||||
| Lease financing | 379 | 379 | 415 | 425 | 547 | ||||||||||||
| Total | $ | 140,115 | $ | 138,720 | $ | 134,691 | $ | 130,951 | $ | 129,461 | |||||||
In offices outside North America(1) | |||||||||||||||||
| Commercial and industrial | $ | 108,274 | $ | 112,732 | $ | 102,735 | $ | 105,124 | $ | 104,857 | |||||||
| Financial institutions | 24,654 | 27,657 | 22,158 | 25,013 | 27,285 | ||||||||||||
Mortgage and real estate(2) | 4,455 | 4,705 | 4,374 | 4,749 | 4,886 | ||||||||||||
| Installment and other | 19,862 | 21,275 | 22,812 | 25,277 | 25,092 | ||||||||||||
| Lease financing | 53 | 47 | 40 | 47 | 54 | ||||||||||||
| Governments and official institutions | 4,315 | 4,205 | 4,423 | 4,311 | 4,395 | ||||||||||||
| Total | $ | 161,613 | $ | 170,621 | $ | 156,542 | $ | 164,521 | $ | 166,569 | |||||||
Corporate loans, net of unearned income(4) | $ | 301,728 | $ | 309,341 | $ | 291,233 | $ | 295,472 | $ | 296,030 | |||||||
| Total loans—net of unearned income | $ | 657,333 | $ | 659,669 | $ | 667,767 | $ | 664,764 | $ | 676,834 | |||||||
| Allowance for credit losses on loans (ACLL) | (15,952) | (15,393) | (16,455) | (17,715) | (19,238) | ||||||||||||
| Total loans—net of unearned income and ACLL | $ | 641,381 | $ | 644,276 | $ | 651,312 | $ | 647,049 | $ | 657,596 | |||||||
ACLL as a percentage of total loans— net of unearned income(5) | 2.44 | % | 2.35 | % | 2.49 | % | 2.69 | % | 2.88 | % | |||||||
ACLL for consumer loan losses as a percentage of total consumer loans—net of unearned income(5) | 3.65 | % | 3.53 | % | 3.73 | % | 4.09 | % | 4.35 | % | |||||||
ACLL for corporate loan losses as a percentage of total corporate loans—net of unearned income(5) | 1.00 | % | 1.00 | % | 0.85 | % | 0.91 | % | 0.93 | % | |||||||
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification of corporate loans between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Consumer loans are net of unearned income of $631 million, $591 million, $629 million, $616 million and $633 million at June 30, 2022, March 31, 2022, December 31, 2021, September 30, 2021 and June 30, 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 $(759) million, $(766) million, $(770) million, $(798) million and $(798) million at June 30, 2022, March 31, 2022, December 31, 2021, September 30, 2021 and June 30, 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.
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Details of Credit Loss Experience
| 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. | |||||||||||||
| In millions of dollars | 2022 | 2022 | 2021 | 2021 | 2021 | ||||||||||||
| Allowance for credit losses on loans (ACLL) at beginning of period | $ | 15,393 | $ | 16,455 | $ | 17,715 | $ | 19,238 | $ | 21,638 | |||||||
| Provision for credit losses on loans (PCLL) | |||||||||||||||||
| Consumer | $ | 1,440 | $ | (372) | $ | (202) | $ | (180) | $ | (340) | |||||||
| Corporate | (56) | 632 | (108) | (8) | (786) | ||||||||||||
| Total | $ | 1,384 | $ | 260 | $ | (310) | $ | (188) | $ | (1,126) | |||||||
| Gross credit losses on loans | |||||||||||||||||
| Consumer | |||||||||||||||||
| In U.S. offices | $ | 934 | $ | 947 | $ | 802 | $ | 893 | $ | 1,131 | |||||||
| In offices outside the U.S. | 221 | 245 | 360 | 449 | 576 | ||||||||||||
| Corporate | |||||||||||||||||
| In U.S. offices | 21 | 29 | 27 | 17 | 42 | ||||||||||||
| In offices outside the U.S. | 36 | 19 | 90 | 30 | 95 | ||||||||||||
| Total | $ | 1,212 | $ | 1,240 | $ | 1,279 | $ | 1,389 | $ | 1,844 | |||||||
| Gross recoveries on loans | |||||||||||||||||
| Consumer | |||||||||||||||||
| In U.S. offices | $ | 265 | $ | 293 | $ | 273 | $ | 299 | $ | 324 | |||||||
| In offices outside the U.S. | 63 | 58 | 108 | 121 | 140 | ||||||||||||
| Corporate | |||||||||||||||||
| In U.S. offices | 2 | 13 | 8 | 5 | 38 | ||||||||||||
| In offices outside the U.S. | 32 | 4 | 24 | 3 | 22 | ||||||||||||
| Total | $ | 362 | $ | 368 | $ | 413 | $ | 428 | $ | 524 | |||||||
| Net credit losses on loans (NCLs) | |||||||||||||||||
| In U.S. offices | $ | 688 | $ | 670 | $ | 548 | $ | 606 | $ | 811 | |||||||
| In offices outside the U.S. | 162 | 202 | 318 | 355 | 509 | ||||||||||||
| Total | $ | 850 | $ | 872 | $ | 866 | $ | 961 | $ | 1,320 | |||||||
Other—net(1)(2)(3)(4)(5)(6) | $ | 25 | $ | (450) | $ | (84) | $ | (374) | $ | 46 | |||||||
| Allowance for credit losses on loans (ACLL) at end of period | $ | 15,952 | $ | 15,393 | $ | 16,455 | $ | 17,715 | $ | 19,238 | |||||||
ACLL as a percentage of EOP loans(7) | 2.44 | % | 2.35 | % | 2.49 | % | 2.69 | % | 2.88 | % | |||||||
Allowance for credit losses on unfunded lending commitments (ACLUC)(8) | $ | 2,193 | $ | 2,343 | $ | 1,871 | $ | 2,063 | $ | 2,073 | |||||||
| Total ACLL and ACLUC | $ | 18,145 | $ | 17,736 | $ | 18,326 | $ | 19,778 | $ | 21,311 | |||||||
| Net consumer credit losses on loans | $ | 827 | $ | 841 | $ | 781 | $ | 922 | $ | 1,243 | |||||||
| As a percentage of average consumer loans | 0.94 | % | 0.97 | % | 0.83 | % | 0.98 | % | 1.32 | % | |||||||
| Net corporate credit losses on loans | $ | 23 | $ | 31 | $ | 85 | $ | 39 | $ | 77 | |||||||
| As a percentage of average corporate loans | 0.03 | % | 0.04 | % | 0.11 | % | 0.05 | % | 0.11 | % | |||||||
ACLL by type at end of period(9) | |||||||||||||||||
| Consumer | $ | 12,983 | $ | 12,368 | $ | 14,040 | $ | 15,105 | $ | 16,566 | |||||||
| Corporate | 2,969 | 3,025 | 2,415 | 2,610 | 2,672 | ||||||||||||
| Total | $ | 15,952 | $ | 15,393 | $ | 16,455 | $ | 17,715 | $ | 19,238 | |||||||
(1)Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(2)The second quarter of 2022 includes an increase of approximately $25 million related to FX translation.
(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 $80 million related to FX translation.
(6)The second quarter of 2021 includes an increase of approximately $62 million related to FX translation.
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(7)June 30, 2022, March 31, 2022, December 31, 2021, September 30, 2021 and June 30, 2021 exclude $4.5 billion, $5.7 billion, $6.1 billion, $7.2 billion and $7.7 billion, respectively, of loans that are carried at fair value.
(8)Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(9)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:
| June 30, 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) | $ | 10.3 | $ | 137.4 | 7.5 | % | |||||
North America mortgages(3) | 0.2 | 93.7 | 0.2 | ||||||||
North America other(3) | 0.7 | 39.4 | 1.8 | ||||||||
| International cards | 0.9 | 11.9 | 7.6 | ||||||||
International other(3) | 0.9 | 73.2 | 1.2 | ||||||||
| Total | $ | 13.0 | $ | 355.6 | 3.7 | % | |||||
| Corporate | |||||||||||
| Commercial and industrial | $ | 2.0 | $ | 161.3 | 1.2 | % | |||||
| Financial institutions | 0.2 | 70.4 | 0.3 | ||||||||
| Mortgage and real estate | 0.3 | 21.8 | 1.4 | ||||||||
| Installment and other | 0.5 | 43.7 | 1.1 | ||||||||
| Total | $ | 3.0 | $ | 297.2 | 1.0 | % | |||||
Loans at fair value(1) | N/A | $ | 4.5 | N/A | |||||||
| Total Citigroup | $ | 16.0 | $ | 657.3 | 2.4 | % | |||||
| 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(3) | 0.5 | 89.1 | 0.6 | ||||||||
North America other(3) | 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.
(2)Includes both Branded cards and Retail services. As of June 30, 2022, the $10.3 billion of ACLL represented approximately 50 months of coincident net credit loss coverage. As of June 30, 2022, Branded cards ACLL as a percentage of EOP loans was 6.3% and Retail services ACLL as a percentage of EOP loans was 9.8%. As of December 31, 2021, 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 residential mortgages, retail loans and personal, small business and other loans, including those extended through the Private bank network.
N/A Not applicable
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The following table details Citi’s corporate credit ACLL by industry exposure:
| June 30, 2022 | |||||||||||
| In millions of dollars, except percentages | Funded exposure(1) | ACLL | ACLL as a % of funded exposure | ||||||||
| Transportation and industrials | $ | 53,641 | $ | 736 | 1.4 | % | |||||
| Technology, media and telecom | 31,428 | 245 | 0.8 | ||||||||
| Consumer retail | 34,924 | 518 | 1.5 | ||||||||
| Real estate | 47,001 | 425 | 0.9 | ||||||||
| Power, chemicals, metals and mining | 19,886 | 411 | 2.1 | ||||||||
| Banks and finance companies | 39,794 | 142 | 0.4 | ||||||||
| Asset managers and funds | 21,154 | 26 | 0.1 | ||||||||
| Energy and commodities | 16,822 | 257 | 1.5 | ||||||||
| Health | 9,161 | 78 | 0.9 | ||||||||
| Insurance | 3,519 | 9 | 0.3 | ||||||||
| Public sector | 14,668 | 59 | 0.4 | ||||||||
| Financial markets infrastructure | 124 | — | — | ||||||||
| Securities firms | 701 | 7 | 1.0 | ||||||||
| Other industries | 3,148 | 48 | 1.5 | ||||||||
Total classifiably managed loans(2) | $ | 295,971 | $ | 2,961 | 1.0 | % | |||||
Loans managed on a delinquency basis(3) | $ | 1,229 | $ | 8 | 0.7 | % | |||||
| Total | $ | 297,200 | $ | 2,969 | 1.0 | % | |||||
(1) Funded exposure excludes loans carried at fair value of $4.5 billion that are not subject to ACLL under the CECL standard.
(2) As of June 30, 2022, the ACLL shown above reflects coverage of 0.4% of funded investment-grade exposure and 2.9% of funded non-investment-grade exposure.
(3) Primarily associated with delinquency-managed loans including commercial credit cards and other loans at June 30, 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.
47
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.
| Jun. 30, | Mar. 31, | Dec. 31, | Sept. 30, | Jun. 30, | |||||||||||||
| In millions of dollars | 2022 | 2022 | 2021 | 2021 | 2021 | ||||||||||||
Corporate non-accrual loans by region(1)(2)(3) | |||||||||||||||||
| North America | $ | 304 | $ | 462 | $ | 510 | $ | 923 | $ | 895 | |||||||
| EMEA | 712 | 688 | 367 | 407 | 447 | ||||||||||||
| Latin America | 563 | 631 | 568 | 679 | 767 | ||||||||||||
| Asia | 76 | 85 | 108 | 110 | 141 | ||||||||||||
| Total | $ | 1,655 | $ | 1,866 | $ | 1,553 | $ | 2,119 | $ | 2,250 | |||||||
Corporate non-accrual loans(1)(2)(3) | |||||||||||||||||
| Banking | $ | 1,015 | $ | 1,323 | $ | 1,239 | $ | 1,739 | $ | 1,852 | |||||||
| Services | 353 | 297 | 70 | 74 | 81 | ||||||||||||
| Markets | 11 | 13 | 12 | 13 | 12 | ||||||||||||
| Mexico SBMM | 276 | 233 | 232 | 293 | 305 | ||||||||||||
| Total | $ | 1,655 | $ | 1,866 | $ | 1,553 | $ | 2,119 | $ | 2,250 | |||||||
Consumer non-accrual loans(1) | |||||||||||||||||
| Personal Banking and Global Wealth | $ | 536 | $ | 586 | $ | 680 | $ | 637 | $ | 711 | |||||||
Asia Consumer(4) | 34 | 38 | 209 | 259 | 303 | ||||||||||||
| Mexico Consumer | 493 | 512 | 524 | 549 | 612 | ||||||||||||
Legacy Holdings Assets—Consumer | 317 | 381 | 413 | 425 | 506 | ||||||||||||
| Total | $ | 1,380 | $ | 1,517 | $ | 1,826 | $ | 1,870 | $ | 2,132 | |||||||
| Total non-accrual loans | $ | 3,035 | $ | 3,383 | $ | 3,379 | $ | 3,989 | $ | 4,382 | |||||||
(1)Corporate loans are placed on non-accrual status based upon a review by Citigroup’s risk officers. Corporate non-accrual loans may still be current on interest payments. With limited exceptions, the following practices are applied for consumer loans: consumer loans, excluding credit cards and mortgages, are placed on non-accrual status at 90 days past due and are charged off at 120 days past due; residential mortgage loans are placed on non-accrual status at 90 days past due and written down to net realizable value at 180 days past due. Consistent with industry conventions, Citigroup generally accrues interest on credit card loans until such loans are charged off, which typically occurs at 180 days contractual delinquency. As such, the non-accrual loan disclosures do not include credit card loans. The balances above represent non-accrual loans within Corporate loans and Consumer loans on the Consolidated Balance Sheet. While corporate non-accrual loans are down year-over-year and quarter-over-quarter, the increase from December 31, 2021 relates to Russia-related exposures, which are adequately reserved for.
(2)Approximately 52%, 66%, 56%, 58% and 55% of Citi’s corporate non-accrual loans were performing at June 30, 2022, March 31, 2022, December 31, 2021, September 30, 2021 and June 30, 2021, respectively.
(3)The June 30, 2022 total corporate non-accrual loans represented 0.55% of total corporate loans.
(4) Asia Consumer includes balances in certain EMEA countries for all periods presented.
48
The changes in Citigroup’s non-accrual loans were as follows:
| Three Months Ended | Three Months Ended | |||||||||||||||||||
| June 30, 2022 | June 30, 2021 | |||||||||||||||||||
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | ||||||||||||||
| Non-accrual loans at beginning of quarter | $ | 1,866 | $ | 1,517 | $ | 3,383 | $ | 2,716 | $ | 2,374 | $ | 5,090 | ||||||||
| Additions | 721 | 344 | 1,065 | 429 | 599 | 1,028 | ||||||||||||||
| Sales and transfers to HFS | (5) | (36) | (41) | (439) | (135) | (574) | ||||||||||||||
| Returned to performing | (120) | (77) | (197) | (112) | (174) | (286) | ||||||||||||||
| Paydowns/settlements | (746) | (199) | (945) | (229) | (202) | (431) | ||||||||||||||
| Charge-offs | (56) | (140) | (196) | (128) | (348) | (476) | ||||||||||||||
| Other | (5) | (29) | (34) | 13 | 18 | 31 | ||||||||||||||
| Ending balance | $ | 1,655 | $ | 1,380 | $ | 3,035 | $ | 2,250 | $ | 2,132 | $ | 4,382 | ||||||||
| Six Months Ended | Six Months Ended | |||||||||||||||||||
| June 30, 2022 | June 30, 2021 | |||||||||||||||||||
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | ||||||||||||||
| Non-accrual loans at beginning of year | $ | 1,553 | $ | 1,826 | $ | 3,379 | $ | 3,046 | $ | 2,622 | $ | 5,668 | ||||||||
| Additions | 1,541 | 643 | 2,184 | 904 | 1,297 | 2,201 | ||||||||||||||
| Sales and transfers to HFS | (6) | (224) | (230) | (495) | (193) | (688) | ||||||||||||||
| Returned to performing | (253) | (256) | (509) | (112) | (409) | (521) | ||||||||||||||
| Paydowns/settlements | (1,069) | (295) | (1,364) | (778) | (376) | (1,154) | ||||||||||||||
| Charge-offs | (105) | (295) | (400) | (317) | (797) | (1,114) | ||||||||||||||
| Other | (6) | (19) | (25) | 2 | (12) | (10) | ||||||||||||||
| Ending balance | $ | 1,655 | $ | 1,380 | $ | 3,035 | $ | 2,250 | $ | 2,132 | $ | 4,382 | ||||||||
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:
| Jun. 30, | Mar. 31, | Dec. 31, | Sept. 30, | Jun. 30, | |||||||||||||
| In millions of dollars | 2022 | 2022 | 2021 | 2021 | 2021 | ||||||||||||
| OREO | |||||||||||||||||
| North America | $ | 7 | $ | 14 | $ | 15 | $ | 10 | $ | 12 | |||||||
| EMEA | — | — | — | — | — | ||||||||||||
| Latin America | 5 | 7 | 8 | 10 | 11 | ||||||||||||
| Asia | 1 | 5 | 4 | 1 | 10 | ||||||||||||
| Total OREO | $ | 13 | $ | 26 | $ | 27 | $ | 21 | $ | 33 | |||||||
| Non-accrual assets | |||||||||||||||||
| Corporate non-accrual loans | $ | 1,655 | $ | 1,866 | $ | 1,553 | $ | 2,119 | $ | 2,250 | |||||||
| Consumer non-accrual loans | 1,380 | 1,517 | 1,826 | 1,870 | 2,132 | ||||||||||||
| Non-accrual loans (NAL) | $ | 3,035 | $ | 3,383 | $ | 3,379 | $ | 3,989 | $ | 4,382 | |||||||
| OREO | $ | 13 | $ | 26 | $ | 27 | $ | 21 | $ | 33 | |||||||
| Non-accrual assets (NAA) | $ | 3,048 | $ | 3,409 | $ | 3,406 | $ | 4,010 | $ | 4,415 | |||||||
| NAL as a percentage of total loans | 0.46 | % | 0.51 | % | 0.51 | % | 0.60 | % | 0.65 | % | |||||||
| NAA as a percentage of total assets | 0.13 | 0.14 | 0.15 | 0.17 | 0.19 | ||||||||||||
ACLL as a percentage of NAL(1) | 526 | % | 455 | % | 487 | % | 444 | % | 439 | % | |||||||
(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).
49
Renegotiated Loans
The following table presents Citi’s loans modified in TDRs:
| In millions of dollars | Jun. 30, 2022 | Dec. 31, 2021 | ||||||
Corporate renegotiated loans(1) | ||||||||
| In U.S. offices | ||||||||
Commercial and industrial(2) | $ | 89 | $ | 103 | ||||
| Mortgage and real estate | 2 | 2 | ||||||
| Financial institutions | — | — | ||||||
| Other | 16 | 20 | ||||||
| Total | $ | 107 | $ | 125 | ||||
| In offices outside the U.S. | ||||||||
Commercial and industrial(2) | $ | 59 | $ | 133 | ||||
| Mortgage and real estate | 14 | 18 | ||||||
| Financial institutions | — | — | ||||||
| Other | 23 | 8 | ||||||
| Total | $ | 96 | $ | 159 | ||||
| Total corporate renegotiated loans | $ | 203 | $ | 284 | ||||
Consumer renegotiated loans(3) | ||||||||
| In U.S. offices | ||||||||
| Mortgage and real estate | $ | 1,309 | $ | 1,485 | ||||
| Cards | 1,153 | 1,269 | ||||||
| Installment and other | 21 | 26 | ||||||
| Total | $ | 2,483 | $ | 2,780 | ||||
| In offices outside the U.S. | ||||||||
| Mortgage and real estate | $ | 144 | $ | 227 | ||||
| Cards | 74 | 313 | ||||||
| Installment and other | 106 | 428 | ||||||
| Total | $ | 324 | $ | 968 | ||||
| Total consumer renegotiated loans | $ | 2,807 | $ | 3,748 | ||||
(1)Includes $194 million and $284 million of non-accrual loans included in the non-accrual loans table above at June 30, 2022 and December 31, 2021, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at June 30, 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 $531 million and $664 million of non-accrual loans included in the non-accrual loans table above at June 30, 2022 and December 31, 2021, respectively. The remaining loans were accruing interest.
50
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 | Jun. 30, 2022 | Mar. 31, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Mar. 31, 2022 | Jun. 30, 2021 | Jun. 30, 2022 | Mar. 31, 2022 | Jun. 30, 2021 | ||||||||||||||||||||
| Available cash | $ | 188.1 | $ | 214.9 | $ | 259.3 | $ | 1.7 | $ | 2.2 | $ | 2.8 | $ | 189.8 | $ | 217.1 | $ | 262.2 | |||||||||||
U.S. sovereign | 149.4 | 139.7 | 91.1 | 55.4 | 57.5 | 61.5 | 204.8 | 197.2 | 152.6 | ||||||||||||||||||||
U.S. agency/agency MBS | 54.4 | 49.8 | 41.5 | 4.6 | 5.2 | 5.2 | 59.0 | 55.0 | 46.7 | ||||||||||||||||||||
Foreign government debt(1) | 60.4 | 53.8 | 47.2 | 13.9 | 13.8 | 12.0 | 74.3 | 67.6 | 59.2 | ||||||||||||||||||||
Other investment grade | 2.0 | 1.9 | 1.7 | 1.3 | 1.4 | 0.3 | 3.3 | 3.3 | 1.9 | ||||||||||||||||||||
| Total HQLA (AVG) | $ | 454.3 | $ | 460.1 | $ | 440.8 | $ | 76.9 | $ | 80.1 | $ | 81.8 | $ | 531.2 | $ | 540.2 | $ | 522.6 | |||||||||||
Note: The amounts shown in the table above are presented on an average basis. For securities, the amounts represent the liquidity value that potentially could be realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts applicable under the U.S. LCR rule. The table above incorporates various restrictions that could limit the transferability of liquidity between legal entities, including Section 23A of the Federal Reserve Act.
(1) Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Japan, Mexico, Singapore, Hong Kong 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 as well as any amounts in excess of these minimums that are available to be transferred to other entities within Citigroup. Citigroup’s average HQLA for the second quarter of 2022 decreased quarter-over-quarter, primarily driven by funding requirements at non-bank entities, partially offset by long-term debt issuances.
As of June 30, 2022, Citigroup had approximately $964 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 | Jun. 30, 2022 | Mar. 31, 2022 | Jun. 30, 2021 | ||||||||
| HQLA | $ | 531.2 | $ | 540.2 | $ | 522.6 | |||||
| Net outflows | 460.2 | 466.2 | 461.7 | ||||||||
| LCR | 115 | % | 116 | % | 113 | % | |||||
| HQLA in excess of net outflows | $ | 71.0 | $ | 74.0 | $ | 60.9 | |||||
Note: The amounts are presented on an average basis.
As of June 30, 2022, Citigroup’s average LCR decreased from the quarter ended March 31, 2022. The decrease was primarily driven by a reduction in average HQLA, partially offset by a reduction in average net outflows.
51
Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)
As previously disclosed, 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 June 30, 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 | 2Q22 | 1Q22 | 2Q21 | ||||||||
| Personal Banking and Wealth Management | |||||||||||
| U.S. Retail banking | $ | 34 | $ | 33 | $ | 35 | |||||
| U.S. Cards | 133 | 128 | 122 | ||||||||
Global Wealth | 150 | 151 | 147 | ||||||||
| Total | $ | 317 | $ | 312 | $ | 304 | |||||
| Institutional Clients Group | |||||||||||
| Services | $ | 85 | $ | 81 | $ | 74 | |||||
| Banking | 199 | 194 | 197 | ||||||||
Markets | 13 | 14 | 16 | ||||||||
| Total | $ | 297 | $ | 289 | $ | 287 | |||||
Total Legacy Franchises(1) | $ | 43 | $ | 48 | $ | 79 | |||||
| Total Citigroup loans (AVG) | $ | 657 | $ | 649 | $ | 670 | |||||
| Total Citigroup loans (EOP) | $ | 657 | $ | 660 | $ | 677 | |||||
(1)See footnote 2 to the table in “Credit Risk—Consumer Credit—Consumer Credit Portfolio” above.
End-of-period loans decreased 3% year-over-year as growth in ICG and PBWM (up 2% and 4%, respectively) was more than offset by lower loans in Legacy Franchises. End-of-period loans were largely unchanged sequentially.
On an average basis, loans declined 2% year-over-year and increased 1% sequentially. The year-over-year decline was primarily due to Legacy Franchises, which more than offset growth in both PBWM and ICG. The decline in Legacy Franchises primarily reflected the reclassification of loans to Other assets to reflect held-for-sale accounting as a result of the signing of sales agreements for consumer franchises in Asia and EMEA. PBWM average loans increased 4% year-over-year, primarily driven by Branded cards, Retail services and Global Wealth. ICG average loans increased 3% year-over-year driven by trade finance.
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 | 2Q22 | 1Q22 | 2Q21 | ||||||||
| Personal Banking and Wealth Management | |||||||||||
| U.S. Personal Banking | $ | 116 | $ | 118 | $ | 113 | |||||
| Global Wealth | 319 | 329 | 297 | ||||||||
| Total | $ | 435 | $ | 447 | $ | 410 | |||||
| Institutional Clients Group | |||||||||||
| TTS | $ | 665 | $ | 664 | $ | 652 | |||||
Securities services | 137 | 135 | 137 | ||||||||
| Markets | 28 | 27 | 29 | ||||||||
| Total | $ | 830 | $ | 826 | $ | 818 | |||||
Legacy Franchises(1) | $ | 51 | $ | 55 | $ | 85 | |||||
| Corporate/Other | $ | 7 | $ | 6 | $ | 8 | |||||
| Total Citigroup deposits (AVG) | $ | 1,323 | $ | 1,334 | $ | 1,321 | |||||
| Total Citigroup deposits (EOP) | $ | 1,322 | $ | 1,334 | $ | 1,310 | |||||
(1)See footnote 2 to the table in “Credit Risk—Consumer Credit—Consumer Credit Portfolio” above.
End-of-period deposits increased 1% year-over-year, largely driven by growth in Treasury and trade solutions (TTS) and Global Wealth. End-of-period deposits decreased 1% sequentially.
On an average basis, deposits were largely unchanged year-over-year and declined 1% sequentially. Year-over-year, average deposits reflected a decline in Legacy Franchises due to the impact of held-for-sale accounting as a result of the signing of sale agreements for consumer franchises in Asia and EMEA. The decline was largely offset by a 6% increase in PBWM, led by growth in both U.S. Personal Banking and Global Wealth. In addition, ICG average deposits grew 1% year-over-year, driven by an increase in TTS.
52
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 8.0 years as of June 30, 2022, compared to 8.8 years as of the prior year and 8.5 years as of the prior quarter. The weighted-average maturity is calculated based on the contractual maturity of each security. For securities that are redeemable prior to maturity at the option of the holder, the weighted-average maturity is calculated based on the earliest date an option becomes exercisable.
Citi’s long-term debt outstanding at the Citigroup parent company includes benchmark senior and subordinated debt and what Citi refers to as customer-related debt, consisting of structured notes, such as equity- and credit-linked notes, as well as non-structured notes. Citi’s issuance of customer-related debt is generally driven by customer demand and complements benchmark debt issuance as a source of funding for Citi’s non-bank entities. Citi’s long-term debt at the bank includes bank notes, FHLB advances and securitizations.
Long-Term Debt Outstanding
The following table presents Citi’s end-of-period total long-term debt outstanding for each of the dates indicated:
| In billions of dollars | Jun. 30, 2022 | Mar. 31, 2022 | Jun. 30, 2021 | ||||||||
Non-bank(1) | |||||||||||
| Benchmark debt: | |||||||||||
Senior debt | $ | 120.3 | $ | 122.2 | $ | 127.8 | |||||
Subordinated debt | 24.0 | 24.7 | 26.2 | ||||||||
Trust preferred | 1.6 | 1.6 | 1.7 | ||||||||
| Customer-related debt | 84.9 | 78.4 | 73.9 | ||||||||
Local country and other(2) | 7.8 | 7.8 | 6.3 | ||||||||
| Total non-bank | $ | 238.6 | $ | 234.7 | $ | 235.9 | |||||
| Bank | |||||||||||
| FHLB borrowings | $ | 2.3 | $ | 1.0 | $ | 9.5 | |||||
Securitizations(3) | 9.5 | 9.5 | 11.6 | ||||||||
| Citibank benchmark senior debt | 2.6 | 3.5 | 3.7 | ||||||||
Local country and other(2) | 4.4 | 5.3 | 3.9 | ||||||||
| Total bank | $ | 18.8 | $ | 19.3 | $ | 28.7 | |||||
| Total long-term debt | $ | 257.4 | $ | 254.0 | $ | 264.6 | |||||
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet that, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)Non-bank includes long-term debt issued to third parties by the parent holding company (Citigroup) and Citi’s non-bank subsidiaries (including broker-dealer subsidiaries) that are consolidated into Citigroup. As of June 30, 2022, non-bank included $70.8 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries that are consolidated into Citigroup. Certain Citigroup consolidated hedging activities are also included in this line.
(2)Local country and other includes debt issued by Citi’s affiliates in support of their local operations. Within non-bank, certain secured financing is also included.
(3)Predominantly credit card securitizations, primarily backed by Branded cards receivables.
Citi’s total long-term debt outstanding declined 3% year-over-year, as declines in FHLB borrowings at the bank and unsecured benchmark senior debt at the non-bank entities were partially offset by the issuance of customer-related debt at the non-bank entities. Sequentially, long-term debt outstanding increased 1%, largely driven by an increase in customer-related debt at the non-bank entities, partially offset by a decline in long-term debt at the bank.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to redeem or repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such redemptions and repurchases help reduce Citi’s overall funding costs. During the second quarter of 2022, Citi redeemed or repurchased an aggregate of approximately $2.5 billion of its outstanding long-term debt.
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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:
| 2Q22 | 1Q22 | 2Q21 | ||||||||||||||||||
| In billions of dollars | Maturities | Issuances | Maturities | Issuances | Maturities | Issuances | ||||||||||||||
| Non-bank | ||||||||||||||||||||
| Benchmark debt: | ||||||||||||||||||||
| Senior debt | $ | 3.5 | $ | 6.0 | $ | 4.4 | $ | 13.8 | $ | 1.8 | $ | 8.7 | ||||||||
| Subordinated debt | — | — | — | — | — | — | ||||||||||||||
| Trust preferred | — | — | 0.1 | — | — | — | ||||||||||||||
| Customer-related debt | 5.0 | 21.8 | 7.5 | 14.5 | 8.5 | 15.4 | ||||||||||||||
| Local country and other | 0.3 | 0.4 | 0.4 | 0.9 | 1.0 | 1.5 | ||||||||||||||
| Total non-bank | $ | 8.8 | $ | 28.2 | $ | 12.4 | $ | 29.2 | $ | 11.3 | $ | 25.6 | ||||||||
| Bank | ||||||||||||||||||||
| FHLB borrowings | $ | 1.0 | $ | 2.3 | $ | 4.3 | $ | — | $ | 1.4 | $ | — | ||||||||
| Securitizations | — | — | — | — | 1.2 | — | ||||||||||||||
| Citibank benchmark senior debt | 0.9 | — | — | — | 5.5 | — | ||||||||||||||
| Local country and other | 0.6 | 0.1 | 0.4 | 0.5 | 0.1 | 0.4 | ||||||||||||||
| Total bank | $ | 2.5 | $ | 2.4 | $ | 4.7 | $ | 0.5 | $ | 8.2 | $ | 0.4 | ||||||||
| Total | $ | 11.3 | $ | 30.6 | $ | 17.1 | $ | 29.7 | $ | 19.5 | $ | 26.0 | ||||||||
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 June 30, 2022:
| 2022 YTD | Maturities | ||||||||||||||||||||||||||||
| In billions of dollars | 2022 | 2023 | 2024 | 2025 | 2026 | 2027 | Thereafter | Total | |||||||||||||||||||||
| Non-bank | |||||||||||||||||||||||||||||
| Benchmark debt: | |||||||||||||||||||||||||||||
| Senior debt | $ | 7.9 | $ | 2.2 | $ | 10.1 | $ | 10.6 | $ | 12.0 | $ | 21.2 | $ | 7.0 | $ | 57.2 | $ | 120.3 | |||||||||||
| Subordinated debt | — | 0.9 | 1.2 | 0.9 | 4.9 | 2.5 | 3.8 | 9.9 | 24.0 | ||||||||||||||||||||
| Trust preferred | 0.1 | — | — | — | — | — | — | 1.6 | 1.6 | ||||||||||||||||||||
| Customer-related debt | 12.5 | 5.0 | 13.6 | 14.3 | 9.3 | 5.3 | 5.7 | 31.7 | 84.9 | ||||||||||||||||||||
| Local country and other | 0.7 | 1.7 | 2.8 | — | — | 0.7 | — | 2.6 | 7.8 | ||||||||||||||||||||
| Total non-bank | $ | 21.2 | $ | 9.8 | $ | 27.7 | $ | 25.8 | $ | 26.2 | $ | 29.7 | $ | 16.5 | $ | 103.0 | $ | 238.6 | |||||||||||
| Bank | |||||||||||||||||||||||||||||
| FHLB borrowings | $ | 5.3 | $ | — | $ | 2.3 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2.3 | |||||||||||
| Securitizations | — | 2.1 | 3.3 | 1.4 | 0.4 | — | 0.8 | 1.5 | 9.5 | ||||||||||||||||||||
| Citibank benchmark senior debt | 0.9 | — | — | 2.6 | — | — | — | — | 2.6 | ||||||||||||||||||||
| Local country and other | 1.0 | 0.9 | 0.6 | 1.2 | 0.1 | — | — | 1.5 | 4.4 | ||||||||||||||||||||
| Total bank | $ | 7.2 | $ | 3.0 | $ | 6.2 | $ | 5.2 | $ | 0.5 | $ | — | $ | 0.8 | $ | 3.0 | $ | 18.8 | |||||||||||
| Total long-term debt | $ | 28.4 | $ | 12.8 | $ | 33.9 | $ | 31.0 | $ | 26.7 | $ | 29.7 | $ | 17.3 | $ | 106.0 | $ | 257.4 | |||||||||||
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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 $198 billion as of June 30, 2022 decreased 11% from the prior-year period and decreased 3% sequentially, driven by normal business activity. The average balance for secured funding was approximately $208 billion for the quarter ended June 30, 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 June 30, 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 $40 billion increased 27% year-over-year and 33% sequentially, reflecting an increase in FHLB advances and commercial paper issuance (see Note 16 for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).
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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 June 30, 2022.
Ratings as of June 30, 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 June 30, 2022, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.5 billion, compared to $1.1 billion as of March 31, 2022. Other funding sources, such as secured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of June 30, 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 $0.7 billion, compared to $0.6 billion as of March 31, 2022. 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 June 30, 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 $1.2 billion, compared to $1.7 billion as of March 31, 2022 (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 June 30, 2022, Citibank had liquidity commitments of approximately $9.0 billion to consolidated asset-backed commercial paper conduits, compared to $9.1 billion as of March 31, 2022 (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.
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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 presents 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 | Jun. 30, 2022 | Mar. 31, 2022 | Jun. 30, 2021 | ||||||||
| Estimated annualized impact to net interest income | |||||||||||
U.S. dollar(1) | $ | 332 | $ | 482 | $ | 156 | |||||
| All other currencies | 693 | 705 | 624 | ||||||||
| Total | $ | 1,025 | $ | 1,187 | $ | 780 | |||||
| As a percentage of average interest-earning assets | 0.05 | % | 0.05 | % | 0.04 | % | |||||
Estimated initial negative impact to AOCI (after-tax)(2) | $ | (2,522) | $ | (3,439) | $ | (4,953) | |||||
| Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) | (10) | (18) | (30) | ||||||||
(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 $(17) million for a 100 bps instantaneous increase in interest rates as of June 30, 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) declined from the first quarter of 2022, driven by lower expected gains due to U.S. dollar rate moves that have already been realized. At higher rate levels, Citi assumes it will pass on a larger share of rate changes to its depositors, further reducing Citi’s IRE sensitivity.
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 June 30, 2022, Citi expects that the $2.5 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 and expected NII benefit over approximately 11 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 presents 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.
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| 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 | $ | 332 | $ | 345 | $ | 5 | $ | (1) | $ | (538) | |||||||
| All other currencies | 693 | 633 | 38 | (38) | (533) | ||||||||||||
| Total | $ | 1,025 | $ | 978 | $ | 43 | $ | (39) | $ | (1,071) | |||||||
Estimated initial impact to AOCI (after-tax)(1) | $ | (2,522) | $ | (1,979) | $ | (627) | $ | 484 | $ | 2,416 | |||||||
| Estimated initial impact to Common Equity Tier 1 Capital ratio (bps) | (10) | (8) | (3) | 2 | 9 | ||||||||||||
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 June 30, 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 $1.6 billion, or 1.0%, 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 | Jun. 30, 2022 | Mar. 31, 2022 | Jun. 30, 2021 | ||||||||
Change in FX spot rate(1) | (4.9) | % | 0.1 | % | 1.1 | % | |||||
| Change in TCE due to FX translation, net of hedges | $ | (1,335) | $ | (40) | $ | 364 | |||||
| As a percentage of TCE | (0.9) | % | — | % | 0.2 | % | |||||
| Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due to changes in FX translation, net of hedges (bps) | 5 | 1 | — | ||||||||
(1) FX spot rate change is a weighted average based on Citi’s quarterly average GAAP capital exposure to foreign countries.
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Interest Revenue/Expense and Net Interest Margin (NIM)
| 2nd Qtr. | 1st Qtr. | 2nd Qtr. | Change | |||||||||||||||||||||||
| In millions of dollars, except as otherwise noted | 2022 | 2022 | 2021 | 2Q22 vs. 2Q21 | ||||||||||||||||||||||
Interest revenue(1) | $ | 15,674 | $ | 13,193 | $ | 12,514 | 25 | % | ||||||||||||||||||
Interest expense(2) | 3,666 | 2,280 | 1,985 | 85 | ||||||||||||||||||||||
Net interest income, taxable equivalent basis(1) | $ | 12,008 | $ | 10,913 | $ | 10,529 | 14 | % | ||||||||||||||||||
Interest revenue—average rate(3) | 2.92 | % | 2.47 | % | 2.34 | % | 58 | bps | ||||||||||||||||||
| Interest expense—average rate | 0.85 | 0.54 | 0.46 | 39 | bps | |||||||||||||||||||||
Net interest margin(3)(4) | 2.24 | 2.05 | 1.97 | 27 | bps | |||||||||||||||||||||
| Interest-rate benchmarks | ||||||||||||||||||||||||||
| Two-year U.S. Treasury note—average rate | 2.72 | % | 1.46 | % | 0.17 | % | 255 | bps | ||||||||||||||||||
| 10-year U.S. Treasury note—average rate | 2.93 | 1.95 | 1.59 | 134 | bps | |||||||||||||||||||||
| 10-year vs. two-year spread | 21 | bps | 49 | bps | 142 | 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 $44 million, $42 million and $51 million for the three months ended June 30, 2022, March 31, 2022 and June 30, 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.
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Non-ICG Markets Net Interest Income
| 2nd Qtr. | 1st Qtr. | 2nd Qtr. | Change | |||||||||||
In millions of dollars | 2022 | 2022 | 2021 | 2Q22 vs. 2Q21 | ||||||||||
Net interest income (NII)—taxable equivalent basis(1) per above | $ | 12,008 | $ | 10,913 | $ | 10,529 | 14 | % | ||||||
ICG Markets NII—taxable equivalent basis(1) | 1,386 | 1,111 | 1,381 | — | ||||||||||
Non-ICG Markets NII—taxable equivalent basis(1) | $ | 10,622 | $ | 9,802 | $ | 9,148 | 16 | % | ||||||
(1)Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.
Citi’s NII in the second quarter of 2022 increased 14% to $12.0 billion versus the prior-year period. As presented in the table above, Citi’s NII on a taxable equivalent basis also increased 14% year-over-year, or $1.5 billion, driven by higher NII in non-ICG Markets, while NII in ICG Markets (Fixed income markets and Equity markets) was largely unchanged. The increase in non-ICG Markets NII primarily reflected higher interest income from cards, higher deposit volumes and deposit spreads in Services, and higher income from Citi’s investment portfolio.
Citi’s NIM was 2.24% on a taxable equivalent basis in the second quarter of 2022, an increase of 19 basis points from the prior quarter, driven by the impact of higher interest rates, higher deposit spreads in Services, higher interest income from loans and higher NII in ICG Markets.
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Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3)
Taxable Equivalent Basis
| Quarterly—Assets | Average volume | Interest revenue | % Average rate | ||||||||||||||||||||||||||
| 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | |||||||||||||||||||||
| In millions of dollars, except rates | 2022 | 2022 | 2021 | 2022 | 2022 | 2021 | 2022 | 2022 | 2021 | ||||||||||||||||||||
Deposits with banks(4) | $ | 227,377 | $ | 260,536 | $ | 296,445 | $ | 658 | $ | 296 | $ | 126 | 1.16 | % | 0.46 | % | 0.17 | % | |||||||||||
Securities borrowed and purchased under agreements to resell(5) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 190,065 | $ | 177,996 | $ | 171,568 | $ | 458 | $ | 109 | $ | 85 | 0.97 | % | 0.25 | % | 0.20 | % | |||||||||||
In offices outside the U.S.(4) | 159,455 | 165,640 | 148,253 | 347 | 285 | 120 | 0.87 | 0.70 | 0.32 | ||||||||||||||||||||
| Total | $ | 349,520 | $ | 343,636 | $ | 319,821 | $ | 805 | $ | 394 | $ | 205 | 0.92 | % | 0.46 | % | 0.26 | % | |||||||||||
Trading account assets(6)(7) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 139,087 | $ | 136,857 | $ | 142,471 | $ | 632 | $ | 592 | $ | 579 | 1.82 | % | 1.75 | % | 1.63 | % | |||||||||||
In offices outside the U.S.(4) | 136,850 | 133,603 | 159,670 | 1,030 | 556 | 893 | 3.02 | 1.69 | 2.24 | ||||||||||||||||||||
| Total | $ | 275,937 | $ | 270,460 | $ | 302,141 | $ | 1,662 | $ | 1,148 | $ | 1,472 | 2.42 | % | 1.72 | % | 1.95 | % | |||||||||||
| Investments | |||||||||||||||||||||||||||||
| In U.S. offices | |||||||||||||||||||||||||||||
| Taxable | $ | 357,249 | $ | 353,906 | $ | 320,206 | $ | 1,132 | $ | 1,021 | $ | 867 | 1.27 | % | 1.17 | % | 1.09 | % | |||||||||||
| Exempt from U.S. income tax | 11,898 | 11,612 | 12,613 | 108 | 95 | 114 | 3.64 | 3.32 | 3.63 | ||||||||||||||||||||
In offices outside the U.S.(4) | 150,435 | 153,302 | 151,419 | 1,147 | 951 | 863 | 3.06 | 2.52 | 2.29 | ||||||||||||||||||||
| Total | $ | 519,582 | $ | 518,820 | $ | 484,238 | $ | 2,387 | $ | 2,067 | $ | 1,844 | 1.84 | % | 1.62 | % | 1.53 | % | |||||||||||
Consumer loans(8) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 264,240 | $ | 257,257 | $ | 250,526 | $ | 5,348 | $ | 5,045 | $ | 4,785 | 8.12 | % | 7.95 | % | 7.66 | % | |||||||||||
In offices outside the U.S.(4) | 88,291 | 94,973 | 126,605 | 1,253 | 1,217 | 1,736 | 5.69 | 5.20 | 5.50 | ||||||||||||||||||||
| Total | $ | 352,531 | $ | 352,230 | $ | 377,131 | $ | 6,601 | $ | 6,262 | $ | 6,521 | 7.51 | % | 7.21 | % | 6.94 | % | |||||||||||
Corporate loans(8) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 142,180 | $ | 136,876 | $ | 132,182 | $ | 1,285 | $ | 1,112 | $ | 1,015 | 3.63 | % | 3.29 | % | 3.08 | % | |||||||||||
In offices outside the U.S.(4) | 162,776 | 159,470 | 160,967 | 1,632 | 1,365 | 1,220 | 4.02 | 3.47 | 3.04 | ||||||||||||||||||||
| Total | $ | 304,956 | $ | 296,346 | $ | 293,149 | $ | 2,917 | $ | 2,477 | $ | 2,235 | 3.84 | % | 3.39 | % | 3.06 | % | |||||||||||
Total loans(8) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 406,420 | $ | 394,133 | $ | 382,708 | $ | 6,633 | $ | 6,157 | $ | 5,800 | 6.55 | % | 6.34 | % | 6.08 | % | |||||||||||
In offices outside the U.S.(4) | 251,067 | 254,443 | 287,572 | 2,885 | 2,582 | 2,956 | 4.61 | 4.12 | 4.12 | ||||||||||||||||||||
| Total | $ | 657,487 | $ | 648,576 | $ | 670,280 | $ | 9,518 | $ | 8,739 | $ | 8,756 | 5.81 | % | 5.46 | % | 5.24 | % | |||||||||||
Other interest-earning assets(9) | $ | 121,629 | $ | 119,815 | $ | 69,691 | $ | 644 | $ | 549 | $ | 111 | 2.12 | % | 1.86 | % | 0.64 | % | |||||||||||
| Total interest-earning assets | $ | 2,151,532 | $ | 2,161,843 | $ | 2,142,616 | $ | 15,674 | $ | 13,193 | $ | 12,514 | 2.92 | % | 2.47 | % | 2.34 | % | |||||||||||
Non-interest-earning assets(6) | $ | 228,521 | $ | 212,197 | $ | 199,194 | |||||||||||||||||||||||
| Total assets | $ | 2,380,053 | $ | 2,374,040 | $ | 2,341,810 | |||||||||||||||||||||||
61
| Six Months—Assets | Average volume | Interest revenue | % Average rate | ||||||||||||||||||||||||||
| Six Months | Six Months | Six Months | Six Months | Six Months | Six Months | ||||||||||||||||||||||||
| In millions of dollars, except rates | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Deposits with banks(4) | $ | 243,957 | $ | 301,893 | $ | 954 | $ | 271 | 0.79 | % | 0.18 | % | |||||||||||||||||
Securities borrowed and purchased under agreements to resell(5) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 184,030 | $ | 167,679 | $ | 567 | $ | 202 | 0.62 | % | 0.24 | % | |||||||||||||||||
In offices outside the U.S.(4) | 162,548 | 145,422 | 632 | 297 | 0.78 | 0.41 | |||||||||||||||||||||||
| Total | $ | 346,578 | $ | 313,101 | $ | 1,199 | $ | 499 | 0.70 | % | 0.32 | % | |||||||||||||||||
Trading account assets(6)(7) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 137,972 | $ | 148,634 | $ | 1,224 | $ | 1,331 | 1.79 | % | 1.81 | % | |||||||||||||||||
In offices outside the U.S.(4) | 135,227 | 156,345 | 1,586 | 1,479 | 2.37 | 1.91 | |||||||||||||||||||||||
| Total | $ | 273,199 | $ | 304,979 | $ | 2,810 | $ | 2,810 | 2.07 | % | 1.86 | % | |||||||||||||||||
| Investments | |||||||||||||||||||||||||||||
| In U.S. offices | |||||||||||||||||||||||||||||
| Taxable | $ | 355,577 | $ | 307,888 | $ | 2,153 | $ | 1,673 | 1.22 | % | 1.10 | % | |||||||||||||||||
| Exempt from U.S. income tax | 11,755 | 12,758 | 203 | 232 | 3.48 | 3.67 | |||||||||||||||||||||||
In offices outside the U.S.(4) | 151,869 | 150,448 | 2,098 | 1,719 | 2.79 | 2.30 | |||||||||||||||||||||||
| Total | $ | 519,201 | $ | 471,094 | $ | 4,454 | $ | 3,624 | 1.73 | % | 1.55 | % | |||||||||||||||||
Consumer loans(8) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 260,748 | $ | 251,023 | $ | 10,393 | $ | 9,776 | 8.04 | % | 7.85 | % | |||||||||||||||||
In offices outside the U.S.(4) | 91,632 | 126,585 | 2,470 | 3,447 | 5.44 | 5.49 | |||||||||||||||||||||||
| Total | $ | 352,380 | $ | 377,608 | $ | 12,863 | $ | 13,223 | 7.36 | % | 7.06 | % | |||||||||||||||||
Corporate loans(8) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 139,528 | $ | 130,309 | $ | 2,397 | $ | 2,066 | 3.46 | % | 3.20 | % | |||||||||||||||||
In offices outside the U.S.(4) | 161,123 | 160,208 | 2,997 | 2,400 | 3.75 | 3.02 | |||||||||||||||||||||||
| Total | $ | 300,651 | $ | 290,517 | $ | 5,394 | $ | 4,466 | 3.62 | % | 3.10 | % | |||||||||||||||||
Total loans(8) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 400,276 | $ | 381,332 | $ | 12,790 | $ | 11,842 | 6.44 | % | 6.26 | % | |||||||||||||||||
In offices outside the U.S.(4) | 252,755 | 286,793 | 5,467 | 5,847 | 4.36 | 4.11 | |||||||||||||||||||||||
| Total | $ | 653,031 | $ | 668,125 | $ | 18,257 | $ | 17,689 | 5.64 | % | 5.34 | % | |||||||||||||||||
Other interest-earning assets(9) | $ | 120,722 | $ | 72,891 | $ | 1,193 | $ | 208 | 1.99 | % | 0.58 | % | |||||||||||||||||
| Total interest-earning assets | $ | 2,156,688 | $ | 2,132,083 | $ | 28,867 | $ | 25,101 | 2.70 | % | 2.37 | % | |||||||||||||||||
Non-interest-earning assets(6) | $ | 220,359 | $ | 197,219 | |||||||||||||||||||||||||
| Total assets | $ | 2,377,047 | $ | 2,329,302 | |||||||||||||||||||||||||
(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 $86 million and $104 million for the six months ended June 30, 2022 and June 30, 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.
