2020 ANNUAL REPORT

A Mission of Enabling

Growth and Progress

What You Can Expect From Us and

What We Expect From Ourselves

Citi’s mission is to serve as a trusted partner to our clients by

responsibly providing ﬁnancial services that enable growth

and economic progress. Our core activities are safeguarding

assets, lending money, making payments and accessing the

capital markets on behalf of our clients. We have 200 years

of experience helping our clients meet the world’s toughest

challenges and embrace its greatest opportunities. We are Citi,

the global bank — an institution connecting millions of people

across hundreds of countries and cities.

We protect people’s savings and help them make the purchases —

from everyday transactions to buying a home — that improve the

quality of their lives. We advise people on how to invest for future

needs, such as their children’s education and their own retirement,

and help them buy securities such as stocks and bonds.

We work with companies to optimize their daily operations,

whether they need working capital, to make payroll or export

their goods overseas. By lending to companies large and

small, we help them grow, creating jobs and real economic

value at home and in communities around the world. We

provide ﬁnancing and support to governments at all levels,

so they can build sustainable infrastructure, such as housing,

transportation, schools and other vital public works.

These capabilities create an obligation to act responsibly,

do everything possible to create the best outcomes, and

prudently manage risk. If we fall short, we will take decisive

action and learn from our experience.

We strive to earn and maintain the public’s trust by constantly

adhering to the highest ethical standards. We ask our

colleagues to ensure that their decisions pass three tests:

they are in our clients’ interests, create economic value, and

are always systemically responsible. When we do these things

well, we make a positive ﬁnancial and social impact in the

communities we serve and show what a global bank can do.

Citi’s Value Proposition

Financial Summary

In billions of dollars, except per-share amounts, ratios and direct staff

2020 2019 2018

Global Consumer Banking Net Revenues $ 30.0 $ 33.0 $ 32.3

Institutional Clients Group Net Revenues 44.3 39.3 38.3

Corporate/Other Net Revenues 0.1 2.0 2.2

Total Net Revenues $ 74. 3 $ 74. 3 $ 72.9

Net Income $ 11.0 $ 19.4 $ 18.0

Diluted EPS — Net Income 4.72 8.04 6.68

Diluted EPS — Income from Continuing Operations 4.73 8.04 6.69

Assets $ 2,260 $ 1,951 $ 1,917

Deposits 1,281 1,071 1,013

Citigroup Stockholders’ Equity 199 193 196

Basel III Ratios — Full Implementation

Common Equity Tier 1 Capital 11.7% 11.8% 11.9%

Tier 1 Capital 13.3% 13.3% 13.4%

Total Capital 15.6% 15.9% 16.1%

Supplementary Leverage 7. 0% 6.2% 6.4%

Return on Assets 0.50% 0.98% 0.94%

Return on Common Equity 5.7% 10.3% 9.4%

Return on Tangible Common Equity 6.6% 12.1% 11.0%

Book Value per Share $ 86.43 $ 82.90 $ 75.05

Tangible Book Value per Share 73.67 70.39 63.79

Common Shares Outstanding (millions) 2,082 2,114 2,368

Total Payout Ratio 73% 122% 109%

Market Capitalization $ 128 $ 169 $ 123

Direct Staff (thousands) 210 200 204

Totals may not sum due to rounding.

Please see Key Capital Metrics on page 4.

We were one of the ﬁrst banks in the U.S. to

announce consumer assistance programs

for our credit card and mortgage customers.

Though Citi historically has not been a large

lender to small businesses, by year end we

funded loans totaling $3.8 billion as part of the

U.S. Small Business Administration’s Paycheck

Protection Program and donated $50 million

in proceeds from the program to support

community economic recovery efforts.

For our globally minded clients who include

multinational companies, emerging market

leaders, governments, investors and ultra-

high net worth households, we have been

helping them contend with volatile markets,

reconﬁgure supply chains, and access short-

and long-term liquidity.

Dear Shareholders:

Never could I have imagined

that my ﬁnal year as CEO of

Citi would be consumed by

a once-in-a-century health

crisis that would upend the

global economy and the

lives of everyone on our

planet. It was a year ﬁlled

with immense pain and

uncertainty but also courage

and purpose — and we can

take heart that even as it

did its worst, the global

pandemic has brought out

the best in us.

2020 was a year that tested Citi like never before. From the beginning, I was

determined to see that Citi not merely manage through but emerge stronger

from the pandemic — and that, in addition to serving as a source of strength

for our clients, we seize the opportunity to help lead the relief and recovery

and remind the world of the invaluable role that Citi plays as a global bank.

I’m proud to say we have done that, by every measure. Entering the

pandemic on a solid footing from a capital and liquidity perspective gave

us the resources we needed to support our colleagues, customers, clients

and communities during the sharpest economic downturn since the Great

Depression. That ﬁnancial stability enabled us to do many things to catalyze

the recovery without jeopardizing our own safety and soundness.

From the onset of the pandemic, we acted swiftly. When shelter-at-home

orders were issued last March by governments around the globe, we

undertook a massive effort to keep our employees safe while serving our

clients seamlessly. Within days, we had nearly 200,000 of our colleagues up

and running at their kitchen tables and home ofﬁces. We offered childcare

and in-home care options and enhanced health and education resources

and provided special compensation to help ease the ﬁnancial burden for

75,000 colleagues.

Letter to Shareholders

Michael L. Corbat

Chief Executive Ofﬁcer

October 2012 – February 2021

And because we take seriously our

responsibility to the communities we

serve, we have supported front-line health

workers and deployed other resources to

those who desperately need help. Combined

with donations from Citi colleagues,

contributions to pandemic-related causes

from our company and the Citi Foundation

topped $100 million in 2020.

Providing Strength in a Year

of Upheaval

Despite the tumultuous impacts of the

pandemic, we turned in solid ﬁnancial results

during 2020. In an operating environment

more uncertain and challenging than any

in recent memory, we kept revenues ﬂat to

the banner year of 2019. In 2020, we earned

$11 billion of net income on revenues of

$74 billion despite the roughly $10 billion

increase we took in credit reserves as a

result of the pandemic and the impact of

current expected credit losses.

Even after meeting the capital and liquidity

needs of our clients, we closed out the

year exceptionally well-capitalized, with

a Common Equity Tier 1 ratio of 11.7%,

exceeding our 10% regulatory minimum.

We also increased our Tangible Book Value

per Share to $73.67, up 5% from 2019.

Our Institutional Clients Group performed

well, delivering 13% revenue growth,

positive operating leverage and 22%

operating margin growth for the year.

Our Treasury and Trade Solutions

business, although negatively affected

by lower rates, experienced strong client

engagement and digital adoption, including

a 9% year-over-year increase in users of

our CitiDirect BE

banking platform.

Our global expertise means that we

continue to be the ﬁrst call for many of

the most signiﬁcant ﬁnancial transactions

and activities. In September, our team led

the initial public offering for the enterprise

software company Snowﬂake, which

returned 100% to investors while creating

a new $65 billion market cap company.

In November, we were selected to serve as

the ﬁnancial advisor to the international

public health organization Gavi in its effort

to equitably distribute 2 billion vaccine

doses for COVID-19 by the end of 2021.

Our Global Consumer Bank bore the impact of sharply decreased credit

card spending, although we did see deposit growth in every region. In

the U.S., our retail business beneﬁted from exceptionally high mortgage

reﬁnancing as homeowners saw opportunities in this ultra-low-rate

environment, and we experienced continued momentum in digital deposits.

In Mexico, an ongoing slowdown in overall economic growth and industry

volumes resulted in lower revenues. In Asia, card spending was down,

but we saw strong performance in wealth management, with investment

revenues at their highest level in a decade.

“ Citi is an incredible institution with a

proud history and a bright future. I am

excited to join with my colleagues in

writing the next chapter.”

Jane Fraser

Chief Executive Ofﬁcer

March 2021 –

Results exclude Corporate/Other revenues

(of $0.1 billion) and are non-GAAP ﬁnancial measures.

Asia GCB includes the results of operations of GCB

activities in certain EMEA countries.

ICG — Institutional Clients Group

2020 NET REVENUES

$74.2 Billion

BY REGION

BY BUSINESS

North America

50%

Europe,

Middle East

and Africa

(EMEA)

17%

Asia

21%

Latin America

12%

ICG Markets and

Securities Services

31%

Global

Consumer

Banking (GCB)

40%

ICG Banking

29%

TBV/Share

Common Equity Tier 1 Capital Ratio

Supplementary Leverage Ratio

CITIGROUP — KEY CAPITAL METRICS

4Q’164Q’174Q’18

11.8%

12.4%

6.7%

12.6%

7.2%

11.9%

6.4%

Citigroup’s Common Equity Tier 1 Capital Ratio and Supplementary Leverage Ratio for 2017 and 2016

are non-GAAP ﬁnancial measures. For additional information, please see “Capital Resources” in Citi’s

2017 Annual Report on Form 10-K.

Tangible Book Value (TBV) per share is a non-GAAP ﬁnancial measure. For a reconciliation to reported

results, please see “Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and

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

6.2%

11.7%

7.0%

$70.39

$64.57

$60.16

$63.79

4Q’19

$73.67

4Q’20

We continued to combine our scale,

digital capabilities and ecosystem to be

where our customers need us to be. In

the U.S., our largest consumer market,

we expanded our lending partnership

with American Airlines, announced

private label and co-brand credit card

agreements with two new partners,

Meijer and Wayfair, and drove robust

digital deposit sales. In Mexico, we

worked with PepsiCo Alimentos Mexico

and Amigo PAQ to enable mobile

access to credit to more than 800,000

shopkeepers through our Citibanamex

digital apps. And in Asia, we expanded

our partnership with Grab to offer

personal loans through the ride-hailing

company’s app.

Putting Citi on a

Strong Footing

More than anything, 2020

demonstrated the value of our

diversiﬁed and durable business model.

But for Citi, the story of 2020 actually

began many years earlier.

When I was appointed CEO in 2012, the

ﬁrm was still in a tenuous position from

the ﬁnancial crisis several years before.

At the time, I decided to accelerate a

strategy that returned the ﬁrm back to

basics. We streamlined our consumer

business and embraced the shift to

digital. We re-established Citi as a

go-to bank for our institutional clients

through our global network.

Working through our legacy assets,

we optimized our capital base and

reduced our net deferred tax assets by

more than half, generating $7 billion

of regulatory capital in the process.

Our ﬁnancial performance improved

steadily as we became a simpler,

smaller, safer and stronger institution.

We transitioned from restructuring the

ﬁrm to investing in it and signiﬁcantly

improved our returns.

Before the pandemic’s impact on the

economy and our businesses took hold,

we had made tremendous progress in

closing the gap with our peers. From

2012 to 2019:

• Citi’s Net Income increased from

$7.5 billion to $19.4 billion.

• Citi’s Return on Assets increased

from 39 bps to 98 bps.

• Citi’s Efﬁciency Ratio improved

from 72.0% to 56.5%.

• Citi’s Return on Tangible Common

Equity increased from 5.0% to 12.1%,

closing the gap with our peers.

We dramatically increased the return

of capital to common shareholders.

From 2015 through 2019, we returned

nearly $75 billion to our common

shareholders while also reducing our

share count by 30%.

Showing how far Citi has come since

the ﬁnancial crisis, in 2020 — the year

of a pandemic — we had $3.5 billion

popular video content of the year.

In May 2020, Proxymity, a digital

investor communications platform

developed within Citi’s Institutional

Clients Group, was spun off into

a standalone entity that raised

$20.5 million in a strategic round

of investment led by Citi Ventures,

with participation from a global

industry consortium. Proxymity’s

services include a digital, real-time

and fully transparent proxy voting

platform, providing post-meeting vote

conﬁrmation and giving investors up

to nine additional days per meeting

to research and vote. Proxymity

also offers a shareholder disclosure

platform that automates shareholder

ID requests and eliminates the need

for any manual handling. The idea for

Citi becomes ﬁrst

American bank and ﬁrst

among world’s top ﬁve

custodians to be awarded

domestic fund custody

license in China

CEO Michael Corbat

announces plans to retire

in February; Board of

Directors selects Jane

Fraser to succeed him

as CEO

Citi Retail Services and

Wayfair announce new

strategic partnership with

launch of private label and

co-brand credit cards

Citi and Citi Foundation

expand global job

skills-building initiative

Pathways to Progress to

improve employability and

economic opportunity for

underserved communities

2020

Proxymity was formulated in 2017 by

two Markets and Securities Services

colleagues as a way for issuers to

better communicate with investors.

As the idea for the platform evolved,

D10X, an internal strategic growth

model that enables employees to take

new business ideas from concept to

launch, helped Proxymity iterate and

evaluate its vision to improve the proxy

voting system. From there, the Citi

Innovation Lab in Tel Aviv developed

Proxymity into a market-ready

offering in less than two years using

a Lean team model and rapid, agile

development. Citi is incredibly proud

of what Proxymity has been able to

achieve thus far and looks forward to

continuing to support the platform as a

member of the consortium.

In 2020, Citi entered into an alliance

with BlackRock, through its Aladdin

business, to enhance the delivery of

securities services to Citi’s clients

who use the Aladdin end-to-end

investment management platform.

Connecting to Aladdin Provider,

Citi will provide outsourced middle-

ofﬁce services directly on a client’s

instance of Aladdin for seamless

integration with the front ofﬁce,

from trade conﬁrmation to post-

settlement reconciliation. This

agreement expands Citi’s relationship

with BlackRock, to whom we provide

custody, accounting and/or ﬁduciary

services for certain BlackRock funds

domiciled in Hong Kong, Mexico

and Colombia. In addition to funds

managed by BlackRock, Citi provides

custody services to many asset

managers on the Aladdin platform.

Joining the Aladdin Provider network

will allow Citi to optimize our operating model to support not only BlackRock’s

asset management business but to provide an enhanced level of service to

members of the broader Aladdin community.

Private Bank

The Private Bank is dedicated to helping the world’s wealthiest individuals, families

and law ﬁrms protect and responsibly grow their wealth.

From 50 locations worldwide, we serve more than 13,000 ultra-high net worth

clients hailing from over 100 countries, including 25% of the world’s billionaires

and more than 1,400 family ofﬁces. In 2020, total client business amounted to

around $550 billion.

Our unique business model enables us to focus on fewer, larger and more

sophisticated clients with an average net worth above $100 million. Clients enjoy a

highly customized experience, with access to a comprehensive range of products

and services spanning investments, banking, lending, custody, wealth planning, real

estate, art, aircraft ﬁnance and lending, and more.

In everything we do, we emphasize personalized advice, competitive pricing and

efﬁcient execution. Citi Private Bank’s close partnership with Citi’s Institutional

Clients Group means we can connect clients’ businesses to banking, capital markets

and advisory services, as well as to Citi’s other institutional resources.

A growing number of our clients seek to align their investments with their personal

values. Investing with Purpose is what we call our approach to sustainable and

impactful investing. We help clients articulate their sustainability goals and

objectives, provide them with comprehensive advice and offer in-house investment

management that incorporates environmental, social and corporate governance

principles. We also partner with third-party asset managers to deliver relevant

themes and strategies.

In 2020, we transformed our ﬂagship annual Family Ofﬁce Leadership Program —

often described by participants as “the Davos for family ofﬁces” — into a virtual

summit. Sessions this year covered vital topics that include sustainable investing,

advances in family healthcare practices, future of energy and the building of

resilient families. Nearly 6,000 participants from 100+ countries took part in

the program.

We also launched the Direct Private Investments business to identify opportunities

for family ofﬁces and private investment company clients to actively invest in

direct private deals.

Treasury and Trade Solutions

Treasury and Trade Solutions (TTS) provides integrated cash management, working

capital and trade ﬁnance solutions to multinational corporations, ﬁnancial institutions

and public sector organizations around the globe. With the industry’s most

comprehensive suite of digitally enabled platforms, tools and analytics, TTS leads the

New Citi Impact Fund

announces ﬁrst four

investments in double

bottom-line companies

Citi launches Action for

Racial Equity with more

than $1 billion in strategic

initiatives to help close

racial wealth gap

At the 2020 GlobalCapital

Derivatives Awards, Citi

awarded House of the

Year for Global Derivatives,

Global FX Derivatives

and Global Research &

Strategy

With plans to double

market share in

Singapore’s wealth

segment, Citi announces

the opening of its largest

wealth hub globally

in Singapore

SEPTEMBER

way in delivering innovative and tailored

solutions to clients. Based on the belief

that client experience is the driver of

sustainable differentiation, TTS has

focused its efforts on transforming its

business to deliver a seamless, end-to-

end client experience through digital

capabilities, client advocacy, network

management and service delivery

across the entire organization.

Our digital transformation accelerated

in 2020 with increased momentum in

client engagement and digital adoption

as evidenced by strong growth in

CitiDirect BE

users, API volumes

and digital account openings. Digital

Onboarding is now live in 50 countries,

and CitiDirect BE users were up 9%

versus the prior year. Additionally, we

delivered to the market 83 live APIs

that collectively reached 1 billion API

calls since inception.

Citi’s digital channels remain pivotal

in helping clients with operational

resiliency while continuing to operate

in remote or continuity-of-business

modes. Digital Onboarding enabled

clients around the world to set up

accounts using eSignatures and

overcome major obstacles due to

the pandemic.

With Instant Payments becoming a

new norm, enabling our clients to

disrupt their business model and shift

toward a 24/7, always-on environment,

we continue to invest in building a

globally consistent Instant Payments

proposition, having launched the

capability in six additional markets in

2020, taking our global presence to 26

markets. Our global volumes have seen

a growth of more than 70% year-over-

Citi’s partnership with

United Nations Development

Programme strengthens

across Asia, aiding the most

vulnerable and marginalized

communities across

the region

Citi hosts second

symposium for students

attending Historically

Black Colleges and

Universities

Citi recognized as Best

Corporate Bank by Global

Finance magazine

Citi becomes the only

U.S. bank named to The

Wall Street Journal’s

inaugural list of the 100

Most Sustainably Managed

Companies in the World

year and are rapidly approaching the

million daily transaction mark. With

an ambitious road map to continue to

expand our footprint and capabilities,

we are very well positioned for another

exciting and successful year in 2021.

In October 2020, in support of U.S.-

based suppliers affected by COVID-19,

we worked with the U.S. EXIM Bank

to create facilities, including the

guarantee of a $500 million facility

by EXIM that allows Citi to ﬁnance

accounts receivable from The Boeing

Company to its U.S.-based suppliers.

The agreement also includes the

preliminary approval of a $327 million

facility for the purchase of Boeing

aircraft by Copa Airlines, exported

from Renton, Washington.

In 2020, as part of an effort to help to accelerate the global economic recovery, Citi joined

CEMEX, Telefónica and 11 other companies and academic institutions to launch Restarting

Together, a challenge that invited startups and small and medium-sized enterprises from across

the world to ﬁnd innovative projects to revamp our economies, enhance our cities and move

society forward in response to the COVID-19 pandemic. The initiative was designed to contribute

to a fast economic recovery and to create a more resilient society, as well as to reduce

structural societal inequalities exacerbated by such crises.

More than 500 startups from 59 countries entered the challenge, and three winners were

provided the opportunity to access mentoring and events, technology tools and acceleration

services from the companies, including Citi, which supported the challenge. Restarting Together

is an excellent representation of Citi’s ongoing commitment to our mission of enabling growth

and economic progress, as we seek to ﬁnd new ways to solve problems.

OCTOBER

2020

Environmental, Social

and Governance

Through our business, we address some of

society’s greatest challenges — an imperative

stated in our mission and an idea that shapes

our decisions every day. The need for action

grew in urgency and scope in 2020 with

the onset of the COVID-19 pandemic and a

movement toward racial equity and systemic

change in the U.S.

This section highlights our continued efforts as a bank, an employer and a

philanthropist to address these societal issues and many others. Citi has the

scale and capability to ﬁnance and support the institutions — governments,

corporations, nonproﬁts and aid organizations — that can contribute to the

future that we want and the future that our communities deserve.

In the midst of the global pandemic, we launched our new 2025 Sustainable

Progress Strategy to address another global crisis: climate change. Our

new strategy, which had been in the works well before COVID-19 began its

catastrophic spread, is aimed at driving the transition to a sustainable, low-

carbon future in an environmentally responsible way that serves society’s

economic needs. COVID-19 became an accelerant for our work, illustrating

the deep interconnections of systemic racism and societal, physical and

environmental health.

Once a niche topic for investors, Environmental, Social and Governance (ESG)

performance today is an essential part of our ﬁrm-wide strategy — deeply

integrated into our business — and we continue to evolve our approach to

managing ESG issues and opportunities.

Sustainable Growth and

Climate Change

The climate crisis is one of the most

critical challenges facing our global

society and economy. The science is

irrefutable, and the world’s climate

scientists agree that urgent action must

be taken to address the current and

potential impacts of climate change.

Since the onset of COVID-19, we

have been continually reminded of

the inextricable links between our

health, economic success and the

environment. Amid the pandemic,

we launched our 2025 Sustainable

Progress Strategy to accelerate

our work in addressing the climate

crisis, with the ambition to play a

leading role in driving the transition

to a low-carbon economy. As a global

ﬁnancial institution, we recognize the

opportunity and obligation to drive

capital to where it can have the most

positive impact.

The core of our new ﬁve-year

strategy consists of a commitment to

ﬁnance and facilitate $250 billion in

environmental projects and activities.

This is an ambitious target that

represents a commitment two-and-a-

half times larger than our prior goal,

and which we aim to achieve in half

the time. To support our $250 billion

goal, we are ﬁnancing activities in

renewable energy, clean technology,

water quality and conservation,

sustainable transportation, green

buildings and energy efﬁciency and

have added circular economy and

sustainable agriculture and land use as

two additional areas under this goal.

Citi ranked #31 on Just

Capital and Forbes’ annual

list of America’s JUST

100 companies

Citi launches True Name

feature with Mastercard

across the U.S., offering

transgender and non-

binary people the ability to

use their chosen ﬁrst name

on eligible credit cards

Citibanamex, PepsiCo

and Amigo PAQ expand

digital ﬁnancial inclusion

for underbanked retailers

through CoDi

Citi announces

inaugural $2.5 billion

affordable housing bond

issuance, the largest-ever

social bond

OCTOBER

We will continue to focus on helping

our clients across all sectors in their

transition, no matter where they are in

their sustainability journey, to shift to

more sustainable business models and

practices that will advance our progress

toward a low-carbon economy.

Another key aspect of enabling this

transition is measuring, managing

and reducing the climate risk and

impact of our client portfolio, which

is a key pillar of our 2025 Sustainable

Progress Strategy. Citi has been a

leader in climate assessment and

disclosure in alignment with the Task

Force on Climate-related Financial

Disclosures recommendations and

released our second comprehensive

report in December 2020 detailing our

progress. In addition to embedding

this work across Citi, we’re continuing

to focus on industry collaboration

to adopt new methodologies and

analyze the climate risk associated

with our client portfolio, such as the

Paris Agreement Capital Transition

Assessment and the Partnership for

Carbon Accounting Financials.

Our new strategy also builds on our

20 years of experience measuring and

reducing the environmental footprint

of our own facilities and operations.

As of the end of 2020, we achieved

our goal of sourcing 100% renewable

electricity to power our facilities

globally, along with our third set of

operational footprint goals. Looking

ahead, we’ve launched our next set

of goals focused on greenhouse gas

emissions, energy, water and waste

reduction targets and sustainable

building solutions.

For more information on our

sustainability efforts, please visit

citi.com/citi/sustainability.

Financial Inclusion and

Access to Capital

The past year has brought to the

forefront the long-standing social,

economic and racial inequities that

have faced our communities. As a

ﬁnancial institution with a long history

of commitments to support resilient

and inclusive communities, we

challenged ourselves to look at how

we can do things differently.

Since the onset of COVID-19, we have

been adjusting our approach to meet

the immediate needs and challenges

posed by the health crisis while

staying focused on our longer-term

strategic initiatives of increasing

affordable housing, boosting minority-

and women-owned businesses, and

expanding ﬁnancial inclusion globally.

By the end of 2020, Citi and Citi

Foundation had committed more than

$100 million in support of COVID-19-

related community relief and economic

recovery efforts globally. Funding was

provided to support our most affected

communities around the world, from

food donations and housing stability

loans to personal protective equipment

and COVID-19 screening efforts. Our

efforts were complemented by more

than $2 million in contributions from

our colleagues, which was matched

by Citi for an additional $2 million

Citi selected as ﬁnancial

advisor to Gavi, the

Vaccine Alliance’s

multibillion dollar

COVAX Facility

At the PWM/The Banker

Awards, Citi named Best

Private Bank for Customer

Service, for Global Families

and Family Ofﬁces, and for

Business Continuity Plans

(COVID-19)

Citi virtually hosts 10th

annual Veterans on Wall

Street Symposium

Citi unveils sneak

preview of Citi

Plex

Account by Google Pay;

selects Mastercard as

network partner

Citi continues to be a leader in project ﬁnance, ﬁnancing a number of infrastructure and

renewable energy transactions. Citi acted as a mandated lead arranger for a $704 million

ﬁnancing package to develop the Highlander Solar Facility

in Spotsylvania County, Virginia.

The Highlander Solar Facility was developed by sPower, which merged with AES’ clean energy

business in early 2021. When completed, it will be the largest solar project in the eastern U.S.,

totaling 485 megawatts of power with alternating current of renewable power. Highlander

Solar is strategically located approximately 50 miles from northern Virginia’s Data Center

Alley in the Dulles Technology Corridor, home to the world’s largest concentration of data

centers. Renewable energy generated by the facility will help blue chip technology companies,

including Microsoft and Apple, with the signiﬁcant electric load requirements of their data

centers while advancing their corporate sustainability and climate change goals.

The Highlander Solar Facility is also known as Spotsylvania Solar Energy Center.

NOVEMBER

2020

through an employee donation program. Recognizing the disproportionate impact

that COVID-19 has had on low-income communities and communities of color, Citi

announced it would donate net proﬁts from our participation in the U.S. Small

Business Administration’s Paycheck Protection Program to the Citi Foundation.

The Foundation deployed $25 million of these proceeds to Community

Development Financial Institutions across the U.S. to support small businesses

and economically vulnerable households impacted by the pandemic. In 2021, the

Foundation announced an additional $25 million investment to support small

businesses owned by people of color.

As calls for racial justice intensiﬁed across the U.S., Citi launched Action for Racial

Equity — a ﬁrm-wide commitment that includes more than $1 billion in strategic

initiatives to help close the racial wealth gap and increase economic mobility. This

initiative was launched in tandem with the release of a new Citi Global Perspectives

& Solutions report, which showed that if the U.S. had closed critical racial gaps

for Black Americans in wages, housing, education and investment 20 years ago,

$16 trillion could have been added to the U.S. economy. To help close these

gaps, we are focusing on providing greater access to banking and credit in

communities of color, increasing investment in Black-owned businesses, expanding

homeownership among Black Americans and advancing anti-racist practices in the

ﬁnancial services industry. Action for Racial Equity represents an unprecedented

effort to leverage Citi’s core business capabilities and the Citi Foundation’s

philanthropic efforts to change the way we operate and drive systemic change.

As part of our racial equity efforts,

we allocated an additional $50 million

to the Citi Impact Fund to exclusively

support Black entrepreneurs. Since

launching in early 2020, the Impact

Fund has made investments in 11

companies — the majority of which

were founded by women and/or people

of color — that are addressing some of

society’s biggest challenges.

Since 2007, Citi provided more than

$1 billion in ﬁnancial inclusion lending

and supported nearly 4 million

unbanked and underbanked small

businesses in emerging markets,

3.5 million of which are owned by

female entrepreneurs. Last year, we

completed two transactions under

Scaling Enterprise, a partnership

launched with the U.S. International

Development Finance Corporation and

the Ford Foundation in 2019, through

which we provide early-stage ﬁnancing

to companies that expand access to

products and services for low-income

individuals in emerging markets. For

example, Citi disbursed a working

capital facility to support Gradian

Health Systems, a medical technology

company that provides critical

equipment to underserved hospitals

and clinics across Africa.

Furthering the Citi Foundation’s

commitment to address youth

unemployment, a persistent global

issue exacerbated by the economic

impacts of COVID-19, the Foundation

expanded its Pathways to Progress

job skills-building initiative in 2020.

Global Finance names

Citi World’s Best Foreign

Exchange Bank and

recognizes Citi Latin

America among inaugural

Crisis Leadership program

for its pandemic response

Citi Foundation provides

$15 million in support

to 30 Community

Development Financial

Institutions across

the U.S.

Citi named World’s Best

Digital Bank 2020 by

Global Finance magazine

Citi ranked ninth overall

and ﬁrst in the ﬁnancial

sector among Newsweek’s

list of America’s Most

Responsible Companies

NOVEMBER DECEMBER

Talent and Diversity

Four years ago, Citi was the ﬁrst bank to disclose our adjusted pay results, and the

following year we became one of the ﬁrst companies to disclose our unadjusted

or “raw” pay gap for both women and U.S. minorities. Our commitment to that

transparency continues today.

These disclosures hold us accountable for the progress we want to make in being

a diverse and inclusive company. They also send an important signal to our

colleagues, clients and partners about how we are continuously working to get this

right. We looked at both numbers again this year and found that, on an adjusted

basis, women globally are paid on average more than 99% of what men are paid at

Citi and that there is no statistically signiﬁcant difference in adjusted compensation

for U.S. minorities and non-minorities. Following our review, we made appropriate

pay adjustments as part of this year’s compensation cycle.

This year’s raw gap analysis showed that the median pay for women globally is

better than 74% of the median for men, up from 73% last year and 71% in 2018

and that the median pay for U.S. minorities is just under 94% of the median for

non-minorities, which is similar to last year and up from 93% in 2018. Continuing

to reduce our raw pay gap requires that we make progress on our representation

goals — to increase representation at the Assistant Vice President (AVP) through

Managing Director levels to at least 40% for women globally and 8% for Black

employees in the U.S. by the end of 2021 — which we are committed to doing.

For our part, we’re continuing to

innovate how we recruit and develop

talent and use data more effectively

to help us increase diversity at more

senior levels at Citi. We recently

launched a ﬁrm-wide exercise where

our 200+ leaders with representation

goals on their scorecards are using

data to understand where they have

representation gaps in their hiring,

promotions and retention. Diverse

slates have been a critical component

of our work. In 2021, we expanded

our slate practice from at least one

to at least two women or minorities

in our interviews for U.S. hires and at

least two women in our interviews for

global hires.

We are expanding our group coaching

program, Owning My Success, for top

and emerging Black talent this year,

extending the program from three to

six months and offering it to all levels,

including the Ofﬁcer and AVP levels

for the ﬁrst time. In the ﬁrst two years

of the program, 150 Black colleagues

have been a part of the program,

participating in coaching and discussion

on topics such as developing one’s

personal brand, networking and taking

career risks. As part of the program,

participants’ managers engage in

group coaching to help them support

their Black direct reports and better

understand their experiences.

Our philosophy is that every member

of Citi’s team is responsible for this

progress in making Citi an even more

inclusive and equitable workplace.

We have made it a priority to foster a culture of

inclusion where the best people want to work,

where people are promoted on their merits, where

we value and demand respect for others, and where

opportunities to develop are widely available to all.

Citi Markets and

Securities Services

donates $9.4 million

to education-focused

nonproﬁt organizations,

part of annual e for

education campaign

Citi Asia Paciﬁc sets

record for net new

money in its Wealth

Management business

Citi releases climate

disclosure report showing

progress in implementing

the recommendations

of the Task Force on

Climate-related Financial

Disclosures

Citi launches ﬁrst lending

API partnership with Grab,

Southeast Asia’s leading

super app

Pathways to Progress aims to equip young people, particularly those from

underserved communities, with the skills and resources they need to succeed in a

rapidly changing economy. In addition, the expanded initiative includes a company-

wide commitment to provide 10,000 young adults with the opportunity to gain

work experience at Citi and engage 10,000 Citi colleagues to volunteer their time

and talent to serve as mentors, coaches and role models.

are registered service marks of Citigroup Inc.

OUR ACTIONS SPEAK LOUDER

THAN THESE WORDS.

Citi has a long-standing commitment to closing the racial wealth gap,

and now with Action for Racial Equity, we have launched more than

$1 billion in strategic initiatives to accelerate those efforts across our lines

of business. These efforts will provide greater access to banking and credit

in communities of color, increase investment in Black-owned businesses, expand

homeownership among Black Americans and advance anti-racist practices in the

financial services industry. That way communities of color can build a stronger

economic presence and progress toward a future that we can all believe in.

Learn more about Citi’s Action for Racial Equity at

Citi.com/racialequity

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ANNUAL REPORT.indd

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RACIAL EQUITY

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-K

(Mark One)

☒

ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT

OF 1934

For the fiscal year ended December 31, 2020

☐

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

Securities registered pursuant to Section 12(g) of the Act: none

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes oNo x

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. Yes o No x

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during

the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements

for the past 90 days. Yes x No o

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of

Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes x No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, 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 o

Indicate by check mark whether the Registrant has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control

over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued

its audit report. ☒

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

The aggregate market value of Citigroup Inc. common stock held by non-affiliates of Citigroup Inc. on June 30, 2020 was approximately $106.2 billion.

Number of shares of Citigroup Inc. common stock outstanding on January 31, 2021: 2,087,317,952

Documents Incorporated by Reference: Portions of the registrant’s proxy statement for the annual meeting of stockholders scheduled to be held on April 27,

2021 are incorporated by reference in this Form 10-K in response to Items 10, 11, 12, 13 and 14 of Part III.

Available on the web at www.citigroup.com

FORM 10-K CROSS-REFERENCE INDEX

Item Number Page

Part I

1. Business 4–31, 123–128,

131, 162,

312–313

1A. Risk Factors 49–61

1B. Unresolved Staff Comments Not Applicable

2. Properties Not Applicable

Legal Proceedings—See

Note 27 to the Consolidated

Financial Statements 291–298

4. Mine Safety Disclosures Not Applicable

Part II

Market for Registrant’s

Common Equity, Related

Stockholder Matters and

Issuer Purchases of Equity

Securities

142–143, 168–170,

314–315

6. Selected Financial Data 14–15

Management’s Discussion

and Analysis of Financial

Condition and Results of

Operations 6–31, 66–122

7A.

Quantitative and Qualitative

Disclosures About Market

Risk

66–122, 163–167,

187–223, 230–282

Financial Statements and

Supplementary Data 138–311

Changes in and

Disagreements with

Accountants on Accounting

and Financial Disclosure Not Applicable

9A. Controls and Procedures 129–130

9B. Other Information Not Applicable

Part III

10.

Directors, Executive Officers

and Corporate Governance 316–318*

11. Executive Compensation **

12.

Security Ownership of

Certain Beneficial Owners

and Management and

Related Stockholder Matters ***

13.

Certain Relationships and

Related Transactions and

Director Independence ****

14.

Principal Accounting Fees

and Services *****

Part IV

15.

Exhibits and Financial

Statement Schedules

* For additional information regarding Citigroup’s Directors, see

“Corporate Governance” and “Proposal 1: Election of Directors” in

the definitive Proxy Statement for Citigroup’s Annual Meeting of

Stockholders scheduled to be held on April 27, 2021, to be filed

with the SEC (the Proxy Statement), incorporated herein by

reference.

** See “Compensation Discussion and Analysis,” “The Personnel and

Compensation Committee Report,” and “2020 Summary

Compensation Table and Compensation Information” and “CEO

Pay Ratio” in the Proxy Statement, incorporated herein by

reference.

*** See “About the Annual Meeting,” “Stock Ownership,” “Equity

Compensation Plan Information,” and Delinquent Section 16(a)

Reports in the Proxy Statement, incorporated herein by reference.

**** See “Corporate Governance—Director Independence,” “—Certain

Transactions and Relationships, Compensation Committee

Interlocks and Insider Participation” and “—Indebtedness” in the

Proxy Statement, incorporated herein by reference.

***** See “Proposal 2: Ratification of Selection of Independent

Registered Public Accounting Firm” in the Proxy Statement,

incorporated herein by reference.

CITIGROUP’S 2020 ANNUAL REPORT ON FORM 10-K

OVERVIEW 4

MANAGEMENT’S DISCUSSION AND

ANALYSIS OF FINANCIAL CONDITION AND

RESULTS OF OPERATIONS 6

Executive Summary 6

Citi's Consent Order Compliance 8

COVID-19 Pandemic Overview 9

Summary of Selected Financial Data 14

SEGMENT AND BUSINESS—INCOME (LOSS)

AND REVENUES 16

SEGMENT BALANCE SHEET 17

Global Consumer Banking 18

North America GCB 20

Latin America GCB 22

Asia GCB 24

Institutional Clients Group 26

Corporate/Other 31

CAPITAL RESOURCES 32

RISK FACTORS 49

HUMAN CAPITAL RESOURCES AND

MANAGEMENT 62

Managing Global Risk Table of Contents 65

MANAGING GLOBAL RISK 66

SIGNIFICANT ACCOUNTING POLICIES AND

SIGNIFICANT ESTIMATES 123

DISCLOSURE CONTROLS AND

PROCEDURES 129

MANAGEMENT’S ANNUAL REPORT ON

INTERNAL CONTROL OVER FINANCIAL

REPORTING 130

FORWARD-LOOKING STATEMENTS 131

REPORT OF INDEPENDENT REGISTERED

PUBLIC ACCOUNTING FIRM 132

FINANCIAL STATEMENTS AND NOTES

TABLE OF CONTENTS 137

CONSOLIDATED FINANCIAL STATEMENTS 138

NOTES TO CONSOLIDATED FINANCIAL

STATEMENTS 146

FINANCIAL DATA SUPPLEMENT 311

SUPERVISION, REGULATION AND OTHER 312

CORPORATE INFORMATION 316

Executive Officers 316

Citigroup Board of Directors 317

OVERVIEW

Citigroup’s history dates back to the founding of the City

Bank of New York in 1812.

Citigroup is a global diversified financial services holding

company whose businesses provide consumers, corporations,

governments and institutions with a broad, yet focused, range

of financial products and services, including consumer

banking and credit, corporate and investment banking,

securities brokerage, trade and securities services and wealth

management. Citi has approximately 200 million customer

accounts and does business in more than 160 countries and

jurisdictions.

At December 31, 2020, Citi had approximately 210,000

full-time employees, compared to approximately 200,000 full-

time employees at December 31, 2019. For additional

information, see “Human Capital Resources and

Management” below.

Citigroup currently operates, for management reporting

purposes, via two primary business segments: Global

Consumer Banking (GCB) and Institutional Clients Group

(ICG), with the remaining operations in Corporate/Other. For

a further description of the business segments and the products

and services they provide, see “Citigroup Segments” below,

“Management’s Discussion and Analysis of Financial

Condition and Results of Operations” and Note 3 to the

Consolidated Financial Statements.

Throughout this report, “Citigroup,” “Citi” and “the

Company” refer to Citigroup Inc. and its consolidated

subsidiaries.

Additional information about Citigroup is available on

Citi’s website at www.citigroup.com. Citigroup’s recent

annual reports on Form 10-K, quarterly reports on Form 10-Q

and proxy statements, as well as other filings with the U.S.

Securities and Exchange Commission (SEC), are available

free of charge through Citi’s website by clicking on the

“Investors” tab and selecting “SEC Filings,” then “Citigroup

Inc.” The SEC’s website also contains current reports on Form

8-K and other information regarding Citi at www.sec.gov.

For a discussion of 2019 versus 2018 results of operations

of GCB in North America, Latin America and Asia, ICG and

Corporate/Other, see each respective business’s results of

operations in Citi’s 2019 Annual Report on Form 10-K.

Certain reclassifications have been made to the prior

periods’ financial statements and disclosures to conform to the

current period’s presentation.

Please see “COVID-19 Pandemic Overview” and

“Risk Factors” below for a discussion of the trends,

uncertainties and material risks that could impact

Citigroup’s businesses, financial condition and results of

operations.

As described above, Citigroup is managed pursuant to two business segments: Global Consumer Banking and Institutional

Clients Group, with the remaining operations in Corporate/Other.

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

above.

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

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

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

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

EXECUTIVE SUMMARY

As described further throughout this Executive Summary,

during 2020, Citi demonstrated solid performance as well as

financial strength and operational resilience, despite a

significant deterioration in public health and economic

conditions during the year due to the COVID-19 pandemic:

• Citi’s earnings were substantially reduced by a higher

allowance for credit loss (ACL) build (approximately $9.8

billion) during the year under the CECL standard (see

“Cost of Credit” below).

• Despite the challenging environment, Citi’s revenues

were largely unchanged from the prior year, as strong

performance in fixed income markets, equity markets,

investment banking and the private bank in Institutional

Clients Group (ICG) offset the impact of lower interest

rates across the Company, as well as the impact of lower

customer activity in Global Consumer Banking (GCB),

reflecting declines across all regions, and lower revenues

in Corporate/Other.

• Citi’s expenses reflected continued investments in its

transformation, including infrastructure supporting its risk

and control environment, as well as a $400 million civil

money penalty in the third quarter of 2020 in connection

with a consent order Citibank entered into with the Office

of the Comptroller of the Currency (OCC) (for additional

information on this consent order and the Citigroup

consent order with the Federal Reserve Board, see “Citi’s

Consent Order Compliance” below).

• Citi had broad-based deposit growth across ICG and

GCB, reflecting strong client engagement, as well as an

elevated level of liquidity in the financial system, while

loans declined reflecting lower levels of consumer and

corporate activity.

• Citi returned $7.2 billion of capital to its common

shareholders in the form of dividends and common share

repurchases.

• The Federal Reserve Board authorized Citi to take certain

capital actions during the first quarter of 2021, which

allows Citi to return capital to common shareholders of up

to $2.8 billion, including the previously announced

common dividends of $0.51 per share in the quarter. Citi

commenced share repurchases in February 2021.

• Citi continued to support its colleagues, customers, clients

and communities as well as the broader economy during

this challenging time (see “COVID-19 Pandemic

Overview” below), while maintaining a strong balance

sheet.

The economic outlook for 2021 reflects continued

challenges and uncertainties related to the pandemic,

including, among others, the duration and severity of the

public health crisis and associated economic impacts, which

have created a more volatile operating environment that will

continue to negatively impact Citi’s businesses and results.

As a result of new information Citi received subsequent to

December 31, 2020, Citi adjusted downward its fourth quarter

of 2020 financial results from those previously reported on

January 15, 2021 (and filed on a Form 8-K with the SEC on

such date), due to a $390 million increase in operating

expenses ($323 million after-tax) recorded within ICG,

resulting from operational losses related to certain legal

matters. For additional information on the impact to fourth

quarter of 2020 financial results, see Note 30 to the

Consolidated Financial Statements. Citi’s results of operations

and financial condition for the full year 2020, as reported in

this Annual Report on Form 10-K for the year ended

December 31, 2020, reflect the impact of this adjustment.

For a discussion of risks and uncertainties that will or

could impact Citi’s businesses, results of operations and

financial condition during 2021, see “COVID-19 Pandemic

Overview,” “Risk Factors,” each respective business’s results

of operations and “Managing Global Risk” below.

2020 Results Summary

Citigroup

Citigroup reported net income of $11.0 billion, or $4.72 per

share, compared to net income of $19.4 billion, or $8.04 per

share, in the prior year. Net income declined 43%, driven by

significantly higher credit costs and higher expenses, while

revenues remained largely unchanged. Earnings per share

decreased 41%, primarily driven by the decline in net income.

Citigroup revenues of $74.3 billion were largely

unchanged from the prior year, as higher revenues in ICG

offset lower revenues in GCB and Corporate/Other.

Citigroup’s end-of-period loans decreased 3% from the

prior year to $676 billion. Excluding the impact of foreign

currency translation into U.S. dollars for reporting purposes

(FX translation), Citigroup’s end-of-period loans declined 4%,

driven by a 4% aggregate decline in GCB and ICG, reflecting

lower spend activity in GCB as well as a higher level of

repayments in both GCB and ICG. Citigroup’s end-of-period

deposits increased 20% to $1.3 trillion. Excluding the impact

of FX translation, Citigroup’s end-of-period deposits increased

19%, primarily driven by 18% growth in GCB and 19%

growth in ICG. (Citi’s results of operations excluding the

impact of FX translation are non-GAAP financial measures.

Citi believes the presentation of its results of operations and

financial condition excluding the impact of FX translation

provides a meaningful depiction of the underlying

fundamentals of its businesses for investors, industry analysts

and others.)

Expenses

Citigroup operating expenses of $43.2 billion increased 3%

versus the prior year, primarily driven by investments in Citi’s

transformation, including infrastructure supporting its risk and

control environment, higher compensation, the civil money

penalty, operational losses related to certain legal matters and

pandemic-related expenses, partially offset by efficiency

savings and reductions in marketing and other discretionary

spending. Operating expenses in GCB declined 2%, while ICG

expenses increased 6% and Corporate/Other expenses

increased 16%.

Cost of Credit

Citi’s total provisions for credit losses and for benefits and

claims of $17.5 billion increased significantly from $8.4

billion in the prior year, reflecting ACL reserve increases

across GCB, ICG and Corporate/Other. Citi’s ACL build of

$9.8 billion was largely driven by builds during the first half

of 2020. The reserve build in 2020 primarily reflected the

impact of a deterioration in Citi’s macroeconomic outlook

under the CECL standard and downgrades in the corporate

loan portfolio, partially offset by lower loan volumes in GCB,

all driven by the pandemic. The reserve build included an

additional qualitative management adjustment to reflect the

potential for a higher level of stress and a slower economic

recovery. For further information on the drivers of Citi’s ACL

build, see “Significant Accounting Policies and Significant

Estimates—Allowance for Credit Losses” below. For

information on the transition impact of the adoption of the

CECL standard, see “COVID-19 Pandemic Overview” below.

Net credit losses of $7.6 billion declined 2% from the

prior year. Consumer net credit losses of $6.6 billion

decreased 10%, primarily reflecting lower loan volumes given

lower spending activity and higher payment rates, as well as

the benefits of consumer relief programs (see “COVID-19

Pandemic Overview” below). Corporate net credit losses

increased from $392 million to $1.0 billion, primarily driven

by write-offs across various sectors, which were partially

offset by the release of previously established ACL reserves.

For additional information on Citi’s consumer and

corporate credit costs and ACL, see each respective business’s

results of operations and “Credit Risk” below.

Capital

Citigroup’s Common Equity Tier 1 Capital ratio was 11.7% as

of December 31, 2020, based on the Basel III Advanced

Approaches framework for determining risk-weighted assets,

compared to 11.8% as of December 31, 2019, based on the

Basel III Standardized Approach for determining risk-

weighted assets. The decline in the ratio primarily reflected an

increase in risk-weighted assets and the return of capital to

common shareholders, partially offset by net income and

beneficial net movements in Accumulated other

comprehensive income (AOCI).

Citigroup’s Supplementary Leverage ratio was 7.0% as of

December 31, 2020, compared to 6.2% as of December 31,

2019. The increase was primarily driven by a decrease in Total

Leverage Exposure, reflecting the benefit of temporary relief

granted by the Federal Reserve Board. For additional

information on Citi’s capital ratios and related components,

see “Capital Resources” below.

Global Consumer Banking

GCB net income of $878 million declined 85% from the prior

year. Excluding the impact of FX translation, net income

declined 84%, reflecting lower revenues and higher cost of

credit, partially offset by lower expenses. GCB operating

expenses of $17.2 billion decreased 2%. Excluding the impact

of FX translation, expenses decreased 1%, as lower volume-

related expenses, reductions in marketing and other

discretionary spending and efficiency savings were partially

offset by increases in pandemic-related expenses and higher

repositioning costs.

GCB revenues of $30.0 billion decreased 9%. Excluding

the impact of FX translation, revenues decreased 8%, as strong

deposit growth and momentum in wealth management were

more than offset by lower card volumes and lower interest

rates across all regions, reflecting the impact of the pandemic.

North America GCB revenues of $19.1 billion decreased

6%, with lower revenues across Citi-branded cards, Citi retail

services and retail banking. Citi-branded cards revenues of

$8.8 billion decreased 4%, reflecting lower purchase sales and

higher payment rates driving lower average loans. Citi retail

services revenues of $5.9 billion decreased 12%, reflecting

lower average loans as well as higher partner payments. Retail

banking revenues of $4.5 billion decreased 2%, as the benefit

of stronger deposit volumes and an improvement in mortgage

revenues were more than offset by lower deposit spreads.

North America GCB average deposits of $176 billion

increased 15% year-over-year, average retail banking loans of

$52 billion increased 8% year-over-year and assets under

management of $80 billion increased 11%. Average Citi-

branded cards loans of $85 billion decreased 6% and Citi-

branded cards purchase sales of $338 billion decreased 8%,

while average Citi retail services loans of $47 billion

decreased 7% and Citi retail services purchase sales of $78

billion decreased 11%. The decline in Citi-branded cards and

retail services loans and purchase sales were all driven by

reduced customer activity related to the pandemic. For

additional information on the results of operations of North

America GCB in 2020, see “Global Consumer Banking—

North America GCB” below.

International GCB revenues (consisting of Latin America

GCB and Asia GCB (which includes the results of operations

in certain EMEA countries)) of $10.8 billion declined 14%

versus the prior year. Excluding the impact of FX translation,

international GCB revenues declined 10%, largely reflecting

the impact of the pandemic. On this basis, Latin America GCB

revenues decreased 8%, driven by lower average loans and

lower interest rates, partially offset by strong deposit growth.

Asia GCB revenues decreased 11%, as lower card revenues

and the impact of lower interest rates were partially offset by

strong investment revenues and strong deposit growth. For

additional information on the results of operations of Latin

America GCB and Asia GCB in 2020, including the impact of

FX translation, see “Global Consumer Banking—Latin

America GCB” and “Global Consumer Banking—Asia GCB”

below.

Year-over-year, excluding the impact of FX translation,

international GCB average deposits of $135 billion increased

11%, average retail banking loans of $72 billion increased 3%

and assets under management of $141 billion increased 8%.

On this basis, international GCB average card loans of $22

billion decreased 8% and card purchase sales of $88 billion

decreased 16%, both driven by reduced customer activity

related to the pandemic.

Institutional Clients Group

ICG net income of $11.7 billion decreased 9%, as revenue

growth was more than offset by higher cost of credit and

higher expenses. ICG operating expenses increased 6% to

$23.5 billion, largely driven by investments in infrastructure

and risk management and controls, higher compensation costs,

operational losses related to certain legal matters and volume-

driven growth, partially offset by efficiency savings.

ICG revenues of $44.3 billion increased 13%, reflecting a

29% increase in Markets and securities services revenues,

partially offset by a 1% decline in Banking revenues. The

decrease in Banking revenues included the impact of $51

million of losses on loan hedges related to corporate lending

and the private bank, compared to losses of $432 million

related to corporate lending in the prior year.

Banking revenues of $21.2 billion (excluding the impact

of losses on loan hedges) decreased 3%, as increases in

investment banking and the private bank were more than

offset by declines in treasury and trade solutions and corporate

lending. Investment banking revenues of $5.8 billion increased

11%, reflecting solid growth in capital markets, particularly in

equity underwriting. Advisory revenues decreased 20% to

$1.0 billion, while equity underwriting revenues increased

64% to $1.6 billion and debt underwriting revenues increased

7% to $3.2 billion.

Treasury and trade solutions revenues of $9.5 billion

declined 7%, and 5% excluding the impact of FX translation,

as strong client engagement and growth in deposits were more

than offset by lower interest rates and reduced commercial

card spend largely driven by the pandemic. Private bank

revenues of $3.8 billion increased 9%. Excluding the impact

of gains on loan hedges, private bank revenues of $3.7 billion,

increased 8%, driven by increased capital markets activity and

improved managed investments revenues, as well as higher

lending and deposit volumes, partially offset by lower deposit

spreads. Corporate lending revenues of $2.1 billion declined

15%. Excluding the impact of losses on loan hedges, corporate

lending revenues of $2.2 billion declined 25%, as higher

average loan volumes were more than offset by lower spreads,

higher hedging costs and an adjustment to the residual value of

a lease financing asset.

Markets and securities services revenues of $23.1 billion

increased 29%. Fixed income markets revenues of $17.3

billion increased 34%, reflecting strength in rates and

currencies, spread products and commodities. Equity markets

revenues of $3.6 billion increased 25%, as solid performance

in cash equities and derivatives was partially offset by lower

revenues in prime finance. Securities services revenues of $2.5

billion decreased 3%, and 1% excluding the impact of FX

translation, as higher deposit volumes were more than offset

by lower spreads. For additional information on the results of

operations of ICG in 2020, see “Institutional Clients Group”

below.

Corporate/Other

Corporate/Other net loss was $1.6 billion, compared to net

income of $801 million in the prior year, reflecting lower

revenues, increased expenses, higher cost of credit, driven by

an ACL build on Citi’s residual legacy portfolio under the

CECL standard, and lower tax benefits. Operating expenses of

$2.5 billion increased significantly, as the wind-down of

legacy assets was more than offset by investments in

infrastructure, risk management and controls, the civil money

penalty and incremental costs associated with the pandemic.

Corporate/Other revenues of $54 million compared to

$2.0 billion in the prior year, reflecting the impact of lower

interest rates, episodic gains in the prior year, the wind-down

of legacy assets and marks on securities. For additional

information on the results of operations of Corporate/Other in

2020, see “Corporate/Other” below.

CITI’S CONSENT ORDER COMPLIANCE

As previously disclosed, Citi is embarking 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.

One part of the broader transformation effort involves

Citi’s compliance with the Federal Reserve Board and OCC

consent orders issued with Citigroup and Citibank,

respectively, in October 2020. The consent orders require that

Citigroup and Citibank submit acceptable plans to the Federal

Reserve Board and the OCC, on various timelines, relating

principally to various aspects of risk management,

compliance, data quality management and governance, and

internal controls. The consent order with the OCC also

required Citibank to pay a $400 million civil money penalty.

As a part of its compliance actions, Citi has centralized its

program management under the leadership of a Chief

Administrative Officer organization and is making the

strengthening of its risk and control environment a further

strategic priority for the Company. The Citigroup and Citibank

Boards of Directors each formed a Transformation Oversight

Committee, an ad hoc committee of each Board, to provide

oversight of management’s remediation efforts under the

consent orders.

For additional information about the consent orders, see

“Risk Factors—Compliance Risks” below and Citi’s Current

Report on Form 8-K filed with the SEC on October 7, 2020.

COVID-19 PANDEMIC OVERVIEW

In addition to the widespread public health implications, the

COVID-19 pandemic has had an extraordinary impact on

macroeconomic conditions in the U.S. and around the world.

As discussed below and elsewhere throughout this Form 10-K,

Citi’s businesses, results of operations and financial condition

have been impacted by economic dislocations and trends

caused by the pandemic. Citi had builds to its allowance for

credit losses (ACL) of approximately $9.8 billion during 2020,

bringing its total ACL to approximately $27.8 billion at

December 31, 2020, with an allowance for credit losses on

loans (ACLL) reserve ratio of 3.73% on funded loans. For

additional information, see “Impact of CECL on Citi’s

Allowance for Credit Losses” below.

Despite these impacts, Citi has maintained strong capital

and liquidity positions with consistently strong business

operations. At December 31, 2020, Citi had a Common Equity

Tier 1 Capital ratio of 11.7%, a Supplementary Leverage ratio

of 7.0% and a Liquidity Coverage ratio of 118%, each well

above regulatory minimums, with approximately $972 billion

of available liquidity resources (see “Capital Resources” and

“Managing Global Risk—Liquidity Risk” below).

Governments and central banks globally have taken a

series of aggressive actions to support their economies and

mitigate the systemic impacts of the pandemic, and Citi

continues to proactively assess and utilize these measures

where appropriate.

Citi’s COVID-19 Pandemic Response—Supporting

Colleagues, Customers and Communities

The health and safety of Citi’s employees and their families,

as well as Citi’s customers, clients and the communities it

serves, are of the utmost importance. As the public health

crisis has unfolded, Citi has continued to take proactive

measures to support colleagues’ well-being while maintaining

its ability to serve customers and clients.

Citi Colleagues

• The majority of Citi colleagues—roughly 80%—around

the world are working remotely, however this varies by

country.

• Citi is pursuing a slow and measured return in locations

where local guidelines permit, beginning with only a

small number of colleagues.

• Citi’s response teams continue to consult with health

experts and follow local government guidelines in

determining the safest return to office for each location.

• Citi has reconfigured its sites and implemented new

protocols to make work environments as safe as possible

in offices, branches and ATMs.

• Citi continues to provide additional health and well-being

resources for colleagues, plus enhanced flexibility and

paid time off for those impacted by COVID-19.

• The company continues to monitor the situation as it

evolves and will review and update operations as needed.

Citi Communities

In addition to its business activities, including the consumer

relief programs discussed below, Citi is supporting those

immediately impacted by the pandemic through philanthropic

efforts around the world. Citi and the Citi Foundation have

committed more than $100 million to date in support of

COVID-19-related community relief and economic recovery

efforts globally. These contributions include over $4 million

raised through an employee donation matching program to

further global relief efforts. Additionally, Citi has donated $50

million in proceeds from its participation in the U.S. Small

Business Administration’s Paycheck Protection Program

(PPP) to the Citi Foundation, which deployed those proceeds

to support Community Development Financial Institutions

(CDFIs) across the U.S.

Citi Consumer Loan Relief Programs

As previously disclosed, Citi was one of the first banks in the

U.S. to announce temporary assistance measures for

pandemic-impacted consumer customers. In addition, Citi has

offered a wide array of short- and medium-term relief

programs to customers across regions and products as a result

of the pandemic. The relief has primarily been in the form of

payment deferrals and fee waivers. These consumer relief

programs have mainly been provided to GCB customers, with

a small portion reported within Corporate/Other. To date, Citi

has provided assistance to approximately three million U.S.

consumers and small businesses impacted by the pandemic.

In the fourth quarter of 2020, Citi experienced a decline in

enrollment of approximately 21% quarter-over-quarter in its

formal COVID-19 assistance programs. As a result of the

significant and steady decline in enrollment, Citi ended the

programs as of December 31, 2020 for the majority of

countries and products. Continued COVID-19 assistance

programs through Citi’s subservicer include extended

mortgage payment deferrals through 2021 and suspended

foreclosures into the first quarter of 2021 for U.S. mortgages.

Citi remains committed to discussing assistance options with

customers that continue to experience financial hardship on a

case-by-case basis.

The table below provides information on the number of

loan modifications, the associated enrollment and outstanding

balances as of December 31, 2020, for Citi’s pandemic-related

relief programs, excluding troubled debt restructurings (for

additional information, see “Troubled Debt Restructuring

(TDR) Relief” below).

For the Three Months

Ended December 31, 2020

For the Twelve Months

Ended December 31, 2020 As of December 31, 2020

Program details

In millions of dollars,

except number of loans

modified

Number of

loans

modified

Enrollment

balance

(1)

Number of

loans

modified

Enrollment

balance

(2)

EOP

balance

(3)

% of total

loan

portfolio

(4)

North America

Credit cards 270,655 $ 843 2,626,225 $ 9,165 $ 708 1 % Waivers on late fees and

deferral of minimum payments

for two to four payment cycles

Residential first

mortgages

1,022 197 9,279 3,573 1,256 3 Extending existing payment

deferral options through 2021

and suspending foreclosures

into the first quarter of 2021

Home equity loans 264 18 5,230 614 254 4 Extending existing payment

deferral options

Personal, small

business and other

1,178 11 22,247 315 7 — Waivers on fees including non-

Citi ATM fees and monthly

service fees as well as

minimum payment deferrals

for up to six months

Total North America 273,119 $ 1,069 2,662,981 $ 13,667 $ 2,225 1 %

International

Asia

Credit cards 153,684 $ 366 1,306,090 $ 2,520 $ 189 1 % Payment deferrals for one to

six months, interest and fee

waivers, and reductions in

minimum due payments;

balance conversion programs

Residential first

mortgages

1,537 119 46,275 3,812 583 2 Payment deferrals for up to 12

months, interest and fee

waivers, and reductions in

minimum due payments

Personal, small

business and other

14,977 85 219,071 1,740 49 — Payment deferrals for up to

three months for revolving

products and overdrafts or up

to 12 months for installment

loans, interest and fee waivers,

and reductions in minimum

due payments

Latin America

Credit cards — — 641,038 1,263 — — Minimum payment deferrals

for up to six months

Residential first

mortgages

— — 26,251 950 — — Installment payment deferral

for up to six months to be

recovered as a balloon

payment at the end of the loan

Personal, small

business and other

— — 184,966 1,711 — — Installment payment deferral

for up to six months,

temporary interest rate

reductions

Total international 170,198 $ 570 2,423,691 $ 11,996 $ 821 1 %

Total consumer 443,317 $ 1,639 5,086,672 $ 25,663 $ 3,046 1 %

(1) Enrollment balances represent the aggregate amounts enrolled during the fourth quarter of 2020.

(2) Enrollment balances represent the aggregate amounts enrolled during the 12 months ended December 31, 2020.

(3) Total outstanding balance on loans enrolled in consumer relief programs as of December 31, 2020. Reserves for these loans are calculated in accordance with the

CECL standard.

(4) The percentage denominator is the total end-of-period loans balance for the respective product and region as of December 31, 2020.

As set forth in the table above, during the fourth quarter

of 2020, Citi modified approximately 0.4 million consumer

loans, excluding TDRs, with associated enrollment balances of

approximately $1.6 billion. For the year ended December 31,

2020, Citi modified 5.1 million consumer loans, excluding

TDRs, with associated enrollment balances of approximately

$25.7 billion. As of December 31, 2020, Citi had

approximately $3.0 billion of loan balances outstanding under

the consumer loan relief programs, representing approximately

1% of Citi’s total consumer loan balance.

As of December 31, 2020, Citi had approximately $2.2

billion of loan balances outstanding under the consumer relief

programs in North America.

Citi’s North America credit card programs had the largest

number of loan modifications in 2020. As these credit card

relief programs were introduced during the first half of 2020

and offered a deferral of minimum payments for two to four

payment cycles, nearly all of the customers had rolled off the

programs by year-end, of whom approximately 86% have

continued to make payments.

For customers enrolled in mortgage forbearance programs

in North America, Citi’s subservicer offered payment deferrals

and suspended foreclosures, and by the end of 2020,

approximately 63% of mortgage customers had rolled off the

program, of whom approximately 72% have continued to

make payments. As of December 31, 2020, Citi had

approximately $1.3 billion of mortgage loan balances

outstanding under the programs.

As of December 31, 2020, Citi had approximately $0.8

billion of loan balances outstanding under Asia consumer

relief programs. In Asia, approximately 96% of customers had

rolled off the consumer relief programs as of December 31,

2020, of whom approximately 83% have continued to make

payments.

As of December 31, 2020, Citi had no loan balances

outstanding under the Latin America consumer relief

programs, as all the customers had rolled off the programs, of

whom approximately 78% have continued to make payments.

Citi Corporate Loan Relief Programs

Citi has modified the contractual terms of corporate loans to

certain borrowers impacted by the pandemic, primarily

commercial banking (small business) and private bank

customers. These modifications consist primarily of deferrals

in the payment of principal and/or interest that Citi has

provided during 2020 in response to borrower requests, as

well as those provided pursuant to government-mandated

relief programs.

The table below summarizes Citi’s outstanding active

loan modifications, excluding TDRs as of December 31, 2020.

December 31, 2020

In millions of dollars

Total credit

exposure Funded Unfunded

Corporate loans $ 1,132 $ 1,074 $ 58

Private bank loans 773 762 11

Total corporate $ 1,905 $ 1,836 $ 69

Citi’s Management of COVID-19 Pandemic Risks

Citi has responded on multiple fronts to the challenges of the

pandemic to support the ongoing needs of its customers and

clients, while concurrently maintaining safety and soundness

standards.

Citi’s dedicated continuity of business and crisis

management groups are managing Citi’s protocols in response

to the pandemic. These protocols provide for the safety and

well-being of Citi’s staff, while continuing to maintain high

levels of client servicing across all of the markets in which

Citi operates. These protocols address the prioritization of

critical processing; ability of staff and third parties to support

these processes from remote work locations; deployment of

new hardware to support technology needs; and ongoing

monitoring to assess controls and service levels. Planning for

Citi’s return-to-office strategy is ongoing.

Citi’s organizational response to the pandemic has been

governed by Citi’s Executive Management Team, consisting

of the Citigroup CEO and certain direct reports of the CEO,

and driven through regional task forces that were deployed in

Asia, EMEA, North America and Latin America. Led by

regional CEOs and their management teams, these groups

focused on, and continue to manage, the pandemic responses,

implementation of continuity of business plans, locational and

staffing strategies and responses to customer and client needs.

Throughout the crisis, Citi has also worked closely with

U.S. authorities and host governments on implementing

immediate policy responses and financial assistance structures

to mitigate the systemic impacts of the pandemic. Citi also

continues to engage closely with customers and clients,

regulators and other relevant stakeholders to assure alignment

on all pandemic-related matters.

Citi’s Allowance for Credit Losses (ACL)

The table below shows the impact of Citi’s adoption of the

current expected credit loss (CECL) standard as of January 1,

2020 and the ACL builds (releases) during 2020. For

information on the drivers of Citi’s ACL release in the fourth

quarter, see “Significant Accounting Policies and Significant

Estimates—Allowance for Credit Losses” below. For

additional information on Citi’s accounting policy on

accounting for credit losses under CECL, see Note 1 to the

Consolidated Financial Statements.

Allowance for credit losses (ACL)

In millions of

dollars

Balance

Dec. 31,

2019

CECL

transition

impact

Collection

costs

change

(1)

Balance

Jan. 1,

2020

Build (release)

2020

FX/

Other

Balance

Dec. 31,

2020

ACLL/EOP

loans Dec. 31,

2020

(2)

1Q20 2Q20 3Q20 4Q20 2020

Cards

(1)

$ 8,419 $ 4,456 $ (407) $ 12,468 $ 2,412 $ 1,911 $ 55 $ (79) $ 4,299 $ 38 $ 16,805 10.98 %

All other GCB 1,200 566 (36) 1,730 399 388 (21) (114) 652 37 2,419

Global

Consumer

Banking $ 9,619 $ 5,022 $ (443) $ 14,198 $ 2,811 $ 2,299 $ 34 $ (193) $ 4,951 $ 75 $ 19,224 6.81 %

Institutional

Clients Group 2,886 (721) — 2,165 1,316 3,370 106 (1,620) 3,172 65 5,402 1.42

Corporate/

Other 278 (100) — 178 191 160 (128) (35) 188 (36) 330

Allowance for

credit losses on

loans (ACLL) $ 12,783 $ 4,201 $ (443) $ 16,541 $ 4,318 $ 5,829 $ 12

$ (1,848)

$ 8,311 $ 104 $ 24,956 3.73 %

Allowance for

credit losses on

unfunded

lending

commitments 1,456 (194) — 1,262 557 113 424 352 1,446 (53) 2,655

Other — 96 — 96 2 79 (32) (38) 11 39 146

Total

allowance for

credit losses

(ACL) $ 14,239 $ 4,103 $ (443) $ 17,899 $ 4,877 $ 6,021 $ 404

$ (1,534)

$ 9,768 $ 90 $ 27,757

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

(2) As of December 31, 2020, in North America GCB, Citi-branded cards ACLL/EOP loans was 10.0% and Citi retail services ACLL/EOP loans was 13.6%.

Certain Key Government Actions in Support of the

Economy

U.S. Government-Sponsored Liquidity Programs

During the first quarter of 2020, the Federal Reserve Board

(FRB) introduced several liquidity facilities in response to the

funding market volatility caused by the pandemic. Citi has

participated in several of the U.S. government-sponsored

liquidity programs, including the Money Market Mutual Fund

Liquidity Facility (MMLF), the Primary Dealer Credit Facility

(PDCF) and Discount Window (DW) in order to facilitate

client activity and support the FRB actions to provide

additional liquidity into the market. Citi has also participated

in the Paycheck Protection Program Lending Facility

(PPPLF), which was established to facilitate lending under the

Small Business Administration’s (SBA’s) Paycheck Protection

Program (see “Small Business Administration’s Paycheck

Protection Program” below). The amounts Citi sourced from

these facilities were not significant to Citi’s overall liquidity

profile during 2020, which remains strong and highly liquid.

For additional information about Citi’s liquidity resources, see

“Managing Global Risk—Liquidity Risk” below.

U.S. Banking Agencies Regulatory Capital Relief

In response to the pandemic, throughout 2020, the U.S.

banking agencies issued several final rules and interim final

rules revising the current regulatory capital standards, to

provide banking organizations with additional flexibility to

support consumers and businesses. Those rules applicable to

Citi include:

• Easing of capital distribution limits in the event of

regulatory capital buffer breaches, which provides some

flexibility to continue distributing capital under certain

circumstances.

• Modification of the CECL transition provision to defer

the January 1, 2020 capital impact to January 1, 2022 and

to provide additional capital relief for ongoing increases

in credit reserves. Citi’s reported Common Equity Tier 1

Capital ratio at December 31, 2020, reflecting the

modified CECL transition provision, was 39 basis points

higher than Citi’s Common Equity Tier 1 Capital ratio,

reflecting the full impact of CECL on regulatory capital.

Excluding the modified CECL transition provision,

Citigroup’s Common Equity Tier 1 Capital ratio would

have been 11.34%, compared with a 10.0% effective

minimum requirement.

• Temporary Supplementary Leverage ratio (SLR) relief for

bank holding companies, commencing in the second

quarter of 2020, allowing Citigroup to temporarily expand

its balance sheet by excluding U.S. Treasury securities

and deposits with the FRB from the SLR denominator.

Citigroup’s reported Supplementary Leverage ratio of

7.00% benefited by 109 basis points during the fourth

quarter of 2020 as a result of the temporary relief.

Excluding the temporary relief, Citigroup’s

Supplementary Leverage ratio would have been 5.91%,

compared with a 5.0% effective minimum requirement.

• Assigning a 0% risk weight to loans originated under the

Paycheck Protection Program.

For additional information about regulatory capital relief

provided by the U.S. banking agencies, see “Capital

Resources” below.

Troubled Debt Restructuring (TDR) Relief

Under U.S. GAAP, banks are required to assess modifications

to a loan’s terms for potential classification as a TDR. A loan

to a borrower experiencing financial difficulty is classified as

a TDR when a lender grants a concession that it would

otherwise not consider, such as a payment deferral or interest

concession.

In order to encourage banks to work with impacted

borrowers, the Coronavirus Aid, Relief, and Economic

Security Act (CARES Act) and U.S. banking agencies have

provided relief from TDR accounting. The main benefits of

TDR relief include a capital benefit in the form of reduced

risk-weighted assets, as TDRs are more heavily risk-weighted

for capital purposes; aging of the loans is frozen, i.e., they will

continue to be reported in the same delinquency bucket they

were in at the time of modification; and the loans are generally

not reported as non-accrual during the modification period.

The loans included in Citi’s pandemic-related consumer relief

programs are included in Citi’s reserving process under the

CECL standard.

Small Business Administration’s Paycheck Protection

Program

The Paycheck Protection Program (PPP) authorizes the

origination of forgivable loans for small businesses to pay

their employees during the pandemic. Loan terms are the same

for all businesses. During the first round of PPP, which was

launched in April 2020, Citi funded over 30,000 loans totaling

$3.8 billion as of December 31, 2020, with approximately $3.4

billion outstanding at December 31, 2020. The processing of

loan forgiveness requests under PPP began during the third

quarter of 2020 and Citi received approximately $314 million

of funds from the SBA relating to forgiveness in the fourth

quarter of 2020. Citi is currently participating in the relaunch

of PPP and remains committed to supporting small businesses.

Pandemic and Other Impacts

In 2021, Citi expects overall revenues to decline from 2020,

largely driven by normalization in the ICG markets

businesses. In addition, GCB, ICG and Corporate/Other

revenues will likely continue to be adversely impacted by the

lower global interest rate environment, and GCB and ICG

revenues will be affected by the challenges and uncertainties

in the macroeconomic and market environment, including as a

result of the continued severity and duration of the pandemic.

Each GCB region is also expected to continue to experience

the adverse impacts the pandemic has had on customer

activity, while Latin America GCB is also likely to continue to

experience an impact from macroeconomic weakness in

Mexico.

Citi also expects to incur higher expenses, as it continues

to accelerate the transformation of its infrastructure, risk

management and controls, including its efforts to improve the

risk and control environment, as well as to comply with the

consent orders (see “Citi’s Consent Order Compliance”

above).

Moreover, based on its existing portfolios as of December

31, 2020, Citi expects to experience higher net credit losses,

which will vary by business and region and be dependent on

future macroeconomic conditions. Citi believes that these

losses are adequately reserved for under the CECL standard at

December 31, 2020. Citi expects international consumer losses

to peak during the first half of 2021, while in the U.S., losses

could begin to rise in 2021 but peak afterward. If Citi’s fourth

quarter of 2020 macroeconomic forecast assumptions are

realized, Citi would not expect additional reserve builds on its

existing portfolios (for additional information, see “Significant

Accounting Policies and Significant Estimates” below);

however, the overall level of reserves remains dependent on

the evolving economic and public health environments relative

to this forecast, as well as new lending volumes.

For additional information about material risks to Citi

from the pandemic and other macroeconomic challenges and

uncertainties, see “Risk Factors” below.

RESULTS OF OPERATIONS

SUMMARY OF SELECTED FINANCIAL DATA

Citigroup Inc. and Consolidated Subsidiaries

In millions of dollars, except per share amounts

2020 2019 2018 2017 2016

Net interest revenue $ 43,548 $ 47,347 $ 46,562 $ 45,061 $ 45,476

Non-interest revenue 30,750 26,939 26,292 27,383 25,321

Revenues, net of interest expense $ 74,298 $ 74,286 $ 72,854 $ 72,444 $ 70,797

Operating expenses 43,171 42,002 41,841 42,232 42,338

Provisions for credit losses and for benefits and claims 17,495 8,383 7,568 7,451 6,982

Income from continuing operations before income taxes $ 13,632 $ 23,901 $ 23,445 $ 22,761 $ 21,477

Income taxes

(1)

2,525 4,430 5,357 29,388 6,444

Income (loss) from continuing operations $ 11,107 $ 19,471 $ 18,088 $ (6,627) $ 15,033

Income (loss) from discontinued operations, net of taxes (20) (4) (8) (111) (58)

Net income (loss) before attribution of noncontrolling

interests $ 11,087 $ 19,467 $ 18,080 $ (6,738) $ 14,975

Net income attributable to noncontrolling interests 40 66 35 60 63

Citigroup’s net income (loss)

(1)

$ 11,047 $ 19,401 $ 18,045 $ (6,798) $ 14,912

Earnings per share

Basic

Income (loss) from continuing operations $ 4.75 $ 8.08 $ 6.69 $ (2.94) $ 4.74

Net income (loss) 4.74 8.08 6.69 (2.98) 4.72

Diluted

Income (loss) from continuing operations $ 4.73 $ 8.04 $ 6.69 $ (2.94) $ 4.74

Net income (loss) 4.72 8.04 6.68 (2.98) 4.72

Dividends declared per common share 2.04 1.92 1.54 0.96 0.42

Common dividends $ 4,299 $ 4,403 $ 3,865 $ 2,595 $ 1,214

Preferred dividends 1,095 1,109 1,174 1,213 1,077

Common share repurchases 2,925 17,875 14,545 14,538 9,451

Table continues on the next page, including footnotes.