62
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 | ||||||||||||||||||||||||||
| 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | |||||||||||||||||||||
| In millions of dollars, except rates | 2022 | 2022 | 2021 | 2022 | 2022 | 2021 | 2022 | 2022 | 2021 | ||||||||||||||||||||
| Deposits | |||||||||||||||||||||||||||||
In U.S. offices(4) | $ | 554,182 | $ | 560,018 | $ | 496,250 | $ | 545 | $ | 237 | $ | 267 | 0.39 | % | 0.17 | % | 0.22 | % | |||||||||||
In offices outside the U.S.(5) | 513,820 | 520,087 | 578,880 | 875 | 634 | 409 | 0.68 | 0.49 | 0.28 | ||||||||||||||||||||
| Total | $ | 1,068,002 | $ | 1,080,105 | $ | 1,075,130 | $ | 1,420 | $ | 871 | $ | 676 | 0.53 | % | 0.33 | % | 0.25 | % | |||||||||||
Securities loaned and sold under agreements to repurchase(6) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 112,011 | $ | 117,793 | $ | 140,708 | $ | 391 | $ | 161 | $ | 170 | 1.40 | % | 0.55 | % | 0.48 | % | |||||||||||
In offices outside the U.S.(5) | 96,388 | 92,308 | 95,931 | 264 | 121 | 90 | 1.10 | 0.53 | 0.38 | ||||||||||||||||||||
| Total | $ | 208,399 | $ | 210,101 | $ | 236,639 | $ | 655 | $ | 282 | $ | 260 | 1.26 | % | 0.54 | % | 0.44 | % | |||||||||||
Trading account liabilities(7)(8) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 52,714 | $ | 48,593 | $ | 48,433 | $ | 24 | $ | 36 | $ | 30 | 0.18 | % | 0.30 | % | 0.25 | % | |||||||||||
In offices outside the U.S.(5) | 72,096 | 65,720 | 73,705 | 113 | 111 | 120 | 0.63 | 0.68 | 0.65 | ||||||||||||||||||||
| Total | $ | 124,810 | $ | 114,313 | $ | 122,138 | $ | 137 | $ | 147 | $ | 150 | 0.44 | % | 0.52 | % | 0.49 | % | |||||||||||
Short-term borrowings and other interest-bearing liabilities(9) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 94,028 | $ | 78,662 | $ | 69,944 | $ | 217 | $ | 13 | $ | (17) | 0.93 | % | 0.07 | % | (0.10) | % | |||||||||||
In offices outside the U.S.(5) | 60,211 | 60,199 | 23,738 | 51 | 42 | 48 | 0.34 | 0.28 | 0.81 | ||||||||||||||||||||
| Total | $ | 154,239 | $ | 138,861 | $ | 93,682 | $ | 268 | $ | 55 | $ | 31 | 0.70 | % | 0.16 | % | 0.13 | % | |||||||||||
Long-term debt(10) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 164,832 | $ | 166,974 | $ | 191,009 | $ | 1,143 | $ | 889 | $ | 852 | 2.78 | % | 2.16 | % | 1.79 | % | |||||||||||
In offices outside the U.S.(5) | 3,892 | 3,953 | 4,355 | 43 | 36 | 16 | 4.43 | 3.69 | 1.47 | ||||||||||||||||||||
| Total | $ | 168,724 | $ | 170,927 | $ | 195,364 | $ | 1,186 | $ | 925 | $ | 868 | 2.82 | % | 2.19 | % | 1.78 | % | |||||||||||
| Total interest-bearing liabilities | $ | 1,724,174 | $ | 1,714,307 | $ | 1,722,953 | $ | 3,666 | $ | 2,280 | $ | 1,985 | 0.85 | % | 0.54 | % | 0.46 | % | |||||||||||
| Demand deposits in U.S. offices | $ | 143,426 | $ | 129,349 | $ | 78,665 | |||||||||||||||||||||||
Other non-interest-bearing liabilities(7) | 313,926 | 329,572 | 337,136 | ||||||||||||||||||||||||||
| Total liabilities | $ | 2,181,526 | $ | 2,173,228 | $ | 2,138,754 | |||||||||||||||||||||||
| Citigroup stockholders’ equity | $ | 197,976 | $ | 200,164 | $ | 202,368 | |||||||||||||||||||||||
| Noncontrolling interests | 551 | 648 | 688 | ||||||||||||||||||||||||||
| Total equity | $ | 198,527 | $ | 200,812 | $ | 203,056 | |||||||||||||||||||||||
| Total liabilities and stockholders’ equity | $ | 2,380,053 | $ | 2,374,040 | $ | 2,341,810 | |||||||||||||||||||||||
Net interest income as a percentage of average interest-earning assets(11) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 1,247,713 | $ | 1,247,057 | $ | 1,235,013 | $ | 7,070 | $ | 6,858 | $ | 6,271 | 2.27 | % | 2.23 | % | 2.04 | % | |||||||||||
In offices outside the U.S.(6) | 903,819 | 914,786 | 907,603 | 4,938 | 4,055 | 4,258 | 2.19 | 1.80 | 1.88 | ||||||||||||||||||||
| Total | $ | 2,151,532 | $ | 2,161,843 | $ | 2,142,616 | $ | 12,008 | $ | 10,913 | $ | 10,529 | 2.24 | % | 2.05 | % | 1.97 | % | |||||||||||
63
| Six Months—Liabilities | Average volume | Interest expense | % Average rate | ||||||||||||||||||||||||||
| Six Months | Six Months | Six Months | Six Months | Six Months | Six Months | ||||||||||||||||||||||||
| In millions of dollars, except rates | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
| Deposits | |||||||||||||||||||||||||||||
In U.S. offices(4) | $ | 557,100 | $ | 500,972 | $ | 782 | $ | 549 | 0.28 | % | 0.22 | % | |||||||||||||||||
In offices outside the U.S.(5) | 516,954 | 573,507 | 1,509 | 839 | 0.59 | 0.30 | |||||||||||||||||||||||
| Total | $ | 1,074,054 | $ | 1,074,479 | $ | 2,291 | $ | 1,388 | 0.43 | % | 0.26 | % | |||||||||||||||||
Securities loaned and sold under agreements to repurchase(6) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 114,902 | $ | 143,825 | $ | 552 | $ | 341 | 0.97 | % | 0.48 | % | |||||||||||||||||
In offices outside the U.S.(5) | 94,348 | 92,126 | 385 | 172 | 0.82 | 0.38 | |||||||||||||||||||||||
| Total | $ | 209,250 | $ | 235,951 | $ | 937 | $ | 513 | 0.90 | % | 0.44 | % | |||||||||||||||||
Trading account liabilities(7)(8) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 50,653 | $ | 50,115 | $ | 60 | $ | 52 | 0.24 | % | 0.21 | % | |||||||||||||||||
In offices outside the U.S.(5) | 68,908 | 69,636 | 224 | 212 | 0.66 | 0.61 | |||||||||||||||||||||||
| Total | $ | 119,561 | $ | 119,751 | $ | 284 | $ | 264 | 0.48 | % | 0.44 | % | |||||||||||||||||
Short-term borrowings and other interest bearing liabilities(9) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 86,345 | $ | 71,179 | $ | 230 | $ | (17) | 0.54 | % | (0.05) | % | |||||||||||||||||
In offices outside the U.S.(5) | 60,205 | 22,334 | 93 | 79 | 0.31 | 0.71 | |||||||||||||||||||||||
| Total | $ | 146,550 | $ | 93,513 | $ | 323 | $ | 62 | 0.44 | % | 0.13 | % | |||||||||||||||||
Long-term debt(10) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 165,903 | $ | 196,250 | $ | 2,032 | $ | 1,757 | 2.47 | % | 1.81 | % | |||||||||||||||||
In offices outside the U.S.(5) | 3,923 | 4,564 | 79 | 29 | 4.06 | 1.28 | |||||||||||||||||||||||
| Total | $ | 169,826 | $ | 200,814 | $ | 2,111 | $ | 1,786 | 2.51 | % | 1.79 | % | |||||||||||||||||
| Total interest-bearing liabilities | $ | 1,719,241 | $ | 1,724,508 | $ | 5,946 | $ | 4,013 | 0.70 | % | 0.47 | % | |||||||||||||||||
| Demand deposits in U.S. offices | $ | 136,388 | $ | 67,649 | |||||||||||||||||||||||||
Other non-interest-bearing liabilities(7) | 321,748 | 335,125 | |||||||||||||||||||||||||||
| Total liabilities | $ | 2,177,377 | $ | 2,127,280 | |||||||||||||||||||||||||
| Citigroup stockholders’ equity | $ | 199,070 | $ | 201,335 | |||||||||||||||||||||||||
| Noncontrolling interests | 600 | 687 | |||||||||||||||||||||||||||
| Total equity | $ | 199,670 | $ | 202,022 | |||||||||||||||||||||||||
| Total liabilities and stockholders’ equity | $ | 2,377,047 | $ | 2,329,302 | |||||||||||||||||||||||||
Net interest income as a percentage of average interest-earning assets(11) | |||||||||||||||||||||||||||||
| In U.S. offices | $ | 1,247,385 | $ | 1,233,404 | $ | 13,928 | $ | 12,854 | 2.25 | % | 2.10 | % | |||||||||||||||||
In offices outside the U.S.(6) | 909,303 | 898,678 | 8,993 | 8,234 | 1.99 | 1.85 | |||||||||||||||||||||||
| Total | $ | 2,156,688 | $ | 2,132,082 | $ | 22,921 | $ | 21,088 | 2.14 | % | 1.99 | % | |||||||||||||||||
(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.
(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.
64
Analysis of Changes in Interest Revenue(1)(2)(3)
| 2Q22 vs. 1Q22 | 2Q22 vs. 2Q21 | |||||||||||||||||||
| 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) | $ | (42) | $ | 404 | $ | 362 | $ | (36) | $ | 568 | $ | 532 | ||||||||
| Securities borrowed and purchased under agreements to resell | ||||||||||||||||||||
| In U.S. offices | $ | 8 | $ | 341 | $ | 349 | $ | 10 | $ | 363 | $ | 373 | ||||||||
In offices outside the U.S.(3) | (11) | 73 | 62 | 10 | 217 | 227 | ||||||||||||||
| Total | $ | (3) | $ | 414 | $ | 411 | $ | 20 | $ | 580 | $ | 600 | ||||||||
Trading account assets(4) | ||||||||||||||||||||
| In U.S. offices | $ | 10 | $ | 30 | $ | 40 | $ | (14) | $ | 67 | $ | 53 | ||||||||
In offices outside the U.S.(3) | 14 | 460 | 474 | (141) | 278 | 137 | ||||||||||||||
| Total | $ | 24 | $ | 490 | $ | 514 | $ | (155) | $ | 345 | $ | 190 | ||||||||
Investments(1) | ||||||||||||||||||||
| In U.S. offices | $ | 11 | $ | 113 | $ | 124 | $ | 114 | $ | 145 | $ | 259 | ||||||||
In offices outside the U.S.(3) | (18) | 214 | 196 | (6) | 290 | 284 | ||||||||||||||
| Total | $ | (7) | $ | 327 | $ | 320 | $ | 108 | $ | 435 | $ | 543 | ||||||||
Consumer loans (net of unearned income)(5) | ||||||||||||||||||||
| In U.S. offices | $ | 139 | $ | 164 | $ | 303 | $ | 270 | $ | 293 | $ | 563 | ||||||||
In offices outside the U.S.(3) | (89) | 125 | 36 | (542) | 59 | (483) | ||||||||||||||
| Total | $ | 50 | $ | 289 | $ | 339 | $ | (272) | $ | 352 | $ | 80 | ||||||||
Corporate loans (net of unearned income)(5) | ||||||||||||||||||||
| In U.S. offices | $ | 44 | $ | 129 | $ | 173 | $ | 81 | $ | 189 | $ | 270 | ||||||||
In offices outside the U.S.(3) | 29 | 238 | 267 | 14 | 398 | 412 | ||||||||||||||
| Total | $ | 73 | $ | 367 | $ | 440 | $ | 95 | $ | 587 | $ | 682 | ||||||||
Loans (net of unearned income)(5) | ||||||||||||||||||||
| In U.S. offices | $ | 183 | $ | 293 | $ | 476 | $ | 351 | $ | 482 | $ | 833 | ||||||||
In offices outside the U.S.(3) | (60) | 363 | 303 | (528) | 457 | (71) | ||||||||||||||
| Total | $ | 123 | $ | 656 | $ | 779 | $ | (177) | $ | 939 | $ | 762 | ||||||||
Other interest-earning assets(6) | $ | 8 | $ | 87 | $ | 95 | $ | 129 | $ | 404 | $ | 533 | ||||||||
| Total interest revenue | $ | 103 | $ | 2,378 | $ | 2,481 | $ | (111) | $ | 3,271 | $ | 3,160 | ||||||||
(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.
65
Analysis of Changes in Interest Expense and Net Interest Income(1)(2)(3)
| 2Q22 vs. 1Q22 | 2Q22 vs. 2Q21 | |||||||||||||||||||
| 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 | $ | (2) | $ | 310 | $ | 308 | $ | 35 | $ | 243 | $ | 278 | ||||||||
In offices outside the U.S.(3) | (8) | 249 | 241 | (51) | 517 | 466 | ||||||||||||||
| Total | $ | (10) | $ | 559 | $ | 549 | $ | (16) | $ | 760 | $ | 744 | ||||||||
| Securities loaned and sold under agreements to repurchase | ||||||||||||||||||||
| In U.S. offices | $ | (9) | $ | 239 | $ | 230 | $ | (41) | $ | 262 | $ | 221 | ||||||||
In offices outside the U.S.(3) | 6 | 137 | 143 | — | 174 | 174 | ||||||||||||||
| Total | $ | (3) | $ | 376 | $ | 373 | $ | (41) | $ | 436 | $ | 395 | ||||||||
Trading account liabilities(4) | ||||||||||||||||||||
| In U.S. offices | $ | 3 | $ | (15) | $ | (12) | $ | 3 | $ | (9) | $ | (6) | ||||||||
In offices outside the U.S.(3) | 10 | (8) | 2 | (3) | (4) | (7) | ||||||||||||||
| Total | $ | 13 | $ | (23) | $ | (10) | $ | — | $ | (13) | $ | (13) | ||||||||
Short-term borrowings and other interest-bearing liabilities(5) | ||||||||||||||||||||
| In U.S. offices | $ | 3 | $ | 201 | $ | 204 | $ | (4) | $ | 238 | $ | 234 | ||||||||
In offices outside the U.S.(3) | — | 9 | 9 | 43 | (40) | 3 | ||||||||||||||
| Total | $ | 3 | $ | 210 | $ | 213 | $ | 39 | $ | 198 | $ | 237 | ||||||||
| Long-term debt | ||||||||||||||||||||
| In U.S. offices | $ | (11) | $ | 265 | $ | 254 | $ | (129) | $ | 420 | $ | 291 | ||||||||
In offices outside the U.S.(3) | (1) | 8 | 7 | (2) | 29 | 27 | ||||||||||||||
| Total | $ | (12) | $ | 273 | $ | 261 | $ | (131) | $ | 449 | $ | 318 | ||||||||
| Total interest expense | $ | (9) | $ | 1,395 | $ | 1,386 | $ | (149) | $ | 1,830 | $ | 1,681 | ||||||||
| Net interest income | $ | 112 | $ | 983 | $ | 1,095 | $ | 39 | $ | 1,440 | $ | 1,479 | ||||||||
(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.
66
Analysis of Changes in Interest Revenue(1)(2)(3)
| Six Months 2022 vs. Six Months 2021 | |||||||||||
| Increase (decrease) due to change in: | |||||||||||
| In millions of dollars | Average volume | Average rate | Net change | ||||||||
Deposits with banks(3) | $ | (61) | $ | 744 | $ | 683 | |||||
| Securities borrowed and purchased under agreements to resell | |||||||||||
| In U.S. offices | $ | 21 | $ | 344 | $ | 365 | |||||
In offices outside the U.S.(3) | 39 | 296 | 335 | ||||||||
| Total | $ | 60 | $ | 640 | $ | 700 | |||||
Trading account assets(4) | |||||||||||
| In U.S. offices | $ | (95) | $ | (12) | $ | (107) | |||||
In offices outside the U.S.(3) | (217) | 324 | 107 | ||||||||
| Total | $ | (312) | $ | 312 | $ | — | |||||
Investments(1) | |||||||||||
| In U.S. offices | $ | 292 | $ | 159 | $ | 451 | |||||
In offices outside the U.S.(3) | 16 | 363 | 379 | ||||||||
| Total | $ | 308 | $ | 522 | $ | 830 | |||||
Consumer loans (net of unearned income)(5) | |||||||||||
| In U.S. offices | $ | 385 | $ | 232 | $ | 617 | |||||
In offices outside the U.S.(3) | (943) | (34) | (977) | ||||||||
| Total | $ | (558) | $ | 198 | $ | (360) | |||||
Corporate loans (net of unearned income)(5) | |||||||||||
| In U.S. offices | $ | 152 | $ | 179 | $ | 331 | |||||
In offices outside the U.S.(3) | 14 | 583 | 597 | ||||||||
| Total | $ | 166 | $ | 762 | $ | 928 | |||||
Total loans(5) | |||||||||||
| In U.S. offices | $ | 537 | $ | 411 | $ | 948 | |||||
In offices outside the U.S.(3) | (929) | 549 | (380) | ||||||||
| Total | $ | (392) | $ | 960 | $ | 568 | |||||
Other interest-earning assets(6) | $ | 207 | $ | 778 | $ | 985 | |||||
| Total interest revenue | $ | (190) | $ | 3,956 | $ | 3,766 | |||||
(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.
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Analysis of Changes in Interest Expense and Net Interest Income(1)(2)(3)
| Six Months 2022 vs. Six Months 2021 | |||||||||||
| Increase (decrease) due to change in: | |||||||||||
| In millions of dollars | Average volume | Average rate | Net change | ||||||||
| Deposits | |||||||||||
| In U.S. offices | $ | 66 | $ | 167 | $ | 233 | |||||
In offices outside the U.S.(3) | (90) | 760 | 670 | ||||||||
| Total | $ | (24) | $ | 927 | $ | 903 | |||||
| Securities loaned and sold under agreements to repurchase | |||||||||||
| In U.S. offices | $ | (80) | $ | 291 | $ | 211 | |||||
In offices outside the U.S.(3) | 4 | 209 | 213 | ||||||||
| Total | $ | (76) | $ | 500 | $ | 424 | |||||
Trading account liabilities(4) | |||||||||||
| In U.S. offices | $ | — | $ | 8 | $ | 8 | |||||
In offices outside the U.S.(3) | (2) | 14 | 12 | ||||||||
| Total | $ | (2) | $ | 22 | $ | 20 | |||||
Short-term borrowings and other interest bearing liabilities(5) | |||||||||||
| In U.S. offices | $ | (3) | $ | 250 | $ | 247 | |||||
In offices outside the U.S.(3) | 77 | (63) | 14 | ||||||||
| Total | $ | 74 | $ | 187 | $ | 261 | |||||
| Long-term debt | |||||||||||
| In U.S. offices | $ | (301) | $ | 576 | $ | 275 | |||||
In offices outside the U.S.(3) | (5) | 55 | 50 | ||||||||
| Total | $ | (306) | $ | 631 | $ | 325 | |||||
| Total interest expense | $ | (334) | $ | 2,267 | $ | 1,933 | |||||
| Net interest income | $ | 143 | $ | 1,690 | $ | 1,833 | |||||
(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.
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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 June 30, 2022, Citi estimates that the conservative features of the VAR calibration contribute an approximate 53% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets. As of March 31, 2022, the add-on was 41%.
As presented in the table below, Citi’s average trading VAR for the second quarter of 2022 increased quarter-over-quarter, mainly due to higher volatilities and increased mark-to-market hedging in the ICG Markets businesses.
Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
| Second Quarter | First Quarter | Second Quarter | ||||||||||||||||||
| In millions of dollars | June 30, 2022 | 2022 Average | March 31, 2022 | 2022 Average | June 30, 2021 | 2021 Average | ||||||||||||||
| Interest rate | $ | 122 | $ | 94 | $ | 84 | $ | 57 | $ | 62 | $ | 76 | ||||||||
| Credit spread | 69 | 70 | 70 | 66 | 77 | 73 | ||||||||||||||
Covariance adjustment(1) | (45) | (45) | (51) | (32) | (35) | (44) | ||||||||||||||
Fully diversified interest rate and credit spread(2) | $ | 146 | $ | 119 | $ | 103 | $ | 91 | $ | 104 | $ | 105 | ||||||||
| Foreign exchange | 35 | 36 | 35 | 36 | 35 | 42 | ||||||||||||||
| Equity | 25 | 24 | 29 | 30 | 23 | 31 | ||||||||||||||
| Commodity | 38 | 45 | 65 | 42 | 48 | 35 | ||||||||||||||
Covariance adjustment(1) | (96) | (106) | (116) | (100) | (107) | (104) | ||||||||||||||
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2) | $ | 148 | $ | 118 | $ | 116 | $ | 99 | $ | 103 | $ | 109 | ||||||||
Specific risk-only component(3) | $ | 4 | $ | (2) | $ | — | $ | 6 | $ | (4) | $ | (3) | ||||||||
| Total trading VAR—general market risk factors only (excluding credit portfolios) | $ | 144 | $ | 120 | $ | 116 | $ | 93 | $ | 107 | $ | 112 | ||||||||
Incremental impact of the credit portfolio(4) | $ | 7 | $ | 17 | $ | 29 | $ | 38 | $ | 27 | $ | 25 | ||||||||
| Total trading and credit portfolio VAR | $ | 155 | $ | 135 | $ | 145 | $ | 137 | $ | 130 | $ | 134 | ||||||||
(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:
| Second Quarter | First Quarter | Second Quarter | ||||||||||||||||||
| 2022 | 2022 | 2021 | ||||||||||||||||||
| In millions of dollars | Low | High | Low | High | Low | High | ||||||||||||||
| Interest rate | $ | 79 | $ | 123 | $ | 45 | $ | 102 | $ | 57 | $ | 96 | ||||||||
| Credit spread | 65 | 78 | 59 | 71 | 65 | 86 | ||||||||||||||
| Fully diversified interest rate and credit spread | $ | 105 | $ | 147 | $ | 72 | $ | 125 | $ | 90 | $ | 123 | ||||||||
| Foreign exchange | 32 | 40 | 33 | 61 | 34 | 48 | ||||||||||||||
| Equity | 17 | 40 | 12 | 44 | 23 | 43 | ||||||||||||||
| Commodity | 33 | 65 | 29 | 65 | 26 | 50 | ||||||||||||||
| Total trading | $ | 102 | $ | 148 | $ | 78 | $ | 127 | $ | 90 | $ | 130 | ||||||||
| Total trading and credit portfolio | 119 | 155 | 110 | 159 | 116 | 159 | ||||||||||||||
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.
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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 | June 30, 2022 | ||||
| Total—all market risk factors, including general and specific risk | |||||
| Average—during quarter | $ | 120 | |||
| High—during quarter | 153 | ||||
| Low—during quarter | 103 | ||||
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 June 30, 2022, there were two back-testing exceptions observed for Citi’s Regulatory VAR in the last 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
The Adjustable Interest Rate (LIBOR) Act (the LIBOR Act), enacted earlier this year, provides for the use of a statutory replacement for the overnight, one-month, three-month, six-month and 12-month tenors of USD LIBOR in all contracts governed by U.S. law that lack adequate fallback provisions. On July 28, 2022, the Federal Reserve Board published in the Federal Register its proposed rulemaking that implements the LIBOR Act. The proposal contains the Federal Reserve Board’s recommendation of benchmark replacements for various product types. As required by the LIBOR Act, each proposed replacement rate is based on the Secured Overnight Financing Rate (SOFR). Citi continues to review the effect of the LIBOR Act and the Federal Reserve Board’s proposal, 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.
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Country Risk
Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by country (excluding the U.S.) as of June 30, 2022. (Including the U.S., the total exposure as of June 30, 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 37% 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 88% of the total U.K. funded loans and 87% of the total U.K. unfunded commitments were investment grade as of June 30, 2022.
Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.
| In billions of dollars | ICG loans | PBWM loans(1) | Legacy Franchises loans | 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 2Q22 | Total as of 1Q22 | Total as of 2Q21 | Total as a % of Citi as of 2Q22 | ||||||||||||||||||||||||||||
| United Kingdom | $ | 34.4 | $ | 5.6 | $ | — | $ | 2.7 | $ | 40.8 | $ | 13.0 | $ | (5.5) | $ | 3.8 | $ | 0.5 | $ | 95.3 | $ | 102.1 | $ | 112.7 | 5.4 | % | |||||||||||||||
| Mexico | 8.4 | 0.1 | 20.7 | 0.3 | 7.8 | 1.6 | (1.5) | 16.2 | 3.7 | 57.3 | 60.3 | 62.5 | 3.2 | ||||||||||||||||||||||||||||
| Ireland | 17.1 | — | — | 2.7 | 29.7 | 0.5 | (0.2) | — | 0.6 | 50.4 | 48.9 | 43.8 | 2.8 | ||||||||||||||||||||||||||||
| Hong Kong | 11.9 | 20.7 | — | 0.5 | 7.3 | 1.3 | (1.9) | 9.5 | (0.2) | 49.1 | 51.8 | 52.6 | 2.8 | ||||||||||||||||||||||||||||
| Singapore | 9.6 | 19.3 | — | 0.2 | 6.6 | 1.3 | (0.5) | 9.2 | 1.9 | 47.6 | 48.6 | 43.6 | 2.7 | ||||||||||||||||||||||||||||
| Brazil | 11.7 | — | — | 0.1 | 3.2 | 5.8 | (0.9) | 6.6 | 2.0 | 28.5 | 30.4 | 26.1 | 1.6 | ||||||||||||||||||||||||||||
India(7) | 7.1 | — | 3.6 | 0.6 | 4.8 | 3.3 | (1.0) | 8.6 | 0.7 | 27.7 | 30.1 | 27.7 | 1.6 | ||||||||||||||||||||||||||||
| South Korea | 3.7 | — | 11.7 | 0.2 | 1.7 | 1.3 | (0.8) | 7.6 | 0.1 | 25.5 | 31.3 | 36.7 | 1.4 | ||||||||||||||||||||||||||||
| Germany | 0.3 | — | — | 0.1 | 5.9 | 6.6 | (3.5) | 8.7 | 3.8 | 21.9 | 20.4 | 19.4 | 1.2 | ||||||||||||||||||||||||||||
| China | 6.6 | — | 3.2 | 0.7 | 1.6 | 1.4 | (0.9) | 7.0 | (0.8) | 18.8 | 22.7 | 19.8 | 1.1 | ||||||||||||||||||||||||||||
| Jersey | 2.2 | 4.2 | — | — | 10.6 | — | (0.2) | — | — | 16.8 | 16.1 | 15.0 | 0.9 | ||||||||||||||||||||||||||||
| Canada | 1.5 | 1.6 | — | 0.1 | 7.0 | 1.8 | (1.6) | 3.1 | 2.6 | 16.1 | 15.9 | 17.9 | 0.9 | ||||||||||||||||||||||||||||
| United Arab Emirates | 7.9 | 1.5 | — | 0.2 | 3.9 | 0.4 | (0.5) | 2.5 | — | 15.9 | 15.5 | 14.2 | 0.9 | ||||||||||||||||||||||||||||
Australia(8) | 6.9 | 0.5 | — | — | 5.3 | 1.2 | (0.9) | 0.8 | 1.4 | 15.2 | 26.7 | 24.9 | 0.9 | ||||||||||||||||||||||||||||
Taiwan(7) | 4.4 | — | 7.9 | 0.1 | 1.2 | 0.8 | (0.1) | 0.1 | 0.5 | 14.9 | 16.1 | 17.3 | 0.8 | ||||||||||||||||||||||||||||
| Poland | 3.1 | — | 1.5 | — | 2.3 | 0.5 | (0.1) | 5.9 | 0.1 | 13.3 | 14.2 | 11.5 | 0.7 | ||||||||||||||||||||||||||||
| Japan | 1.6 | — | — | — | 3.3 | 3.9 | (2.2) | 4.0 | 1.5 | 12.1 | 17.3 | 16.6 | 0.7 | ||||||||||||||||||||||||||||
Malaysia(7) | 1.4 | — | 3.0 | 0.2 | 0.9 | 0.2 | (0.1) | 2.4 | 0.1 | 8.1 | 7.9 | 8.3 | 0.5 | ||||||||||||||||||||||||||||
Thailand(7) | 1.2 | — | 2.6 | — | 2.0 | 0.1 | — | 1.6 | 0.1 | 7.6 | 7.8 | 7.5 | 0.4 | ||||||||||||||||||||||||||||
Russia(9) | 1.7 | — | 0.8 | — | 0.3 | 1.3 | (0.2) | 1.5 | 0.1 | 5.5 | 3.9 | 5.4 | 0.3 | ||||||||||||||||||||||||||||
Indonesia(7) | 2.3 | — | 0.5 | — | 1.2 | 0.5 | (0.1) | 1.0 | 0.1 | 5.5 | 5.8 | 6.0 | 0.3 | ||||||||||||||||||||||||||||
Philippines(10) | 0.7 | — | 1.2 | 0.1 | 0.5 | 1.6 | — | 1.3 | (0.1) | 5.3 | 4.2 | 4.1 | 0.3 | ||||||||||||||||||||||||||||
| Luxembourg | 0.2 | 0.6 | — | — | — | 0.1 | (0.6) | 3.8 | 0.1 | 4.2 | 4.5 | 5.9 | 0.2 | ||||||||||||||||||||||||||||
| Colombia | 1.6 | — | — | — | 0.4 | 1.1 | (0.1) | 1.3 | (0.2) | 4.1 | 3.1 | 3.2 | 0.2 | ||||||||||||||||||||||||||||
| Czech Republic | 0.8 | — | — | — | 0.8 | 1.8 | (0.1) | 0.3 | — | 3.6 | 3.4 | 3.6 | 0.2 | ||||||||||||||||||||||||||||
| Total as a % of Citi’s total exposure | 32.1 | % | |||||||||||||||||||||||||||||||||||||||
| Total as a % of Citi’s non-U.S. total exposure | 94.6 | % | |||||||||||||||||||||||||||||||||||||||
(1) PBWM loans reflect funded loans, including those related to the Private bank, net of unearned income. As of June 30, 2022, Private bank loans in the table above totaled $23.1 billion, concentrated in Singapore ($5.7 billion), Hong Kong ($5.6 billion) and the U.K. ($5.4 billion).
(2) Other funded includes other direct exposures such as accounts receivable, and investments accounted for under the equity method.
(3) Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.
(4) Net mark-to-market (MTM) counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Also includes margin loans.
(5) Investment securities include debt securities available-for-sale, recorded at fair market value, and debt securities held-to-maturity, recorded at amortized cost.
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(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) June 30, 2022 and March 31, 2022 include 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 “Legacy Franchises” above and Note 2.
(8) March 31, 2022 includes Legacy Franchises loans reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in Australia, which closed on June 1, 2022. For additional information, see “Legacy Franchises” above and Note 2.
(9) The increase in Russia exposure as of June 30, 2022 is because reverse repurchase agreements of $1.3 billion were shown gross of collateral and included in the net MTM on derivatives/repos in the table above, as netting of collateral for Russia-related reverse repurchase agreements was removed. This removal was due to the inability to conclude, with a well-founded basis, the enforceability of contractual rights in the Russian legal system in the event of a counterparty default, given the geopolitical uncertainty caused by the war in Ukraine. The Total Russia exposure, as presented in “Russia” below, was not impacted by this reclassification.
(10) June 30, 2022 and March 31, 2022 include 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 “Legacy Franchises” above and Note 2.
Russia
Introduction
In Russia, Citi operates through both its ICG and Legacy Franchises segments. As previously announced, Citi intends to substantially reduce its activities in the country. Citi will continue to reduce its operations and exposures and 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, and the financial and economic sanctions that have been implemented by the U.S., the U.K., the EU and other jurisdictions, any exit 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 continues 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 U.S. dollars | June 30, 2022 | March 31, 2022 | December 31, 2021 | Change 2Q22 vs. 1Q22 | ||||||||||
Loans | $ | 2.5 | $ | 2.3 | $ | 2.9 | $ | 0.2 | ||||||
Investment securities(1) | 1.5 | 0.9 | 1.5 | 0.6 | ||||||||||
Net MTM on derivatives/repos(2) | 1.3 | 0.4 | 0.4 | 0.9 | ||||||||||
Total hedges (on loans and CVA) | (0.2) | (0.2) | (0.1) | — | ||||||||||
Unfunded(3) | 0.3 | 0.5 | 0.7 | (0.2) | ||||||||||
| Trading accounts assets | 0.1 | — | — | 0.1 | ||||||||||
Country risk exposure (included in Top 25 Country Exposures) | $ | 5.5 | $ | 3.9 | $ | 5.4 | $ | 1.6 | ||||||
Cash on deposit and placements(4) | 2.5 | 2.6 | 1.0 | (0.1) | ||||||||||
Reverse repurchase agreements(2) | — | 0.6 | 1.8 | (0.6) | ||||||||||
Total third-party exposure(5) | $ | 8.0 | $ | 7.1 | $ | 8.2 | $ | 0.9 | ||||||
Additional exposures to Russian counterparties that are not held by the Russian subsidiary | 0.4 | 0.8 | 1.6 | (0.4) | ||||||||||
Total Russia exposure(6) | $ | 8.4 | $ | 7.9 | $ | 9.8 | $ | 0.5 | ||||||
(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. There were no impairment losses recognized during the second quarter of 2022.
(2) Net mark-to-market (MTM) on OTC derivatives and securities lending/borrowing transactions (repos). The increase during the current quarter is because reverse repurchase agreements of $1.3 billion were shown gross of collateral and reclassified to net MTM on derivatives/repos in the table above, as netting of collateral for Russia-related reverse repurchase agreements was removed. This removal was due to the inability to conclude, with a well-founded basis, the enforceability of contractual rights in the Russian legal system in the event of a counterparty default, given the geopolitical uncertainty caused by the war in Ukraine. As this exposure was already included in Total third-party exposure, the Total Russia exposure was not impacted by this reclassification.
(3) Unfunded exposure consists of unfunded corporate lending commitments, letters of credit and other contingencies.
(4) Cash on deposit and placements are primarily with the Central Bank of Russia.
(5) The majority of AO Citibank’s third-party exposures was funded with domestic deposit liabilities from both corporate and personal banking clients.
(6) Citigroup’s currency translation adjustment (CTA) loss included in its Accumulated other comprehensive income (AOCI) related to its indirect subsidiary, AO Citibank, is excluded from the above table, because the CTA loss is not held in AO Citibank and would be recognized in Citigroup’s earnings upon either the substantial liquidation of AO Citibank or a loss of control of AO Citibank. Citi has separately described these risks in “Deconsolidation Risk” below.
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During the second quarter, Citi continued to reduce its operations in Russia and Russia-related exposures, resulting in a decline in local currency exposure of $3.1 billion, which was more than offset by an increase of $3.6 billion due to an approximate 40% appreciation of the Russian ruble versus the U.S. dollar during the quarter, for a net increase in Total Russia exposure of $0.5 billion in the table above.
The $3.1 billion decline in exposure was driven by Citi’s risk mitigation efforts, including a reduction in loans, as well as a reduction in cash on deposits and placements. The reduction in loans primarily reflected a decline in ICG loans due to borrower paydowns and limiting extensions of new credit. ICG’s credit exposure also reflected a shift to a higher proportion of stronger credit names, including a higher proportion of subsidiaries of multinational companies that are headquartered outside of Russia, primarily in the U.S. and Europe. The decline in overall exposure was also driven by a reduction in exposures to Russian counterparties not held by AO Citibank.
In addition, Citi’s net investment in Russia was approximately $1.2 billion as of June 30, 2022 (compared to $0.7 billion as of March 31, 2022). The increase was primarily driven by the aforementioned ruble appreciation. A significant portion of Citi’s net investment was hedged for foreign currency depreciation as of June 30, 2022, using forward foreign exchange contracts executed with international peer banks. In the event of a loss of control of AO Citibank, in addition to a write-off of the $1.2 billion net investment,
Citi would also recognize a CTA loss of approximately $0.9 billion (compared to $1.0 billion as of March 31, 2022) and $0.4 billion on intercompany liabilities (compared to $0.7 billion as of March 31, 2022) owed by AO Citibank to other Citi entities at the end of the second quarter of 2022 (see “Deconsolidation Risk” below). In the future, Citi may record devaluations on its net ruble-denominated assets in earnings, without the benefit from a change in the fair value of derivative positions used to economically hedge the exposures.
2Q22 Earnings Impacts on Citi’s Businesses
Citi’s ICG, PBWM and Legacy Franchises segments were impacted by a broad array of macroeconomic factors and volatilities, including, among other things, impacts related to the war in Ukraine:
•ICG Markets revenues of $5.3 billion increased 25% versus the second quarter of the prior year, reflecting higher revenues in Fixed income markets and Equity markets, driven by higher volatility, leading to client engagement. Fixed income markets revenues increased 31%, with growth across all regions, due to strong client engagement, particularly with corporate clients.
Rates and currencies revenues increased 66%, driven by increased market volatility resulting from increasing interest rates from central banks in response to elevated levels of inflation. The increase in rates and currencies revenues was partially offset by a liquidity valuation adjustment of approximately $130 million for Russian sovereign bonds due to impacts from sanctions. Spread products and other fixed income revenues decreased 29%, reflecting lower client activity in spread products and a
challenging market environment due to widening spreads. The decline in spread products and other fixed income revenues was partially offset by strength in commodities, particularly with corporate clients.
Equity markets revenues increased 8%, primarily driven by equity derivatives, reflecting strong client engagement with both corporate and institutional clients, partially offset by lower client activity in cash and a net decrease in prime balances, as lower asset valuations more than offset new client balances.
•ICG Banking revenues of $2.1 billion decreased 4% compared to the prior-year period, largely driven by a decline in Investment banking revenues. Investment banking revenues declined 46%, reflecting a lower overall market wallet, as continued heightened geopolitical uncertainty and the overall macroeconomic backdrop reduced activity.
•Global Wealth revenues of $1.9 billion, recorded in PBWM, were largely unchanged, reflecting investment fee headwinds, particularly in Asia, driven by overall market volatility, offset by an increase in average deposits and average loans. Client assets decreased 8%, driven principally by declines in market valuation.
•Legacy Franchises revenues of $1.9 billion decreased 15% versus the second quarter in the prior year, primarily driven by the impacts related to the Korea wind-down and Australia consumer sale, as well as lower investment activity in Asia, largely driven by market volatility and macroeconomic challenges and uncertainties. The decline in revenues was also driven by a portion of the release of a CTA loss (net of hedges) from AOCI related to the substantial liquidation of a legacy U.K. consumer operation.
•Citigroup expenses increased by approximately $70 million due to a Russia-related impairment charge for long-lived assets, recorded in Legacy Franchises (see “Long-Lived Assets Impairment” below).
•Citigroup cost of credit of $1.3 billion in the current quarter compared to $(1.1) billion in the prior-year period, reflecting a net build in the ACL of $0.4 billion, compared to a net release of $2.4 billion in the prior-year period, partially offset by lower net credit losses. Citigroup’s higher cost of credit was largely driven by higher ICG and PBWM cost of credit.
ICG cost of credit of $(202) million compared to $(694) million in the prior-year period, with a net ACL release of $245 million and net credit losses of $18 million. The release was largely driven by a reduction in Russia-related risk in the quarter, partially offset by a build due to increased macroeconomic uncertainty.
PBWM cost of credit of $1.4 billion compared to $(170) million in the prior-year period, largely driven by a net ACL build of $651 million in the current quarter, compared to a net ACL release of $1.0 billion in the prior-year period, reflecting increased macroeconomic uncertainty. Net credit losses declined 19%, reflecting continued strong credit performance across portfolios.
As of June 30, 2022, Citigroup’s ACL included a $1.6 billion remaining credit reserve for Citi’s direct and indirect Russian exposure, consisting of approximately
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$0.8 billion related to Citi’s exposures to Russian counterparties and approximately $0.8 billion related to the impact of the war in Ukraine on the broader global macroeconomic environment.
Long-Lived Assets Impairment
In the second quarter of 2022, Citi recorded an impairment charge of approximately $70 million for long-lived assets related to the Russia consumer banking business. These assets included property, plant and equipment, internally developed software and the “right of use assets” on leased buildings.
Citi’s Planned Reduction of Certain Russia Businesses
As discussed above, Citi continues to reduce its activities in Russia. Given the complex environment, Citi is considering a full range of possibilities to exit or substantially reduce its activities in Russia, including portfolio sales. 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 exit, may cause delays or reduce the certainty of such exit being concluded. Such delays may be significant.
Deconsolidation Risk
Citi’s continued operations in Russia subject it to various risks, including, among others, foreign currency volatility, including appreciations or 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, trustee or regulator); revocation of banking license; and loss of ability to elect a board of directors or appoint members of senior management. As of June 30, 2022, Citi continued to consolidate AO Citibank because none of the deconsolidation factors was triggered.
As discussed above, in the event of a loss of control of AO Citibank, Citi would be required to write off its net investment of approximately $1.2 billion (compared to $0.7 billion as of March 31, 2022) and recognize a CTA loss of approximately $0.9 billion through earnings (compared to $1.0 billion as of March 31, 2022), in addition to a loss of $0.4 billion (compared to $0.7 billion as of March 31, 2022) on intercompany liabilities owed by AO Citibank to other Citi entities. In addition, in the sole event of a substantial liquidation, Citi would be required to recognize the CTA loss of approximately $0.9 billion through earnings and would evaluate its remaining net investment as circumstances evolve.
Citi as Paying Agent for Russian-related Clients
Citi serves or served as paying agent on bonds issued by various entities in Russia, including Russian corporate clients. Citi’s role as paying agent is administrative. In 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, including those related to sanctions; 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 Russia Special Review Process with Management’s Reputation Risk Committee with oversight for significant Russia-related reputation risks and completed a number of reputation risk reviews of matters with a Russian nexus.
While Citi announced its intention to reduce its businesses in Russia, Citi will continue to manage those operations during the exit 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 previously announced plan to
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substantially reduce its activities in the country, cessation of new business and client originations, and reduction of other exposures.
Citi’s continued presence or divestiture of businesses in Russia could also increase its susceptibility to cyberattacks that could negatively impact its relationships with clients and customers, harm its reputation, increase its compliance costs and adversely affect its business operations and results of operations. For additional information on operational and cyber risks, see “Risk Factors—Operational 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 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 the top priority.
All of Citi’s domestic operations in Ukraine are conducted through a subsidiary of Citibank, which uses the Ukrainian hryvnia as its functional currency. Citi’s exposures in Ukraine are not significant enough to be included in the “Top 25 Country Exposures” table above. As of June 30, 2022, these exposures amounted to $1.0 billion (compared to $0.9 billion as of March 31, 2022) and were exclusively composed of third-party assets held on the Citi Ukraine subsidiary.
Turkey
Citi operates in Turkey through its ICG businesses and conducts its operations through a subsidiary of Citibank. Since the fourth quarter of 2021, inflation in Turkey has increased significantly. At the end of February 2022, the three-year cumulative inflation exceeded 100%, and this increase in inflation is expected to continue in the near future. The Turkish economy is deemed to be hyperinflationary and as a result, the Citibank Turkey subsidiary changed its functional currency from the Turkish lira to the U.S. dollar, effective April 1, 2022.
As of June 30, 2022, Citi’s net investment in its Turkey operations was approximately $327 million.
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Argentina
Citi operates in Argentina through its ICG businesses. As of June 30, 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 June 30, 2022, the official Argentine peso exchange rate against the U.S. dollar was 125.23.
As previously disclosed, the Central Bank of Argentina has continued to maintain certain capital and currency controls that restrict Citi’s ability to access U.S. dollars in Argentina and remit earnings from its Argentine operations. As a result, Citi’s net investment in its Argentine operations is likely to continue to increase as Citi generates net income in its Argentine franchise and its earnings cannot be remitted.
Due to the currency controls implemented by the Central Bank of Argentina, certain indirect foreign exchange mechanisms have developed that some Argentine entities may use to obtain U.S. dollars, generally at rates that are significantly higher than Argentina’s official exchange rate. Citibank Argentina is precluded from accessing these alternative mechanisms, and these exchange mechanisms cannot be used to remeasure Citi’s net monetary assets into the U.S. dollar under U.S. GAAP. However, if Argentina’s official exchange rate converges with the approximate rate implied by the indirect foreign exchange mechanisms, Citi could incur a loss on its capital in Argentina. Citi cannot predict future fluctuations in Argentina’s official market exchange rate or to what extent Citi may be able to access U.S. dollars at the official exchange rate in the future.
Citi economically hedges the foreign currency risk in its net Argentine peso-denominated assets to the extent possible and prudent using non-deliverable forward (NDF) derivative instruments that are primarily executed outside of Argentina. As of June 30, 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 June 30, 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 prior to recovery, are recognized in earnings. Where Citi does not intend to sell the security nor could more-likely-than-not be required to sell the security, any portion of the loss that is attributable to credit is recognized as an allowance for credit losses with a corresponding provision for credit losses and the remainder of the loss is recognized in AOCI. Such losses are capped at the difference between the fair value and amortized cost of the security.
For equity securities carried at cost or under the measurement alternative, decreases in fair value below the carrying value are recognized as impairment in the Consolidated Statement of Income. Moreover, for certain equity method investments, decreases in fair value are only recognized in earnings in the Consolidated Statement of Income if such decreases are judged to be an other-than-temporary impairment (OTTI). 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 second quarter of 2022. For information on the drivers of Citi’s ACL release in the second quarter, see below. See Note 1 for the refinement in the ACL estimation approach to introduce multiple macroeconomic scenarios to the quantitative component of the ACL. 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 | 2Q22 build (release) | 2Q22 FX/ Other | Balance Jun. 30, 2022 | ACLL/EOP loans Jun. 30, 2022(1) | ||||||||||||||||||
| ICG | $ | 2,241 | $ | 596 | $ | 5 | $ | 2,842 | $ | (76) | $ | 25 | $ | 2,791 | ||||||||||||
Legacy Franchises corporate (Mexico SBMM) | 174 | 5 | 4 | 183 | (3) | (2) | 178 | |||||||||||||||||||
| Total corporate ACLL | $ | 2,415 | $ | 601 | $ | 9 | $ | 3,025 | $ | (79) | $ | 23 | $ | 2,969 | 1.00 | % | ||||||||||
U.S. Cards(1) | $ | 10,840 | $ | (1,009) | $ | — | $ | 9,831 | $ | 447 | $ | — | $ | 10,278 | 7.48 | % | ||||||||||
| Retail banking and Global Wealth | 1,181 | (53) | (5) | 1,123 | 191 | (1) | 1,313 | |||||||||||||||||||
Total PBWM | $ | 12,021 | $ | (1,062) | $ | (5) | $ | 10,954 | $ | 638 | $ | (1) | $ | 11,591 | ||||||||||||
Legacy Franchises consumer | 2,019 | (151) | (454) | 1,414 | (25) | 3 | 1,392 | |||||||||||||||||||
| Total consumer ACLL | $ | 14,040 | $ | (1,213) | $ | (459) | $ | 12,368 | $ | 613 | $ | 2 | $ | 12,983 | 3.65 | % | ||||||||||
| Total ACLL | $ | 16,455 | $ | (612) | $ | (450) | $ | 15,393 | $ | 534 | $ | 25 | $ | 15,952 | 2.44 | % | ||||||||||
| Allowance for credit losses on unfunded lending commitments (ACLUC) | $ | 1,871 | $ | 474 | $ | (2) | $ | 2,343 | $ | (159) | $ | 9 | $ | 2,193 | ||||||||||||
| Total ACLL and ACLUC | $ | 18,326 | $ | (138) | $ | (452) | $ | 17,736 | $ | 375 | $ | 34 | $ | 18,145 | ||||||||||||
Other(2) | 148 | (6) | (6) | 136 | 27 | 16 | 179 | |||||||||||||||||||
| Total ACL | $ | 18,474 | $ | (144) | $ | (458) | $ | 17,872 | $ | 402 | $ | 50 | $ | 18,324 | ||||||||||||
(1) As of June 30, 2022, in U.S. Personal Banking, Branded cards ACLL/EOP loans was 6.3% and Retail services ACLL/EOP loans was 9.8%.
(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 (for Allowance for credit losses on unfunded lending commitments (ACLUC)), respectively. In addition, Citi reserves for expected credit losses on other financial assets carried at amortized cost, including held-to-maturity securities, reverse repurchase agreements, securities borrowed, deposits with banks and other financial receivables. These reserves, together with the ACLL and ACLUC, are referred to as the ACL. Changes in the ACL are reflected as Provision for credit losses in the Consolidated Statement of Income for each reporting period. Citi’s ability to estimate expected credit losses over the reasonable and supportable (R&S) period is based on the ability to forecast economic activity over an R&S timeframe. The R&S forecast period for consumer and corporate loans is eight quarters.
The ACL is composed of quantitative and qualitative management adjustment components. The quantitative component uses three forward-looking macroeconomic forecasts—base, upside and downside. The qualitative
management adjustment component reflects 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) reasonable and supportable forecasts of macroeconomic conditions.
For its consumer and corporate portfolios, Citi’s expected credit losses are determined primarily by utilizing models that consider the borrowers’ probability of default (PD), loss given default (LGD) and exposure at default (EAD). The loss likelihood and severity models used for estimating expected credit losses are sensitive to changes in macroeconomic variables 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,
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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).
Qualitative Component
The qualitative management adjustment component includes, among other things, management adjustments to reflect certain portfolio characteristics not captured in the quantitative component, such as concentrations, collateral valuation, idiosyncratic events and other factors as required by banking supervisory guidance for the ACL. The qualitative management adjustment component also reflects uncertainty around the war in Ukraine and potential global recession. 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. Qualitative reserves also include the potential for normalization in portfolio performance and consumer behavior, after record low losses as a result of government stimulus and market liquidity.
2Q22 Changes in the ACL
In the second quarter of 2022, Citi had a build of $0.6 billion for the ACL for its consumer portfolios and releases of $0.3 billion for its corporate portfolios, for a net ACL build of $0.4 billion. The build was primarily driven by increased macroeconomic uncertainty reflected through an increase to the weight calculated for the downside macroeconomic scenario, which drove an approximate $0.8 billion build, partially offset by a $0.3 billion release due to methodology refinements related to the introduction of multiple macroeconomic scenarios in the quantitative ACL estimation process, as well as other net movements of $0.1 billion. The build in the consumer ACL was primarily driven by the impact of increased macroeconomic uncertainty. The release in the corporate ACL was primarily driven by reductions of Citi’s exposures in Russia, partially offset by the impact of increased macroeconomic uncertainty. Based on its latest macroeconomic forecast, Citi believes its analysis of the ACL reflects the forward view of the economic environment as of June 30, 2022.
Macroeconomic Variables
Citi considers a multitude of macroeconomic variables for the base, upside 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 the base macroeconomic forecast for Citi’s ACL for each quarterly reporting period from 2Q21 to 2Q22:
| Quarterly average | ||||||||||||||
| U.S. unemployment | 3Q22 | 1Q23 | 3Q23 | 8-quarter average(1) | ||||||||||
| Citi forecast at 2Q21 | 4.0 | % | 3.8 | % | 3.6 | % | 4.2 | % | ||||||
| Citi forecast at 3Q21 | 3.9 | 3.9 | 3.8 | 4.0 | ||||||||||
| Citi forecast at 4Q21 | 3.9 | 3.7 | 3.7 | 3.8 | ||||||||||
| Citi forecast at 1Q22 | 3.6 | 3.5 | 3.5 | 3.6 | ||||||||||
| Citi forecast at 2Q22 | 3.5 | 3.6 | 3.8 | 3.7 | ||||||||||
(1) Represents the average unemployment rate for the rolling, forward-looking eight quarters in the forecast horizon.
Year-over-year growth rate(1) | |||||||||||
| Full year | |||||||||||
| U.S. Real GDP | 2022 | 2023 | 2024 | ||||||||
| Citi forecast at 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 | ||||||||
| Citi forecast at 2Q22 | 2.6 | 1.8 | 2.0 | ||||||||
(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 2Q22, 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 increase slightly over the forecast horizon to return to pre-pandemic levels.
Scenario Probability Weighting
Citi’s ACL is estimated using three probability-weighted macroeconomic scenarios—base, upside and downside. The weights are calculated using a statistical model, which among other factors, takes into consideration key macroeconomic drivers of the allowance for credit losses, severity of the scenario and other macroeconomic uncertainties and risks. Citi evaluates scenario weights on a quarterly basis. Changes in these factors in future quarters will impact the weights assigned in those quarters.
During the second quarter of 2022, Citi increased the weight that was calculated for the downside scenario in order to reflect an increase in macroeconomic uncertainty driven by the potential impact of higher inflation, supply chain disruptions and geopolitical risks, including the war in Ukraine. Citi’s downside scenario incorporates more adverse macroeconomic assumptions than the base scenario assumptions.
Consumer
As discussed above, Citi had a build of $0.6 billion in the ACLL for its consumer portfolios in the second quarter of 2022, which increased the ACLL balance to $13.0 billion, or 3.65% of total consumer loans at June 30, 2022. Citi’s consumer ACLL is largely driven by U.S. cards.
For U.S. cards, the level of reserves as a percentage of EOP loans decreased to 7.48% at June 30, 2022, compared to
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7.56% at March 31, 2022, primarily driven by the impact of volume growth in lower risk segments, partially offset by increased macroeconomic uncertainty. For the remaining consumer exposures, the level of reserves relative to EOP loans was 1.2% at June 30, 2022, unchanged from March 31, 2022.
Corporate
Citi had a corporate ACLL release of $0.1 billion in the second quarter of 2022, which reduced the ACLL reserve balance by $56 million to $3.0 billion, or 1.00% of total funded loans. The release was primarily driven by reductions of exposures in Russia, partially offset by a build related to increased macroeconomic uncertainty.
ACLUC
Citi had an ACLUC release of $0.2 billion in the second quarter of 2022, which reduced the ACLUC reserve balance, included in Other liabilities, to $2.2 billion. The release was primarily driven by reductions of exposures in Russia, partially offset by a build for increased macroeconomic uncertainty.
ACLL and Non-accrual Ratios
At June 30, 2022, the ratio of the ACLL to total funded loans was 2.44% (3.65% for consumer loans and 1.00% for corporate loans), compared to 2.35% at March 31, 2022 (3.53% for consumer loans and 1.00% for corporate loans).
Citi’s total non-accrual loans were $3.0 billion at June 30, 2022, down $348 million from March 31, 2022. Consumer non-accrual loans decreased $137 million to $1.4 billion at June 30, 2022, compared to $1.5 billion at March 31, 2022. Corporate non-accrual loans decreased $211 million to $1.7 billion at June 30, 2022, compared to $1.9 billion at March 31, 2022. In addition, the ratio of non-accrual loans to total loans was 0.55% and 0.39% for corporate and consumer loans, respectively, at June 30, 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 and conducts interim assessments between annual tests if an event occurs or circumstances change that would more-likely-than-not reduce the fair value of a reporting unit below its carrying amount. These events or circumstances include, among other things, a significant adverse change in the business climate, a decision to sell or dispose of all or a significant portion of a reporting unit or a significant decline in Citi’s stock price.
During the first quarter of 2022, Citi performed an interim goodwill impairment test due to the previously disclosed changes in operating segments and reporting units during the quarter. The test resulted in an impairment of $535 million related to the Asia Consumer reporting unit within Legacy Franchises, due to the changes to Citi’s operating segments and reporting units during the quarter, as well as the timing of mutual execution of sales agreements for Asia consumer banking businesses.
During the second quarter of 2022, Citi’s Banking reporting unit within the ICG operating segment was negatively impacted by the industry-wide decline in investment banking activity and macroeconomic challenges and uncertainties. These conditions resulted in a corresponding decline in the operating results of the Banking reporting unit as of June 30, 2022, and qualitatively indicated that the Banking reporting unit’s fair value could be insufficient to support its carrying value, inclusive of goodwill.
Accordingly, Citi performed an interim goodwill impairment test for the Banking reporting unit as of June 30, 2022. This included completing an independent valuation of the Banking reporting unit as of June 30, 2022, which concluded that the fair value of the Banking reporting unit exceeded its book value, inclusive of goodwill. The results of the impairment test showed that the fair value of the Banking reporting unit as a percentage of its carrying value was 102%, with the carrying value including approximately $1.5 billion of goodwill. Therefore no impairment charge was recorded during the quarter. No other events or circumstances were identified to indicate that the fair values of Citi’s other reporting units were more-likely-than-not reduced below their respective carrying amounts.
Based on the interim impairment tests, the fair value of Citi’s reporting units as a percentage of their allocated carrying values ranged from approximately 102% to 267%, resulting in no further impairment recognized as of June 30, 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 Citi’s management implements its strategic refresh. If management’s future estimates of key economic and market assumptions were to differ from its current assumptions, Citi could potentially experience material goodwill impairment charges in the future. See Note 15 for a further discussion of goodwill, including key assumptions and related uncertainties that drive the fair value of the Banking reporting unit.
Litigation Accruals
See the discussion in Note 23 for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.
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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 | June 30, 2022 | December 31, 2021 | ||||||
| Total U.S. | $ | 23.7 | $ | 22.1 | ||||
| Total foreign | 2.8 | 2.7 | ||||||
| Total | $ | 26.5 | $ | 24.8 | ||||
At June 30, 2022, Citigroup had recorded net DTAs of approximately $26.5 billion, a decrease of $0.2 billion from March 31, 2022 and an increase of $1.7 billion from December 31, 2021. The increase from year-end 2021 was primarily a result of losses in Other comprehensive income. Of Citi’s $26.5 billion of net DTAs, $15.8 billion was not deducted in calculating regulatory capital and was appropriately risk weighted under the Basel III rules.
The remaining $10.7 billion (compared to $11.3 billion at March 31, 2022) was deducted in calculating Citi’s regulatory capital.
The $10.7 billion of DTA deducted from regulatory capital is composed of $11.7 billion related to tax carry-forwards and $0.8 billion of temporary differences in excess of the 10%/15% regulatory limitations, and is reduced by $1.8 billion of deferred tax liabilities, primarily associated with goodwill and certain other intangible assets that are separately deducted from capital. The primary driver of the decrease in the DTA deducted from Citi’s regulatory capital during the quarter was a decline in the temporary differences in excess of the 10%/15% regulatory limitations (from $1.2 billion at March 31, 2022 to $0.8 billion at June 30, 2022), which was attributable to a higher capital limitation and lower temporary difference DTAs subject to the limitation.