SUMMARY OF SELECTED FINANCIAL DATA

(Continued)

Citigroup Inc. and Consolidated Subsidiaries

In millions of dollars, except per share amounts, ratios and direct staff

2020 2019 2018 2017 2016

At December 31:

Total assets $ 2,260,090 $ 1,951,158 $ 1,917,383 $ 1,842,465 $ 1,792,077

Total deposits 1,280,671 1,070,590 1,013,170 959,822 929,406

Long-term debt 271,686 248,760 231,999 236,709 206,178

Citigroup common stockholders’ equity

(1)

179,962 175,262 177,760 181,487 205,867

Total Citigroup stockholders’ equity

(1)

199,442 193,242 196,220 200,740 225,120

Average assets 2,226,256 1,978,805 1,920,242 1,875,438 1,808,728

Direct staff (in thousands) 210 200 204 209 219

Performance metrics

Return on average assets 0.50 % 0.98 % 0.94 % (0.36) % 0.82 %

Return on average common stockholders’ equity

(1)(2)

5.7 10.3 9.4 (3.9) 6.6

Return on average total stockholders’ equity

(1)(2)

5.7 9.9 9.1 (3.0) 6.5

Return on tangible common equity (RoTCE)

(1)(3)

6.6 12.1 11.0 8.1 7.6

Efficiency ratio (total operating expenses/total revenues, net) 58.1 56.5 57.4 58.3 59.8

Basel III ratios

(1)(4)

Common Equity Tier 1 Capital

(5)

11.73 % 11.79 % 11.86 % 12.36 % 12.57 %

Tier 1 Capital

(5)

13.31 13.33 13.43 14.06 14.24

Total Capital

(5)

15.61 15.87 16.14 16.30 16.24

Supplementary Leverage ratio 7.00 6.20 6.40 6.68 7.22

Citigroup common stockholders’ equity to assets

(1)

7.96 % 8.98 % 9.27 % 9.85 % 11.49 %

Total Citigroup stockholders’ equity to assets

(1)

8.82 9.90 10.23 10.90 12.56

Dividend payout ratio

(6)

43 24 23 NM 9

Total payout ratio

(7)

73 122 109 NM 77

Book value per common share

(1)

$ 86.43 $ 82.90 $ 75.05 $ 70.62 $ 74.26

Tangible book value (TBV) per share

(1)(3)

73.67 70.39 63.79 60.16 64.57

(1) 2017 includes the one-time impact related to enactment of the Tax Cuts and Jobs Act (Tax Reform). 2020, 2019 and 2018 reflect the tax rate structure post Tax

Reform. RoTCE for 2017 excludes the one-time impact from Tax Reform and is a non-GAAP financial measure. For additional information, see “Significant

Accounting Policies and Significant Estimates—Income Taxes” below.

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

equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.

(3) 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 Returns on Equity” below.

(4) Citi’s risk-based capital and leverage ratios for 2017 and 2016 are non-GAAP financial measures, which reflect full implementation of regulatory capital

adjustments and deductions prior to the effective date of January 1, 2018.

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

frameworks, whereas Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach

and the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework as of December 31, 2019 and 2018.

(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 10 to the Consolidated Financial Statements and “Equity Security

Repurchases” below for the component details.

NM Not meaningful

SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES

CITIGROUP INCOME

In millions of dollars

2020 2019 2018

% Change

2020 vs. 2019

% Change

2019 vs. 2018

Income (loss) from continuing operations

Global Consumer Banking

North America $ 59 $ 3,224 $ 3,087 (98) % 4 %

Latin America 277 901 802 (69) 12

Asia

(1)

538 1,577 1,420 (66) 11

Total $ 874 $ 5,702 $ 5,309 (85) % 7 %

Institutional Clients Group

North America $ 3,461 $ 3,511 $ 3,675 (1) % (4) %

EMEA 3,327 3,867 3,889 (14) (1)

Latin America 1,406 2,111 2,013 (33) 5

Asia 3,604 3,455 2,997 4 15

Total $ 11,798 $ 12,944 $ 12,574 (9) % 3 %

Corporate/Other (1,565) 825 205 NM NM

Income from continuing operations $ 11,107 $ 19,471 $ 18,088 (43) % 8 %

Discontinued operations $ (20) $ (4) $ (8) NM 50 %

Less: Net income attributable to noncontrolling interests 40 66 35 (39) % 89

Citigroup’s net income $ 11,047 $ 19,401 $ 18,045 (43) % 8 %

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

NM Not meaningful

CITIGROUP REVENUES

In millions of dollars

2020 2019 2018

% Change

2020 vs. 2019

% Change

2019 vs. 2018

Global Consumer Banking

North America $ 19,148 $ 20,398 $ 19,829 (6) % 3 %

Latin America 4,372 5,238 5,309 (17) (1)

Asia

(1)

6,471 7,335 7,201 (12) 2

Total $ 29,991 $ 32,971 $ 32,339 (9) % 2 %

Institutional Clients Group

North America $ 17,185 $ 13,459 $ 13,522 28 % — %

EMEA 12,814 12,006 11,770 7 2

Latin America 4,838 5,166 4,954 (6) 4

Asia 9,416 8,670 8,079 9 7

Total $ 44,253 $ 39,301 $ 38,325 13 % 3 %

Corporate/Other 54 2,014 2,190 (97) (8)

Total Citigroup net revenues $ 74,298 $ 74,286 $ 72,854 — % 2 %

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

SEGMENT BALANCE SHEET

(1)

—DECEMBER 31, 2020

In millions of dollars

Global

Consumer

Banking

Institutional

Clients

Group

Corporate/

Other

and

consolidating

eliminations

(2)

Citigroup

parent

company-

issued

long-term

debt and

stockholders’

equity

(3)

Total

Citigroup

consolidated

Assets

Cash and deposits with banks, net of

allowance $ 7,445 $ 89,503 $ 212,667 $ — $ 309,615

Securities borrowed and purchased under

agreements to resell, net of allowance 201 294,258 253 — 294,712

Trading account assets 1,948 360,131 13,000 — 375,079

Investments, net of allowance 1,310 136,105 309,944 — 447,359

Loans, net of unearned income and allowance

for credit losses on loans 262,876 381,598 6,453 — 650,927

Other assets, net of allowance 39,716 99,348 43,334 — 182,398

Net inter-segment liquid assets

(4)

120,077 368,902 (488,979) — —

Total assets $ 433,573 $ 1,729,845 $ 96,672 $ — $ 2,260,090

Liabilities and equity

Total deposits $ 344,500 $ 924,300 $ 11,871 $ — $ 1,280,671

Securities loaned and sold under agreements

to repurchase 685 198,828 12 — 199,525

Trading account liabilities 1,322 165,500 1,205 — 168,027

Short-term borrowings — 25,507 4,007 — 29,514

Long-term debt

(3)

1,268 74,799 25,056 170,563 271,686

Other liabilities, net of allowance 21,422 74,573 14,472 — 110,467

Net inter-segment funding (lending)

(3)

64,376 266,338 39,291 (370,005) —

Total liabilities $ 433,573 $ 1,729,845 $ 95,914 $ (199,442) $ 2,059,890

Total stockholders’ equity

(5)

— — 758 199,442 200,200

Total liabilities and equity $ 433,573 $ 1,729,845 $ 96,672 $ — $ 2,260,090

(1) The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting 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) Total stockholders’ equity and the majority of long-term debt of Citigroup are reflected on the Citigroup parent company balance sheet. Citigroup allocates

stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.

(4) Represents the attribution of Citigroup’s liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the

various businesses based on Liquidity Coverage Ratio (LCR) assumptions.

(5) Corporate/Other equity represents noncontrolling interests.

GLOBAL CONSUMER BANKING

Global Consumer Banking (GCB) consists of consumer banking businesses in North America, Latin America (consisting of Citi’s

consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking,

Citi-branded cards and, in the U.S., Citi retail services (for additional information on these businesses, see “Citigroup Segments”

above). GCB is focused on its priority markets in the U.S., Mexico and Asia, with 2,303 branches in 19 countries and jurisdictions as

of December 31, 2020. At December 31, 2020, GCB had $434 billion in assets and $344.5 billion in retail banking deposits.

GCB’s strategy is to leverage its global footprint and digital capabilities to develop multi-product relationships with customers—

both in and out of Citi’s branch footprint. To achieve this, GCB strives to optimize its clients’ experiences across lending, payments

and wealth management through continued digitization, new partnerships and innovation.

In millions of dollars, except as otherwise noted

2020 2019 2018

% Change

2020 vs. 2019

% Change

2019 vs. 2018

Net interest revenue $ 26,200 $ 28,205 $ 27,374 (7) % 3 %

Non-interest revenue 3,791 4,766 4,965 (20) (4)

Total revenues, net of interest expense $ 29,991 $ 32,971 $ 32,339 (9) % 2 %

Total operating expenses $ 17,203 $ 17,628 $ 17,786 (2) % (1) %

Net credit losses on loans $ 6,646 $ 7,382 $ 6,884 (10) % 7 %

Credit reserve build for loans 4,951 439 568 NM (23)

Provision for credit losses on unfunded lending commitments — 1 — (100) 100

Provisions for benefits and claims, HTM debt securities and

other assets 105 73 103 44 (29)

Provisions for credit losses and for benefits and claims (PBC) $ 11,702 $ 7,895 $ 7,555 48 % 5 %

Income from continuing operations before taxes $ 1,086 $ 7,448 $ 6,998 (85) % 6 %

Income taxes 212 1,746 1,689 (88) 3

Income from continuing operations $ 874 $ 5,702 $ 5,309 (85) % 7 %

Noncontrolling interests (4) 6 7 NM (14)

Net income $ 878 $ 5,696 $ 5,302 (85) % 7 %

Balance Sheet data and ratios

EOP assets (in billions of dollars) $ 434 $ 407 $ 388 7 % 5 %

Average assets (in billions of dollars) 426 389 378 10 3

Return on average assets 0.21 % 1.46 % 1.40 %

Efficiency ratio 57 53 55

Average retail banking deposits (in billions of dollars) $ 311 $ 277 $ 269 12 3

Net credit losses as a percentage of average loans 2.39 % 2.60 % 2.48 %

Revenue by business

Retail banking $ 11,734 $ 12,549 $ 12,627 (6) % (1) %

Cards

(1)

18,257 20,422 19,712 (11) 4

Total $ 29,991 $ 32,971 $ 32,339 (9) % 2 %

Income from continuing operations by business

Retail banking $ 744 $ 1,842 $ 1,851 (60) % — %

Cards

(1)

130 3,860 3,458 (97) 12

Total $ 874 $ 5,702 $ 5,309 (85) % 7 %

Table continues on the next page, including footnotes.

Foreign currency (FX) translation impact

Total revenue—as reported $ 29,991 $ 32,971 $ 32,339 (9) % 2 %

Impact of FX translation

(2)

— (509) (664)

Total revenues—ex-FX

(3)

$ 29,991 $ 32,462 $ 31,675 (8) % 2 %

Total operating expenses—as reported $ 17,203 $ 17,628 $ 17,786 (2) % (1) %

Impact of FX translation

(2)

— (276) (371)

Total operating expenses—ex-FX

(3)

$ 17,203 $ 17,352 $ 17,415 (1) % — %

Total provisions for credit losses and PBC—as reported $ 11,702 $ 7,895 $ 7,555 48 % 5 %

Impact of FX translation

(2)

— (124) (161)

Total provisions for credit losses and PBC—ex-FX

(3)

$ 11,702 $ 7,771 $ 7,394 51 % 5 %

Net income—as reported $ 878 $ 5,696 $ 5,302 (85) % 7 %

Impact of FX translation

(2)

— (74) (90)

Net income—ex-FX

(3)

$ 878 $ 5,622 $ 5,212 (84) % 8 %

(1) Includes both Citi-branded cards and Citi retail services.

(2) Reflects the impact of FX translation into U.S. dollars at the 2020 average exchange rates for all periods presented.

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

NM Not meaningful

NORTH AMERICA GCB

North America GCB provides traditional retail banking and Citi-branded and Citi retail services card products to retail and small

business customers in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi

Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within

Citi-branded cards, as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Best Buy

and Macy’s) within Citi retail services.

At December 31, 2020, North America GCB had 687 retail bank branches concentrated in the six key metropolitan areas of New

York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of December 31, 2020, North America GCB had

$52.7 billion in retail banking loans and $194.8 billion in retail banking deposits. In addition, North America GCB had $130.4 billion

in outstanding card loan balances.

In millions of dollars, except as otherwise noted

2020 2019 2018

% Change

2020 vs. 2019

% Change

2019 vs. 2018

Net interest revenue $ 18,802 $ 19,869 $ 19,006 (5) % 5 %

Non-interest revenue

(1)

346 529 823 (35) (36)

Total revenues, net of interest expense $ 19,148 $ 20,398 $ 19,829 (6) % 3 %

Total operating expenses $ 9,942 $ 10,154 $ 10,230 (2) % (1) %

Net credit losses on loans $ 4,990 $ 5,583 $ 5,085 (11) % 10 %

Credit reserve build for loans 4,115 469 460 NM 2

Provision for credit losses on unfunded lending commitments — 1 — (100) 100

Provisions for benefits and claims, HTM debt securities and

other assets 17 19 22 (11) (14)

Provisions for credit losses and for benefits and claims $ 9,122 $ 6,072 $ 5,567 50 % 9 %

Income from continuing operations before taxes $ 84 $ 4,172 $ 4,032 (98) % 3 %

Income taxes 25 948 945 (97) —

Income from continuing operations $ 59 $ 3,224 $ 3,087 (98) % 4 %

Noncontrolling interests — — — — —

Net income $ 59 $ 3,224 $ 3,087 (98) % 4 %

Balance Sheet data and ratios

Average assets (in billions of dollars) $ 266 $ 232 $ 227 15 % 2 %

Return on average assets 0.02 % 1.39 % 1.36 %

Efficiency ratio 52 50 52

Average retail banking deposits (in billions of dollars) $ 176 $ 153 $ 148 15 3

Net credit losses as a percentage of average loans 2.72 % 2.97 % 2.78 %

Revenue by business

Retail banking $ 4,457 $ 4,529 $ 4,600 (2) % (2) %

Citi-branded cards 8,758 9,165 8,628 (4) 6

Citi retail services 5,933 6,704 6,601 (12) 2

Total $ 19,148 $ 20,398 $ 19,829 (6) % 3 %

Income (loss) from continuing operations by business

Retail banking $ (144) $ 196 $ 312 NM (37) %

Citi-branded cards 21 1,742 1,581 (99) % 10

Citi retail services 182 1,286 1,194 (86) 8

Total $ 59 $ 3,224 $ 3,087 (98) % 4 %

(1) 2018 includes an approximate $150 million gain on the Hilton portfolio sale.

NM Not meaningful

2020 vs. 2019

Net income decreased 98%, as significantly higher cost of

credit and lower revenues were partially offset by lower

expenses.

Revenues decreased 6%, reflecting lower revenues in Citi

retail services, Citi-branded cards and retail banking, primarily

due to the pandemic, including lower interest rates.

Retail banking revenues decreased 2%, as the benefit of

stronger deposit volumes and an improvement in mortgage

revenues were more than offset by lower deposit spreads,

reflecting lower interest rates.

Average deposits increased 15%, driven by a combination

of factors, including government stimulus payments, a

reduction in overall consumer spending related to the

pandemic and strategic efforts to drive organic growth,

including digital deposits which drove more than one-third of

the year-over-year growth.

Cards revenues decreased 7%. Citi-branded cards

revenues decreased 4%, reflecting lower purchase sales and

higher payment rates driving lower average loans. Average

loans decreased 6% and purchase sales decreased 8%, both

reflecting the impact of the pandemic on customer activity.

Citi retail services revenues decreased 12%, primarily

reflecting lower average loans and higher contractual partner

payments. (For additional information on partner payments,

see Note 5 to the Consolidated Financial Statements.) Average

loans were down 7% and purchase sales declined 11%, both

reflecting the impact of the pandemic on customer activity.

Expenses decreased 2%, as lower volume-related

expenses, reductions in marketing and other discretionary

expenses, as well as efficiency savings, more than offset

higher pandemic-related expenses.

Provisions of $9.1 billion increased 50% from the prior

year, driven by a higher allowance for credit losses (ACL)

build, partially offset by lower net credit losses. Net credit

losses decreased 11%, primarily driven by lower net credit

losses in Citi retail services (down 16% to $2.2 billion) and

Citi-branded cards (down 5% to $2.7 billion), primarily

reflecting lower loan volumes as well as higher payment rates

given high levels of liquidity, lower spending and the benefits

of relief programs.

The ACL build of $4.1 billion (compared to a build of

$470 million in the prior year under prior accounting

standards) was driven by builds during the first half of 2020.

The builds reflected the impact of a deterioration in Citi’s

macroeconomic outlook under the CECL standard, including

an increase in the qualitative management adjustment to

reflect the potential for a higher level of stress and a slower

economic recovery, partially offset by lower loan volumes,

both primarily driven by the pandemic. For additional

information on Citi’s ACL, see “Significant Accounting

Policies and Significant Estimates” below and Notes 1 and 15

to the Consolidated Financial Statements.

For additional information on North America GCB’s retail

banking, and its Citi-branded cards and Citi retail services

portfolios, see “Credit Risk—Consumer Credit” below.

For additional information about trends, uncertainties and

risks related to North America GCB’s future results, see

“COVID-19 Pandemic Overview” above and “Risk Factors”

below.

LATIN AMERICA GCB

Latin America GCB provides traditional retail banking and Citi-branded card products to retail and small business customers in

Mexico through Citibanamex, one of Mexico’s largest banks.

At December 31, 2020, Latin America GCB had 1,392 retail branches in Mexico, with $9.8 billion in retail banking loans and

$25.8 billion in deposits. In addition, the business had $4.8 billion in outstanding card loan balances.

In millions of dollars, except as otherwise noted

2020 2019 2018

% Change

2020 vs. 2019

% Change

2019 vs. 2018

Net interest revenue $ 3,078 $ 3,639 $ 3,681 (15) % (1) %

Non-interest revenue

(1)

1,294 1,599 1,628 (19) (2)

Total revenues, net of interest expense $ 4,372 $ 5,238 $ 5,309 (17) % (1) %

Total operating expenses $ 2,730 $ 2,883 $ 2,900 (5) % (1) %

Net credit losses on loans $ 866 $ 1,109 $ 1,131 (22) % (2) %

Credit reserve build (release) for loans 316 (38) 84 NM NM

Provision for credit losses on unfunded lending commitments — — — — —

Provisions for benefits and claims, HTM debt securities and

other assets 87 54 81 61 (33)

Provisions for credit losses and for benefits and claims (PBC) $ 1,269 $ 1,125 $ 1,296 13 % (13) %

Income from continuing operations before taxes $ 373 $ 1,230 $ 1,113 (70) % 11 %

Income taxes 96 329 311 (71) 6

Income from continuing operations $ 277 $ 901 $ 802 (69) % 12 %

Noncontrolling interests — — — — —

Net income $ 277 $ 901 $ 802 (69) % 12 %

Balance Sheet data and ratios

Average assets (in billions of dollars) $ 32 $ 35 $ 33 (9) % 6 %

Return on average assets 0.87 % 2.57 % 2.43 %

Efficiency ratio 62 55 55

Average deposits (in billions of dollars) $ 23 $ 23 $ 23 — —

Net credit losses as a percentage of average loans 5.97 % 6.45 % 6.50 %

Revenue by business

Retail banking $ 3,009 $ 3,585 $ 3,744 (16) % (4) %

Citi-branded cards 1,363 1,653 1,565 (18) 6

Total $ 4,372 $ 5,238 $ 5,309 (17) % (1) %

Income from continuing operations by business

Retail banking $ 153 $ 600 $ 596 (75) % 1 %

Citi-branded cards 124 301 206 (59) 46

Total $ 277 $ 901 $ 802 (69) % 12 %

FX translation impact

Total revenues—as reported

(1)

$ 4,372 $ 5,238 $ 5,309 (17) % (1) %

Impact of FX translation

(2)

— (473) (511)

Total revenues—ex-FX

(3)

$ 4,372 $ 4,765 $ 4,798 (8) % (1) %

Total operating expenses—as reported $ 2,730 $ 2,883 $ 2,900 (5) % (1) %

Impact of FX translation

(2)

— (246) (253)

Total operating expenses—ex-FX

(3)

$ 2,730 $ 2,637 $ 2,647 4 % — %

Provisions for credit losses and PBC—as reported $ 1,269 $ 1,125 $ 1,296 13 % (13) %

Impact of FX translation

(2)

— (115) (136)

Provisions for credit losses and PBC—ex-FX

(3)

$ 1,269 $ 1,010 $ 1,160 26 % (13) %

Net income—as reported $ 277 $ 901 $ 802 (69) % 12 %

Impact of FX translation

(2)

— (78) (87)

Net income—ex-FX

(3)

$ 277 $ 823 $ 715 (66) % 15 %

(1) 2018 includes an approximate $250 million gain on the sale of an asset management business. See Note 2 to the Consolidated Financial Statements.

(2) Reflects the impact of FX translation into U.S. dollars at the 2020 average exchange rates for all periods presented.

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

NM Not meaningful

The discussion of the results of operations for Latin America GCB below excludes the impact of FX translation for all periods

presented. Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a

reconciliation of certain of these metrics to the reported results, see the table above.

2020 vs. 2019

Net income decreased 66%, reflecting lower revenues, higher

cost of credit and higher expenses.

Revenues decreased 8%, reflecting lower retail banking

and cards revenues, largely due to the pandemic, including

lower interest rates. Revenues also decreased due to the

ongoing slowdown in overall economic growth and industry

volumes in Mexico.

Retail banking revenues decreased 8%, driven by a

decline in loan volumes and lower deposit spreads, partially

offset by deposit growth and an increase in assets under

management. Average deposits were up 10%, while average

loans decreased 5%, reflecting the impact of the pandemic on

customer activity, as well as the ongoing economic slowdown.

Assets under management increased 12%, including the

benefit of market movements.

Cards revenues decreased 10%, primarily driven by lower

purchase sales (down 17%) and lower average loans (down

8%), reflecting the impact of the pandemic on customer

activity and the ongoing economic slowdown.

Expenses increased 4%, as efficiency savings were more

than offset by repositioning costs, pandemic-related expenses,

and ongoing investment spending.

Provisions of $1.3 billion increased 26% from the prior

year, driven by a higher allowance for credit losses (ACL)

build, partially offset by lower net credit losses. Net credit

losses decreased 14%, primarily driven by lower average loans

and the impact of consumer relief programs.

The ACL build of $316 million (compared to a net

reserve release of $35 million in the prior year under prior

accounting standards) was driven by builds during the first

half of 2020. The builds reflected the impact of a deterioration

in Citi’s macroeconomic outlook under the CECL standard,

including an increase in the qualitative management

adjustment to reflect the potential for a higher level of stress

and a slower economic recovery, partially offset by lower loan

volumes, both primarily driven by the pandemic. For

additional information on Citi’s ACL, see “Significant

Accounting Policies and Significant Estimates” below and

Notes 1 and 15 to the Consolidated Financial Statements.

For additional information on Latin America GCB’s retail

banking and its Citi-branded cards portfolios, see “Credit Risk

—Consumer Credit” below.

For additional information about trends, uncertainties and

risks related to Latin America GCB’s future results, see

“COVID-19 Pandemic Overview” above and “Risk Factors”

below.

ASIA GCB

Asia GCB provides traditional retail banking and Citi-branded card products to retail and small business customers. During 2020, Asia

GCB’s most significant revenues in Asia were from Hong Kong, Singapore, South Korea, Taiwan, India, Australia, Thailand, the

Philippines, China and Indonesia. Included within Asia GCB, traditional retail banking and Citi-branded card products are also

provided to retail customers in certain EMEA countries, primarily the United Arab Emirates, Poland and Russia.

At December 31, 2020, on a combined basis, the businesses had 224 retail branches, $66.5 billion in retail banking loans and

$123.9 billion in deposits. In addition, the businesses had $17.9 billion in outstanding card loan balances.

In millions of dollars, except as otherwise noted

(1)

2020 2019 2018

% Change

2020 vs. 2019

% Change

2019 vs. 2018

Net interest revenue $ 4,320 $ 4,697 $ 4,687 (8) % — %

Non-interest revenue 2,151 2,638 2,514 (18) 5

Total revenues, net of interest expense $ 6,471 $ 7,335 $ 7,201 (12) % 2 %

Total operating expenses $ 4,531 $ 4,591 $ 4,656 (1) % (1) %

Net credit losses on loans $ 790 $ 690 $ 668 14 % 3 %

Credit reserve build for loans 520 8 24 NM (67)

Provision for HTM debt securities and other assets 1 — — 100 —

Provisions for credit losses $ 1,311 $ 698 $ 692 88 % 1 %

Income from continuing operations before taxes $ 629 $ 2,046 $ 1,853 (69) % 10 %

Income taxes 91 469 433 (81) 8

Income from continuing operations $ 538 $ 1,577 $ 1,420 (66) % 11 %

Noncontrolling interests (4) 6 7 NM (14)

Net income $ 542 $ 1,571 $ 1,413 (65) % 11 %

Balance Sheet data and ratios

Average assets (in billions of dollars) $ 129 $ 122 $ 119 6 % 3 %

Return on average assets 0.42 % 1.29 % 1.19 %

Efficiency ratio 70 63 65

Average deposits (in billions of dollars) $ 113 $ 101 $ 98 12 3

Net credit losses as a percentage of average loans 0.99 % 0.88 % 0.86 %

Revenue by business

Retail banking $ 4,268 $ 4,435 $ 4,283 (4) % 4 %

Citi-branded cards 2,203 2,900 2,918 (24) (1)

Total $ 6,471 $ 7,335 $ 7,201 (12) % 2 %

Income (loss) from continuing operations by business

Retail banking $ 735 $ 1,046 $ 943 (30) % 11 %

Citi-branded cards (197) 531 477 NM 11

Total $ 538 $ 1,577 $ 1,420 (66) % 11 %

FX translation impact

Total revenues—as reported $ 6,471 $ 7,335 $ 7,201 (12) % 2 %

Impact of FX translation

(2)

— (36) (153)

Total revenues—ex-FX

(3)

$ 6,471 $ 7,299 $ 7,048 (11) % 4 %

Total operating expenses—as reported $ 4,531 $ 4,591 $ 4,656 (1) % (1) %

Impact of FX translation

(2)

— (30) (118)

Total operating expenses—ex-FX

(3)

$ 4,531 $ 4,561 $ 4,538 (1) % 1 %

Provisions for credit losses—as reported $ 1,311 $ 698 $ 692 88 % 1 %

Impact of FX translation

(2)

— (9) (25)

Provisions for credit losses—ex-FX

(3)

$ 1,311 $ 689 $ 667 90 % 3 %

Net income—as reported $ 542 $ 1,571 $ 1,413 (65) % 11 %

Impact of FX translation

(2)

— 4 (3)

Net income—ex-FX

(3)

$ 542 $ 1,575 $ 1,410 (66) % 12 %

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

(2) Reflects the impact of FX translation into U.S. dollars at the 2020 average exchange rates for all periods presented.

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

NM Not meaningful

The discussion of the results of operations for Asia GCB below excludes the impact of FX translation for all periods presented.

Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a

reconciliation of certain of these metrics to the reported results, see the table above.

2020 vs. 2019

Net income decreased 66%, as lower revenues and

significantly higher cost of credit were partially offset by

lower expenses.

Revenues decreased 11%, reflecting lower cards and retail

banking revenues, largely due to the pandemic, including

lower interest rates.

Retail banking revenues decreased 3%, as growth in

deposits and higher fees on investments and foreign currency

transactions due to higher volumes and volatility were more

than offset by lower deposit spreads and lower insurance

revenues. Average deposits increased 11% and average loans

increased 5%. Assets under management increased 5% and

investment sales increased 43%. Retail lending revenues

increased 4%, largely reflecting growth in mortgages and

personal loans, partially offset by spread compression in

personal loans.

Cards revenues decreased 24%, primarily driven by lower

purchase sales (down 16%) and lower average loans (down

8%), reflecting the impact of the pandemic on customer

activity, including from lower travel spend in the region given

Citi’s skew to an affluent client base and a greater proportion

of fee revenues coming from travel-related interchange and

foreign transaction fees.

Expenses decreased 1%, as lower discretionary expenses

and volume-related costs, as well as efficiency savings, were

partially offset by ongoing investment spending.

Provisions of $1.3 billion increased 90%, driven by a

higher allowance for credit losses (ACL) build as well as

higher net credit losses. Net credit losses increased 16%, as

pandemic lockdowns and the deterioration in the macro-

environment impacted credit performance.

The ACL build of $520 million (compared to a build of

$7 million in the prior year under prior accounting standards)

was driven by builds during the first three quarters of 2020.

The builds reflected the impact of a deterioration in Citi’s

macroeconomic outlook under the CECL standard, including

an increase in the qualitative management adjustment to

reflect the potential for a higher level of stress and a slower

economic recovery, partially offset by lower loan volumes,

both primarily driven by the pandemic. For additional

information on Citi’s ACL, see “Significant Accounting

Policies and Significant Estimates” below and Notes 1 and 15

to the Consolidated Financial Statements.

For additional information on Asia GCB’s retail banking

portfolios and its Citi-branded cards portfolios, see “Credit

Risk—Consumer Credit” below.

For additional information about trends, uncertainties and

risks related to Asia GCB’s future results, see “COVID-19

Pandemic Overview” above and “Risk Factors” below.

INSTITUTIONAL CLIENTS GROUP

Institutional Clients Group (ICG) includes Banking and

Markets and securities services (for additional information on

these businesses, see “Citigroup Segments” above). ICG

provides corporate, institutional, public sector and high-net-

worth clients around the world with a full range of wholesale

banking products and services, including fixed income and

equity sales and trading, foreign exchange, prime brokerage,

derivative services, equity and fixed income research,

corporate lending, investment banking and advisory services,

private banking, cash management, trade finance and

securities services. ICG transacts with clients in both cash

instruments and derivatives, including fixed income, foreign

currency, equity and commodity products.

ICG revenue is generated primarily from fees and spreads

associated with these activities. ICG earns fee income for

assisting clients with transactional services and clearing and

providing brokerage and investment banking services and

other such activities. Such fees are recognized at the point in

time when Citigroup’s performance under the terms of a

contractual arrangement is completed, which is typically at the

trade/execution date or closing of a transaction. Revenue

generated from these activities is recorded in Commissions

and fees and Investment banking. Revenue is also generated

from assets under custody and administration, which is

recognized as/when the associated promised service is

satisfied, which normally occurs at the point in time the

service is requested by the customer and provided by Citi.

Revenue generated from these activities is primarily recorded

in Administration and other fiduciary fees. For additional

information on these various types of revenues, see Note 5 to

the Consolidated Financial Statements.

In addition, as a market maker, ICG facilitates

transactions, including holding product inventory to meet

client demand, and earns the differential between the price at

which it buys and sells the products. These price differentials

and the unrealized gains and losses on the inventory are

recorded in Principal transactions. Mark-to-market gains and

losses on certain credit derivatives (used to hedge the

corporate loan portfolio) are also recorded in Principal

transactions, (for additional information on Principal

transactions revenue, see Note 6 to the Consolidated Financial

Statements). Other primarily includes realized gains and losses

on available-for-sale (AFS) debt securities, gains and losses on

equity securities not held in trading accounts and other non-

recurring gains and losses. Interest income earned on assets

held, less interest paid on long- and short-term debt and to

customers on deposits, is recorded as Net interest revenue.

The amount and types of Markets revenues are impacted

by a variety of interrelated factors, including market liquidity;

changes in market variables such as interest rates, foreign

exchange rates, equity prices, commodity prices and credit

spreads, as well as their implied volatilities; investor

confidence and other macroeconomic conditions. Assuming

all other market conditions do not change, increases in client

activity levels or bid/offer spreads generally result in increases

in revenues. However, changes in market conditions can

significantly impact client activity levels, bid/offer spreads and

the fair value of product inventory. For example, a decrease in

market liquidity may increase bid/offer spreads, decrease

client activity levels and widen credit spreads on product

inventory positions.

ICG’s management of the Markets businesses involves

daily monitoring and evaluation of the above factors at the

trading desk as well as the country level. ICG does not

separately track the impact on total Markets revenues of the

volume of transactions, bid/offer spreads, fair value changes of

product inventory positions and economic hedges because, as

noted above, these components are interrelated and are not

deemed useful or necessary to manage the Markets businesses

at an aggregate level.

In the Markets businesses, client revenues are those

revenues directly attributable to client transactions at the time

of inception, including commissions, interest or fees earned.

Client revenues do not include the results of client facilitation

activities (e.g., holding product inventory in anticipation of

client demand) or the results of certain economic hedging

activities.

ICG’s international presence is supported by trading

floors in approximately 80 countries and a proprietary network

in 96 countries and jurisdictions. At December 31, 2020, ICG

had $1.7 trillion in assets and $924 billion in deposits, while

two of its businesses—securities services and issuer services

—managed $24.0 trillion and $20.3 trillion in assets under

custody as of December 31, 2020 and 2019, respectively. For

additional information on these operations, see

“Administration and Other Fiduciary Fees” in Note 5 to the

Consolidated Financial Statements.

In millions of dollars, except as otherwise noted

2020 2019 2018

% Change

2020 vs. 2019

% Change

2019 vs. 2018

Commissions and fees $ 4,412 $ 4,462 $ 4,651 (1) % (4) %

Administration and other fiduciary fees 2,877 2,756 2,806 4 (2)

Investment banking 5,009 4,440 4,358 13 2

Principal transactions 13,308 8,562 8,742 55 (2)

Other

(1)

1,149 1,829 941 (37) 94

Total non-interest revenue $ 26,755 $ 22,049 $ 21,498 21 % 3 %

Net interest revenue (including dividends) 17,498 17,252 16,827 1 3

Total revenues, net of interest expense $ 44,253 $ 39,301 $ 38,325 13 % 3 %

Total operating expenses $ 23,467 $ 22,224 $ 21,780 6 % 2 %

Net credit losses on loans $ 987 $ 394 $ 208 NM 89 %

Credit reserve build (release) for loans 3,172 71 (109) NM NM

Provision for credit losses on unfunded lending commitments 1,435 98 116 NM (16)

Provisions for credit losses on HTM debt securities and other

assets 21 — — 100 % —

Provisions for credit losses $ 5,615 $ 563 $ 215 NM NM

Income from continuing operations before taxes $ 15,171 $ 16,514 $ 16,330 (8) % 1 %

Income taxes 3,373 3,570 3,756 (6) (5)

Income from continuing operations $ 11,798 $ 12,944 $ 12,574 (9) % 3 %

Noncontrolling interests 50 40 17 25 NM

Net income $ 11,748 $ 12,904 $ 12,557 (9) % 3 %

Balance Sheet data and ratios

EOP assets (in billions of dollars) $ 1,730 $ 1,447 $ 1,438 20 % 1 %

Average assets (in billions of dollars) 1,706 1,493 1,449 14 3

Return on average assets 0.69 % 0.86 % 0.87 %

Efficiency ratio 53 57 57

Revenues by region

North America $ 17,185 $ 13,459 $ 13,522 28 % — %

EMEA 12,814 12,006 11,770 7 2

Latin America 4,838 5,166 4,954 (6) 4

Asia 9,416 8,670 8,079 9 7

Total $ 44,253 $ 39,301 $ 38,325 13 % 3 %

Income from continuing operations by region

North America $ 3,461 $ 3,511 $ 3,675 (1) % (4) %

EMEA 3,327 3,867 3,889 (14) (1)

Latin America 1,406 2,111 2,013 (33) 5

Asia 3,604 3,455 2,997 4 15

Total $ 11,798 $ 12,944 $ 12,574 (9) % 3 %

Average loans by region (in billions of dollars)

North America $ 201 $ 188 $ 174 7 % 8 %

EMEA 88 87 81 1 7

Latin America 39 40 42 (3) (5)

Asia 71 73 77 (3) (5)

Total $ 399 $ 388 $ 374 3 % 4 %

EOP deposits by business (in billions of dollars)

Treasury and trade solutions $ 651 $ 536 $ 509 21 % 5 %

All other ICG businesses 273 232 218 18 6

Total $ 924 $ 768 $ 727 20 % 6 %

(1) 2019 includes an approximate $350 million gain on Citi’s investment in Tradeweb.