DTA Realizability
Citi believes that realization of the net DTAs of $26.5 billion at June 30, 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 second quarter of 2022 was 19.8%, compared to the second quarter of 2021 effective tax rate of 15.7%. The lower rate in the prior-year period reflected a $450 million valuation allowance release related to foreign tax credit carry-forwards, compared to a significantly lower release in the current quarter. These releases were due to revised projections of future income.
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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 June 30, 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. Citi, in its First Quarter of 2022 Form 10-Q, identified and reported certain activities pursuant to Section 219 for the first quarter of 2022. Citi did not identify any reportable activities pursuant to Section 219 for the second quarter of 2022.
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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 Private Securities Litigation Reform Act of 1995. 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 of operations and financial conditions including capital and liquidity may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within the “Executive Summary” and each individual business’s discussion and analysis of its results of operations above, in Citi’s First Quarter of 2022 Form 10-Q, in Citi’s 2021 Form 10-K and in Citi’s 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 continued macroeconomic, geopolitical and other challenges and uncertainties and volatilities, including, among others, a continued elevated level of inflation and related financial impacts on consumers and clients and their sentiments; governmental fiscal and monetary actions or expected actions, such as further changes in interest rate policies, including a sustained increase in interest rates, and reductions in central bank balance sheets; the increasing potential of recession in Europe, the U.S. and other countries; slowing of the Chinese economy and related impacts or any policy actions; significant disruptions and volatility in financial markets; geopolitical tensions and conflicts, including the Russia–Ukraine war; 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 ability to exit and/or substantially reduce its activities in Russia; potential negative impacts 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;
impacts from 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; rising food insecurity, particularly in emerging markets; 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 (or inaction); any weakness or slowing in the economic recovery or a further economic downturn, whether due to further pandemic restrictions and lockdowns, 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 assistance and customer support further wane; 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 (most recently in June 2022), which is based upon the results of the CCAR process as well as supervisory stress tests; recalibration of the GSIB surcharge; Citi’s results of operations and financial condition; the capital impact related to Citi’s divestitures, which involve significant execution complexity, including the timing of transaction signings and closings, as well as achievement of the expected results from the divestitures; 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 and Supplementary Leverage ratio; elevated levels of liquidity in the financial system related to the pandemic; the reduction of central bank balance sheets and the impact on liquidity in the financial system; 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
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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 those by the EU; 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 protection and expanding the responsibilities of underwriters; and the potential impact of these final requirements on the results of operations of ICG’s Banking reporting unit;
•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 strengthen safety and soundness, deepen client relationships and enhance client offerings and capabilities in order to simplify Citi and streamline its allocation of resources, including as a result of factors that Citi cannot control, such as macroeconomic uncertainties and challenges, higher inflation and the highly competitive environment for talent, 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 business and its exits of remaining consumer banking businesses in Asia and EMEA and consumer, small business and middle-market banking operations in Mexico, and the exit and/or substantial reduction of its activities in Russia, which involve significant execution complexity, may not be as productive, effective or timely as Citi expects, may impact the local businesses during the exit process, 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 Foreign Tax Credit guidelines that became effective in March 2022, 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 or 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), which can be exacerbated by staffing challenges and processing backlogs; fraud or malice; insufficient (or limited) straight-through processing between legacy systems leading to risk of errors and operating losses; 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
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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 the assessment of goodwill or other assets for impairment; 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;
•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 Franchises segment or exit businesses, whether due to Citi’s strategic refresh or otherwise;
•the potential impact of settlement charges under any of Citi’s pension plans, whether due to plan settlements (including lump sum payments) for a year exceeding the service plus interest costs or due to more than 10% of the plan’s projected benefit obligation being settled;
•the impact of changes to financial accounting and reporting standards or interpretations on how Citi records and reports its financial condition and results of operations;
•the potential impact to Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk management and mitigation processes, strategies or models, including those related to its 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, and these risks can be heightened for vulnerable industries or sectors impacted by the continued macroeconomic, geopolitical, market and other challenges and uncertainties and volatilities;
•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; 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, cost 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; the impacts of inflation and food insecurity; 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 or the ICERC 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
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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.
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FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
| CONSOLIDATED FINANCIAL STATEMENTS | |||||
Consolidated Statement of Income (Unaudited)— For the Three and Six Months Ended June 30, 2022 and 2021 | |||||
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three and Six Months Ended June 30, 2022 and 2021 | |||||
Consolidated Balance Sheet—June 30, 2022 (Unaudited) and December 31, 2021 | |||||
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three and Six Months Ended June 30, 2022 and 2021 | |||||
Consolidated Statement of Cash Flows (Unaudited)— For the Six Months Ended June 30, 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 | |||||
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CONSOLIDATED FINANCIAL STATEMENTS
| CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) | Citigroup Inc. and Subsidiaries | |||||||
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars, except per share amounts | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Revenues | ||||||||||||||
| Interest revenue | $ | 15,630 | $ | 12,463 | $ | 28,781 | $ | 24,997 | ||||||
| Interest expense | 3,666 | 1,985 | 5,946 | 4,013 | ||||||||||
| Net interest income | $ | 11,964 | $ | 10,478 | $ | 22,835 | $ | 20,984 | ||||||
| Commissions and fees | $ | 2,452 | $ | 3,374 | $ | 5,020 | $ | 7,044 | ||||||
| Principal transactions | 4,525 | 2,304 | 9,115 | 6,217 | ||||||||||
| Administration and other fiduciary fees | 1,023 | 1,022 | 1,989 | 1,983 | ||||||||||
| Realized gains (losses) on sales of investments, net | (58) | 137 | 22 | 538 | ||||||||||
| Impairment losses on investments: | ||||||||||||||
| Impairment losses on investments and other assets | (96) | (13) | (186) | (82) | ||||||||||
Provision for credit losses on AFS debt securities(1) | 2 | — | 2 | — | ||||||||||
| Net impairment losses recognized in earnings | (94) | (13) | (184) | (82) | ||||||||||
| Other revenue | $ | (174) | $ | 451 | $ | 27 | $ | 736 | ||||||
| Total non-interest revenues | $ | 7,674 | $ | 7,275 | $ | 15,989 | $ | 16,436 | ||||||
| Total revenues, net of interest expense | $ | 19,638 | $ | 17,753 | $ | 38,824 | $ | 37,420 | ||||||
| Provisions for credit losses and for benefits and claims | ||||||||||||||
| Provision for credit losses on loans | $ | 1,384 | $ | (1,126) | $ | 1,644 | $ | (2,605) | ||||||
| Provision for credit losses on held-to-maturity (HTM) debt securities | 20 | 4 | 18 | (7) | ||||||||||
| Provision for credit losses on other assets | 7 | (3) | 3 | 6 | ||||||||||
| Policyholder benefits and claims | 22 | 15 | 49 | 67 | ||||||||||
| Provision for credit losses on unfunded lending commitments | (159) | 44 | 315 | (582) | ||||||||||
Total provisions for credit losses and for benefits and claims(2) | $ | 1,274 | $ | (1,066) | $ | 2,029 | $ | (3,121) | ||||||
| Operating expenses | ||||||||||||||
| Compensation and benefits | $ | 6,472 | $ | 5,982 | $ | 13,292 | $ | 11,983 | ||||||
| Premises and equipment | 619 | 558 | 1,162 | 1,134 | ||||||||||
| Technology/communication | 2,068 | 1,895 | 4,084 | 3,747 | ||||||||||
| Advertising and marketing | 414 | 340 | 725 | 610 | ||||||||||
| Other operating | 2,820 | 2,696 | 6,295 | 5,410 | ||||||||||
| Total operating expenses | $ | 12,393 | $ | 11,471 | $ | 25,558 | $ | 22,884 | ||||||
| Income from continuing operations before income taxes | $ | 5,971 | $ | 7,348 | $ | 11,237 | $ | 17,657 | ||||||
| Provision for income taxes | 1,182 | 1,155 | 2,123 | 3,487 | ||||||||||
| Income from continuing operations | $ | 4,789 | $ | 6,193 | $ | 9,114 | $ | 14,170 | ||||||
| Discontinued operations | ||||||||||||||
| Income (loss) from discontinued operations | $ | (262) | $ | 10 | $ | (264) | $ | 8 | ||||||
| Benefit for income taxes | (41) | — | (41) | — | ||||||||||
| Income (loss) from discontinued operations, net of taxes | $ | (221) | $ | 10 | $ | (223) | $ | 8 | ||||||
| Net income before attribution to noncontrolling interests | $ | 4,568 | $ | 6,203 | $ | 8,891 | $ | 14,178 | ||||||
| Noncontrolling interests | 21 | 10 | 38 | 43 | ||||||||||
| Citigroup’s net income | $ | 4,547 | $ | 6,193 | $ | 8,853 | $ | 14,135 | ||||||
Basic earnings per share(3) | ||||||||||||||
| Income from continuing operations | $ | 2.32 | $ | 2.86 | $ | 4.34 | $ | 6.51 | ||||||
| Income from discontinued operations, net of taxes | (0.11) | — | (0.11) | — | ||||||||||
| Net income | $ | 2.20 | $ | 2.87 | $ | 4.23 | $ | 6.52 | ||||||
Weighted average common shares outstanding (in millions) | 1,941.5 | 2,056.5 | 1,956.6 | 2,069.3 | ||||||||||
Diluted earnings per share(3) | ||||||||||||||
| Income from continuing operations | $ | 2.30 | $ | 2.84 | $ | 4.32 | $ | 6.47 | ||||||
| Income (loss) from discontinued operations, net of taxes | (0.11) | — | (0.11) | — | ||||||||||
| Net income | $ | 2.19 | $ | 2.85 | $ | 4.20 | $ | 6.47 | ||||||
Adjusted weighted average common shares outstanding (in millions) | 1,958.1 | 2,073.0 | 1,973.2 | 2,084.8 | ||||||||||
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(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 June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Citigroup’s net income | $ | 4,547 | $ | 6,193 | $ | 8,853 | $ | 14,135 | ||||||
Add: Citigroup’s other comprehensive income(1) | ||||||||||||||
Net change in unrealized gains and losses on debt securities, net of taxes(1) | $ | (1,501) | $ | (474) | $ | (5,778) | $ | (2,259) | ||||||
Net change in debt valuation adjustment (DVA), net of taxes(2) | 1,967 | (62) | 2,760 | (104) | ||||||||||
| Net change in cash flow hedges, net of taxes | (666) | (173) | (2,207) | (729) | ||||||||||
| Benefit plans liability adjustment, net of taxes | (89) | 87 | 82 | 801 | ||||||||||
| Net change in foreign currency translation adjustment, net of taxes and hedges | (1,630) | 523 | (1,644) | (751) | ||||||||||
| Net change in excluded component of fair value hedges, net of taxes | 9 | (10) | 57 | (20) | ||||||||||
| Citigroup’s total other comprehensive income (loss) | $ | (1,910) | $ | (109) | $ | (6,730) | $ | (3,062) | ||||||
| Citigroup’s total comprehensive income | $ | 2,637 | $ | 6,084 | $ | 2,123 | $ | 11,073 | ||||||
| Add: Other comprehensive income (loss) attributable to noncontrolling interests | $ | (53) | $ | 18 | $ | (82) | $ | (40) | ||||||
| Add: Net income (loss) attributable to noncontrolling interests | 21 | 10 | 38 | 43 | ||||||||||
| Total comprehensive income | $ | 2,605 | $ | 6,112 | $ | 2,079 | $ | 11,076 | ||||||
(1)See Note 17.
(2)See Note 20.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
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| CONSOLIDATED BALANCE SHEET | Citigroup Inc. and Subsidiaries | |||||||
| June 30, | ||||||||
| 2022 | December 31, | |||||||
| In millions of dollars | (Unaudited) | 2021 | ||||||
| Assets | ||||||||
| Cash and due from banks (including segregated cash and other deposits) | $ | 24,902 | $ | 27,515 | ||||
| Deposits with banks, net of allowance | 259,128 | 234,518 | ||||||
Securities borrowed and purchased under agreements to resell (including $242,760 and $216,466 as of June 30, 2022 and December 31, 2021, respectively, at fair value), net of allowance | 361,334 | 327,288 | ||||||
| Brokerage receivables, net of allowance | 80,486 | 54,340 | ||||||
Trading account assets (including $128,223 and $133,828 pledged to creditors at June 30, 2022 and December 31, 2021, respectively) | 340,875 | 331,945 | ||||||
Investments: | ||||||||
Available-for-sale debt securities (including $7,070 and $9,226 pledged to creditors as of June 30, 2022 and December 31, 2021, respectively), net of allowance | 238,499 | 288,522 | ||||||
Held-to-maturity debt securities (including $35 and $1,460 pledged to creditors as of June 30, 2022 and December 31, 2021, respectively), net of allowance | 267,592 | 216,963 | ||||||
Equity securities (including $1,046 and $1,032 at fair value as of June 30, 2022 and December 31, 2021, respectively) | 7,787 | 7,337 | ||||||
Total investments | $ | 513,878 | $ | 512,822 | ||||
| Loans: | ||||||||
Consumer (including $8 and $12 as of June 30, 2022 and December 31, 2021, respectively, at fair value) | 355,605 | 376,534 | ||||||
Corporate (including $4,528 and $6,070 as of June 30, 2022 and December 31, 2021, respectively, at fair value) | 301,728 | 291,233 | ||||||
| Loans, net of unearned income | $ | 657,333 | $ | 667,767 | ||||
| Allowance for credit losses on loans (ACLL) | (15,952) | (16,455) | ||||||
| Total loans, net | $ | 641,381 | $ | 651,312 | ||||
| Goodwill | 19,597 | 21,299 | ||||||
Intangible assets (including MSRs of $600 and $404 as of June 30, 2022 and December 31, 2021, respectively, at fair value) | 4,526 | 4,495 | ||||||
Other assets (including $10,085 and $12,342 as of June 30, 2022 and December 31, 2021, respectively, at fair value), net of allowance | 134,797 | 125,879 | ||||||
| Total assets | $ | 2,380,904 | $ | 2,291,413 | ||||
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.
| June 30, | ||||||||
| 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 | $ | 94 | $ | 260 | ||||
| Trading account assets | 9,072 | 10,038 | ||||||
| Investments | 596 | 844 | ||||||
| Loans, net of unearned income | ||||||||
Consumer | 34,243 | 34,677 | ||||||
Corporate | 14,537 | 14,312 | ||||||
| Loans, net of unearned income | $ | 48,780 | $ | 48,989 | ||||
| Allowance for credit losses on loans (ACLL) | (2,460) | (2,668) | ||||||
| Total loans, net | $ | 46,320 | $ | 46,321 | ||||
| Other assets | 52 | 1,174 | ||||||
| Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | $ | 56,134 | $ | 58,637 | ||||
Statement continues on the next page.
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CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries
(Continued)
| June 30, | ||||||||
| 2022 | December 31, | |||||||
| In millions of dollars, except shares and per share amounts | (Unaudited) | 2021 | ||||||
| Liabilities | ||||||||
| Non-interest-bearing deposits in U.S. offices | $ | 147,214 | $ | 158,552 | ||||
Interest-bearing deposits in U.S. offices (including $856 and $879 as of June 30, 2022 and December 31, 2021, respectively, at fair value) | 565,785 | 543,283 | ||||||
| Non-interest-bearing deposits in offices outside the U.S. | 100,266 | 97,270 | ||||||
Interest-bearing deposits in offices outside the U.S. (including $1,452 and $787 as of June 30, 2022 and December 31, 2021, respectively, at fair value) | 508,583 | 518,125 | ||||||
| Total deposits | $ | 1,321,848 | $ | 1,317,230 | ||||
Securities loaned and sold under agreements to repurchase (including $64,574 and $56,694 as of June 30, 2022 and December 31, 2021, respectively, at fair value) | 198,472 | 191,285 | ||||||
Brokerage payables (including $3,288 and $3,575 as of June 30, 2022 and December 31, 2021, respectively, at fair value) | 96,474 | 61,430 | ||||||
| Trading account liabilities | 180,453 | 161,529 | ||||||
Short-term borrowings (including $6,852 and $7,358 as of June 30, 2022 and December 31, 2021, respectively, at fair value) | 40,054 | 27,973 | ||||||
Long-term debt (including $89,388 and $82,609 as of June 30, 2022 and December 31, 2021, respectively, at fair value) | 257,425 | 254,374 | ||||||
| Other liabilities | 86,552 | 74,920 | ||||||
| Total liabilities | $ | 2,181,278 | $ | 2,088,741 | ||||
| Stockholders’ equity | ||||||||
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of June 30, 2022—759,800 and as of December 31, 2021—759,800, at aggregate liquidation value | $ | 18,995 | $ | 18,995 | ||||
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of June 30, 2022—3,099,669,331 and as of December 31, 2021—3,099,651,835 | 31 | 31 | ||||||
| Additional paid-in capital | 108,210 | 108,003 | ||||||
| Retained earnings | 191,261 | 184,948 | ||||||
Treasury stock, at cost: June 30, 2022—1,162,959,708 shares and December 31, 2021—1,115,296,641 shares | (73,988) | (71,240) | ||||||
Accumulated other comprehensive income (loss) (AOCI) | (45,495) | (38,765) | ||||||
| Total Citigroup stockholders’ equity | $ | 199,014 | $ | 201,972 | ||||
| Noncontrolling interests | 612 | 700 | ||||||
| Total equity | $ | 199,626 | $ | 202,672 | ||||
| Total liabilities and equity | $ | 2,380,904 | $ | 2,291,413 | ||||
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.
| June 30, | ||||||||
| 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 | $ | 8,105 | $ | 8,376 | ||||
Long-term debt | 12,511 | 12,579 | ||||||
| Other liabilities | 238 | 694 | ||||||
| Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup | $ | 20,854 | $ | 21,649 | ||||
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
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| CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED) | Citigroup Inc. and Subsidiaries | |||||||
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Preferred stock at aggregate liquidation value | ||||||||||||||
| Balance, beginning of period | $ | 18,995 | $ | 20,280 | $ | 18,995 | $ | 19,480 | ||||||
| Issuance of new preferred stock | — | — | — | 2,300 | ||||||||||
| Redemption of preferred stock | — | (2,285) | — | (3,785) | ||||||||||
| Balance, end of period | $ | 18,995 | $ | 17,995 | $ | 18,995 | $ | 17,995 | ||||||
| Common stock and additional paid-in capital (APIC) | ||||||||||||||
| Balance, beginning of period | $ | 108,081 | $ | 107,725 | $ | 108,034 | $ | 107,877 | ||||||
| Employee benefit plans | 160 | 112 | 206 | (63) | ||||||||||
| Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions) | — | 8 | — | 40 | ||||||||||
| Other | — | 6 | 1 | (3) | ||||||||||
| Balance, end of period | $ | 108,241 | $ | 107,851 | $ | 108,241 | $ | 107,851 | ||||||
| Retained earnings | ||||||||||||||
| Balance, beginning of period | $ | 187,962 | $ | 174,816 | $ | 184,948 | $ | 168,272 | ||||||
| Citigroup’s net income | 4,547 | 6,193 | 8,853 | 14,135 | ||||||||||
Common dividends(1) | (1,010) | (1,062) | (2,024) | (2,136) | ||||||||||
| Preferred dividends | (238) | (253) | (517) | (545) | ||||||||||
| Other (primarily reclassifications from APIC for preferred issuance costs on redemptions) | — | (8) | 1 | (40) | ||||||||||
| Balance, end of period | $ | 191,261 | $ | 179,686 | $ | 191,261 | $ | 179,686 | ||||||
| Treasury stock, at cost | ||||||||||||||
| Balance, beginning of period | $ | (73,744) | $ | (65,261) | $ | (71,240) | $ | (64,129) | ||||||
Employee benefit plans(2) | 6 | 8 | 502 | 476 | ||||||||||
Treasury stock acquired(3) | (250) | (3,000) | (3,250) | (4,600) | ||||||||||
| Balance, end of period | $ | (73,988) | $ | (68,253) | $ | (73,988) | $ | (68,253) | ||||||
| Citigroup’s accumulated other comprehensive income (loss) | ||||||||||||||
| Balance, beginning of period | $ | (43,585) | $ | (35,011) | $ | (38,765) | $ | (32,058) | ||||||
| Citigroup’s total other comprehensive income | (1,910) | (109) | (6,730) | (3,062) | ||||||||||
| Balance, end of period | $ | (45,495) | $ | (35,120) | $ | (45,495) | $ | (35,120) | ||||||
| Total Citigroup common stockholders’ equity | $ | 180,019 | $ | 184,164 | $ | 180,019 | $ | 184,164 | ||||||
| Total Citigroup stockholders’ equity | $ | 199,014 | $ | 202,159 | $ | 199,014 | $ | 202,159 | ||||||
| Noncontrolling interests | ||||||||||||||
| Balance, beginning of period | $ | 644 | $ | 724 | $ | 700 | $ | 758 | ||||||
| Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary | — | — | — | — | ||||||||||
| Transactions between Citigroup and the noncontrolling-interest shareholders | (1) | 1 | (34) | 1 | ||||||||||
| Net income attributable to noncontrolling-interest shareholders | 21 | 10 | 38 | 43 | ||||||||||
| Distributions paid to noncontrolling-interest shareholders | (1) | — | (11) | — | ||||||||||
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders | (53) | 18 | (82) | (40) | ||||||||||
| Other | 2 | (2) | 1 | (11) | ||||||||||
| Net change in noncontrolling interests | $ | (32) | $ | 27 | $ | (88) | $ | (7) | ||||||
| Balance, end of period | $ | 612 | $ | 751 | $ | 612 | $ | 751 | ||||||
| Total equity | $ | 199,626 | $ | 202,910 | $ | 199,626 | $ | 202,910 | ||||||
(1) Common dividends declared were $0.51 per share for each of the first and second 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.
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| CONSOLIDATED STATEMENT OF CASH FLOWS | Citigroup Inc. and Subsidiaries | |||||||
| (UNAUDITED) | ||||||||
| Six Months Ended June 30, | ||||||||
| In millions of dollars | 2022 | 2021 | ||||||
| Cash flows from operating activities of continuing operations | ||||||||
| Net income before attribution of noncontrolling interests | $ | 8,891 | $ | 14,178 | ||||
| Net income attributable to noncontrolling interests | 38 | 43 | ||||||
| Citigroup’s net income | $ | 8,853 | $ | 14,135 | ||||
| (Loss) gain from discontinued operations, net of taxes | (223) | 8 | ||||||
| Income from continuing operations—excluding noncontrolling interests | $ | 9,076 | $ | 14,127 | ||||
| Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations | ||||||||
| Depreciation and amortization | 2,089 | 1,944 | ||||||
| Provisions for credit losses on loans and unfunded lending commitments | 1,959 | (3,187) | ||||||
| Goodwill impairment | 535 | — | ||||||
| Realized gains from sales of investments | (22) | (538) | ||||||
| Impairment losses on investments and other assets | 186 | 82 | ||||||
| Change in trading account assets | (8,974) | 4,098 | ||||||
| Change in trading account liabilities | 18,924 | 6,679 | ||||||
| Change in brokerage receivables net of brokerage payables | 8,898 | (7,400) | ||||||
| Change in loans HFS | 4,504 | (3,214) | ||||||
| Change in other assets | (3,450) | (2,260) | ||||||
| Change in other liabilities | (2,117) | 3,300 | ||||||
| Other, net | (34,877) | 9,932 | ||||||
| Total adjustments | $ | (12,345) | $ | 9,436 | ||||
| Net cash provided by (used in) operating activities of continuing operations | $ | (3,269) | $ | 23,563 | ||||
| Cash flows from investing activities of continuing operations | ||||||||
| Change in securities borrowed and purchased under agreements to resell | $ | (34,046) | $ | (14,335) | ||||
| Change in loans | (14,790) | (3,088) | ||||||
Proceeds from divestitures(1) | 1,940 | — | ||||||
| Proceeds from sales and securitizations of loans | 1,562 | 869 | ||||||
Available-for-sale debt securities(2): | ||||||||
| Purchases of investments | (123,528) | (114,240) | ||||||
| Proceeds from sales of investments | 79,952 | 66,135 | ||||||
| Proceeds from maturities of investments | 76,871 | 62,904 | ||||||
Held-to-maturity debt securities(2): | ||||||||
| Purchases of investments | (34,317) | (87,049) | ||||||
| Proceeds from maturities of investments | 5,821 | 12,291 | ||||||
| Capital expenditures on premises and equipment and capitalized software | (2,465) | (1,771) | ||||||
| Proceeds from sales of premises and equipment, subsidiaries and affiliates and repossessed assets | 31 | 28 | ||||||
| Other, net | (332) | 145 | ||||||
| Net cash used in investing activities of continuing operations | $ | (43,301) | $ | (78,111) | ||||
| Cash flows from financing activities of continuing operations | ||||||||
| Dividends paid | $ | (2,514) | $ | (2,663) | ||||
| Issuance of preferred stock | — | 2,300 | ||||||
| Redemption of preferred stock | — | (3,785) | ||||||
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| CONSOLIDATED STATEMENT OF CASH FLOWS | ||||||||
| (UNAUDITED) (Continued) | ||||||||
| Six Months Ended June 30, | ||||||||
| In millions of dollars | 2022 | 2021 | ||||||
| Treasury stock acquired | $ | (3,200) | $ | (4,381) | ||||
| Stock tendered for payment of withholding taxes | (334) | (324) | ||||||
| Change in securities loaned and sold under agreements to repurchase | 7,187 | 22,292 | ||||||
| Issuance of long-term debt | 60,304 | 41,511 | ||||||
| Payments and redemptions of long-term debt | (28,439) | (41,894) | ||||||
| Change in deposits | 25,360 | 29,610 | ||||||
| Change in short-term borrowings | 12,081 | 1,948 | ||||||
| Net cash provided by financing activities of continuing operations | $ | 70,445 | $ | 44,614 | ||||
| Effect of exchange rate changes on cash and due from banks | $ | (1,878) | $ | (443) | ||||
| Change in cash, due from banks and deposits with banks | 21,997 | (10,377) | ||||||
| Cash, due from banks and deposits with banks at beginning of period | 262,033 | 309,615 | ||||||
| Cash, due from banks and deposits with banks at end of period | $ | 284,030 | $ | 299,238 | ||||
| Cash and due from banks (including segregated cash and other deposits) | $ | 24,902 | $ | 27,117 | ||||
| Deposits with banks, net of allowance | 259,128 | 272,121 | ||||||
| Cash, due from banks and deposits with banks at end of period | $ | 284,030 | $ | 299,238 | ||||
| Supplemental disclosure of cash flow information for continuing operations | ||||||||
| Cash paid during the period for income taxes | $ | 1,661 | $ | 2,176 | ||||
| Cash paid during the period for interest | 6,284 | 3,926 | ||||||
Non-cash investing activities(1)(3) | ||||||||
| Transfer of investment securities from AFS to HTM | $ | 21,522 | $ | — | ||||
| Decrease in net loans associated with divestitures reclassified to HFS | 17,758 | — | ||||||
| Decrease in goodwill associated with divestitures reclassified to HFS | 873 | — | ||||||
Transfers to loans HFS (Other assets) from loans | 1,874 | 961 | ||||||
Non-cash financing activities(1) | ||||||||
| Decrease in deposits associated with divestitures reclassified to HFS | $ | 20,741 | $ | — | ||||
(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 June 30, 2022.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
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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 June 30, 2022 and for the three- and six-month periods ended June 30, 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 within Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2021, Citigroup’s Current Report on Form 8-K dated May 10, 2022 (as amended by a Current Report on Form 8-K/A dated May 10, 2022) with Historical Consolidated Financial Statements and Notes conformed to reflect changes in Citigroup’s reportable segments from those contained in Citi’s 2021 Annual Report on Form 10-K included as an exhibit thereto (such Current Report on Form 8-K together with Citigroup’s 2021 Annual Report on Form 10-K, collectively referred to as the 2021 Form 10-K), and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2022 (First Quarter of 2022 Form 10-Q).
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
Multiple Macroeconomic Scenarios-Based ACL Approach
During the second quarter of 2022, Citi refined its ACL methodology to utilize multiple macroeconomic scenarios to estimate its allowance for credit losses. The ACL was previously estimated using a combination of a single base-case forecast scenario as part of its quantitative component and a qualitative management adjustment to reflect economic uncertainty from downside macroeconomic scenarios. As a result of this change, Citi now explicitly incorporates multiple macroeconomic scenarios—base, upside, and downside—and associated probabilities in the quantitative component when estimating its ACL.
This refinement represents a “change in accounting estimate” under ASC Topic 250, Accounting Changes and Error Corrections, with prospective application beginning in the period of change. This change in accounting estimate resulted in a decrease of approximately $0.3 billion in the allowance for credit losses, partially offsetting an increase of $0.8 billion in the allowance for credit losses due to the increased macroeconomic uncertainty and other factors in the second quarter.
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 $279 million and $619 million of deposit insurance expenses from Interest expense to Other operating expenses, for the quarter and six months ended June 30, 2021. This change had no impact on Citi’s net income or the total deposit insurance expense incurred by Citi.
FUTURE ACCOUNTING CHANGES
Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions
In June 2022, FASB issued Accounting Standards Update (ASU) 2022-3, Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions. The ASU was issued to address diversity in practice whereby certain entities included the
95
impact of contractual restrictions when valuing equity securities, and it clarifies that a contractual restriction on the sale of an equity security should not be considered part of the unit of account of the equity security and, therefore, should not be considered in measuring fair value. The ASU also includes requirements for entities to disclose the fair value of equity securities subject to contractual sale restrictions, the nature and remaining duration of the restrictions and the circumstances that could cause a lapse in the restrictions.
The ASU is to be adopted on a prospective basis and will be effective for Citigroup on January 1, 2024, although early adoption is permitted. Adoption of the accounting standard is not expected to have an impact on Citi’s operating results or financial position, as the Company excludes such restrictions when valuing equity securities.
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 that 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. Citigroup does not have any transactions within the scope of SAB 121 as of June 30, 2022.
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 leases within the scope of Subtopic 326-20. The guidance is effective beginning January 1, 2023 and early adoption is
permitted. Citi plans to adopt the amendments in ASU 2022-02 on January 1, 2023, and is evaluating the effect they 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.
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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 June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Total revenues, net of interest expense | $ | — | $ | — | $ | — | $ | — | ||||||
Income (loss) from discontinued operations(1) | $ | (262) | $ | 10 | $ | (264) | $ | 8 | ||||||
| Benefit for income taxes | (41) | — | (41) | — | ||||||||||
| Income (loss) from discontinued operations, net of taxes | $ | (221) | $ | 10 | $ | (223) | $ | 8 | ||||||
(1)Amounts in each period relate to the sale of the Egg Banking business in 2011.
During the second quarter of 2022, the Company finalized the settlement of certain liabilities related to its legacy consumer operation in the U.K. (the legacy operation), including an indemnification liability related to its sale of the Egg Banking business in 2011, which led to the substantial liquidation of the legacy operation. As a result, a CTA loss (net of hedges) in AOCI of approximately $400 million pretax ($345 million after-tax) related to the legacy operation was released to earnings in the current period. Out of the total CTA release, a $260 million pretax loss ($221 million after-tax loss) was attributable to the Egg Banking business noted above, reported in Discontinued operations, and therefore the corresponding CTA release was also reported in Discontinued operations during the second quarter. The remaining CTA release of a $140 million pretax loss ($124 million after-tax loss) related to Legacy Holdings Assets was reported as part of Continuing operations within Legacy Franchises.
While the legacy operation was divested in multiple sales over the years, each transaction did not result in substantial liquidation given that Citi retained certain liabilities noted above, which were gradually settled over time until reaching the point of substantial liquidation during the second quarter, triggering the release of the CTA loss to earnings.
Cash flows from Discontinued operations were not material for the periods presented.
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Significant Disposals
Citi entered into agreements to sell nine consumer banking businesses that, in aggregate, will result in a transfer to HFS of approximately $29 billion in assets, including $19 billion of loans (net of allowance of $409 million) and approximately $23 billion in liabilities, including $22 billion in deposits as of June 30, 2022. As a result, these assets and liabilities held by each business were reclassified to HFS within Other assets and Other liabilities, respectively, on the Consolidated Balance Sheet. The following five consumer banking business sale agreements (of nine) were identified as significant disposals that are recorded within the Legacy Franchises segment. All open sales agreements in the table below are subject to regulatory approvals and other closing conditions.
| June 30, 2022 | ||||||||||||||||||||||||||||||||||||||
| In millions of dollars | Assets | Liabilities | ||||||||||||||||||||||||||||||||||||
| Consumer banking business in | Sale agreement date | Expected close | Cash and deposits with banks | Loans(1) | Goodwill(2) | Other assets, advances to/from subsidiaries | Other assets | Total assets | Deposits | Long-term debt | Other liabilities | Total liabilities | ||||||||||||||||||||||||||
Australia(3) | 8/9/21 | closed on 6/1/2022 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Philippines(4) | 12/23/21 | closed on 8/1/2022 | 31 | 1,170 | 244 | 511 | 37 | 1,993 | 1,208 | — | 78 | 1,286 | ||||||||||||||||||||||||||
Thailand(4) | 1/14/22 | second half 2022 | $ | 15 | $ | 2,485 | $ | 160 | $ | 215 | $ | 84 | $ | 2,959 | $ | 925 | $ | — | $ | 133 | $ | 1,058 | ||||||||||||||||
Taiwan(4) | 1/28/22 | second half 2023 | 104 | 7,878 | 212 | 4,855 | 199 | 13,248 | 10,350 | — | 214 | 10,564 | ||||||||||||||||||||||||||
India(4) | 3/30/22 | first half 2023 | 29 | 3,515 | 346 | 2,482 | 102 | 6,474 | 5,916 | — | 184 | 6,100 | ||||||||||||||||||||||||||
Income (loss) before taxes(5) | ||||||||||||||
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
Australia(3) | $ | 28 | $ | 69 | $ | 193 | $ | 142 | ||||||
| Philippines | 14 | 31 | 65 | 67 | ||||||||||
| Thailand | 90 | 43 | 78 | 91 | ||||||||||
| Taiwan | 50 | 65 | 96 | 150 | ||||||||||
| India | 52 | 29 | 125 | 98 | ||||||||||
(1) Loans, net of allowance as of June 30, 2022: Philippines $80 million, Thailand $80 million, Taiwan $57 million and India $51 million.
(2) For Thailand, includes intangible assets.
(3) On June 1, 2022, Citi completed the sale of its Australia consumer banking business, which was a part of Legacy Franchises. The Australia consumer banking business had approximately $9.4 billion in assets, including $9.3 billion of loans (net of allowance of $140 million) and excluding goodwill. The total amount of liabilities was $7.3 billion including $6.8 billion in deposits. The transaction generated a pretax loss on sale of approximately $800 million ($665 million after-tax), subject to closing adjustments, recorded in Other revenue. The loss on sale primarily reflected the impact of an approximate pretax $620 million currency translation adjustment (CTA) loss (net of hedges) ($470 million after-tax) already reflected in the Accumulated other comprehensive income (AOCI) component of equity. The sale closed on June 1, 2022, and the CTA-related balance was removed from the AOCI component of equity, resulting in a neutral CTA impact to Citi’s Common Equity Tier 1 Capital. The income before taxes shown in the above table for Australia reflects the two months of Citi’s ownership through June 1, 2022.
(4) These sales are expected to result in an after-tax gain upon closing.
(5) 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.
Citi did not have any other significant disposals to report as of June 30, 2022. As of August 3, 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 12 remaining 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.
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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.
During the first quarter of 2022, Citi recorded an additional pretax charge of $31 million, composed of gross charges connected to the Korea VERP.
The following table summarizes the reserve charges related to the Korea VERP and other initiatives reported in the Legacy Franchises operating segment and Corporate/Other:
| In millions of dollars | Employee termination costs | ||||
| Total Citigroup (pretax) | |||||
| Original charges | $ | 1,052 | |||
| Utilization | (1) | ||||
| Foreign exchange | 3 | ||||
| Balance at December 31, 2021 | $ | 1,054 | |||
| Additional charges | $ | 31 | |||
| Utilization | (347) | ||||
| Foreign exchange | (24) | ||||
| Balance at March 31, 2022 | $ | 714 | |||
| Additional charges (releases) | $ | (3) | |||
| Utilization | (670) | ||||
| Foreign exchange | (41) | ||||
| Balance at June 30, 2022 | $ | — | |||
The total estimated cash charges for the wind-down are $1.1 billion, most of which were recognized in 2021.
See Note 8 for details on the pension impact of the Korea wind-down.
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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 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 (Global Wealth), 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.
The following tables present certain information regarding the Company’s continuing operations by operating segment and Corporate/Other:
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| Three Months Ended June 30, | ||||||||||||||||||||||||||||||||
| 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 | $ | 4,520 | $ | 3,760 | $ | 5,569 | $ | 4,985 | $ | 1,474 | $ | 1,621 | $ | 401 | $ | 112 | $ | 11,964 | $ | 10,478 | ||||||||||||
| Non-interest revenue | 6,899 | 5,789 | 460 | 713 | 461 | 658 | (146) | 115 | 7,674 | 7,275 | ||||||||||||||||||||||
| Total revenues, net of interest expense | $ | 11,419 | $ | 9,549 | $ | 6,029 | $ | 5,698 | $ | 1,935 | $ | 2,279 | $ | 255 | $ | 227 | $ | 19,638 | $ | 17,753 | ||||||||||||
| Operating expense | 6,434 | 5,829 | 3,985 | 3,547 | 1,814 | 1,788 | 160 | 307 | 12,393 | 11,471 | ||||||||||||||||||||||
| Provisions for credit losses | (202) | (694) | 1,355 | (170) | 121 | (204) | — | 2 | 1,274 | (1,066) | ||||||||||||||||||||||
| Income (loss) from continuing operations before taxes | $ | 5,187 | $ | 4,414 | $ | 689 | $ | 2,321 | $ | — | $ | 695 | $ | 95 | $ | (82) | $ | 5,971 | $ | 7,348 | ||||||||||||
| Provision (benefits) for income taxes | 1,209 | 981 | 136 | 516 | 15 | 203 | (178) | (545) | 1,182 | 1,155 | ||||||||||||||||||||||
| Income (loss) from continuing operations | $ | 3,978 | $ | 3,433 | $ | 553 | $ | 1,805 | $ | (15) | $ | 492 | $ | 273 | $ | 463 | $ | 4,789 | $ | 6,193 | ||||||||||||
Identifiable assets (June 30, 2022 and December 31, 2021) | $ | 1,700 | $ | 1,613 | $ | 479 | $ | 464 | $ | 108 | $ | 125 | $ | 94 | $ | 89 | $ | 2,381 | $ | 2,291 | ||||||||||||
| Average loans | 297 | 287 | 317 | 304 | 43 | 79 | — | — | 657 | 670 | ||||||||||||||||||||||
| Average deposits | 830 | 818 | 435 | 410 | 51 | 85 | 7 | 8 | 1,323 | 1,321 | ||||||||||||||||||||||
| Six Months Ended June 30, | ||||||||||||||||||||||||||||||||
| In millions of dollars, except 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 | $ | 8,304 | $ | 7,493 | $ | 10,954 | $ | 10,150 | $ | 2,982 | $ | 3,184 | $ | 595 | $ | 157 | $ | 22,835 | $ | 20,984 | ||||||||||||
| Non-interest revenue | 14,275 | 13,444 | 980 | 1,540 | 884 | 1,338 | (150) | 114 | 15,989 | 16,436 | ||||||||||||||||||||||
| Total revenues, net of interest expense | $ | 22,579 | $ | 20,937 | $ | 11,934 | $ | 11,690 | $ | 3,866 | $ | 4,522 | $ | 445 | $ | 271 | $ | 38,824 | $ | 37,420 | ||||||||||||
| Operating expense | 13,157 | 11,761 | 7,874 | 6,969 | 4,107 | 3,540 | 420 | 614 | 25,558 | 22,884 | ||||||||||||||||||||||
| Provisions for credit losses | 769 | (2,233) | 979 | (727) | 281 | (160) | — | (1) | 2,029 | (3,121) | ||||||||||||||||||||||
| Income (loss) from continuing operations before taxes | $ | 8,653 | $ | 11,409 | $ | 3,081 | $ | 5,448 | $ | (522) | $ | 1,142 | $ | 25 | $ | (342) | $ | 11,237 | $ | 17,657 | ||||||||||||
| Provision (benefits) for income taxes | 2,017 | 2,546 | 668 | 1,223 | (122) | 330 | (440) | (612) | 2,123 | 3,487 | ||||||||||||||||||||||
| Income (loss) from continuing operations | $ | 6,636 | $ | 8,863 | $ | 2,413 | $ | 4,225 | $ | (400) | $ | 812 | $ | 465 | $ | 270 | $ | 9,114 | $ | 14,170 | ||||||||||||
| Average loans | $ | 293 | $ | 284 | $ | 315 | $ | 304 | $ | 45 | $ | 80 | $ | — | $ | — | $ | 653 | $ | 668 | ||||||||||||
| Average deposits | 828 | 814 | 441 | 404 | 53 | 85 | 7 | 10 | 1,329 | 1,313 | ||||||||||||||||||||||
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4. INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Interest revenue | ||||||||||||||
| Consumer loans | $ | 6,601 | $ | 6,521 | $ | 12,863 | $ | 13,223 | ||||||
| Corporate loans | 2,894 | 2,212 | 5,348 | 4,419 | ||||||||||
| Loan interest, including fees | $ | 9,495 | $ | 8,733 | $ | 18,211 | $ | 17,642 | ||||||
| Deposits with banks | 658 | 126 | 954 | 271 | ||||||||||
| Securities borrowed and purchased under agreements to resell | 805 | 205 | 1,199 | 499 | ||||||||||
| Investments, including dividends | 2,370 | 1,818 | 4,420 | 3,570 | ||||||||||
Trading account assets(1) | 1,659 | 1,470 | 2,805 | 2,807 | ||||||||||
Other interest-bearing assets(2) | 643 | 111 | 1,192 | 208 | ||||||||||
| Total interest revenue | $ | 15,630 | $ | 12,463 | $ | 28,781 | $ | 24,997 | ||||||
| Interest expense | ||||||||||||||
| Deposits | $ | 1,420 | $ | 676 | $ | 2,291 | $ | 1,388 | ||||||
| Securities loaned and sold under agreements to repurchase | 655 | 260 | 937 | 513 | ||||||||||
Trading account liabilities(1) | 137 | 150 | 284 | 264 | ||||||||||
Short-term borrowings and other interest-bearing liabilities(3) | 268 | 31 | 323 | 62 | ||||||||||
| Long-term debt | 1,186 | 868 | 2,111 | 1,786 | ||||||||||
| Total interest expense | $ | 3,666 | $ | 1,985 | $ | 5,946 | $ | 4,013 | ||||||
| Net interest income | $ | 11,964 | $ | 10,478 | $ | 22,835 | $ | 20,984 | ||||||
| Provision (benefit) for credit losses on loans | 1,384 | (1,126) | 1,644 | (2,605) | ||||||||||
| Net interest income after provision for credit losses on loans | $ | 10,580 | $ | 11,604 | $ | 21,191 | $ | 23,589 | ||||||
(1)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(2)Includes assets from businesses held-for-sale (see Note 2) and Brokerage receivables.
(3)Includes liabilities from businesses held-for-sale (see Note 2) and Brokerage payables.
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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 June 30, 2022 | Six Months Ended June 30, 2022 | |||||||||||||||||||||||||
| In millions of dollars | ICG | PBWM | Legacy Franchises | Total | ICG | PBWM | Legacy Franchises | Total | ||||||||||||||||||
| Investment banking | $ | 845 | $ | — | $ | — | $ | 845 | $ | 1,753 | $ | — | $ | — | $ | 1,753 | ||||||||||
| Brokerage commissions | 393 | 213 | 53 | 659 | 853 | 454 | 121 | 1,428 | ||||||||||||||||||
| Credit and bank card income | ||||||||||||||||||||||||||
| Interchange fees | 321 | 2,435 | 227 | 2,983 | 561 | 4,534 | 448 | 5,543 | ||||||||||||||||||
| Card-related loan fees | 11 | 73 | 79 | 163 | 20 | 137 | 160 | 317 | ||||||||||||||||||
Card rewards and partner payments(1) | (165) | (2,871) | (160) | (3,196) | (282) | (5,370) | (332) | (5,984) | ||||||||||||||||||
Deposit-related fees(2) | 279 | 44 | 19 | 342 | 546 | 103 | 36 | 685 | ||||||||||||||||||
| Transactional service fees | 267 | 5 | 26 | 298 | 521 | 9 | 52 | 582 | ||||||||||||||||||
Corporate finance(3) | 136 | — | — | 136 | 252 | 3 | — | 255 | ||||||||||||||||||
| Insurance distribution revenue | — | 56 | 33 | 89 | — | 108 | 69 | 177 | ||||||||||||||||||
| Insurance premiums | — | 1 | 22 | 23 | — | 2 | 46 | 48 | ||||||||||||||||||
| Loan servicing | 7 | 12 | 4 | 23 | 19 | 22 | 7 | 48 | ||||||||||||||||||
| Other | 3 | 49 | 35 | 87 | 2 | 97 | 69 | 168 | ||||||||||||||||||
Total commissions and fees(4) | $ | 2,097 | $ | 17 | $ | 338 | $ | 2,452 | $ | 4,245 | $ | 99 | $ | 676 | $ | 5,020 | ||||||||||
| Three Months Ended June 30, 2021 | Six Months Ended June 30, 2021 | |||||||||||||||||||||||||
| In millions of dollars | ICG | PBWM | Legacy Franchises | Total | ICG | PBWM | Legacy Franchises | Total | ||||||||||||||||||
| Investment banking | $ | 1,386 | $ | — | $ | — | $ | 1,386 | $ | 3,010 | $ | — | $ | — | $ | 3,010 | ||||||||||
| Brokerage commissions | 447 | 277 | 97 | 821 | 968 | 566 | 229 | 1,763 | ||||||||||||||||||
| Credit and bank card income | ||||||||||||||||||||||||||
| Interchange fees | 197 | 2,061 | 212 | 2,470 | 355 | 3,755 | 424 | 4,534 | ||||||||||||||||||
| Card-related loan fees | 6 | 74 | 97 | 177 | 11 | 151 | 197 | 359 | ||||||||||||||||||
Card rewards and partner payments(1) | (104) | (2,301) | (110) | (2,515) | (179) | (4,258) | (249) | (4,686) | ||||||||||||||||||
Deposit-related fees(2) | 257 | 42 | 26 | 325 | 500 | 96 | 58 | 654 | ||||||||||||||||||
| Transactional service fees | 242 | 6 | 29 | 277 | 474 | 11 | 57 | 542 | ||||||||||||||||||
Corporate finance(3) | 180 | — | — | 180 | 335 | 3 | — | 338 | ||||||||||||||||||
| Insurance distribution revenue | — | 76 | 37 | 113 | — | 159 | 89 | 248 | ||||||||||||||||||
| Insurance premiums | — | 6 | 24 | 30 | — | 8 | 42 | 50 | ||||||||||||||||||
| Loan servicing | 11 | 8 | 5 | 24 | 23 | 15 | 9 | 47 | ||||||||||||||||||
| Other | 8 | 43 | 35 | 86 | 17 | 98 | 70 | 185 | ||||||||||||||||||
Total commissions and fees(4) | $ | 2,630 | $ | 292 | $ | 452 | $ | 3,374 | $ | 5,514 | $ | 604 | $ | 926 | $ | 7,044 | ||||||||||
(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 $28 million and $24 million for the three months ended June 30, 2022 and 2021, respectively, and $59 million and $47 million for the six months ended June 30, 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 $(2,811) million and $(2,073) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended June 30, 2022 and 2021, respectively, and $(5,240) million and $(3,822) million for the six months ended June 30, 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.
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The following tables present Administration and other fiduciary fees revenue:
| Three Months Ended June 30, 2022 | Six Months Ended June 30, 2022 | |||||||||||||||||||||||||
| In millions of dollars | ICG | PBWM | Legacy Franchises | Total | ICG | PBWM | Legacy Franchises | Total | ||||||||||||||||||
| Custody fees | $ | 506 | $ | 22 | $ | 2 | $ | 530 | $ | 952 | $ | 45 | $ | 5 | $ | 1,002 | ||||||||||
| Fiduciary fees | 68 | 196 | 79 | 343 | 133 | 401 | 159 | 693 | ||||||||||||||||||
| Guarantee fees | 134 | 14 | 2 | 150 | 266 | 24 | 4 | 294 | ||||||||||||||||||
Total administration and other fiduciary fees(1) | $ | 708 | $ | 232 | $ | 83 | $ | 1,023 | $ | 1,351 | $ | 470 | $ | 168 | $ | 1,989 | ||||||||||
| Three Months Ended June 30, 2021 | Six Months Ended June 30, 2021 | |||||||||||||||||||||||||
| In millions of dollars | ICG | PBWM | Legacy Franchises | Total | ICG | PBWM | Legacy Franchises | Total | ||||||||||||||||||
| Custody fees | $ | 476 | $ | 24 | $ | 3 | $ | 503 | $ | 908 | $ | 45 | $ | 7 | $ | 960 | ||||||||||
| Fiduciary fees | 61 | 200 | 111 | 372 | 123 | 392 | 216 | 731 | ||||||||||||||||||
| Guarantee fees | 133 | 11 | 3 | 147 | 266 | 22 | 4 | 292 | ||||||||||||||||||
Total administration and other fiduciary fees(1) | $ | 670 | $ | 235 | $ | 117 | $ | 1,022 | $ | 1,297 | $ | 459 | $ | 227 | $ | 1,983 | ||||||||||
(1) Administration and other fiduciary fees include $150 million and $147 million for the three months ended June 30, 2022 and 2021, respectively, and $294 million and $292 million for the six months ended June 30, 2022 and 2021, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These generally include guarantee fees.
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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.
The following table presents Principal transactions revenue:
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
Interest rate risks(1) | $ | 1,450 | $ | 530 | $ | 2,920 | $ | 1,964 | ||||||
Foreign exchange risks(2) | 1,639 | 965 | 3,187 | 1,927 | ||||||||||
Equity risks(3) | 345 | 358 | 1,276 | 1,203 | ||||||||||
Commodity and other risks(4) | 612 | 393 | 1,063 | 593 | ||||||||||
Credit products and risks(5) | 479 | 58 | 669 | 530 | ||||||||||
| Total | $ | 4,525 | $ | 2,304 | $ | 9,115 | $ | 6,217 | ||||||
(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.
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7. INCENTIVE PLANS
For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
8. RETIREMENT BENEFITS
For additional information on Citi’s retirement benefits, see Note 8 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
Net (Benefit) Expense
The following tables summarize the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement plans for Significant Plans and All Other Plans. Benefits earned during the period are reported in Compensation and benefits expenses and all other components of the net period benefit cost are reported in Other operating expenses in the Consolidated Statement of Income:
| Three Months Ended June 30, | ||||||||||||||||||||||||||
| 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 | $ | — | $ | — | $ | 30 | $ | 38 | $ | — | $ | — | $ | — | $ | 2 | ||||||||||
| Interest cost on benefit obligation | 105 | 95 | 79 | 70 | 4 | 3 | 23 | 24 | ||||||||||||||||||
| Expected return on assets | (154) | (174) | (66) | (63) | (3) | (3) | (18) | (21) | ||||||||||||||||||
| Amortization of unrecognized: | ||||||||||||||||||||||||||
| Prior service benefit | — | — | (1) | (2) | (3) | (2) | (1) | (3) | ||||||||||||||||||
| Net actuarial loss (gain) | 44 | 54 | 14 | 14 | (2) | (1) | 1 | 3 | ||||||||||||||||||
Curtailment (gain)(1) | — | — | (23) | — | — | — | — | — | ||||||||||||||||||
Settlement (gain) loss(1) | — | — | (10) | 4 | — | — | — | — | ||||||||||||||||||
| Total net (benefit) expense | $ | (5) | $ | (25) | $ | 23 | $ | 61 | $ | (4) | $ | (3) | $ | 5 | $ | 5 | ||||||||||
(1) (Gains) losses due to curtailment and settlement relate to divestiture activities. Total net expense for non-U.S. plans includes a $28 million net benefit related to the wind-down of Citi’s consumer banking business in Korea.
| Six Months Ended June 30, | |||||||||||||||||||||||||||||
| 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 | $ | — | $ | — | $ | 64 | $ | 77 | $ | — | $ | — | $ | 1 | 4 | ||||||||||||||
| Interest cost on benefit obligation | 191 | 177 | 152 | 132 | 7 | 6 | 46 | 49 | |||||||||||||||||||||
| Expected return on plan assets | (308) | (356) | (132) | (124) | (6) | (7) | (38) | (43) | |||||||||||||||||||||
| Amortization of unrecognized: | |||||||||||||||||||||||||||||
| Prior service cost (benefit) | 1 | 1 | (3) | $ | (3) | (5) | (4) | (4) | (5) | ||||||||||||||||||||
| Net actuarial loss (gain) | 100 | 116 | 27 | 32 | (3) | (1) | 2 | 8 | |||||||||||||||||||||
Curtailment (gain)(1) | — | — | (23) | — | — | — | — | — | |||||||||||||||||||||
Settlement (gain) loss(1) | — | — | (10) | 4 | — | — | — | — | |||||||||||||||||||||
| Total net (benefit) expense | $ | (16) | $ | (62) | $ | 75 | $ | 118 | $ | (7) | $ | (6) | $ | 7 | $ | 13 | |||||||||||||
(1) (Gains) losses due to curtailment and settlement relate to divestiture activities. Total net expense for non-U.S. plans includes a $28 million net benefit related to the wind-down of Citi’s consumer banking business in Korea.
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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:
| Six Months Ended June 30, 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 | $ | 12,766 | $ | 8,001 | $ | 501 | $ | 1,169 | ||||||
| Plans measured annually | (23) | (2,071) | — | (298) | ||||||||||
Projected benefit obligation at beginning of year—Significant Plans | $ | 12,743 | $ | 5,930 | $ | 501 | $ | 871 | ||||||
First quarter activity | (1,234) | (285) | (50) | (71) | ||||||||||
| Projected benefit obligation at June 30, 2022—Significant Plans | $ | 11,509 | $ | 5,645 | $ | 451 | $ | 800 | ||||||
| Benefits earned during the period | — | 15 | — | — | ||||||||||
| Interest cost on benefit obligation | 105 | 68 | 4 | 20 | ||||||||||
Actuarial (gain)(1) | (903) | (489) | (36) | (43) | ||||||||||
| Benefits paid, net of participants’ contributions and government subsidy | (253) | (69) | (13) | (17) | ||||||||||
Settlement (gain)(2) | — | (246) | — | — | ||||||||||
Curtailment (gain)(2) | — | (23) | — | — | ||||||||||
| Foreign exchange impact and other | — | (163) | — | (9) | ||||||||||
| Projected benefit obligation at period end—Significant Plans | $ | 10,458 | $ | 4,738 | $ | 406 | $ | 751 | ||||||
| Change in plan assets | ||||||||||||||
| Plan assets at fair value at beginning of year | $ | 12,977 | $ | 7,614 | $ | 319 | $ | 1,043 | ||||||
| Plans measured annually | — | (1,419) | — | (7) | ||||||||||
Plan assets at fair value at beginning of year—Significant Plans | $ | 12,977 | $ | 6,195 | $ | 319 | $ | 1,036 | ||||||
| First quarter activity | (1,030) | (226) | (19) | (135) | ||||||||||
| Plan assets at fair value at June 30, 2022—Significant Plans | $ | 11,947 | $ | 5,969 | $ | 300 | $ | 901 | ||||||
| Actual return on plan assets | (868) | (512) | (15) | (45) | ||||||||||
| Company contributions, net of reimbursements | 13 | 208 | (6) | — | ||||||||||
| Benefits paid, net of participants’ contributions and government subsidy | (253) | (69) | (13) | (17) | ||||||||||
Settlement (gain)(2) | — | (246) | — | — | ||||||||||
| Foreign exchange impact and other | — | (143) | — | (11) | ||||||||||
Plan assets at fair value at period end—Significant Plans | $ | 10,839 | $ | 5,207 | $ | 266 | $ | 828 | ||||||
Qualified plans(3) | $ | 940 | $ | 469 | $ | (140) | $ | 77 | ||||||
Nonqualified plans(4) | (559) | — | — | — | ||||||||||
Funded status of the plans at period end—Significant Plans | $ | 381 | $ | 469 | $ | (140) | $ | 77 | ||||||
| Net amount recognized at period end | ||||||||||||||
| Benefit asset | $ | 940 | $ | 844 | $ | — | $ | 77 | ||||||
| Benefit liability | (559) | (375) | (140) | — | ||||||||||
Net amount recognized on the balance sheet—Significant Plans | $ | 381 | $ | 469 | $ | (140) | $ | 77 | ||||||
Amounts recognized in AOCI at period end(5) | ||||||||||||||
| Prior service benefit | $ | — | $ | — | $ | 87 | $ | 37 | ||||||
| Net actuarial (loss) gain | (6,464) | (992) | 119 | (213) | ||||||||||
Net amount recognized in equity (pretax)—Significant Plans | $ | (6,464) | $ | (992) | $ | 206 | $ | (176) | ||||||
Accumulated benefit obligation at period end—Significant Plans | $ | 10,457 | $ | 4,563 | $ | 406 | $ | 751 | ||||||
(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.
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(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.
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 June 30, 2022 | Six Months Ended June 30, 2022 | ||||||
Beginning of period balance, net of tax(1)(2) | $ | (5,681) | $ | (5,852) | ||||
| Actuarial assumptions changes and plan experience | 1,499 | 3,024 | ||||||
| Net asset (loss) due to difference between actual and expected returns | (1,675) | (3,137) | ||||||
| Net amortization | 52 | 116 | ||||||
Curtailment/settlement (gain)(3) | (32) | (32) | ||||||
| Foreign exchange impact and other | 83 | 133 | ||||||
| Change in deferred taxes, net | (16) | (22) | ||||||
| Change, net of tax | $ | (89) | $ | 82 | ||||
End of period balance, net of tax(1)(2) | $ | (5,770) | $ | (5,770) | ||||
(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 | |||||||
| Jun. 30, 2022 | Jun. 30, 2021 | |||||||
| U.S. plans | ||||||||
| Qualified pension | 3.80 | % | 3.10 | % | ||||
| Nonqualified pension | 3.85 | 3.00 | ||||||
| Postretirement | 3.85 | 2.85 | ||||||
| Non-U.S. plans | ||||||||
| Pension | 1.10–10.00 | 0.25–9.30 | ||||||
| Weighted average | 5.55 | 4.26 | ||||||
| Postretirement | 10.10 | 9.70 | ||||||
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 | Jun. 30, 2022 | Mar. 31, 2022 | Dec. 31, 2021 | ||||||||
| U.S. plans | |||||||||||
| Qualified pension | 4.80 | % | 3.80 | % | 2.80 | % | |||||
| Nonqualified pension | 4.80 | 3.85 | 2.80 | ||||||||
| Postretirement | 4.75 | 3.85 | 2.75 | ||||||||
| Non-U.S. plans | |||||||||||
| Pension | 2.00–10.75 | 1.10–10.00 | 0.25–9.80 | ||||||||
| Weighted average | 6.68 | 5.55 | 4.56 | ||||||||
| Postretirement | 10.75 | 10.10 | 10.00 | ||||||||
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 June 30, 2022 | ||||||||
| In millions of dollars | One-percentage-point increase | One-percentage-point decrease | ||||||
| Pension | ||||||||
| U.S. plans | $ | 7 | $ | (9) | ||||
| Non-U.S. plans | 5 | 6 | ||||||
| Postretirement | ||||||||
| U.S. plans | — | — | ||||||
| Non-U.S. plans | (1) | 1 | ||||||
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Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first six months of 2022.
The following table summarizes the Company’s actual contributions for the six months ended June 30, 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 (reimbursements)(2)(3) for the six months ended June 30 | $ | 28 | $ | 27 | $ | 389 | $ | 78 | $ | (1) | $ | 9 | $ | 5 | $ | 4 | ||||||||||
| Company contributions during the remainder of the year | — | 29 | — | 77 | — | 13 | — | 4 | ||||||||||||||||||
Company contributions expected to be made during the remainder of the year(3) | 31 | — | 52 | — | 3 | — | 4 | — | ||||||||||||||||||
(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)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.
Defined Contribution Plans
The following table summarizes the Company’s contributions for the defined contribution plans:
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| U.S. plans | $ | 119 | $ | 106 | $ | 238 | $ | 211 | ||||||
| Non-U.S. plans | 99 | 91 | 205 | 183 | ||||||||||
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 June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Service-related expense | ||||||||||||||
| Amortization of unrecognized: | ||||||||||||||
| Net actuarial loss | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||
| Total service-related expense | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||
| Non-service-related expense (benefit) | $ | 1 | $ | (1) | $ | 6 | $ | 4 | ||||||
| Total net expense | $ | 2 | $ | — | $ | 7 | $ | 5 | ||||||
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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 June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars, except per share amounts | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Earnings per common share | ||||||||||||||
| Income from continuing operations before attribution to noncontrolling interests | $ | 4,789 | $ | 6,193 | $ | 9,114 | $ | 14,170 | ||||||
| Less: Noncontrolling interests from continuing operations | 21 | 10 | 38 | 43 | ||||||||||
| Net income from continuing operations (for EPS purposes) | $ | 4,768 | $ | 6,183 | $ | 9,076 | $ | 14,127 | ||||||
| Income (loss) from discontinued operations, net of taxes | (221) | 10 | (223) | 8 | ||||||||||
| Citigroup’s net income | $ | 4,547 | $ | 6,193 | $ | 8,853 | $ | 14,135 | ||||||
| Less: Preferred dividends | 238 | 253 | 517 | 545 | ||||||||||
| Net income available to common shareholders | $ | 4,309 | $ | 5,940 | $ | 8,336 | $ | 13,590 | ||||||
| Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS | 35 | 41 | 60 | 107 | ||||||||||
| Net income allocated to common shareholders for basic EPS | $ | 4,274 | $ | 5,899 | $ | 8,276 | $ | 13,483 | ||||||
Weighted-average common shares outstanding applicable to basic EPS (in millions) | 1,941.5 | 2,056.5 | 1,956.6 | 2,069.3 | ||||||||||
Basic earnings per share(1) | ||||||||||||||
| Income from continuing operations | $ | 2.32 | $ | 2.86 | $ | 4.34 | $ | 6.51 | ||||||
| Discontinued operations | (0.11) | — | (0.11) | — | ||||||||||
| Net income per share—basic | $ | 2.20 | $ | 2.87 | $ | 4.23 | $ | 6.52 | ||||||
| Diluted earnings per share | ||||||||||||||
| Net income allocated to common shareholders for basic EPS | $ | 4,274 | $ | 5,899 | $ | 8,276 | $ | 13,483 | ||||||
| Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable | 11 | 8 | 19 | 15 | ||||||||||
| Net income allocated to common shareholders for diluted EPS | $ | 4,285 | $ | 5,907 | $ | 8,295 | $ | 13,498 | ||||||
Weighted-average common shares outstanding applicable to basic EPS (in millions) | 1,941.5 | 2,056.5 | 1,956.6 | 2,069.3 | ||||||||||
| Effect of dilutive securities | ||||||||||||||
Options(2) | — | — | — | — | ||||||||||
| Other employee plans | 16.6 | 16.5 | 16.6 | 15.5 | ||||||||||
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(3) | 1,958.1 | 2,073.0 | 1,973.2 | 2,084.8 | ||||||||||
Diluted earnings per share(1) | ||||||||||||||
| Income from continuing operations | $ | 2.30 | $ | 2.84 | $ | 4.32 | $ | 6.47 | ||||||
| Discontinued operations | (0.11) | — | (0.11) | — | ||||||||||
| Net income per share—diluted | $ | 2.19 | $ | 2.85 | $ | 4.20 | $ | 6.47 | ||||||
(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 and second 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.
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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 | June 30, 2022 | December 31, 2021 | ||||||
| Securities purchased under agreements to resell | $ | 271,890 | $ | 236,252 | ||||
| Deposits paid for securities borrowed | 89,471 | 91,042 | ||||||
Total, net(1) | $ | 361,361 | $ | 327,294 | ||||
Allowance for credit losses on securities purchased and borrowed(2) | (27) | (6) | ||||||
| Total, net of allowance | $ | 361,334 | $ | 327,288 | ||||
Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:
| In millions of dollars | June 30, 2022 | December 31, 2021 | ||||||
| Securities sold under agreements to repurchase | $ | 177,977 | $ | 174,255 | ||||
| Deposits received for securities loaned | 20,495 | 17,030 | ||||||
Total, net(1) | $ | 198,472 | $ | 191,285 | ||||
(1) The above tables do not include securities-for-securities lending transactions of $3.3 billion and $3.6 billion at June 30, 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 the Company elected the fair value option, 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 June 30, 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 | $ | 371,889 | $ | 99,999 | $ | 271,890 | $ | 179,718 | $ | 92,172 | |||||||
| Deposits paid for securities borrowed | 98,890 | 9,419 | 89,471 | 12,690 | 76,781 | ||||||||||||
| Total | $ | 470,779 | $ | 109,418 | $ | 361,361 | $ | 192,408 | $ | 168,953 | |||||||
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| 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 | $ | 277,976 | $ | 99,999 | $ | 177,977 | $ | 72,056 | $ | 105,921 | |||||||
| Deposits received for securities loaned | 29,914 | 9,419 | 20,495 | 2,517 | 17,978 | ||||||||||||
| Total | $ | 307,890 | $ | 109,418 | $ | 198,472 | $ | 74,573 | $ | 123,899 | |||||||
| 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 | $ | 367,594 | $ | 131,342 | $ | 236,252 | $ | 205,349 | $ | 30,903 | |||||||
| Deposits paid for securities borrowed | 107,041 | 15,999 | 91,042 | 17,326 | 73,716 | ||||||||||||
| Total | $ | 474,635 | $ | 147,341 | $ | 327,294 | $ | 222,675 | $ | 104,619 | |||||||
| 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 | $ | 305,597 | $ | 131,342 | $ | 174,255 | $ | 85,184 | $ | 89,071 | |||||||
| Deposits received for securities loaned | 33,029 | 15,999 | 17,030 | 2,868 | 14,162 | ||||||||||||
| Total | $ | 338,626 | $ | 147,341 | $ | 191,285 | $ | 88,052 | $ | 103,233 | |||||||
(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 June 30, 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 | $ | 122,684 | $ | 74,776 | $ | 27,466 | $ | 53,050 | $ | 277,976 | |||||||
| Deposits received for securities loaned | 20,504 | 1 | 1,452 | 7,957 | 29,914 | ||||||||||||
| Total | $ | 143,188 | $ | 74,777 | $ | 28,918 | $ | 61,007 | $ | 307,890 | |||||||
| 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 | $ | 127,679 | $ | 93,257 | $ | 32,908 | $ | 51,753 | $ | 305,597 | |||||||
| Deposits received for securities loaned | 23,387 | 6 | 1,392 | 8,244 | 33,029 | ||||||||||||
| Total | $ | 151,066 | $ | 93,263 | $ | 34,300 | $ | 59,997 | $ | 338,626 | |||||||
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The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by class of underlying collateral:
| As of June 30, 2022 | |||||||||||
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total | ||||||||
| U.S. Treasury and federal agency securities | $ | 92,263 | $ | — | $ | 92,263 | |||||
| State and municipal securities | 993 | — | 993 | ||||||||
| Foreign government securities | 125,611 | 127 | 125,738 | ||||||||
| Corporate bonds | 15,494 | 133 | 15,627 | ||||||||
| Equity securities | 11,428 | 29,637 | 41,065 | ||||||||
| Mortgage-backed securities | 23,506 | — | 23,506 | ||||||||
| Asset-backed securities | 1,683 | — | 1,683 | ||||||||
| Other | 6,998 | 17 | 7,015 | ||||||||
| Total | $ | 277,976 | $ | 29,914 | $ | 307,890 | |||||
| As of December 31, 2021 | |||||||||||
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total | ||||||||
| U.S. Treasury and federal agency securities | $ | 85,861 | $ | 90 | $ | 85,951 | |||||
| State and municipal securities | 1,053 | — | 1,053 | ||||||||
| Foreign government securities | 133,352 | 212 | 133,564 | ||||||||
| Corporate bonds | 20,398 | 152 | 20,550 | ||||||||
| Equity securities | 25,653 | 32,517 | 58,170 | ||||||||
| Mortgage-backed securities | 33,573 | — | 33,573 | ||||||||
| Asset-backed securities | 1,681 | — | 1,681 | ||||||||
| Other | 4,026 | 58 | 4,084 | ||||||||
| Total | $ | 305,597 | $ | 33,029 | $ | 338,626 | |||||
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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 | June 30, 2022 | December 31, 2021 | ||||||
| Receivables from customers | $ | 25,531 | $ | 26,403 | ||||
| Receivables from brokers, dealers and clearing organizations | 54,955 | 27,937 | ||||||
Total brokerage receivables(1) | $ | 80,486 | $ | 54,340 | ||||
| Payables to customers | $ | 75,299 | $ | 52,158 | ||||
| Payables to brokers, dealers and clearing organizations | 21,175 | 9,272 | ||||||
Total brokerage payables(1) | $ | 96,474 | $ | 61,430 | ||||
(1) Includes brokerage receivables and payables recorded by Citi broker-dealer entities that are accounted for in accordance with the AICPA Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320.
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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 | June 30, 2022 | December 31, 2021 | ||||||
| Debt securities available-for-sale (AFS) | $ | 238,499 | $ | 288,522 | ||||
Debt securities held-to-maturity (HTM)(1) | 267,592 | 216,963 | ||||||
Marketable equity securities carried at fair value(2) | 588 | 543 | ||||||
Non-marketable equity securities carried at fair value(2) | 458 | 489 | ||||||
Non-marketable equity securities measured using the measurement alternative(3) | 1,670 | 1,413 | ||||||
Non-marketable equity securities carried at cost(4) | 5,071 | 4,892 | ||||||
| Total investments | $ | 513,878 | $ | 512,822 | ||||
(1)Carried at adjusted amortized cost basis, net of any ACL.
(2)Unrealized gains and losses are recognized in earnings.
(3)Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See “Non-Marketable Equity Securities Not Carried at Fair Value” below.
(4) Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.
The following table presents interest and dividend income on investments:
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Taxable interest | $ | 2,274 | $ | 1,723 | $ | 4,287 | $ | 3,375 | ||||||
| Interest exempt from U.S. federal income tax | 38 | 57 | 43 | 123 | ||||||||||
| Dividend income | 58 | 38 | 90 | 72 | ||||||||||
| Total interest and dividend income on investments | $ | 2,370 | $ | 1,818 | $ | 4,420 | $ | 3,570 | ||||||
The following table presents realized gains and losses on the sales of investments, which exclude impairment losses:
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Gross realized investment gains | $ | 27 | $ | 155 | $ | 180 | $ | 615 | ||||||
| Gross realized investment losses | (85) | (18) | (158) | (77) | ||||||||||
| Net realized gains (losses) on sales of investments | $ | (58) | $ | 137 | $ | 22 | $ | 538 | ||||||
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Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
| June 30, 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(2) | $ | 12,982 | $ | 25 | $ | 492 | $ | — | $ | 12,515 | $ | 33,064 | $ | 453 | $ | 301 | $ | — | $ | 33,216 | ||||||||||||
| Non-U.S. residential | 281 | — | 3 | — | 278 | 380 | 1 | 1 | — | 380 | ||||||||||||||||||||||
| Commercial | 7 | — | — | — | 7 | 25 | — | — | — | 25 | ||||||||||||||||||||||
| Total mortgage-backed securities | $ | 13,270 | $ | 25 | $ | 495 | $ | — | $ | 12,800 | $ | 33,469 | $ | 454 | $ | 302 | $ | — | $ | 33,621 | ||||||||||||
| U.S. Treasury and federal agency securities | ||||||||||||||||||||||||||||||||
| U.S. Treasury | $ | 94,740 | $ | 42 | $ | 2,918 | $ | — | $ | 91,864 | $ | 122,669 | $ | 615 | $ | 844 | $ | — | $ | 122,440 | ||||||||||||
| Agency obligations | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||
| Total U.S. Treasury and federal agency securities | $ | 94,740 | $ | 42 | $ | 2,918 | $ | — | $ | 91,864 | $ | 122,669 | $ | 615 | $ | 844 | $ | — | $ | 122,440 | ||||||||||||
| State and municipal | $ | 2,677 | $ | 16 | $ | 201 | $ | — | $ | 2,492 | $ | 2,643 | $ | 79 | $ | 101 | $ | — | $ | 2,621 | ||||||||||||
| Foreign government | 122,184 | 424 | 2,922 | — | 119,686 | 119,426 | 337 | 1,023 | — | 118,740 | ||||||||||||||||||||||
| Corporate | 6,646 | 19 | 214 | 6 | 6,445 | 5,972 | 33 | 77 | 8 | 5,920 | ||||||||||||||||||||||
Asset-backed securities(1) | 275 | 2 | 1 | — | 276 | 304 | — | 1 | — | 303 | ||||||||||||||||||||||
| Other debt securities | 4,948 | — | 12 | — | 4,936 | 4,880 | 1 | 4 | — | 4,877 | ||||||||||||||||||||||
| Total debt securities AFS | $ | 244,740 | $ | 528 | $ | 6,763 | $ | 6 | $ | 238,499 | $ | 289,363 | $ | 1,519 | $ | 2,352 | $ | 8 | $ | 288,522 | ||||||||||||
(1)The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. See Note 18 for mortgage- and asset-backed securitizations in which the Company has other involvement.
(2)In June 2022, Citibank transferred $21.5 billion of agency residential mortgage-backed securities from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized loss position of $2.3 billion. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities.
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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 | ||||||||||||||
| June 30, 2022 | ||||||||||||||||||||
| Debt securities AFS | ||||||||||||||||||||
| Mortgage-backed securities | ||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | $ | 10,219 | $ | 387 | $ | 1,048 | $ | 105 | $ | 11,267 | $ | 492 | ||||||||
| Non-U.S. residential | 197 | 3 | — | — | 197 | 3 | ||||||||||||||
| Commercial | 6 | — | 1 | — | 7 | — | ||||||||||||||
| Total mortgage-backed securities | $ | 10,422 | $ | 390 | $ | 1,049 | $ | 105 | $ | 11,471 | $ | 495 | ||||||||
| U.S. Treasury | $ | 53,236 | $ | 1,322 | $ | 29,263 | $ | 1,596 | $ | 82,499 | $ | 2,918 | ||||||||
| State and municipal | 842 | 53 | 1,037 | 148 | 1,879 | 201 | ||||||||||||||
| Foreign government | 85,907 | 2,407 | 10,757 | 515 | 96,664 | 2,922 | ||||||||||||||
| Corporate | 4,601 | 196 | 254 | 18 | 4,855 | 214 | ||||||||||||||
| Asset-backed securities | 174 | 1 | — | — | 174 | 1 | ||||||||||||||
| Other debt securities | 3,475 | 12 | — | — | 3,475 | 12 | ||||||||||||||
| Total debt securities AFS | $ | 158,657 | $ | 4,381 | $ | 42,360 | $ | 2,382 | $ | 201,017 | $ | 6,763 | ||||||||
| December 31, 2021 | ||||||||||||||||||||
| Debt securities AFS | ||||||||||||||||||||
| Mortgage-backed securities | ||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | $ | 17,039 | $ | 270 | $ | 698 | $ | 31 | $ | 17,737 | $ | 301 | ||||||||
| Non-U.S. residential | 96 | 1 | 1 | — | 97 | 1 | ||||||||||||||
| Commercial | — | — | — | — | — | — | ||||||||||||||
| Total mortgage-backed securities | $ | 17,135 | $ | 271 | $ | 699 | $ | 31 | $ | 17,834 | $ | 302 | ||||||||
| U.S. Treasury and federal agency securities | ||||||||||||||||||||
| U.S. Treasury | $ | 56,448 | $ | 713 | $ | 6,310 | $ | 131 | $ | 62,758 | $ | 844 | ||||||||
| Agency obligations | — | — | — | — | — | — | ||||||||||||||
| Total U.S. Treasury and federal agency securities | $ | 56,448 | $ | 713 | $ | 6,310 | $ | 131 | $ | 62,758 | $ | 844 | ||||||||
| State and municipal | $ | 229 | $ | 3 | $ | 874 | $ | 98 | $ | 1,103 | $ | 101 | ||||||||
| Foreign government | 64,319 | 826 | 9,924 | 197 | 74,243 | 1,023 | ||||||||||||||
| Corporate | 2,655 | 77 | 22 | — | 2,677 | 77 | ||||||||||||||
| Asset-backed securities | 108 | 1 | — | — | 108 | 1 | ||||||||||||||
| Other debt securities | 3,439 | 4 | — | — | 3,439 | 4 | ||||||||||||||
| Total debt securities AFS | $ | 144,333 | $ | 1,895 | $ | 17,829 | $ | 457 | $ | 162,162 | $ | 2,352 | ||||||||
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The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
| June 30, 2022 | December 31, 2021 | |||||||||||||
| In millions of dollars | Amortized cost | Fair value | Amortized cost | Fair value | ||||||||||
Mortgage-backed securities(1) | ||||||||||||||
| Due within 1 year | $ | 92 | $ | 92 | $ | 188 | $ | 189 | ||||||
| After 1 but within 5 years | 250 | 245 | 211 | 211 | ||||||||||
| After 5 but within 10 years | 418 | 402 | 523 | 559 | ||||||||||
| After 10 years | 12,510 | 12,061 | 32,547 | 32,662 | ||||||||||
| Total | $ | 13,270 | $ | 12,800 | $ | 33,469 | $ | 33,621 | ||||||
| U.S. Treasury and federal agency securities | ||||||||||||||
| Due within 1 year | $ | 14,951 | $ | 14,893 | $ | 34,321 | $ | 34,448 | ||||||
| After 1 but within 5 years | 79,446 | 76,660 | 87,987 | 87,633 | ||||||||||
| After 5 but within 10 years | 343 | 311 | 361 | 359 | ||||||||||
| After 10 years | — | — | — | — | ||||||||||
| Total | $ | 94,740 | $ | 91,864 | $ | 122,669 | $ | 122,440 | ||||||
| State and municipal | ||||||||||||||
| Due within 1 year | $ | 25 | $ | 26 | $ | 40 | $ | 40 | ||||||
| After 1 but within 5 years | 103 | 103 | 121 | 124 | ||||||||||
| After 5 but within 10 years | 233 | 221 | 156 | 161 | ||||||||||
| After 10 years | 2,316 | 2,142 | 2,326 | 2,296 | ||||||||||
| Total | $ | 2,677 | $ | 2,492 | $ | 2,643 | $ | 2,621 | ||||||
| Foreign government | ||||||||||||||
| Due within 1 year | $ | 58,444 | $ | 58,203 | $ | 49,263 | $ | 49,223 | ||||||
| After 1 but within 5 years | 59,663 | 57,644 | 64,555 | 63,961 | ||||||||||
| After 5 but within 10 years | 2,555 | 2,324 | 3,736 | 3,656 | ||||||||||
| After 10 years | 1,522 | 1,515 | 1,872 | 1,900 | ||||||||||
| Total | $ | 122,184 | $ | 119,686 | $ | 119,426 | $ | 118,740 | ||||||
All other(2) | ||||||||||||||
| Due within 1 year | $ | 5,902 | $ | 5,882 | $ | 5,175 | $ | 5,180 | ||||||
| After 1 but within 5 years | 5,096 | 4,965 | 5,177 | 5,149 | ||||||||||
| After 5 but within 10 years | 812 | 806 | 750 | 750 | ||||||||||
| After 10 years | 59 | 4 | 54 | 21 | ||||||||||
| Total | $ | 11,869 | $ | 11,657 | $ | 11,156 | $ | 11,100 | ||||||
| Total debt securities AFS | $ | 244,740 | $ | 238,499 | $ | 289,363 | $ | 288,522 | ||||||
(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.
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Debt Securities Held-to-Maturity
The carrying value and fair value of debt securities HTM were as follows:
| In millions of dollars | Amortized cost, net(1) | Gross unrealized gains | Gross unrealized losses | Fair value | ||||||||||
| June 30, 2022 | ||||||||||||||
| Debt securities HTM | ||||||||||||||
Mortgage-backed securities(2) | ||||||||||||||
U.S. government-sponsored agency guaranteed(3) | $ | 88,744 | $ | 446 | $ | 6,611 | $ | 82,579 | ||||||
| Non-U.S. residential | 541 | — | — | 541 | ||||||||||
| Commercial | 1,157 | 5 | 1 | 1,161 | ||||||||||
| Total mortgage-backed securities | $ | 90,442 | $ | 451 | $ | 6,612 | $ | 84,281 | ||||||
| U.S. Treasury securities | $ | 134,978 | $ | — | $ | 10,152 | $ | 124,826 | ||||||
| State and municipal | 9,076 | 60 | 594 | 8,542 | ||||||||||
| Foreign government | 2,016 | — | 90 | 1,926 | ||||||||||
Asset-backed securities(2) | 31,080 | 4 | 855 | 30,229 | ||||||||||
| Total debt securities HTM, net | $ | 267,592 | $ | 515 | $ | 18,303 | $ | 249,804 | ||||||
| December 31, 2021 | ||||||||||||||
| Debt securities HTM | ||||||||||||||
Mortgage-backed securities(2) | ||||||||||||||
| U.S. government-sponsored agency guaranteed | $ | 63,885 | $ | 1,076 | $ | 925 | $ | 64,036 | ||||||
| Non-U.S. residential | 736 | 3 | — | 739 | ||||||||||
| Commercial | 1,070 | 4 | 2 | 1,072 | ||||||||||
| Total mortgage-backed securities | $ | 65,691 | $ | 1,083 | $ | 927 | $ | 65,847 | ||||||
| U.S. Treasury securities | $ | 111,819 | $ | 30 | $ | 1,632 | $ | 110,217 | ||||||
State and municipal(4) | 8,923 | 589 | 12 | 9,500 | ||||||||||
| Foreign government | 1,651 | 4 | 36 | 1,619 | ||||||||||
Asset-backed securities(2) | 28,879 | 8 | 32 | 28,855 | ||||||||||
| Total debt securities HTM, net | $ | 216,963 | $ | 1,714 | $ | 2,639 | $ | 216,038 | ||||||
(1)Amortized cost is reported net of ACL of $105 million and $87 million at June 30, 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 June 2022, Citibank transferred $21.5 billion of agency residential mortgage-backed securities from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized loss position of $2.3 billion. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities.
(4)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.
119
The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
| June 30, 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 | $ | 15 | $ | 15 | $ | 152 | $ | 151 | ||||||
| After 1 but within 5 years | 722 | 722 | 684 | 725 | ||||||||||
| After 5 but within 10 years | 1,563 | 1,504 | 1,655 | 1,739 | ||||||||||
| After 10 years | 88,142 | 82,040 | 63,200 | 63,232 | ||||||||||
| Total | $ | 90,442 | $ | 84,281 | $ | 65,691 | $ | 65,847 | ||||||
| U.S. Treasury securities | ||||||||||||||
| Due within 1 year | $ | — | $ | — | $ | — | $ | — | ||||||
| After 1 but within 5 years | 89,460 | 83,848 | 65,498 | 64,516 | ||||||||||
| After 5 but within 10 years | 45,518 | 40,978 | 46,321 | 45,701 | ||||||||||
| After 10 years | — | — | — | — | ||||||||||
| Total | $ | 134,978 | $ | 124,826 | $ | 111,819 | $ | 110,217 | ||||||
| State and municipal | ||||||||||||||
| Due within 1 year | $ | 54 | $ | 54 | $ | 51 | $ | 50 | ||||||
| After 1 but within 5 years | 159 | 160 | 166 | 170 | ||||||||||
| After 5 but within 10 years | 919 | 902 | 908 | 951 | ||||||||||
| After 10 years | 7,944 | 7,426 | 7,798 | 8,329 | ||||||||||
| Total | $ | 9,076 | $ | 8,542 | $ | 8,923 | $ | 9,500 | ||||||
| Foreign government | ||||||||||||||
| Due within 1 year | $ | — | $ | — | $ | 292 | $ | 291 | ||||||
| After 1 but within 5 years | 2,016 | 1,926 | 1,359 | 1,328 | ||||||||||
| After 5 but within 10 years | — | — | — | — | ||||||||||
| After 10 years | — | — | — | — | ||||||||||
| Total | $ | 2,016 | $ | 1,926 | $ | 1,651 | $ | 1,619 | ||||||
All other(2) | ||||||||||||||
| Due within 1 year | $ | — | $ | — | $ | — | $ | — | ||||||
| After 1 but within 5 years | — | — | — | — | ||||||||||
| After 5 but within 10 years | 11,926 | 11,720 | 11,520 | 11,515 | ||||||||||
| After 10 years | 19,154 | 18,509 | 17,359 | 17,340 | ||||||||||
| Total | $ | 31,080 | $ | 30,229 | $ | 28,879 | $ | 28,855 | ||||||
| Total debt securities HTM | $ | 267,592 | $ | 249,804 | $ | 216,963 | $ | 216,038 | ||||||
(1)Amortized cost is reported net of ACL of $105 million and $87 million at June 30, 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 June 30, 2022 or December 31, 2021.
There were no purchased credit-deteriorated HTM debt securities held by the Company as of June 30, 2022 or December 31, 2021.
120
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.
Citi records no allowances for credit losses on U.S. Treasury securities and 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.
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 nor will likely 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.
121
Recognition and Measurement of Impairment
The following tables present total impairment on Investments recognized in earnings:
| Three Months Ended June 30, 2022 | Three Months Ended June 30, 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 | 90 | — | 90 | 9 | — | 9 | ||||||||||||||
| Total impairment losses recognized in earnings | $ | 90 | $ | — | $ | 90 | $ | 9 | $ | — | $ | 9 | ||||||||
| Six Months Ended June 30, 2022 | Six Months Ended June 30, 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 | 180 | — | 180 | 78 | — | 78 | ||||||||||||||
| Total impairment losses recognized in earnings | $ | 180 | $ | — | $ | 180 | $ | 78 | $ | — | $ | 78 | ||||||||
122
Allowance for Credit Losses on AFS Debt Securities
| Three Months Ended June 30, 2022 | ||||||||
| In millions of dollars | Corporate | Total AFS | ||||||
| Allowance for credit losses at beginning of period | $ | 8 | $ | 8 | ||||
| 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 | (2) | (2) | ||||||
| Total provision for credit losses | $ | (2) | $ | (2) | ||||
| Initial allowance on newly purchased credit-deteriorated securities during the period | — | — | ||||||
| Allowance for credit losses at end of period | $ | 6 | $ | 6 | ||||
| Six Months Ended June 30, 2022 | ||||||||
| In millions of dollars | Corporate | Total AFS | ||||||
| Allowance for credit losses at beginning of period | $ | 8 | $ | 8 | ||||
| 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 | (2) | (2) | ||||||
| Total provision for credit losses | $ | (2) | $ | (2) | ||||
| Initial allowance on newly purchased credit-deteriorated securities during the period | — | — | ||||||
| Allowance for credit losses at end of period | $ | 6 | $ | 6 | ||||
123
| Three Months Ended June 30, 2021 | ||||||||
| In millions of dollars | Corporate | Total AFS | ||||||
| Allowance for credit losses at beginning of period | $ | 5 | $ | 5 | ||||
| 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 | $ | 5 | $ | 5 | ||||
| Six Months Ended June 30, 2021 | ||||||||
| In millions of dollars | Corporate | Total AFS | ||||||
| Allowance for credit losses at beginning of period | $ | 5 | $ | 5 | ||||
| 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 | $ | 5 | $ | 5 | ||||
124
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 June 30, 2022 and December 31, 2021:
| In millions of dollars | June 30, 2022 | December 31, 2021 | ||||||
| Measurement alternative: | ||||||||
| Carrying value | $ | 1,670 | $ | 1,413 | ||||
Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
Measurement alternative:(1) | ||||||||||||||
| Impairment losses | $ | 6 | $ | 4 | $ | 6 | $ | 4 | ||||||
| Downward changes for observable prices | — | — | — | — | ||||||||||
| Upward changes for observable prices | 48 | 215 | 134 | 296 | ||||||||||
(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 | June 30, 2022 | ||||
| Measurement alternative: | |||||
| Impairment losses | $ | 86 | |||
| Downward changes for observable prices | 3 | ||||
| Upward changes for observable prices | 824 | ||||
A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three months ended June 30, 2022 and 2021, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.
125
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. Citi has concluded that it is in conformance with the Volcker Rule with respect to its investments in these funds.
| Fair value | Unfunded commitments | Redemption frequency (if currently eligible) monthly, quarterly, annually | Redemption notice period | |||||||||||||||||
| In millions of dollars | June 30, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | ||||||||||||||||
Private equity funds(1)(2) | $ | 118 | $ | 123 | $ | 60 | $ | 60 | N/A | N/A | ||||||||||
Real estate funds(2)(3) | 1 | 2 | 1 | 1 | N/A | N/A | ||||||||||||||
| Mutual/collective investment funds | 22 | 20 | — | — | N/A | N/A | ||||||||||||||
| Total | $ | 141 | $ | 145 | $ | 61 | $ | 61 | 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
126
13. LOANS
Citigroup loans are reported in two categories: corporate and consumer. These categories are classified primarily according to the operating segment and component that manage the loans in addition to the nature of the obligor, with corporate loans generally made for corporate institutional and public sector clients around the world and consumer loans to retail and small business customers. For additional information regarding Citi’s corporate and consumer loans, including related accounting policies, see Note 1 and Notes 1 and 14 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
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 | June 30, 2022 | December 31, 2021 | ||||||
In North America offices(1) | ||||||||
| Commercial and industrial | $ | 55,823 | $ | 48,364 | ||||
| Financial institutions | 46,088 | 49,804 | ||||||
Mortgage and real estate(2) | 17,359 | 15,965 | ||||||
| Installment and other | 20,466 | 20,143 | ||||||
| Lease financing | 379 | 415 | ||||||
| Total | $ | 140,115 | $ | 134,691 | ||||
In offices outside North America(1) | ||||||||
| Commercial and industrial | $ | 108,274 | $ | 102,735 | ||||
| Financial institutions | 24,654 | 22,158 | ||||||
Mortgage and real estate(2) | 4,455 | 4,374 | ||||||
| Installment and other | 19,862 | 22,812 | ||||||
| Lease financing | 53 | 40 | ||||||
| Governments and official institutions | 4,315 | 4,423 | ||||||
| Total | $ | 161,613 | $ | 156,542 | ||||
Corporate loans, net of unearned income(3) | $ | 301,728 | $ | 291,233 | ||||
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Corporate loans are net of unearned income of ($759) million and ($770) million at June 30, 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 $1.1 billion and $1.5 billion of corporate loans during the three and six months ended June 30, 2022, respectively, and $1.7 billion and $3.1 billion of corporate loans during the three and six months ended June 30, 2021, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and six months ended June 30, 2022 or 2021.
127
Corporate Loan Delinquencies and Non-Accrual Details at June 30, 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 | $ | 919 | $ | 358 | $ | 1,277 | $ | 1,407 | $ | 158,654 | $ | 161,338 | ||||||||
| Financial institutions | 304 | 162 | 466 | 78 | 69,904 | 70,448 | ||||||||||||||
| Mortgage and real estate | 11 | 20 | 31 | 77 | 21,653 | 21,761 | ||||||||||||||
| Lease financing | — | — | — | 11 | 421 | 432 | ||||||||||||||
| Other | 86 | 29 | 115 | 82 | 43,024 | 43,221 | ||||||||||||||
| Loans at fair value | 4,528 | |||||||||||||||||||
| Total | $ | 1,320 | $ | 569 | $ | 1,889 | $ | 1,655 | $ | 293,656 | $ | 301,728 | ||||||||
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 | $ | 1,072 | $ | 239 | $ | 1,311 | $ | 1,263 | $ | 144,430 | $ | 147,004 | ||||||||
| Financial institutions | 320 | 166 | 486 | 2 | 71,279 | 71,767 | ||||||||||||||
| Mortgage and real estate | 1 | 1 | 2 | 136 | 20,153 | 20,291 | ||||||||||||||
| Lease financing | — | — | — | 14 | 441 | 455 | ||||||||||||||
| Other | 77 | 19 | 96 | 138 | 45,412 | 45,646 | ||||||||||||||
| Loans at fair value | 6,070 | |||||||||||||||||||
| Total | $ | 1,470 | $ | 425 | $ | 1,895 | $ | 1,553 | $ | 281,715 | $ | 291,233 | ||||||||
(1)Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)Non-accrual loans generally include those loans that are 90 days or more past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest and/or principal is doubtful.
(3)Loans less than 30 days past due are presented as current.
(4)Total loans include loans at fair value, which are not included in the various delinquency columns.
128
Corporate Loans Credit Quality Indicators
Recorded investment in loans(1) | ||||||||||||||||||||||||||
| Term loans by year of origination | Revolving line of credit arrangements(2) | June 30, 2022 | ||||||||||||||||||||||||
| In millions of dollars | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | ||||||||||||||||||||
Investment grade(3) | ||||||||||||||||||||||||||
Commercial and industrial(4) | $ | 43,233 | $ | 7,890 | $ | 4,305 | $ | 4,009 | $ | 3,268 | $ | 9,500 | $ | 39,383 | $ | 111,588 | ||||||||||
Financial institutions(4) | 9,239 | 5,787 | 1,434 | 1,172 | 828 | 1,636 | 39,935 | 60,031 | ||||||||||||||||||
| Mortgage and real estate | 2,363 | 3,323 | 3,881 | 3,256 | 1,640 | 2,148 | 277 | 16,888 | ||||||||||||||||||
Other(5) | 6,049 | 2,752 | 2,228 | 1,027 | 2,177 | 5,244 | 18,476 | 37,953 | ||||||||||||||||||
| Total investment grade | $ | 60,884 | $ | 19,752 | $ | 11,848 | $ | 9,464 | $ | 7,913 | $ | 18,528 | $ | 98,071 | $ | 226,460 | ||||||||||
Non-investment grade(3) | ||||||||||||||||||||||||||
| Accrual | ||||||||||||||||||||||||||
Commercial and industrial(4) | $ | 14,009 | $ | 5,880 | $ | 2,167 | $ | 1,601 | $ | 1,511 | $ | 4,752 | $ | 18,423 | $ | 48,343 | ||||||||||
Financial institutions(4) | 5,092 | 1,111 | 252 | 341 | 57 | 494 | 2,992 | 10,339 | ||||||||||||||||||
| Mortgage and real estate | 196 | 853 | 519 | 860 | 995 | 994 | 379 | 4,796 | ||||||||||||||||||
Other(5) | 886 | 712 | 374 | 449 | 224 | 298 | 2,664 | 5,607 | ||||||||||||||||||
| Non-accrual | ||||||||||||||||||||||||||
Commercial and industrial(4) | 160 | 110 | 313 | 133 | 82 | 148 | 461 | 1,407 | ||||||||||||||||||
| Financial institutions | 41 | 35 | — | — | — | — | 2 | 78 | ||||||||||||||||||
| Mortgage and real estate | 6 | 1 | 1 | — | — | 23 | 46 | 77 | ||||||||||||||||||
Other(5) | 30 | 5 | 3 | 9 | 17 | 12 | 17 | 93 | ||||||||||||||||||
| Total non-investment grade | $ | 20,420 | $ | 8,707 | $ | 3,629 | $ | 3,393 | $ | 2,886 | $ | 6,721 | $ | 24,984 | $ | 70,740 | ||||||||||
Loans at fair value(6) | $ | 4,528 | ||||||||||||||||||||||||
| Corporate loans, net of unearned income | $ | 81,304 | $ | 28,459 | $ | 15,477 | $ | 12,857 | $ | 10,799 | $ | 25,249 | $ | 123,055 | $ | 301,728 | ||||||||||
129
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) | $ | 42,422 | $ | 5,529 | $ | 4,642 | $ | 3,757 | $ | 2,911 | $ | 8,392 | $ | 30,588 | $ | 98,241 | ||||||||||
Financial institutions(4) | 12,862 | 1,678 | 1,183 | 1,038 | 419 | 1,354 | 43,630 | 62,164 | ||||||||||||||||||
| Mortgage and real estate | 2,423 | 3,660 | 3,332 | 2,015 | 1,212 | 1,288 | 141 | 14,071 | ||||||||||||||||||
Other(5) | 9,037 | 3,099 | 1,160 | 2,789 | 330 | 4,601 | 18,727 | 39,743 | ||||||||||||||||||
| Total investment grade | $ | 66,744 | $ | 13,966 | $ | 10,317 | $ | 9,599 | $ | 4,872 | $ | 15,635 | $ | 93,086 | $ | 214,219 | ||||||||||
Non-investment grade(3) | ||||||||||||||||||||||||||
| Accrual | ||||||||||||||||||||||||||
Commercial and industrial(4) | $ | 16,783 | $ | 2,281 | $ | 2,343 | $ | 2,024 | $ | 1,412 | $ | 3,981 | $ | 18,676 | $ | 47,500 | ||||||||||
Financial institutions(4) | 4,325 | 347 | 567 | 101 | 71 | 511 | 3,679 | 9,601 | ||||||||||||||||||
| Mortgage and real estate | 1,275 | 869 | 1,228 | 1,018 | 493 | 586 | 615 | 6,084 | ||||||||||||||||||
Other(5) | 1,339 | 349 | 554 | 364 | 119 | 245 | 3,236 | 6,206 | ||||||||||||||||||
| Non-accrual | ||||||||||||||||||||||||||
Commercial and industrial(4) | 53 | 119 | 64 | 104 | 94 | 117 | 712 | 1,263 | ||||||||||||||||||
| Financial institutions | — | — | — | — | — | — | 2 | 2 | ||||||||||||||||||
| Mortgage and real estate | 11 | 8 | 2 | 49 | 10 | 25 | 31 | 136 | ||||||||||||||||||
Other(5) | 19 | 5 | 19 | 19 | — | 90 | — | 152 | ||||||||||||||||||
| Total non-investment grade | $ | 23,805 | $ | 3,978 | $ | 4,777 | $ | 3,679 | $ | 2,199 | $ | 5,555 | $ | 26,951 | $ | 70,944 | ||||||||||
Loans at fair value(6) | $ | 6,070 | ||||||||||||||||||||||||
| Corporate loans, net of unearned income | $ | 90,549 | $ | 17,944 | $ | 15,094 | $ | 13,278 | $ | 7,071 | $ | 21,190 | $ | 120,037 | $ | 291,233 | ||||||||||
(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.
130
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:
| June 30, 2022 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2022 | ||||||||||||||||||
| 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 | $ | 1,407 | $ | 2,042 | $ | 518 | $ | 1,485 | $ | 10 | $ | 18 | ||||||||
| Financial institutions | 78 | 137 | 35 | 36 | — | — | ||||||||||||||
| Mortgage and real estate | 77 | 77 | 1 | 129 | — | 2 | ||||||||||||||
| Lease financing | 11 | 11 | — | 15 | — | — | ||||||||||||||
| Other | 82 | 134 | 6 | 134 | 1 | 3 | ||||||||||||||
| Total non-accrual corporate loans | $ | 1,655 | $ | 2,401 | $ | 560 | $ | 1,799 | $ | 11 | $ | 23 | ||||||||
| 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 | $ | 1,263 | $ | 1,858 | $ | 198 | $ | 1,839 | ||||||
| Financial institutions | 2 | 55 | — | 4 | ||||||||||
| Mortgage and real estate | 136 | 285 | 10 | 163 | ||||||||||
| Lease financing | 14 | 14 | — | 21 | ||||||||||
| Other | 138 | 165 | 4 | 134 | ||||||||||
| Total non-accrual corporate loans | $ | 1,553 | $ | 2,377 | $ | 212 | $ | 2,161 | ||||||
| June 30, 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 | $ | 1,052 | $ | 518 | $ | 637 | $ | 198 | ||||||
| Financial institutions | 35 | 35 | — | — | ||||||||||
| Mortgage and real estate | 9 | 1 | 29 | 10 | ||||||||||
| Other | 20 | 6 | 37 | 4 | ||||||||||
| Total non-accrual corporate loans with specific allowances | $ | 1,116 | $ | 560 | $ | 703 | $ | 212 | ||||||
| Non-accrual corporate loans without specific allowances | ||||||||||||||
| Commercial and industrial | $ | 355 | N/A | $ | 626 | N/A | ||||||||
| Financial institutions | 43 | N/A | 2 | N/A | ||||||||||
| Mortgage and real estate | 68 | N/A | 107 | N/A | ||||||||||
| Lease financing | 11 | N/A | 14 | N/A | ||||||||||
| Other | 62 | N/A | 101 | N/A | ||||||||||
| Total non-accrual corporate loans without specific allowances | $ | 539 | N/A | $ | 850 | N/A | ||||||||
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowances.
(3)Interest income recognized for the three and six months ended June 30, 2021 was $15 million and $31 million, respectively.
N/A Not applicable
131
Corporate Troubled Debt Restructurings(1)
For the Three and Six Months Ended June 30, 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 | ||||||||||
| Three Months Ended June 30, 2022 | ||||||||||||||
| Commercial and industrial | $ | 3 | $ | — | $ | — | $ | 3 | ||||||
| Other | 23 | — | — | 23 | ||||||||||
| Total | $ | 26 | $ | — | $ | — | $ | 26 | ||||||
| Six Months Ended June 30, 2022 | ||||||||||||||
| Commercial and industrial | $ | 15 | $ | — | $ | — | $ | 15 | ||||||
| Other | 23 | 1 | — | 22 | ||||||||||
| Total | $ | 38 | $ | 1 | $ | — | $ | 37 | ||||||
For the Three and Six Months Ended June 30, 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 | ||||||||||
| Three Months Ended June 30, 2021 | ||||||||||||||
| Commercial and industrial | $ | 52 | $ | — | $ | — | $ | 52 | ||||||
| Mortgage and real estate | 5 | — | — | 5 | ||||||||||
| Other | — | — | — | — | ||||||||||
| Total | $ | 57 | $ | — | $ | — | $ | 57 | ||||||
| Six Months Ended June 30, 2021 | ||||||||||||||
| Commercial and industrial | $ | 73 | $ | — | $ | — | $ | 73 | ||||||
| Mortgage and real estate | 6 | — | — | 6 | ||||||||||
| Other | 1 | 1 | — | — | ||||||||||
| Total | $ | 80 | $ | 1 | $ | — | $ | 79 | ||||||
(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.
| TDR loans that re-defaulted within one year of modification during the | TDR loans that re-defaulted within one year of modification during the | |||||||||||||||||||
| In millions of dollars | TDR balances at June 30, 2022 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2022 | TDR balances at June 30, 2021 | Three Months Ended June 30, 2021 | Six Months Ended June 30, 2021 | ||||||||||||||
| Commercial and industrial | $ | 148 | $ | — | $ | — | $ | 298 | $ | — | $ | — | ||||||||
| Mortgage and real estate | 16 | — | — | 80 | — | — | ||||||||||||||
| Other | 39 | — | — | 38 | — | — | ||||||||||||||
Total(1) | $ | 203 | $ | — | $ | — | $ | 416 | $ | — | $ | — | ||||||||
(1)The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.
132
Consumer Loans
Consumer loans represent loans and leases managed primarily by PBWM and Legacy Franchises (except Mexico SBMM). The tables below present details about these loans, including the following loan categories:
•Residential first mortgages and Home equity loans in North America offices primarily represent secured mortgage lending to customers of Retail banking and Global Wealth (primarily Private bank and Citigold).
•Credit cards in North America offices primarily represents unsecured credit card lending to customers of Branded cards and Retail services.
•Personal, small business and other loans in North America is primarily composed of classifiably managed loans to customers of Global Wealth (mostly within the Private bank) who are typically high credit quality borrowers that historically experienced minimal delinquencies and credit losses. Loans to these borrowers are generally well collateralized in the form of liquid securities and other forms of collateral.
•Residential first mortgages and Home equity loans in offices outside of North America primarily represent secured mortgage lending to customers of Global Wealth (primarily Private bank and Citigold) as well as customers of Legacy Franchises.
•Credit cards in offices outside of North America primarily represents unsecured credit card lending to customers of Legacy Franchises, primarily in Asia and Mexico.
•Personal, small business and other loans in offices outside of North America is primarily composed of secured and unsecured loans to customers of PBWM and Legacy Franchises. A significant portion of PBWM loans are classifiably managed and represent loans to high credit quality Private bank customers who historically experienced minimal delinquencies and credit losses. Loans to these borrowers are generally well collateralized in the form of liquid securities and other forms of collateral.
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Consumer Loans, Delinquencies and Non-Accrual Status
In millions of dollars at June 30, 2022 | 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) | $ | 87,675 | $ | 341 | $ | 363 | $ | 283 | $ | 88,662 | $ | 83 | $ | 467 | $ | 550 | $ | 179 | |||||||||||
Home equity loans(8)(9) | 4,892 | 29 | 153 | — | 5,074 | 57 | 183 | 240 | — | ||||||||||||||||||||
| Credit cards | 135,454 | 1,009 | 949 | — | 137,412 | — | — | — | 949 | ||||||||||||||||||||
Personal, small business and other(10) | 39,320 | 72 | 25 | 19 | 39,436 | 2 | 14 | 16 | 26 | ||||||||||||||||||||
| Total | $ | 267,341 | $ | 1,451 | $ | 1,490 | $ | 302 | $ | 270,584 | $ | 142 | $ | 664 | $ | 806 | $ | 1,154 | |||||||||||
In offices outside North America(6) | |||||||||||||||||||||||||||||
Residential mortgages(7)(9) | $ | 27,988 | $ | 50 | $ | 91 | $ | — | $ | 28,129 | $ | — | $ | 290 | $ | 290 | $ | 10 | |||||||||||
| Credit cards | 11,610 | 123 | 125 | — | 11,858 | — | 98 | 98 | 52 | ||||||||||||||||||||
Personal, small business and other(10) | 44,860 | 104 | 70 | — | 45,034 | — | 186 | 186 | — | ||||||||||||||||||||
| Total | $ | 84,458 | $ | 277 | $ | 286 | $ | — | $ | 85,021 | $ | — | $ | 574 | $ | 574 | $ | 62 | |||||||||||
Total Citigroup(11) | $ | 351,799 | $ | 1,728 | $ | 1,776 | $ | 302 | $ | 355,605 | $ | 142 | $ | 1,238 | $ | 1,380 | $ | 1,216 | |||||||||||
(1)Loans less than 30 days past due are presented as current.
(2)Includes $8 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes delinquencies on $33.9 billion and $20.9 billion of classifiably managed Private bank loans in North America and outside of North America, respectively.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification. Most modified loans in North America would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed).
(5)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 $0.2 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, and $19.6 billion of residential mortgages outside of North America related to the Global Wealth business.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Includes loans related to the Global Wealth business: $36.3 billion in North America, approximately $33.9 billion of which are classifiably managed, and as of June 30, 2022 approximately 95% were rated investment grade; and $30.6 billion outside of North America, approximately $20.9 billion of which are classifiably managed, and as of June 30, 2022 approximately 93% were rated investment grade. The classifiably managed portion of these loans is shown as “current” because the delinquency status is not applicable, since these loans are primarily evaluated for credit risk based on their internal risk classification.
(11)Consumer loans are net of unearned income of $631 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
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Consumer Loans, Delinquencies and Non-Accrual Status
In millions of dollars at December 31, 2021 | Total current(1)(2) | 30–89 days past due(3)(4)(5) | ≥ 90 days past due(3)(4)(5) | Past due government guaranteed(5)(6) | Total loans | Non-accrual loans for which there is no ACLL | Non-accrual loans for which there is an ACLL | Total non-accrual | 90 days past due and accruing | ||||||||||||||||||||
In North America offices(7) | |||||||||||||||||||||||||||||
Residential first mortgages(8) | $ | 82,087 | $ | 381 | $ | 499 | $ | 394 | $ | 83,361 | $ | 134 | $ | 559 | $ | 693 | $ | 282 | |||||||||||
Home equity loans(9)(10) | 5,546 | 43 | 156 | — | 5,745 | 64 | 221 | 285 | — | ||||||||||||||||||||
| Credit cards | 132,050 | 947 | 871 | — | 133,868 | — | — | — | 871 | ||||||||||||||||||||
Personal, small business and other(11) | 40,533 | 126 | 16 | 38 | 40,713 | 2 | 70 | 72 | 30 | ||||||||||||||||||||
| Total | $ | 260,216 | $ | 1,497 | $ | 1,542 | $ | 432 | $ | 263,687 | $ | 200 | $ | 850 | $ | 1,050 | $ | 1,183 | |||||||||||
In offices outside North America(7) | |||||||||||||||||||||||||||||
Residential mortgages(8) | $ | 37,566 | $ | 165 | $ | 158 | $ | — | $ | 37,889 | $ | — | $ | 409 | $ | 409 | $ | 10 | |||||||||||
| Credit cards | 17,428 | 192 | 188 | — | 17,808 | — | 140 | 140 | 133 | ||||||||||||||||||||
Personal, small business and other(11) | 56,930 | 145 | 75 | — | 57,150 | — | 227 | 227 | — | ||||||||||||||||||||
| Total | $ | 111,924 | $ | 502 | $ | 421 | $ | — | $ | 112,847 | $ | — | $ | 776 | $ | 776 | $ | 143 | |||||||||||
Total Citigroup(12) | $ | 372,140 | $ | 1,999 | $ | 1,963 | $ | 432 | $ | 376,534 | $ | 200 | $ | 1,626 | $ | 1,826 | $ | 1,326 | |||||||||||
(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 $35.3 billion and $24.5 billion of classifiably managed Private bank loans in North America and outside of North America, respectively.