NM Not meaningful

ICG Revenue Details

In millions of dollars

2020 2019 2018

% Change

2020 vs. 2019

% Change

2019 vs. 2018

Investment banking revenue details

Advisory $ 1,010 $ 1,259 $ 1,301 (20) % (3) %

Equity underwriting 1,593 973 991 64 (2)

Debt underwriting 3,184 2,984 2,719 7 10

Total investment banking $ 5,787 $ 5,216 $ 5,011 11 % 4 %

Treasury and trade solutions 9,524 10,293 9,914 (7) 4

Corporate lending—excluding gains (losses) on loan hedges

(1)

2,184 2,921 2,913 (25) —

Private bank—excluding gains (losses) on loan hedges

(1)

3,737 3,460 3,398 8 2

Total Banking revenues (ex-gains (losses) on loan hedges)

(1)

$ 21,232 $ 21,890 $ 21,236 (3) % 3 %

Gains (losses) on loan hedges

(1)

$ (51) $ (432) $ 45 88 % NM

Total Banking revenues (including gains (losses) on loan

hedges), net of interest expense $ 21,181 $ 21,458 $ 21,281 (1) % 1 %

Fixed income markets

(2)

$ 17,256 $ 12,884 $ 11,661 34 % 10 %

Equity markets 3,624 2,908 3,427 25 (15)

Securities services 2,545 2,631 2,631 (3) —

Other (353) (580) (675) 39 14

Total Markets and securities services revenues, net

of interest expense $ 23,072 $ 17,843 $ 17,044 29 % 5 %

Total revenues, net of interest expense $ 44,253 $ 39,301 $ 38,325 13 % 3 %

Commissions and fees $ 677 $ 782 $ 705 (13) % 11 %

Principal transactions

(3)

11,518 7,661 7,134 50 7

Other

(2)

579 1,117 380 (48) NM

Total non-interest revenue $ 12,774 $ 9,560 $ 8,219 34 % 16 %

Net interest revenue 4,482 3,324 3,442 35 (3)

Total fixed income markets

(4)

$ 17,256 $ 12,884 $ 11,661 34 % 10 %

Rates and currencies $ 12,145 $ 9,225 $ 8,486 32 % 9 %

Spread products/other fixed income 5,111 3,659 3,175 40 15

Total fixed income markets $ 17,256 $ 12,884 $ 11,661 34 % 10 %

Commissions and fees $ 1,245 $ 1,121 $ 1,267 11 % (12) %

Principal transactions

(3)

1,281 775 1,240 65 (38)

Other 322 172 110 87 56

Total non-interest revenue $ 2,848 $ 2,068 $ 2,617 38 % (21) %

Net interest revenue 776 840 810 (8) 4

Total equity markets

(4)

$ 3,624 $ 2,908 $ 3,427 25 % (15) %

(1) Credit derivatives are used to economically hedge a portion of the private bank and corporate loan portfolio that includes both accrual loans and loans at fair value.

Gains (losses) on loan hedges include the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The

fixed premium costs of these hedges are netted against the private bank and corporate lending revenues to reflect the cost of credit protection. Gains (losses) on

loan hedges include $(74) million related to the corporate loan portfolio and $23 million related to the private bank for the year ended December 31, 2020. All of

gains (losses) on loan hedges are related to the corporate loan portfolio for the years ended December 31, 2019 and 2018. Citigroup’s results of operations

excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.

(2) 2019 includes an approximate $350 million gain on Citi’s investment in Tradeweb.

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

(4) Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net

interest revenue may be risk managed by derivatives that are recorded in Principal transactions revenue. For a description of the composition of these revenue

line items, see Notes 4, 5 and 6 to the Consolidated Financial Statements.

NM Not meaningful

The discussion of the results of operations for ICG below excludes (where noted) the impact of gains (losses) on hedges of accrual

loans, which are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.

2020 vs. 2019

Net income decreased 9%, as higher revenues were more than

offset by significantly higher credit costs and higher expenses.

Revenues increased 13%, driven by a 29% increase in

Markets and securities services revenues, partially offset by a

1% decrease in Banking revenues (including the impact of

gains (losses) on loan hedges). Excluding the impact of gains

(losses) on loan hedges, Banking revenues declined 3%, as

growth in investment banking and the private bank was more

than offset by a decrease in treasury and trade solutions and

corporate lending. Excluding the pretax gain of approximately

$350 million on Citi’s investment in Tradeweb in the prior

year, Markets and securities services revenues increased 32%,

primarily driven by growth in both fixed income markets and

equity markets, partially offset by a decline in securities

services.

Within Banking:

• Investment banking revenues were up 11%, reflecting

growth in overall market wallet as well as gains in wallet

share. Advisory revenues decreased 20%, primarily

reflecting a decline in the market wallet largely due to the

pandemic and a decline in wallet share. Equity

underwriting revenues increased 64%, reflecting growth

in North America, EMEA and Asia, driven by continued

strength in the market wallet, reflecting improved market

liquidity and investor sentiment as well as wallet share

gains. Debt underwriting revenues increased 7%,

reflecting particular strength in North America, partially

offset by Latin America, primarily driven by an increase

in the second quarter of 2020, as the business assisted

clients with sourcing liquidity. The increase in revenues

was largely driven by a higher market wallet in

investment grade debt underwriting, as well as an increase

in overall wallet share.

• Treasury and trade solutions revenues decreased 7%.

Excluding the impact of FX translation, revenues

decreased 5%, primarily driven by declines in EMEA and

Asia. The decline in revenues was driven by both the cash

and trade businesses. In the cash business, the decline in

revenues reflected lower interest rates and a slowdown in

commercial cards spend driven by the pandemic, partially

offset by strong deposit volumes. Average deposit

balances increased 23% (22% excluding the impact of FX

translation), reflecting strong client engagement and solid

growth across all regions. In trade, revenues were

impacted by a decline in trade fees and trade loans,

reflecting a slowdown in underlying trade flows related to

the pandemic, partially offset by improved trade spreads.

• Corporate lending revenues decreased 15%, including

lower losses on loan hedges. Excluding the impact of

losses on loan hedges, revenues decreased 25%, driven by

lower loan spreads, an adjustment to the residual value of

a lease financing asset and higher hedging costs, partially

offset by higher average loan volumes. Average loans

were up 4%, reflecting higher volumes as the business

assisted clients with sourcing liquidity in the evolving

environment, primarily in the first half of 2020. End-of-

period loans declined 9% in the current year, primarily

reflecting repayments, as Citi’s clients accessed the

capital markets, as well as lower loan demand in the

second half of 2020, given more muted economic activity.

• Private bank revenues increased 9%. Excluding the

impact of gains on loan hedges, revenues increased 8%,

reflecting strength across all regions, driven by continued

solid client engagement, in particular in capital markets,

higher managed investments revenues and higher loan and

deposit volumes, partially offset by lower deposit spreads

due to the low interest rate environment.

Within Markets and securities services:

• Fixed income markets revenues increased 34%. Excluding

the Tradeweb gain in the prior year, revenues increased

38%, reflecting strength across all regions, driven by

strong client activity in rates and currencies, spread

products and commodities, due to the impact of market

conditions, including elevated volatility related to the

pandemic primarily in the first half of the year, and

developments related to vaccines and the U.S. elections in

the second half of the year. Non-interest revenues

increased, reflecting higher corporate and investor

activity, given elevated volumes, spreads and volatility,

primarily in the first half the year. Net interest revenues

also increased, largely reflecting a change in the mix of

trading positions in support of client activity, as well as

lower funding costs.

Rates and currencies revenues increased 32%,

primarily driven by higher G10 rates and currencies

revenues in North America and EMEA, as Citi helped

corporate and investor clients reposition their portfolios in

a volatile market environment driven by the pandemic

largely in the first half of 2020. Spread products and other

fixed income revenues increased 40%, reflecting strong

client activity following robust primary issuance,

particularly in flow trading, as well as a more favorable

market making environment, as evidenced by spread

tightening. Commodities revenues increased, reflecting a

more favorable market making environment, as volatility

remained elevated, particularly in gold and oil.

• Equity markets revenues increased 25%, driven by higher

revenues in cash equities and derivatives, partially offset

by a modest decline in prime finance revenues. Cash

equities revenues increased driven by elevated levels of

client activity. Equity derivatives revenues increased,

reflecting strong client activity and continued market

volatility, particularly in North America. The decline in

prime finance revenues was largely due to lower

financing spreads. Non-interest revenues increased,

primarily driven by higher principal transactions and

commissions and fee revenues, due to higher client

activity and a more favorable trading environment due to

volatility related to the pandemic and developments

related to vaccines and U.S. elections, as well as a change

in the mix of trading positions in support of client activity.

• Securities services revenues decreased 3%. Excluding the

impact of FX translation, revenues decreased 1%, as

higher deposit volumes were more than offset by lower

deposit spreads due to the low interest rate environment.

For additional information on trends in ICG’s deposits

and trade loans, see “Managing Global Risk—Liquidity Risk

—Loans” and “—Deposits” below.

Expenses increased 6%, reflecting investments in

infrastructure, risk management and controls, higher

compensation costs, operational losses related to certain legal

matters and volume-driven growth, partially offset by

efficiency savings.

Provisions increased to $5.6 billion, driven by net credit

losses of $987 million (compared to $394 million in the prior

year), and an ACL build of $4.6 billion (compared to a modest

build in the prior year under prior accounting standards). The

increase in net credit losses was largely driven by write-offs

across various sectors in both North America and EMEA,

primarily reflecting energy and energy-related exposures. The

net credit losses were partially offset by the release of

previously established ACL reserves.

The increase in the ACL build was driven by builds

during the first half of 2020. The builds reflected the impact of

a deterioration in Citi’s macroeconomic outlook under the

CECL standard, driven by the impact of the pandemic across

multiple sectors, as well as downgrades in the corporate

portfolios. Sectors significantly impacted by the pandemic

(including transportation; commercial real estate; energy and

energy-related; and consumer retail) drove approximately half

of the ACL reserve build during 2020. The reserve build also

included an increase in the qualitative management adjustment

to reflect the potential for a higher level of stress and a slower

economic recovery. For additional information on Citi’s ACL

accounting, see “Significant Accounting Policies and

Significant Estimates” below and Notes 1 and 15 to the

Consolidated Financial Statements.

As of December 31, 2020, reserves held on Citi’s balance

sheet represented 1.4% of funded loans, compared to 0.7% as

of December 31, 2019, including 4.4% of reserves held against

the non-investment grade portion.

For additional information on ICG’s corporate credit

portfolio, see “Managing Global Risk—Credit Risk—

Corporate Credit” below.

For additional information about trends, uncertainties and

risks related to ICG’s future results, see “COVID-19

Pandemic Overview” and “Risk Factors” above.

CORPORATE/OTHER

Corporate/Other includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and

compliance), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as

Corporate Treasury, certain North America legacy consumer loan portfolios, other legacy assets and discontinued operations (for

additional information on Corporate/Other, see “Citigroup Segments” above). At December 31, 2020, Corporate/Other had $96

billion in assets.

In millions of dollars

2020 2019 2018

% Change

2020 vs. 2019

% Change

2019 vs. 2018

Net interest revenue $ (150) $ 1,890 $ 2,361 NM (20) %

Non-interest revenue 204 124 (171) 65 % NM

Total revenues, net of interest expense $ 54 $ 2,014 $ 2,190 (97) % (8) %

Total operating expenses $ 2,501 $ 2,150 $ 2,275 16 % (5) %

Net credit losses (recoveries) on loans $ (22) $ (8) $ 21 NM NM

Credit reserve build (release) for loans 188 (60) (218) NM 72 %

Provision (release) for credit losses on unfunded lending

commitments 11 (7) (3) NM NM

Provisions (releases) for benefits and claims, HTM debt

securities and other assets 1 — (2) 100 % 100

Provisions (releases) for credit losses and for benefits and

claims $ 178 $ (75) $ (202) NM 63 %

Income (loss) from continuing operations before taxes $ (2,625) $ (61) $ 117 NM NM

Income taxes (benefits) (1,060) (886) (88) (20) % NM

Income (loss) from continuing operations $ (1,565) $ 825 $ 205 NM NM

(Loss) from discontinued operations, net of taxes (20) (4) (8) NM 50 %

Net income (loss) before attribution of noncontrolling

interests $ (1,585) $ 821 $ 197 NM NM

Noncontrolling interests (6) 20 11 NM 82 %

Net income (loss) $ (1,579) $ 801 $ 186 NM NM

NM Not meaningful

2020 vs. 2019

Net loss was $1.6 billion, compared to net income of $801

million in the prior year, largely driven by lower revenues,

higher expenses, higher cost of credit and higher tax benefits

in the prior year. The higher tax benefits in the prior year were

primarily due to higher valuation allowance adjustments on

Citi’s deferred tax assets.

Revenues of $54 million decreased $2.0 billion, reflecting

the impact of lower interest rates, episodic gains in the prior

year, the wind-down of legacy assets and marks on securities.

Expenses increased 16%, as the wind-down of legacy

assets was more than offset by investments in infrastructure,

risk management and controls, the $400 million civil money

penalty (for additional information, see “Executive Summary”

and “Citi’s Consent Order Compliance” above) and

incremental costs associated with the pandemic.

Provisions increased $253 million to $178 million,

primarily driven by ACL builds of $199 million on legacy

assets (versus a $67 million release in the prior year under

prior accounting standards).

The ACL build was driven by builds during the first half

of 2020 and primarily reflected the impact of a deterioration in

Citi’s macroeconomic outlook under the CECL standard,

primarily due to the pandemic. For additional information on

Citi’s ACL, see “Significant Accounting Policies and

Significant Estimates” below and Notes 1 and 15 to the

Consolidated Financial Statements.

For additional information about trends, uncertainties and

risks related to Corporate/Other’s future results, see

“COVID-19 Pandemic Overview” above and “Risk Factors”

below.

CAPITAL RESOURCES

Overview

Capital is used principally to support assets in Citi’s

businesses and to absorb credit, market and operational losses.

Citi primarily generates capital through earnings from its

operating businesses. Citi may augment its capital through

issuances of common stock and noncumulative perpetual

preferred stock, among other issuances. Further, Citi’s capital

levels may also be affected by changes in accounting and

regulatory standards, as well as U.S. corporate tax laws and

the impact of future events on Citi’s business results, such as

changes in interest and foreign exchange rates, as well as

business and asset dispositions.

During 2020, Citi returned a total of $7.2 billion of capital

to common shareholders in the form of share repurchases

(approximately 41 million common shares) and dividends. On

March 15, 2020, Citi announced it had joined other major U.S.

banks in suspending share repurchases to support clients in

light of the pandemic. Citi commenced share repurchases in

February 2021. For additional information, see “Unregistered

Sales of Equity Securities, Repurchases of Equity Securities

and Dividends—Equity Security Repurchases” below.

Capital Management

Citi’s capital management framework is designed to ensure

that Citigroup and its principal subsidiaries maintain sufficient

capital consistent with each entity’s respective risk profile,

management targets and all applicable regulatory standards

and guidelines. Citi assesses its capital adequacy against a

series of internal quantitative capital goals, designed to

evaluate its capital levels in expected and stressed economic

environments. Underlying these internal quantitative capital

goals are strategic capital considerations, centered on

preserving and building financial strength.

The Citigroup Capital Committee, with oversight from the

Risk Management Committee of Citigroup’s Board of

Directors, has responsibility for Citi’s aggregate capital

structure, including the capital assessment and planning

process, which is integrated into Citi’s capital plan. Balance

sheet management, including oversight of capital adequacy,

for Citigroup’s subsidiaries is governed by each entity’s Asset

and Liability Committee, where applicable.

For additional information regarding Citi’s capital

planning and stress testing exercises, see “Stress Testing

Component of Capital Planning” below.

Current Regulatory Capital Standards

Citi is subject to regulatory capital standards issued by the

Federal Reserve Board, which constitute the U.S. Basel III

rules. These rules establish an integrated capital adequacy

framework, encompassing both risk-based capital ratios and

leverage ratios.

Risk-Based Capital Ratios

The U.S. Basel III rules set forth the composition of regulatory

capital (including the application of regulatory capital

adjustments and deductions), as well as two comprehensive

methodologies (a Standardized Approach and Advanced

Approaches) for measuring total risk-weighted assets. Total

risk-weighted assets under the Advanced Approaches, which

are primarily models based, include credit, market and

operational risk-weighted assets. The Standardized Approach

generally applies prescribed supervisory risk weights to broad

categories of credit risk exposures. As a result, credit risk-

weighted assets calculated under the Advanced Approaches

are more risk sensitive than those calculated under the

Standardized Approach. Market risk-weighted assets are

currently calculated on a generally consistent basis under both

approaches. The Standardized Approach excludes operational

risk-weighted assets.

Under the U.S. Basel III rules, both Citi and Citibank,

N.A. (Citibank) are required to maintain stated minimum

Common Equity Tier 1 Capital, Tier 1 Capital and Total

Capital ratios of 4.5%, 6.0% and 8.0%, respectively. Further,

the U.S. Basel III rules implement the “capital floor provision”

of the so-called “Collins Amendment” of the Dodd-Frank Act,

which requires Advanced Approaches banking organizations

to calculate each of the three risk-based capital ratios

(Common Equity Tier 1 Capital, Tier 1 Capital and Total

Capital) under both the U.S. Basel III Standardized Approach

and the Advanced Approaches and comply with the lower of

each of the resulting risk-based capital ratios.

Tier 1 Leverage Ratio

Under the U.S. Basel III rules, Citi is also required to maintain

a minimum Tier 1 Leverage ratio of 4.0%. The Tier 1

Leverage ratio, a non-risk-based measure of capital adequacy,

is defined as Tier 1 Capital as a percentage of quarterly

adjusted average total assets less amounts deducted from Tier

1 Capital.

Supplementary Leverage Ratio

Citi is also required to calculate a Supplementary Leverage

ratio, which differs from the Tier 1 Leverage ratio by also

including certain off-balance sheet exposures within the

denominator of the ratio (Total Leverage Exposure). The

Supplementary Leverage ratio represents end of period Tier 1

Capital to Total Leverage Exposure, with the latter defined as

the sum of the daily average of on-balance sheet assets for the

quarter and the average of certain off-balance sheet exposures

calculated as of the last day of each month in the quarter, less

applicable Tier 1 Capital deductions. Advanced Approaches

banking organizations are required to maintain a stated

minimum Supplementary Leverage ratio of 3.0%.

Further, U.S. GSIBs, including Citi, are subject to

enhanced Supplementary Leverage ratio standards. The

enhanced Supplementary Leverage ratio standards establish a

2.0% leverage buffer in addition to the stated 3.0% minimum

Supplementary Leverage ratio requirement, for a total

effective minimum Supplementary Leverage ratio requirement

of 5.0%. If a U.S. GSIB fails to exceed the 5.0% effective

minimum Supplementary Leverage ratio requirement, it will

be subject to increasingly onerous restrictions (depending

upon the extent of the shortfall) regarding capital distributions

and discretionary executive bonus payments.

Temporary Supplementary Leverage Ratio Relief

In April 2020, the Federal Reserve Board issued an interim

final rule that temporarily changes the calculation of the

Supplementary Leverage ratio for bank holding companies,

including Citigroup, by excluding U.S. Treasuries and

deposits at Federal Reserve Banks from Total Leverage

Exposure. Repo-style transactions on U.S. Treasuries are not

in scope for this relief. The Supplementary Leverage ratio is a

non-risk-sensitive measure, and the temporary exclusion

allows banking organizations to expand their balance sheet, as

appropriate, to continue to serve as financial intermediaries

and to provide credit to households and businesses during the

pandemic.

The interim final rule became effective for Citigroup’s

Supplementary Leverage ratio, as well as for Citigroup’s

leverage-based Total Loss Absorbing Capacity (TLAC) and

Long-Term Debt (LTD) requirements, beginning with the

quarter ended June 30, 2020, and will continue through March

31, 2021. Citigroup’s reported Supplementary Leverage ratio

of 7.0% benefited 109 basis points during the fourth quarter of

2020 as a result of the temporary relief. Excluding the

temporary relief, Citigroup’s Supplementary Leverage ratio

would have been 5.9%, compared with a 5.0% effective

minimum requirement.

In June 2020, the U.S. banking agencies issued an interim

final rule permitting depository institutions, including

Citibank, to elect to temporarily exclude U.S. Treasuries and

deposits at Federal Reserve Banks from Total Leverage

Exposure, subject to the condition that the depository

institution receive approval from its primary federal banking

regulator prior to paying dividends or making certain other

capital distributions while the exclusion is in effect. Citibank

did not elect to temporarily exclude U.S. Treasuries and

deposits at Federal Reserve Banks from Total Leverage

Exposure. Accordingly, the calculation methodology of

Citibank’s Supplementary Leverage ratio was unchanged.

Regulatory Capital Treatment—Modified Transition of the

Current Expected Credit Losses Methodology

In September 2020, the U.S. banking agencies issued a final

rule (substantially unchanged from a March 2020 interim final

rule) that modifies the regulatory capital transition provision

related to the current expected credit losses (CECL)

methodology.

The final rule permits banks to delay for two years the

“Day One” adverse regulatory capital effects resulting from

adoption of the CECL methodology on January 1, 2020 until

January 1, 2022, followed by a three-year transition to phase

out the regulatory capital benefit provided by the delay.

In addition, for the ongoing impact of CECL, the agencies

utilize a 25% scaling factor as an approximation of the

increased reserve build under CECL compared to the previous

incurred loss model and, therefore, allows banks to add back

to Common Equity Tier 1 Capital an amount equal to 25% of

the change in CECL-based allowances recognized through

earnings in each quarter between January 1, 2020 and

December 31, 2021. Beginning January 1, 2022, the

cumulative 25% change in CECL-based allowances

recognized through earnings between January 1, 2020 and

December 31, 2021 will be phased in to regulatory capital at

25% per year on January 1 of each year over the three-year

transition period, along with the delayed “Day One” impact.

Citigroup and Citibank have elected the modified CECL

transition provision provided by the rule beginning with the

quarter ended March 31, 2020. Accordingly, the Day One

regulatory capital effects resulting from adoption of the CECL

methodology, as well as the ongoing adjustments for 25% of

the change in CECL-based allowances recognized through

earnings in each quarter between January 1, 2020 and

December 31, 2021, will now commence phase-in on January

1, 2022 and will be fully reflected in Citi’s regulatory capital

as of January 1, 2025.

For additional information on the U.S. banking agencies’

original regulatory capital transition provision related to the

“Day One” adverse regulatory capital effects resulting from

adoption of the CECL methodology, see “Capital Resources—

Regulatory Capital Treatment—Implementation and

Transition of the Current Expected Credit Losses (CECL)

Methodology” in Citi’s 2019 Annual Report on Form 10-K.

Neither the September 2020 final rule nor the agencies’ prior

guidance has any impact on U.S. GAAP accounting.

Regulatory Capital Buffers

Citi and Citibank are required to maintain several regulatory

capital buffers above stated minimum capital requirements.

These capital buffers would be available to absorb losses in

advance of any potential impairment of regulatory capital

below the stated minimum risk-based capital ratio

requirements. Any breach of the buffers to absorb losses

during periods of financial or economic stress would result in

restrictions on earnings distributions (e.g., dividends, share

repurchases and discretionary executive bonuses), with the

degree of such restrictions based upon the extent to which the

buffers are breached. For additional information regarding

limitations on capital distributions, see “Use of Regulatory

Capital Buffers” below.

Stress Capital Buffer

In March 2020, the Federal Reserve Board issued the final

Stress Capital Buffer (SCB) rule, integrating the annual stress

testing requirements with ongoing regulatory capital

requirements.

For Citigroup only, the SCB replaces the fixed 2.5%

Capital Conservation Buffer under the Standardized

Approach, and equals the peak-to-trough Common Equity Tier

1 Capital ratio decline under the Supervisory Severely

Adverse scenario used in the Comprehensive Capital Analysis

and Review (CCAR) and Dodd-Frank Act Stress Testing

(DFAST), plus four quarters of planned common stock

dividends, subject to a floor of 2.5%. The fixed 2.5% Capital

Conservation Buffer will continue to apply under the

Advanced Approaches. SCB-based minimum capital

requirements will generally be updated once per year as part of

the CCAR process. For additional information regarding

CCAR and DFAST, see “Stress Testing Component of Capital

Planning” below.

In August 2020, the Federal Reserve Board finalized and

announced Citi’s SCB requirement of 2.5%. Accordingly,

effective October 1, 2020, Citigroup is required to maintain a

10.0% effective minimum Common Equity Tier 1 Capital

ratio under the Standardized Approach, which is unchanged

from Citi’s previous effective minimum requirement Common

Equity Tier 1 Capital ratio under the Standardized Approach

inclusive of the 2.5% Capital Conservation Buffer.

The Federal Reserve Board may, but is not required to,

recalculate Citi’s SCB as a result of the capital plan

resubmission, and has deferred such a decision through March

31, 2021. For additional information on the capital plan

resubmission, which the Federal Reserve Board required for

each firm subject to its capital plan rule, see “Capital Plan

Resubmission and Related Limitations on Capital

Distributions” below.

The SCB applies to Citigroup only. The regulatory capital

framework applicable to Citibank, including the Capital

Conservation Buffer, is unchanged by the SCB final rule.

Capital Conservation Buffer and Countercyclical Capital

Buffer

Citigroup is subject to a fixed 2.5% Capital Conservation

Buffer under the Advanced Approaches and, prior to the

October 1, 2020 effective date of the SCB, under the

Standardized Approach as well. Citibank is subject to the fixed

2.5% Capital Conservation Buffer under both the Advanced

Approaches and the Standardized Approach.

Additionally, Advanced Approaches banking

organizations, such as Citi and Citibank, are subject to a

discretionary Countercyclical Capital Buffer. The Federal

Reserve Board last voted to affirm the Countercyclical Capital

Buffer amount at the current level of 0% in December 2020.

GSIB Surcharge

The Federal Reserve Board imposes a risk-based capital

surcharge upon U.S. bank holding companies that are

identified as global systemically important bank holding

companies (GSIBs), including Citi. The GSIB surcharge

augments the SCB, Capital Conservation Buffer and, if

invoked, any Countercyclical Capital Buffer.

A U.S. bank holding company that is designated a GSIB

is required, on an annual basis, to calculate a surcharge using

two methods and is subject to the higher of the resulting two

surcharges. The first method (“method 1”) is based on the

Basel Committee’s GSIB methodology. Under the second

method (“method 2”), the substitutability category under the

Basel Committee’s GSIB methodology is replaced with a

quantitative measure intended to assess a GSIB’s reliance on

short-term wholesale funding. In addition, method 1

incorporates relative measures of systemic importance across

certain global banking organizations and a year-end spot

foreign exchange rate, whereas method 2 uses fixed measures

of systemic importance and application of an average foreign

exchange rate over a three-year period. The GSIB surcharges

calculated under both method 1 and method 2 are based on

measures of systemic importance from the year immediately

preceding that in which the GSIB surcharge calculations are

being performed (e.g., the method 1 and method 2 GSIB

surcharges to be calculated by December 31, 2021 will be

based on 2020 systemic indicator data). Generally, Citi’s

surcharge determined under method 2 will result in a higher

surcharge than its surcharge determined under method 1.

Should a GSIB’s systemic importance change year-over-

year such that it becomes subject to a higher surcharge, the

higher surcharge would not become effective for a full year

(e.g., a higher surcharge calculated by December 31, 2021

would not become effective until January 1, 2023). However,

if a GSIB’s systemic importance changes such that the GSIB

would be subject to a lower surcharge, the GSIB would be

subject to the lower surcharge beginning with the next

calendar year (e.g., a lower surcharge calculated by December

31, 2021 would become effective January 1, 2022).

The following table sets forth Citi’s effective GSIB

surcharge as determined under method 1 and method 2 for

2020 and 2019:

2020 2019

Method 1 2.0 % 2.0 %

Method 2 3.0 3.0

Citi’s GSIB surcharge effective for both 2020 and 2019

was 3.0%, as derived under the higher method 2 result. Citi’s

GSIB surcharge effective for 2021 will remain unchanged at

3.0%, as derived under the higher method 2 result. Citi expects

that its method 2 GSIB surcharge will continue to remain

higher than its method 1 GSIB surcharge. Accordingly, Citi’s

GSIB surcharge effective for 2022 will not exceed 3.0%.

Citi’s GSIB surcharge effective for 2023 will likely be based

on the lower of its method 2 scores for year-end 2020 and

2021, and could increase to 3.5%.

Use of Regulatory Capital Buffers

In March 2020, the U.S. banking agencies issued a statement

encouraging banking organizations to use their regulatory

capital buffers as they respond to the challenges presented by

the effects of the COVID-19 pandemic.

Consistent with the statement, in October 2020, the U.S.

banking agencies issued a final rule (substantially unchanged

from two previous interim final rules in March 2020) that

eases capital distribution limitations in the original U.S. Basel

III rules, in an effort to reduce the impact of using regulatory

capital buffers. The changes in the rule have the potential to

prevent a complete and sudden cessation of capital

distributions due to a breach of regulatory capital buffers,

which include the SCB, Capital Conservation Buffer, GSIB

surcharge, and any Countercyclical Capital Buffer (currently

0%).

The rule became effective in March 2020, and applies to

risk-based capital ratios, the Supplementary Leverage ratio,

and RWA-based or leverage-based external TLAC buffers.

External Long-Term Debt requirements do not include any

buffers and are, therefore, unaffected by the final rule. For

additional information on Citi’s TLAC-related requirements,

see “Total Loss-Absorbing Capacity (TLAC)” and “Risk

Factors—Compliance, Conduct and Legal Risks” below.

More specifically, under the U.S. Basel III rules, banking

organizations that fall below their regulatory capital buffers

are subject to limitations on capital distributions and

discretionary bonus payments to executive officers based on a

percentage of “Eligible Retained Income” (ERI), with

increasing restrictions based upon the severity of the breach.

The original definition of ERI in the U.S. Basel III rules was

equal to the bank’s net income for the four calendar quarters

preceding the current calendar quarter, net of any distributions

and tax effects not already reflected in net income. The final

rule revises the definition of ERI to equal the greater of: (i) the

bank’s net income for the four calendar quarters preceding the

current calendar quarter, net of any distributions and tax

effects not already reflected in net income, and (ii) the average

of the bank’s net income for the four calendar quarters

preceding the current calendar quarter.

As of December 31, 2020, Citi’s regulatory capital ratios

exceeded effective regulatory minimum requirements. Citi is

not subject to payout limitations as a result of Basel III

requirements. For information related to capital distribution

limitations that are currently in effect for large banks, see

“Capital Plan Resubmission and Related Limitations on

Capital Distributions” below.

The impact of the final rule on Citibank is limited,

because the minimum requirements to be considered “well-

capitalized” under the Prompt Corrective Action (PCA)

framework are unchanged.

Prompt Corrective Action Framework

In general, the Prompt Corrective Action (PCA) regulations

direct the U.S. banking agencies to enforce increasingly strict

limitations on the activities of insured depository institutions

that fail to meet certain regulatory capital thresholds. The PCA

framework contains five categories of capital adequacy as

measured by risk-based capital and leverage ratios: (i) “well

capitalized,” (ii) “adequately capitalized,” (iii)

“undercapitalized,” (iv) “significantly undercapitalized” and

(v) “critically undercapitalized.”

Accordingly, an insured depository institution, such as

Citibank, must maintain minimum 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.” In addition, insured depository

institution subsidiaries of U.S. GSIBs, including Citibank,

must maintain a minimum Supplementary Leverage ratio of

6.0% to be considered “well capitalized.” Citibank was “well

capitalized” as of December 31, 2020.

Stress Testing Component of Capital Planning

Citi is subject to an annual assessment by the Federal Reserve

Board as to whether Citigroup has effective capital planning

processes as well as sufficient regulatory capital to absorb

losses during stressful economic and financial conditions,

while also meeting obligations to creditors and counterparties

and continuing to serve as a credit intermediary. This annual

assessment includes two related programs: the Comprehensive

Capital Analysis and Review (CCAR) and Dodd-Frank Act

Stress Testing (DFAST).

For the largest and most complex firms, such as Citi,

CCAR includes a qualitative evaluation of a firm’s abilities to

determine its capital needs on a forward-looking basis. In

conducting the qualitative assessment, the Federal Reserve

Board evaluates firms’ capital planning practices, focusing on

six areas of capital planning—namely, governance, risk

management, internal controls, capital policies, incorporating

stressful conditions and events, and estimating impact on

capital positions. As part of the CCAR process, the Federal

Reserve Board evaluates Citi’s capital adequacy, capital

adequacy process and its planned capital distributions, such as

dividend payments and common share repurchases. The

Federal Reserve Board assesses whether Citi has sufficient

capital to continue operations throughout times of economic

and financial market stress and whether Citi has robust,

forward-looking capital planning processes that account for its

unique risks.

Since firms are now required to maintain risk-based

capital ratio minimum requirements that integrate stress test

results, the Federal Reserve Board’s SCB final rule eliminated

a number of previous CCAR requirements, including the once-

a-year quantitative objection, the pre-approval requirement

from the Federal Reserve Board for making distributions in

excess of planned capital actions, and the 30% dividend

payout ratio as a criterion for heightened supervisory scrutiny.

All CCAR firms, including Citi, are subject to a rigorous

evaluation of their capital planning process. Firms with weak

practices may be subject to a deficient supervisory rating, and

potentially an enforcement action, for failing to meet

supervisory expectations. For additional information regarding

CCAR, see “Risk Factors—Strategic Risks” below.

DFAST is a forward-looking quantitative evaluation of

the impact of stressful economic and financial market

conditions on Citi’s regulatory capital. This program serves to

inform the Federal Reserve Board and the general public as to

how Citi’s regulatory capital ratios might change using a

hypothetical set of adverse economic conditions as designed

by the Federal Reserve Board. In addition to the annual

supervisory stress test conducted by the Federal Reserve

Board, Citi is required to conduct annual company-run stress

tests under the same adverse economic conditions designed by

the Federal Reserve Board.

Both CCAR and DFAST include an estimate of projected

revenues, losses, reserves, pro forma regulatory capital ratios,

and any other additional capital measures deemed relevant by

Citi. Projections are required over a nine-quarter planning

horizon under two supervisory scenarios (baseline and

severely adverse conditions). All risk-based capital ratios

reflect application of the Standardized Approach framework

under the U.S. Basel III rules. Moreover, the Federal Reserve

Board has deferred the use of the Advanced Approaches

framework indefinitely.

In addition, Citibank is required to conduct the annual

Dodd-Frank Act Stress Test. The annual stress test consists of

a forward-looking quantitative evaluation of the impact of

stressful economic and financial market conditions under

several scenarios on Citibank’s regulatory capital. This

program serves to inform the Office of the Comptroller of the

Currency as to how Citibank’s regulatory capital ratios might

change during a hypothetical set of adverse economic

conditions and to ultimately evaluate the reliability of

Citibank’s capital planning process.

Capital Plan Resubmission and Related Limitations on

Capital Distributions

In June 2020, the Federal Reserve Board determined that

changes in financial markets and macroeconomic outlooks

related to the COVID-19 pandemic could have a material

effect on the risk profile and financial condition of each firm

subject to its capital plan rule and, therefore, required updated

capital plans. Citigroup resubmitted its capital plan in

November 2020.

In December 2020, the Federal Reserve Board announced

that it was modifying and extending for an additional quarter

several measures that were previously announced for the third

and fourth quarters of 2020 to ensure that large banks maintain

a high level of capital resilience. Through the end of the first

quarter of 2021, the Federal Reserve Board has authorized

firms, including Citi, to pay common stock dividends and

make share repurchases that, in the aggregate, do not exceed

an amount equal to the average of the firm’s net income for

the four preceding calendar quarters, unless otherwise

specified by the Federal Reserve Board, provided that the firm

does not exceed the amount of common stock dividends paid

in the second quarter of 2020. Additionally, through the end of

the first quarter of 2021, the Federal Reserve Board has

authorized firms to make share repurchases relating to

issuances of common stock related to employee stock

ownership plans, and to redeem and make scheduled payments

on Additional Tier 1 Capital and Tier 2 Capital instruments.

These limitations on capital distributions may be extended or

modified by the Federal Reserve Board.

On June 29, 2020, Citi announced its planned capital

actions including common dividends. Citi is permitted to

return capital to common shareholders of up $2.8 billion

during the first quarter of 2021, including the previously

announced common dividends of $0.51 per share in the

quarter, consistent with the Federal Reserve Board’s income-

based formula for temporary limitations on common dividends

and common share repurchases announced in December 2020.

Citi commenced share repurchases in February 2021.

The Federal Reserve Board may, but is not required to,

recalculate Citi’s SCB as a result of the capital plan

resubmission, and has deferred such a decision up to March

31, 2021.

Citigroup’s Capital Resources

Citi is required to maintain stated minimum Common Equity

Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%,

6.0% and 8.0%, respectively. Citi’s effective minimum capital

requirements are presented in the table below.

Furthermore, to be “well capitalized” under current

federal bank regulatory agency definitions, a bank holding

company must have a Tier 1 Capital ratio of at least 6.0%, a

Total Capital ratio of at least 10.0% and not be subject to a

Federal Reserve Board directive to maintain higher capital

levels.

The following tables set forth Citi’s capital components

and ratios as of December 31, 2020, September 30, 2020 and

December 31, 2019:

Advanced Approaches Standardized Approach

In millions of dollars, except ratios

Effective

Minimum

Requirement

(1)

Dec. 31, 2020 Sep. 30, 2020 Dec. 31, 2019 Dec. 31, 2020 Sep. 30, 2020 Dec. 31, 2019

Common Equity Tier 1 Capital

(2)

$ 147,274 $ 142,158 $ 137,798 $ 147,274 $ 142,158 $ 137,798

Tier 1 Capital 167,053 160,311 155,805 167,053 160,311 155,805

Total Capital (Tier 1 Capital +

Tier 2 Capital)

(2)

195,959 189,477 181,337 204,849 198,120 193,711

Total Risk-Weighted Assets 1,255,284 1,218,977 1,142,804 1,221,576 1,178,219 1,168,848

Credit Risk

(2)

$ 844,374 $ 821,024 $ 778,759 $ 1,109,435 $ 1,077,719 $ 1,110,100

Market Risk 107,812 96,873 57,317 112,141 100,500 58,748

Operational Risk 303,098 301,080 306,728 — — —

Common Equity Tier 1 Capital

ratio

(3)

10.0 % 11.73 % 11.66 % 12.06 % 12.06 % 12.07 % 11.79 %

Tier 1 Capital ratio

(3)

11.5 13.31 13.15 13.63 13.68 13.61 13.33

Total Capital ratio

(3)

13.5 15.61 15.54 15.87 16.77 16.82 16.57

In millions of dollars, except ratios

Effective

Minimum

Requirement Dec. 31, 2020 Sept. 30, 2020 Dec. 31, 2019

Quarterly Adjusted Average Total Assets

(2)(4)

$ 2,265,615 $ 2,224,446 $ 1,957,039

Total Leverage Exposure

(2)(5)

2,386,881 2,349,620 2,513,702

Tier 1 Leverage ratio 4.0% 7.37 % 7.21 % 7.96 %

Supplementary Leverage ratio 5.0 7.00 6.82 6.20

(1) Beginning October 1, 2020, Citi’s effective minimum risk-based capital requirements include the 2.5% SCB 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). For prior periods presented, Citi’s effective minimum risk-based capital requirements include the 2.5% Capital Conservation Buffer and the

3.0% GSIB surcharge under both Approaches.

(2) Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S.

banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets

(DTAs) arising from temporary differences, and the ACL upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital

at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the ACL in an amount equal

to 25% of the change in the ACL recognized through earnings (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative

adjustments to retained earnings and the ACL between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year

commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-

balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. Additionally, the increase in DTAs arising from

temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year

commencing January 1, 2022.

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

2020 and September 30, 2020, and the Basel III Standardized Approach as of December 31, 2019, whereas Citi’s reportable Total Capital ratio was the lower

derived under the Basel III Advanced Approaches framework for all periods presented.

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

(5) Supplementary Leverage ratio denominator. Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excludes U.S.

Treasuries and deposits at Federal Reserve Banks. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.

Common Equity Tier 1 Capital Ratio

Citi’s Common Equity Tier 1 Capital ratio was 11.7% at

December 31, 2020 and September 30, 2020, both under the

Basel III Advanced Approaches framework. Citi’s reportable

Common Equity Tier 1 Capital ratio was 11.8% at December

31, 2019 under the Basel III Standardized Approach. Citi’s

Common Equity Tier 1 Capital ratio remained unchanged

from September 30, 2020, as a net increase in risk-weighted

assets and the return of $1.1 billion capital to common

shareholders in the form of dividends were offset by quarter-

to-date net income of $4.3 billion. Citi’s Common Equity Tier

1 Capital ratio decreased from year-end 2019, largely driven

by a net increase in risk-weighted assets and the return of $7.2

billion of capital to common shareholders in the form of share

repurchases and dividends, partially offset by year-to-date net

income of $11.0 billion, beneficial net movements in AOCI,

and the relief of the modified CECL transition provision.

Components of Citigroup Capital

In millions of dollars

December 31,

2020

December 31,

2019

Common Equity Tier 1 Capital

Citigroup common stockholders’ equity

(1)

$ 180,118 $ 175,414

Add: Qualifying noncontrolling interests 141 154

Regulatory capital adjustments and deductions:

Add: CECL transition and 25% provision deferral

(2)

5,348 —

Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax 1,593 123

Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities

attributable to own creditworthiness, net of tax (1,109) (679)

Less: Intangible assets:

Goodwill, net of related DTLs

(3)

21,124 21,066

Identifiable intangible assets other than MSRs, net of related DTLs 4,166 4,087

Less: Defined benefit pension plan net assets 921 803

Less: DTAs arising from net operating loss, foreign tax credit and general business credit

carry-forwards

(4)

11,638 12,370

Total Common Equity Tier 1 Capital (Advanced Approaches and Standardized Approach) $ 147,274 $ 137,798

Additional Tier 1 Capital

Qualifying noncumulative perpetual preferred stock

(1)

$ 19,324 $ 17,828

Qualifying trust preferred securities

(5)

1,393 1,389

Qualifying noncontrolling interests 35 42

Regulatory capital deductions:

Less: Permitted ownership interests in covered funds

(6)

917 1,216

Less: Other 56 36

Total Additional Tier 1 Capital (Advanced Approaches and Standardized Approach) $ 19,779 $ 18,007

Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)

(Advanced Approaches and Standardized Approach) $ 167,053 $ 155,805

Tier 2 Capital

Qualifying subordinated debt $ 23,481 $ 23,673

Qualifying trust preferred securities

(7)

331 326

Qualifying noncontrolling interests 41 46

Excess of eligible credit reserves over expected credit losses

(2)(8)

5,084 1,523

Regulatory capital deduction:

Less: Other 31 36

Total Tier 2 Capital (Advanced Approaches) $ 28,906 $ 25,532

Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) $ 195,959 $ 181,337

Adjustment for eligible allowance for credit losses

(2)(8)

$ 8,890 $ 12,374

Total Tier 2 Capital (Standardized Approach) $ 37,796 $ 37,906

Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) $ 204,849 $ 193,711

Footnotes continue on the following page.

(1) Issuance costs of $156 million and $152 million related to noncumulative perpetual preferred stock outstanding at December 31, 2020 and 2019, respectively, are

excluded from common stockholders’ equity and netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements,

which differ from those under U.S. GAAP.

(2) Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S.

banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax) and the ACL upon the

January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing

impact of CECL, Citigroup is allowed to adjust retained earnings and the ACL in an amount equal to 25% of the change in the ACL recognized through earnings

(pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the ACL between January 1, 2020

and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the

January 1, 2020 CECL adoption date.

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

(4) Of Citi's $24.8 billion of net DTAs at December 31, 2020, $15.3 billion was includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules,

while $9.5 billion was excluded. Excluded from Citi's Common Equity Tier 1 Capital as of December 31, 2020 was $11.6 billion of net DTAs arising from net

operating loss, foreign tax credit and general business credit tax carry-forwards. The amount excluded was reduced by $2.1 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 a 10% limitation under the U.S. Basel III rules. Citi’s DTAs do not currently exceed this limitation and, therefore, are not

subject to deduction from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.

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

(6) Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment

activities and limits their ownership of, and relationships with, covered funds. The U.S. agencies issued a revised Volcker Rule 2.0 in November 2019 that

removes permitted investments in third-party covered funds from capital deduction requirements, among other changes. Upon the removal of the capital

deduction, permitted investments in third-party covered funds will be included in risk-weighted assets. Mandatory compliance with the revised Volcker Rule 2.0 is

required by January 1, 2021, with early adoption permitted, in whole or in part, beginning January 1, 2020. Additionally, the U.S. agencies issued a revised

Volcker Rule 2.1 in July 2020 that improves and streamlines several “covered funds” requirements, with an effective date of October 1, 2020. Citi continues to

deduct from Tier 1 Capital all permitted ownership interests in covered funds for all periods presented.

(7) Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully

phased out of Tier 2 Capital by January 1, 2022.

(8) Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that

the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach, in which the 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. The total amount of ACL

that was eligible for inclusion in Tier 2 Capital, subject to limitation, under the Standardized Approach framework was $14.0 billion and $13.9 billion at

December 31, 2020 and December 31, 2019 respectively.

Citigroup Capital Rollforward

In millions of dollars

Three months ended

December 31, 2020

Twelve months ended

December 31, 2020

Common Equity Tier 1 Capital, beginning of period $ 142,158 $ 137,798

Net income 4,309 11,047

Common and preferred dividends declared (1,340) (5,394)

Net change in treasury stock 8 (2,469)

Net increase in common stock and additional paid-in capital 87 10

Net change in foreign currency translation adjustment net of hedges, net of tax 2,401 (250)

Net change in unrealized gains (losses) on debt securities AFS, net of tax (98) 3,585

Net change in defined benefit plans liability adjustment, net of tax 62 (55)

Net change in adjustment related to change in fair value of financial liabilities

attributable to own creditworthiness, net of tax 62 (45)

Net increase in excluded component of fair value hedges (16) (15)

Net increase in goodwill, net of related DTLs (602) (58)

Net change in identifiable intangible assets other than MSRs, net of related DTLs 82 (79)

Net change in defined benefit pension plan net assets 28 (118)

Net decrease in DTAs arising from net operating loss, foreign tax credit and

general business credit carry-forwards 423 732

Net change in CECL 25% provision deferral (290) 2,463

Other — 122

Net increase in Common Equity Tier 1 Capital $ 5,116 $ 9,476

Common Equity Tier 1 Capital, end of period

(Advanced Approaches and Standardized Approach) $ 147,274 $ 147,274

Additional Tier 1 Capital, beginning of period $ 18,153 $ 18,007

Net increase in qualifying perpetual preferred stock 1,495 1,496

Net change in qualifying trust preferred securities — 4

Net decrease in permitted ownership interests in covered funds 158 299

Other (27) (27)

Net increase in Additional Tier 1 Capital $ 1,626 $ 1,772

Tier 1 Capital, end of period

(Advanced Approaches and Standardized Approach) $ 167,053 $ 167,053

Tier 2 Capital, beginning of period (Advanced Approaches) $ 29,113 $ 25,532

Net decrease in qualifying subordinated debt (397) (192)

Net increase in excess of eligible credit reserves over expected credit losses 185 3,561

Other 5 5

Net change in Tier 2 Capital (Advanced Approaches) $ (207) $ 3,374

Tier 2 Capital, end of period (Advanced Approaches) $ 28,906 $ 28,906

Total Capital, end of period (Advanced Approaches) $ 195,959 $ 195,959

Tier 2 Capital, beginning of period (Standardized Approach) $ 37,768 $ 37,877

Net decrease in qualifying subordinated debt (397) (192)

Net increase in eligible allowance for credit losses 420 106

Other 5 5

Net change in Tier 2 Capital (Standardized Approach) $ 28 $ (81)

Tier 2 Capital, end of period (Standardized Approach) $ 37,796 $ 37,796

Total Capital, end of period (Standardized Approach) $ 204,849 $ 204,849

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

In millions of dollars

Three months ended

December 31, 2020

Twelve months ended

December 31, 2020

Total Risk-Weighted Assets, beginning of period $ 1,218,977 $ 1,142,804

Changes in Credit Risk-Weighted Assets

Retail exposures

(1)

(299) (23,709)

Wholesale exposures

(2)

(1,690) 24,631

Repo-style transactions

(3)

1,277 15,618

Securitization exposures 1,122 (1,089)

Equity exposures 874 924

Over-the-counter (OTC) derivatives

(4)

5,199 21,837

Derivatives CVA

(5)

7,138 17,713

Other exposures

(6)

8,884 6,810

Supervisory 6% multiplier 845 2,880

Net increase in Credit Risk-Weighted Assets $ 23,350 $ 65,615

Changes in Market Risk-Weighted Assets

Risk levels

(7)

$ 6,726 $ 31,744

Model and methodology updates

(7)

4,213 18,751

Net increase in Market Risk-Weighted Assets $ 10,939 $ 50,495

Net change in Operational Risk-Weighted Assets

(8)

$ 2,018 $ (3,630)

Total Risk-Weighted Assets, end of period $ 1,255,284 $ 1,255,284

(1) Retail exposures decreased during the 12 months ended December 31, 2020, primarily driven by lower consumer activity in 2020 due to the pandemic.

(2) Wholesale exposures decreased during the three months ended December 31, 2020, primarily due to reductions in commercial loans partially offset by an increase

in investment securities. Wholesale exposures increased during the 12 months ended December 31, 2020, primarily due to increases in investment securities and

rating downgrades partially offset by annual model parameter updates reflecting Citi’s loss experiences.

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

transactions increased during the 12 months ended December 31, 2020, mainly driven by market volatility and volume increases.

(4) OTC derivatives increased during the three months ended December 31, 2020, primarily due to an increase in mark-to-market gains for bilateral derivatives. OTC

derivatives increased during the 12 months ended December 31, 2020, primarily due to increases in mark-to-market gains and notional for bilateral derivatives.

(5) Derivatives CVA increased during the three months ended December 31, 2020, primarily due to new trades with higher credit spreads and sensitivity. Derivatives

CVA increased during the 12 months ended December 31, 2020, primarily due to widening credit spreads and market volatility.

(6) 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 months and 12 months ended December 31, 2020, primarily due to increases in centrally cleared transactions and

various other assets.

(7) Market risk-weighted assets increased during the three months ended December 31, 2020 primarily due to changes in exposures impacting Stressed Value at Risk

and Securitization charges. Market risk-weighted assets increased during the 12 months ended December 31, 2020 primarily driven by increases in market

volatility due to the pandemic.

(8) Operational risk-weighted assets increased during the three months December 31, 2020, primarily due to changes in operational loss frequency. Operational risk-

weighted assets decreased during the 12 months ended December 31, 2020, primarily due to changes in operational loss severity and frequency.

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

In millions of dollars

Three months ended

December 31, 2020

Twelve months ended

December 31, 2020

Total Risk-Weighted Assets, beginning of period $ 1,178,219 $ 1,168,848

Changes in Credit Risk-Weighted Assets

General credit risk exposures

(1)

11,075 (26,602)

Repo-style transactions

(2)

6,274 13,440

Securitization exposures 1,184 1,119

Equity exposures 1,387 1,269

Over-the-counter (OTC) derivatives

(3)

4,518 16,331

Other exposures

(4)

5,275 (1,582)

Off-balance sheet exposures

(5)

2,003 (4,640)

Net change in Credit Risk-Weighted Assets $ 31,716 $ (665)

Changes in Market Risk-Weighted Assets

Risk levels

(6)

$ 7,428 $ 34,642

Model and methodology updates

(6)

4,213 18,751

Net increase in Market Risk-Weighted Assets $ 11,641 $ 53,393

Total Risk-Weighted Assets, end of period $ 1,221,576 $ 1,221,576

(1) General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased

during the three months ended December 31, 2020 primarily due to new accounts and holiday spending for qualifying revolving exposures (cards) partially offset

by reductions in commercial loans. General credit risk exposures decreased during the 12 months ended December 31, 2020 primarily due to lesser spending for

qualifying revolving (cards) exposures due to the pandemic.

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

transactions increased during the three months and 12 months ended December 31, 2020, primarily due to increases in exposure and volume.

(3) OTC derivatives increased during the three months ended December 31, 2020 primarily due to an increases in mark-to-market gains for bilateral derivatives. OTC

derivatives increased during the 12 months ended December 31, 2020 primarily due to increases in mark-to-market gains and notional for bilateral derivatives.

(4) Other exposures include cleared transactions, unsettled transactions, and other assets. Other exposures increased during three months ended December 31, 2020

primarily due to increases in other assets and centrally cleared transactions. Other exposures decreased during the 12 months ended December 31, 2020 primarily

due to decreases in notional for centrally cleared derivatives and excess of credit reserves not included in Tier 2 capital eligible for RWA reduction.

(5) Off-balance sheet exposures increased during the three months ended December 31, 2020 primarily due to an increase in loan commitments. Off-balance sheet

exposures decreased during the 12 months ended December 31, 2020 primarily due to a decrease in loan commitments.

(6) Market risk-weighted assets increased during the three months ended December 31, 2020 primarily due to changes in exposures impacting Stressed Value at Risk

and Securitization charges. Market risk-weighted assets increased during the 12 months ended December 31, 2020 primarily driven by increases in market

volatility due to the pandemic.

Supplementary Leverage Ratio

The following table sets forth Citi’s Supplementary Leverage

ratio and related components as of December 31, 2020,

September 30, 2020 and December 31, 2019:

In millions of dollars, except ratios

December 31, 2020 September 30, 2020 December 31, 2019

Tier 1 Capital $ 167,053 $ 160,311 $ 155,805

Total Leverage Exposure

On-balance sheet assets

(1)(2)(3)

$ 1,864,374 $ 1,844,609 $ 1,996,617

Certain off-balance sheet exposures:

(4)

Potential future exposure on derivative contracts 183,604 176,424 175,289

Effective notional of sold credit derivatives, net

(5)

32,640 33,103 38,481

Counterparty credit risk for repo-style transactions

(6)

20,168 18,095 23,715

Unconditionally cancelable commitments 71,163 71,338 70,870

Other off-balance sheet exposures 253,754 244,934 248,308

Total of certain off-balance sheet exposures $ 561,329 $ 543,894 $ 556,663

Less: Tier 1 Capital deductions 38,822 38,883 39,578

Total Leverage Exposure

(3)

$ 2,386,881 $ 2,349,620 $ 2,513,702

Supplementary Leverage ratio 7.00 % 6.82 % 6.20 %

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

(2) Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S.

banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in DTAs arising from temporary differences and the

ACL upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For

the ongoing impact of CECL, Citigroup is allowed to adjust the ACL in an amount equal to 25% of the change in the ACL recognized through earnings (pretax)

for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to the ACL between January 1, 2020 and December 31, 2021 will

also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption

date. Corresponding adjustments to average on-balance sheet assets are reflected in Total Leverage Exposure.

(3) Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excludes U.S. Treasuries and deposits at Federal Reserve Banks.

For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.

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

(5) Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives,

with netting of exposures permitted if certain conditions are met.

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

As set forth in the table above, Citigroup’s Supplementary

Leverage ratio was 7.0% at December 31, 2020, compared to

6.8% at September 30, 2020 and 6.2% at December 31, 2019.

The quarter-over-quarter increase was primarily driven by an

increase in Tier 1 Capital resulting from net income and

beneficial net movements in AOCI, partially offset by an

increase in both average on-balance sheet assets and average

off-balance sheet exposures. The year-over-year increase was

primarily driven by a decrease in Total Leverage Exposure

mainly attributable to the 109 basis point benefit resulting

from the Federal Reserve Board’s temporary Supplementary

Leverage ratio relief.

Capital Resources of Citigroup’s Subsidiary U.S.

Depository Institutions

Citigroup’s subsidiary U.S. depository institutions are also

subject to regulatory capital standards issued by their

respective primary bank regulatory agencies, which are similar

to the standards of the Federal Reserve Board.

The following tables set forth the capital components and

ratios for Citibank, Citi’s primary subsidiary U.S. depository

institution, as of December 31, 2020, September 30, 2020 and

December 31, 2019:

Advanced Approaches Standardized Approach

In millions of dollars, except ratios

Effective

Minimum

Requirement

(1)

Dec. 31, 2020 Sept. 30, 2020 Dec. 31, 2019 Dec. 31, 2020 Sept. 30, 2020 Dec. 31, 2019

Common Equity Tier 1 Capital

(2)

$ 142,884 $ 138,310 $ 130,720 $ 142,884 $ 138,310 $ 130,720

Tier 1 Capital 144,992 140,397 132,847 144,992 140,397 132,847

Total Capital (Tier 1 Capital +

Tier 2 Capital)

(2)(3)

161,294 156,697 145,918 169,235 164,459 157,253

Total Risk-Weighted Assets 1,012,129 1,003,634 938,735 1,030,081 1,010,583 1,022,607

Credit Risk

(2)

$ 707,163 $ 706,187 $ 671,131 $ 969,416 $ 954,127 $ 993,010

Market Risk 59,815 55,853 29,167 60,665 56,456 29,597

Operational Risk 245,151 241,594 238,437 — — —

Common Equity Tier 1 Capital

ratio

(4)(5)

7.00 % 14.12 % 13.78 % 13.93 % 13.87 % 13.69 % 12.78 %

Tier 1 Capital ratio

(4)(5)

8.50 14.33 13.99 14.15 14.08 13.89 12.99

Total Capital ratio

(4)(5)

10.50 15.94 15.61 15.54 16.43 16.27 15.38

In millions of dollars, except ratios

Effective

Minimum

Requirement Dec. 31, 2020 Sept. 30, 2020 Dec. 31, 2019

Quarterly Adjusted Average Total Assets

(2)(6)

$ 1,680,056 $ 1,646,280 $ 1,459,780

Total Leverage Exposure

(2)(7)

2,167,969 2,128,033 1,958,173

Tier 1 Leverage ratio

(5)

5.0% 8.63 % 8.53 % 9.10 %

Supplementary Leverage ratio

(5)

6.0 6.69 6.60 6.78

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

Equity Tier 1 Capital).

(2) Citibank has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the

U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets

(DTAs) arising from temporary differences, and the ACL upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital

at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citibank is allowed to adjust retained earnings and the ACL in an amount equal

to 25% of the change in the ACL recognized through earnings (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative

adjustments to retained earnings and the ACL between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year

commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-

balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. Additionally, the increase in DTAs arising from

temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year

commencing January 1, 2022.

(3) Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that

the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the ACL is eligible for inclusion in

Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess ACL being deducted in arriving at credit risk-weighted assets.

(4) Citibank’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches framework as of December 31, 2020 and September 30, 2020, and

the Basel III Standardized Approach as of December 31, 2019, whereas Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the

lower derived under the Basel III Standardized Approach framework for all periods presented.

(5) Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%,

respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as

established by the U.S. Basel III rules. Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.”

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

(7) Supplementary Leverage ratio denominator. Citibank did not elect to temporarily exclude U.S. Treasuries and deposits at Federal Reserve Banks from Total

Leverage Exposure. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.

As indicated in the table above, Citibank’s capital ratios at

December 31, 2020 were in excess of the stated and effective

minimum requirements under the U.S. Basel III rules. In

addition, Citibank was also “well capitalized” as of December

31, 2020.

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

December 31, 2020. 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 1.4

Citibank

Advanced Approaches 1.0 1.4 1.0 1.4 1.0 1.6

Standardized Approach 1.0 1.3 1.0 1.4 1.0 1.6

Tier 1 Leverage ratio Supplementary Leverage ratio

In basis points

Impact of

$100 million

change in

Tier 1 Capital

Impact of

$1 billion

change in

quarterly

adjusted

average total

assets

Impact of

$100 million

change in

Tier 1 Capital

Impact of

$1 billion

change in

Total Leverage

Exposure

Citigroup 0.4 0.3 0.4 0.3

Citibank 0.6 0.5 0.5 0.3

Citigroup Broker-Dealer Subsidiaries

At December 31, 2020, 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

$12.7 billion, which exceeded the minimum requirement by

$9.2 billion.

Moreover, Citigroup Global Markets Limited, a broker-

dealer registered with the United Kingdom’s Prudential

Regulation Authority (PRA) that is also an indirect wholly

owned subsidiary of Citigroup, had total capital of $23.5

billion at December 31, 2020, which exceeded the PRA’s

minimum regulatory capital requirements.

In addition, certain of Citi’s other broker-dealer

subsidiaries are subject to regulation in the countries in which

they do business, including requirements to maintain specified

levels of net capital or its equivalent. Citigroup’s other

principal broker-dealer subsidiaries were in compliance with

their regulatory capital requirements at December 31, 2020.

Total Loss-Absorbing Capacity (TLAC)

U.S. GSIBs, including Citi, are required to maintain minimum

levels of TLAC and eligible long-term debt (LTD), each set by

reference to the GSIB’s consolidated risk-weighted assets

(RWA) and total leverage exposure.

Minimum External TLAC Requirement

The minimum external TLAC requirement is the greater of (i)

18% of the GSIB’s RWA plus the then-applicable RWA-based

TLAC buffer (see below) and (ii) 7.5% of the GSIB’s total

leverage exposure plus a leverage-based TLAC buffer of 2%

(i.e., 9.5%).

The RWA-based TLAC buffer equals the 2.5% capital

conservation buffer, plus any applicable countercyclical

capital buffer (currently 0%), plus the GSIB’s capital

surcharge as determined under method 1 of the GSIB

surcharge rule (2.0% for Citi for 2020). Accordingly, Citi’s

total current minimum TLAC requirement was 22.5% of

RWA for 2020.

Minimum LTD Requirement

The minimum LTD requirement is the greater of (i) 6% of the

GSIB’s RWA plus its capital surcharge as determined under

method 2 of the GSIB surcharge rule (3.0% for Citi for 2020),

for a total current requirement of 9% of RWA for Citi, and (ii)

4.5% of the GSIB’s total leverage exposure.

The table below details Citi’s eligible external TLAC and

LTD amounts and ratios, and each effective minimum TLAC

and LTD ratio requirement, as well as the surplus amount in

dollars in excess of each requirement.

December 31, 2020

In billions of dollars, except ratios

External

TLAC LTD

Total eligible amount $ 311 $ 140

% of Advanced Approaches risk-

weighted assets 24.8 % 11.1 %

Effective minimum requirement

(1)(2)

22.5 9.0

Surplus amount $ 29 $ 27

% of Total Leverage Exposure

(3)

13.0 % 5.8 %

Effective minimum requirement 9.5 4.5

Surplus amount $ 85 $ 32

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

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

(3) Commencing with the second quarter of 2020, Citigroup’s Total

Leverage Exposure temporarily excludes U.S. Treasuries and deposits at

Federal Reserve Banks.

As of December 31, 2020, Citi exceeded each of the

minimum TLAC and LTD requirements, resulting in a $27

billion surplus above its binding TLAC requirement of LTD as

a percentage of Advanced Approaches risk-weighted assets.

For additional discussion of the method 1 and method 2

GSIB capital surcharge methodologies, see “Regulatory

Capital Buffers—GSIB Surcharge” above.

For additional information on Citi’s TLAC-related

requirements, see “Risk Factors—Compliance Risks” and

“Liquidity Risk—Total Loss-Absorbing Capacity (TLAC)”

below.

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

The following tables set forth Citigroup’s and Citibank’s capital components and ratios reflecting the full impact of CECL, and

excluding temporary Supplementary Leverage ratio relief for Citigroup, as of December 31, 2020:

Citigroup Citibank

Effective

Minimum

Requirement

Advanced

Approaches

Standardized

Approach

Effective

Minimum

Requirement

Advanced

Approaches

Standardized

Approach

Common Equity Tier 1 Capital ratio 10.0 % 11.34 % 11.65 % 7.0 % 13.67 % 13.43 %

Tier 1 Capital ratio 11.5 12.92 13.28 8.5 13.88 13.64

Total Capital ratio 13.5 15.23 16.38 10.5 15.50 16.00

Effective

Minimum

Requirement Citigroup

Effective

Minimum

Requirement Citibank

Tier 1 Leverage ratio 4.0 % 7.15 % 5.0 % 8.36 %

Supplementary Leverage ratio

(1)

5.0 5.73 6.0 6.47

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

deposits at Federal Reserve Banks in Total Leverage Exposure.

Regulatory Capital Standards Developments

U.S. Banking Agencies

TLAC Holdings

In January 2021, the U.S. banking agencies issued a final rule

that creates a new regulatory capital deduction applicable to

Advanced Approaches banking organizations for certain

investments in covered debt instruments issued by GSIBs. The

final rule is substantially consistent with an April 2019

proposal, and is intended to reduce interconnectedness and

systemic risk by creating an incentive for Advanced

Approaches banking organizations to limit their exposure to

GSIBs.

Under the U.S. Basel III rules, non-significant

investments in the capital of unconsolidated financial

institutions are subject to deduction from regulatory capital

using the corresponding deduction approach if, in the

aggregate, they exceed 10% of the banking organization’s

Common Equity Tier 1 Capital. Non-significant investments

in the capital of unconsolidated financial institutions that are

not deducted from regulatory capital are risk weighted in the

usual manner.

Under the final rule, an investment in a “covered debt

instrument” will be treated as an investment in a Tier 2 Capital

instrument and, therefore, will be subject to deduction from

the Advanced Approaches banking organization’s own Tier 2

Capital in accordance with the existing rules for non-

significant investments in unconsolidated financial

institutions. Covered debt instruments include unsecured debt

instruments that are “eligible debt securities” for purposes of

the TLAC rule, or that are pari passu or subordinated to such

securities, in addition to certain unsecured debt instruments

issued by foreign GSIBs.

To support a deep and liquid market for covered debt

instruments, the rule provides an exception from the approach

described above for covered debt instruments held for market-

making activities for 30 days or less (or longer, for synthetic

exposures only), if the aggregate amount of such debt

instruments does not exceed 5% of the banking organization’s

Common Equity Tier 1 Capital.

Additionally, the final rule requires banking organizations

to deduct from Tier 2 Capital investments in their own covered

debt instruments.

The final rule will become effective for Citigroup and

Citibank on April 1, 2021. Citi estimates that the final rule will

not significantly impact Citigroup or Citibank’s regulatory

capital upon adoption.

Standardized Approach for Counterparty Credit Risk

In January 2020, the U.S. banking agencies issued a final

rule to introduce the Standardized Approach for

Counterparty Credit Risk (SA-CCR) in the U.S. The

mandatory compliance date of the SA-CCR final rule is

January 1, 2022, and early adoption was originally

permitted beginning April 1, 2020. For additional

information on the SA-CCR final rule, see “Capital

Resources—Regulatory Capital Standards Developments”

in Citi’s 2019 Annual Report on Form 10-K.

In March 2020, the U.S. banking agencies issued an

interim final rule permitting banks to early adopt the SA-CCR

final rule beginning with the quarter ended March 31,

2020.

Citi has not early adopted the SA-CCR final rule. Citi

intends to implement SA-CCR upon the mandatory

compliance date of January 1, 2022.

Basel Committee

Deferral of Basel III Revisions

In April 2020, in light of the COVID-19 pandemic, the

Basel Committee on Banking Supervision (Basel

Committee) announced that the implementation date of the

Basel III post-crisis regulatory reforms finalized in

December 2017 has been deferred by one year to January 1,

2023. The reforms relate to the methodologies in deriving

credit and operational risk-weighted assets, the imposition

of a new aggregate output floor for risk-weighted assets,

and revisions to the leverage ratio framework. The Basel

Committee also announced that the implementation date of

the revised market risk framework finalized in January

2019 has been deferred by one year to January 1, 2023.

The U.S. banking agencies may revise the U.S. Basel

III rules in the future, in response to the Basel Committee’s

Basel III post-crisis regulatory reforms and revised market

risk framework.

Targeted Revisions to the Credit Valuation Adjustment

Framework

In July 2020, the Basel Committee issued a standard with

targeted revisions to the credit valuation adjustment (CVA)

risk framework, which was previously finalized in December

2017 and will become effective on January 1, 2023. The

revisions align the revised CVA risk framework, in part, with

the revised market risk capital framework that was finalized in

January 2019. The Basel Committee also adjusted the overall

calibration of capital requirements calculated under their CVA

risk framework.

The U.S. agencies may consider revisions to the CVA risk

framework under the U.S. Basel III rules in the future, based

upon the revisions adopted by the Basel Committee.

Tangible Common Equity, Book Value Per Share,

Tangible Book Value Per Share and Returns on Equity

Tangible common equity (TCE), as defined by Citi, represents

common stockholders’ equity less goodwill and identifiable

intangible assets (other than MSRs). Other companies may

calculate TCE in a different manner. TCE, tangible book value

(TBV) per share and returns on average TCE are non-GAAP

financial measures. Citi believes the presentation of TCE,

TBV per share and returns on average TCE provides alternate

measures of capital strength and performance for investors,

industry analysts and others.

At December 31,

In millions of dollars or shares, except per share amounts

2020 2019 2018 2017 2016

Total Citigroup stockholders’ equity $ 199,442 $ 193,242 $ 196,220 $ 200,740 $ 225,120

Less: Preferred stock 19,480 17,980 18,460 19,253 19,253

Common stockholders’ equity $ 179,962 $ 175,262 $ 177,760 $ 181,487 $ 205,867

Less:

Goodwill 22,162 22,126 22,046 22,256 21,659

Identifiable intangible assets (other than MSRs) 4,411 4,327 4,636 4,588 5,114

Goodwill and identifiable intangible assets

(other than MSRs) related to assets held-for-sale (HFS) — — — 32 72

Tangible common equity (TCE) $ 153,389 $ 148,809 $ 151,078 $ 154,611 $ 179,022

Common shares outstanding (CSO) 2,082.1 2,114.1 2,368.5 2,569.9 2,772.4

Book value per share (common equity/CSO) $ 86.43 $ 82.90 $ 75.05 $ 70.62 $ 74.26

Tangible book value per share (TCE/CSO) 73.67 70.39 63.79 60.16 64.57

For the year ended December 31,

In millions of dollars

2020 2019 2018 2017

(1)

2016

Net income available to common shareholders $ 9,952 $ 18,292 $ 16,871 $ 14,583 $ 13,835

Average common stockholders’ equity 175,508 177,363 179,497 207,747 209,629

Average TCE 149,892 150,994 153,343 180,458 182,135

Return on average common stockholders’ equity 5.7 % 10.3 % 9.4 % 7.0 % 6.6 %

Return on average TCE (RoTCE)

(2)

6.6 12.1 11.0 8.1 7.6

(1) Year ended December 31, 2017 excludes the one-time impact of Tax Reform. Citi believes the presentation of its 2017 RoTCE excluding the impact of Tax

Reform provides a meaningful depiction of the underlying performance of its business for investors, industry analysts and others. For a reconciliation of these

measures, see “Significant Accounting Policies and Significant Estimates—Income Taxes” below.

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

RISK FACTORS

The following discussion sets forth what management

currently believes could be the material risks and uncertainties

that could impact Citi’s businesses, results of operations and

financial condition. Other risks and uncertainties, including

those not currently known to Citi or its management, could

also negatively impact Citi’s businesses, results of operations

and financial condition. Thus, the following should not be

considered a complete discussion of all of the risks and

uncertainties Citi may face.

STRATEGIC RISKS

Rapidly Evolving Challenges and Uncertainties Related to

the COVID-19 Pandemic Will Likely Continue to Have

Negative Impacts on Citi’s Businesses and Results of

Operations and Financial Condition.

The COVID-19 pandemic has become global, affecting all of

the countries and jurisdictions where Citi operates. The

pandemic and responses to it have had, and will likely

continue to have, severe impacts on global health and

economic conditions. These impacts will continue to evolve

by region, country or state, largely depending on the duration

and severity of the public health consequences, including the

duration and further spread of the coronavirus; the potential

for new variants of the virus; timely development, production

and distribution of effective vaccines; availability of

therapeutics; public response; and government actions. The

impacts to global economic conditions include, among others:

• the institution of social distancing and restrictions on

businesses and the movement of the public in and among

the U.S. and other countries;

• closures, reduced activity and failures of many businesses,

leading to loss of revenues and net losses;

• sharply reduced U.S. and global economic output,

resulting in significant losses of employment and lower

consumer spending, cards purchase sales and loan

volumes;

• lower interest rates;

• disruption of global supply chains; and

• significant disruption and volatility in financial markets.

The pandemic has had, and will likely continue to have,

negative impacts on Citi’s businesses and overall results of

operations and financial condition, which could be material.

The extent of the impact on Citi’s operations and financial

performance, including its ability to execute its business

strategies and initiatives, will continue to depend significantly

on future developments in the U.S. and globally, which are

uncertain and cannot be predicted, including the course of the

virus, as well as any delay or weakness in the economic

recovery or further economic downturn.

Ongoing legislative and regulatory changes in the U.S.

and globally to address the economic impact from the

pandemic, such as consumer and corporate relief measures and

continued lower interest rates, could further affect Citi’s

businesses, operations and financial performance. Citi could

also face challenges, including legal and reputational, and

scrutiny in its implementation of and ongoing efforts to

provide these relief measures. Such implementations and

efforts have resulted in, and may continue to result in,

litigation, including class actions, and regulatory and

government actions and proceedings. Such actions may result

in judgments, settlements, penalties and fines adverse to Citi.

In addition, the different types of government actions could

vary in scale and duration across jurisdictions and regions with

varying degrees of effectiveness.

The impact of the pandemic on Citi’s consumer and

corporate borrowers will also vary by sector or industry, with

some borrowers experiencing greater stress levels, which

could lead to increased pressure on their results of operations

and financial condition, increased borrowings or credit ratings

downgrades, thus likely leading to higher credit costs for Citi.

In addition, stress levels ultimately experienced by Citi’s

borrowers may be different from and more intense than

assumptions made in earlier estimates or models used by Citi,

resulting in a further increase in Citi’s ACL or net credit

losses, particularly as consumer and small business relief

programs expire and the benefits of fiscal stimulus start to

diminish.

The pandemic may not be contained for an extended

period of time. A prolonged health crisis could further reduce

economic activity in the U.S. and other countries, resulting in

additional declines in employment and business and consumer

confidence. These factors could further negatively impact

global economic activity and markets; cause a continued

decline in the demand for Citi’s products and services and in

its revenues; further increase Citi’s credit and other costs; and

may result in impairment of long-lived assets or goodwill.

These factors could also cause a continued increase in Citi’s

balance sheet, risk-weighted assets and ACL, resulting in a

decline in regulatory capital ratios or liquidity measures, as

well as regulatory demands for higher capital levels and/or

limitations or reductions in capital distributions (such as

common share repurchases and dividends). Moreover, any

disruption or failure of Citi’s performance of, or its ability to

perform, key business functions, as a result of the continued

spread of COVID-19 or otherwise, could adversely affect

Citi’s operations.

Any disruption to, breaches of or attacks on Citi’s

information technology systems, including from cyber

incidents, could have adverse effects on Citi’s businesses (see

the operational processes and systems and cybersecurity risk

factors below). These systems are supporting a substantial

portion of Citi’s colleagues who have been affected by local

pandemic restrictions and have been forced to work remotely.