(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).
(5)Conformed to be consistent with the current period’s delineation between delinquency-managed and classifiably managed loans.
(6)Consists of loans that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.3 billion.
(7)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(8)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure, and $19.8 billion of residential mortgages outside of North America related to the Global Wealth reporting unit.
(9)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(10)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(11)Includes loans related to the Global Wealth business: $37.9 billion in North America, approximately $35.3 billion of which are classifiably managed, and as of December 31, 2021 approximately 95% were rated investment grade; and $34.6 billion outside of North America, approximately $24.5 billion of which are classifiably managed and as of December 31, 2021 94% of these loans were rated investment grade. The classifiably managed portion of these loans is shown as “current” because the delinquency status is not applicable, since these loans are primarily evaluated for credit risk based on their internal risk classification.
(12)Consumer loans are net of unearned income of $629 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
135
Interest Income Recognized for Non-Accrual Consumer Loans
| In millions of dollars | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | ||||||||||
In North America offices(1) | ||||||||||||||
| Residential first mortgages | $ | 3 | $ | 3 | $ | 6 | $ | 7 | ||||||
| Home equity loans | 1 | 2 | 2 | 4 | ||||||||||
| Credit cards | — | — | — | — | ||||||||||
| Personal, small business and other | 1 | — | 1 | — | ||||||||||
| Total | $ | 5 | $ | 5 | $ | 9 | $ | 11 | ||||||
In offices outside North America(1) | ||||||||||||||
| Residential mortgages | $ | — | $ | — | $ | — | $ | — | ||||||
| Credit cards | — | — | — | — | ||||||||||
| Personal, small business and other | — | — | — | — | ||||||||||
| Total | $ | — | $ | — | $ | — | $ | — | ||||||
| Total Citigroup | $ | 5 | $ | 5 | $ | 9 | $ | 11 | ||||||
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
During the three and six months ended June 30, 2022, the Company sold and/or reclassified to HFS $367 million and $374 million of consumer loans, respectively. During the three and six months ended June 30, 2021, the Company sold and/or reclassified to HFS $1,007 million and $1,103 million of consumer loans, respectively. Loans held by a business for sale are not included in the above. The Company did not have significant purchases of consumer loans classified as held-for-investment for the three and six months ended June 30, 2022 or 2021. See Note 2 for additional information regarding Citigroup’s businesses for sale.
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Consumer Credit Scores (FICO)
The following tables provide details on the Fair Isaac Corporation (FICO) scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables by year of origination. FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio. For Citi’s $86.6 billion and $114.3 billion in the consumer loan portfolio outside of the U.S. as of June 30, 2022 and December 31, 2021, respectively, various country-specific or regional credit risk metrics and acquisition and behavior scoring models are leveraged as one of the factors to evaluate the credit quality of customers (for additional information on loans outside of the U.S., see “Consumer Loans and Ratios Outside of North America” below). As a result, details of relevant credit quality indicators for those loans are not comparable to the below FICO score distribution for the U.S. portfolio.
FICO score distribution—U.S. portfolio(1)(2) | June 30, 2022 | |||||||||||||||||||
| In millions of dollars | Less than 680 | 680 to 760 | Greater than 760 | Classifiably managed(3) | FICO not available(4) | Total loans | ||||||||||||||
| Residential first mortgages | ||||||||||||||||||||
| 2022 | $ | 293 | $ | 3,639 | $ | 7,637 | ||||||||||||||
| 2021 | 728 | 6,387 | 12,488 | |||||||||||||||||
| 2020 | 485 | 4,978 | 10,931 | |||||||||||||||||
| 2019 | 322 | 2,772 | 5,504 | |||||||||||||||||
| 2018 | 375 | 1,067 | 2,004 | |||||||||||||||||
| Prior | 2,175 | 7,012 | 13,549 | |||||||||||||||||
| Total residential first mortgages | $ | 4,378 | $ | 25,855 | $ | 52,113 | $ | — | $ | 6,316 | $ | 88,662 | ||||||||
| Home equity loans (pre-reset) | $ | 240 | $ | 965 | $ | 1,344 | ||||||||||||||
| Home equity loans (post-reset) | 541 | 934 | 1,010 | |||||||||||||||||
| Total home equity loans | $ | 781 | $ | 1,899 | $ | 2,354 | $ | — | $ | 40 | $ | 5,074 | ||||||||
Credit cards(5) | $ | 24,233 | $ | 53,858 | $ | 56,987 | $ | — | $ | 1,776 | $ | 136,854 | ||||||||
| Personal, small business and other | ||||||||||||||||||||
| 2022 | $ | 65 | $ | 185 | $ | 302 | ||||||||||||||
| 2021 | 94 | 221 | 308 | |||||||||||||||||
| 2020 | 18 | 29 | 44 | |||||||||||||||||
| 2019 | 30 | 36 | 45 | |||||||||||||||||
| 2018 | 19 | 20 | 21 | |||||||||||||||||
| Prior | 121 | 188 | 158 | |||||||||||||||||
Total personal, small business and other(6) | $ | 347 | $ | 679 | $ | 878 | $ | 33,935 | $ | 2,618 | $ | 38,457 | ||||||||
| Total | $ | 29,739 | $ | 82,291 | $ | 112,332 | $ | 33,935 | $ | 10,750 | $ | 269,047 | ||||||||
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FICO score distribution—U.S. portfolio(1)(2) | December 31, 2021 | |||||||||||||||||||
| In millions of dollars | Less than 680 | 680 to 760 | Greater than 760 | Classifiably managed(3) | FICO not available(4) | Total loans | ||||||||||||||
| Residential first mortgages | ||||||||||||||||||||
| 2021 | $ | 626 | $ | 6,729 | $ | 12,349 | ||||||||||||||
| 2020 | 508 | 5,102 | 12,153 | |||||||||||||||||
| 2019 | 373 | 3,074 | 6,167 | |||||||||||||||||
| 2018 | 394 | 1,180 | 2,216 | |||||||||||||||||
| 2017 | 343 | 1,455 | 2,568 | |||||||||||||||||
| Prior | 2,053 | 6,540 | 12,586 | |||||||||||||||||
| Total residential first mortgages | $ | 4,297 | $ | 24,080 | $ | 48,039 | $ | — | $ | 6,945 | $ | 83,361 | ||||||||
| Home equity loans (pre-reset) | $ | 263 | $ | 1,030 | $ | 1,539 | ||||||||||||||
| Home equity loans (post-reset) | 639 | 1,047 | 1,160 | |||||||||||||||||
| Total home equity loans | $ | 902 | $ | 2,077 | $ | 2,699 | $ | — | $ | 67 | $ | 5,745 | ||||||||
Credit cards(5) | $ | 23,115 | $ | 52,907 | $ | 55,137 | $ | — | $ | 2,192 | $ | 133,351 | ||||||||
| Personal, small business and other | ||||||||||||||||||||
| 2021 | $ | 59 | $ | 201 | $ | 319 | ||||||||||||||
| 2020 | 22 | 41 | 64 | |||||||||||||||||
| 2019 | 42 | 53 | 68 | |||||||||||||||||
| 2018 | 34 | 35 | 37 | |||||||||||||||||
| 2017 | 7 | 8 | 9 | |||||||||||||||||
| Prior | 120 | 179 | 143 | |||||||||||||||||
Total personal, small business and other(6) | $ | 284 | $ | 517 | $ | 640 | $ | 35,324 | $ | 3,041 | $ | 39,806 | ||||||||
| Total | $ | 28,598 | $ | 79,581 | $ | 106,515 | $ | 35,324 | $ | 12,245 | $ | 262,263 | ||||||||
(1) The FICO bands in the tables are consistent with general industry peer presentations.
(2) FICO scores are updated on either a monthly or quarterly basis. For updates that are made only quarterly, certain current-period loans by year of origination are greater than those disclosed in the prior periods. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become available.
(3) These personal, small business and other loans without a FICO score available include $33.9 billion and $35.3 billion of Private bank loans as of June 30, 2022 and December 31, 2021, respectively, which are classifiably managed within Global Wealth and are primarily evaluated for credit risk based on their internal risk ratings. As of June 30, 2022 and December 31, 2021, approximately 95% and 95% of these loans, respectively, were rated investment grade.
(4) FICO scores not available related to loans guaranteed by government-sponsored enterprises for which FICO scores are generally not utilized.
(5) Excludes $558 million and $517 million of balances related to Canada for June 30, 2022 and December 31, 2021, respectively.
(6) Excludes $979 million and $907 million of balances related to Canada for June 30, 2022 and December 31, 2021, respectively.
138
Loan-to-Value (LTV) Ratios—U.S. Consumer Mortgages
The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolio by year of origination. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.
LTV distribution—U.S. portfolio | June 30, 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 | $ | 9,773 | $ | 2,176 | $ | 13 | |||||||||||
| 2021 | 19,616 | 1,078 | 31 | ||||||||||||||
| 2020 | 17,437 | 205 | — | ||||||||||||||
| 2019 | 9,142 | 129 | 29 | ||||||||||||||
| 2018 | 3,777 | 92 | 10 | ||||||||||||||
| Prior | 23,993 | 198 | 85 | ||||||||||||||
Total residential first mortgages(1) | $ | 83,738 | $ | 3,878 | $ | 168 | $ | 878 | $ | 88,662 | |||||||
| Home equity loans (pre-reset) | $ | 2,389 | $ | 32 | $ | 63 | |||||||||||
| Home equity loans (post-reset) | 2,415 | 28 | 31 | ||||||||||||||
| Total home equity loans | $ | 4,804 | $ | 60 | $ | 94 | $ | 116 | $ | 5,074 | |||||||
| Total | $ | 88,542 | $ | 3,938 | $ | 262 | $ | 994 | $ | 93,736 | |||||||
LTV distribution—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 | $ | 18,107 | $ | 2,723 | $ | 34 | |||||||||||
| 2020 | 18,715 | 446 | — | ||||||||||||||
| 2019 | 10,047 | 269 | 29 | ||||||||||||||
| 2018 | 4,117 | 136 | 11 | ||||||||||||||
| 2017 | 4,804 | 103 | 4 | ||||||||||||||
| Prior | 22,161 | 128 | 14 | ||||||||||||||
Total residential first mortgages(1) | $ | 77,951 | $ | 3,805 | $ | 92 | $ | 1,513 | $ | 83,361 | |||||||
| Home equity loans (pre-reset) | $ | 2,637 | $ | 46 | $ | 69 | |||||||||||
| Home equity loans (post-reset) | 2,751 | 52 | 32 | ||||||||||||||
| Total home equity loans | $ | 5,388 | $ | 98 | $ | 101 | $ | 158 | $ | 5,745 | |||||||
| Total | $ | 83,339 | $ | 3,903 | $ | 193 | $ | 1,671 | $ | 89,106 | |||||||
(1)Residential first mortgages with no LTV information available are primarily due to government-guaranteed loans that do not require LTV information for credit risk assessment and fair value loans.
139
Loan-to-Value (LTV) Ratios—Outside of U.S. Consumer Mortgages
The following tables provide details on the LTV ratios for Citi’s consumer mortgage portfolio outside of the U.S. by year of origination.
LTV distribution—outside of U.S. portfolio(1) | June 30, 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 mortgages | |||||||||||||||||
| 2022 | $ | 1,684 | $ | 431 | $ | 21 | |||||||||||
| 2021 | 4,685 | 913 | 3 | ||||||||||||||
| 2020 | 4,189 | 267 | — | ||||||||||||||
| 2019 | 3,537 | 71 | 1 | ||||||||||||||
| 2018 | 2,448 | 7 | — | ||||||||||||||
| Prior | 9,791 | 40 | 12 | ||||||||||||||
| Total | $ | 26,334 | $ | 1,729 | $ | 37 | $ | 29 | $ | 28,129 | |||||||
LTV distribution—outside of U.S. portfolio(1) | 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 mortgages | |||||||||||||||||
| 2021 | $ | 6,334 | $ | 989 | $ | — | |||||||||||
| 2020 | 5,996 | 292 | — | ||||||||||||||
| 2019 | 5,293 | 116 | 1 | ||||||||||||||
| 2018 | 3,729 | 32 | — | ||||||||||||||
| 2017 | 2,739 | 38 | — | ||||||||||||||
| Prior | 12,190 | 102 | 14 | ||||||||||||||
| Total | $ | 36,281 | $ | 1,569 | $ | 15 | $ | 24 | $ | 37,889 | |||||||
(1)Mortgage portfolios outside of the U.S. are primarily in Global Wealth. As of June 30, 2022 and December 31, 2021, mortgage portfolios outside of the U.S. have an average LTV of approximately 47% and 46%, respectively.
140
Consumer Loans and Ratios Outside of North America
| Delinquency-managed loans and ratios | |||||||||||||||||||||||
In millions of dollars at June 30, 2022 | Total loans outside of North America(1) | Classifiably managed loans(2) | Delinquency-managed loans | 30–89 days past due ratio | ≥ 90 days past due ratio | 2Q22 NCL ratio | 2Q21 NCL ratio | ||||||||||||||||
Residential mortgages(3) | $ | 28,129 | $ | — | $ | 28,129 | 0.18 | % | 0.32 | % | 0.04 | % | 0.10 | % | |||||||||
| Credit cards | 11,858 | — | 11,858 | 1.04 | 1.05 | 3.08 | 5.09 | ||||||||||||||||
Personal, small business and other(4) | 45,034 | 20,889 | 24,145 | 0.43 | 0.29 | 0.55 | 1.04 | ||||||||||||||||
| Total | $ | 85,021 | $ | 20,889 | $ | 64,132 | 0.43 | % | 0.45 | % | 0.72 | % | 1.39 | % | |||||||||
| Delinquency-managed loans and ratios | |||||||||||||||||||||||
In millions of dollars at December 31, 2021 | Total loans outside of North America(1) | Classifiably managed loans(2) | Delinquency-managed loans | 30–89 days past due ratio | ≥ 90 days past due ratio | ||||||||||||||||||
Residential mortgages(3) | $ | 37,889 | $ | — | $ | 37,889 | 0.44 | % | 0.42 | % | |||||||||||||
| Credit cards | 17,808 | — | 17,808 | 1.08 | 1.06 | ||||||||||||||||||
Personal, small business and other(4) | 57,150 | 24,482 | 32,668 | 0.44 | 0.23 | ||||||||||||||||||
| Total | $ | 112,847 | $ | 24,482 | $ | 88,365 | 0.57 | % | 0.48 | % | |||||||||||||
(1) Mexico is included in offices outside North America.
(2) Classifiably managed loans are primarily evaluated for credit risk based on their internal risk classification. As of June 30, 2022 and December 31, 2021, approximately 93% and 94% of these loans, respectively, were rated investment grade.
(3) Includes $19.6 billion and $19.8 billion as of June 30, 2022 and December 31, 2021, respectively, of residential mortgages related to the Global Wealth business.
(4) Includes $30.6 billion and $34.6 billion as of June 30, 2022 and December 31, 2021, respectively, of loans related to the Global Wealth business.
Impaired Consumer Loans
The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||
| Balance at June 30, 2022 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||
| In millions of dollars | Recorded investment(1)(2) | Unpaid principal balance | Related specific allowance(3)(4) | Average carrying value(5) | Interest income recognized(6) | Interest income recognized(6) | Interest income recognized(6) | Interest income recognized(6) | ||||||||||||||||||
| Mortgage and real estate | ||||||||||||||||||||||||||
| Residential first mortgages | $ | 1,179 | $ | 1,290 | $ | 56 | $ | 1,382 | $ | 49 | $ | 21 | $ | 71 | $ | 44 | ||||||||||
| Home equity loans | 274 | 344 | (8) | 248 | 2 | 3 | 5 | 5 | ||||||||||||||||||
| Credit cards | 1,227 | 1,229 | 463 | 1,450 | 15 | 33 | 33 | 68 | ||||||||||||||||||
| Personal, small business and other | 127 | 149 | 39 | 295 | 4 | 15 | 7 | 27 | ||||||||||||||||||
| Total | $ | 2,807 | $ | 3,012 | $ | 550 | $ | 3,375 | $ | 70 | $ | 72 | $ | 116 | $ | 144 | ||||||||||
141
| 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 | $ | 1,521 | $ | 1,595 | $ | 87 | $ | 1,564 | ||||||
| Home equity loans | 191 | 344 | (1) | 336 | ||||||||||
| Credit cards | 1,582 | 1,609 | 594 | 1,795 | ||||||||||
| Personal, small business and other | 454 | 461 | 133 | 505 | ||||||||||
| Total | $ | 3,748 | $ | 4,009 | $ | 813 | $ | 4,200 | ||||||
(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)At June 30, 2022, $182 million of residential first mortgages and $84 million of home equity loans do not have a specific allowance. At December 31, 2021, $190 million of residential first mortgages and $94 million of home equity loans do not have a specific allowance because they are accounted for based on collateral value, and that value is in excess of the outstanding loan balance.
(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.
(6)Includes amounts recognized on both accrual and cash basis.
142
Consumer Troubled Debt Restructurings(1)
| For the Three Months Ended June 30, 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 | 279 | $ | 56 | $ | — | $ | — | $ | — | — | % | |||||||||
| Home equity loans | 103 | 7 | — | — | — | — | ||||||||||||||
| Credit cards | 36,820 | 157 | — | — | — | 18 | ||||||||||||||
| Personal, small business and other | 105 | 1 | — | — | — | 5 | ||||||||||||||
Total(7) | 37,307 | $ | 221 | $ | — | $ | — | $ | — | |||||||||||
| International | ||||||||||||||||||||
| Residential mortgages | 110 | $ | 4 | $ | — | $ | — | $ | — | — | % | |||||||||
| Credit cards | 3,462 | 13 | — | — | 27 | |||||||||||||||
| Personal, small business and other | 595 | 7 | — | — | — | 8 | ||||||||||||||
Total(7) | 4,167 | $ | 24 | $ | — | $ | — | $ | — | |||||||||||
| For the Six Months Ended June 30, 2022 | ||||||||||||||||||||
| 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 | 625 | $ | 137 | $ | — | $ | — | $ | — | — | % | |||||||||
| Home equity loans | 207 | 16 | — | — | — | — | ||||||||||||||
| Credit cards | 77,560 | 330 | — | — | — | 17 | ||||||||||||||
| Personal, small business and other | 251 | 2 | — | — | — | 5 | ||||||||||||||
Total(7) | 78,643 | $ | 485 | $ | — | $ | — | $ | — | |||||||||||
| International | ||||||||||||||||||||
| Residential first mortgages | 293 | $ | 10 | $ | — | $ | — | $ | — | — | % | |||||||||
| Credit cards | 8,462 | 35 | — | — | 1 | 23 | ||||||||||||||
| Personal, small business and other | 1,267 | 16 | — | — | 8 | |||||||||||||||
Total(7) | 10,022 | $ | 61 | $ | — | $ | — | $ | 1 | |||||||||||
143
| For the Three Months Ended June 30, 2021 | ||||||||||||||||||||
| 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 | 334 | $ | 60 | $ | — | $ | — | $ | — | — | % | |||||||||
| Home equity loans | 53 | 4 | — | — | — | — | ||||||||||||||
| Credit cards | 36,337 | 181 | — | — | — | 17 | ||||||||||||||
| Personal, small business and other | 225 | 3 | — | — | — | 3 | ||||||||||||||
Total(7) | 36,949 | $ | 248 | $ | — | $ | — | $ | — | |||||||||||
| International | ||||||||||||||||||||
| Residential mortgages | 530 | $ | 28 | $ | — | $ | — | $ | — | 1 | % | |||||||||
| Credit cards | 18,297 | 94 | — | — | 1 | 12 | ||||||||||||||
| Personal, small business and other | 6,780 | 57 | — | — | 2 | 10 | ||||||||||||||
Total(7) | 25,607 | $ | 179 | $ | — | $ | — | $ | 3 | |||||||||||
| For the Six Months Ended June 30, 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 | 670 | $ | 120 | $ | — | $ | — | $ | — | — | % | |||||||||
| Home equity loans | 112 | 10 | — | — | — | |||||||||||||||
| Credit cards | 95,383 | 481 | — | — | — | 17 | ||||||||||||||
| Personal, small business and other | 686 | 10 | — | — | — | 3 | ||||||||||||||
Total(7) | 96,851 | $ | 621 | $ | — | $ | — | $ | — | |||||||||||
| International | ||||||||||||||||||||
| Residential first mortgages | 997 | $ | 52 | $ | — | $ | — | $ | — | 1 | % | |||||||||
| Credit cards | 42,896 | 196 | — | — | 8 | 14 | ||||||||||||||
| Personal, small business and other | 14,318 | 115 | — | — | 4 | 10 | ||||||||||||||
Total(7) | 58,211 | $ | 363 | $ | — | $ | — | $ | 12 | |||||||||||
(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 $0.4 million and $4 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the three months ended June 30, 2022 and June 30, 2021, respectively. These amounts include $0.4 million and $1 million of residential first mortgages that were newly classified as TDRs in the three months ended June 30, 2022 and June 30, 2021, respectively, 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 $2 million and $7 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2022 and June 30, 2021, respectively. These amounts include $2 million and $2 million of residential first mortgages that were newly classified as TDRs in the six months ended June 30, 2022 and June 30, 2021, respectively, based on previously received OCC guidance.
144
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 June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| North America | ||||||||||||||
| Residential first mortgages | $ | 13 | $ | 15 | $ | 17 | $ | 33 | ||||||
| Home equity loans | 2 | 3 | 2 | 7 | ||||||||||
| Credit cards | 59 | 73 | 116 | 136 | ||||||||||
| Personal, small business and other | — | 1 | — | 2 | ||||||||||
| Total | $ | 74 | $ | 92 | $ | 135 | $ | 178 | ||||||
| International | ||||||||||||||
| Residential mortgages | $ | 3 | $ | 10 | $ | 7 | $ | 22 | ||||||
| Credit cards | 3 | 45 | 7 | 97 | ||||||||||
| Personal, small business and other | 1 | 36 | 2 | 58 | ||||||||||
| Total | $ | 7 | $ | 91 | $ | 16 | $ | 177 | ||||||
Purchased Credit-Deteriorated Assets
| Three Months Ended June 30, 2022 | Three Months Ended December 31, 2021 | Three Months Ended June 30, 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 | $ | — | $ | 3 | $ | — | $ | — | $ | 4 | $ | — | $ | — | $ | 10 | $ | — | |||||||||||
| Allowance for credit losses at acquisition date | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||
| Discount or premium attributable to non-credit factors | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||
| Par value (amortized cost basis) | $ | — | $ | 3 | $ | — | $ | — | $ | 4 | $ | — | $ | — | $ | 10 | $ | — | |||||||||||
(1) Includes loans sold to agencies that were bought back at par due to repurchase agreements.
145
14. ALLOWANCE FOR CREDIT LOSSES
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Allowance for credit losses on loans (ACLL) at beginning of period | $ | 15,393 | $ | 21,638 | $ | 16,455 | $ | 24,956 | ||||||
| Adjusted ACLL at beginning of period | $ | 15,393 | $ | 21,638 | $ | 16,455 | $ | 24,956 | ||||||
| Gross credit losses on loans | $ | (1,212) | $ | (1,844) | $ | (2,452) | $ | (4,052) | ||||||
| Gross recoveries on loans | 362 | 524 | 730 | 984 | ||||||||||
| Net credit losses on loans (NCLs) | $ | (850) | $ | (1,320) | $ | (1,722) | $ | (3,068) | ||||||
| Replenishment of NCLs | $ | 850 | $ | 1,320 | $ | 1,722 | $ | 3,068 | ||||||
| Net reserve builds (releases) for loans | 520 | (2,184) | (260) | (5,252) | ||||||||||
| Net specific reserve builds (releases) for loans | 14 | (262) | 182 | (421) | ||||||||||
| Total provision for credit losses on loans (PCLL) | $ | 1,384 | $ | (1,126) | $ | 1,644 | $ | (2,605) | ||||||
| Other, net (see table below) | 25 | 46 | (425) | (45) | ||||||||||
| ACLL at end of period | $ | 15,952 | $ | 19,238 | $ | 15,952 | $ | 19,238 | ||||||
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(1) | $ | 2,343 | $ | 2,012 | $ | 1,871 | $ | 2,655 | ||||||
| Provision (release) for credit losses on unfunded lending commitments | (159) | 44 | 315 | (582) | ||||||||||
Other, net | 9 | 17 | 7 | — | ||||||||||
ACLUC at end of period(1) | $ | 2,193 | $ | 2,073 | $ | 2,193 | $ | 2,073 | ||||||
Total allowance for credit losses on loans, leases and unfunded lending commitments(2) | $ | 18,145 | $ | 21,311 | $ | 18,145 | $ | 21,311 | ||||||
| Other, net details | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
Reclasses of consumer ACLL to HFS(3) | $ | — | $ | — | $ | (350) | $ | — | ||||||
| FX translation and other | 25 | 46 | (75) | (45) | ||||||||||
| Other, net | $ | 25 | $ | 46 | $ | (425) | $ | (45) | ||||||
(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 below for ACL on HTM debt securities and Other assets.
(3) See Note 2.
146
Allowance for Credit Losses on Loans and End-of-Period Loans
| Three Months Ended | ||||||||||||||||||||
| June 30, 2022 | June 30, 2021 | |||||||||||||||||||
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | ||||||||||||||
| ACLL at beginning of period | $ | 3,025 | $ | 12,368 | $ | 15,393 | $ | 3,542 | $ | 18,096 | $ | 21,638 | ||||||||
| Charge-offs | (57) | (1,155) | (1,212) | (137) | (1,707) | (1,844) | ||||||||||||||
| Recoveries | 34 | 328 | 362 | 60 | 464 | 524 | ||||||||||||||
| Replenishment of NCLs | 23 | 827 | 850 | 77 | 1,243 | 1,320 | ||||||||||||||
| Net reserve builds (releases) | (128) | 648 | 520 | (751) | (1,433) | (2,184) | ||||||||||||||
| Net specific reserve builds (releases) | 49 | (35) | 14 | (112) | (150) | (262) | ||||||||||||||
| Other | 23 | 2 | 25 | (7) | 53 | 46 | ||||||||||||||
| Ending balance | $ | 2,969 | $ | 12,983 | $ | 15,952 | $ | 2,672 | $ | 16,566 | $ | 19,238 | ||||||||
| Six Months Ended | ||||||||||||||||||||
| June 30, 2022 | June 30, 2021 | |||||||||||||||||||
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | ||||||||||||||
| ACLL at beginning of period | $ | 2,415 | $ | 14,040 | $ | 16,455 | $ | 4,776 | $ | 20,180 | $ | 24,956 | ||||||||
| Charge-offs | (105) | (2,347) | (2,452) | (336) | (3,716) | (4,052) | ||||||||||||||
| Recoveries | 51 | 679 | 730 | 74 | 910 | 984 | ||||||||||||||
| Replenishment of NCLs | 54 | 1,668 | 1,722 | 262 | 2,806 | 3,068 | ||||||||||||||
| Net reserve builds (releases) | 249 | (509) | (260) | (1,944) | (3,308) | (5,252) | ||||||||||||||
| Net specific reserve builds (releases) | 273 | (91) | 182 | (146) | (275) | (421) | ||||||||||||||
| Other | 32 | (457) | (425) | (14) | (31) | (45) | ||||||||||||||
| Ending balance | $ | 2,969 | $ | 12,983 | $ | 15,952 | $ | 2,672 | $ | 16,566 | $ | 19,238 | ||||||||
| June 30, 2022 | December 31, 2021 | |||||||||||||||||||
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | ||||||||||||||
| ACLL | ||||||||||||||||||||
| Collectively evaluated | $ | 2,409 | $ | 12,431 | $ | 14,840 | $ | 2,203 | $ | 13,227 | $ | 15,430 | ||||||||
| Individually evaluated | 560 | 550 | 1,110 | 212 | 813 | 1,025 | ||||||||||||||
| Purchased credit deteriorated | — | 2 | 2 | — | — | — | ||||||||||||||
| Total ACLL | $ | 2,969 | $ | 12,983 | $ | 15,952 | $ | 2,415 | $ | 14,040 | $ | 16,455 | ||||||||
| Loans, net of unearned income | ||||||||||||||||||||
| Collectively evaluated | $ | 295,545 | $ | 352,683 | $ | 648,228 | $ | 283,610 | $ | 372,655 | $ | 656,265 | ||||||||
| Individually evaluated | 1,655 | 2,807 | 4,462 | 1,553 | 3,748 | 5,301 | ||||||||||||||
| Purchased credit deteriorated | — | 107 | 107 | — | 119 | 119 | ||||||||||||||
| Held at fair value | 4,528 | 8 | 4,536 | 6,070 | 12 | 6,082 | ||||||||||||||
| Total loans, net of unearned income | $ | 301,728 | $ | 355,605 | $ | 657,333 | $ | 291,233 | $ | 376,534 | $ | 667,767 | ||||||||
147
Allowance for Credit Losses on HTM Debt Securities
| Three Months Ended June 30, 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 | $ | 4 | $ | 79 | $ | 2 | $ | — | $ | 85 | |||||||
| Gross credit losses | — | — | — | — | — | ||||||||||||
| Gross recoveries | — | — | — | — | — | ||||||||||||
| Net credit losses (NCLs) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||
| Replenishment of NCLs | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||
| Net reserve builds (releases) | (2) | 14 | 1 | 7 | 20 | ||||||||||||
| Net specific reserve builds (releases) | — | — | — | — | — | ||||||||||||
| Total provision for credit losses on HTM debt securities | $ | (2) | $ | 14 | $ | 1 | $ | 7 | $ | 20 | |||||||
| Allowance for credit losses on HTM debt securities at end of quarter | $ | 2 | $ | 93 | $ | 3 | $ | 7 | $ | 105 | |||||||
| Six Months Ended June 30, 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 year | $ | 6 | $ | 75 | $ | 4 | $ | 2 | $ | 87 | |||||||
| Gross credit losses | — | — | — | — | — | ||||||||||||
| Gross recoveries | — | — | — | — | — | ||||||||||||
| Net credit losses (NCLs) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||
| Replenishment of NCLs | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||
| Net reserve builds (releases) | (4) | 18 | (1) | 5 | 18 | ||||||||||||
| Net specific reserve builds (releases) | — | — | — | — | — | ||||||||||||
| Total provision for credit losses on HTM debt securities | $ | (4) | $ | 18 | $ | (1) | $ | 5 | $ | 18 | |||||||
| Allowance for credit losses on HTM debt securities at end of quarter | $ | 2 | $ | 93 | $ | 3 | $ | 7 | $ | 105 | |||||||
148
Allowance for Credit Losses on HTM Debt Securities
| Three Months Ended June 30, 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 | $ | 4 | $ | 69 | $ | 5 | $ | — | $ | 78 | |||||||
| Gross credit losses | — | — | — | — | — | ||||||||||||
| Gross recoveries | — | — | — | — | — | ||||||||||||
| Net credit losses (NCLs) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||
| Replenishment of NCLs | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||
| Net reserve builds (releases) | 1 | 3 | — | — | 4 | ||||||||||||
| Net specific reserve builds (releases) | — | — | — | — | — | ||||||||||||
| Total provision for credit losses on HTM debt securities | $ | 1 | $ | 3 | $ | — | $ | — | $ | 4 | |||||||
| Other, net | $ | — | $ | — | $ | — | $ | 1 | $ | 1 | |||||||
| Allowance for credit losses on HTM debt securities at end of quarter | $ | 5 | $ | 72 | $ | 5 | $ | 1 | $ | 83 | |||||||
| Six Months Ended June 30, 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 year | $ | 3 | $ | 74 | $ | 6 | $ | 3 | $ | 86 | |||||||
| Gross credit losses | — | — | — | — | — | ||||||||||||
| Gross recoveries | 3 | — | — | — | 3 | ||||||||||||
| Net credit losses (NCLs) | $ | 3 | $ | — | $ | — | $ | — | $ | 3 | |||||||
| Replenishment of NCLs | $ | (3) | $ | — | $ | — | $ | — | $ | (3) | |||||||
| Net reserve builds | 2 | (2) | (1) | (3) | (4) | ||||||||||||
| Net specific reserve builds (releases) | — | — | — | — | — | ||||||||||||
| Total provision for credit losses on HTM debt securities | $ | (1) | $ | (2) | $ | (1) | $ | (3) | $ | (7) | |||||||
| Other, net | $ | — | $ | — | $ | — | $ | 1 | $ | 1 | |||||||
| Allowance for credit losses on HTM debt securities at end of quarter | $ | 5 | $ | 72 | $ | 5 | $ | 1 | $ | 83 | |||||||
149
Allowance for Credit Losses on Other Assets
| Three Months Ended June 30, 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 | $ | 15 | $ | 4 | $ | — | $ | 24 | $ | 43 | |||||||
| Gross credit losses | — | — | — | (8) | (8) | ||||||||||||
| Gross recoveries | — | — | — | 2 | 2 | ||||||||||||
| Net credit losses (NCLs) | $ | — | $ | — | $ | — | $ | (6) | $ | (6) | |||||||
| Replenishment of NCLs | $ | — | $ | — | $ | — | $ | 6 | $ | 6 | |||||||
| Net reserve builds (releases) | 2 | (8) | — | 7 | 1 | ||||||||||||
| Total provision for credit losses | $ | 2 | $ | (8) | $ | — | $ | 13 | $ | 7 | |||||||
Other, net(2) | $ | — | $ | 31 | $ | — | $ | (1) | $ | 30 | |||||||
| Allowance for credit losses on other assets at end of quarter | $ | 17 | $ | 27 | $ | — | $ | 30 | $ | 74 | |||||||
| Six Months Ended June 30, 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 year | $ | 21 | $ | 6 | $ | — | $ | 26 | $ | 53 | |||||||
| Gross credit losses | — | — | — | (15) | (15) | ||||||||||||
| Gross recoveries | — | — | — | 2 | 2 | ||||||||||||
| Net credit losses (NCLs) | $ | — | $ | — | $ | — | $ | (13) | $ | (13) | |||||||
| Replenishment of NCLs | $ | — | $ | — | $ | — | $ | 13 | $ | 13 | |||||||
| Net reserve builds (releases) | (4) | (10) | — | 4 | (10) | ||||||||||||
| Total provision for credit losses | $ | (4) | $ | (10) | $ | — | $ | 17 | $ | 3 | |||||||
Other, net(2) | $ | — | $ | 31 | $ | — | $ | — | $ | 31 | |||||||
| Allowance for credit losses on other assets at end of quarter | $ | 17 | $ | 27 | $ | — | $ | 30 | $ | 74 | |||||||
(1)Primarily accounts receivable.
(2)Includes $30 million of ACL transferred from ICG loans ACL as of June 30, 2022 for securities borrowed and purchased under agreements to resell.
150
Allowance for Credit Losses on Other Assets
| Three Months Ended June 30, 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 on other assets at beginning of quarter | $ | 28 | $ | 5 | $ | — | $ | 30 | $ | 63 | |||||||
| Gross credit losses | — | — | — | — | — | ||||||||||||
| Gross recoveries | — | — | — | — | — | ||||||||||||
| Net credit losses (NCLs) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||
| Replenishment of NCLs | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||
| Net reserve builds (releases) | (4) | 3 | — | (2) | (3) | ||||||||||||
| Total provision for credit losses | $ | (4) | $ | 3 | $ | — | $ | (2) | $ | (3) | |||||||
| Other, net | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||
| Allowance for credit losses on other assets at end of quarter | $ | 24 | $ | 8 | $ | — | $ | 28 | $ | 60 | |||||||
| Six Months Ended June 30, 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 on other assets at beginning of year | $ | 20 | $ | 10 | $ | — | $ | 25 | $ | 55 | |||||||
| Gross credit losses | — | — | — | — | — | ||||||||||||
| Gross recoveries | — | — | — | — | — | ||||||||||||
| Net credit losses (NCLs) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||
| Replenishment of NCLs | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||
| Net reserve builds (releases) | 5 | (2) | — | 3 | 6 | ||||||||||||
| Total provision for credit losses | $ | 5 | $ | (2) | $ | — | $ | 3 | $ | 6 | |||||||
| Other, net | $ | (1) | $ | — | $ | — | $ | — | $ | (1) | |||||||
| Allowance for credit losses on other assets at end of year | $ | 24 | $ | 8 | $ | — | $ | 28 | $ | 60 | |||||||
(1) Primarily accounts receivable.
For ACL on AFS debt securities, see Note 12.
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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 | $ | 9,215 | $ | 9,717 | $ | 2,367 | $ | 21,299 | ||||||
Impairment(1) | — | — | (535) | (535) | ||||||||||
Divestitures(2) | — | — | (873) | (873) | ||||||||||
| Foreign currency translation | (44) | 18 | — | (26) | ||||||||||
| Balance at March 31, 2022 | $ | 9,171 | $ | 9,735 | $ | 959 | $ | 19,865 | ||||||
| Foreign currency translation | (223) | (20) | (25) | (268) | ||||||||||
| Balance at June 30, 2022 | $ | 8,948 | $ | 9,715 | $ | 934 | $ | 19,597 | ||||||
(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 agreements 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 mutual execution of sales agreements for Asia consumer banking businesses. This impairment was recorded in the first quarter of 2022 as an operating expense. The interim goodwill impairment tests were performed using a combination of the income approach, market approach and bids from buyers, where available, to determine the fair value of its reporting units.
During the second quarter of 2022, Citi’s Banking reporting unit within the ICG operating segment was negatively impacted by the industry-wide decline in investment banking activity and macroeconomic challenges
and uncertainties. These conditions resulted in a corresponding decline in the operating results of the Banking reporting unit as of June 30, 2022 and were identified as a triggering event for purposes of goodwill impairment testing. Consistent with the requirements of ASC 350, interim goodwill impairment tests were performed that resulted in no impairment of the Banking reporting unit within the ICG operating segment. The results of the impairment test showed that the fair value of the Banking reporting unit as a percentage of its carrying value was 102%, with the carrying value including approximately $1.5 billion of goodwill. No other events or circumstances were identified for any other reporting unit as a triggering event for purposes of goodwill impairment testing.
The interim goodwill impairment test was performed using a combination of the income approach and market approach to determine the fair value of its reporting units.
Under the market approach, Citi estimated fair value by comparing the business to similar businesses or guideline companies whose securities are actively traded in public markets. Under the income approach, Citi used a discounted cash flow (DCF) model in which cash flows anticipated over several periods, plus a terminal value at the end of that time horizon, are discounted to their present value using an appropriate rate that is commensurate with the risk inherent within the reporting unit.
The key assumptions used to determine the fair value of Citi’s reporting units consisted primarily of significant unobservable inputs (Level 3 fair value inputs), including discount rates, estimated cash flows, growth rates, earnings multiples and/or transaction multiples of similar businesses or guideline public companies, and bids from buyers. The DCF method employs a capital asset pricing model in estimating the discount rate based on several factors including market interest rates, and includes adjustments for market risk and company-specific risk. Estimated cash flows are based on internally developed estimates and the growth rates are based on industry knowledge and historical performance.
Based on the interim impairment tests, the fair values of all of Citi’s other reporting units as a percentage of their
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allocated carrying values ranged from approximately 102% to 267%, resulting in no further impairment recognized as of June 30, 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.
Intangible Assets
The components of intangible assets were as follows:
| June 30, 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 | $ | 5,514 | $ | 4,357 | $ | 1,157 | $ | 5,579 | $ | 4,348 | $ | 1,231 | ||||||||
Credit card contract-related intangibles(1) | 3,903 | 1,440 | 2,463 | 3,912 | 1,372 | 2,540 | ||||||||||||||
| Core deposit intangibles | 37 | 37 | — | 39 | 39 | — | ||||||||||||||
| Other customer relationships | 362 | 267 | 95 | 429 | 305 | 124 | ||||||||||||||
| Present value of future profits | 32 | 30 | 2 | 31 | 29 | 2 | ||||||||||||||
| Indefinite-lived intangible assets | 186 | — | 186 | 183 | — | 183 | ||||||||||||||
| Other | 27 | 4 | 23 | 37 | 26 | 11 | ||||||||||||||
| Intangible assets (excluding MSRs) | $ | 10,061 | $ | 6,135 | $ | 3,926 | $ | 10,210 | $ | 6,119 | $ | 4,091 | ||||||||
Mortgage servicing rights (MSRs)(2) | 600 | — | 600 | 404 | — | 404 | ||||||||||||||
| Total intangible assets | $ | 10,661 | $ | 6,135 | $ | 4,526 | $ | 10,614 | $ | 6,119 | $ | 4,495 | ||||||||
(1)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented 98% and 97% of the aggregate net carrying amount at June 30, 2022 and December 31, 2021, respectively.
(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 June 30, 2022 | ||||||||||||||
Purchased credit card relationships(1) | $ | 1,231 | $ | 3 | $ | (70) | $ | — | $ | (7) | $ | 1,157 | ||||||||
Credit card contract-related intangibles(2) | 2,540 | — | (77) | — | — | 2,463 | ||||||||||||||
| Core deposit intangibles | — | — | — | — | — | — | ||||||||||||||
| Other customer relationships | 124 | 6 | (13) | — | (22) | 95 | ||||||||||||||
| Present value of future profits | 2 | — | — | — | — | 2 | ||||||||||||||
| Indefinite-lived intangible assets | 183 | — | — | — | 3 | 186 | ||||||||||||||
| Other | 11 | 30 | (17) | — | (1) | 23 | ||||||||||||||
| Intangible assets (excluding MSRs) | $ | 4,091 | $ | 39 | $ | (177) | $ | — | $ | (27) | $ | 3,926 | ||||||||
Mortgage servicing rights (MSRs)(3) | 404 | 600 | ||||||||||||||||||
| Total intangible assets | $ | 4,495 | $ | 4,526 | ||||||||||||||||
(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 98% and 97% of the aggregate net carrying amount at June 30, 2022 and December 31, 2021, respectively.
(3)See Note 18 for additional information on Citi’s MSRs, including the rollforward for the three and six months ended June 30, 2022.
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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 | June 30, 2022 | December 31, 2021 | ||||||
| Commercial paper | ||||||||
Bank(1) | $ | 9,050 | $ | 9,026 | ||||
Broker-dealer and other(2) | 12,429 | 6,992 | ||||||
| Total commercial paper | $ | 21,479 | $ | 16,018 | ||||
Other borrowings(3) | 18,575 | 11,955 | ||||||
| Total | $ | 40,054 | $ | 27,973 | ||||
(1)Represents Citibank entities as well as other bank entities.
(2)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.
(3)Includes borrowings from Federal Home Loan Banks and other market participants. At June 30, 2022 and December 31, 2021, collateralized short-term advances from the Federal Home Loan Banks were $7.0 billion and $0.0 billion, respectively.
Long-Term Debt
| In millions of dollars | June 30, 2022 | December 31, 2021 | ||||||
Citigroup Inc.(1) | $ | 167,874 | $ | 164,945 | ||||
Bank(2) | 18,799 | 23,567 | ||||||
Broker-dealer and other(3) | 70,752 | 65,862 | ||||||
| Total | $ | 257,425 | $ | 254,374 | ||||
(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At June 30, 2022 and December 31, 2021, collateralized long-term advances from the Federal Home Loan Banks were $2.3 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 June 30, 2022 and December 31, 2021, respectively.
The following table summarizes Citi’s outstanding trust preferred securities at June 30, 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 | 194,053 | $ | 194 | 7.625 | % | 6,003 | $ | 200 | Dec. 1, 2036 | Not redeemable | |||||||||||||||
| Citigroup Capital XIII | Oct. 2010 | 89,840,000 | 2,246 | 3 mo. LIBOR + 637 bps | 1,000 | 2,246 | Oct. 30, 2040 | Oct. 30, 2015 | ||||||||||||||||||
| Total obligated | $ | 2,440 | $ | 2,446 | ||||||||||||||||||||||
Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and quarterly for Citigroup Capital XIII.
(1)Represents the notional value received by outside investors from the trusts at the time of issuance. This differs from Citi’s balance sheet carrying value due primarily to unamortized discount and issuance costs.
(2)In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.
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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 and Six Months Ended June 30, 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) | ||||||||||||||||
| Three Months Ended June 30, 2022 | |||||||||||||||||||||||
| Balance, March 31, 2022 | $ | (4,891) | $ | (394) | $ | (1,440) | $ | (5,681) | $ | (31,180) | $ | 1 | $ | (43,585) | |||||||||
| Other comprehensive income before reclassifications | (1,612) | 1,968 | (515) | (271) | (1,975) | 4 | (2,401) | ||||||||||||||||
Increase (decrease) due to amounts reclassified from AOCI | 111 | (1) | (151) | 182 | 345 | 5 | 491 | ||||||||||||||||
Change, net of taxes | $ | (1,501) | $ | 1,967 | $ | (666) | $ | (89) | $ | (1,630) | $ | 9 | $ | (1,910) | |||||||||
| Balance at June 30, 2022 | $ | (6,392) | $ | 1,573 | $ | (2,106) | $ | (5,770) | $ | (32,810) | $ | 10 | $ | (45,495) | |||||||||
| Six Months Ended June 30, 2022 | |||||||||||||||||||||||
| Balance, December 31, 2021 | $ | (614) | $ | (1,187) | $ | 101 | $ | (5,852) | $ | (31,166) | $ | (47) | $ | (38,765) | |||||||||
| Other comprehensive income before reclassifications | (5,895) | 2,761 | (1,839) | 21 | (1,989) | 50 | (6,891) | ||||||||||||||||
Increase (decrease) due to amounts reclassified from AOCI | 117 | (1) | (368) | 61 | 345 | 7 | 161 | ||||||||||||||||
| Change, net of taxes | $ | (5,778) | $ | 2,760 | $ | (2,207) | $ | 82 | $ | (1,644) | $ | 57 | $ | (6,730) | |||||||||
| Balance at June 30, 2022 | $ | (6,392) | $ | 1,573 | $ | (2,106) | $ | (5,770) | $ | (32,810) | $ | 10 | $ | (45,495) | |||||||||
Footnotes to the table above appear on the following page.
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Three and Six Months Ended June 30, 2021
| In millions of dollars | Net unrealized gains (losses) on debt securities | Debt valuation adjustment (DVA)(1) | Cash flow hedges(2) | Benefit plans(3) | Foreign currency translation adjustment (CTA), net of hedges(4) | Excluded component of fair value hedges | Accumulated other comprehensive income (loss) | ||||||||||||||||
| Three Months Ended June 30, 2021 | |||||||||||||||||||||||
| Balance, March 31, 2021 | $ | 1,535 | $ | (1,461) | $ | 1,037 | $ | (6,150) | $ | (29,915) | $ | (57) | $ | (35,011) | |||||||||
| Other comprehensive income before reclassifications | (379) | (72) | 28 | 36 | 523 | (11) | 125 | ||||||||||||||||
Increase (decrease) due to amounts reclassified from AOCI | (95) | 10 | (201) | 51 | — | 1 | (234) | ||||||||||||||||
Change, net of taxes | $ | (474) | $ | (62) | $ | (173) | $ | 87 | $ | 523 | $ | (10) | $ | (109) | |||||||||
| Balance at June 30, 2021 | $ | 1,061 | $ | (1,523) | $ | 864 | $ | (6,063) | $ | (29,392) | $ | (67) | $ | (35,120) | |||||||||
| Six Months Ended June 30, 2021 | |||||||||||||||||||||||
| Balance, December 31, 2020 | $ | 3,320 | $ | (1,419) | $ | 1,593 | $ | (6,864) | $ | (28,641) | $ | (47) | $ | (32,058) | |||||||||
| Other comprehensive income before reclassifications | (1,898) | (156) | (316) | 689 | (751) | (21) | (2,453) | ||||||||||||||||
Increase (decrease) due to amounts reclassified from AOCI | (361) | 52 | (413) | 112 | — | 1 | (609) | ||||||||||||||||
| Change, net of taxes | $ | (2,259) | $ | (104) | $ | (729) | $ | 801 | $ | (751) | $ | (20) | $ | (3,062) | |||||||||
| Balance at June 30, 2021 | $ | 1,061 | $ | (1,523) | $ | 864 | $ | (6,063) | $ | (29,392) | $ | (67) | $ | (35,120) | |||||||||
(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 South Korean won, Euro, Chilean peso, Mexican peso, Japanese yen and Brazilian real against the U.S. dollar and changes in related tax effects and hedges for the three months ended June 30, 2022. Primarily reflects the movements in (by order of impact) the South Korean won, Euro, Japanese yen, Indian rupee, British pound sterling and Chilean peso against the U.S. dollar and changes in related tax effects and hedges for the six months ended June 30, 2022. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Polish zloty, New Taiwan dollar, Euro and Indian rupee against the U.S. dollar and changes in related tax effects and hedges for the three months ended June 30, 2021. Primarily reflects the movements in (by order of impact) the South Korean won, Japanese yen, Euro, Indian rupee, Mexican peso and New Taiwan dollar against the U.S. dollar and changes in related tax effects and hedges for the six months ended June 30, 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)June 30, 2022 reflects a reduction of $470 million (after-tax) ($620 million pretax) currency translation adjustment (CTA) loss (net of hedges) associated with Citi’s sale of its consumer banking business in Australia (see Note 2). The reduction from AOCI had a neutral impact on Citi’s Common Equity Tier 1 Capital.
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The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three and Six Months Ended June 30, 2022
| In millions of dollars | Pretax | Tax effect | After-tax | ||||||||
| Three Months Ended June 30, 2022 | |||||||||||
| Balance, March 31, 2022 | $ | (51,807) | $ | 8,222 | $ | (43,585) | |||||
| Change in net unrealized gains (losses) on debt securities | (1,990) | 489 | (1,501) | ||||||||
| Debt valuation adjustment (DVA) | 2,592 | (625) | 1,967 | ||||||||
| Cash flow hedges | (886) | 220 | (666) | ||||||||
| Benefit plans | (73) | (16) | (89) | ||||||||
| Foreign currency translation adjustment | (1,414) | (216) | (1,630) | ||||||||
| Excluded component of fair value hedges | 12 | (3) | 9 | ||||||||
| Change | $ | (1,759) | $ | (151) | $ | (1,910) | |||||
| Balance at June 30, 2022 | $ | (53,566) | $ | 8,071 | $ | (45,495) | |||||
| Six Months Ended June 30, 2022 | |||||||||||
| Balance, December 31, 2021 | $ | (45,383) | $ | 6,618 | $ | (38,765) | |||||
| Change in net unrealized gains (losses) on debt securities | (7,614) | 1,836 | (5,778) | ||||||||
| Debt valuation adjustment (DVA) | 3,642 | (882) | 2,760 | ||||||||
| Cash flow hedges | (2,908) | 701 | (2,207) | ||||||||
| Benefit plans | 104 | (22) | 82 | ||||||||
| Foreign currency translation adjustment | (1,483) | (161) | (1,644) | ||||||||
| Excluded component of fair value hedges | 76 | (19) | 57 | ||||||||
| Change | $ | (8,183) | $ | 1,453 | $ | (6,730) | |||||
| Balance at June 30, 2022 | $ | (53,566) | $ | 8,071 | $ | (45,495) | |||||
Three and Six Months Ended June 30, 2021
| In millions of dollars | Pretax | Tax effect | After-tax | ||||||||
| Three Months Ended June 30, 2021 | |||||||||||
| Balance, March 31, 2021 | $ | (40,631) | $ | 5,620 | $ | (35,011) | |||||
| Change in net unrealized gains (losses) on debt securities | (638) | 164 | (474) | ||||||||
| Debt valuation adjustment (DVA) | (110) | 48 | (62) | ||||||||
| Cash flow hedges | (224) | 51 | (173) | ||||||||
| Benefit plans | 84 | 3 | 87 | ||||||||
| Foreign currency translation adjustment | 445 | 78 | 523 | ||||||||
| Excluded component of fair value hedges | (13) | 3 | (10) | ||||||||
| Change | $ | (456) | $ | 347 | $ | (109) | |||||
| Balance, June 30, 2021 | $ | (41,087) | $ | 5,967 | $ | (35,120) | |||||
| Six Months Ended June 30, 2021 | |||||||||||
| Balance, December 31, 2020 | $ | (36,992) | $ | 4,934 | $ | (32,058) | |||||
| Change in net unrealized gains (losses) on debt securities | (3,065) | 806 | (2,259) | ||||||||
| Debt valuation adjustment (DVA) | (148) | 44 | (104) | ||||||||
| Cash flow hedges | (953) | 224 | (729) | ||||||||
| Benefit plans | 991 | (190) | 801 | ||||||||
| Foreign currency translation adjustment | (894) | 143 | (751) | ||||||||
| Excluded component of fair value hedges | (26) | 6 | (20) | ||||||||
| Change | $ | (4,095) | $ | 1,033 | $ | (3,062) | |||||
| Balance, June 30, 2021 | $ | (41,087) | $ | 5,967 | $ | (35,120) | |||||
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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 June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Realized (gains) losses on sales of investments | $ | 58 | $ | (137) | $ | (22) | $ | (538) | ||||||
| Gross impairment losses | 90 | 9 | 180 | 78 | ||||||||||
| Subtotal, pretax | $ | 148 | $ | (128) | $ | 158 | $ | (460) | ||||||
| Tax effect | (37) | 33 | (41) | 99 | ||||||||||
Net realized (gains) losses on investments after-tax(1) | $ | 111 | $ | (95) | $ | 117 | $ | (361) | ||||||
| Realized DVA (gains) losses on fair value option liabilities, pretax | $ | (1) | $ | 13 | $ | (1) | $ | 69 | ||||||
| Tax effect | — | (3) | — | (17) | ||||||||||
| Net realized DVA, after-tax | $ | (1) | $ | 10 | $ | (1) | $ | 52 | ||||||
| Interest rate contracts | $ | (199) | $ | (266) | $ | (485) | $ | (544) | ||||||
| Foreign exchange contracts | 1 | 1 | 2 | 2 | ||||||||||
| Subtotal, pretax | $ | (198) | $ | (265) | $ | (483) | $ | (542) | ||||||
| Tax effect | 47 | 64 | 115 | 129 | ||||||||||
Amortization of cash flow hedges, after-tax(2) | $ | (151) | $ | (201) | $ | (368) | $ | (413) | ||||||
| Amortization of unrecognized: | ||||||||||||||
| Prior service cost (benefit) | $ | (5) | $ | (6) | $ | (11) | $ | (12) | ||||||
| Net actuarial loss | 58 | 71 | 128 | 158 | ||||||||||
Curtailment/settlement impact(3) | 183 | 4 | (33) | 4 | ||||||||||
| Subtotal, pretax | $ | 236 | $ | 69 | $ | 84 | $ | 150 | ||||||
| Tax effect | (54) | (18) | (23) | (38) | ||||||||||
Amortization of benefit plans, after-tax(3) | $ | 182 | $ | 51 | $ | 61 | $ | 112 | ||||||
| Excluded component of fair value hedges, pretax | $ | 7 | $ | 1 | $ | 10 | $ | 1 | ||||||
| Tax effect | (2) | — | (3) | — | ||||||||||
| Excluded component of fair value hedges, after-tax | $ | 5 | $ | 1 | $ | 7 | $ | 1 | ||||||
| Foreign currency translation adjustment, pretax | $ | 397 | $ | — | $ | 397 | $ | — | ||||||
| Tax effect | (52) | — | (52) | — | ||||||||||
| Foreign currency translation adjustment, after-tax | $ | 345 | $ | — | $ | 345 | $ | — | ||||||
Total amounts reclassified out of AOCI, pretax | $ | 589 | $ | (310) | $ | 165 | $ | (782) | ||||||
| Total tax effect | (98) | 76 | (4) | 173 | ||||||||||
Total amounts reclassified out of AOCI, after-tax | $ | 491 | $ | (234) | $ | 161 | $ | (609) | ||||||
(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.