In addition, these systems interface with and depend on third-

party systems, and Citi could experience service denials or

disruptions if demand for such systems were to exceed

capacity or if a third-party system fails or experiences any

interruptions. Citi has also taken measures to maintain the

health and safety of its colleagues; however, these measures

could result in increased expenses, and widespread illness

could negatively affect staffing within certain functions,

businesses or geographies. In addition, Citi’s ability to recruit,

hire and onboard colleagues in key areas could be negatively

impacted by global pandemic restrictions (see the qualified

colleagues risk factor below).

Further, it is unclear how the macroeconomic business

environment or societal norms may be impacted after the

pandemic. The post-pandemic environment may undergo

unexpected developments or changes in financial markets, the

fiscal, monetary, tax and regulatory environments and

consumer customer and corporate client behavior. These

developments and changes could have an adverse impact on

Citi’s results of operations and financial condition. Ongoing

business and regulatory uncertainties and changes may make

Citi’s longer-term business, balance sheet and strategic and

budget planning more difficult or costly. Citi and its

management and businesses may also experience increased or

different competitive and other challenges in this environment.

To the extent that it is not able to adapt or compete effectively,

Citi could experience loss of business and its results of

operations and financial condition could suffer (see the

competitive challenges risk factor below).

For additional information about trends, uncertainties and

risks related to the pandemic, as well as Citi’s management of

pandemic-related risks, see “COVID-19 Pandemic Overview”

above.

Citi’s Ability to Return Capital to Common Shareholders

Consistent with Its Capital Planning Efforts and Targets

Substantially Depends on Regulatory Capital Requirements,

Including the Results of the CCAR Process and Regulatory

Stress Tests.

Citi’s ability to return capital to its common shareholders

consistent with its capital planning efforts and targets, whether

through its common stock dividend or through a share

repurchase program, substantially depends, among other

things, on regulatory capital requirements, including the Stress

Capital Buffer (SCB), which is based upon the results of the

CCAR process required by the Federal Reserve Board (FRB)

as well as the supervisory stress tests required under the Dodd-

Frank Act (as described in more detail below). Citi’s ability to

return capital also depends on its results of operations and

financial condition, forecasts of macroeconomic conditions

and effectiveness in managing its level of risk-weighted assets

under both the Advanced Approaches and the Standardized

Approach, Supplementary Leverage Ratio (SLR) and global

systemically important bank holding company (GSIB)

surcharge, which has been made more challenging due to the

pandemic-related elevated levels of liquidity in the financial

system (see macroeconomic challenges and uncertainties risk

factor below).

Citi’s ability to accurately predict, interpret or explain to

stakeholders the results of the CCAR process, and thus to

address any market or investor perceptions, may be limited as

the FRB’s assessment of Citi’s capital adequacy is conducted

using the FRB’s proprietary stress test models. In addition, all

CCAR firms, including Citi, will continue to be subject to a

rigorous evaluation of their capital planning practices,

including, but not limited to, governance, risk management

and internal controls. For additional information on limitations

on Citi’s ability to return capital to common shareholders, as

well as the CCAR process, supervisory stress test

requirements and GSIB surcharge, see “Capital Resources—

Overview” and “Capital Resources—Stress Testing

Component of Capital Planning” above and the risk

management risk factor below.

The FRB has stated that it expects leading capital

adequacy practices to continue to evolve and to likely be

determined by the FRB each year as a result of its cross-firm

review of capital plan submissions. Similarly, the FRB has

indicated that, as part of its stated goal to continually evolve

its annual stress testing requirements, several parameters of

the annual stress testing process may continue to be altered,

including the severity of the stress test scenario, the FRB

modeling of Citi’s balance sheet pre-provision net revenue

(PPNR) and stress losses, and the addition of components

deemed important by the FRB.

Beginning January 1, 2022, Citi will be required to phase

into regulatory capital at 25% per year the changes in retained

earnings, deferred tax assets and ACL determined upon the

January 1, 2020 CECL adoption date as well as subsequent

changes in the ACL between January 1, 2020 and December

31, 2021. The FRB has stated that it plans to maintain its

current framework for calculating allowances on loans in the

supervisory stress test for the 2021 supervisory stress test

cycle, and to evaluate appropriate future enhancements to this

framework as best practices for implementing the current

expected credit losses (CECL) methodology are developed.

The impacts on Citi’s capital adequacy of the FRB’s

incorporation of CECL in its supervisory stress tests on an

ongoing basis, and of other potential regulatory changes in the

FRB’s stress testing methodologies, remain unclear. For

additional information regarding the CECL methodology,

including the transition provisions related to the adverse

regulatory capital effects resulting from adoption of the CECL

methodology, see “Capital Resources—Current Regulatory

Capital Standards—Regulatory Capital Treatment—Modified

Transition of the Current Expected Credit Losses (CECL)

Methodology” above and Note 1 to the Consolidated Financial

Statements.

In addition, the FRB has integrated the annual stress

testing requirements with ongoing regulatory capital

requirements. For Citigroup, the SCB rule replaced the fixed

2.5% Capital Conservation Buffer in Citi’s ongoing regulatory

capital requirements for the Standardized Approach capital

ratios. The SCB equals the maximum decline in Citi’s

Common Equity Tier 1 Capital ratio under a severely adverse

scenario over a nine-quarter CCAR measurement period, plus

four quarters of planned common stock dividends, subject to a

minimum requirement of 2.5%. Effective October 1, 2020,

Citi’s SCB was 2.5%. The SCB is calculated by the FRB using

its proprietary data and modeling of each firm’s results.

Accordingly, Citi’s SCB may change annually, or possibly

more frequently, based on the supervisory stress test results,

thus potentially resulting in volatility in the calculation of the

SCB. Similar to the Capital Conservation Buffer, a breach of

the SCB would result in graduated limitations on capital

distributions. For additional information on the SCB,

including its calculation, see “Capital Resources—Regulatory

Capital Buffers” above.

Although various uncertainties exist regarding the extent

of, and the ultimate impact to Citi from, these changes to the

FRB’s stress testing and CCAR regimes, these changes could

increase the level of capital Citi is required or elects to hold,

including as part of Citi’s management buffer, thus potentially

impacting the extent to which Citi is able to return capital to

shareholders.

Citi, Its Management and Its Businesses Must Continually

Review, Analyze and Successfully Adapt to Ongoing

Regulatory and Legislative Uncertainties and Changes in the

U.S. and Globally.

Despite the adoption of final regulations and laws in numerous

areas impacting Citi and its businesses over the past several

years, Citi, its management and its businesses continually face

ongoing regulatory and legislative uncertainties and changes,

both in the U.S. and globally. While the areas of ongoing

regulatory and legislative uncertainties and changes facing Citi

are too numerous to list completely, various examples include,

but are not limited to (i) potential fiscal, monetary, regulatory,

tax and other changes arising from the U.S. federal

government and other governments, including as a result of

the new U.S. presidential administration, regulatory leadership

and Congress or in response to the pandemic; (ii) potential

changes to various aspects of the regulatory capital framework

and requirements applicable to Citi (see the capital return risk

factor and “Capital Resources—Regulatory Capital Standards

Developments” above); and (iii) the future legislative and

regulatory framework resulting from the U.K.’s exit from the

European Union (EU), including, among others, with respect

to financial services (see “Managing Global Risk—Strategic

Risk—U.K.’s Future Relationship with the EU” below). When

referring to “regulatory,” Citi is including both formal

regulation and the views and expectations of its regulators in

their supervisory roles.

Ongoing regulatory and legislative uncertainties and

changes make Citi’s and its management’s long-term business,

balance sheet and strategic budget planning difficult, subject

to change and potentially more costly. U.S. and other

regulators globally have implemented and continue to discuss

various changes to certain regulatory requirements, which

would require ongoing assessment by management as to the

impact to Citi, its businesses and business planning. For

example, while the Basel III post-crisis regulatory reforms and

revised market risk framework have been finalized at the

international level, there remain significant uncertainties with

respect to the integration of these revisions into the U.S.

regulatory capital framework. Business planning is required to

be based on possible or proposed rules or outcomes, which can

change dramatically upon finalization, or upon

implementation or interpretive guidance from numerous

regulatory bodies worldwide, and such guidance can change.

Moreover, U.S. and international regulatory and

legislative initiatives have not always been undertaken or

implemented on a coordinated basis, and areas of divergence

have developed and continue to develop with respect to the

scope, interpretation, timing, structure or approach, leading to

inconsistent or even conflicting requirements, including within

a single jurisdiction. For example, in May 2019, the European

Commission adopted, as part of Capital Requirements

Directive V (CRD V), a new requirement for major banking

groups headquartered outside the EU (which would include

Citi) to establish an intermediate EU holding company where

the foreign bank has two or more institutions (broadly

meaning banks, broker-dealers and similar financial firms)

established in the EU. While in some respects the requirement

mirrors an existing U.S. requirement for non-U.S. banking

organizations to form U.S. intermediate holding companies,

the implementation of the EU holding company requirement

could lead to additional complexity with respect to Citi’s

resolution planning, capital and liquidity allocation and

efficiency in various jurisdictions.

Regulatory and legislative changes have also significantly

increased Citi’s compliance risks and costs (see the

implementation and interpretation of regulatory changes risk

factor below).

Citi’s Continued Investments and Efficiency Initiatives May

Not Be as Successful as It Projects or Expects.

Citi continues to leverage its scale and make incremental

investments to deepen client relationships, increase revenues

and lower expenses, as well as significant investments to

transform its infrastructure, risk management and controls and

further enhance safety and soundness (for additional

information, see the legal and regulatory proceedings risk

factor below). For example, Citi continues to make

investments to enhance its digital capabilities across the

franchise, including digital platforms and mobile and cloud-

based solutions. Citi also has been making investments across

the firm, such as in the U.S. consumer franchise, Citi’s wealth

management businesses and treasury and trade solutions,

securities services and other businesses in ICG, including

implementing new capabilities and partnerships. Further, Citi

has been pursuing efficiency improvements through various

technology and digital initiatives, organizational simplification

and location strategies.

Citi’s investments and efficiency initiatives are being

undertaken as part of its overall strategy to meet operational

and financial objectives, including, among others, those

relating to shareholder returns. Additionally, in connection

with Citi’s CEO transition, Citi is undergoing an evaluation of

its strategy, which may result in, among other things,

additional investments as well as changes in or exits of

businesses. There is no guarantee that these or other initiatives

Citi may pursue will be as productive or effective as Citi

expects, or at all. Additionally, such initiatives could result in

losses, charges or other negative financial impacts. Citi’s

investment and efficiency initiatives may continue to evolve as

its business strategies, the market environment and regulatory

expectations change, which could make the initiatives more

costly and more challenging to implement, and limit their

effectiveness. Moreover, Citi’s ability to achieve expected

returns on its investments and costs savings depends, in part,

on factors that it cannot control, such as macroeconomic

conditions, including the negative impacts related to the

pandemic, customer, client and competitor actions and

ongoing regulatory changes, among others.

Uncertainties Regarding the Transition Away from or

Discontinuance of the London Inter-Bank Offered Rate

(LIBOR) or Any Other Interest Rate Benchmark Could

Have Adverse Consequences for Market Participants,

Including Citi.

LIBOR continues to be widely used as a “benchmark” or

“reference rate” across financial products and markets

globally. Based on statements from U.S. and U.K. authorities,

it is expected, however, that all non-U.S. dollar LIBOR tenors

and some USD LIBOR tenors will cease after December 31,

2021, while most U.S. dollar LIBOR tenors will continue to be

quoted through June 2023. As a result of LIBOR’s wide use,

there can be no assurance that market participants, including

Citi, will be able to successfully modify all outstanding

LIBOR-based securities or products or be sufficiently

prepared for all of the uncertainties resulting from LIBOR’s

discontinuance. In addition, following guidance provided by

the Financial Stability Board, regulators have suggested

reforming or replacing other benchmark rates with alternative

reference rates. The transition away from and discontinuance

of LIBOR or any other benchmark rate presents various

uncertainties, risks and challenges to holders of LIBOR-based

securities and products as well as financial markets and

institutions, including Citi. These include, among others, the

pricing, liquidity, value of, return on and market for financial

instruments and contracts that reference LIBOR or any other

benchmark rate, including any alternative benchmark rate.

Despite ongoing actions by Citi to prepare for the

transition away from LIBOR (see “Managing Global Risk—

Strategic Risk—LIBOR Transition Risk” below), Citi has

continued to meet market demand by trading, holding or

otherwise using a substantial amount of securities or products

that reference LIBOR, including, among others, derivatives,

corporate loans, commercial and residential mortgages, credit

cards, securitized products and other structured securities. The

transition away from and discontinuation of LIBOR for these

securities and products presents significant operational, legal,

reputational or compliance, financial and other risks to Citi.

For example, the LIBOR transition presents various

challenges related to contractual mechanics of existing

floating rate financial instruments and contracts that reference

LIBOR and mature after discontinuance of the relevant

LIBOR. Certain of these legacy instruments and contracts do

not provide for alternative benchmark rates, which makes it

unclear what the future benchmark rates would be after

LIBOR’s cessation. Further, Citi may not be able to amend

certain instruments and contracts due to an inability to obtain

sufficient required consent from counterparties or security

holders. Even if the instruments and contracts provide for a

transition to alternative benchmark rates, the new benchmark

rates may, particularly in times of financial stress, significantly

differ from the prior rates. As a result, Citi may need to

proactively address any contractual uncertainties or rate

differences in such instruments and contracts, which would

likely be both time consuming and costly, and may not

ultimately be successful.

In addition, the transition away from and discontinuance

of LIBOR could result in disputes, including litigation,

involving holders of outstanding instruments and contracts

that reference LIBOR, whether or not the underlying

documentation provides for alternative benchmark rates. Citi

will also need to further invest in and develop significant

internal systems and infrastructure to transition to alternative

benchmark rates to manage its businesses and support its

clients.

Citi’s Ability to Utilize Its DTAs, and Thus Reduce the

Negative Impact of the DTAs on Citi’s Regulatory Capital,

Will Be Driven by Its Ability to Generate U.S. Taxable

Income.

At December 31, 2020, Citi’s net DTAs were $24.8 billion,

net of a valuation allowance of $5.2 billion, of which $9.5

billion was excluded from Citi’s Common Equity Tier 1

Capital under the U.S. Basel III rules, primarily relating to net

operating losses, foreign tax credit and general business credit

carry-forwards (for additional information, see “Capital

Resources—Components of Citigroup Capital” above). Of the

net DTAs at December 31, 2020, $4.4 billion related to

foreign tax credit carry-forwards (FTCs), net of a valuation

allowance. The carry-forward utilization period for FTCs is

ten years and represents the most time-sensitive component of

Citi’s DTAs. The FTC carry-forwards at December 31, 2020

expire over the period of 2021–2029. Citi must utilize any

FTCs generated in the then-current-year tax return prior to

utilizing any carry-forward FTCs.

The accounting treatment for realization of DTAs,

including FTCs, is complex and requires significant judgment

and estimates regarding future taxable earnings in the

jurisdictions in which the DTAs arise and available tax

planning strategies. Forecasts of future taxable earnings will

depend upon various factors, including, among others, the

continued impact of the pandemic and other macroeconomic

conditions. In addition, any future increase in U.S. corporate

tax rates could result in an increase in Citi’s DTA, which may

subject more of Citi’s existing DTA to exclusion from

regulatory capital while improving Citi’s ability to utilize its

FTC carry-forwards. Citi’s overall ability to realize its DTAs

will primarily be dependent upon its ability to generate U.S.

taxable income in the relevant tax carry-forward periods.

Although utilization of FTCs in any year is generally limited

to 21% of foreign source taxable income in that year, overall

domestic losses (ODL) that Citi has incurred in the past allow

it to reclassify domestic source income as foreign source.

Failure to realize any portion of the net DTAs would have a

corresponding negative impact on Citi’s net income and

financial returns.

Citi does not expect to be subject to the Base Erosion

Anti-Abuse Tax (BEAT), which, if applicable to Citi in any

given year, would have a significantly adverse effect on both

Citi’s net income and regulatory capital.

For additional information on Citi’s DTAs, including

FTCs, see “Significant Accounting Policies and Significant

Estimates—Income Taxes” below and Notes 1 and 9 to the

Consolidated Financial Statements.

Citi’s Interpretation or Application of the Complex Tax

Laws to Which It Is Subject Could Differ from Those of the

Relevant Governmental Authorities, Which Could Result in

the Payment of Additional Taxes, Penalties or Interest.

Citi is subject to various income-based tax laws of the U.S.

and its states and municipalities, as well as the numerous non-

U.S. jurisdictions in which it operates. These tax laws are

inherently complex and Citi must make judgments and

interpretations about the application of these laws, including

the Tax Cuts and Jobs Act (Tax Reform), to its entities,

operations and businesses. In addition, Citi is subject to

litigation or examinations with U.S. and non-U.S. tax

authorities regarding non-income-based tax matters. Citi’s

interpretations or application of the tax laws, including with

respect to Tax Reform, withholding, stamp, service and other

non-income taxes, could differ from that of the relevant

governmental taxing authority, which could result in the

requirement to pay additional taxes, penalties or interest,

which could be material. For additional information on the

litigation and examinations involving non-U.S. tax authorities,

see Note 27 to the Consolidated Financial Statements.

Citi’s Presence in the Emerging Markets Subjects It to

Various Risks as well as Increased Compliance and

Regulatory Risks and Costs.

During 2020, emerging markets revenues accounted for

approximately 34% of Citi’s total revenues (Citi generally

defines emerging markets as countries in Latin America, Asia

(other than Japan, Australia and New Zealand), and central

and Eastern Europe, the Middle East and Africa in EMEA).

Although Citi continues to pursue its target client strategy,

Citi’s presence in the emerging markets subjects it to various

risks, such as limitations of hedges on foreign investments;

foreign currency volatility, including devaluations, sovereign

volatility, election outcomes, regulatory changes and political

events; foreign exchange controls; limitations on foreign

investment; sociopolitical instability (including from

hyperinflation); fraud; nationalization or loss of licenses;

business restrictions; sanctions or asset freezes; potential

criminal charges; closure of branches or subsidiaries; and

confiscation of assets, and these risks can be exacerbated in

the event of a deterioration in relationships between the U.S.

and an emerging market country. For example, Citi operates in

several countries that have, or have had in the past, strict

capital and currency controls, such as Argentina, that limit its

ability to convert local currency into U.S. dollars and/or

transfer funds outside of those countries (for further

information, see “Strategic Risk—Country Risk—Argentina”

below).

Moreover, if the economic situation in an emerging

markets country where Citi operates were to deteriorate below

a certain level, U.S. regulators may impose mandatory loan

loss or other reserve requirements on Citi, which would

increase its credit costs and decrease its earnings (for further

information, see “Strategic Risk—Country Risk—Argentina”

below). In addition, political turmoil and instability have

occurred in certain regions and countries, including Asia, the

Middle East and Latin America, which have required, and may

continue to require, management time and attention and other

resources (such as monitoring the impact of sanctions on

certain emerging markets economies as well as impacting

Citi’s businesses and results of operations in affected

countries).

Citi’s emerging markets presence also increases its

compliance and regulatory risks and costs. For example, Citi’s

operations in emerging markets, including facilitating cross-

border transactions on behalf of its clients, subject it to higher

compliance risks under U.S. regulations that are primarily

focused on various aspects of global corporate activities, such

as anti-money laundering regulations and the Foreign Corrupt

Practices Act. These risks can be more acute in less developed

markets and thus require substantial investment in compliance

infrastructure or could result in a reduction in certain of Citi’s

business activities. Any failure by Citi to comply with

applicable U.S. regulations, as well as the regulations in the

countries and markets in which it operates as a result of its

global footprint, could result, even if the regulations require

inconsistent results, in legal or regulatory proceedings, fines,

penalties, injunctions or other similar restrictions, many of

which could negatively impact Citi’s results of operations and

reputation (see the implementation and interpretation of

regulatory changes and legal and regulatory proceedings risk

factors below).

A Deterioration in or Failure to Maintain Citi’s Co-

Branding or Private Label Credit Card Relationships,

Including as a Result of Any Bankruptcy or Liquidation,

Could Have a Negative Impact on Citi’s Results of

Operations or Financial Condition.

Citi has co-branding and private label relationships through its

Citi-branded cards and Citi retail services credit card

businesses with various retailers and merchants globally,

whereby in the ordinary course of business Citi issues credit

cards to customers of the retailers or merchants. Citi’s co-

branding and private label agreements provide for shared

economics between the parties and generally have a fixed

term. The five largest relationships across both businesses in

North America GCB constituted an aggregate of

approximately 10% of Citi’s revenues in 2020 (for additional

information, see “Global Consumer Banking—North America

GCB” above).

Over the last several years, a number of U.S. retailers

have continued to experience declining sales, which has

resulted in significant numbers of store closures and, in a

number of cases, bankruptcies, as retailers attempt to cut costs

and reorganize. The pandemic has exacerbated these trends

and generally resulted in a challenging operating environment

for retailers and merchants. In addition, as has been widely

reported, competition among card issuers, including Citi, for

these relationships is significant, and it has become

increasingly difficult in recent years to maintain such

relationships on the same terms or at all.

Citi’s co-branding and private label relationships could

continue to be negatively impacted by, among other things, the

general economic environment; declining sales and revenues,

partner store closures, government imposed restrictions,

reduced air and business travel, or other operational

difficulties of the retailer or merchant; termination due to a

contractual breach by Citi or by the retailer or merchant; or

other factors, including bankruptcies, liquidations,

restructurings, consolidations or other similar events, whether

due to the ongoing impact of the pandemic or otherwise (see

the pandemic-related risk factor above).

While various mitigating factors could be available to Citi

if any of the above events were to occur—such as by replacing

the retailer or merchant or offering other card products—these

events, particularly bankruptcies or liquidations, could

negatively impact the results of operations or financial

condition of Citi-branded cards, Citi retail services or Citi as a

whole, including as a result of loss of revenues, increased

expenses, higher cost of credit, impairment of purchased credit

card relationships and contract-related intangibles or other

losses (for information on Citi’s credit card related intangibles

generally, see Note 16 to the Consolidated Financial

Statements).

Citi’s Inability in Its Resolution Plan Submissions to

Address Any Shortcomings or Deficiencies Identified or

Guidance Provided by the FRB and FDIC Could Subject Citi

to More Stringent Capital, Leverage or Liquidity

Requirements, or Restrictions on Its Growth, Activities or

Operations, and Could Eventually Require Citi to Divest

Assets or Operations.

Title I of the Dodd-Frank Act requires Citi to prepare and

submit a plan to the FRB and the FDIC for the orderly

resolution of Citigroup (the bank holding company) and its

significant legal entities under the U.S. Bankruptcy Code in

the event of future material financial distress or failure. On

December 17, 2019, the FRB and FDIC issued feedback on

the resolution plans filed on July 1, 2019 by the eight U.S.

GSIBs, including Citi. The FRB and FDIC identified one

shortcoming, but no deficiencies, in Citi’s resolution plan

relating to governance mechanisms. For additional

information on Citi’s resolution plan submissions, see

“Managing Global Risk—Liquidity Risk” below.

Under Title I, if the FRB and the FDIC jointly determine

that Citi’s resolution plan is not “credible” (which, although

not defined, is generally believed to mean the regulators do

not believe the plan is feasible or would otherwise allow Citi

to be resolved in a way that protects systemically important

functions without severe systemic disruption), or would not

facilitate an orderly resolution of Citi under the U.S.

Bankruptcy Code, and Citi fails to resubmit a resolution plan

that remedies any identified deficiencies, Citi could be

subjected to more stringent capital, leverage or liquidity

requirements, or restrictions on its growth, activities or

operations. If within two years from the imposition of any

such requirements or restrictions Citi has still not remediated

any identified deficiencies, then Citi could eventually be

required to divest certain assets or operations. Any such

restrictions or actions would negatively impact Citi’s

reputation, market and investor perception, operations and

strategy.

Citi’s Performance and the Performance of Its Individual

Businesses Could Be Negatively Impacted if Citi Is Not Able

to Effectively Compete for, Retain and Motivate Highly

Qualified Colleagues.

Citi’s performance and the performance of its individual

businesses largely depend on the talents and efforts of its

diverse and highly qualified colleagues. Specifically, Citi’s

continued ability to compete in each of its lines of business, to

manage its businesses effectively and to execute its global

strategy depends on its ability to attract new colleagues and to

retain and motivate its existing colleagues. If Citi is unable to

continue to attract, retain and motivate the most highly

qualified colleagues, Citi’s performance, including its

competitive position, the execution of its strategy and its

results of operations could be negatively impacted.

Citi’s ability to attract, retain and motivate colleagues

depends on numerous factors, some of which are outside of its

control. For example, the banking industry generally is subject

to more comprehensive regulation of employee compensation

than other industries, including deferral and clawback

requirements for incentive compensation. Citi often competes

for talent with entities that are not subject to similar regulatory

requirements, including, among others, technology companies.

Other factors that could impact Citi’s ability to attract, retain

and motivate colleagues include its reputation, culture and the

management and leadership of the Company and each of its

lines of business, presence in a particular market or region and

the professional opportunities it offers. For information on

Citi’s colleagues and workforce management, see “Human

Capital Resources and Management” below.

Financial Services Companies and Others as well as

Emerging Technologies Pose Increasingly Competitive

Challenges to Citi.

Citi operates in an increasingly competitive environment,

which includes both financial and non-financial services firms,

such as traditional banks, online banks, financial technology

companies and others. These companies compete on the basis

of, among other factors, size, reach, quality and type of

products and services offered, price, technology and

reputation. Emerging technologies have the potential to

intensify competition and accelerate disruption in the financial

services industry.

Citi competes with financial services companies in the

U.S. and globally that continue to develop and introduce new

products and services. In recent years, non-financial services

firms, such as financial technology companies, have begun to

offer services traditionally provided by financial institutions,

such as Citi, and have sought bank charters to provide these

services. These firms attempt to use technology and mobile

platforms to enhance the ability of companies and individuals

to borrow, save and invest money. In addition, as discussed

above, it is unclear how the macroeconomic business

environment or societal norms may be impacted as a result of

the pandemic. Citi may experience increased or different

competitive and other challenges in a post-pandemic

environment.

To the extent that Citi is not able to compete effectively

with financial technology companies and other firms, Citi

could be placed at a competitive disadvantage, which could

result in loss of customers and market share, and its

businesses, results of operations and financial condition could

suffer. For additional information on Citi’s competitors, see

the co-brand and private label cards risk factor above and

“Supervision, Regulation and Other—Competition” below.

Climate Change Could Have a Negative Impact on Citi’s

Results of Operations and Financial Condition.

Citi operates globally, including in countries, states and

regions where its businesses, and the activities of its consumer

customers and corporate clients, could be negatively impacted

by climate change. Climate change presents both immediate

and long-term risks to Citi and its customers and clients, with

the risks expected to increase over time.

Climate risks can arise from physical risks (acute or

chronic risks related to the physical effects of climate change)

and transition risks (risks related to regulatory and legal,

technological, market and reputational changes from a

transition to a low-carbon economy). Physical risks could

damage or destroy Citi’s or its customers’ and clients’

properties and other assets and disrupt their operations. For

example, climate change may lead to more extreme weather

events occurring more often which may result in physical

damage and additional volatility within our trading and other

businesses and potential counterparty exposures and other

financial risks. Transition risks may result in changes in

regulations or market preferences, which in turn could have

negative impacts on asset values, results of operation or the

reputation of Citi and its customers and clients. For example,

Citi’s corporate credit portfolios include carbon-intensive

industries like oil and gas and power that are exposed to

climate risks, such as those risks related to the transition to a

low-carbon economy, as well as low-carbon industries that

may be subject to risks associated with new technologies. U.S.

and non-U.S. banking regulators and others have increasingly

viewed financial institutions as important in helping to address

the risks related to climate change both directly and with

respect to their customers. Ongoing legislative or regulatory

uncertainties and changes regarding climate risk management

and practices may result in higher regulatory, compliance,

credit and reputational risks and costs.

For information on Citi’s management of climate risk, see

“Managing Global Risk—Strategic Risk—Climate Risk”

below.

MARKET AND OTHER RISKS

Macroeconomic, Geopolitical and Other Challenges and

Uncertainties Globally Could Have a Negative Impact on

Citi’s Businesses and Results of Operations.

In addition to the significant macroeconomic challenges posed

by the pandemic (see the pandemic-related risk factor above),

Citi has experienced, and could experience in the future,

negative impacts to its businesses and results of operations as

a result of other macroeconomic, geopolitical and other

challenges, uncertainties and volatility. For example,

governmental fiscal and monetary actions, or expected actions,

such as changes in interest rate policies and any program

implemented by a central bank to change the size of its

balance sheet, could significantly impact interest rates,

economic growth rates, the volatility of global financial

markets, foreign exchange rates and global capital flows.

Additional areas of uncertainty include, among others,

geopolitical tensions and conflicts, protracted or widespread

trade tensions, natural disasters, other pandemics and election

outcomes. Moreover, adverse developments or downturns in

one or more of the world’s larger economies would likely have

a significant impact on the global economy or the economies

of other countries because of global financial and economic

linkages.

In 2020, due to the pandemic, the FRB and other central

banks took numerous actions to support the global economy,

including by further reducing their benchmark interest rates

and in certain instances providing additional liquidity to the

financial system. Interest rates on loans Citi makes to

customers and clients are typically based off or set at a spread

over a benchmark interest rate, including the U.S. benchmark

interest rate, and are therefore likely to decline as benchmark

rates decline. By contrast, the interest rates at which Citi pays

depositors are already low and unlikely to decline much

further. Consequently, declining or continued low interest

rates for loans and largely unchanged deposit rates would

likely further compress Citi’s net interest revenue. Citi’s net

interest revenue could also be adversely affected due to a

flattening of the interest rate yield curve (e.g., a lower spread

between shorter-term versus longer-term interest rates), as

Citi, similar to other banks, typically pays interest on deposits

based on shorter-term interest rates and earns money on loans

based on longer-term interest rates. For additional information

on Citi’s interest rate risk, see “Managing Global Risk—

Market Risk—Net Interest Revenue at Risk” below.

These and additional global macroeconomic, geopolitical

and other challenges, uncertainties and volatilities have

negatively impacted, and could continue to negatively impact,

Citi’s businesses, results of operations and financial condition,

including its credit costs, revenues across ICG and GCB and

AOCI (which would in turn negatively impact Citi’s book and

tangible book value).

OPERATIONAL RISKS

A Failure in or Disruption of Citi’s Operational Processes or

Systems Could Negatively Impact Citi’s Reputation,

Customers, Clients, Businesses or Results of Operations and

Financial Condition.

Citi’s global operations rely heavily on the accurate, timely

and secure processing, management, storage and transmission

of confidential transactions, data and other information as well

as the monitoring of a substantial amount of data and complex

transactions in real time. For example, Citi obtains and stores

an extensive amount of personal and client-specific

information for its consumer and institutional customers and

clients, and must accurately record and reflect their extensive

account transactions. Citi’s operations must also comply with

complex and evolving laws and regulations in the countries in

which it operates.

With the evolving proliferation of new technologies and

the increasing use of the internet, mobile devices and cloud

technologies to conduct financial transactions, large global

financial institutions such as Citi have been, and will continue

to be, subject to an ever-increasing risk of operational loss,

failure or disruption, including as a result of cyber or

information security incidents. These risks have been

exacerbated during the pandemic, when a substantial portion

of Citi’s colleagues have worked remotely and customers and

clients have increased their use of online banking and other

platforms (for additional information, see the cybersecurity

risk factor below and pandemic-related risk factor above).

Although Citi has continued to upgrade its operational

systems to automate processes and enhance efficiencies,

operational incidents are unpredictable and can arise from

numerous sources, not all of which are within Citi’s control,

including, among others, human error, such as processing

errors, fraud or malice on the part of employees or third

parties, accidental system or technological failure, electrical or

telecommunication outages, failures of or cyber incidents

involving computer servers or infrastructure or other similar

losses or damage to Citi’s property or assets. Irrespective of

the sophistication of the technology utilized by Citi, there will

always be some room for human error. In view of the large

transactions in which Citi engages, such errors could result in

significant loss. Operational incidents can also arise as a result

of failures by third parties with which Citi does business, such

as failures by internet, mobile technology and cloud service

providers or other vendors to adequately follow procedures or

processes, safeguard their systems or prevent system

disruptions or cyber attacks.

Incidents that impact information security and/or

technology operations may cause disruptions and/or

malfunctions within Citi’s businesses (e.g., the temporary loss

of availability of Citi’s online banking system or mobile

banking platform), as well as the operations of its clients,

customers or other third parties. In addition, operational

incidents could involve the failure or ineffectiveness of

internal processes or controls. Given Citi’s global footprint

and the high volume of transactions processed by Citi, certain

failures, errors or actions may be repeated or compounded

before they are discovered and rectified, which would further

increase the consequences and costs. Operational incidents

could result in financial losses as well as misappropriation,

corruption or loss of confidential and other information or

assets, which could significantly negatively impact Citi’s

reputation, customers, clients, businesses or results of

operations and financial condition. Cyber-related and other

operational incidents can also result in legal and regulatory

proceedings, fines and other costs (see the legal and regulatory

proceedings risk factor below).

For information on Citi’s management of operational risk,

see “Managing Global Risk—Operational Risk” below.

Citi’s and Third Parties’ Computer Systems and Networks

Have Been, and Will Continue to Be, Susceptible to an

Increasing Risk of Continually Evolving, Sophisticated

Cybersecurity Activities That Could Result in the Theft, Loss,

Misuse or Disclosure of Confidential Client or Customer

Information, Damage to Citi’s Reputation, Additional Costs

to Citi, Regulatory Penalties, Legal Exposure and Financial

Losses.

Citi’s computer systems, software and networks are subject to

ongoing cyber incidents such as unauthorized access, loss or

destruction of data (including confidential client information),

account takeovers, unavailability of service, computer viruses

or other malicious code, cyber attacks and other similar

events. These threats can arise from external parties, including

cyber criminals, cyber terrorists, hacktivists and nation state

actors, as well as insiders who knowingly or unknowingly

engage in or enable malicious cyber activities.

Third parties with which Citi does business, as well as

retailers and other third parties with which Citi’s customers do

business, may also be sources of cybersecurity risks,

particularly where activities of customers are beyond Citi’s

security and control systems. For example, Citi outsources

certain functions, such as processing customer credit card

transactions, uploading content on customer-facing websites

and developing software for new products and services. These

relationships allow for the storage and processing of customer

information by third-party hosting of or access to Citi

websites, which could lead to compromise or the potential to

introduce vulnerable or malicious code, resulting in security

breaches impacting Citi customers. Furthermore, because

financial institutions are becoming increasingly interconnected

with central agents, exchanges and clearing houses, including

as a result of derivatives reforms over the last few years, Citi

has increased exposure to cyber attacks through third parties.

While many of Citi’s agreements with third parties include

indemnification provisions, Citi may not be able to recover

sufficiently, or at all, under the provisions to adequately offset

any losses Citi may incur from third-party cyber incidents.

Citi has been subject to attempted and sometimes

successful cyber attacks from external sources over the last

several years, including (i) denial of service attacks, which

attempt to interrupt service to clients and customers, (ii)

hacking and malicious software installations, intended to gain

unauthorized access to information systems or to disrupt those

systems, (iii) data breaches due to unauthorized access to

customer account data and (iv) malicious software attacks on

client systems, in an attempt to gain unauthorized access to

Citi systems or client data under the guise of normal client

transactions. While Citi’s monitoring and protection services

were able to detect and respond to the incidents targeting its

systems before they became significant, they still resulted in

limited losses in some instances as well as increases in

expenditures to monitor against the threat of similar future

cyber incidents. There can be no assurance that such cyber

incidents will not occur again, and they could occur more

frequently and on a more significant scale.

Further, although Citi devotes significant resources to

implement, maintain, monitor and regularly upgrade its

systems and networks with measures such as intrusion

detection and prevention and firewalls to safeguard critical

business applications, there is no guarantee that these

measures or any other measures can provide absolute security.

Because the methods used to cause cyber attacks change

frequently or, in some cases, are not recognized until launched

or even later, Citi may be unable to implement effective

preventive measures or proactively address these methods

until they are discovered. In addition, given the evolving

nature of cyber threat actors and the frequency and

sophistication of the cyber activities they carry out, the

determination of the severity and potential impact of a cyber

incident may not become apparent for a substantial period of

time following discovery of the incident. Also, while Citi

engages in certain actions to reduce the exposure resulting

from outsourcing, such as performing security control

assessments of third-party vendors and limiting third-party

access to the least privileged level necessary to perform job

functions, these actions cannot prevent all third-party-related

cyber attacks or data breaches.

Cyber incidents can result in the disclosure of personal,

confidential or proprietary customer or client information,

damage to Citi’s reputation with its clients and the market,

customer dissatisfaction and additional costs to Citi, including

expenses such as repairing systems, replacing customer

payment cards, credit monitoring or adding new personnel or

protection technologies. Regulatory penalties, loss of

revenues, exposure to litigation and other financial losses,

including loss of funds, to both Citi and its clients and

customers and disruption to Citi’s operational systems could

also result from cyber incidents (for additional information on

the potential impact of operational disruptions, see the

operational processes and systems risk factor above).

Moreover, the increasing risk of cyber incidents has resulted in

increased legislative and regulatory scrutiny of firms’

cybersecurity protection services and calls for additional laws

and regulations to further enhance protection of consumers’

personal data.

While Citi maintains insurance coverage that may, subject

to policy terms and conditions including significant self-

insured deductibles, cover certain aspects of cyber risks, such

insurance coverage may be insufficient to cover all losses and

may not take into account reputational harm, the cost of which

could be immeasurable.