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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 June 30, 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 | $ | 31,266 | $ | 31,266 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Mortgage securitizations(4) | ||||||||||||||||||||||||||
U.S. agency-sponsored | 115,494 | — | 115,494 | 2,100 | — | — | 51 | 2,151 | ||||||||||||||||||
Non-agency-sponsored | 60,155 | — | 60,155 | 2,747 | — | 5 | — | 2,752 | ||||||||||||||||||
| Citi-administered asset-backed commercial paper conduits | 14,291 | 14,291 | — | — | — | — | — | — | ||||||||||||||||||
| Collateralized loan obligations (CLOs) | 8,259 | — | 8,259 | 2,599 | — | — | — | 2,599 | ||||||||||||||||||
Asset-based financing(5) | 246,990 | 9,439 | 237,551 | 36,051 | 1,088 | 11,639 | — | 48,778 | ||||||||||||||||||
| Municipal securities tender option bond trusts (TOBs) | 2,839 | 678 | 2,161 | 8 | — | 1,571 | — | 1,579 | ||||||||||||||||||
Municipal investments | 22,191 | 3 | 22,188 | 2,673 | 3,368 | 4,010 | — | 10,051 | ||||||||||||||||||
Client intermediation | 810 | 373 | 437 | 66 | — | — | 63 | 129 | ||||||||||||||||||
| Investment funds | 385 | 84 | 301 | 2 | 2 | 20 | 1 | 25 | ||||||||||||||||||
Other | — | — | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | 502,680 | $ | 56,134 | $ | 446,546 | $ | 46,246 | $ | 4,458 | $ | 17,245 | $ | 115 | $ | 68,064 | ||||||||||
| 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 | $ | 31,518 | $ | 31,518 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Mortgage securitizations(4) | ||||||||||||||||||||||||||
U.S. agency-sponsored | 113,641 | — | 113,641 | 1,582 | — | — | 43 | 1,625 | ||||||||||||||||||
Non-agency-sponsored | 60,851 | 632 | 60,219 | 2,479 | — | 5 | — | 2,484 | ||||||||||||||||||
| Citi-administered asset-backed commercial paper conduits | 14,018 | 14,018 | — | — | — | — | — | — | ||||||||||||||||||
| Collateralized loan obligations (CLOs) | 8,302 | — | 8,302 | 2,636 | — | — | — | 2,636 | ||||||||||||||||||
Asset-based financing(5) | 246,632 | 11,085 | 235,547 | 32,242 | 1,139 | 12,189 | — | 45,570 | ||||||||||||||||||
| Municipal securities tender option bond trusts (TOBs) | 3,251 | 905 | 2,346 | 2 | — | 1,498 | — | 1,500 | ||||||||||||||||||
Municipal investments | 20,597 | 3 | 20,594 | 2,512 | 3,617 | 3,562 | — | 9,691 | ||||||||||||||||||
Client intermediation | 904 | 297 | 607 | 75 | — | — | 224 | 299 | ||||||||||||||||||
| Investment funds | 498 | 179 | 319 | — | — | 12 | 1 | 13 | ||||||||||||||||||
Other | — | — | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | 500,212 | $ | 58,637 | $ | 441,575 | $ | 41,528 | $ | 4,756 | $ | 17,266 | $ | 268 | $ | 63,818 | ||||||||||
(1) The definition of maximum exposure to loss is included in the text that follows this table.
(2) Included on Citigroup’s June 30, 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 $86 billion and $100 billion in unconsolidated VIE assets and $499 million and $497 million in maximum exposure to loss as of June 30, 2022 and December 31, 2021, respectively.
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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 June 30, 2022 and December 31, 2021, the Company’s maximum exposure to loss related to these deals was $50.5 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 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.
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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:
| June 30, 2022 | December 31, 2021 | |||||||||||||
In millions of dollars | Liquidity facilities | Loan/equity commitments | Liquidity facilities | Loan/equity commitments | ||||||||||
| Non-agency-sponsored mortgage securitizations | $ | — | $ | 5 | $ | — | $ | 5 | ||||||
Asset-based financing | — | 11,639 | — | 12,189 | ||||||||||
Municipal securities tender option bond trusts (TOBs) | 1,571 | — | 1,498 | — | ||||||||||
Municipal investments | — | 4,010 | — | 3,562 | ||||||||||
Investment funds | — | 20 | — | 12 | ||||||||||
Other | — | — | — | — | ||||||||||
Total funding commitments | $ | 1,571 | $ | 15,674 | $ | 1,498 | $ | 15,768 | ||||||
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 | June 30, 2022 | December 31, 2021 | ||||||
Cash | $ | — | $ | — | ||||
Trading account assets | 1.8 | 1.4 | ||||||
Investments | 8.9 | 8.8 | ||||||
Total loans, net of allowance | 39.6 | 35.4 | ||||||
Other | 0.5 | 0.8 | ||||||
Total assets | $ | 50.8 | $ | 46.4 | ||||
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 | June 30, 2022 | December 31, 2021 | ||||||
Ownership interests in principal amount of trust credit card receivables | ||||||||
| Sold to investors via trust-issued securities | $ | 9.7 | $ | 9.7 | ||||
| Retained by Citigroup as trust-issued securities | 6.5 | 7.2 | ||||||
| Retained by Citigroup via non-certificated interests | 16.9 | 16.1 | ||||||
Total | $ | 33.1 | $ | 33.0 | ||||
The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
In billions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
Proceeds from new securitizations | $ | — | $ | — | $ | — | $ | — | ||||||
Pay down of maturing notes | — | (1.1) | — | (4.7) | ||||||||||
Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 3.1 years as of June 30, 2022 and 3.6 years as of December 31, 2021.
In billions of dollars | Jun. 30, 2022 | Dec. 31, 2021 | ||||||
Term notes issued to third parties | $ | 8.4 | $ | 8.4 | ||||
| Term notes retained by Citigroup affiliates | 1.7 | 2.2 | ||||||
Total Master Trust liabilities | $ | 10.1 | $ | 10.6 | ||||
Omni Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was 1.1 years as of June 30, 2022 and 1.6 years as of December 31, 2021.
In billions of dollars | Jun. 30, 2022 | Dec. 31, 2021 | ||||||
Term notes issued to third parties | $ | 1.3 | $ | 1.3 | ||||
| Term notes retained by Citigroup affiliates | 4.8 | 5.0 | ||||||
Total Omni Trust liabilities | $ | 6.1 | $ | 6.3 | ||||
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Mortgage Securitizations
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
| Three Months Ended June 30, | ||||||||||||||
| 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 | $ | 1.9 | $ | 8.6 | $ | 1.9 | $ | 7.1 | ||||||
Proceeds from new securitizations | 1.8 | 8.4 | 1.9 | 7.2 | ||||||||||
| Contractual servicing fees received | — | — | — | — | ||||||||||
| Cash flows received on retained interests and other new cash flows | — | — | — | — | ||||||||||
Purchases of previously transferred financial assets | — | — | — | — | ||||||||||
| Six Months Ended June 30, | ||||||||||||||
| 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 | $ | 4.0 | $ | 10.2 | $ | 4.9 | $ | 18.1 | ||||||
Proceeds from new securitizations | 3.9 | 10.0 | 5.1 | 17.8 | ||||||||||
Purchases of previously transferred financial assets | — | — | 0.1 | — | ||||||||||
Note: Excludes re-securitization transactions.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $0.3 million and $0.6 million for the three and six months ended June 30, 2022, respectively. For the three and six months ended June 30, 2022, gains recognized on the securitization of non-agency-sponsored mortgages were $35 million and $73.7 million, respectively.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $0.2 million and $1.3 million for the three and six months ended June 30, 2021, respectively. Gains recognized on the securitization of non-agency-sponsored mortgages were $135.6 million and $301.7 million for the three and six months ended June 30, 2021, respectively.
| June 30, 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) | $ | 597 | $ | 1,172 | $ | 945 | $ | 374 | $ | 1,452 | $ | 955 | ||||||||
(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 $48 million related to personal loan securitizations at June 30, 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.
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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 June 30, 2022 | |||||||||||
Non-agency-sponsored mortgages(1) | |||||||||||
U.S. agency- sponsored mortgages | Senior interests | Subordinated interests | |||||||||
| Weighted average discount rate | 7.6 | % | 4.4 | % | 4.1 | % | |||||
| Weighted average constant prepayment rate | 2.1 | % | 5.0 | % | 12.3 | % | |||||
Weighted average anticipated net credit losses(2) | NM | 4.6 | % | 0.5 | % | ||||||
Weighted average life | 9.6 years | 8.4 years | 6.0 years | ||||||||
| Six Months Ended June 30, 2022 | |||||||||||
Non-agency-sponsored mortgages(1) | |||||||||||
U.S. agency- sponsored mortgages | Senior interests | Subordinated interests | |||||||||
| Weighted average discount rate | 7.4 | % | 3.4 | % | 3.9 | % | |||||
| Weighted average constant prepayment rate | 2.7 | % | 5.9 | % | 12.3 | % | |||||
Weighted average anticipated net credit losses(2) | NM | 2.9 | % | 0.4 | % | ||||||
Weighted average life | 9.0 years | 6.5 years | 5.8 years | ||||||||
| Three Months Ended June 30, 2021 | |||||||||||
Non-agency-sponsored mortgages(1) | |||||||||||
| U.S. agency- sponsored mortgages | Senior interests | Subordinated interests | |||||||||
| Weighted average discount rate | 9.0 | % | 1.8 | % | 2.8 | % | |||||
| Weighted average constant prepayment rate | 4.2 | % | — | % | 10.0 | % | |||||
Weighted average anticipated net credit losses(2) | NM | — | % | 1.0 | % | ||||||
Weighted average life | 7.8 years | 6.7 years | 5.7 years | ||||||||
| Six Months Ended June 30, 2021 | |||||||||||
Non-agency-sponsored mortgages(1) | |||||||||||
| U.S. agency- sponsored mortgages | Senior interests | Subordinated interests | |||||||||
| Weighted average discount rate | 8.9 | % | 0.4 | % | 2.9 | % | |||||
| Weighted average constant prepayment rate | 5.0 | % | — | % | 10.3 | % | |||||
Weighted average anticipated net credit losses(2) | NM | 0.4 | % | 1.1 | % | ||||||
Weighted average life | 7.8 years | 3.4 years | 5.5 years | ||||||||
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
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The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests. Key assumptions used in measuring the fair value of retained interests in securitizations of mortgage receivables at period end were as follows:
| June 30, 2022 | |||||||||||
Non-agency-sponsored mortgages(1) | |||||||||||
| U.S. agency- sponsored mortgages | Senior interests | Subordinated interests | |||||||||
| Weighted average discount rate | 5.1 | % | 6.7 | % | — | % | |||||
| Weighted average constant prepayment rate | 6.0 | % | 10.0 | % | — | % | |||||
Weighted average anticipated net credit losses(2) | NM | 1.0 | % | — | % | ||||||
Weighted average life | 7.7 years | 6.5 years | NM | ||||||||
| December 31, 2021 | |||||||||||
Non-agency-sponsored mortgages(1) | |||||||||||
| U.S. agency- sponsored mortgages | Senior interests | Subordinated interests | |||||||||
| Weighted average discount rate | 3.7 | % | 16.2 | % | 4.0 | % | |||||
| Weighted average constant prepayment rate | 14.5 | % | 6.8 | % | 9.0 | % | |||||
Weighted average anticipated net credit losses(2) | NM | 1.0 | % | 2.0 | % | ||||||
Weighted average life | 5.1 years | 8.8 years | 18.0 years | ||||||||
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(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.
| June 30, 2022 | |||||||||||
| Non-agency-sponsored mortgages | |||||||||||
In millions of dollars | U.S. agency- sponsored mortgages | Senior interests | Subordinated interests | ||||||||
Discount rate | |||||||||||
| Adverse change of 10% | $ | (16) | $ | — | $ | — | |||||
| Adverse change of 20% | (31) | (1) | — | ||||||||
Constant prepayment rate | |||||||||||
| Adverse change of 10% | (14) | — | — | ||||||||
| Adverse change of 20% | (27) | (1) | — | ||||||||
Anticipated net credit losses | |||||||||||
| Adverse change of 10% | NM | — | — | ||||||||
| Adverse change of 20% | NM | — | — | ||||||||
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| 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% | $ | (6) | $ | (1) | $ | — | |||||
| Adverse change of 20% | (11) | (1) | — | ||||||||
Constant prepayment rate | |||||||||||
| Adverse change of 10% | (19) | — | — | ||||||||
| Adverse change of 20% | (37) | — | — | ||||||||
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 June 30, | Six Months Ended June 30, | |||||||||||||||||||||||
| In billions of dollars, except liquidation losses in millions | Jun. 30, 2022 | Dec. 31, 2021 | Jun. 30, 2022 | Dec. 31, 2021 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||
Securitized assets | ||||||||||||||||||||||||||
Residential mortgages(1) | $ | 29.3 | $ | 29.2 | $ | 0.5 | $ | 0.4 | $ | (0.3) | $ | 5.0 | $ | 1.2 | $ | 6.6 | ||||||||||
Commercial and other | 21.7 | 26.2 | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | 51.0 | $ | 55.4 | $ | 0.5 | $ | 0.4 | $ | (0.3) | $ | 5.0 | $ | 1.2 | $ | 6.6 | ||||||||||
(1) Securitized assets include $0.2 billion of personal loan securitizations as of June 30, 2022.
Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $600 million and $419 million at June 30, 2022 and 2021, respectively. The MSRs correspond to principal loan balances of $49 billion and $50 billion as of June 30, 2022 and 2021, respectively. The following table summarizes the changes in capitalized MSRs:
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Balance, beginning of period | $ | 520 | $ | 433 | $ | 404 | $ | 336 | ||||||
| Originations | 35 | 25 | 69 | 68 | ||||||||||
| Changes in fair value of MSRs due to changes in inputs and assumptions | 59 | (21) | 158 | 52 | ||||||||||
Other changes(1) | (14) | (18) | (31) | (37) | ||||||||||
| Sales of MSRs | — | — | — | — | ||||||||||
| Balance, as of June 30 | $ | 600 | $ | 419 | $ | 600 | $ | 419 | ||||||
(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.
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The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
Servicing fees | $ | 30 | $ | 37 | $ | 59 | $ | 68 | ||||||
Late fees | 1 | — | 2 | 1 | ||||||||||
Ancillary fees | — | — | — | — | ||||||||||
Total MSR fees | $ | 31 | $ | 37 | $ | 61 | $ | 69 | ||||||
In the Consolidated Statement of Income these fees are primarily classified as Commissions and fees, and changes in MSR fair values are classified as Other revenue.
Re-securitizations
The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. Citi did not transfer non-agency (private label) securities to re-securitization entities during the three months ended June 30, 2022 and 2021. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of June 30, 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 and six months ended June 30, 2022, Citi transferred agency securities with a fair value of approximately $5.6 billion and $14.9 billion, respectively, to re-securitization entities compared to approximately $11.4 billion and $24.5 billion for the three and six months ended June 30, 2021, respectively.
As of June 30, 2022, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.5 billion (including $656 million related to re-securitization transactions executed in 2022), an increase from $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 June 30, 2022 and December 31, 2021 were approximately $78.8 billion and $78.4 billion, respectively.
As of June 30, 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 June 30, 2022 and December 31, 2021, the commercial paper conduits administered by Citi had approximately $14.3 billion and $14 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $16.4 billion and $18.3 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At June 30, 2022 and December 31, 2021, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 61 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 $1.5 billion and $1.3 billion as of June 30, 2022 and December 31, 2021, respectively. The net result across multiseller conduits administered by the Company is that, in the event that defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then to the commercial paper investors.
At June 30, 2022 and December 31, 2021, the Company owned $5.3 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 June 30, 2022 and 2021. The following table summarizes selected retained interests related to Citigroup CLOs:
In millions of dollars | Jun. 30, 2022 | Dec. 31, 2021 | ||||||
Carrying value of retained interests | $ | 681 | $ | 921 | ||||
All of Citi’s retained interests were held-to-maturity securities as of June 30, 2022 and December 31, 2021.
Municipal Securities Tender Option Bond (TOB) Trusts
At June 30, 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 June 30, 2022 and December 31, 2021, liquidity agreements provided with respect to customer TOB trusts totaled $1.6 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.
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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 $1.6 billion and $2 billion as of June 30, 2022 and December 31, 2021, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.
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.
| June 30, 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 | $ | 42,600 | $ | 8,802 | $ | 32,932 | $ | 7,461 | ||||||
Corporate loans | 23,656 | 15,139 | 18,257 | 12,581 | ||||||||||
| Other (including investment funds, airlines and shipping) | 171,295 | 24,837 | 184,358 | 25,528 | ||||||||||
Total | $ | 237,551 | $ | 48,778 | $ | 235,547 | $ | 45,570 | ||||||
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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.
Information pertaining to Citigroup’s derivatives activities, based on notional amounts, is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete measure of Citi’s exposure to derivative transactions. Citi’s derivative exposure arises primarily from
market fluctuations (i.e., market risk), counterparty failure
(i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades. For example, if Citi enters into a receive-fixed interest rate swap with $100 million notional, and offsets this risk with an identical but opposite pay-fixed position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk.
In addition, aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors.
Derivative Notionals
| Hedging instruments under ASC 815 | Trading derivative instruments | |||||||||||||
| In millions of dollars | June 30, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | ||||||||||
| Interest rate contracts | ||||||||||||||
| Swaps | $ | 318,974 | $ | 267,035 | $ | 23,331,571 | $ | 21,873,538 | ||||||
| Futures and forwards | — | — | 2,714,997 | 2,383,702 | ||||||||||
| Written options | — | — | 1,879,285 | 1,584,451 | ||||||||||
| Purchased options | — | — | 1,843,472 | 1,428,376 | ||||||||||
| Total interest rate contracts | $ | 318,974 | $ | 267,035 | $ | 29,769,325 | $ | 27,270,067 | ||||||
| Foreign exchange contracts | ||||||||||||||
| Swaps | $ | 45,428 | $ | 47,298 | $ | 6,276,146 | $ | 6,288,193 | ||||||
| Futures, forwards and spot | 43,351 | 50,926 | 3,668,569 | 4,316,242 | ||||||||||
| Written options | — | — | 846,794 | 664,942 | ||||||||||
| Purchased options | — | — | 840,987 | 651,958 | ||||||||||
| Total foreign exchange contracts | $ | 88,779 | $ | 98,224 | $ | 11,632,496 | $ | 11,921,335 | ||||||
| Equity contracts | ||||||||||||||
| Swaps | $ | — | $ | — | $ | 243,070 | $ | 269,062 | ||||||
| Futures and forwards | — | — | 73,495 | 71,363 | ||||||||||
| Written options | — | — | 485,109 | 492,433 | ||||||||||
| Purchased options | — | — | 396,981 | 398,129 | ||||||||||
| Total equity contracts | $ | — | $ | — | $ | 1,198,655 | $ | 1,230,987 | ||||||
| Commodity and other contracts | ||||||||||||||
| Swaps | $ | — | $ | — | $ | 110,833 | $ | 91,962 | ||||||
| Futures and forwards | 1,365 | 2,096 | 201,926 | 157,195 | ||||||||||
| Written options | — | — | 63,643 | 51,224 | ||||||||||
| Purchased options | — | — | 60,695 | 47,868 | ||||||||||
| Total commodity and other contracts | $ | 1,365 | $ | 2,096 | $ | 437,097 | $ | 348,249 | ||||||
Credit derivatives(1) | ||||||||||||||
| Protection sold | $ | — | $ | — | $ | 638,379 | $ | 572,486 | ||||||
| Protection purchased | — | — | 682,144 | 645,996 | ||||||||||
| Total credit derivatives | $ | — | $ | — | $ | 1,320,523 | $ | 1,218,482 | ||||||
| Total derivative notionals | $ | 409,118 | $ | 367,355 | $ | 44,358,096 | $ | 41,989,120 | ||||||
(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.
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The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of June 30, 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. 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.
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Derivative Mark-to-Market (MTM) Receivables/Payables
| In millions of dollars at June 30, 2022 | Derivatives classified in Trading account assets/liabilities(1)(2) | |||||||
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities | ||||||
| Over-the-counter | $ | 671 | $ | 2 | ||||
| Cleared | 126 | 426 | ||||||
| Interest rate contracts | $ | 797 | $ | 428 | ||||
| Over-the-counter | $ | 1,729 | $ | 2,147 | ||||
| Cleared | 1 | — | ||||||
| Foreign exchange contracts | $ | 1,730 | $ | 2,147 | ||||
| Total derivatives instruments designated as ASC 815 hedges | $ | 2,527 | $ | 2,575 | ||||
| Derivatives instruments not designated as ASC 815 hedges | ||||||||
| Over-the-counter | $ | 123,716 | $ | 115,511 | ||||
| Cleared | 34,690 | 33,926 | ||||||
| Exchange traded | 322 | 272 | ||||||
| Interest rate contracts | $ | 158,728 | $ | 149,709 | ||||
| Over-the-counter | $ | 183,935 | $ | 178,416 | ||||
| Cleared | 445 | 829 | ||||||
| Foreign exchange contracts | $ | 184,380 | $ | 179,245 | ||||
| Over-the-counter | $ | 25,577 | $ | 27,170 | ||||
| Cleared | 22 | 12 | ||||||
| Exchange traded | 29,992 | 31,327 | ||||||
| Equity contracts | $ | 55,591 | $ | 58,509 | ||||
| Over-the-counter | $ | 47,253 | $ | 41,326 | ||||
| Exchange traded | 2,423 | 3,303 | ||||||
| Commodity and other contracts | $ | 49,676 | $ | 44,629 | ||||
| Over-the-counter | $ | 9,837 | $ | 8,401 | ||||
| Cleared | 1,964 | 1,894 | ||||||
| Credit derivatives | $ | 11,801 | $ | 10,295 | ||||
| Total derivatives instruments not designated as ASC 815 hedges | $ | 460,176 | $ | 442,387 | ||||
| Total derivatives | $ | 462,703 | $ | 444,962 | ||||
Less: Netting agreements(3) | $ | (348,255) | $ | (348,255) | ||||
Less: Netting cash collateral received/paid(4) | (32,563) | (33,950) | ||||||
Net receivables/payables included on the Consolidated Balance Sheet(5) | $ | 81,885 | $ | 62,757 | ||||
| Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | ||||||||
| Less: Cash collateral received/paid | $ | (2,244) | $ | (1,918) | ||||
| Less: Non-cash collateral received/paid | (4,878) | (12,975) | ||||||
Total net receivables/payables(5) | $ | 74,763 | $ | 47,864 | ||||
(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 $286 billion, $31 billion and $31 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 $7 billion of derivative asset and $11 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
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| In millions of dollars at December 31, 2021 | Derivatives classified in Trading account assets/liabilities(1)(2) | |||||||
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities | ||||||
| Over-the-counter | $ | 1,167 | $ | 6 | ||||
| Cleared | 122 | 89 | ||||||
| Interest rate contracts | $ | 1,289 | $ | 95 | ||||
| Over-the-counter | $ | 1,338 | $ | 1,472 | ||||
| Cleared | 6 | — | ||||||
| Foreign exchange contracts | $ | 1,344 | $ | 1,472 | ||||
| Total derivatives instruments designated as ASC 815 hedges | $ | 2,633 | $ | 1,567 | ||||
| Derivatives instruments not designated as ASC 815 hedges | ||||||||
| Over-the-counter | $ | 152,524 | $ | 138,114 | ||||
| Cleared | 11,579 | 11,821 | ||||||
| Exchange traded | 96 | 44 | ||||||
| Interest rate contracts | $ | 164,199 | $ | 149,979 | ||||
| Over-the-counter | $ | 133,357 | $ | 133,548 | ||||
| Cleared | 848 | 278 | ||||||
| Foreign exchange contracts | $ | 134,205 | $ | 133,826 | ||||
| Over-the-counter | $ | 23,452 | $ | 28,352 | ||||
| Cleared | 19 | — | ||||||
| Exchange traded | 21,781 | 21,332 | ||||||
| Equity contracts | $ | 45,252 | $ | 49,684 | ||||
| Over-the-counter | $ | 29,279 | $ | 29,833 | ||||
| Exchange traded | 1,065 | 1,546 | ||||||
| Commodity and other contracts | $ | 30,344 | $ | 31,379 | ||||
| Over-the-counter | $ | 6,896 | $ | 6,959 | ||||
| Cleared | 3,322 | 4,056 | ||||||
| Credit derivatives | $ | 10,218 | $ | 11,015 | ||||
| Total derivatives instruments not designated as ASC 815 hedges | $ | 384,218 | $ | 375,883 | ||||
| Total derivatives | $ | 386,851 | $ | 377,450 | ||||
Less: Netting agreements(3) | $ | (292,628) | $ | (292,628) | ||||
Less: Netting cash collateral received/paid(4) | (24,447) | (29,306) | ||||||
Net receivables/payables included on the Consolidated Balance Sheet(5) | $ | 69,776 | $ | 55,516 | ||||
| Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | ||||||||
| Less: Cash collateral received/paid | $ | (907) | $ | (538) | ||||
| Less: Non-cash collateral received/paid | (5,777) | (13,607) | ||||||
Total net receivables/payables(5) | $ | 63,092 | $ | 41,371 | ||||
(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.
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For the three and six months ended June 30, 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 June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Interest rate contracts | $ | 72 | $ | (15) | $ | 144 | $ | (75) | ||||||
| Foreign exchange | (4) | (13) | (81) | (34) | ||||||||||
| Total | $ | 68 | $ | (28) | $ | 63 | $ | (109) | ||||||
Fair Value Hedges
Hedging of Benchmark Interest Rate Risk
Citigroup’s fair value hedges are primarily hedges of fixed-rate long-term debt or assets, such as available-for-sale debt securities or loans.
For qualifying fair value hedges of interest rate risk, the changes in the fair value of the derivative and the change in the fair value of the hedged item attributable to the hedged risk are presented within Interest revenue or Interest expense based on whether the hedged item is an asset or a liability.
Citigroup has executed a last-of-layer hedge, which permits an entity to hedge the interest rate risk of a stated portion of a closed portfolio of prepayable financial assets that are expected to remain outstanding for the designated tenor of the hedge. In accordance with ASC 815, an entity may exclude prepayment risk when measuring the change in fair value of the hedged item attributable to interest rate risk under the last-of-layer approach. Similar to other fair value hedges, where the hedged item is an asset, the fair value of the hedged item attributable to interest rate risk will be presented in Interest revenue along with the change in the fair value of the hedging instrument.
Hedging of Foreign Exchange Risk
Citigroup hedges the change in fair value attributable to foreign exchange rate movements in available-for-sale debt securities and long-term debt that are denominated in currencies other than the functional currency of the entity holding the securities or issuing the debt. The hedging instrument is generally a forward foreign exchange contract or a cross-currency swap contract. Citigroup considers the premium associated with forward contracts (i.e., the differential between the spot and contractual forward rates) as the cost of hedging; this amount is excluded from the assessment of hedge effectiveness and is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness and records it in Other comprehensive income.
Hedging of Commodity Price Risk
Citigroup hedges the change in fair value attributable to spot price movements in physical commodities inventories. The hedging instrument is a futures contract to sell the underlying commodity. In this hedge, the change in the value of the hedged inventory is reflected in earnings, which offsets the change in the fair value of the futures contract that is also reflected in earnings. Although the change in the fair value of the hedging instrument recorded in earnings includes changes in forward rates, Citigroup excludes the differential between the spot and the contractual forward rates under the futures contract from the assessment of hedge effectiveness, and it is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in forward rates from the assessment of hedge effectiveness and records it in Other comprehensive income.
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The following table summarizes the gains (losses) on the Company’s fair value hedges:
Gains (losses) on fair value hedges(1) | ||||||||||||||||||||||||||
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||
| 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
| In millions of dollars | Other revenue | Net interest income | Other revenue | Net interest income | 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 | $ | — | $ | (1,717) | $ | — | $ | 454 | $ | — | $ | (6,383) | $ | — | $ | (3,481) | ||||||||||
| Foreign exchange hedges | (1,234) | — | 220 | — | (1,659) | — | 10 | — | ||||||||||||||||||
| Commodity hedges | (257) | — | (277) | — | 615 | — | (566) | — | ||||||||||||||||||
| Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | $ | (1,491) | $ | (1,717) | $ | (57) | $ | 454 | $ | (1,044) | $ | (6,383) | $ | (556) | $ | (3,481) | ||||||||||
| Gain (loss) on the hedged item in designated and qualifying fair value hedges | ||||||||||||||||||||||||||
| Interest rate hedges | $ | — | $ | 1,646 | $ | — | $ | (559) | $ | — | $ | 6,243 | $ | — | $ | 3,267 | ||||||||||
| Foreign exchange hedges | 1,233 | — | (220) | — | 1,657 | — | (10) | — | ||||||||||||||||||
| Commodity hedges | 257 | — | 277 | — | (615) | — | 566 | — | ||||||||||||||||||
| Total gain (loss) on the hedged item in designated and qualifying fair value hedges | $ | 1,490 | $ | 1,646 | $ | 57 | $ | (559) | $ | 1,042 | $ | 6,243 | $ | 556 | $ | 3,267 | ||||||||||
| Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | ||||||||||||||||||||||||||
| Interest rate hedges | $ | — | $ | (5) | $ | — | $ | 1 | $ | — | $ | (11) | $ | — | $ | (3) | ||||||||||
Foreign exchange hedges(2) | 73 | — | 13 | — | 104 | — | 17 | — | ||||||||||||||||||
| Commodity hedges | (26) | — | (53) | — | 23 | — | (75) | — | ||||||||||||||||||
| Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | $ | 47 | $ | (5) | $ | (40) | $ | 1 | $ | 127 | $ | (11) | $ | (58) | $ | (3) | ||||||||||
(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 $12 million and $76 million for the three and six months ended June 30, 2022 and $(13) million and $(26) million for the three and six months ended June 30, 2021, respectively.
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Cumulative Basis Adjustment
Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative changes in the hedged risk. This cumulative hedge basis adjustment becomes part of the carrying value of the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at June 30, 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 June 30, 2022 | |||||||||||
Debt securities AFS(1)(3) | $ | 101,249 | $ | (1,137) | $ | (270) | |||||
| Long-term debt | 148,863 | (3,848) | (587) | ||||||||
| As of December 31, 2021 | |||||||||||
Debt securities AFS(2)(3) | $ | 62,733 | $ | 149 | $ | 212 | |||||
| Long-term debt | 149,305 | 623 | 3,936 | ||||||||
(1)These amounts include a cumulative basis adjustment of $(11) million for active hedges and $(228) million for de-designated hedges as of June 30, 2022, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $3 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $11 billion as of June 30, 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.
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Cash Flow Hedges
Citigroup hedges the variability of forecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. These cash flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.
For cash flow hedges, the entire change in the fair value of the hedging derivative is recognized in AOCI and then reclassified to earnings in the same period that the forecasted hedged cash flows impact earnings. The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of June 30, 2022 is approximately $(1.2) billion. The maximum length of time over which forecasted cash flows are hedged is 10 years.
The pretax change in AOCI from cash flow hedges is presented below. The after-tax impact of cash flow hedges on AOCI is shown in Note 17.
| Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||
Amount of gain (loss) recognized in AOCI on derivatives | ||||||||||||||||||||||||||
| Interest rate contracts | $ | (681) | $ | 39 | $ | (2,441) | $ | (416) | ||||||||||||||||||
| Foreign exchange contracts | (7) | (3) | 16 | — | ||||||||||||||||||||||
Total gain (loss) recognized in AOCI | $ | (688) | $ | 36 | $ | (2,425) | $ | (416) | ||||||||||||||||||
| Other revenue | Net interest revenue | Other revenue | Net interest revenue | Other revenue | Net interest revenue | Other revenue | Net interest revenue | |||||||||||||||||||
Amount of gain (loss) reclassified from AOCI to earnings(1) | ||||||||||||||||||||||||||
| Interest rate contracts | $ | — | $ | 199 | $ | — | $ | 266 | $ | — | $ | 485 | $ | — | $ | 544 | ||||||||||
| Foreign exchange contracts | (1) | — | (1) | — | (2) | — | (2) | — | ||||||||||||||||||
Total gain (loss) reclassified from AOCI into earnings | $ | (1) | $ | 199 | $ | (1) | $ | 266 | $ | (2) | $ | 485 | $ | (2) | $ | 544 | ||||||||||
Net pretax change in cash flow hedges included within AOCI | $ | (886) | $ | (229) | $ | (2,908) | $ | (958) | ||||||||||||||||||
(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.
175
Net Investment Hedges
Citi uses foreign currency forwards, cross-currency swaps, options and foreign currency-denominated debt instruments to manage the foreign exchange risk associated with Citi’s equity investments in several non-U.S.-dollar-functional-currency foreign subsidiaries. Citi records the change in the fair value of these hedging instruments and the translation adjustment for the investments in these foreign subsidiaries in Foreign currency translation adjustment within AOCI.
The pretax gain (loss) recorded in Foreign currency translation adjustment within AOCI, related to net investment hedges, was $836 million and $641 million for the three and six months ended June 30, 2022 and $(426) million and $131 million for the three and six months ended June 30, 2021, respectively. June 30, 2022 includes a $47 million pretax loss related to net investment hedges that was reclassified from AOCI into earnings (recorded in Other revenue).
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 June 30, 2022 | Receivable(1) | Payable(2) | Protection purchased | Protection sold | ||||||||||
| By industry of counterparty | ||||||||||||||
| Banks | $ | 3,507 | $ | 3,767 | $ | 111,649 | $ | 115,903 | ||||||
| Broker-dealers | 2,872 | 1,865 | 46,453 | 39,567 | ||||||||||
| Non-financial | 73 | 22 | 2,161 | 1,515 | ||||||||||
| Insurance and other financial institutions | 5,349 | 4,641 | 521,881 | 481,394 | ||||||||||
| Total by industry of counterparty | $ | 11,801 | $ | 10,295 | $ | 682,144 | $ | 638,379 | ||||||
| By instrument | ||||||||||||||
| Credit default swaps and options | $ | 10,182 | $ | 9,935 | $ | 667,694 | $ | 631,332 | ||||||
| Total return swaps and other | 1,619 | 360 | 14,450 | 7,047 | ||||||||||
| Total by instrument | $ | 11,801 | $ | 10,295 | $ | 682,144 | $ | 638,379 | ||||||
| By rating of reference entity | ||||||||||||||
| Investment grade | $ | 4,201 | $ | 3,602 | $ | 536,771 | $ | 499,423 | ||||||
| Non-investment grade | 7,600 | 6,693 | 145,373 | 138,956 | ||||||||||
| Total by rating of reference entity | $ | 11,801 | $ | 10,295 | $ | 682,144 | $ | 638,379 | ||||||
| By maturity | ||||||||||||||
| Within 1 year | $ | 2,504 | $ | 1,722 | $ | 159,569 | $ | 160,373 | ||||||
| From 1 to 5 years | 6,486 | 6,078 | 467,326 | 437,448 | ||||||||||
| After 5 years | 2,811 | 2,495 | 55,249 | 40,558 | ||||||||||
| Total by maturity | $ | 11,801 | $ | 10,295 | $ | 682,144 | $ | 638,379 | ||||||
(1)The fair value amount receivable is composed of $9,839 million under protection purchased and $1,962 million under protection sold.
(2)The fair value amount payable is composed of $2,672 million under protection purchased and $7,623 million under protection sold.
176
| Fair values | Notionals | |||||||||||||
| In millions of dollars at December 31, 2021 | Receivable(1) | Payable(2) | Protection purchased | Protection sold | ||||||||||
| By industry of counterparty | ||||||||||||||
| Banks | $ | 2,375 | $ | 3,031 | $ | 108,415 | $ | 103,756 | ||||||
| Broker-dealers | 1,962 | 1,139 | 44,364 | 40,068 | ||||||||||
| Non-financial | 113 | 306 | 2,785 | 2,728 | ||||||||||
| Insurance and other financial institutions | 5,768 | 6,539 | 490,432 | 425,934 | ||||||||||
| Total by industry of counterparty | $ | 10,218 | $ | 11,015 | $ | 645,996 | $ | 572,486 | ||||||
| By instrument | ||||||||||||||
| Credit default swaps and options | $ | 9,923 | $ | 10,234 | $ | 628,136 | $ | 565,131 | ||||||
| Total return swaps and other | 295 | 781 | 17,860 | 7,355 | ||||||||||
| Total by instrument | $ | 10,218 | $ | 11,015 | $ | 645,996 | $ | 572,486 | ||||||
| By rating of reference entity | ||||||||||||||
| Investment grade | $ | 4,149 | $ | 4,258 | $ | 511,652 | $ | 448,944 | ||||||
| Non-investment grade | 6,069 | 6,757 | 134,344 | 123,542 | ||||||||||
| Total by rating of reference entity | $ | 10,218 | $ | 11,015 | $ | 645,996 | $ | 572,486 | ||||||
| By maturity | ||||||||||||||
| Within 1 year | $ | 878 | $ | 1,462 | $ | 133,866 | $ | 115,603 | ||||||
| From 1 to 5 years | 6,674 | 6,638 | 454,617 | 413,174 | ||||||||||
| After 5 years | 2,666 | 2,915 | 57,513 | 43,709 | ||||||||||
| Total by maturity | $ | 10,218 | $ | 11,015 | $ | 645,996 | $ | 572,486 | ||||||
(1) The fair value amount receivable is composed of $3,705 million under protection purchased and $6,513 million under protection sold.
(2) The fair value amount payable is composed of $7,354 million under protection purchased and $3,661 million under protection sold.
177
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 June 30, 2022 and December 31, 2021 was $18 billion and $19 billion, respectively. The Company posted $15 billion and $16 billion as collateral for this exposure in the normal course of business as of June 30, 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 June 30, 2022, the Company could be required to post an additional $1.1 billion as either collateral or settlement of the derivative transactions. In addition, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.2 billion.
Derivatives Accompanied by Financial Asset Transfers
For transfers of financial assets accounted for as a sale by the Company, and for which the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed with the same counterparty in contemplation of the initial sale (and still outstanding), the asset amounts derecognized and the gross cash proceeds received as of the date of derecognition were $2.0 billion and $2.9 billion as of June 30, 2022 and December 31, 2021, respectively.
At June 30, 2022, the fair value of these previously derecognized assets was $1.9 billion. The fair value of the total return swaps as of June 30, 2022 was $19 million recorded as gross derivative assets and $83 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.
178
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 June 30, 2022 and December 31, 2021:
| Credit and funding valuation adjustments contra-liability (contra-asset) | ||||||||
| In millions of dollars | June 30, 2022 | December 31, 2021 | ||||||
| Counterparty CVA | $ | (849) | $ | (705) | ||||
| Asset FVA | (625) | (433) | ||||||
| Citigroup (own credit) CVA | 746 | 379 | ||||||
| Liability FVA | 199 | 110 | ||||||
| Total CVA and FVA—derivative instruments | $ | (529) | $ | (649) | ||||
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 June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Counterparty CVA | $ | (94) | $ | 34 | $ | (201) | $ | 43 | ||||||
| Asset FVA | (46) | 25 | (151) | 94 | ||||||||||
| Own credit CVA | 182 | (41) | 298 | (78) | ||||||||||
| Liability FVA | 68 | (13) | 90 | 11 | ||||||||||
| Total CVA and FVA—derivative instruments | $ | 110 | $ | 5 | $ | 36 | $ | 70 | ||||||
DVA related to own FVO liabilities(1) | $ | 2,592 | $ | (110) | $ | 3,642 | $ | (148) | ||||||
| Total CVA, DVA and FVA | $ | 2,702 | $ | (105) | $ | 3,678 | $ | (78) | ||||||
(1) See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
Fair Value Hierarchy
ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:
•Level 1: Quoted prices for identical instruments in active markets.
•Level 2: Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active and model-derived valuations in which all significant inputs and significant value drivers are observable in 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.
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Items Measured at Fair Value on a Recurring Basis
The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at June 30, 2022 and December 31, 2021. The Company may hedge positions
that have been classified in the Level 3 category with other financial instruments (hedging instruments) that may be classified as Level 3, but also with financial instruments classified as Level 1 or Level 2. The effects of these hedges are presented gross in the following tables:
Fair Value Levels
| In millions of dollars at June 30, 2022 | Level 1 | Level 2 | Level 3 | Gross inventory | Netting(1) | Net balance | ||||||||||||||
| Assets | ||||||||||||||||||||
| Securities borrowed and purchased under agreements to resell | $ | — | $ | 340,834 | $ | 183 | $ | 341,017 | $ | (98,257) | $ | 242,760 | ||||||||
| Trading non-derivative assets | ||||||||||||||||||||
| Trading mortgage-backed securities | ||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | — | 32,121 | 708 | 32,829 | — | 32,829 | ||||||||||||||
| Residential | — | 519 | 153 | 672 | — | 672 | ||||||||||||||
| Commercial | — | 860 | 138 | 998 | — | 998 | ||||||||||||||
| Total trading mortgage-backed securities | $ | — | $ | 33,500 | $ | 999 | $ | 34,499 | $ | — | $ | 34,499 | ||||||||
| U.S. Treasury and federal agency securities | $ | 56,991 | $ | 3,917 | $ | 1 | $ | 60,909 | $ | — | $ | 60,909 | ||||||||
| State and municipal | — | 1,681 | 80 | 1,761 | — | 1,761 | ||||||||||||||
| Foreign government | 43,585 | 26,703 | 364 | 70,652 | — | 70,652 | ||||||||||||||
| Corporate | 2,415 | 14,577 | 537 | 17,529 | — | 17,529 | ||||||||||||||
| Equity securities | 42,192 | 8,946 | 133 | 51,271 | — | 51,271 | ||||||||||||||
| Asset-backed securities | — | 1,404 | 554 | 1,958 | — | 1,958 | ||||||||||||||
Other trading assets(2) | 18 | 19,577 | 816 | 20,411 | — | 20,411 | ||||||||||||||
| Total trading non-derivative assets | $ | 145,201 | $ | 110,305 | $ | 3,484 | $ | 258,990 | $ | — | $ | 258,990 | ||||||||
| Trading derivatives | ||||||||||||||||||||
| Interest rate contracts | $ | 476 | $ | 155,912 | $ | 3,137 | $ | 159,525 | ||||||||||||
| Foreign exchange contracts | — | 185,093 | 1,017 | 186,110 | ||||||||||||||||
| Equity contracts | 55 | 53,351 | 2,185 | 55,591 | ||||||||||||||||
| Commodity contracts | — | 47,253 | 2,423 | 49,676 | ||||||||||||||||
| Credit derivatives | — | 10,558 | 1,243 | 11,801 | ||||||||||||||||
| Total trading derivatives—before netting and collateral | $ | 531 | $ | 452,167 | $ | 10,005 | $ | 462,703 | ||||||||||||
| Netting agreements | $ | (348,255) | ||||||||||||||||||
| Netting of cash collateral received | (32,563) | |||||||||||||||||||
| Total trading derivatives—after netting and collateral | $ | 531 | $ | 452,167 | $ | 10,005 | $ | 462,703 | $ | (380,818) | $ | 81,885 | ||||||||
| Investments | ||||||||||||||||||||
| Mortgage-backed securities | ||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | $ | — | $ | 12,487 | $ | 28 | $ | 12,515 | $ | — | $ | 12,515 | ||||||||
| Residential | — | 238 | 40 | 278 | — | 278 | ||||||||||||||
| Commercial | — | 7 | — | 7 | — | 7 | ||||||||||||||
| Total investment mortgage-backed securities | $ | — | $ | 12,732 | $ | 68 | $ | 12,800 | $ | — | $ | 12,800 | ||||||||
| U.S. Treasury and federal agency securities | $ | 91,530 | $ | 334 | $ | — | $ | 91,864 | $ | — | $ | 91,864 | ||||||||
| State and municipal | — | 1,953 | 539 | 2,492 | — | 2,492 | ||||||||||||||
| Foreign government | 51,472 | 67,213 | 1,001 | 119,686 | — | 119,686 | ||||||||||||||
| Corporate | 2,838 | 3,273 | 334 | 6,445 | — | 6,445 | ||||||||||||||
| Marketable equity securities | 406 | 172 | 10 | 588 | — | 588 | ||||||||||||||
| Asset-backed securities | — | 275 | 1 | 276 | — | 276 | ||||||||||||||
| Other debt securities | — | 4,936 | — | 4,936 | — | 4,936 | ||||||||||||||
Non-marketable equity securities(3) | — | 7 | 310 | 317 | — | 317 | ||||||||||||||
| Total investments | $ | 146,246 | $ | 90,895 | $ | 2,263 | $ | 239,404 | $ | — | $ | 239,404 | ||||||||
Table continues on the next page.
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| In millions of dollars at June 30, 2022 | Level 1 | Level 2 | Level 3 | Gross inventory | Netting(1) | Net balance | ||||||||||||||
| Loans | $ | — | $ | 4,211 | $ | 325 | $ | 4,536 | $ | — | $ | 4,536 | ||||||||
| Mortgage servicing rights | — | — | 600 | 600 | — | 600 | ||||||||||||||
| Non-trading derivatives and other financial assets measured on a recurring basis | $ | 3,502 | $ | 6,520 | $ | 63 | $ | 10,085 | $ | — | $ | 10,085 | ||||||||
| Total assets | $ | 295,480 | $ | 1,004,932 | $ | 16,923 | $ | 1,317,335 | $ | (479,075) | $ | 838,260 | ||||||||
Total as a percentage of gross assets(4) | 22.4% | 76.3% | 1.3% | |||||||||||||||||
| Liabilities | ||||||||||||||||||||
| Interest-bearing deposits | $ | — | $ | 2,290 | $ | 18 | $ | 2,308 | $ | — | $ | 2,308 | ||||||||
| Securities loaned and sold under agreements to repurchase | — | 154,757 | 593 | 155,350 | (90,776) | 64,574 | ||||||||||||||
| Trading account liabilities | ||||||||||||||||||||
| Securities sold, not yet purchased | 98,389 | 19,231 | 72 | 117,692 | — | 117,692 | ||||||||||||||
| Other trading liabilities | — | 4 | — | 4 | — | 4 | ||||||||||||||
| Total trading liabilities | $ | 98,389 | $ | 19,235 | $ | 72 | $ | 117,696 | $ | — | $ | 117,696 | ||||||||
| Trading derivatives | ||||||||||||||||||||
| Interest rate contracts | $ | 347 | $ | 147,534 | $ | 2,256 | $ | 150,137 | ||||||||||||
| Foreign exchange contracts | — | 180,531 | 861 | 181,392 | ||||||||||||||||
| Equity contracts | 108 | 56,115 | 2,286 | 58,509 | ||||||||||||||||
| Commodity contracts | — | 42,461 | 2,168 | 44,629 | ||||||||||||||||
| Credit derivatives | — | 8,703 | 1,592 | 10,295 | ||||||||||||||||
| Total trading derivatives—before netting and collateral | $ | 455 | $ | 435,344 | $ | 9,163 | $ | 444,962 | ||||||||||||
| Netting agreements | $ | (348,255) | ||||||||||||||||||
| Netting of cash collateral paid | (33,950) | |||||||||||||||||||
| Total trading derivatives—after netting and collateral | $ | 455 | $ | 435,344 | $ | 9,163 | $ | 444,962 | $ | (382,205) | $ | 62,757 | ||||||||
| Short-term borrowings | $ | — | $ | 6,771 | $ | 81 | $ | 6,852 | $ | — | $ | 6,852 | ||||||||
| Long-term debt | — | 59,610 | 29,778 | 89,388 | — | 89,388 | ||||||||||||||
| Total non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 3,288 | $ | — | $ | — | $ | 3,288 | $ | — | $ | 3,288 | ||||||||
| Total liabilities | $ | 102,132 | $ | 678,007 | $ | 39,705 | $ | 819,844 | $ | (472,981) | $ | 346,863 | ||||||||
Total as a percentage of gross liabilities(4) | 12.5 | % | 82.7 | % | 4.8 | % | ||||||||||||||
(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 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.
181
Fair Value Levels
| In millions of dollars at December 31, 2021 | Level 1 | Level 2 | Level 3 | Gross inventory | Netting(1) | Net balance | ||||||||||||||
| Assets | ||||||||||||||||||||
| Securities borrowed and purchased under agreements to resell | $ | — | $ | 342,030 | $ | 231 | $ | 342,261 | $ | (125,795) | $ | 216,466 | ||||||||
| Trading non-derivative assets | ||||||||||||||||||||
| Trading mortgage-backed securities | ||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | — | 34,534 | 496 | 35,030 | — | 35,030 | ||||||||||||||
| Residential | 1 | 643 | 104 | 748 | — | 748 | ||||||||||||||
| Commercial | — | 778 | 81 | 859 | — | 859 | ||||||||||||||
| Total trading mortgage-backed securities | $ | 1 | $ | 35,955 | $ | 681 | $ | 36,637 | $ | — | $ | 36,637 | ||||||||
| U.S. Treasury and federal agency securities | $ | 44,900 | $ | 3,230 | $ | 4 | $ | 48,134 | $ | — | $ | 48,134 | ||||||||
| State and municipal | — | 1,995 | 37 | 2,032 | — | 2,032 | ||||||||||||||
| Foreign government | 39,176 | 31,485 | 23 | 70,684 | — | 70,684 | ||||||||||||||
| Corporate | 1,544 | 16,156 | 412 | 18,112 | — | 18,112 | ||||||||||||||
| Equity securities | 53,833 | 10,047 | 174 | 64,054 | — | 64,054 | ||||||||||||||
| Asset-backed securities | — | 981 | 613 | 1,594 | — | 1,594 | ||||||||||||||
Other trading assets(2) | — | 20,346 | 576 | 20,922 | — | 20,922 | ||||||||||||||
| Total trading non-derivative assets | $ | 139,454 | $ | 120,195 | $ | 2,520 | $ | 262,169 | $ | — | $ | 262,169 | ||||||||
| Trading derivatives | ||||||||||||||||||||
| Interest rate contracts | $ | 90 | $ | 161,500 | $ | 3,898 | $ | 165,488 | ||||||||||||
| Foreign exchange contracts | — | 134,912 | 637 | 135,549 | ||||||||||||||||
| Equity contracts | 41 | 43,904 | 1,307 | 45,252 | ||||||||||||||||
| Commodity contracts | — | 28,547 | 1,797 | 30,344 | ||||||||||||||||
| Credit derivatives | — | 9,299 | 919 | 10,218 | ||||||||||||||||
| Total trading derivatives—before netting and collateral | $ | 131 | $ | 378,162 | $ | 8,558 | $ | 386,851 | ||||||||||||
| Netting agreements | $ | (292,628) | ||||||||||||||||||
Netting of cash collateral received(3) | (24,447) | |||||||||||||||||||
| Total trading derivatives—after netting and collateral | $ | 131 | $ | 378,162 | $ | 8,558 | $ | 386,851 | $ | (317,075) | $ | 69,776 | ||||||||
| Investments | ||||||||||||||||||||
| Mortgage-backed securities | ||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | $ | — | $ | 33,165 | $ | 51 | $ | 33,216 | $ | — | $ | 33,216 | ||||||||
| Residential | — | 286 | 94 | 380 | — | 380 | ||||||||||||||
| Commercial | — | 25 | — | 25 | — | 25 | ||||||||||||||
| Total investment mortgage-backed securities | $ | — | $ | 33,476 | $ | 145 | $ | 33,621 | $ | — | $ | 33,621 | ||||||||
| U.S. Treasury and federal agency securities | $ | 122,271 | $ | 168 | $ | 1 | $ | 122,440 | $ | — | $ | 122,440 | ||||||||
| State and municipal | — | 1,849 | 772 | 2,621 | — | 2,621 | ||||||||||||||
| Foreign government | 56,842 | 61,112 | 786 | 118,740 | — | 118,740 | ||||||||||||||
| Corporate | 2,861 | 2,871 | 188 | 5,920 | — | 5,920 | ||||||||||||||
| Marketable equity securities | 350 | 177 | 16 | 543 | — | 543 | ||||||||||||||
| Asset-backed securities | — | 300 | 3 | 303 | — | 303 | ||||||||||||||
| Other debt securities | — | 4,877 | — | 4,877 | — | 4,877 | ||||||||||||||
Non-marketable equity securities(4) | — | 28 | 316 | 344 | — | 344 | ||||||||||||||
| Total investments | $ | 182,324 | $ | 104,858 | $ | 2,227 | $ | 289,409 | $ | — | $ | 289,409 | ||||||||
Table continues on the next page.