For additional information about Citi’s management of

cybersecurity risk, see “Managing Global Risk—Operational

Risk—Cybersecurity Risk” below.

Changes to or the Application of Incorrect Assumptions,

Judgments or Estimates in Citi’s Financial Statements

Could Cause Significant Unexpected Losses or Impacts in

the Future.

U.S. GAAP requires Citi to use certain assumptions,

judgments and estimates in preparing its financial statements,

including, among other items, the estimate of the ACL;

reserves related to litigation, regulatory and tax matters

exposures; valuation of DTAs; and the fair values of certain

assets and liabilities, such as goodwill or any other asset for

impairment. If Citi’s assumptions, judgments or estimates

underlying its financial statements are incorrect or differ from

actual or subsequent events, Citi could experience unexpected

losses or other adverse impacts, some of which could be

significant.

For example, the CECL methodology, adopted as of

January 1, 2020, requires that Citi provide reserves for a

current estimate of lifetime expected credit losses for its loan

portfolios and other financial assets, as applicable, at the time

those assets are originated or acquired. This estimate is

adjusted each period for changes in expected lifetime credit

losses. Citi’s ACL estimate depends upon its CECL models

and assumptions, forecasted macroeconomic conditions,

including, among other things, the U.S. unemployment rate

and the U.S. Real GDP, and the credit indicators, composition

and other characteristics of Citi’s loan and other applicable

portfolios. These model assumptions and forecasted

macroeconomic conditions will change over time, whether due

to the pandemic or otherwise, resulting in greater variability in

Citi’s ACL compared to its provision for loan losses under the

previous GAAP methodology, and, thus, impact its results of

operations, as well as regulatory capital, including as the

CECL phase-in begins as of January 1, 2022.

Moreover, Citi has incurred losses related to its foreign

operations that are reported in the foreign currency translation

adjustment (CTA) components of Accumulated other

comprehensive income (loss) (AOCI). In accordance with U.S.

GAAP, a sale or substantial liquidation of any foreign

operations, such as those related to Citi’s legacy businesses,

would result in reclassification of any foreign CTA component

of AOCI related to that foreign operation, including related

hedges and taxes, into Citi’s earnings. For additional

information on Citi’s accounting policy for foreign currency

translation and its foreign CTA components of AOCI, see

Notes 1 and 19 to the Consolidated Financial Statements.

For additional information on the key areas for which

assumptions and estimates are used in preparing Citi’s

financial statements, including those related to Citi’s ACL, see

“Significant Accounting Policies and Significant Estimates”

below and Notes 1 and 27 to the Consolidated Financial

Statements.

Changes to Financial Accounting and Reporting Standards

or Interpretations Could Have a Material Impact on How

Citi Records and Reports Its Financial Condition and

Results of Operations.

Periodically, the Financial Accounting Standards Board

(FASB) issues financial accounting and reporting standards

that govern key aspects of Citi’s financial statements or

interpretations thereof when those standards become effective,

including those areas where Citi is required to make

assumptions or estimates. Changes to financial accounting or

reporting standards or interpretations, whether promulgated or

required by the FASB or other regulators, could present

operational challenges and could also require Citi to change

certain of the assumptions or estimates it previously used in

preparing its financial statements, which could negatively

impact how it records and reports its financial condition and

results of operations generally and/or with respect to particular

businesses. For additional information on Citi’s accounting

policies, including the expected impacts on Citi’s results of

operations and financial condition, see Note 1 to the

Consolidated Financial Statements.

If Citi’s Risk Management Processes, Strategies or Models

Are Deficient or Ineffective, Citi May Incur Significant

Losses and Its Regulatory Capital and Capital Ratios Could

Be Negatively Impacted.

Citi utilizes a broad and diversified set of risk management

and mitigation processes and strategies, including the use of

risk models in analyzing and monitoring the various risks Citi

assumes in conducting its activities. For example, Citi uses

models as part of its comprehensive stress testing initiatives

across the Company. Citi also relies on data to aggregate,

assess and manage various risk exposures. Management of

these risks is made even more challenging within a global

financial institution such as Citi, particularly given the

complex, diverse and rapidly changing financial markets and

conditions in which Citi operates as well as that losses can

occur from untimely, inaccurate or incomplete processes

caused by unintentional human error.

In addition, in October 2020, Citigroup and Citibank

entered into consent orders with the FRB and OCC that

require Citigroup and Citibank to submit acceptable plans

relating principally to making improvements in various

aspects of enterprise-wide risk management, compliance, data

quality management and governance and internal controls (see

“Citi’s Consent Order Compliance” above and the legal and

regulatory proceedings risk factor below).

Citi’s risk management processes, strategies and models

are inherently limited because they involve techniques,

including the use of historical data in many circumstances,

assumptions and judgments that cannot anticipate every

economic and financial outcome in the markets in which Citi

operates, nor can they anticipate the specifics and timing of

such outcomes. Citi could incur significant losses, and its

regulatory capital and capital ratios could be negatively

impacted, if Citi’s risk management processes, including its

ability to manage and aggregate data in a timely and accurate

manner, strategies or models are deficient or ineffective. Such

deficiencies or ineffectiveness could also result in inaccurate

financial, regulatory or risk reporting.

Moreover, Citi’s Basel III regulatory capital models,

including its credit, market and operational risk models,

currently remain subject to ongoing regulatory review and

approval, which may result in refinements, modifications or

enhancements (required or otherwise) to these models.

Modifications or requirements resulting from these ongoing

reviews, as well as any future changes or guidance provided

by the U.S. banking agencies regarding the regulatory capital

framework applicable to Citi, have resulted in, and could

continue to result in, significant changes to Citi’s risk-

weighted assets. These changes can negatively impact Citi’s

capital ratios and its ability to achieve its regulatory capital

requirements.

CREDIT RISKS

Credit Risk and Concentrations of Risk Can Increase the

Potential for Citi to Incur Significant Losses.

Credit risk primarily arises from Citi’s lending and other

businesses in both GCB and ICG. Citi has credit exposures to

consumer, corporate and public sector borrowers and other

counterparties in the U.S. and various countries and

jurisdictions globally, including end-of-period consumer loans

of $289 billion and end-of-period corporate loans of $387

billion at year-end 2020.

A default by a borrower or other counterparty, or a

decline in the credit quality or value of any underlying

collateral, exposes Citi to credit risk. Despite Citi’s target

client strategy, various pandemic-related, macroeconomic,

geopolitical and other factors, among other things, can

increase Citi’s credit risk and credit costs (for additional

information, see the pandemic-related, co-branding and private

label credit card, macroeconomic challenges and uncertainties

and emerging markets risk factors above).

While Citi provides reserves for expected losses for its

credit exposures, as applicable, such reserves are subject to

judgments and estimates that could be incorrect or differ from

actual future events. Under the CECL accounting standard, the

ACL reflects expected losses, rather than incurred losses,

which has resulted in and could lead to additional volatility in

the allowance and the provision for credit losses as forecasts

of economic conditions change. In addition, Citi’s future

allowance may be affected by seasonality of its cards

portfolios based on historical evidence showing that (i) credit

card balances typically decrease during the first and second

quarters, as borrowers use tax refunds to pay down balances;

and (ii) balances increase during the third and fourth quarters

each year as payments are no longer impacted by tax refunds

and the holiday season approaches. However these seasonal

trends could be affected in 2021 due to the impacts of

the pandemic, government stimulus and expiration of

consumer and small business relief programs. For additional

information, see the incorrect assumptions or estimates and

changes to financial accounting and reporting standards risk

factors above. For additional information on Citi’s ACL, see

“Significant Accounting Policies and Significant Estimates”

below and Notes 1 and 15 to the Consolidated Financial

Statements. For additional information on Citi’s credit and

country risk, see each respective business’s results of

operations above and “Managing Global Risk—Credit Risk”

and “Managing Global Risk—Strategic Risk—Country Risk”

below and Notes 14 and 15 to the Consolidated Financial

Statements.

Concentrations of risk, particularly credit and market

risks, can also increase Citi’s risk of significant losses. As of

year-end 2020, Citi’s most significant concentration of credit

risk was with the U.S. government and its agencies, which

primarily results from trading assets and investments issued by

the U.S. government and its agencies (for additional

information, including concentrations of credit risk to other

public sector entities, see Note 23 to the Consolidated

Financial Statements). In addition, Citi routinely executes a

high volume of securities, trading, derivative and foreign

exchange transactions with non-U.S. sovereigns and with

counterparties in the financial services industry, including

banks, insurance companies, investment banks, governments,

central banks and other financial institutions. Moreover, Citi

has indemnification obligations in connection with various

transactions that expose it to concentrations of risk, including

credit risk from hedging or reinsurance arrangements related

to those obligations (for additional information about these

exposures, see Note 26 to the Consolidated Financial

Statements). A rapid deterioration of a large borrower or other

counterparty or within a sector or country where Citi has large

exposures or guarantees or unexpected market dislocations

could cause Citi to incur significant losses.

LIQUIDITY RISKS

The Maintenance of Adequate Liquidity and Funding

Depends on Numerous Factors, Including Those Outside of

Citi’s Control, Such as Market Disruptions and Increases in

Citi’s Credit Spreads.

As a large, global financial institution, adequate liquidity and

sources of funding are essential to Citi’s businesses. Citi’s

liquidity and sources of funding can be significantly and

negatively impacted by factors it cannot control, such as

general disruptions in the financial markets, governmental

fiscal and monetary policies, regulatory changes or negative

investor perceptions of Citi’s creditworthiness, unexpected

increases in cash or collateral requirements and the inability to

monetize available liquidity resources, whether due to the

pandemic or otherwise. Citi competes with other banks and

financial institutions for deposits, which represent Citi’s most

stable and lowest cost source of long-term funding. The

competition for retail banking deposits has increased in recent

years as a result of online banks and digital banking, among

others. Furthermore, although Citi’s has had robust deposit

growth since the onset of the pandemic, it remains unclear

how “sticky” (likely to remain at Citi) those deposits may be,

particularly in a less accommodating environment.

Moreover, Citi’s costs to obtain and access secured

funding and long-term unsecured funding are directly related

to its credit spreads. Changes in credit spreads are driven by

both external market factors and factors specific to Citi, and

can be highly volatile. For additional information on Citi’s

primary sources of funding, see “Managing Global Risk—

Liquidity Risk” below.

Citi’s ability to obtain funding may be impaired if other

market participants are seeking to access the markets at the

same time, or if market appetite declines, as is likely to occur

in a liquidity stress event or other market crisis. A sudden drop

in market liquidity could also cause a temporary or lengthier

dislocation of underwriting and capital markets activity. In

addition, clearing organizations, central banks, clients and

financial institutions with which Citi interacts may exercise

the right to require additional collateral based on their

perceptions or the market conditions, which could further

impair Citi’s access to and cost of funding.

Additionally, as a holding company, Citi relies on interest,

dividends, distributions and other payments from its

subsidiaries to fund dividends as well as to satisfy its debt and

other obligations. Several of Citi’s U.S. and non-U.S.

subsidiaries are or may be subject to capital adequacy or other

regulatory or contractual restrictions on their ability to provide

such payments, including any local regulatory stress test

requirements. Limitations on the payments that Citi receives

from its subsidiaries could also impact its liquidity.

The Credit Rating Agencies Continuously Review the Credit

Ratings of Citi and Certain of Its Subsidiaries, and a Ratings

Downgrade Could Have a Negative Impact on Citi’s

Funding and Liquidity Due to Reduced Funding Capacity

and Increased Funding Costs, Including Derivatives

Triggers That Could Require Cash Obligations or Collateral

Requirements.

The credit rating agencies, such as Fitch, Moody’s and S&P,

continuously evaluate Citi and certain of its subsidiaries. Their

ratings of Citi and its more significant subsidiaries’ long-term/

senior debt and short-term/commercial paper are based on a

number of factors, including standalone financial strength, as

well as factors that are not entirely within the control of Citi

and its subsidiaries, such as the agencies’ proprietary rating

methodologies and assumptions, and conditions affecting the

financial services industry and markets generally.

Citi and its subsidiaries may not be able to maintain their

current respective ratings. A ratings downgrade could

negatively impact Citi’s ability to access the capital markets

and other sources of funds as well as the costs of those funds,

and its ability to maintain certain deposits. A ratings

downgrade could also have a negative impact on Citi’s

funding and liquidity due to reduced funding capacity and the

impact from derivative triggers, which could require Citi to

meet cash obligations and collateral requirements. In addition,

a ratings downgrade could have a negative impact on other

funding sources such as secured financing and other margined

transactions for which there may be no explicit triggers, and

on contractual provisions and other credit requirements of

Citi’s counterparties and clients that may contain minimum

ratings thresholds in order for Citi to hold third-party funds.

Some entities could have ratings limitations on their

permissible counterparties, of which Citi may or may not be

aware.

Furthermore, a credit ratings downgrade could have

impacts that may not be currently known to Citi or are not

possible to quantify. Certain of Citi’s corporate customers and

trading counterparties, among other clients, could re-evaluate

their business relationships with Citi and limit the trading of

certain contracts or market instruments with Citi in response to

ratings downgrades. Changes in customer and counterparty

behavior could impact not only Citi’s funding and liquidity but

also the results of operations of certain Citi businesses. For

additional information on the potential impact of a reduction

in Citi’s or Citibank’s credit ratings, see “Managing Global

Risk—Liquidity Risk” below.

COMPLIANCE RISKS

Ongoing Interpretation and Implementation of Regulatory

and Legislative Requirements and Changes in the U.S. and

Globally Have Increased Citi’s Compliance, Regulatory and

Other Risks and Costs.

Citi is continually required to interpret and implement

extensive and frequently changing regulatory and legislative

requirements in the U.S. and other jurisdictions where it does

business, resulting in substantial compliance, regulatory and

other risks and costs. In addition, there are heightened

regulatory scrutiny and expectations in the U.S. and globally

for large financial institutions, as well as their employees and

agents, with respect to, among other things, governance,

infrastructure, data and risk management practices and

controls. A failure to comply with these requirements and

expectations or resolve any identified deficiencies could result

in increased regulatory oversight and restrictions, enforcement

proceedings, penalties and fines (for additional information,

see the legal and regulatory proceedings risk factor below).

Over the past several years, Citi has been required to

implement a significant number of regulatory and legislative

changes across all of its businesses and functions, and these

changes continue. The changes themselves may be complex

and subject to interpretation, and will require continued

investments in Citi’s global operations and technology

solutions. In some cases, Citi’s implementation of a regulatory

or legislative requirement is occurring simultaneously with

changing or conflicting regulatory guidance, legal challenges

or legislative action to modify or repeal existing rules or enact

new rules. Moreover, in some cases, there have been entirely

new regulatory or legislative requirements or regimes,

resulting in large volumes of regulation and potential

uncertainty regarding regulatory expectations as to what is

required in order to be in compliance.

Examples of regulatory or legislative changes that have

resulted in increased compliance risks and costs include (i) a

proliferation of laws relating to the limitation of cross-border

data movement and/or collection and use of customer

information, including data localization and protection and

privacy laws, which also can conflict with or increase

compliance complexity with respect to other laws, including

anti-money laundering laws; and (ii) the FRB’s “total loss

absorbing capacity” (TLAC) requirements. Additionally, the

banking industry generally is being called upon to do more on

the issues of social, economic and racial justice. This could

result in additional regulatory requirements regarding banking

services for underserved communities and individuals.

Increased and ongoing compliance requirements and

uncertainties have resulted in higher compliance costs for Citi,

in part due to an increase in risk, regulatory and compliance

staff over the last several years despite a reduction in the

overall employee population. Extensive and changing

compliance requirements can also result in increased

reputational and legal risks for Citi, as failure to comply with

regulations and requirements, or failure to comply with

regulatory expectations, can result in enforcement and/or

regulatory proceedings, penalties and fines.

Citi Is Subject to Extensive Legal and Regulatory

Proceedings, Examinations, Investigations, Consent Orders

and Related Compliance Efforts and Other Inquiries That

Could Result in Significant Monetary Penalties, Supervisory

or Enforcement Orders, Business Restrictions, Limitations

on Dividends, Changes to Directors and/or Officers and

Collateral Consequences Arising from Such Outcomes.

At any given time, Citi is a party to a significant number of

legal and regulatory proceedings and is subject to numerous

governmental and regulatory examinations, investigations,

consent orders and related compliance efforts, and other

inquiries. Citi can also be subject to enforcement proceedings

not only because of violations of laws and regulations, but also

due to failures, as determined by its regulators, to have

adequate policies and procedures, or to remedy deficiencies on

a timely basis.

The recent FRB and OCC consent orders require

Citigroup and Citibank to submit acceptable plans to the FRB

and OCC, on various timelines, relating principally to making

improvements in various aspects of enterprise-wide risk

management, compliance, data quality management and

governance and internal controls. The consent orders require

preparation of acceptable gap analyses that identify the

required improvements and related root causes, as well as

targeted action plans and quarterly progress reports detailing

the results and status of the improvements. These

improvements will result in significant investments by Citi

during 2021 and afterwards, as an essential part of Citi’s

broader transformation efforts to enhance its infrastructure,

governance, processes and risk and controls. Although there

are no restrictions on Citi’s ability to serve its clients, the

Citibank consent order requires prior approval of any

significant new acquisition, including any portfolio or business

acquisition, excluding ordinary course transactions. Moreover,

the Citibank consent order provides that the OCC has the right

to assess future civil monetary penalties or take other

supervisory and/or enforcement actions, including where the

OCC determines Citibank has not made sufficient and

sustainable progress to address the required improvements.

Such actions by the OCC could include imposing business

restrictions, including possible limitations on the declaration

or payment of dividends and changes in directors and/or senior

executive officers. More generally the OCC and/or the Federal

Reserve could take additional enforcement or other actions if

the regulatory agency believes that Citi has not met regulatory

expectations regarding compliance with the consent orders.

For additional information regarding the consent orders, see

“Citi’s Consent Order Compliance” above.

The global judicial, regulatory and political environment

has generally been challenging for large financial institutions.

The complexity of the federal and state regulatory and

enforcement regimes in the U.S., coupled with the global

scope of Citi’s operations, also means that a single event or

issue may give rise to a large number of overlapping

investigations and regulatory proceedings, either by multiple

federal and state agencies and authorities in the U.S. or by

multiple regulators and other governmental entities in different

jurisdictions, as well as multiple civil litigation claims in

multiple jurisdictions.

U.S. and non-U.S. regulators have been increasingly

focused on “conduct risk,” a term used to describe the risks

associated with behavior by employees and agents, including

third parties, that could harm clients, customers, employees or

the integrity of the markets, such as improperly creating,

selling, marketing or managing products and services or

improper incentive compensation programs with respect

thereto, failures to safeguard a party’s personal information, or

failures to identify and manage conflicts of interest. In

addition to the greater focus on conduct risk, the general

heightened scrutiny and expectations from regulators could

lead to investigations and other inquiries, as well as

remediation requirements, more regulatory or other

enforcement proceedings, civil litigation and higher

compliance and other risks and costs.

Further, while Citi takes numerous steps to prevent and

detect conduct by employees and agents that could potentially

harm clients, customers, employees or the integrity of the

markets, such behavior may not always be deterred or

prevented. Banking regulators have also focused on the overall

culture of financial services firms, including Citi.

In addition to regulatory restrictions or structural changes

that could result from perceived deficiencies in Citi’s culture,

such focus could also lead to additional regulatory

proceedings. Furthermore, the severity of the remedies sought

in legal and regulatory proceedings to which Citi is subject has

remained elevated. U.S. and certain international

governmental entities have increasingly brought criminal

actions against, or have sought criminal convictions from,

financial institutions and individual employees, and criminal

prosecutors in the U.S. have increasingly sought and obtained

criminal guilty pleas or deferred prosecution agreements

against corporate entities and individuals and other criminal

sanctions for those institutions and individuals. These types of

actions by U.S. and international governmental entities may,

in the future, have significant collateral consequences for a

financial institution, including loss of customers and business,

and the inability to offer certain products or services and/or

operate certain businesses. Citi may be required to accept or

be subject to similar types of criminal remedies, consent

orders, sanctions, substantial fines and penalties, remediation

and other financial costs or other requirements in the future,

including for matters or practices not yet known to Citi, any of

which could materially and negatively affect Citi’s businesses,

business practices, financial condition or results of operations,

require material changes in Citi’s operations or cause Citi

reputational harm.

Further, many large claims—both private civil and

regulatory—asserted against Citi are highly complex, slow to

develop and may involve novel or untested legal theories. The

outcome of such proceedings is difficult to predict or estimate

until late in the proceedings. Although Citi establishes

accruals for its legal and regulatory matters according to

accounting requirements, Citi’s estimates of, and changes to,

these accruals involve significant judgment and may be

subject to significant uncertainty, and the amount of loss

ultimately incurred in relation to those matters may be

substantially higher than the amounts accrued. In addition,

certain settlements are subject to court approval and may not

be approved.

For additional information relating to Citi’s legal and

regulatory proceedings and matters, including Citi’s policies

on establishing legal accruals, see Note 27 to the Consolidated

Financial Statements.

HUMAN CAPITAL RESOURCES AND

MANAGEMENT

Attracting and retaining a highly qualified and motivated

workforce is a strategic priority for Citi. Citi seeks to enhance

the competitive strength of its workforce through the

following efforts:

• Continuous innovation in recruiting, training,

compensation, promotion and engagement of colleagues

• Actively seeking and listening to diverse perspectives at

all levels of the organization

• Optimizing transparency concerning workforce goals, in

order to promote accountability, credibility and

effectiveness in achieving those goals

Workforce Size and Distribution

As of December 31, 2020, Citi employed 210,153 colleagues in nearly 100 countries. The following table shows the geographic

distribution of those colleagues by segment, region and gender:

Business segment

North

America EMEA

Latin

America Asia Total

(1)

Female Male

Global Consumer Banking 32,936 4,087 30,276 31,849 99,148 58 % 42 %

Institutional Clients Group 16,905 16,457 7,166 22,349 62,877 44 56

Corporate/Other 17,130 9,510 7,000 14,488 48,128 42 58

Total 66,971 30,054 44,442 68,686 210,153 51 % 49 %

(1) Part-time colleagues represented less than 1.5% of Citi’s global workforce.

Workforce Management

Citi devotes substantial resources to managing its workforce.

Citigroup’s Board of Directors provides strategic oversight

and direction to management regarding workforce policies and

practices, and includes many members with experience in

overseeing workforce issues. The chair of the Personnel and

Compensation Committee of the Board was formerly the

global head of human resources for PIMCO, a leading global

asset management firm, and later served as its president, with

oversight responsibility for human resources. In addition, the

Personnel and Compensation Committee regularly reviews

management’s achievements against human capital

management goals, such as addressing representation of

women and U.S. minorities in senior roles at Citi, as well as

talent recruitment and development initiatives.

Diversity

Citigroup’s Board is committed to ensuring that it and Citi’s

Executive Management Team are composed of individuals

whose backgrounds reflect the diversity represented by Citi’s

employees, customers and stakeholders.

Additionally, over the past several years, Citi has

increased its efforts to diversify its workforce. In furtherance

of that goal, Citi has focused on measuring and addressing pay

equity within the organization:

• In 2018, Citi was the first major U.S. financial institution

to publicly release the results of a pay equity review

comparing compensation of women to men and U.S.

minorities to U.S. non-minorities. Since then, Citi has

continued to be transparent about pay equity, also

disclosing its unadjusted or “raw” pay gap for both

women and U.S. minorities since 2019.

• Citi’s 2020 results found that, on an adjusted basis,

women globally are paid on average more than 99% of

what men are paid at Citi, and there was no statistically

significant difference in adjusted compensation for U.S.

minorities and non-minorities. Following the review,

appropriate pay adjustments were made as part of Citi’s

2020 compensation cycle.

• Citi’s 2020 raw gap analysis showed that the median pay

for women globally is better than 74% of the median for

men, up from 73% in 2019 and 71% in 2018, and that the

median pay for U.S. minorities is just under 94% of the

median for non-minorities, which is similar to 2019 and

up from 93% in 2018.

• To continue closing the pay gap, Citi has set goals to

increase representation at the assistant vice president

through managing director levels to at least 40% for

women globally and 8% for Black colleagues in the U.S.

by the end of 2021.

Citi also has a goal to:

• expand the use of diverse slates across the firm in 2021 to

include not one, but at least two women or racial/ethnic

minorities in Citi’s interviews for U.S. hires and at least

two women in interviews for global hires; and

• increase the analyst and associate programs to 50%

female colleagues globally and 30% Black and Hispanic/

Latino colleagues in the U.S.

In 2020, Citi also:

• expanded the standard for a diverse slate to include at

least one woman globally and one woman and/or U.S.

minority for U.S. hires at the assistant vice president, vice

president and senior vice president levels, in addition to

managing director and director level hires;

• included a diverse slate of candidates, with at least one

woman and/or U.S. minority, for 86% of roles that were

posted globally with a qualified slate;

• increased representation of underrepresented minorities in

its full-time U.S. campus recruitment program from 18%

in 2019 to 26% in 2020;

• increased female representation in its full-time U.S.

campus recruitment program from 45% in 2019 to 46% in

2020; and

• increased female representation in its summer internship

program from 47% in 2019 to 52% in 2020 in the U.S.

and from 48% in 2019 to 50% in 2020 globally, while

Black and Hispanic/Latino representation in its summer

class increased from 26% to 27% over the same

timeframe. This was Citi’s most diverse intern class to

date.

Workforce Development

Citi highly values a workplace environment where its

colleagues can bring their whole selves to work and where

diverse perspectives and ideas are embraced. Citi encourages

career growth and development by offering broad and diverse

opportunities to colleagues. Highlights of these opportunities

include the following:

• Citi provides a range of internal development and

rotational programs to colleagues at all levels, including

various training programs and events to assist high-

performing colleagues in building the skills needed to

transition to manager and supervisory roles.

• Citi has a focus on internal talent development and aims

to provide colleagues with career growth opportunities,

with 33% of open positions filled internally. This

emphasis is particularly important as Citi focuses on

providing career paths for its diverse talent base as part of

its efforts to increase diverse representation at more senior

levels of the organization.

• In order to assist colleagues in a rapidly changing world,

Citi offers an online platform that delivers information on

various topics of interest to colleagues, such as leadership,

data analytics, artificial intelligence and cybersecurity,

among others.

For information about Citi’s reliance on a highly qualified

and motivated workforce, see “Risk Factors” above. For

additional information about Citi’s human capital management

initiatives and goals, see Citi’s 2021 Annual Meeting Proxy

Statement to be filed with the SEC in March 2021 as well as

its 2019 Environmental, Social and Governance Report

available at www.citigroup.com.

For information about Citi’s proactive measures to

preserve the health and safety of its workforce during the

pandemic, see “COVID-19 Pandemic Overview” above.

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Managing Global Risk Table of Contents

MANAGING GLOBAL RISK 66

Overview 66

CREDIT RISK

(1)

Overview 68

Consumer Credit 69

Corporate Credit 76

Additional Consumer and Corporate Credit Details 82

Loans Outstanding 82

Details of Credit Loss Experience 83

Allowance for Credit Losses on Loans (ACLL) 85

Non-Accrual Loans and Assets and Renegotiated Loans 87

Forgone Interest Revenue on Loans 90

LIQUIDITY RISK 91

Overview 91

Liquidity Monitoring and Measurement 91

High-Quality Liquid Assets (HQLA) 92

Loans 93

Deposits 93

Long-Term Debt 94

Secured Funding Transactions and Short-Term Borrowings 97

Credit Ratings 98

MARKET RISK

(1)

100

Overview 100

Market Risk of Non-Trading Portfolios 100

Net Interest Revenue at Risk 100

Interest Rate Risk of Investment Portfolios—Impact on AOCI 100

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital 102

Interest Revenue/Expense and Net Interest Margin (NIM) 103

Additional Interest Rate Details 106

Market Risk of Trading Portfolios 110

Factor Sensitivities 111

Value at Risk (VAR) 111

Stress Testing 114

OPERATIONAL RISK 115

Overview 115

Erroneous Revlon-Related Payment 115

Cybersecurity Risk 116

COMPLIANCE RISK 116

REPUTATION RISK 117

STRATEGIC RISK 117

Overview 117

U.K.’s Future Relationship with the EU 117

LIBOR Transition Risk 118

Climate Risk 118

Country Risk 120

Top 25 Country Exposures 120

Argentina 121

FFIEC—Cross-Border Claims on Third Parties and Local Country Assets 121

(1) For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi’s Pillar 3 Basel III Advanced

Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi’s Investor Relations website.

MANAGING GLOBAL RISK

Overview

For Citi, effective risk management is of primary importance

to its overall operations. Accordingly, Citi’s risk management

process has been designed to monitor, evaluate and manage

the principal risks it assumes in conducting its activities.

Specifically, the activities that Citi engages in, and the risks

those activities generate, must be consistent with Citi’s

mission and value proposition, the key principles that guide it

and Citi's risk appetite. As discussed above, Citi is continuing

its efforts to comply with the Federal Reserve Board and OCC

consent orders, relating principally to various aspects of risk

management, compliance, data quality management and

governance, and internal controls, see “Citi’s Consent Order

Compliance” and “Risk Factors—Compliance Risks” above.

Risk management must be built on a foundation of ethical

culture. Under Citi’s mission and value proposition, which

was developed by its senior leadership and distributed

throughout the Company, Citi strives to serve its clients as a

trusted partner by responsibly providing financial services that

enable growth and economic progress while earning and

maintaining the public’s trust by constantly adhering to the

highest ethical standards. As such, Citi asks all colleagues to

ensure that their decisions pass three tests: they are in Citi’s

clients’ interests, create economic value and are always

systemically responsible. In addition, Citi evaluates

colleagues’ performance against behavioral expectations set

out in Citi’s leadership standards, which were designed in part

to effectuate Citi’s mission and value proposition. Other

culture-related efforts in connection with conduct risk, ethics

and leadership, escalation and treating customers fairly help

Citi to execute its mission and value proposition.

Citi’s Company-wide risk governance framework consists

of the risk management practices that include a risk

governance structure and the firm’s key policies, processes,

personnel and control systems through which Citi identifies,

measures, monitors, and controls risks such that the

Company’s risk taking is consistent with its strategy and risk

appetite. It also emphasizes Citi’s risk culture and lays out

standards, procedures and programs that are designed to set,

reinforce and enhance the Company’s risk culture, integrate its

values and conduct expectations into the organization,

providing colleagues with tools to assist them with making

prudent and ethical risk decisions and to escalate issues

appropriately.

Citi selectively takes risks in support of its underlying

customer-centric strategy. Citi’s objective is to ensure that

those risks are consistent with its mission and value

proposition, including its commitment to responsible finance.

Citi’s risk mission is taking intelligent risk with shared

responsibility, without forsaking individual accountability.

Citi’s risk appetite framework sets boundaries for risk

taking and consists of a set of risk appetite statements that

articulate the aggregate level and types of risk that Citi is

willing to accept in order to achieve its strategic objectives and

business plan and includes governance processes through

which the risk appetite is established, communicated and

monitored, and its breaches are escalated and resolved. It is

built on quantitative boundaries, which include goals, risk

limits and thresholds, and on qualitative principles that guide

behavior. Citi’s risk appetite framework is enterprise-wide and

applicable across products, functions and geographies and

comprehensively covers the major categories of risk facing the

firm.

Citi’s risks are generally categorized and summarized as

follows:

• Credit risk is the risk of loss resulting from the decline in

credit quality (or downgrade risk) or failure of a borrower,

counterparty, third party or issuer to honor its financial or

contractual obligations.

• Liquidity risk is the risk that the firm will not be able to

efficiently meet both expected and unexpected current and

future cash flow and collateral needs without adversely

affecting either daily operations or financial conditions of

the firm. This risk may be exacerbated by the inability of

the firm to access funding sources or monetize assets and

the composition of liability funding and liquid assets.

• Market risk (including price risk and interest rate risk) is

the risk of loss arising from changes in the value of Citi’s

assets and liabilities or reduced net interest revenues

resulting from changes in market variables, such as

interest rates, exchange rates, equity and commodity

prices or credit spreads. Losses can be exacerbated by the

negative convexity of positions, as well as the presence of

basis or correlation risks.

• Operational risk is the risk of loss resulting from

inadequate or failed internal processes, people and

systems, or from external events. It includes legal risk,

which is the risk of loss (including litigation costs,

settlements and regulatory fines) resulting from the failure

of the firm to comply with laws, regulations, prudent

ethical standards and contractual obligations in any aspect

of the firm’s business, but excludes strategic and

reputation risks (see below).

• Compliance risk is the risk to current or projected

financial conditions and resilience arising from violations

of laws, rules or regulations, or from non-conformance

with prescribed practices, internal policies and procedures

or ethical standards. It also includes the exposure to

litigation (known as legal risk) from all aspects of

banking, traditional and non-traditional.

• Reputation risk is the risk to current or projected financial

conditions and resilience arising from negative public

opinion. This risk may impair Citi’s competitiveness by

affecting its ability to establish new relationships or

services or continue servicing existing relationships.

• Strategic risk is the risk to current or anticipated earnings,

capital, or franchise or enterprise value arising from poor,

but authorized, business decisions (in compliance with

regulations, policies and procedures), an inability to adapt

to changes in the operating environment, or other external

factors that may impair the ability to carry out a business

strategy. Strategic risk also includes:

◦ Country risk, which is the risk that conditions in a

country (which may be precipitated by developments

within or external to a country) will impair the value

of Citi’s franchise or will adversely affect the ability

of obligors within that country to honor their

obligations to Citi. Country risk includes sovereign

defaults, banking crises, currency crises, currency

convertibility and/or transferability restrictions or

political developments.

Citi uses a lines of defense construct to manage its risks.

The construct comprises units that create risks (first line of

defense), those that independently assess risk (second line of

defense), units that provide independent assurance (third line

of defense) and units tasked with maintaining a strong control

environment (control and support functions). The lines of

defense, which include control and support functions,

coordinate with each other in the risk management system in

support of the common goal of identifying, measuring,

monitoring and controlling risk-taking activities so they

remain consistent with the firm’s strategy and risk appetite.

First Line of Defense: Front Line Units and Front Line

Unit Activities

Citi’s first line of defense owns the risks inherent in or arising

from their business and is responsible for identifying,

assessing and controlling those risks so that they are within

Citi’s risk appetite.

Front line units are responsible and held accountable for

managing the risks associated with their activities within the

boundaries set by independent risk management. They are also

responsible for designing and implementing effective internal

controls and maintaining processes for managing their risk

profile, including through risk mitigation, so that it remains

consistent with Citi’s established risk appetite.

Front line unit activities are considered part of the first

line of defense and are subject to the oversight and challenge

of independent risk management, whether they are conducted

by a front line unit or another line of defense designation. Note

that front line units may also conduct control and support

activities which are subject to the relevant firm-wide

independent oversight processes specific to the risk category

that they generate (e.g., operational risk, compliance risk,

reputation risk).

The first line of defense is composed of Citi’s Business

Management (Global Consumer Bank (GCB) and Institutional

Clients Group (ICG)), Regional and Country Management,

certain Corporate Functions (Enterprise Infrastructure,

Operations and Technology (EIO&T) and Finance), as well as

other front line unit activities.

Second Line of Defense: Independent risk management

Independent risk management units are independent of front

line units. They are responsible for overseeing the risk-taking

activities of the first line of defense and challenging the first

line of defense in the execution of their risk management

responsibilities. They are also responsible for independently

identifying, measuring, monitoring and controlling aggregate

risks and for setting standards for the management and

oversight of risk. At Citi, the second line of defense is defined

to include Independent Risk Management and Independent

Compliance Risk Management (ICRM). Independent Risk

Management and ICRM report to Citi’s Chief Risk Officer

and Chief Compliance Officer (CCO), respectively, both of

whom report directly to the Citigroup CEO and have

unrestricted access to the Citigroup Board of Directors or its

committees.

Independent Risk Management

The Independent Risk Management organization sets risk and

control standards for the first line of defense and actively

manages and oversees aggregate credit, market (price and

interest rate), liquidity, strategic, operational, compliance and

reputation risks across the firm, including risks that span

categories, such as concentration risk.

Independent Risk Management is organized to align to

businesses, regions, types of risk and to firm-wide, cross-risk

functions or processes. There are teams that report to an

independent Chief Risk Officer (CRO) for Citi’s businesses

(Business CROs, including Finance Chief Risk Officers) and

regions / legal entities (Regional / Legal Entity CROs). In

addition, there are risk-category-aligned teams that report to a

Risk Category Head (e.g., Market Risk, Operational Risk,

Model Risk) and foundational teams that report to a

Foundational Risk Management Head (e.g., Risk Governance,

Enterprise Concentration Risk Management, Global Risk

Review). All of the above Risk Heads, together with the

Business and Regional / Legal Entity CROs, report to the

Citigroup CRO.

Independent Compliance Risk Management

The Independent Compliance Risk Management organization

is designed to oversee and challenge products, functions,

jurisdictional activities and legal entities in managing

compliance risk, as well as promoting business conduct and

activity that is consistent with Citi’s mission and value

proposition and the compliance risk appetite. Citi’s objective

is to embed an enterprise-wide compliance risk management

framework and culture that identifies, measures, monitors,

controls and escalates compliance risk across the firm.

Product Line, Function and Country ICRM provide

compliance risk management advice and credible challenge on

day-to-day matters and strategic decision-making for key

initiatives. Additionally, Country ICRM provides advisory and

challenge on regulatory and enterprise wide matters such as

regulatory changes in a country. ICRM has program-level

Enterprise Compliance units whose Heads are responsible for

coordinating and managing their respective horizontal,

enterprise-wide compliance programs, setting standards and

establishing priorities for program-related compliance efforts.