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| In millions of dollars at December 31, 2021 | Level 1 | Level 2 | Level 3 | Gross inventory | Netting(1) | Net balance | ||||||||||||||
| Loans | $ | — | $ | 5,371 | $ | 711 | $ | 6,082 | $ | — | $ | 6,082 | ||||||||
| Mortgage servicing rights | — | — | 404 | 404 | — | 404 | ||||||||||||||
| Non-trading derivatives and other financial assets measured on a recurring basis | $ | 4,075 | $ | 8,194 | $ | 73 | $ | 12,342 | $ | — | $ | 12,342 | ||||||||
| Total assets | $ | 325,984 | $ | 958,810 | $ | 14,724 | $ | 1,299,518 | $ | (442,870) | $ | 856,648 | ||||||||
Total as a percentage of gross assets(5) | 25.1% | 73.8% | 1.1% | |||||||||||||||||
| Liabilities | ||||||||||||||||||||
| Interest-bearing deposits | $ | — | $ | 1,483 | $ | 183 | $ | 1,666 | $ | — | $ | 1,666 | ||||||||
| Securities loaned and sold under agreements to repurchase | — | 174,318 | 643 | 174,961 | (118,267) | 56,694 | ||||||||||||||
| Trading account liabilities | ||||||||||||||||||||
| Securities sold, not yet purchased | 82,675 | 23,268 | 65 | 106,008 | — | 106,008 | ||||||||||||||
| Other trading liabilities | — | 5 | — | 5 | — | 5 | ||||||||||||||
| Total trading liabilities | $ | 82,675 | $ | 23,273 | $ | 65 | $ | 106,013 | $ | — | $ | 106,013 | ||||||||
| Trading derivatives | ||||||||||||||||||||
| Interest rate contracts | $ | 56 | $ | 147,846 | $ | 2,172 | $ | 150,074 | ||||||||||||
| Foreign exchange contracts | — | 134,572 | 726 | 135,298 | ||||||||||||||||
| Equity contracts | 60 | 46,177 | 3,447 | 49,684 | ||||||||||||||||
| Commodity contracts | — | 30,004 | 1,375 | 31,379 | ||||||||||||||||
| Credit derivatives | — | 10,065 | 950 | 11,015 | ||||||||||||||||
| Total trading derivatives—before netting and collateral | $ | 116 | $ | 368,664 | $ | 8,670 | $ | 377,450 | ||||||||||||
| Netting agreements | $ | (292,628) | ||||||||||||||||||
Netting of cash collateral paid(3) | (29,306) | |||||||||||||||||||
| Total trading derivatives—after netting and collateral | $ | 116 | $ | 368,664 | $ | 8,670 | $ | 377,450 | $ | (321,934) | $ | 55,516 | ||||||||
| Short-term borrowings | $ | — | $ | 7,253 | $ | 105 | $ | 7,358 | $ | — | $ | 7,358 | ||||||||
| Long-term debt | — | 57,100 | 25,509 | 82,609 | — | 82,609 | ||||||||||||||
| Non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 3,574 | $ | — | $ | 1 | $ | 3,575 | $ | — | $ | 3,575 | ||||||||
| Total liabilities | $ | 86,365 | $ | 632,091 | $ | 35,176 | $ | 753,632 | $ | (440,201) | $ | 313,431 | ||||||||
Total as a percentage of gross liabilities(5) | 11.5 | % | 83.9 | % | 4.7 | % | ||||||||||||||
(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to 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)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(4)Amounts exclude $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).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
183
Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the three and six months ended June 30, 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 | Mar. 31, 2022 | Principal transactions | Other(1)(2) | into Level 3 | out of Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2022 | |||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||||||||
| Securities borrowed and purchased under agreements to resell | $ | 202 | $ | (12) | $ | — | $ | — | $ | — | $ | 36 | $ | — | $ | — | $ | (43) | $ | 183 | $ | (10) | |||||||||||||
| Trading non-derivative assets | |||||||||||||||||||||||||||||||||||
| Trading mortgage-backed securities | |||||||||||||||||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | 498 | (15) | — | 80 | (89) | 318 | — | (84) | — | 708 | (19) | ||||||||||||||||||||||||
| Residential | 118 | — | — | 28 | (11) | 47 | — | (29) | — | 153 | (4) | ||||||||||||||||||||||||
| Commercial | 52 | (3) | — | 96 | (8) | 4 | — | (3) | — | 138 | (3) | ||||||||||||||||||||||||
| Total trading mortgage-backed securities | $ | 668 | $ | (18) | $ | — | $ | 204 | $ | (108) | $ | 369 | $ | — | $ | (116) | $ | — | $ | 999 | $ | (26) | |||||||||||||
| U.S. Treasury and federal agency securities | $ | 2 | $ | — | $ | — | $ | — | $ | (1) | $ | — | $ | — | $ | — | $ | — | $ | 1 | $ | — | |||||||||||||
| State and municipal | 6 | 4 | — | 71 | — | — | — | (1) | — | 80 | (3) | ||||||||||||||||||||||||
| Foreign government | 94 | (27) | — | 249 | (1) | 57 | — | (8) | — | 364 | (12) | ||||||||||||||||||||||||
| Corporate | 1,013 | 59 | — | 120 | (244) | 181 | — | (592) | — | 537 | 38 | ||||||||||||||||||||||||
| Marketable equity securities | 199 | (9) | — | 14 | (61) | 58 | — | (68) | — | 133 | (23) | ||||||||||||||||||||||||
| Asset-backed securities | 466 | (24) | — | 82 | (100) | 262 | — | (132) | — | 554 | (26) | ||||||||||||||||||||||||
| Other trading assets | 492 | 79 | — | 305 | (30) | 117 | 6 | (149) | (4) | 816 | 54 | ||||||||||||||||||||||||
| Total trading non-derivative assets | $ | 2,940 | $ | 64 | $ | — | $ | 1,045 | $ | (545) | $ | 1,044 | $ | 6 | $ | (1,066) | $ | (4) | $ | 3,484 | $ | 2 | |||||||||||||
Trading derivatives, net(4) | |||||||||||||||||||||||||||||||||||
| Interest rate contracts | $ | 779 | $ | 434 | $ | — | $ | 141 | $ | (272) | $ | 7 | $ | 6 | $ | (6) | $ | (208) | $ | 881 | $ | 473 | |||||||||||||
| Foreign exchange contracts | (131) | 769 | — | 34 | (50) | 73 | 20 | (547) | (12) | 156 | 126 | ||||||||||||||||||||||||
| Equity contracts | (1,564) | 1,189 | — | (60) | 232 | 220 | — | (91) | (27) | (101) | 1,182 | ||||||||||||||||||||||||
| Commodity contracts | 217 | 208 | — | (74) | 84 | 67 | — | (98) | (149) | 255 | 246 | ||||||||||||||||||||||||
| Credit derivatives | (4) | 6 | — | (97) | (164) | — | — | — | (90) | (349) | (26) | ||||||||||||||||||||||||
Total trading derivatives, net(4) | $ | (703) | $ | 2,606 | $ | — | $ | (56) | $ | (170) | $ | 367 | $ | 26 | $ | (742) | $ | (486) | $ | 842 | $ | 2,001 | |||||||||||||
Table continues on the next page.
184
Net realized/unrealized gains (losses) incl. in(1) | Transfers | Unrealized gains (losses) still held(3) | |||||||||||||||||||||||||||||||||
| In millions of dollars | Mar. 31, 2022 | Principal transactions | Other(1)(2) | into Level 3 | out of Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2022 | |||||||||||||||||||||||||
| Investments | |||||||||||||||||||||||||||||||||||
| Mortgage-backed securities | |||||||||||||||||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | $ | 46 | $ | — | $ | (2) | $ | — | $ | (10) | $ | — | $ | — | $ | (6) | $ | — | $ | 28 | $ | (2) | |||||||||||||
| Residential | 44 | — | (4) | — | — | — | — | — | — | 40 | (4) | ||||||||||||||||||||||||
| Total investment mortgage-backed securities | $ | 90 | $ | — | $ | (6) | $ | — | $ | (10) | $ | — | $ | — | $ | (6) | $ | — | $ | 68 | $ | (6) | |||||||||||||
| U.S. Treasury and federal agency securities | $ | 1 | $ | — | $ | (1) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
| State and municipal | 705 | — | (34) | — | (131) | 1 | — | (2) | — | 539 | (14) | ||||||||||||||||||||||||
| Foreign government | 1,029 | — | (15) | — | (54) | 202 | — | (161) | — | 1,001 | (16) | ||||||||||||||||||||||||
| Corporate | 237 | — | (3) | 100 | — | — | — | — | — | 334 | (1) | ||||||||||||||||||||||||
| Marketable equity securities | 16 | — | (6) | — | — | — | — | — | — | 10 | (7) | ||||||||||||||||||||||||
| Asset-backed securities | 2 | — | (1) | — | — | — | — | — | — | 1 | — | ||||||||||||||||||||||||
| Non-marketable equity securities | 298 | — | 2 | — | — | 20 | — | (10) | — | 310 | (1) | ||||||||||||||||||||||||
| Total investments | $ | 2,378 | $ | — | $ | (64) | $ | 100 | $ | (195) | $ | 223 | $ | — | $ | (179) | $ | — | $ | 2,263 | $ | (45) | |||||||||||||
| Loans | $ | 622 | $ | — | $ | (105) | $ | 1 | $ | (193) | $ | — | $ | 1 | $ | — | $ | (1) | $ | 325 | $ | (7) | |||||||||||||
| Mortgage servicing rights | 520 | — | 59 | — | 35 | (14) | 600 | 59 | |||||||||||||||||||||||||||
| Other financial assets measured on a recurring basis | 68 | — | 4 | 7 | (12) | 13 | 15 | — | (32) | 63 | 7 | ||||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||||||||
| Interest-bearing deposits | $ | 191 | $ | — | $ | 7 | $ | — | $ | (122) | $ | — | $ | 17 | $ | — | $ | (61) | $ | 18 | $ | — | |||||||||||||
| Securities loaned and sold under agreements to repurchase | 612 | 24 | — | — | (3) | 16 | — | — | (8) | 593 | 10 | ||||||||||||||||||||||||
| Trading account liabilities | |||||||||||||||||||||||||||||||||||
| Securities sold, not yet purchased | 38 | (8) | — | 10 | (4) | 30 | — | 1 | (11) | 72 | (12) | ||||||||||||||||||||||||
| Short-term borrowings | 36 | 1 | — | 12 | (12) | — | 69 | — | (23) | 81 | 2 | ||||||||||||||||||||||||
| Long-term debt | 27,432 | 4,719 | — | 3,335 | (2,634) | — | 6,527 | — | (163) | 29,778 | 4,232 | ||||||||||||||||||||||||
(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 June 30, 2022.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
185
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 | Jun. 30, 2022 | |||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||||||||
| Securities borrowed and purchased under agreements to resell | $ | 231 | $ | (1) | $ | — | $ | — | $ | — | $ | 124 | $ | — | $ | — | $ | (171) | $ | 183 | $ | (7) | |||||||||||||
| Trading non-derivative assets | |||||||||||||||||||||||||||||||||||
| Trading mortgage-backed securities | |||||||||||||||||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | 496 | (13) | — | 127 | (158) | 484 | — | (228) | — | 708 | (21) | ||||||||||||||||||||||||
| Residential | 104 | — | — | 61 | (32) | 85 | — | (65) | — | 153 | (5) | ||||||||||||||||||||||||
| Commercial | 81 | (5) | — | 97 | (34) | 9 | — | (10) | — | 138 | (2) | ||||||||||||||||||||||||
| Total trading mortgage-backed securities | $ | 681 | $ | (18) | $ | — | $ | 285 | $ | (224) | $ | 578 | $ | — | $ | (303) | $ | — | $ | 999 | $ | (28) | |||||||||||||
| U.S. Treasury and federal agency securities | $ | 4 | $ | (4) | $ | — | $ | 2 | $ | (1) | $ | — | $ | — | $ | — | $ | — | $ | 1 | $ | — | |||||||||||||
| State and municipal | 37 | 5 | — | 71 | (20) | 1 | — | (14) | — | 80 | (5) | ||||||||||||||||||||||||
| Foreign government | 23 | (26) | — | 299 | (1) | 87 | — | (18) | — | 364 | (18) | ||||||||||||||||||||||||
| Corporate | 412 | 68 | — | 262 | (278) | 828 | — | (755) | — | 537 | 18 | ||||||||||||||||||||||||
| Marketable equity securities | 174 | (14) | — | 63 | (87) | 108 | — | (111) | — | 133 | (40) | ||||||||||||||||||||||||
| Asset-backed securities | 613 | (19) | — | 140 | (167) | 393 | — | (406) | — | 554 | (45) | ||||||||||||||||||||||||
| Other trading assets | 576 | 126 | — | 333 | (92) | 366 | 16 | (501) | (8) | 816 | 75 | ||||||||||||||||||||||||
| Total trading non-derivative assets | $ | 2,520 | $ | 118 | $ | — | $ | 1,455 | $ | (870) | $ | 2,361 | $ | 16 | $ | (2,108) | $ | (8) | $ | 3,484 | $ | (43) | |||||||||||||
Trading derivatives, net(4) | |||||||||||||||||||||||||||||||||||
| Interest rate contracts | $ | 1,726 | $ | 600 | $ | — | $ | 73 | $ | (803) | $ | 9 | $ | 6 | $ | (6) | $ | (724) | $ | 881 | $ | 650 | |||||||||||||
| Foreign exchange contracts | (89) | 1,164 | — | (475) | (6) | 175 | 20 | (611) | (22) | 156 | 235 | ||||||||||||||||||||||||
| Equity contracts | (2,140) | 1,997 | — | (73) | 207 | 405 | — | (316) | (181) | (101) | 1,634 | ||||||||||||||||||||||||
| Commodity contracts | 422 | 622 | — | (45) | (409) | 120 | — | (142) | (313) | 255 | 410 | ||||||||||||||||||||||||
| Credit derivatives | (31) | (57) | — | (65) | (151) | — | — | (1) | (44) | (349) | (95) | ||||||||||||||||||||||||
Total trading derivatives, net(4) | $ | (112) | $ | 4,326 | $ | — | $ | (585) | $ | (1,162) | $ | 709 | $ | 26 | $ | (1,076) | $ | (1,284) | $ | 842 | $ | 2,834 | |||||||||||||
Table continues on the next page.
186
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 | Jun. 30, 2022 | |||||||||||||||||||||||||
| Investments | |||||||||||||||||||||||||||||||||||
| Mortgage-backed securities | |||||||||||||||||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | $ | 51 | $ | — | $ | (9) | $ | 1 | $ | (10) | $ | 4 | $ | — | $ | (9) | $ | — | $ | 28 | $ | (4) | |||||||||||||
| Residential | 94 | — | (6) | — | (39) | — | — | (9) | — | 40 | (5) | ||||||||||||||||||||||||
| Total investment mortgage-backed securities | $ | 145 | $ | — | $ | (15) | $ | 1 | $ | (49) | $ | 4 | $ | — | $ | (18) | $ | — | $ | 68 | $ | (9) | |||||||||||||
| U.S. Treasury and federal agency securities | $ | 1 | $ | — | $ | (1) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
| State and municipal | 772 | — | (78) | — | (142) | 1 | — | (14) | — | 539 | (47) | ||||||||||||||||||||||||
| Foreign government | 786 | — | (39) | 250 | (113) | 385 | — | (268) | — | 1,001 | (19) | ||||||||||||||||||||||||
| Corporate | 188 | — | (7) | 153 | — | — | — | — | — | 334 | (2) | ||||||||||||||||||||||||
| Marketable equity securities | 16 | — | (6) | — | — | — | — | — | — | 10 | (7) | ||||||||||||||||||||||||
| Asset-backed securities | 3 | — | 11 | — | — | — | — | (13) | — | 1 | — | ||||||||||||||||||||||||
| Non-marketable equity securities | 316 | — | (12) | 11 | — | 20 | — | (25) | — | 310 | (1) | ||||||||||||||||||||||||
| Total investments | $ | 2,227 | $ | — | $ | (147) | $ | 415 | $ | (304) | $ | 410 | $ | — | $ | (338) | $ | — | $ | 2,263 | $ | (85) | |||||||||||||
| Loans | $ | 711 | $ | — | $ | (190) | $ | 1 | $ | (195) | $ | — | $ | 1 | $ | — | $ | (3) | $ | 325 | $ | 166 | |||||||||||||
| Mortgage servicing rights | 404 | — | 158 | — | — | — | 69 | — | (31) | 600 | 157 | ||||||||||||||||||||||||
| Other financial assets measured on a recurring basis | 73 | — | 7 | 7 | (16) | 14 | 40 | (1) | (61) | 63 | 48 | ||||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||||||||
| Interest-bearing deposits | $ | 183 | $ | — | $ | 3 | $ | 7 | $ | (122) | $ | — | $ | 18 | $ | — | $ | (65) | $ | 18 | $ | — | |||||||||||||
| Securities loaned and sold under agreements to repurchase | 643 | 50 | — | — | (3) | 16 | — | — | (13) | 593 | 28 | ||||||||||||||||||||||||
| Trading account liabilities | |||||||||||||||||||||||||||||||||||
| Securities sold, not yet purchased | 65 | 21 | — | 35 | (19) | 83 | — | 1 | (72) | 72 | (2) | ||||||||||||||||||||||||
| Short-term borrowings | 105 | 89 | — | 40 | (21) | — | 76 | — | (30) | 81 | 1 | ||||||||||||||||||||||||
| Long-term debt | 25,509 | 8,245 | — | 6,743 | (3,507) | — | 9,699 | — | (421) | 29,778 | (4,197) | ||||||||||||||||||||||||
| Other financial liabilities measured on a recurring basis | 1 | — | 1 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
(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 June 30, 2022.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
187
Net realized/unrealized gains (losses) incl. in(1) | Transfers | Unrealized gains (losses) still held(3) | |||||||||||||||||||||||||||||||||
| In millions of dollars | Mar. 31, 2021 | Principal transactions | Other(1)(2) | into Level 3 | out of Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2021 | |||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||||||||
| Securities borrowed and purchased under agreements to resell | $ | 262 | $ | (2) | $ | — | $ | — | $ | (49) | $ | 43 | $ | — | $ | — | $ | (43) | $ | 211 | $ | 1 | |||||||||||||
| Trading non-derivative assets | |||||||||||||||||||||||||||||||||||
| Trading mortgage-backed securities | |||||||||||||||||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | 38 | 2 | — | 238 | (7) | 113 | — | (8) | — | 376 | (12) | ||||||||||||||||||||||||
| Residential | 268 | (1) | — | 41 | (65) | 57 | — | (205) | — | 95 | 2 | ||||||||||||||||||||||||
| Commercial | 59 | 16 | — | 60 | (8) | 11 | — | (51) | — | 87 | 3 | ||||||||||||||||||||||||
| Total trading mortgage-backed securities | $ | 365 | $ | 17 | $ | — | $ | 339 | $ | (80) | $ | 181 | $ | — | $ | (264) | $ | — | $ | 558 | $ | (7) | |||||||||||||
| U.S. Treasury and federal agency securities | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
| State and municipal | 94 | — | — | — | (29) | 5 | — | — | — | 70 | — | ||||||||||||||||||||||||
| Foreign government | 81 | 4 | — | 125 | (28) | 14 | — | (55) | — | 141 | 1 | ||||||||||||||||||||||||
| Corporate | 290 | (15) | — | 312 | (50) | 408 | — | (122) | — | 823 | (36) | ||||||||||||||||||||||||
| Marketable equity securities | 89 | 2 | — | 80 | (40) | 23 | — | (7) | — | 147 | 15 | ||||||||||||||||||||||||
| Asset-backed securities | 1,208 | 209 | — | 17 | (148) | 352 | — | (946) | — | 692 | 22 | ||||||||||||||||||||||||
| Other trading assets | 571 | 62 | — | 31 | (121) | 201 | — | (189) | — | 555 | 4 | ||||||||||||||||||||||||
| Total trading non-derivative assets | $ | 2,698 | $ | 279 | $ | — | $ | 904 | $ | (496) | $ | 1,184 | $ | — | $ | (1,583) | $ | — | $ | 2,986 | $ | (1) | |||||||||||||
Trading derivatives, net(4) | |||||||||||||||||||||||||||||||||||
| Interest rate contracts | $ | 1,229 | $ | (126) | $ | — | $ | 218 | $ | 321 | $ | 2 | $ | — | $ | — | $ | 120 | $ | 1,764 | $ | (70) | |||||||||||||
| Foreign exchange contracts | (86) | 59 | — | — | 4 | 111 | — | (282) | 10 | (184) | (28) | ||||||||||||||||||||||||
| Equity contracts | (2,876) | 309 | — | (634) | 892 | 85 | — | (94) | (232) | (2,550) | 349 | ||||||||||||||||||||||||
| Commodity contracts | 732 | 236 | — | (148) | (612) | 28 | — | (45) | (49) | 142 | (194) | ||||||||||||||||||||||||
| Credit derivatives | 71 | (57) | — | (52) | (74) | — | — | — | 71 | (41) | (107) | ||||||||||||||||||||||||
Total trading derivatives, net(4) | $ | (930) | $ | 421 | $ | — | $ | (616) | $ | 531 | $ | 226 | $ | — | $ | (421) | $ | (80) | $ | (869) | $ | (50) | |||||||||||||
Table continues on the next page.
188
Net realized/unrealized gains (losses) incl. in(1) | Transfers | Unrealized gains (losses) still held(3) | |||||||||||||||||||||||||||||||||
| In millions of dollars | Mar. 31, 2021 | Principal transactions | Other(1)(2) | into Level 3 | out of Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2021 | |||||||||||||||||||||||||
| Investments | |||||||||||||||||||||||||||||||||||
| Mortgage-backed securities | |||||||||||||||||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | $ | 30 | $ | — | $ | 2 | $ | 22 | $ | — | $ | 3 | $ | — | $ | (5) | $ | — | $ | 52 | $ | (21) | |||||||||||||
| Total investment mortgage-backed securities | $ | 30 | $ | — | $ | 2 | $ | 22 | $ | — | $ | 3 | $ | — | $ | (5) | $ | — | $ | 52 | $ | (21) | |||||||||||||
| U.S. Treasury and federal agency securities | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
| State and municipal | 794 | — | 8 | 54 | (108) | 2 | — | (2) | — | 748 | 6 | ||||||||||||||||||||||||
| Foreign government | 523 | — | 3 | 440 | (289) | 315 | — | (35) | — | 957 | 3 | ||||||||||||||||||||||||
| Corporate | 56 | — | (7) | 32 | — | 30 | — | (7) | — | 104 | (1) | ||||||||||||||||||||||||
| Asset-backed securities | 4 | — | (21) | 33 | — | — | — | (13) | — | 3 | 1 | ||||||||||||||||||||||||
| Non-marketable equity securities | 352 | — | 30 | — | — | — | — | — | — | 382 | 2 | ||||||||||||||||||||||||
| Total investments | $ | 1,759 | $ | — | $ | 15 | $ | 581 | $ | (397) | $ | 350 | $ | — | $ | (62) | $ | — | $ | 2,246 | $ | (10) | |||||||||||||
| Loans | $ | 1,944 | $ | — | $ | 476 | $ | 60 | $ | (2,051) | $ | — | $ | — | $ | — | $ | — | $ | 429 | $ | 169 | |||||||||||||
| Mortgage servicing rights | 433 | — | (21) | — | — | — | 25 | — | (18) | 419 | (21) | ||||||||||||||||||||||||
| Other financial assets measured on a recurring basis | — | — | — | 55 | — | — | — | — | — | 55 | — | ||||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||||||||
| Interest-bearing deposits | $ | 199 | $ | — | $ | 2 | $ | — | $ | (44) | $ | — | $ | 11 | $ | — | $ | (10) | $ | 154 | $ | — | |||||||||||||
| Securities loaned and sold under agreements to repurchase | 977 | 22 | — | — | (483) | 80 | — | — | (64) | 488 | — | ||||||||||||||||||||||||
| Trading account liabilities | |||||||||||||||||||||||||||||||||||
| Securities sold, not yet purchased | 167 | 7 | — | 54 | (21) | 10 | — | — | (35) | 168 | 26 | ||||||||||||||||||||||||
| Other trading liabilities | 6 | 5 | — | — | — | — | — | — | — | 1 | 4 | ||||||||||||||||||||||||
| Short-term borrowings | 49 | 33 | — | 40 | (32) | — | 17 | — | — | 41 | 17 | ||||||||||||||||||||||||
| Long-term debt | 26,337 | (849) | — | 3,937 | (5,966) | — | 1,825 | — | (1,914) | 25,068 | (699) | ||||||||||||||||||||||||
| Other financial liabilities measured on a recurring basis | 8 | — | — | — | (4) | — | — | — | 4 | — | |||||||||||||||||||||||||
(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.
189
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 | Jun. 30, 2021 | |||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||||||||
| Securities borrowed and purchased under agreements to resell | $ | 320 | $ | (11) | $ | — | $ | — | $ | (49) | $ | 276 | $ | — | $ | — | $ | (325) | $ | 211 | $ | 1 | |||||||||||||
| Trading non-derivative assets | |||||||||||||||||||||||||||||||||||
| Trading mortgage-backed securities | |||||||||||||||||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | 27 | 1 | — | 252 | (8) | 114 | — | (10) | — | 376 | 16 | ||||||||||||||||||||||||
| Residential | 340 | 22 | — | 69 | (68) | 201 | — | (469) | — | 95 | 18 | ||||||||||||||||||||||||
| Commercial | 136 | 21 | — | 76 | (41) | 24 | — | (129) | — | 87 | 2 | ||||||||||||||||||||||||
| Total trading mortgage-backed securities | $ | 503 | $ | 44 | $ | — | $ | 397 | $ | (117) | $ | 339 | $ | — | $ | (608) | $ | — | $ | 558 | $ | 36 | |||||||||||||
| U.S. Treasury and federal agency securities | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
| State and municipal | 94 | — | — | — | (29) | 5 | — | — | — | 70 | 1 | ||||||||||||||||||||||||
| Foreign government | 51 | 5 | — | 136 | (28) | 71 | — | (94) | — | 141 | (6) | ||||||||||||||||||||||||
| Corporate | 375 | 75 | — | 318 | (168) | 475 | — | (252) | — | 823 | (7) | ||||||||||||||||||||||||
| Marketable equity securities | 73 | 47 | — | 84 | (42) | 35 | — | (50) | — | 147 | 32 | ||||||||||||||||||||||||
| Asset-backed securities | 1,606 | 248 | — | 35 | (198) | 934 | — | (1,933) | — | 692 | 8 | ||||||||||||||||||||||||
| Other trading assets | 945 | 18 | — | 61 | (129) | 348 | 4 | (688) | (4) | 555 | (5) | ||||||||||||||||||||||||
| Total trading non-derivative assets | $ | 3,647 | $ | 437 | $ | — | $ | 1,031 | $ | (711) | $ | 2,207 | $ | 4 | $ | (3,625) | $ | (4) | $ | 2,986 | $ | 59 | |||||||||||||
Trading derivatives, net(4) | |||||||||||||||||||||||||||||||||||
| Interest rate contracts | $ | 1,614 | $ | (298) | $ | — | $ | 173 | $ | 321 | $ | 2 | $ | (84) | $ | — | $ | 36 | $ | 1,764 | $ | (197) | |||||||||||||
| Foreign exchange contracts | 52 | (79) | — | 8 | 4 | 134 | — | (297) | (6) | (184) | (57) | ||||||||||||||||||||||||
| Equity contracts | (3,213) | 612 | — | (598) | 898 | 109 | — | (117) | (241) | (2,550) | 213 | ||||||||||||||||||||||||
| Commodity contracts | 292 | 550 | — | 10 | (617) | 94 | — | (155) | (32) | 142 | 280 | ||||||||||||||||||||||||
| Credit derivatives | 48 | (121) | — | 15 | (71) | — | — | — | 88 | (41) | (198) | ||||||||||||||||||||||||
Total trading derivatives, net(4) | $ | (1,207) | $ | 664 | $ | — | $ | (392) | $ | 535 | $ | 339 | $ | (84) | $ | (569) | $ | (155) | $ | (869) | $ | 41 | |||||||||||||
| Investments | |||||||||||||||||||||||||||||||||||
| Mortgage-backed securities | |||||||||||||||||||||||||||||||||||
| U.S. government-sponsored agency guaranteed | $ | 30 | $ | — | $ | 2 | $ | 22 | $ | — | $ | 3 | $ | — | $ | (5) | $ | — | $ | 52 | $ | (42) | |||||||||||||
| Total investment mortgage-backed securities | $ | 30 | $ | — | $ | 2 | $ | 22 | $ | — | $ | 3 | $ | — | $ | (5) | $ | — | $ | 52 | $ | (42) | |||||||||||||
| U.S. Treasury and federal agency securities | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
| State and municipal | 834 | — | (10) | 58 | (108) | 3 | — | (29) | — | 748 | (8) | ||||||||||||||||||||||||
| Foreign government | 268 | — | 1 | 440 | (289) | 645 | — | (108) | — | 957 | 3 | ||||||||||||||||||||||||
| Corporate | 60 | — | (11) | 32 | — | 30 | — | (7) | — | 104 | (1) | ||||||||||||||||||||||||
| Asset-backed securities | 1 | — | (21) | 36 | — | — | — | (13) | — | 3 | (37) | ||||||||||||||||||||||||
| Non-marketable equity securities | 349 | — | 40 | 1 | — | — | — | (8) | — | 382 | 2 | ||||||||||||||||||||||||
| Total investments | $ | 1,542 | $ | — | $ | 1 | $ | 589 | $ | (397) | $ | 681 | $ | — | $ | (170) | $ | — | $ | 2,246 | $ | (83) | |||||||||||||
Table continues on the next page.
190
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 | Jun. 30, 2021 | |||||||||||||||||||||||||
| Loans | $ | 1,985 | $ | — | $ | 348 | $ | 271 | $ | (2,051) | $ | — | $ | 1 | $ | — | $ | (125) | $ | 429 | $ | 100 | |||||||||||||
| Mortgage servicing rights | 336 | — | 52 | — | — | — | 68 | — | (37) | 419 | 59 | ||||||||||||||||||||||||
| Other financial assets measured on a recurring basis | — | — | — | 55 | — | — | — | — | — | 55 | — | ||||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||||||||
| Interest-bearing deposits | $ | 206 | $ | — | $ | 18 | $ | — | $ | (44) | $ | — | $ | 20 | $ | — | $ | (10) | $ | 154 | $ | (45) | |||||||||||||
| Securities loaned and sold under agreements to repurchase | 631 | 7 | — | — | (483) | 488 | — | — | (141) | 488 | 19 | ||||||||||||||||||||||||
| Trading account liabilities | |||||||||||||||||||||||||||||||||||
| Securities sold, not yet purchased | 214 | 61 | — | 62 | (25) | 20 | — | — | (42) | 168 | (2) | ||||||||||||||||||||||||
| Other trading liabilities | 26 | 25 | — | — | — | — | — | — | — | 1 | — | ||||||||||||||||||||||||
| Short-term borrowings | 219 | 32 | — | 42 | (44) | — | 25 | — | (169) | 41 | 17 | ||||||||||||||||||||||||
| Long-term debt | 25,210 | 1,773 | — | 4,869 | (5,968) | — | 7,545 | — | (4,815) | 25,068 | 791 | ||||||||||||||||||||||||
| Other financial liabilities measured on a recurring basis | 1 | — | (3) | — | (4) | — | 14 | — | (10) | 4 | — | ||||||||||||||||||||||||
(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 June 30, 2021.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
Level 3 Fair Value Transfers
The following were the significant Level 3 transfers for the period December 31, 2021 to June 30, 2022:
•During the three and six months ended June 30, 2022, transfers of Long-term debt were $3.3 billion and $6.7 billion, respectively, from Level 2 to Level 3. Of the $6.7 billion transfer in the six months ended June 30, 2021, approximately $4.5 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $2.2 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 $2.6 billion and $3.5 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and six months ended June 30, 2022, respectively.
The following were the significant Level 3 transfers for the period December 31, 2020 to June 30, 2021:
•During the three and six months ended June 30, 2021, transfers of Loans of $2.1 billion from Level 3 to Level 2 were primarily driven by equity forward and volatility inputs that have been assessed as not significant to the overall valuation of certain hybrid loan instruments, including equity options and long dated equity call spreads.
•During the three and six months ended June 30, 2021, transfers of Long-term debt were $3.9 billion and $4.9 billion, respectively, from Level 2 to Level 3. Of the $4.9 billion transfer in the six months ended June 30, 2021, approximately $4.0 billion related to interest option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $0.8 billion related to equity volatility inputs (in addition to the other volatility inputs, e.g, interest rate volatility inputs) becoming unobservable and/or significant relative to their overall valuation. In other instances, market changes have resulted in some 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 $6.0 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and six months ended June 30, 2021.
191
Valuation Techniques and Inputs for Level 3 Fair Value Measurements
The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements.
Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.
| As of June 30, 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 | $ | 183 | Model-based | Interest rate | 1.50 | % | 2.80 | % | 2.20 | % | ||||||||||
| Mortgage-backed securities | $ | 804 | Yield analysis | Yield | 3.50 | % | 22.00 | % | 8.80 | % | ||||||||||
| 243 | Price-based | Price | $ | 0.80 | $ | 100.10 | $ | 59.70 | ||||||||||||
| State and municipal, foreign government, corporate and other debt securities | $ | 2,483 | Price-based | Price | $ | — | $ | 934.30 | $ | 186.50 | ||||||||||
| 499 | Model-based | |||||||||||||||||||
Marketable equity securities(5) | $ | 136 | Price-based | Price | $ | — | $ | 8,922.80 | $ | 52.70 | ||||||||||
| Asset-backed securities | $ | 328 | Price-based | Price | $ | 4.10 | $ | 100.00 | $ | 79.60 | ||||||||||
| 192 | Yield analysis | Yield | 4.20 | % | 16.00 | % | 7.90 | % | ||||||||||||
| Non-marketable equities | $ | 148 | Comparables analysis | Illiquidity discount | 15.00 | % | 32.00 | % | 27.60 | % | ||||||||||
| 150 | Price-based | PE ratio | 15.20x | 18.00x | 15.90x | |||||||||||||||
| Revenue multiple | 12.80x | 30.00x | 14.00x | |||||||||||||||||
| EBITDA multiples | 17.40x | 17.40x | 17.40x | |||||||||||||||||
| Cost of capital | 17.50 | % | 20.00 | % | 17.60 | % | ||||||||||||||
| Adjustment factor | 0.30x | 0.50x | 0.30x | |||||||||||||||||
Derivatives—gross(6) | ||||||||||||||||||||
| Interest rate contracts (gross) | $ | 5,279 | Model-based | IR Normal volatility | 0.30 | % | 1.70 | % | 0.90 | % | ||||||||||
| Yield | (0.20) | % | 1.60 | % | 0.50 | % | ||||||||||||||
| Foreign exchange contracts (gross) | $ | 1,754 | Model-based | IR Basis | (1.20) | % | 5.20 | % | 0.20 | % | ||||||||||
| IR Normal volatility | 0.40 | % | 1.60 | % | 0.60 | % | ||||||||||||||
Equity contracts (gross)(7) | $ | 4,366 | Model-based | Equity volatility | 0.10 | % | 313.90 | % | 46.70 | % | ||||||||||
| Equity forward | 49.00 | % | 247.10 | % | 97.00 | % | ||||||||||||||
| Equity-Equity correlation | (6.49) | % | 99.70 | % | 86.80 | % | ||||||||||||||
| Equity-FX correlation | (95.00) | % | 80.00 | % | (17.20) | % | ||||||||||||||
| Commodity and other contracts (gross) | $ | 4,043 | Model-based | Commodity correlation | (53.00) | % | 93.50 | % | 19.10 | % | ||||||||||
| Commodity volatility | 13.00 | % | 107.30 | % | 26.30 | % | ||||||||||||||
| Forward price | 12.45 | % | 381.82 | % | 86.52 | % | ||||||||||||||
| Credit derivatives (gross) | $ | 2,396 | Model-based | Credit spread | 16 bps | 601 bps | 123 bps | |||||||||||||
| 434 | Price-based | Recovery rate | 5.00 | % | 75.00 | % | 37.00 | % | ||||||||||||
| Upfront points | — | % | 99.00 | % | 43.90 | % | ||||||||||||||
| Credit correlation | 15.00 | % | 85.00 | % | 43.60 | % | ||||||||||||||
| Credit spread volatility | 23.40 | % | 79.20 | % | 47.00 | % | ||||||||||||||
| Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | $ | 57 | Price-based | Price | $ | 84.35 | $ | 785.00 | $ | 181.80 | ||||||||||
| Loans and leases | $ | 309 | Model-based | Equity volatility | 60.88 | % | 99.02 | % | 94.64 | % | ||||||||||
| Forward price | 12.45 | % | 369.11 | % | 83.72 | % | ||||||||||||||
| Commodity volatility | 13.04 | % | 107.31 | % | 26.33 | % | ||||||||||||||
| Commodity correlation | (53.02) | % | 93.52 | % | 19.08 | % | ||||||||||||||
192
| As of June 30, 2022 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | ||||||||||||||
| Mortgage servicing rights | $ | 529 | Cash flow | Yield | — | % | 12.90 | % | 5.30 | % | ||||||||||
| 71 | Model-based | WAL | 4 years | 9.7 years | 7.70 years | |||||||||||||||
| Liabilities | ||||||||||||||||||||
| Interest-bearing deposits | $ | 18 | Model-based | IR Normal volatility | 0.30 | % | 0.90 | % | 0.50 | % | ||||||||||
| Forward price | 100.00 | % | 100.00 | % | 100.00 | % | ||||||||||||||
| Securities loaned and sold under agreements to repurchase | $ | 593 | Model-based | Interest rate | 1.80 | % | 3.70 | % | 3.10 | % | ||||||||||
| Trading account liabilities | ||||||||||||||||||||
| Securities sold, not yet purchased and other trading liabilities | $ | 46 | Price-based | Price | $ | — | $ | 12,100 | $ | 2,133 | ||||||||||
| 24 | Yield analysis | Yield | 3.40 | % | 4.60 | % | 4.00 | % | ||||||||||||
| Upfront points | 4.00 | % | 4.00 | % | 4.00 | % | ||||||||||||||
| Short-term borrowings and long-term debt | $ | 28,623 | Model-based | IR Normal volatility | 0.30 | % | 1.70 | % | 0.80 | % | ||||||||||
| Equity volatility | 0.10 | % | 313.90 | % | 52.60 | % | ||||||||||||||
| Equity forward | 49.00 | % | 247.10 | % | 96.90 | % | ||||||||||||||
| 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 | $ | 231 | Model-based | Credit spread | 15 bps | 15 bps | 15 bps | |||||||||||||
| Interest rate | 0.26 | % | 0.72 | % | 0.50 | % | ||||||||||||||
| Mortgage-backed securities | $ | 279 | Price-based | Price | $ | 4 | $ | 118 | $ | 79 | ||||||||||
| 526 | Yield analysis | Yield | 1.43 | % | 23.79 | % | 7.25 | % | ||||||||||||
| State and municipal, foreign government, corporate and other debt securities | $ | 2,264 | Price-based | Price | $ | — | $ | 995 | $ | 193 | ||||||||||
| 415 | Model-based | Equity volatility | 0.08 | % | 290.64 | % | 53.94 | % | ||||||||||||
Marketable equity securities(5) | $ | 128 | Price-based | Price | $ | — | $ | 73,000 | $ | 6,477 | ||||||||||
| 43 | Model-based | WAL | 1.73 years | 1.73 years | 1.73 years | |||||||||||||||
Recovery (in millions) | $ | 7,148 | $ | 7,148 | $ | 7,148 | ||||||||||||||
| Asset-backed securities | $ | 386 | Price-based | Price | $ | 5 | $ | 754 | $ | 87 | ||||||||||
| 208 | Yield analysis | Yield | 2.43 | % | 19.35 | % | 8.18 | % | ||||||||||||
| Non-marketable equities | $ | 121 | Price-based | Illiquidity discount | 10.00 | % | 36.00 | % | 26.43 | % | ||||||||||
| 112 | Comparables analysis | PE ratio | 11.00x | 29.00x | 15.42x | |||||||||||||||
| 83 | Model-based | Price | $ | 3 | $ | 2,601 | $ | 2,029 | ||||||||||||
| Adjustment factor | 0.33x | 0.44x | 0.34x | |||||||||||||||||
| Revenue multiple | 19.80x | 30.00x | 20.48x | |||||||||||||||||
| Cost of capital | 17.50 | % | 20.00 | % | 17.57 | % | ||||||||||||||
Derivatives—gross(6) | ||||||||||||||||||||
| Interest rate contracts (gross) | $ | 6,054 | Model-based | IR normal volatility | 0.24 | % | 0.94 | % | 0.70 | % | ||||||||||
| Foreign exchange contracts (gross) | $ | 1,364 | Model-based | IR Normal volatility | 0.24 | % | 0.74 | % | 0.58 | % | ||||||||||
| FX volatility | 2.13 | % | 107.42 | % | 11.21 | % | ||||||||||||||
| Credit spread | 140 bps | 696 bps | 639 bps | |||||||||||||||||
Equity contracts (gross)(7) | $ | 4,690 | Model-based | Equity volatility | 0.08 | % | 290.64 | % | 47.67 | % | ||||||||||
| Equity forward | 57.99 | % | 165.83 | % | 89.45 | % | ||||||||||||||
| Equity-FX correlation | (95.00) | % | 80.00 | % | (16.00) | % | ||||||||||||||
| Equity-Equity correlation | (6.49) | % | 99.00 | % | 85.61 | % | ||||||||||||||
193
| Commodity and other contracts (gross) | $ | 3,172 | Model-based | Forward price | 8.00 | % | 599.44 | % | 123.22 | % | ||||||||||
| Commodity volatility | 10.87 | % | 188.30 | % | 26.85 | % | ||||||||||||||
| Commodity correlation | (50.52) | % | 89.83 | % | (7.11) | % | ||||||||||||||
| Credit derivatives (gross) | $ | 1,480 | Model-based | Credit spread | 1.00 bps | 874.72 bps | 68.83 bps | |||||||||||||
| 427 | Price-based | Recovery rate | 20.00 | % | 75.00 | % | 44.72 | % | ||||||||||||
| Upfront points | 2.74 | % | 99.96 | % | 59.37 | % | ||||||||||||||
| Price | $ | 40 | $ | 103 | $ | 80 | ||||||||||||||
| Credit correlation | 30.00 | % | 80.00 | % | 54.57 | % | ||||||||||||||
| Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | $ | 69 | Price-based | Price | $ | 94 | $ | 2,598 | $ | 591 | ||||||||||
| Loans and leases | $ | 691 | Model-based | Equity volatility | 22.48 | % | 85.44 | % | 50.56 | % | ||||||||||
| Forward price | 26.95 | % | 333.08 | % | 106.97 | % | ||||||||||||||
| Commodity volatility | 10.87 | % | 188.30 | % | 26.85 | % | ||||||||||||||
| Commodity correlation | (50.52) | % | 89.83 | % | (7.11) | % | ||||||||||||||
| Mortgage servicing rights | $ | 331 | Cash flow | Yield | (1.20) | % | 12.10 | % | 4.51 | % | ||||||||||
| 73 | Model-based | WAL | 2.75 years | 5.86 years | 5.14 years | |||||||||||||||
| Liabilities | ||||||||||||||||||||
| Interest-bearing deposits | $ | 183 | Model-based | IR Normal volatility | 0.34 | % | 0.88 | % | 0.68 | % | ||||||||||
| Equity volatility | 0.08 | % | 290.64 | % | 54.05 | % | ||||||||||||||
| Equity forward | 57.99 | % | 165.83 | % | 89.39 | % | ||||||||||||||
| Securities loaned and sold under agreements to repurchase | $ | 643 | Model-based | Interest rate | 0.12 | % | 1.95 | % | 1.47 | % | ||||||||||
| Trading account liabilities | ||||||||||||||||||||
| Securities sold, not yet purchased and other trading liabilities | $ | 63 | Price-based | Price | $ | — | $ | 12,875 | $ | 1,707 | ||||||||||
| Short-term borrowings and long-term debt | $ | 25,514 | Model-based | IR Normal volatility | 0.07 | % | 0.88 | % | 0.60 | % | ||||||||||
| Equity volatility | 0.08 | % | 290.64 | % | 53.21 | % | ||||||||||||||
| Equity-IR correlation | (3.53) | % | 60.00 | % | 32.12 | % | ||||||||||||||
| Equity-FX correlation | (95.00) | % | 80.00 | % | (15.98) | % | ||||||||||||||
| FX volatility | 0.06 | % | 41.76 | % | 9.38 | % | ||||||||||||||
(1)The tables above include the fair values for the items listed and may not foot to the total population for each category.
(2)Some inputs are shown as zero due to rounding.
(3)When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.
(4)Weighted averages are calculated based on the fair values of the instruments.
(5)For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.
(6)Both trading and non-trading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)Includes hybrid products.
194
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 | ||||||||
| June 30, 2022 | |||||||||||
Loans HFS(1) | $ | 2,431 | $ | 1,199 | $ | 1,232 | |||||
| Other real estate owned | 3 | — | 3 | ||||||||
Loans(2) | 133 | — | 133 | ||||||||
| Non-marketable equity securities measured using the measurement alternative | 153 | — | 153 | ||||||||
| Total assets at fair value on a nonrecurring basis | $ | 2,720 | $ | 1,199 | $ | 1,521 | |||||
| In millions of dollars | Fair value | Level 2 | Level 3 | ||||||||
| December 31, 2021 | |||||||||||
Loans HFS(1) | $ | 2,298 | $ | 986 | $ | 1,312 | |||||
| Other real estate owned | 11 | — | 11 | ||||||||
Loans(2) | 144 | — | 144 | ||||||||
| Non-marketable equity securities measured using the measurement alternative | 655 | 104 | 551 | ||||||||
| Total assets at fair value on a nonrecurring basis | $ | 3,108 | $ | 1,090 | $ | 2,018 | |||||
(1)Net of fair value amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.
(2)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
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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 June 30, 2022 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) | ||||||||||||||
| Loans held-for-sale | $ | 1,232 | Price-based | Price | $ | 84.00 | $ | 100.00 | $ | 95.40 | ||||||||||
| Other real estate owned | $ | 1 | Price-based | Appraised value(4) | $ | 38,899 | $ | 991,478 | $ | 775,330 | ||||||||||
| 1 | Recovery analysis | |||||||||||||||||||
Loans(5) | $ | 133 | Recovery analysis | Appraised value(4) | $ | 10,000 | $ | 3,900,000 | $ | 243,283 | ||||||||||
| Non-marketable equity securities measured using the measurement alternative | $ | 135 | Price-based | Price | $ | 3.35 | $ | 2,416.43 | $ | 1,359.84 | ||||||||||
| 18 | Comparable analysis | Revenue multiple | 11.30x | 11.30x | 11.30x | |||||||||||||||
| As of December 31, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) | ||||||||||||||
| Loans HFS | $ | 1,312 | Price-based | Price | $ | 89 | $ | 100 | $ | 99 | ||||||||||
| Other real estate owned | $ | 4 | Price-based | Appraised value(4) | $ | 14,000 | $ | 2,392,464 | $ | 1,660,120 | ||||||||||
| 5 | Recovery analysis | |||||||||||||||||||
Loans(5) | $ | 120 | Recovery analysis | Appraised value(4) | $ | 10,000 | $ | 3,900,000 | $ | 247,018 | ||||||||||
| 24 | Price-based | Price | 3 | 75 | 35 | |||||||||||||||
| Recovery rate | 84.00 | % | 100.00 | % | 84.00 | % | ||||||||||||||
| Non-marketable equity securities measured using the measurement alternative | $ | 551 | Price-based | Price | $ | 6 | $ | 1,339 | $ | 52 | ||||||||||
(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 June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Loans HFS | $ | (86) | $ | (15) | $ | (223) | $ | (17) | ||||||
| Other real estate owned | — | — | — | — | ||||||||||
Loans(1) | 4 | 49 | 9 | 60 | ||||||||||
| Non-marketable equity securities measured using the measurement alternative | 43 | 211 | 128 | 291 | ||||||||||
| Total nonrecurring fair value gains (losses) | $ | (39) | $ | 245 | $ | (86) | $ | 334 | ||||||
(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.
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Estimated Fair Value of Financial Instruments Not Carried at Fair Value
The following tables present the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The tables below therefore exclude items measured at fair value on a recurring basis presented in the tables above.
| June 30, 2022 | Estimated fair value | ||||||||||||||||
| Carrying value | Estimated fair value | ||||||||||||||||
| In billions of dollars | Level 1 | Level 2 | Level 3 | ||||||||||||||
| Assets | |||||||||||||||||
| Investments, net of allowance | $ | 272.7 | $ | 255.0 | $ | 126.7 | $ | 124.9 | $ | 3.4 | |||||||
| Securities borrowed and purchased under agreements to resell | 118.6 | 118.6 | — | 118.6 | — | ||||||||||||
Loans(1)(2) | 636.7 | 641.0 | — | — | 641.0 | ||||||||||||
Other financial assets(2)(3) | 398.8 | 398.8 | 266.6 | 17.5 | 114.7 | ||||||||||||
| Liabilities | |||||||||||||||||
| Deposits | $ | 1,319.5 | $ | 1,318.2 | $ | — | $ | 1,175.0 | $ | 143.2 | |||||||
| Securities loaned and sold under agreements to repurchase | 133.9 | 133.9 | — | 133.9 | — | ||||||||||||
Long-term debt(4) | 168.0 | 165.5 | — | 161.4 | 4.1 | ||||||||||||
Other financial liabilities(5) | 159.0 | 159.0 | — | 22.4 | 136.6 | ||||||||||||
| 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 | $ | 221.9 | $ | 221.0 | $ | 111.8 | $ | 106.4 | $ | 2.8 | |||||||
| Securities borrowed and purchased under agreements to resell | 110.8 | 110.8 | — | 106.4 | 4.4 | ||||||||||||
Loans(1)(2) | 644.8 | 659.6 | — | — | 659.6 | ||||||||||||
Other financial assets(2)(3) | 351.9 | 351.9 | 242.1 | 19.9 | 89.9 | ||||||||||||
| Liabilities | |||||||||||||||||
| Deposits | $ | 1,315.6 | $ | 1,316.2 | $ | — | $ | 1,153.9 | $ | 162.3 | |||||||
| Securities loaned and sold under agreements to repurchase | 134.6 | 134.6 | — | 134.5 | 0.1 | ||||||||||||
Long-term debt(4) | 171.8 | 184.6 | — | 171.9 | 12.7 | ||||||||||||
Other financial liabilities(5) | 111.1 | 111.1 | — | 17.0 | 94.1 | ||||||||||||
(1)The carrying value of loans is net of the Allowance for credit losses on loans of $16.0 billion for June 30, 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 June 30, 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 June 30, 2022 and December 31, 2021 were off-balance sheet liabilities of $9.9 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.
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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 June 30, | Six Months Ended June 30, | |||||||||||||
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | ||||||||||
| Assets | ||||||||||||||
| Securities borrowed and purchased under agreements to resell | $ | (21) | $ | (8) | $ | (83) | $ | (36) | ||||||
| Trading account assets | (177) | 52 | (238) | 153 | ||||||||||
| Loans | ||||||||||||||
| Certain corporate loans | (1,523) | 539 | (1,855) | 668 | ||||||||||
| Consumer loans | — | — | (1) | — | ||||||||||
| Total loans | $ | (1,523) | $ | 539 | $ | (1,856) | $ | 668 | ||||||
| Other assets | ||||||||||||||
| MSRs | $ | 60 | $ | (21) | $ | 158 | $ | 52 | ||||||
Certain mortgage loans HFS(1) | (144) | 47 | (330) | 44 | ||||||||||
| Total other assets | $ | (84) | $ | 26 | $ | (172) | $ | 96 | ||||||
| Total assets | $ | (1,805) | $ | 609 | $ | (2,349) | $ | 881 | ||||||
| Liabilities | ||||||||||||||
| Interest-bearing deposits | $ | (168) | $ | (130) | $ | (123) | $ | (93) | ||||||
| Securities loaned and sold under agreements to repurchase | 19 | 5 | 96 | 18 | ||||||||||
| Trading account liabilities | 191 | 8 | (449) | 10 | ||||||||||
Short-term borrowings(2) | 1,064 | 327 | 1,196 | 192 | ||||||||||
Long-term debt(2) | 9,642 | (2,441) | 15,713 | (433) | ||||||||||
| Total liabilities | $ | 10,748 | $ | (2,231) | $ | 16,433 | $ | (306) | ||||||
(1)Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected the fair value option.
(2)Includes DVA that is included in AOCI. See Notes 17 and 20.
198
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 $2,592 million and a loss of $110 million for the three months ended June 30, 2022 and 2021, respectively, and a gain of $3,642 million and a loss of $148 million for the six months ended June 30, 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:
| June 30, 2022 | December 31, 2021 | |||||||||||||
| In millions of dollars | Trading assets | Loans | Trading assets | Loans | ||||||||||
| Carrying amount reported on the Consolidated Balance Sheet | $ | 7,655 | $ | 4,536 | $ | 9,530 | $ | 6,082 | ||||||
| Aggregate unpaid principal balance in excess of (less than) fair value | 152 | 195 | (100) | 226 | ||||||||||
| Balance of non-accrual loans or loans more than 90 days past due | — | 248 | — | 1 | ||||||||||
| Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due | — | — | — | — | ||||||||||
199
In addition to the amounts reported above, $648 million and $719 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of June 30, 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 June 30, 2022 and 2021 due to instrument-specific credit risk totaled to losses of $(47) million and $(2) million, respectively. Changes in fair value due to instrument-specific credit risk are estimated based on changes in borrower-specific credit spreads and recovery assumptions.
Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (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 $0.5 billion and $0.3 billion at June 30, 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 June 30, 2022, there were approximately $22.7 billion and $15.9 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 | June 30, 2022 | December 31, 2021 | ||||||
| Carrying amount reported on the Consolidated Balance Sheet | $ | 1,375 | $ | 3,035 | ||||
| Aggregate fair value in excess of (less than) unpaid principal balance | (46) | 70 | ||||||
| Balance of non-accrual loans or loans more than 90 days past due | 5 | — | ||||||
| Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due | 1 | — | ||||||
200
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 six months ended June 30, 2022 and 2021 due to instrument-specific credit risk. Changes in fair value due to instrument-specific credit risk are estimated based on changes in the borrower default, prepayment and recovery forecasts in addition to instrument-specific credit spread. Related interest income continues to be measured based on the contractual interest rates and reported as Interest revenue in the Consolidated Statement of Income.
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, 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 | June 30, 2022 | December 31, 2021 | ||||||
| Interest rate linked | $ | 43.9 | $ | 38.9 | ||||
| Foreign exchange linked | 0.1 | — | ||||||
| Equity linked | 36.9 | 36.1 | ||||||
| Commodity linked | 4.7 | 3.9 | ||||||
| Credit linked | 3.8 | 3.7 | ||||||
| Total | $ | 89.4 | $ | 82.6 | ||||
The portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value are reported in Principal transactions. Changes in the fair value of these liabilities include accrued interest, which is also included in the change in fair value reported in Principal transactions.
The following table provides information about long-term debt carried at fair value:
| In millions of dollars | June 30, 2022 | December 31, 2021 | ||||||
| Carrying amount reported on the Consolidated Balance Sheet | $ | 89,388 | $ | 82,609 | ||||
| Aggregate unpaid principal balance in excess of (less than) fair value | (3,011) | (2,459) | ||||||
The following table provides information about short-term borrowings carried at fair value:
| In millions of dollars | June 30, 2022 | December 31, 2021 | ||||||
| Carrying amount reported on the Consolidated Balance Sheet | $ | 6,852 | $ | 7,358 | ||||
| Aggregate unpaid principal balance in excess of (less than) fair value | 1 | (644) | ||||||
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22. GUARANTEES, LEASES AND COMMITMENTS
Citi provides a variety of guarantees and indemnifications to its customers to enhance their credit standing and enable them to complete a wide variety of business transactions. For
certain contracts meeting the definition of a guarantee, the guarantor must recognize, at inception, a liability for the fair value of the obligation undertaken in issuing the guarantee.
In addition, the guarantor must disclose the maximum potential amount of future payments that the guarantor could be required to make under the guarantee, if there were a total
default by the guaranteed parties. The determination of the maximum potential future payments is based on the notional
amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.
For additional information regarding Citi’s guarantees and indemnifications included in the tables below, as well as its other guarantees and indemnifications excluded from these tables, see Note 26 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
The following tables present information about Citi’s guarantees at June 30, 2022 and December 31, 2021:
| Maximum potential amount of future payments | ||||||||||||||
| In billions of dollars at June 30, 2022 | Expire within 1 year | Expire after 1 year | Total amount outstanding | Carrying value (in millions of dollars) | ||||||||||
| Financial standby letters of credit | $ | 35.6 | $ | 57.2 | $ | 92.8 | $ | 784 | ||||||
| Performance guarantees | 6.3 | 5.6 | 11.9 | 74 | ||||||||||
| Derivative instruments considered to be guarantees | 18.1 | 35.8 | 53.9 | 511 | ||||||||||
| Loans sold with recourse | — | 1.6 | 1.6 | 15 | ||||||||||
Securities lending indemnifications(1) | 120.5 | — | 120.5 | — | ||||||||||
Credit card merchant processing(2) | 125.6 | — | 125.6 | — | ||||||||||
| Credit card arrangements with partners | 0.1 | 0.6 | 0.7 | 7 | ||||||||||
| Other | 0.7 | 12.0 | 12.7 | 29 | ||||||||||
| Total | $ | 306.9 | $ | 112.8 | $ | 419.7 | $ | 1,420 | ||||||
| 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 | $ | 34.3 | $ | 58.4 | $ | 92.7 | $ | 791 | ||||||
| Performance guarantees | 6.6 | 6.4 | 13.0 | 47 | ||||||||||
| Derivative instruments considered to be guarantees | 14.6 | 48.9 | 63.5 | 514 | ||||||||||
| Loans sold with recourse | — | 1.7 | 1.7 | 15 | ||||||||||
Securities lending indemnifications(1) | 121.9 | — | 121.9 | — | ||||||||||
Credit card merchant processing(2) | 119.4 | — | 119.4 | 1 | ||||||||||
| Credit card arrangements with partners | — | 0.8 | 0.8 | 7 | ||||||||||
| Other | 2.0 | 12.0 | 14.0 | 34 | ||||||||||
| Total | $ | 298.8 | $ | 128.2 | $ | 427.0 | $ | 1,409 | ||||||
(1)The carrying values of securities lending indemnifications were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At June 30, 2022 and December 31, 2021, this maximum potential exposure was estimated to be $126 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.
202
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 $16 million and $19 million at June 30, 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 June 30, 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 June 30, 2022 or December 31, 2021 for potential obligations that could arise from Citi’s involvement with VTN associations.
Long-Term Care (LTC) Insurance Indemnification
Citi has an indemnification contingency to Brighthouse Financial in connection with Citi’s sale of an insurance subsidiary. A liability under this indemnification agreement is currently remote because Brighthouse Financial would become responsible for LTC policyholder claims only when both the reinsurance provided by other parties ceases and trust assets set aside to meet these claims are not adequate. However, should events occur causing both the reinsurance protection and trust collateral to become insufficient to cover Brighthouse Financial’s LTC policyholder claims, Citi will be required to either estimate and disclose a reasonably possible loss or range of loss to the extent that such an estimate can be made, or to accrue for such liability if the event becomes probable and estimable. 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) derivatives contracts with CCPs. Based on all relevant facts and circumstances, Citi has concluded that it acts as an agent for accounting purposes in its role as clearing member for these client transactions. As such, Citi does not reflect the underlying exchange-traded or OTC derivatives contracts in its Consolidated Financial Statements. See Note 19 for a discussion of Citi’s derivatives activities that are reflected in its Consolidated Financial Statements.
As a clearing member, Citi collects and remits cash and securities collateral (margin) between its clients and the respective CCP. In certain circumstances, Citi collects a higher amount of cash (or securities) from its clients than it needs to remit to the CCPs. This excess cash is then held at depository institutions such as banks or carry brokers.
There are two types of margin: initial 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 derivatives contracts where Citi does not obtain benefits from or control the client cash balances, the client cash initial margin collected from clients and remitted to the CCP or depository institutions is not reflected on Citi’s Consolidated Balance Sheet. These conditions are met when Citi has contractually agreed with the client that (i) Citi will pass
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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 $19.5 billion and $18.7 billion as of June 30, 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 June 30, 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 $1.4 billion and $1.4 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities. For loans sold with recourse, the carrying value of the liability is included in Other liabilities.
Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $66.3 billion and $56.5 billion at June 30, 2022 and December 31, 2021, respectively. Securities and other marketable assets held as collateral amounted to $77.2 billion and $84.2 billion at June 30, 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 $4.2 billion and $4.1 billion at June 30, 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.
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Performance Risk
Presented in the tables below are the maximum potential amounts of future payments that are classified based on internal and external credit ratings. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.
| Maximum potential amount of future payments | ||||||||||||||
| In billions of dollars at June 30, 2022 | Investment grade | Non-investment grade | Not rated | Total | ||||||||||
| Financial standby letters of credit | $ | 80.2 | $ | 10.8 | $ | 1.8 | $ | 92.8 | ||||||
| Performance guarantees | 9.7 | 2.2 | — | 11.9 | ||||||||||
| Derivative instruments deemed to be guarantees | — | — | 53.9 | 53.9 | ||||||||||
| Loans sold with recourse | — | — | 1.6 | 1.6 | ||||||||||
| Securities lending indemnifications | — | — | 120.5 | 120.5 | ||||||||||
| Credit card merchant processing | — | — | 125.6 | 125.6 | ||||||||||
| Credit card arrangements with partners | — | — | 0.7 | 0.7 | ||||||||||
| Other | 0.4 | 12.3 | — | 12.7 | ||||||||||
| Total | $ | 90.3 | $ | 25.3 | $ | 304.1 | $ | 419.7 | ||||||
| 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 | $ | 81.4 | $ | 11.3 | $ | — | $ | 92.7 | ||||||
| Performance guarantees | 10.5 | 2.5 | — | 13.0 | ||||||||||
| Derivative instruments deemed to be guarantees | — | — | 63.5 | 63.5 | ||||||||||
| Loans sold with recourse | — | — | 1.7 | 1.7 | ||||||||||
| Securities lending indemnifications | — | — | 121.9 | 121.9 | ||||||||||
| Credit card merchant processing | — | — | 119.4 | 119.4 | ||||||||||
| Credit card arrangements with partners | — | — | 0.8 | 0.8 | ||||||||||
| Other | — | 12.0 | 2.0 | 14.0 | ||||||||||
| Total | $ | 91.9 | $ | 25.8 | $ | 309.3 | $ | 427.0 | ||||||
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 June 30, 2022. The operating lease ROU asset and lease liability were $2.8 billion and $3.0 billion, respectively, as of June 30, 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.
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Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:
| In millions of dollars | U.S. | Outside of U.S.(1) | June 30, 2022 | December 31, 2021 | ||||||||||
| Commercial and similar letters of credit | $ | 732 | $ | 5,840 | $ | 6,572 | $ | 5,910 | ||||||
| One- to four-family residential mortgages | 2,048 | 1,692 | 3,740 | 4,351 | ||||||||||
| Revolving open-end loans secured by one- to four-family residential properties | 6,280 | 695 | 6,975 | 7,913 | ||||||||||
| Commercial real estate, construction and land development | 15,402 | 2,311 | 17,713 | 17,843 | ||||||||||
| Credit card lines | 608,097 | 92,859 | 700,956 | 700,559 | ||||||||||
| Commercial and other consumer loan commitments | 200,543 | 107,465 | 308,008 | 320,556 | ||||||||||
| Other commitments and contingencies | 5,228 | 219 | 5,447 | 5,649 | ||||||||||
| Total | $ | 838,330 | $ | 211,081 | $ | 1,049,411 | $ | 1,062,781 | ||||||
(1)Consumer commitments related to the business HFS countries under sales agreements are reflected in their original categories until the respective sales are completed.
The majority of unused commitments are contingent upon 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 June 30, 2022 and December 31, 2021, Citigroup had approximately $130.9 billion and $126.6 billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $59.4 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 | June 30, 2022 | December 31, 2021 | ||||||
| Cash and due from banks | $ | 3,786 | $ | 2,786 | ||||
| Deposits with banks, net of allowance | 13,603 | 10,636 | ||||||
| Total | $ | 17,389 | $ | 13,422 | ||||
In response to the COVID-19 pandemic, the Federal Reserve Bank and certain other central banks eased regulations related to minimum required cash deposited with central banks.
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23. CONTINGENCIES
The following information supplements and amends, as applicable, the disclosures in Note 23 to the Consolidated Financial Statements in Citi’s First Quarter of 2022 Form 10-Q and 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 June 30, 2022, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately $1.2 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 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. On April 21, 2022, both claimants applied for permission to appeal the judgment and for it to be judicially reviewed in the alternative. Additional information concerning these actions is publicly available in court filings under the case numbers 1329/7/7/19 and 1336/7/7/19.
Shareholder Derivative and Securities Litigations
On June 23, 2022, a third derivative action was filed in the Supreme Court of the State of New York, purportedly on behalf of Citigroup (as nominal defendant) against certain of Citigroup’s current and former directors, and certain current and former officers. This action is subject to consolidation with, and to the same stay as entered in, the actions captioned IN RE CITIGROUP INC. DERIVATIVE LITIGATION. Additional information concerning this action is publicly available in court filings under the docket numbers 656759/2020 and 656930/2022 (N.Y. Sup. Ct.) (Schecter, J.).
Sovereign Securities Matters
Regulatory Actions: Government and regulatory agencies are conducting investigations or making inquiries regarding Citigroup’s sales and trading activities in connection with sovereign and other government-related securities. Citigroup is cooperating with these investigations and inquiries.
Antitrust and Other Litigation: On April 28, 2022, in IN RE TREASURY SECURITIES AUCTION ANTITRUST LITIGATION, plaintiffs filed a notice of appeal to the United States Court of Appeals for the Second Circuit from the district court’s grant of defendants’ motions to dismiss the amended consolidated class action complaint. Additional information concerning this action is publicly available in court filings under the docket numbers 15-MD-2673 (S.D.N.Y.) (Gardephe, J.) and 22-943 (2d Cir.).
On June 16, 2022, in IN RE EUROPEAN GOVERNMENT BONDS ANTITRUST LITIGATION, the court denied CGMI and CGML’s motion for reconsideration of the court’s March 14, 2022 decision denying CGMI and CGML’s motion to dismiss. Additional information concerning this action is publicly available in court filings under the docket number 19-CV-02601 (S.D.N.Y.) (Marrero, J.).
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Variable Rate Demand Obligation Litigation
On June 28, 2022, the court granted in part and denied in part defendants’ partial motion to dismiss the consolidated amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 19-CV-1608 (S.D.N.Y.) (Furman, J.).
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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 and six months ended June 30, 2022 and 2021, Condensed Consolidating Balance Sheet as of June 30, 2022 and December 31, 2021 and Condensed Consolidating Statement of Cash Flows for the six months ended June 30, 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.
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Condensed Consolidating Statements of Income and Comprehensive Income
| Three Months Ended June 30, 2022 | |||||||||||||||||
| In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated | ||||||||||||
| Revenues | |||||||||||||||||
| Dividends from subsidiaries | $ | 1,800 | $ | — | $ | — | $ | (1,800) | $ | — | |||||||
| Interest revenue | 1 | 1,593 | 14,036 | — | 15,630 | ||||||||||||
| Interest revenue—intercompany | 1,031 | 293 | (1,324) | — | — | ||||||||||||
| Interest expense | 1,298 | 702 | 1,666 | — | 3,666 | ||||||||||||
| Interest expense—intercompany | 150 | 682 | (832) | — | — | ||||||||||||
| Net interest income | $ | (416) | $ | 502 | $ | 11,878 | $ | — | $ | 11,964 | |||||||
| Commissions and fees | $ | — | $ | 1,228 | $ | 1,224 | $ | — | $ | 2,452 | |||||||
| Commissions and fees—intercompany | (1) | 42 | (41) | — | — | ||||||||||||
| Principal transactions | 2,032 | 8,213 | (5,720) | — | 4,525 | ||||||||||||
| Principal transactions—intercompany | (2,110) | (7,349) | 9,459 | — | — | ||||||||||||
| Other revenue | 319 | 106 | 272 | — | 697 | ||||||||||||
| Other revenue—intercompany | (124) | (17) | 141 | — | — | ||||||||||||
| Total non-interest revenues | $ | 116 | $ | 2,223 | $ | 5,335 | $ | — | $ | 7,674 | |||||||
| Total revenues, net of interest expense | $ | 1,500 | $ | 2,725 | $ | 17,213 | $ | (1,800) | $ | 19,638 | |||||||
| Provisions for credit losses and for benefits and claims | $ | — | $ | 2 | $ | 1,272 | $ | — | $ | 1,274 | |||||||
| Operating expenses | |||||||||||||||||
| Compensation and benefits | $ | (2) | $ | 1,323 | $ | 5,151 | $ | — | $ | 6,472 | |||||||
| Compensation and benefits—intercompany | — | — | — | — | — | ||||||||||||
| Other operating | (12) | 890 | 5,043 | — | 5,921 | ||||||||||||
| Other operating—intercompany | 4 | 618 | (622) | — | — | ||||||||||||
| Total operating expenses | $ | (10) | $ | 2,831 | $ | 9,572 | $ | — | $ | 12,393 | |||||||
| Equity in undistributed income of subsidiaries | $ | 2,632 | $ | — | $ | — | $ | (2,632) | $ | — | |||||||
| Income (loss) from continuing operations before income taxes | $ | 4,142 | $ | (108) | $ | 6,369 | $ | (4,432) | $ | 5,971 | |||||||
| Provision (benefit) for income taxes | (405) | 101 | 1,486 | — | 1,182 | ||||||||||||
| Income (loss) from continuing operations | $ | 4,547 | $ | (209) | $ | 4,883 | $ | (4,432) | $ | 4,789 | |||||||
| Income (loss) from discontinued operations, net of taxes | — | — | (221) | — | (221) | ||||||||||||
| Net income before attribution of noncontrolling interests | $ | 4,547 | $ | (209) | $ | 4,662 | $ | (4,432) | $ | 4,568 | |||||||
| Noncontrolling interests | — | — | 21 | — | 21 | ||||||||||||
| Net income (loss) | $ | 4,547 | $ | (209) | $ | 4,641 | $ | (4,432) | $ | 4,547 | |||||||
| Comprehensive income | |||||||||||||||||
| Add: Other comprehensive income (loss) | $ | (1,910) | $ | 647 | $ | 889 | $ | (1,536) | $ | (1,910) | |||||||
| Total Citigroup comprehensive income (loss) | $ | 2,637 | $ | 438 | $ | 5,530 | $ | (5,968) | $ | 2,637 | |||||||
| Add: Other comprehensive income attributable to noncontrolling interests | $ | — | $ | — | $ | (53) | $ | — | $ | (53) | |||||||
| Add: Net income attributable to noncontrolling interests | — | — | 21 | — | 21 | ||||||||||||
| Total comprehensive income (loss) | $ | 2,637 | $ | 438 | $ | 5,498 | $ | (5,968) | $ | 2,605 | |||||||
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Condensed Consolidating Statements of Income and Comprehensive Income | |||||||||||||||||
| Six Months Ended June 30, 2022 | |||||||||||||||||
| In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated | ||||||||||||
| Revenues | |||||||||||||||||
| Dividends from subsidiaries | $ | 2,050 | $ | — | $ | — | $ | (2,050) | $ | — | |||||||
| Interest revenue | 1 | 2,355 | 26,425 | — | 28,781 | ||||||||||||
| Interest revenue—intercompany | 1,933 | 432 | (2,365) | — | — | ||||||||||||
| Interest expense | 2,477 | 896 | 2,573 | — | 5,946 | ||||||||||||
| Interest expense—intercompany | 240 | 1,036 | (1,276) | — | — | ||||||||||||
| Net interest income | $ | (783) | $ | 855 | $ | 22,763 | $ | — | $ | 22,835 | |||||||
| Commissions and fees | $ | — | $ | 2,589 | $ | 2,431 | $ | — | $ | 5,020 | |||||||
| Commissions and fees—intercompany | (1) | 126 | (125) | — | — | ||||||||||||
| Principal transactions | 3,894 | 9,810 | (4,589) | — | 9,115 | ||||||||||||
| Principal transactions—intercompany | (3,959) | (7,437) | 11,396 | — | — | ||||||||||||
| Other revenue | 388 | 264 | 1,202 | — | 1,854 | ||||||||||||
| Other revenue—intercompany | (181) | (35) | 216 | — | — | ||||||||||||
| Total non-interest revenues | $ | 141 | $ | 5,317 | $ | 10,531 | $ | — | $ | 15,989 | |||||||
| Total revenues, net of interest expense | $ | 1,408 | $ | 6,172 | $ | 33,294 | $ | (2,050) | $ | 38,824 | |||||||
| Provisions for credit losses and for benefits and claims | $ | — | $ | 1 | $ | 2,028 | $ | — | $ | 2,029 | |||||||
| Operating expenses | |||||||||||||||||
| Compensation and benefits | $ | (2) | $ | 2,835 | $ | 10,459 | $ | — | $ | 13,292 | |||||||
| Compensation and benefits—intercompany | 11 | — | (11) | — | — | ||||||||||||
| Other operating | 12 | 1,546 | 10,708 | — | 12,266 | ||||||||||||
| Other operating—intercompany | 7 | 1,372 | (1,379) | — | — | ||||||||||||
| Total operating expenses | $ | 28 | $ | 5,753 | $ | 19,777 | $ | — | $ | 25,558 | |||||||
| Equity in undistributed income of subsidiaries | $ | 6,766 | $ | — | $ | — | $ | (6,766) | $ | — | |||||||
| Income (loss) from continuing operations before income taxes | $ | 8,146 | $ | 418 | $ | 11,489 | $ | (8,816) | $ | 11,237 | |||||||
| Provision (benefit) for income taxes | (707) | (115) | 2,945 | — | 2,123 | ||||||||||||
| Income (loss) from continuing operations | $ | 8,853 | $ | 533 | $ | 8,544 | $ | (8,816) | $ | 9,114 | |||||||
| Income (loss) from discontinued operations, net of taxes | — | — | (223) | — | (223) | ||||||||||||
| Net income before attribution of noncontrolling interests | $ | 8,853 | $ | 533 | $ | 8,321 | $ | (8,816) | $ | 8,891 | |||||||
| Noncontrolling interests | — | — | 38 | — | 38 | ||||||||||||
| Net income (loss) | $ | 8,853 | $ | 533 | $ | 8,283 | $ | (8,816) | $ | 8,853 | |||||||
| Comprehensive income | |||||||||||||||||
| Add: Other comprehensive income (loss) | $ | (6,730) | $ | 1,096 | $ | (5,269) | $ | 4,173 | $ | (6,730) | |||||||
| Total Citigroup comprehensive income (loss) | $ | 2,123 | $ | 1,629 | $ | 3,014 | $ | (4,643) | $ | 2,123 | |||||||
| Add: Other comprehensive income attributable to noncontrolling interests | $ | — | $ | — | $ | (82) | $ | — | $ | (82) | |||||||
| Add: Net income attributable to noncontrolling interests | — | — | 38 | — | 38 | ||||||||||||
| Total comprehensive income (loss) | $ | 2,123 | $ | 1,629 | $ | 2,970 | $ | (4,643) | $ | 2,079 | |||||||
211
Condensed Consolidating Statements of Income and Comprehensive Income
| Three Months Ended June 30, 2021 | |||||||||||||||||
| In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated | ||||||||||||
| Revenues | |||||||||||||||||
| Dividends from subsidiaries | $ | 3,700 | $ | — | $ | — | $ | (3,700) | $ | — | |||||||
| Interest revenue | — | 1,014 | 11,449 | — | 12,463 | ||||||||||||
| Interest revenue—intercompany | 954 | 136 | (1,090) | — | — | ||||||||||||
| Interest expense | 1,209 | 221 | 555 | — | 1,985 | ||||||||||||
| Interest expense—intercompany | 94 | 330 | (424) | — | — | ||||||||||||
| Net interest income | $ | (349) | $ | 599 | $ | 10,228 | $ | — | $ | 10,478 | |||||||
| Commissions and fees | $ | — | $ | 1,836 | $ | 1,538 | $ | — | $ | 3,374 | |||||||
| Commissions and fees—intercompany | (1) | 88 | (87) | — | — | ||||||||||||
| Principal transactions | (892) | 919 | 2,277 | — | 2,304 | ||||||||||||
| Principal transactions—intercompany | 910 | (110) | (800) | — | — | ||||||||||||
| Other revenue | (4) | 139 | 1,462 | — | 1,597 | ||||||||||||
| Other revenue—intercompany | 3 | (8) | 5 | — | — | ||||||||||||
| Total non-interest revenues | $ | 16 | $ | 2,864 | $ | 4,395 | $ | — | $ | 7,275 | |||||||
| Total revenues, net of interest expense | $ | 3,367 | $ | 3,463 | $ | 14,623 | $ | (3,700) | $ | 17,753 | |||||||
| Provisions for credit losses and for benefits and claims | $ | 2 | $ | 3 | $ | (1,071) | $ | — | $ | (1,066) | |||||||
| Operating expenses | |||||||||||||||||
| Compensation and benefits | $ | — | $ | 1,303 | $ | 4,679 | $ | — | $ | 5,982 | |||||||
| Compensation and benefits—intercompany | 24 | — | (24) | — | — | ||||||||||||
| Other operating | 14 | 680 | 4,795 | — | 5,489 | ||||||||||||
| Other operating—intercompany | 3 | 808 | (811) | — | — | ||||||||||||
| Total operating expenses | $ | 41 | $ | 2,791 | $ | 8,639 | $ | — | $ | 11,471 | |||||||
| Equity in undistributed income of subsidiaries | $ | 2,567 | $ | — | $ | — | $ | (2,567) | $ | — | |||||||
| Income (loss) from continuing operations before income taxes | $ | 5,891 | $ | 669 | $ | 7,055 | $ | (6,267) | $ | 7,348 | |||||||
| Provision (benefit) for income taxes | (302) | (119) | 1,576 | — | 1,155 | ||||||||||||
| Income (loss) from continuing operations | $ | 6,193 | $ | 788 | $ | 5,479 | $ | (6,267) | $ | 6,193 | |||||||
| Income (loss) from discontinued operations, net of taxes | — | — | 10 | — | 10 | ||||||||||||
| Net income (loss) before attribution of noncontrolling interests | $ | 6,193 | $ | 788 | $ | 5,489 | $ | (6,267) | $ | 6,203 | |||||||
| Noncontrolling interests | — | — | 10 | — | 10 | ||||||||||||
| Net income (loss) | $ | 6,193 | $ | 788 | $ | 5,479 | $ | (6,267) | $ | 6,193 | |||||||
| Comprehensive income | |||||||||||||||||
| Add: Other comprehensive income (loss) | $ | (109) | $ | 7 | $ | (1,966) | $ | 1,959 | $ | (109) | |||||||
| Total Citigroup comprehensive income (loss) | $ | 6,084 | $ | 795 | $ | 3,513 | $ | (4,308) | $ | 6,084 | |||||||
| Add: Other comprehensive income attributable to noncontrolling interests | $ | — | $ | — | $ | 18 | $ | — | $ | 18 | |||||||
| Add: Net income attributable to noncontrolling interests | — | — | 10 | — | 10 | ||||||||||||
| Total comprehensive income (loss) | $ | 6,084 | $ | 795 | $ | 3,541 | $ | (4,308) | $ | 6,112 | |||||||
212
Condensed Consolidating Statements of Income and Comprehensive Income | |||||||||||||||||
| Six Months Ended June 30, 2021 | |||||||||||||||||
| In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated | ||||||||||||
| Revenues | |||||||||||||||||
| Dividends from subsidiaries | $ | 3,800 | $ | — | $ | — | $ | (3,800) | $ | — | |||||||
| Interest revenue | — | 1,985 | 23,012 | — | 24,997 | ||||||||||||
| Interest revenue—intercompany | 1,912 | 281 | (2,193) | — | — | ||||||||||||
| Interest expense | 2,421 | 444 | 1,148 | — | 4,013 | ||||||||||||
| Interest expense—intercompany | 178 | 659 | (837) | — | — | ||||||||||||
| Net interest income | $ | (687) | $ | 1,163 | $ | 20,508 | $ | — | $ | 20,984 | |||||||
| Commissions and fees | $ | — | $ | 3,997 | $ | 3,047 | $ | — | $ | 7,044 | |||||||
| Commissions and fees—intercompany | (27) | 135 | (108) | — | — | ||||||||||||
| Principal transactions | 877 | 6,577 | (1,237) | — | 6,217 | ||||||||||||
| Principal transactions—intercompany | (968) | (4,348) | 5,316 | — | — | ||||||||||||
| Other revenue | 51 | 242 | 2,882 | — | 3,175 | ||||||||||||
| Other revenue—intercompany | (61) | (28) | 89 | — | — | ||||||||||||
| Total non-interest revenues | $ | (128) | $ | 6,575 | $ | 9,989 | $ | — | $ | 16,436 | |||||||
| Total revenues, net of interest expense | $ | 2,985 | $ | 7,738 | $ | 30,497 | $ | (3,800) | $ | 37,420 | |||||||
| Provisions for credit losses and for benefits and claims | $ | 2 | $ | 7 | $ | (3,130) | $ | — | $ | (3,121) | |||||||
| Operating expenses | |||||||||||||||||
| Compensation and benefits | $ | 28 | $ | 2,637 | $ | 9,318 | $ | — | $ | 11,983 | |||||||
| Compensation and benefits—intercompany | 48 | — | (48) | — | — | ||||||||||||
| Other operating | 25 | 1,322 | 9,554 | — | 10,901 | ||||||||||||
| Other operating—intercompany | 6 | 1,488 | (1,494) | — | — | ||||||||||||
| Total operating expenses | $ | 107 | $ | 5,447 | $ | 17,330 | $ | — | $ | 22,884 | |||||||
| Equity in undistributed income of subsidiaries | $ | 10,740 | $ | — | $ | — | $ | (10,740) | $ | — | |||||||
| Income (loss) from continuing operations before income taxes | $ | 13,616 | $ | 2,284 | $ | 16,297 | $ | (14,540) | $ | 17,657 | |||||||
| Provision (benefit) for income taxes | (519) | 333 | 3,673 | — | 3,487 | ||||||||||||
| Income (loss) from continuing operations | $ | 14,135 | $ | 1,951 | $ | 12,624 | $ | (14,540) | $ | 14,170 | |||||||
| Income (loss) from discontinued operations, net of taxes | — | — | 8 | — | 8 | ||||||||||||
| Net income (loss) before attribution of noncontrolling interests | $ | 14,135 | $ | 1,951 | $ | 12,632 | $ | (14,540) | $ | 14,178 | |||||||
| Noncontrolling interests | — | — | 43 | — | 43 | ||||||||||||
| Net income (loss) | $ | 14,135 | $ | 1,951 | $ | 12,589 | $ | (14,540) | $ | 14,135 | |||||||
| Comprehensive income | |||||||||||||||||
| Add: Other comprehensive income (loss) | $ | (3,062) | $ | (43) | $ | (1,429) | $ | 1,472 | $ | (3,062) | |||||||
| Total Citigroup comprehensive income (loss) | $ | 11,073 | $ | 1,908 | $ | 11,160 | $ | (13,068) | $ | 11,073 | |||||||
| Add: Other comprehensive income attributable to noncontrolling interests | $ | — | $ | — | $ | (40) | $ | — | $ | (40) | |||||||
| Add: Net income attributable to noncontrolling interests | — | — | 43 | — | 43 | ||||||||||||
| Total comprehensive income (loss) | $ | 11,073 | $ | 1,908 | $ | 11,163 | $ | (13,068) | $ | 11,076 | |||||||
213
Condensed Consolidating Balance Sheet
| June 30, 2022 | |||||||||||||||||
| In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated | ||||||||||||
| Assets | |||||||||||||||||
| Cash and due from banks | $ | — | $ | 1,103 | $ | 23,799 | $ | — | $ | 24,902 | |||||||
| Cash and due from banks—intercompany | 14 | 5,357 | (5,371) | — | — | ||||||||||||
| Deposits with banks, net of allowance | — | 8,105 | 251,023 | — | 259,128 | ||||||||||||
| Deposits with banks—intercompany | 3,500 | 10,417 | (13,917) | — | — | ||||||||||||
| Securities borrowed and purchased under resale agreements | — | 301,364 | 59,970 | — | 361,334 | ||||||||||||
| Securities borrowed and purchased under resale agreements—intercompany | — | 19,070 | (19,070) | — | — | ||||||||||||
| Trading account assets | 193 | 191,486 | 149,196 | — | 340,875 | ||||||||||||
| Trading account assets—intercompany | 908 | 2,991 | (3,899) | — | — | ||||||||||||
| Investments, net of allowance | 1 | 234 | 513,643 | — | 513,878 | ||||||||||||
| Loans, net of unearned income | — | 1,862 | 655,471 | — | 657,333 | ||||||||||||
| Loans, net of unearned income—intercompany | — | — | — | — | — | ||||||||||||
| Allowance for credit losses on loans (ACLL) | — | — | (15,952) | — | (15,952) | ||||||||||||
| Total loans, net | $ | — | $ | 1,862 | $ | 639,519 | $ | — | $ | 641,381 | |||||||
| Advances to subsidiaries | $ | 142,832 | $ | — | $ | (142,832) | $ | — | $ | — | |||||||
| Investments in subsidiaries | 222,196 | — | — | (222,196) | — | ||||||||||||
Other assets, net of allowance(1) | 11,177 | 90,338 | 137,891 | — | 239,406 | ||||||||||||
| Other assets—intercompany | 3,857 | 77,889 | (81,746) | — | — | ||||||||||||
| Total assets | $ | 384,678 | $ | 710,216 | $ | 1,508,206 | $ | (222,196) | $ | 2,380,904 | |||||||
| Liabilities and equity | |||||||||||||||||
| Deposits | $ | — | $ | — | $ | 1,321,848 | $ | — | $ | 1,321,848 | |||||||
| Deposits—intercompany | — | — | — | — | — | ||||||||||||
| Securities loaned and sold under repurchase agreements | — | 179,917 | 18,555 | — | 198,472 | ||||||||||||
| Securities loaned and sold under repurchase agreements—intercompany | — | 63,380 | (63,380) | — | — | ||||||||||||
| Trading account liabilities | 29 | 114,029 | 66,395 | — | 180,453 | ||||||||||||
| Trading account liabilities—intercompany | 141 | 2,624 | (2,765) | — | — | ||||||||||||
| Short-term borrowings | — | 18,372 | 21,682 | — | 40,054 | ||||||||||||
| Short-term borrowings—intercompany | — | 19,557 | (19,557) | — | — | ||||||||||||
| Long-term debt | 167,874 | 71,603 | 17,948 | — | 257,425 | ||||||||||||
| Long-term debt—intercompany | — | 86,144 | (86,144) | — | — | ||||||||||||
| Advances from subsidiaries | 14,834 | — | (14,834) | — | — | ||||||||||||
| Other liabilities | 2,639 | 97,035 | 83,352 | — | 183,026 | ||||||||||||
| Other liabilities—intercompany | 147 | 17,915 | (18,062) | — | — | ||||||||||||
| Stockholders’ equity | 199,014 | 39,640 | 183,168 | (222,196) | 199,626 | ||||||||||||
| Total liabilities and equity | $ | 384,678 | $ | 710,216 | $ | 1,508,206 | $ | (222,196) | $ | 2,380,904 | |||||||
(1)Other assets for Citigroup parent company at June 30, 2022 included $36.8 billion of placements to Citibank and its branches, of which $27.1 billion had a remaining term of less than 30 days.
214
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 | $ | — | $ | 834 | $ | 26,681 | $ | — | $ | 27,515 | |||||||
| Cash and due from banks—intercompany | 17 | 6,890 | (6,907) | — | — | ||||||||||||
| Deposits with banks, net of allowance | — | 7,936 | 226,582 | — | 234,518 | ||||||||||||
| Deposits with banks—intercompany | 3,500 | 11,005 | (14,505) | — | — | ||||||||||||
| Securities borrowed and purchased under resale agreements | — | 269,608 | 57,680 | — | 327,288 | ||||||||||||
| Securities borrowed and purchased under resale agreements—intercompany | — | 23,362 | (23,362) | — | — | ||||||||||||
| Trading account assets | 248 | 189,841 | 141,856 | — | 331,945 | ||||||||||||
| Trading account assets—intercompany | 1,215 | 1,438 | (2,653) | — | — | ||||||||||||
| Investments, net of allowance | 1 | 224 | 512,597 | — | 512,822 | ||||||||||||
| Loans, net of unearned income | — | 2,293 | 665,474 | — | 667,767 | ||||||||||||
| Loans, net of unearned income—intercompany | — | — | — | — | — | ||||||||||||
| Allowance for credit losses on loans (ACLL) | — | — | (16,455) | — | (16,455) | ||||||||||||
| Total loans, net | $ | — | $ | 2,293 | $ | 649,019 | $ | — | $ | 651,312 | |||||||
| Advances to subsidiaries | $ | 142,144 | $ | — | $ | (142,144) | $ | — | $ | — | |||||||
| Investments in subsidiaries | 223,303 | — | — | (223,303) | — | ||||||||||||
Other assets, net of allowance(1) | 10,589 | 69,312 | 126,112 | — | 206,013 | ||||||||||||
| Other assets—intercompany | 2,737 | 60,567 | (63,304) | — | — | ||||||||||||
| Total assets | $ | 383,754 | $ | 643,310 | $ | 1,487,652 | $ | (223,303) | $ | 2,291,413 | |||||||
| Liabilities and equity | |||||||||||||||||
| Deposits | $ | — | $ | — | $ | 1,317,230 | $ | — | $ | 1,317,230 | |||||||
| Deposits—intercompany | — | — | — | — | — | ||||||||||||
| Securities loaned and sold under repurchase agreements | — | 171,818 | 19,467 | — | 191,285 | ||||||||||||
| Securities loaned and sold under repurchase agreements—intercompany | — | 62,197 | (62,197) | — | — | ||||||||||||
| Trading account liabilities | 17 | 122,383 | 39,129 | — | 161,529 | ||||||||||||
| Trading account liabilities—intercompany | 777 | 500 | (1,277) | — | — | ||||||||||||
| Short-term borrowings | — | 13,425 | 14,548 | — | 27,973 | ||||||||||||
| Short-term borrowings—intercompany | — | 17,230 | (17,230) | — | — | ||||||||||||
| Long-term debt | 164,945 | 61,416 | 28,013 | — | 254,374 | ||||||||||||
| Long-term debt—intercompany | — | 76,335 | (76,335) | — | — | ||||||||||||
| Advances from subsidiaries | 13,469 | — | (13,469) | — | — | ||||||||||||
| Other liabilities | 2,574 | 68,206 | 65,570 | — | 136,350 | ||||||||||||
| Other liabilities—intercompany | — | 11,774 | (11,774) | — | — | ||||||||||||
| Stockholders’ equity | 201,972 | 38,026 | 185,977 | (223,303) | 202,672 | ||||||||||||
| Total liabilities and equity | $ | 383,754 | $ | 643,310 | $ | 1,487,652 | $ | (223,303) | $ | 2,291,413 | |||||||
(1)Other assets for Citigroup parent company at December 31, 2021 included $30.5 billion of placements to Citibank and its branches, of which $19.5 billion had a remaining term of less than 30 days.
215
Condensed Consolidating Statement of Cash Flows
| Six Months Ended June 30, 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 | $ | (6,787) | $ | (5,447) | $ | 8,965 | $ | — | $ | (3,269) | |||||||
| Cash flows from investing activities of continuing operations | |||||||||||||||||
| Available-for-sale debt securities: | |||||||||||||||||
| Purchases of investments | $ | — | $ | — | $ | (123,528) | $ | — | $ | (123,528) | |||||||
| Proceeds from sales of investments | — | — | 79,952 | — | 79,952 | ||||||||||||
| Proceeds from maturities of investments | — | — | 76,871 | — | 76,871 | ||||||||||||
| Held-to-maturity debt securities: | |||||||||||||||||
| Purchases of investments | — | — | (34,317) | — | (34,317) | ||||||||||||
| Proceeds from maturities of investments | — | — | 5,821 | — | 5,821 | ||||||||||||
| Change in loans | — | — | (14,790) | — | (14,790) | ||||||||||||
| Proceeds from sales and securitizations of loans | — | — | 1,562 | — | 1,562 | ||||||||||||
| Proceeds from divestitures | — | — | 1,940 | — | 1,940 | ||||||||||||
| Change in securities borrowed and purchased under agreements to resell | — | (27,194) | (6,852) | — | (34,046) | ||||||||||||
| Changes in investments and advances—intercompany | (2,951) | (16,450) | 19,401 | — | — | ||||||||||||
Other investing activities | — | (25) | (2,741) | — | (2,766) | ||||||||||||
| Net cash provided by (used in) investing activities of continuing operations | $ | (2,951) | $ | (43,669) | $ | 3,319 | $ | — | $ | (43,301) | |||||||
| Cash flows from financing activities of continuing operations | |||||||||||||||||
| Dividends paid | $ | (2,514) | $ | (266) | $ | 266 | $ | — | $ | (2,514) | |||||||
| Treasury stock acquired | (3,200) | — | — | — | (3,200) | ||||||||||||
| Proceeds (repayments) from issuance of long-term debt, net | 14,418 | 21,082 | (3,635) | — | 31,865 | ||||||||||||
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | — | 11,110 | (11,110) | — | — | ||||||||||||
| Change in deposits | — | — | 25,360 | — | 25,360 | ||||||||||||
| Change in securities loaned and sold under agreements to repurchase | — | 9,282 | (2,095) | — | 7,187 | ||||||||||||
| Change in short-term borrowings | — | 4,947 | 7,134 | — | 12,081 | ||||||||||||
| Net change in short-term borrowings and other advances—intercompany | 1,365 | 1,027 | (2,392) | — | — | ||||||||||||
| Capital contributions from (to) parent | — | 250 | (250) | — | — | ||||||||||||
| Other financing activities | (334) | 1 | (1) | — | (334) | ||||||||||||
| Net cash provided by (used in) financing activities of continuing operations | $ | 9,735 | $ | 47,433 | $ | 13,277 | $ | — | $ | 70,445 | |||||||
| Effect of exchange rate changes on cash and due from banks | $ | — | $ | — | $ | (1,878) | $ | — | $ | (1,878) | |||||||
| Change in cash and due from banks and deposits with banks | $ | (3) | $ | (1,683) | $ | 23,683 | $ | — | $ | 21,997 | |||||||
| Cash and due from banks and deposits with banks at beginning of period | 3,517 | 26,665 | 231,851 | — | 262,033 | ||||||||||||
| Cash and due from banks and deposits with banks at end of period | $ | 3,514 | $ | 24,982 | $ | 255,534 | $ | — | $ | 284,030 | |||||||
| Cash and due from banks | $ | 14 | $ | 6,460 | $ | 18,428 | $ | — | $ | 24,902 | |||||||
| Deposits with banks, net of allowance | 3,500 | 18,522 | 237,106 | — | 259,128 | ||||||||||||
| Cash and due from banks and deposits with banks at end of period | $ | 3,514 | $ | 24,982 | $ | 255,534 | $ | — | $ | 284,030 | |||||||
| Supplemental disclosure of cash flow information for continuing operations | |||||||||||||||||
| Cash paid (received) during the period for income taxes | $ | (15) | $ | (8) | $ | 1,684 | $ | — | $ | 1,661 | |||||||
Cash paid during the period for interest | 1,305 | 1,869 | 3,110 | — | 6,284 | ||||||||||||
Non-cash investing activities | |||||||||||||||||
| Transfer of investment securities from AFS to HTM | $ | — | $ | — | $ | 21,522 | $ | — | $ | 21,522 | |||||||
| Decrease in net loans associated with divestitures reclassified to HFS | — | — | 17,758 | — | 17,758 | ||||||||||||
| Decrease in goodwill associated with divestitures reclassified to HFS | — | — | 873 | — | 873 | ||||||||||||
Transfers to loans HFS (Other assets) from loans | — | — | 1,874 | — | 1,874 | ||||||||||||
Non-cash financing activities | |||||||||||||||||
| Decrease in deposits associated with divestitures reclassified to HFS | $ | — | $ | — | $ | 20,741 | $ | — | $ | 20,741 | |||||||
216
Condensed Consolidating Statement of Cash Flows
| Six Months Ended June 30, 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 | $ | 1,429 | $ | 5,912 | $ | 16,222 | $ | — | $ | 23,563 | |||||||
| Cash flows from investing activities of continuing operations | |||||||||||||||||
| Available-for-sale debt securities: | |||||||||||||||||
| Purchases of investments | $ | — | $ | — | $ | (114,240) | $ | — | $ | (114,240) | |||||||
| Proceeds from sales of investments | — | — | 66,135 | — | 66,135 | ||||||||||||
| Proceeds from maturities of investments | — | — | 62,904 | — | 62,904 | ||||||||||||
| Held-to-maturity debt securities: | |||||||||||||||||
| Purchases of investments | — | — | (87,049) | — | (87,049) | ||||||||||||
| Proceeds from maturities of investments | — | — | 12,291 | — | 12,291 | ||||||||||||
| Change in loans | — | — | (3,088) | — | (3,088) | ||||||||||||
| Proceeds from sales and securitizations of loans | — | — | 869 | — | 869 | ||||||||||||
| Change in securities borrowed and purchased under agreements to resell | — | (14,084) | (251) | — | (14,335) | ||||||||||||
| Changes in investments and advances—intercompany | (2,424) | (7,360) | 9,784 | — | — | ||||||||||||
| Other investing activities | — | (15) | (1,583) | — | (1,598) | ||||||||||||
| Net cash provided by (used in) investing activities of continuing operations | $ | (2,424) | $ | (21,459) | $ | (54,228) | $ | — | $ | (78,111) | |||||||
| Cash flows from financing activities of continuing operations | |||||||||||||||||
| Dividends paid | $ | (2,663) | $ | (187) | $ | 187 | $ | — | $ | (2,663) | |||||||
| Issuance of preferred stock | 2,300 | — | — | — | 2,300 | ||||||||||||
| Redemption of preferred stock | (3,785) | — | — | — | (3,785) | ||||||||||||
| Treasury stock acquired | (4,381) | — | — | — | (4,381) | ||||||||||||
| Proceeds (repayments) from issuance of long-term debt, net | 7,576 | 8,446 | (16,405) | — | (383) | ||||||||||||
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | — | 11,040 | (11,040) | — | — | ||||||||||||
| Change in deposits | — | — | 29,610 | — | 29,610 | ||||||||||||
| Change in securities loaned and sold under agreements to repurchase | — | (9,152) | 31,444 | — | 22,292 | ||||||||||||
| Change in short-term borrowings | — | 3,358 | (1,410) | — | 1,948 | ||||||||||||
| Net change in short-term borrowings and other advances—intercompany | 772 | 4,885 | (5,657) | — | — | ||||||||||||
| Other financing activities | (324) | — | — | — | (324) | ||||||||||||
| Net cash provided by financing activities of continuing operations | $ | (505) | $ | 18,390 | $ | 26,729 | $ | — | $ | 44,614 | |||||||
| Effect of exchange rate changes on cash and due from banks | $ | — | $ | — | $ | (443) | $ | — | $ | (443) | |||||||
| Change in cash and due from banks and deposits with banks | $ | (1,500) | $ | 2,843 | $ | (11,720) | $ | — | $ | (10,377) | |||||||
| Cash and due from banks and deposits with banks at beginning of period | 4,516 | 20,112 | 284,987 | — | 309,615 | ||||||||||||
| Cash and due from banks and deposits with banks at end of period | $ | 3,016 | $ | 22,955 | $ | 273,267 | $ | — | $ | 299,238 | |||||||
| Cash and due from banks | $ | 16 | $ | 6,642 | $ | 20,459 | $ | — | $ | 27,117 | |||||||
| Deposits with banks, net of allowance | 3,000 | 16,313 | 252,808 | — | 272,121 | ||||||||||||
| Cash and due from banks and deposits with banks at end of period | $ | 3,016 | $ | 22,955 | $ | 273,267 | $ | — | $ | 299,238 | |||||||
| Supplemental disclosure of cash flow information for continuing operations | |||||||||||||||||
| Cash paid during the period for income taxes | $ | (1,437) | $ | 649 | $ | 2,964 | $ | — | $ | 2,176 | |||||||
| Cash paid during the period for interest | 1,287 | 1,197 | 1,442 | — | 3,926 | ||||||||||||
| Non-cash investing activities | |||||||||||||||||
| Transfers to loans HFS from loans | $ | — | $ | — | $ | 961 | $ | — | $ | 961 | |||||||
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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 $250 million of common shares during the second quarter of 2022. All shares repurchased were added to treasury stock. For information on Citi’s pause of common share repurchases, see “Executive Summary” above.
The following table summarizes Citi’s common share repurchases:
| In millions, except per share amounts | Total shares purchased | Average price paid per share | ||||||
| April 2022 | ||||||||
| Open market repurchases | — | $ | — | |||||
Employee transactions(1) | — | — | ||||||
| May 2022 | ||||||||
| Open market repurchases | — | — | ||||||
Employee transactions(1) | — | — | ||||||
| June 2022 | ||||||||
| Open market repurchases | 5.3 | 47.07 | ||||||
Employee transactions(1) | — | — | ||||||
| Total for 2Q22 | 5.3 | $ | 47.07 | |||||
(1) During the second quarter, pursuant to Citigroup’s Board of Directors’ authorization, Citi withheld an insignificant number of shares of common stock, added to treasury stock, related to activity on employee stock programs to satisfy the employee tax requirements.
Dividends
Citi paid common dividends of $0.51 per share during the first and second quarters of 2022, and on July 21, 2022, declared common dividends of $0.51 per share for the third quarter of 2022. As previously announced, Citi intends to maintain its current quarterly common dividend of $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 July 21, 2022, Citi declared preferred dividends of approximately $277 million for the third quarter of 2022.
For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 18 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
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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 3rd day of August, 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)
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GLOSSARY OF TERMS AND ACRONYMS
The following is a list of terms and acronyms that are used in this Quarterly Report on Form 10-Q and other Citigroup SEC filings and 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.
2021 Form 10-K: Current Report on Form 8-K dated May 10, 2022 (see “Overview” above) together with the 2021 Annual Report on Form 10-K.
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)
Classifiably managed: Loans primarily evaluated for credit risk based on internal risk rating classification.
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
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difficulty, including when foreclosure is deemed probable based on borrower delinquency.
Commercial cards: Provides a wide range of payment services to corporate and public sector clients worldwide through commercial card products. Services include procurement, corporate travel and entertainment, expense management services, and business-to-business payment solutions.
Consent orders: In October 2020, Citigroup and Citibank entered into consent orders with the Federal Reserve and OCC that require Citigroup and Citibank to make improvements in various aspects of enterprise-wide risk management, compliance, data quality management and governance and internal controls.
CRE: Commercial real estate
Credit card spend volume*: Dollar amount of card customers’ purchases, net of returns. Also known as purchase sales.
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” in Citi’s Annual Reports on Form 10-K.
Criticized: Criticized loans, lending-related commitments and derivative receivables that are classified as special mention, substandard and doubtful categories for regulatory purposes.
CRO: Chief Risk Officer
CTA: Currency translation adjustment, or cumulative translation adjustment. A separate component of equity within AOCI reported net of tax. For Citi, represents the impact of translating non-USD balance sheet items into USD each period. The CTA amount in EOP AOCI is a cumulative balance, net of tax.
CVA: Credit valuation adjustment
Delinquency managed: Loans primarily evaluated for credit risk based on delinquencies, FICO scores and the value of underlying collateral.
Dividend payout ratio*: Represents dividends declared per common share as a percentage of net income per diluted share.
Dodd-Frank Act: Wall Street Reform and Consumer Protection Act
DPD: Days past due
DSA: Deferred stock awards
DTA: Deferred tax asset
DVA: 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.
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Ginnie Mae: Government National Mortgage Association
Global Wealth: Global Wealth Management
GSIB: Global systemically important banks
HELOC: Home equity line of credit
HFI loans: Loans that are held-for-investment (i.e., excludes loans held-for-sale).
HFS: Held-for-sale
HQLA: High-quality liquid assets. Consist of cash and certain high-quality liquid securities as defined in the LCR rule.
HTM: Held-to-maturity
Hyperinflation: Extreme economic inflation with prices rising at a very high rate in a very short time. Under U.S. GAAP, entities operating in a hyperinflationary economy need to change their functional currency to the U.S. dollar. Once an entity switches its functional currency to the U.S. dollar, the CTA balance is frozen.
IBOR: Interbank Offered Rate
ICG: Institutional Clients Group
ICRM: Independent Compliance Risk Management
IPO: Initial public offering
ISDA: International Swaps and Derivatives Association
KM: Key financial and non-financial metric used by management when evaluating consolidated and/or individual business results.
KPMG LLP: Citi’s Independent Registered Public Accounting Firm.
LATAM: Latin America, which for Citi, includes Mexico.
LCR: Liquidity coverage ratio. Represents HQLA divided by net outflows in the period.
LDA: Loss Distribution Approach
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
MTM: Mark to market
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 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.
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Non-GAAP financial measure: Management uses these financial measures because it believes they provide information to enable investors to understand the underlying operational performance and trends of Citi and its businesses.
NSFR: Net stable funding ratio
O/S: Outstanding
OCC: Office of the Comptroller of the Currency
OCI: Other comprehensive income (loss)
OREO: Other real estate owned
OTTI: Other-than-temporary impairment
Over-the-counter cleared (OTC-cleared) derivatives: Derivative contracts that are negotiated and executed bilaterally, but subsequently settled via a central clearing house, such that each derivative counterparty is only exposed to the default of that clearing house.
Over-the-counter (OTC) derivatives: Derivative contracts that are negotiated, executed and settled bilaterally between two derivative counterparties, where one or both counterparties is a derivatives dealer.
Parent company: Citigroup Inc.
Participating securities: Represents unvested share-based compensation awards containing nonforfeitable rights to dividends or dividend equivalents (collectively, “dividends”), which are included in the earnings per share calculation using the two-class method. Citi grants RSUs to certain employees under its share-based compensation programs, which entitle the recipients to receive non-forfeitable dividends during the vesting period on a basis equivalent to the dividends paid to holders of common stock. These unvested awards meet the definition of participating securities. Under the two-class method for calculating EPS, all earnings (distributed and undistributed) are allocated to each class of common stock and participating securities, based on their respective rights to receive dividends.
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 period’s 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 (the Standardized Approach and the Advanced Approaches), 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 that 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
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SCF: Subscription credit facility. SCFs are revolving credit facilities provided to private equity funds that are secured against the fund’s investors’ capital commitments.
SEC: The U.S. Securities and Exchange Commission
Securities financing agreements: Include resale, repurchase, securities borrowed and securities loaned agreements.
SLR: Supplementary Leverage ratio. Represents Tier 1 Capital divided by total leverage exposure.
SOFR: Secured Overnight Financing Rate
SPEs: Special purpose entities
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 investments that receive tax credits and the impact of tax-exempt securities. This metric presents results on a level comparable to taxable investments and securities.
TDR: Troubled debt restructuring. TDR is deemed to occur when the Company modifies the original terms of a loan agreement by granting a concession to a borrower that is experiencing financial difficulty. Loans with short-term and other insignificant modifications that are not considered concessions are not TDRs.
TLAC: Total loss-absorbing capacity
Total payout ratio*: Represents total common dividends declared plus common share repurchases as a percentage of net income available to common shareholders.
Transformation: Citi has embarked on a multiyear transformation, with the target outcome to change Citi’s business and operating models such that they simultaneously strengthen risk and controls and improve Citi’s value to customers, clients and shareholders.
Unaudited: Financial statements and information that have not been subjected to auditing procedures sufficient to permit an independent certified public accountant to express an opinion.
U.S. government agencies: U.S. government agencies include, but are not limited to, agencies such as Ginnie Mae and FHA, and do not include Fannie Mae and Freddie Mac, which are U.S. government-sponsored enterprises (U.S. GSEs). In general, obligations of U.S. government agencies
are fully and explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government in the event of a default.
U.S. Treasury: U.S. Department of the Treasury
VAR: Value at risk. A measure of the dollar amount of potential loss from adverse market moves in an ordinary market environment.
VIEs: Variable interest entities
Wallet: Proportion of fee revenue based on estimates of investment banking fees generated across the industry (i.e., the revenue wallet) from investment banking transactions in M&A, equity and debt underwriting, and loan syndications.
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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 June 30, 2022, filed on August 3, 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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