Third Line of Defense: Internal Audit

Internal audit is independent of front line units and

independent risk management units. Internal audit provides

independent assurance to the Citigroup Board of Directors on

the effectiveness of governance, risk management and internal

controls. Internal audit reports to a chief audit executive (i.e.,

Citi’s Chief Auditor) who has unrestricted access to the Board

or its audit committee to facilitate the ability to execute

specific responsibilities pertaining to escalation of risks and

issues.

The Internal Audit function has designated Chief Auditors

responsible for assessing the design and effectiveness of

controls within the various business units, functions,

geographies and legal entities in which Citi operates.

The Citigroup Chief Auditor manages Internal Audit and

maintains its independence from the front line units,

Independent Risk Management, ICRM and control and

support functions by reporting functionally to the Chairman of

the Citigroup Audit Committee and administratively to the

Citigroup CEO.

Control and Support Functions

Control and support functions do not meet the definition of

front line unit, independent risk management or internal audit.

While they do not report into the CRO or CCO, they are

expected to design, implement and maintain an effective

control environment with respect to the risks they generate,

and also support safety and soundness.

At Citi, the control and support functions are defined to

include the following organizational units: Chief

Administrative Office, Global Public Affairs, Human

Resources, International Franchise Management, Legal

(including Citi Security & Investigative Services) and the

Office of the CBNA CEO.

Board and Executive Management

The Citigroup Board of Directors, both directly or through its

committees, actively oversees Citi’s risk taking activities and

holds management accountable for adhering to the risk

governance framework. The primary responsibility of the

Citigroup Board is to provide effective governance over Citi’s

affairs for the benefit of its stakeholders. Directors have full

and free access to management.

The standing committees of the Citigroup Board are the

Risk Management Committee, Audit Committee, Personnel

and Compensation Committee, Ethics, Conduct and Culture

Committee and Nomination, Governance and Public Affairs

Committee.

The Board delegates authority to the Executive

Management Team, which consists of the Citigroup CEO and

certain direct reports of the CEO, for directing and overseeing

day-to-day management of the firm. The Executive

Management Team is responsible for developing and

implementing policies, procedures and processes that translate

the Board’s goals, strategic objectives and risk appetite and

limits into prudent standards for the safe and sound operation

of the firm.

The Executive Management Team reports to the Board on

the firm’s overall risk profile, including aggregate and

emerging risks, and provides the Board with information about

current and potential risk exposures and their potential impact

on earnings, capital and strategic objectives.

Executive Management committees have been designed

to cover all primary risks to which Citi is exposed. These

Executive Management committees escalate to standing

committees of the Board. The standing Executive

Management committees are the Group Risk Management

Committee, Group Strategic Risk Committee, Citigroup Asset

& Liability Committee, Group Business, Risk and Control

Committee and Group Reputation Risk Committee.

CREDIT RISK

Overview

Credit risk is the risk of loss resulting from the decline in

credit quality of a client, customer or counterparty (or

downgrade risk) or the failure of a borrower, counterparty,

third party or issuer to honor its financial or contractual

obligations. Credit risk arises in many of Citigroup’s business

activities, including:

• consumer, commercial and corporate lending;

• capital markets derivative transactions;

• structured finance; and

• securities financing transactions (repurchase and reverse

repurchase agreements, and securities loaned and

borrowed).

Credit risk also arises from clearing and settlement

activities, when Citi transfers an asset in advance of receiving

its counter-value or advances funds to settle a transaction on

behalf of a client. Concentration risk, within credit risk, is the

risk associated with having credit exposure concentrated

within a specific client, industry, region or other category.

Credit risk is one of the most significant risks Citi faces as

an institution. For additional information, see “Risk Factors—

Credit Risk” above. As a result, Citi has a well-established

framework in place for managing credit risk across all

businesses. This includes a defined risk appetite, credit limits

and credit policies, both at the business level as well as at the

Company-wide level. Citi’s credit risk management also

includes processes and policies with respect to problem

recognition, including “watch lists,” portfolio reviews, stress

tests, updated risk ratings and classification triggers.

With respect to Citi’s clearing and settlement activities,

intraday client usage of clearing lines is monitored against

limits, as well as against usage patterns with settlement

activity monitored daily and intraday for select products. To

the extent that a problem develops, Citi typically moves the

client to a secured (collateralized) operating model. Generally,

Citi’s intraday clearing and settlement lines are uncommitted

and cancelable at any time.

To manage concentration of risk within credit risk, Citi

has in place a framework consisting of industry limits, an

idiosyncratic framework consisting of single name

concentrations for each business and across Citigroup and a

specialized framework consisting of product limits.

Credit exposures are generally reported in notional terms

for accrual loans, reflecting the value at which the loans as

well as other off-balance sheet commitments are carried on the

Consolidated Balance Sheet. Credit exposure arising from

capital markets activities is generally expressed as the current

mark-to-market, net of margin, reflecting the net value owed

to Citi by a given counterparty.

The credit risk associated with these credit exposures is a

function of the idiosyncratic creditworthiness of the obligor, as

well as the terms and conditions of the specific obligation. Citi

assesses the credit risk associated with its credit exposures on

a regular basis through its ACL process (see “Significant

Accounting Policies and Significant Estimates—Allowance

for Credit Losses” below and Notes 1 and 15 to the

Consolidated Financial Statements), as well as through regular

stress testing at the company, business, geography and product

levels. These stress-testing processes typically estimate

potential incremental credit costs that would occur as a result

of either downgrades in the credit quality or defaults of the

obligors or counterparties.

For additional information on Citi’s credit risk

management, see Note 14 to the Consolidated Financial

Statements.

CONSUMER CREDIT

Citi provides traditional retail banking, including small

business banking, and credit card products in 19 countries and

jurisdictions through North America GCB, Latin America

GCB and Asia GCB. The retail banking products include

consumer mortgages, home equity, personal and small

business loans and lines of credit and similar related products

with a focus on lending to prime customers. Citi uses its risk

appetite framework to define its lending parameters. In

addition, Citi uses proprietary and/or industry scoring models

for new customer approvals.

As stated in “Global Consumer Banking” above, GCB’s

strategy is to leverage its global footprint and digital

capabilities to develop multiproduct relationships with

customers, both in and out of Citi’s branch footprint.

Consumer Credit Portfolio

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

(1)

In billions of dollars

4Q’19 1Q’20 2Q’20 3Q’20 4Q’20

Retail banking:

Mortgages $ 85.5 $ 83.6 $ 86.0 $ 87.5 $ 88.9

Personal, small business and other 39.3 36.6 37.6 38.3 40.1

Total retail banking $ 124.8 $ 120.2 $ 123.6 $ 125.8 $ 129.0

Cards:

Citi-branded cards $ 122.2 $ 110.2 $ 103.6 $ 102.2 $ 106.7

Citi retail services 52.9 48.9 45.4 44.4 46.4

Total cards $ 175.1 $ 159.1 $ 149.0 $ 146.6 $ 153.1

Total GCB $ 299.9 $ 279.3 $ 272.6 $ 272.4 $ 282.1

GCB regional distribution:

North America 66 % 67 % 66 % 66 % 65 %

Latin America 6 5 5 5 5

Asia

(2)

28 28 29 29 30

Total GCB 100 % 100 % 100 % 100 % 100 %

Corporate/Other

(3)

$ 9.6 $ 9.1 $ 8.5 $ 7.6 $ 6.7

Total consumer loans $ 309.5 $ 288.4 $ 281.1 $ 280.0 $ 288.8

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

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

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

For information on changes to Citi’s consumer loans, see

“Liquidity Risk—Loans” below.

Overall Consumer Credit Trends

The following charts show the quarterly trends in delinquency

rates (90+ days past due (90+ DPD) ratio) and the net credit

loss (NCL) rates across both retail banking and cards for total

GCB and by region.

Global Consumer Banking

As shown in the chart above, GCB’s net credit loss rates

decreased significantly year-over-year and quarter-over-

quarter as of the fourth quarter of 2020, primarily due to the

impacts of the consumer relief programs Citi implemented

since the beginning of the pandemic, combined with the

benefit of reduced customer spending and significant

government stimulus and assistance, as well as other banks’

consumer relief programs.

The 90+ days past due delinquency rate increased quarter-

over-quarter, largely due to the expiration of the pandemic

relief programs in certain countries. The 90+ days past due

delinquency rate was largely unchanged year-over-year.

As discussed above, 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, would not be reported as 90+ days past due or

written off for the duration of the programs (which have

various durations, and certain of which may be renewed by the

customer). As a result of the significant and steady decline in

program enrollment, Citi ended its consumer relief programs

as of December 31, 2020 for the majority of countries and

products.

Citi expects to experience higher consumer net credit loss

and 90+ days past due delinquency rates across regions, with

sharper losses in Latin America GCB and Asia GCB starting in

the near term. The losses will likely vary by business and

region and be dependent on evolving macroeconomic and

market conditions. These conditions include the severity and

duration of the impact from the pandemic and the impacts of

government stimulus programs, as well as the timing of

expiration of consumer relief programs and when loans move

into later delinquency buckets. Citi believes that these losses

are adequately reserved for under the CECL standard at

December 31, 2020. For additional information, see

“COVID-19 Pandemic Overview—Pandemic and Other

Impacts” above.

North America GCB

North America GCB provides mortgage, home equity,

small business and personal loans through Citi’s retail banking

network and card products through Citi-branded cards and Citi

retail services businesses. The retail bank is concentrated in

six major metropolitan cities in the U.S. (for additional

information on the U.S. retail bank, see “North America GCB”

above).

As of December 31, 2020, approximately 71% of North

America GCB consumer loans consisted of Citi-branded and

Citi retail services cards, which generally drives the overall

credit performance of North America GCB (for additional

information on North America GCB’s cards portfolios,

including delinquency and net credit loss rates, see “Credit

Card Trends” below).

As shown in the chart above, the net credit loss rate in

North America GCB decreased significantly quarter-over-

quarter and year-over-year as of the fourth quarter of 2020,

driven by the impacts of the consumer relief programs

described above, unemployment benefits and government

stimulus.

The 90+ days past due delinquency rate increased quarter-

over-quarter, primarily due to seasonality in cards and the

impact of customers rolling off the consumer relief programs.

The 90+ days past due delinquency rate modestly

decreased year-over-year, primarily driven by the impacts of

the consumer relief programs described above, unemployment

benefits and government stimulus.

Latin America GCB

Latin America GCB operates in Mexico through

Citibanamex, one of Mexico’s largest banks, and provides

credit cards, consumer mortgages and small business and

personal loans. Latin America GCB serves a more mass-

market segment in Mexico and focuses on developing

multiproduct relationships with customers.

As shown in the chart above, the net credit loss rate in

Latin America GCB decreased significantly quarter-over-

quarter and year-over-year as of the fourth quarter of 2020,

largely driven by the impact of the consumer relief programs

described above. The 90+ days past due delinquency rate

increased significantly quarter-over-quarter and year-over-

year, due to the adverse pandemic-related macroeconomic

impacts, as well as the expiration of most consumer relief

programs in Mexico by September 2020.

Asia

(1)

GCB

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

presented.

Asia GCB operates in 17 countries and jurisdictions in

Asia and EMEA and provides credit cards, consumer

mortgages and small business and personal loans.

As shown in the chart above, the net credit loss and 90+

days past due delinquency rates in Asia GCB increased

quarter-over-quarter and year-over-year as of the fourth

quarter of 2020, driven by the adverse pandemic-related

macroeconomic impacts in the region as well as the expiration

of consumer relief programs, which generally have ended

earlier than in Mexico and North America.

The performance of Asia GCB’s portfolios, with a 1.16%

net credit loss rate, continues to reflect the strong credit

profiles in the region’s target customer segments. Regulatory

changes in many markets in Asia over the past few years have

also resulted in improved credit quality.

For additional information on cost of credit, loan

delinquency and other information for Citi’s consumer loan

portfolios, see each respective business’s results of operations

above and Notes 14 and 15 to the Consolidated Financial

Statements.

Credit Card Trends

The following charts show the quarterly trends in

delinquencies and net credit losses for total GCB cards, North

America Citi-branded cards and Citi retail services portfolios,

as well as for Citi’s Latin America and Asia Citi-branded cards

portfolios.

Global Cards

North America Citi-Branded Cards

North America GCB’s Citi-branded cards portfolio issues

proprietary and co-branded cards.

As shown in the chart above, the net credit loss rate in

Citi-branded cards decreased quarter-over-quarter and year-

over-year as of the fourth quarter of 2020, driven by the

impact of the consumer relief programs described above,

unemployment benefits and government stimulus. The 90+

days past due delinquency rate decreased year-over-year for

the same reasons, while it increased quarter-over-quarter as a

result of seasonality and the impact of customers rolling off

the consumer relief programs described above.

North America Citi Retail Services

Citi retail services partners directly with more than 20

retailers and dealers to offer private label and co-branded

cards. Citi retail services’ target market focuses on select

industry segments such as home improvement, specialty retail,

consumer electronics and fuel.

Citi retail services continually evaluates opportunities to

add partners within target industries that have strong loyalty,

lending or payment programs and growth potential.

As shown in the chart above, the net credit loss rate in Citi

retail services decreased quarter-over-quarter and year-over-

year as of the fourth quarter of 2020, driven by the impact of

the consumer relief programs described above, unemployment

benefits and government stimulus. The 90+ days past due

delinquency rate decreased year-over-year for the same

reasons, while it increased quarter-over-quarter as a result of

seasonality and the impact of customers rolling off the

consumer relief programs.

Latin America Citi-Branded Cards

Latin America GCB issues proprietary and co-branded

cards.

As shown in the chart above, the net credit loss rate in

Latin America Citi-branded cards decreased significantly

quarter-over-quarter and year-over-year as of the fourth

quarter of 2020, largely driven by the impact of the consumer

relief programs described above, while the 90+ days past due

delinquency rate increased due to the adverse pandemic-

related macroeconomic impact, as well as the expiration of the

cards consumer relief program.

Asia Citi-Branded Cards

(1)

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

presented.

Asia GCB issues proprietary and co-branded cards.

As shown in the chart above, the net credit loss and 90+

days past due delinquency rates in Asia Citi-branded cards

increased quarter-over-quarter and year-over-year as of the

fourth quarter of 2020, driven by the adverse pandemic-related

macroeconomic impacts as well as the expiration of the

consumer relief programs described above.

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 14

to the Consolidated Financial Statements.

North America Cards FICO Distribution

The following tables show the current FICO score

distributions for Citi’s North America cards portfolios based

on end-of-period receivables. FICO scores are updated

monthly for substantially all of the portfolio and on a quarterly

basis for the remaining portfolio.

Citi-Branded Cards

FICO distribution

(1)

Dec. 31,

2020

Sept. 30,

2020

Dec. 31,

2019

> 760 46 % 43 % 42 %

680–760 39 41 40

< 680 15 16 18

Total 100 % 100 % 100 %

Citi Retail Services

FICO distribution

(1)

Dec. 31,

2020

Sept. 30,

2020

Dec. 31,

2019

> 760 27 % 26 % 25 %

680–760 44 44 42

< 680 29 30 33

Total 100 % 100 % 100 %

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

presentations.

In 2020, FICO distributions improved in both Citi‑

branded cards and Citi retail services, primarily due to the

impacts of the consumer relief programs and significant

government stimulus and assistance, as well as lower credit

utilization due to reduced customer spending. For additional

information on FICO scores, see Note 14 to the Consolidated

Financial Statements.

Additional Consumer Credit Details

Consumer Loan Delinquencies Amounts and Ratios

(1)

EOP

loans

(2)

90+ days past due

(3)

30–89 days past due

(3)

December

31, December 31, December 31,

In millions of dollars, except EOP loan

amounts in billions

2020 2020 2019 2018 2020 2019 2018

Global Consumer Banking

(4)(5)

Total $ 282.1 $ 2,507 $ 2,737 $ 2,550 $ 2,517 $ 3,001 $ 2,864

Ratio 0.89 % 0.91 % 0.89 % 0.89 % 1.00 % 1.00 %

Retail banking

Total $ 129.0 $ 632 $ 438 $ 416 $ 860 $ 816 $ 752

Ratio 0.49 % 0.35 % 0.36 % 0.67 % 0.66 % 0.64 %

North America 52.7 299 146 135 328 334 265

Ratio 0.58 % 0.29 % 0.29 % 0.63 % 0.67 % 0.56 %

Latin America 9.8 130 106 108 220 180 185

Ratio 1.33 % 0.91 % 0.95 % 2.24 % 1.54 % 1.62 %

Asia

(6)

66.5 203 186 173 312 302 302

Ratio 0.31 % 0.30 % 0.30 % 0.47 % 0.48 % 0.52 %

Cards

Total $ 153.1 $ 1,875 $ 2,299 $ 2,134 $ 1,657 $ 2,185 $ 2,112

Ratio 1.22 % 1.31 % 1.26 % 1.08 % 1.25 % 1.25 %

North America—Citi-branded 84.0 686 915 812 589 814 755

Ratio 0.82 % 0.95 % 0.88 % 0.70 % 0.85 % 0.82 %

North America—Citi retail services 46.4 644 1,012 952 639 945 932

Ratio 1.39 % 1.91 % 1.81 % 1.38 % 1.79 % 1.77 %

Latin America 4.8 233 165 171 170 159 170

Ratio 4.85 % 2.75 % 3.00 % 3.54 % 2.65 % 2.98 %

Asia

(6)

17.9 312 207 199 259 267 255

Ratio 1.74 % 1.04 % 1.03 % 1.45 % 1.34 % 1.32 %

Corporate/Other—Consumer

(7)

Total $ 6.7 $ 313 $ 278 $ 382 $ 179 $ 295 $ 362

Ratio 5.13 % 3.02 % 2.63 % 2.93 % 3.21 % 2.50 %

Total Citigroup 288.8 $ 2,820 $ 3,015 $ 2,932 $ 2,696 $ 3,296 $ 3,226

Ratio 0.98 % 0.98 % 0.97 % 0.94 % 1.07 % 1.07 %

(1) As discussed above, loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of

modification (which have various durations, and certain of which may be renewed by the customer).

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

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

(4) The 90+ days past due balances for North America—Citi-branded and North America—Citi retail services are generally still accruing interest. Citigroup’s policy is

generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.

(5) The 90+ days past due and 30–89 days past due and related ratios for North America GCB exclude U.S. mortgage loans that are guaranteed by U.S. government-

sponsored agencies, since the potential loss predominantly resides within the agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were

$171 million ($0.7 billion), $135 million ($0.5 billion) and $211 million ($0.7 billion) at December 31, 2020, 2019 and 2018, 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 $98 million, $72 million

and $86 million at December 31, 2020, 2019 and 2018, respectively.

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

(7) The 90+ days past due and 30–89 days past due and related ratios exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies, since

the potential loss predominantly resides within the agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $183 million ($0.5 billion),

$172 million ($0.4 billion) and $367 million ($.8 billion) at December 31, 2020, 2019 and 2018, respectively. The amounts excluded for loans 30–89 days past

due (the 30—89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $73 million, $55 million and $122 million at

December 31, 2020, 2019 and 2018, respectively.

Consumer Loan Net Credit Losses and Ratios

Average

loans

(1)

Net credit losses

(2)

In millions of dollars, except average loan amounts in billions

2020 2020 2019 2018

Global Consumer Banking

Total $ 277.6 $ 6,646 $ 7,382 $ 6,884

Ratio 2.39 % 2.60 % 2.48 %

Retail banking

Total $ 124.5 $ 805 $ 910 $ 913

Ratio 0.65 % 0.76 % 0.78 %

North America 52.2 132 161 126

Ratio 0.25 % 0.33 % 0.27 %

Latin America 9.8 377 494 545

Ratio 3.85 % 4.30 % 4.58 %

Asia

(3)

62.5 296 255 242

Ratio 0.47 % 0.43 % 0.41 %

Cards

Total $ 153.1 $ 5,841 $ 6,472 $ 5,971

Ratio 3.82 % 3.94 % 3.72 %

North America—Citi-branded 84.5 2,708 2,864 2,602

Ratio 3.20 % 3.19 % 2.97 %

North America—Citi retail services 46.5 2,150 2,558 2,357

Ratio 4.62 % 5.13 % 4.88 %

Latin America 4.7 489 615 586

Ratio 10.40 % 10.79 % 10.65 %

Asia

(3)

17.4 494 435 426

Ratio 2.84 % 2.29 % 2.25 %

Corporate/Other—Consumer

Total $ 8.5 $ (21) $ (6) $ 24

Ratio (0.25) % (0.05) % 0.14 %

Total Citigroup $ 286.1 $ 6,625 $ 7,376 $ 6,908

Ratio 2.32 % 2.49 % 2.33 %

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

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

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

Loan Maturities and Fixed/Variable Pricing of

U.S. Consumer Mortgages

In millions of dollars at

December 31, 2020

Due

within

1 year

Greater

than 1

year

but within

5 years

Greater

than 5

years Total

U.S. consumer

mortgage loan

portfolio

Residential first

mortgages $ 3 $ 109 $ 47,666 $ 47,778

Home equity loans 116 103 6,909 7,128

Total $ 119 $ 212 $ 54,575 $ 54,906

Fixed/variable

pricing of U.S.

consumer mortgage

loans with maturities

due after one year

Loans at fixed interest

rates $ 194 $ 33,456

Loans at floating or

adjustable interest rates 18 21,119

Total $ 212 $ 54,575

CORPORATE CREDIT

Consistent with its overall strategy, Citi’s corporate clients are

typically large, multinational corporations that value the depth

and breadth of Citi’s global network. Citi aims to establish

relationships with these clients that, consistent with client

needs, encompass multiple products, including cash

management and trade services, foreign exchange, lending,

capital markets and M&A advisory. Citi’s corporate credit

exposures also include exposures in the private bank,

excluding certain loans managed on a delinquency basis.

Corporate Credit Portfolio

The following table details Citi’s corporate credit portfolio

within ICG (excluding certain loans in the private bank, which

are managed on a delinquency basis), and before consideration

of collateral or hedges, by remaining tenor for the periods

indicated:

December 31, 2020 September 30, 2020 December 31, 2019

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)

$ 177 $ 142 $ 25 $ 344 $ 175 $ 145 $ 24 $ 344 $ 184 $ 142 $ 25 $ 351

Unfunded lending

commitments

(off-balance sheet)

(2)

158 272 11 441 154 264 12 430 161 266 17 444

Total exposure $ 335 $ 414 $ 36 $ 785 $ 329 $ 409 $ 36 $ 774 $ 345 $ 408 $ 42 $ 795

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

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

Portfolio Mix—Geography and Counterparty

Citi’s corporate credit portfolio is diverse across geography

and counterparty. The following table shows the percentage of

this portfolio by region (excluding the delinquency-managed

private bank portfolio) based on Citi’s internal management

geography:

December 31,

2020

September 30,

2020

December 31,

2019

North America 56 % 57 % 57 %

EMEA 25 25 24

Asia 13 12 12

Latin America 6 6 7

Total 100 % 100 % 100 %

The maintenance of accurate and consistent risk ratings

across the corporate credit portfolio facilitates the comparison

of credit exposure across all lines of business, geographic

regions and products. Counterparty risk ratings reflect an

estimated probability of default for a counterparty and are

derived by leveraging validated statistical models, scorecard

models and external agency ratings (under defined

circumstances), in combination with consideration of factors

specific to the obligor or market, such as management

experience, competitive position, regulatory environment and

commodity prices. Facility risk ratings are assigned that reflect

the probability of default of the obligor and factors that affect

the loss given default of the facility, such as support or

collateral. Internal obligor ratings that generally correspond to

BBB and above are considered investment grade, while those

below are considered non-investment grade.

The following table presents the corporate credit portfolio

(excluding the delinquency-managed private bank portfolio)

by facility risk rating as a percentage of the total corporate

credit portfolio:

Total exposure

December 31,

2020

September 30,

2020

December 31,

2019

AAA/AA/A 49 % 48 % 50 %

BBB 31 31 33

BB/B 17 17 15

CCC or below 3 4 2

Total 100 % 100 % 100 %

Note: Total exposure includes direct outstandings and unfunded lending

commitments.

In addition to the obligor and facility risk ratings assigned

to all exposures, Citi may classify exposures in the corporate

credit portfolio. These classifications are consistent with Citi’s

interpretation of the U.S. banking regulators’ definition of

criticized exposures, which may categorize exposures as

special mention, substandard, doubtful, or loss.

Risk ratings and classifications are reviewed regularly,

and adjusted as appropriate. The credit review process

incorporates quantitative and qualitative factors, including

financial and non-financial disclosures or metrics,

idiosyncratic events or changes to the competitive, regulatory

or macroeconomic environment. This includes but is not

limited to exposures in those sectors significantly impacted by

the pandemic (including energy and energy-related, consumer

retail, commercial real estate and transportation).

Citigroup believes the corporate credit portfolio to be

appropriately rated and classified as of December 31, 2020.

During the year and since the onset of the COVID-19

pandemic, Citigroup has taken action to adjust internal ratings

and classifications of exposures as both the macroeconomic

environment and obligor-specific factors have changed,

particularly where additional stress has been seen.

As obligor risk ratings are downgraded, the probability of

default increases. Downgrades of obligor risk ratings tend to

result in a higher provision for credit losses. In addition,

downgrades may result in the purchase of additional credit

derivatives or other risk mitigants to hedge the incremental

credit risk, or may result in Citi seeking to reduce exposure to

an obligor or an industry sector. Citi will continue to review

exposures to ensure the appropriate probability of default is

incorporated into all risk assessments.

For additional information on Citi’s corporate credit

portfolio, see Note 14 to the Consolidated Financial

Statements.

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 (excluding the delinquency-

managed private bank portfolio):

Total exposure

December 31,

2020

September 30,

2020

December 31,

2019

Transportation and

industrials 19 % 19 % 19 %

Private bank 14 14 13

Consumer retail 10 11 10

Technology, media

and telecom 11 10 11

Real estate 8 8 7

Power, chemicals,

metals and mining 8 8 9

Banks and finance

companies 7 7 7

Energy and

commodities 6 7 7

Health 5 4 4

Public sector 3 3 3

Insurance 3 3 3

Asset managers

and funds 3 3 3

Financial markets

infrastructure 2 2 2

Securities firms — — —

Other industries 1 1 2

Total 100 % 100 % 100 %

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

Non-investment grade Selected metrics

In millions of dollars

Total credit

exposure Funded

(1)

Unfunded

(1)

Investment

grade

Non-

criticized

Criticized

performing

Criticized

non-

performing

(2)

30 days or

more past

due and

accruing

(3)

Net charge-

offs

(recoveries)

(4)

Credit

derivative

hedges

(5)

Transportation and

industrials $ 147,218 $ 60,122 $ 87,096 $ 106,041 $ 17,452 $ 21,927 $ 1,798 $ 136 $ 239 $ (8,110)

Autos

(6)

53,874 25,310 28,564 43,059 4,374 6,167 274 8 45 (3,220)

Transportation 27,693 14,107 13,586 16,410 2,993 6,872 1,418 17 144 (1,166)

Industrials 65,651 20,705 44,946 46,572 10,085 8,888 106 111 50 (3,724)

Private bank 109,397 75,693 33,704 104,244 2,395 2,510 248 963 78 (1,080)

Consumer retail 82,129 34,809 47,320 60,741 11,653 9,418 317 146 64 (5,493)

Technology, media

and telecom 82,657 30,880 51,777 61,296 15,924 5,214 223 107 74 (7,237)

Real estate 65,392 43,285 22,107 54,413 5,342 5,453 184 334 18 (642)

Power, chemicals,

metals and mining 63,926 20,810 43,116 47,923 11,554 4,257 192 59 70 (5,341)

Power 26,916 6,379 20,537 22,665 3,336 761 154 14 57 (2,637)

Chemicals 22,356 7,969 14,387 16,665 3,804 1,882 5 32 8 (2,102)

Metals and mining 14,654 6,462 8,192 8,593 4,414 1,614 33 13 5 (602)

Banks and finance

companies 52,925 29,856 23,069 43,831 4,648 4,387 59 27 79 (765)

Energy and

commodities

(7)

49,524 15,086 34,438 34,636 7,345 6,546 997 70 285 (4,199)

Health 35,504 8,658 26,846 29,164 4,354 1,749 237 17 17 (1,964)

Public sector 26,887 13,599 13,288 22,276 1,887 2,708 16 45 9 (1,089)

Insurance 26,576 1,925 24,651 25,864 575 136 1 27 1 (2,682)

Asset managers and

funds 19,745 4,491 15,254 18,528 1,013 191 13 41 (1) (84)

Financial markets

infrastructure 12,610 229 12,381 12,590 20 — — — — (9)

Securities firms 976 430 546 573 298 97 8 — — (6)

Other industries 9,307 4,545 4,762 4,980 2,702 1,442 183 10 43 (138)

Total $ 784,773 $ 344,418 $ 440,355 $ 627,100 $ 87,162 $ 66,035 $ 4,476 $ 1,982 $ 976 $ (38,839)

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

portfolio of the private bank.

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

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

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

(5) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $38.8 billion of

purchased credit protection, $36.8 billion represents the total notional of purchased credit derivatives on individual reference entities. The remaining $2.0 billion

represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1 billion, where the protection seller absorbs the first loss

on the referenced loan portfolios.

(6) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of

global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $20.2 billion ($10.3 billion in funded, with more than

99% rated investment grade) as of December 31, 2020.

(7) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and

industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2020, Citi’s total exposure to these energy-related entities was

approximately $7.0 billion, of which approximately $3.8 billion consisted of direct outstanding funded loans.

Exposure to Commercial Real Estate

As of December 31, 2020, ICG’s total corporate credit

exposure to commercial real estate (CRE) was $58 billion,

with $41 billion consisting of direct outstanding funded loans

(mainly included in the real estate and private bank categories

in the above table), or 6% of Citi’s total outstanding loans. In

addition, as of December 31, 2020, more than 70% of ICG’s

total corporate CRE exposure was to borrowers in the United

States. Also as of December 31, 2020, approximately 77% of

ICG’s total corporate CRE exposure was rated investment

grade.

As of December 31, 2020, the ACLL was 1.8% of funded

CRE exposure, including 5.1% of funded non-investment

grade exposure.

Of the total CRE exposure:

• $20 billion of the exposure ($13 billion of direct

outstanding funded loans) relates to Community

Reinvestment Act-related lending provided pursuant to

Citi’s regulatory requirements to meet the credit needs of

borrowers in low and moderate income neighborhoods.

• $13 billion of the exposure ($12 billion of direct

outstanding funded loans) relates to exposure secured by

mortgages on underlying properties or in well-rated

securitization exposures.

• $13 billion of the exposure ($5 billion of direct

outstanding funded loans) relates to unsecured loans to

large REITs, with nearly 75% of the exposure rated

investment grade.

• $12 billion of the exposure ($11 billion of direct

outstanding funded loans) relates to CRE exposure in the

private bank, of which 100% is secured by mortgages. In

addition, 45% of the exposure is also full recourse to the

client. As of December 31, 2020, 77% of the exposure

was rated investment grade.

The following table details Citi’s corporate credit portfolio by industry as of December 31, 2019:

Non-investment grade Selected metrics

In millions of dollars

Total credit

exposure Funded

(1)

Unfunded

(1)

Investment

grade

Non-

criticized

Criticized

performing

Criticized

non-

performing

(2)

30 days or

more past

due and

accruing

(3)

Net charge-

offs

(recoveries)

(4)

Credit

derivative

hedges

(5)

Transportation and

industrials $ 146,643 $ 59,726 $ 86,917 $ 120,777 $ 19,433 $ 5,725 $ 706 $ 161 $ 67 $ (7,134)

Autos

(6)

48,604 21,564 27,040 43,570 3,582 1,311 140 8 5 (2,982)

Transportation 29,984 14,550 15,434 23,021 4,886 1,652 425 21 21 (725)

Industrials 68,055 23,612 44,443 54,186 10,965 2,762 141 132 41 (3,427)

Private bank

(1)

102,463 68,798 33,665 100,017 2,244 171 31 1,094 36 (1,080)

Consumer retail 81,338 36,117 45,221 62,993 15,131 2,773 441 209 38 (4,105)

Technology, media and

telecom 83,199 31,333 51,866 63,845 15,846 3,305 203 81 14 (6,181)

Real estate 55,518 38,058 17,460 49,461 5,495 525 37 97 (3) (573)

Power, chemicals, metals

and mining 73,961 24,377 49,584 58,670 11,997 2,963 331 50 24 (4,763)

Power 34,349 7,683 26,666 29,317 4,051 679 302 37 19 (2,111)

Chemicals 23,721 9,152 14,569 18,790 3,905 1,014 12 12 1 (2,079)

Metals and mining 15,891 7,542 8,349 10,563 4,041 1,270 17 1 4 (573)

Banks and finance

companies 52,036 32,571 19,465 43,663 4,661 3,345 39 15 12 (755)

Energy and commodities

(7)

53,317 17,428 35,889 42,996 5,780 3,627 914 51 99 (2,808)

Health 35,008 8,790 26,218 27,791 5,932 1,180 105 25 14 (1,588)

Public sector 27,194 14,226 12,968 23,294 1,637 2,558 33 107 1 (944)

Insurance 24,305 1,658 22,647 23,370 866 69 — 7 1 (2,218)

Asset managers and funds 24,763 6,942 17,821 22,357 2,276 130 — 1 31 (32)

Financial markets

infrastructure 16,838 22 16,816 16,838 — — — — — (2)

Securities firms 1,151 423 728 801 304 38 8 — 13 —

Other industries 16,842 9,718 7,214 8,299 7,383 1,080 80 48 42 65

Total $ 794,576 $ 350,187 $ 444,479 $ 665,172 $ 98,985 $ 27,489 $ 2,928 $ 1,946 $ 389 $ (32,118)

(1) Excludes $39.7 billion and $3.4 billion of funded and unfunded exposure at December 31, 2019, respectively, primarily related to the delinquency-managed credit

portfolio of the private bank.

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

(3) Excludes $434 million of past due loans primarily related to the delinquency-managed credit portfolio of the private bank.

(4) Net charge-offs (recoveries) are for the year ended December 31, 2019 and exclude delinquency-managed private bank charge-offs of $6 million.

(5) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $32.1 billion of

purchased credit protection, $30.5 billion represents the total notional of purchased credit derivatives on individual reference entities. The remaining $1.6 billion

represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $13.8 billion, where the protection seller absorbs the first loss

on the referenced loan portfolios.

(6) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of

global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.9 billion ($7.7 billion in funded, with more than 99%

rated investment grade) at December 31, 2019.

(7) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and

industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2019, Citi’s total exposure to these energy-related entities was

approximately $5.5 billion, of which approximately $3.2 billion consisted of direct outstanding funded loans.

Credit Risk Mitigation

As part of its overall risk management activities, Citigroup

uses credit derivatives and other risk mitigants to hedge

portions of the credit risk in its corporate credit portfolio, in

addition to outright asset sales. Citi may enter into partial-term

hedges as well as full-term hedges. In advance of the

expiration of partial-term hedges, Citi will determine, among

other factors, the economic feasibility of hedging the

remaining life of the instrument. The results of the mark-to-

market and any realized gains or losses on credit derivatives

are reflected primarily in Principal transactions in the

Consolidated Statement of Income.

At December 31, 2020, September 30, 2020 and

December 31, 2019, ICG (excluding the delinquency-managed

private bank portfolio) had economic hedges on the corporate

credit portfolio of $38.8 billion, $38.4 billion and

$32.1 billion, respectively. Citigroup’s expected credit loss

model used in the calculation of its ACL does not include the

favorable impact of credit derivatives and other mitigants that

are marked to market. In addition, the reported amounts of

direct outstandings and unfunded lending commitments in the

tables above do not reflect the impact of these hedging

transactions. The credit protection was economically hedging

underlying ICG (excluding the delinquency-managed private

bank portfolio) corporate credit portfolio exposures with the

following risk rating distribution:

Rating of Hedged Exposure

December 31,

2020

September 30,

2020

December 31,

2019

AAA/AA/A 30 % 29 % 36 %

BBB 48 52 51

BB/B 19 16 12

CCC or below 3 3 1

Total 100 % 100 % 100 %

Loan Maturities and Fixed/Variable Pricing of Corporate

Loans

In millions of dollars at

December 31, 2020

Due

within

1 year

Over 1

year

but

within

5 years

Over 5

years Total

Corporate loans

In U.S. offices

Commercial and

industrial loans $ 27,175 $ 16,073 $ 14,483 $ 57,731

Financial institutions 26,270 15,538 14,001 55,809

Mortgage and real

estate 28,560 16,893 15,222 60,675

Installment, revolving

credit and other 12,589 7,446 6,709 26,744

Lease financing 317 187 169 673

In offices outside the

U.S. 126,273 49,708 9,431 185,412

Total corporate

loans $ 221,184 $ 105,845 $ 60,015 $ 387,044

Fixed/variable

pricing of corporate

loans with

maturities due after

one year

(1)

Loans at fixed

interest rates $ 16,514 $ 21,346

Loans at floating or

adjustable interest

rates 89,331 38,669

Total $ 105,845 $ 60,015

(1) Based on contractual terms. Repricing characteristics may effectively be

modified from time to time using derivative contracts. See Note 22 to

the Consolidated Financial Statements.

ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding

December 31,

In millions of dollars

2020 2019 2018 2017 2016

Consumer loans

In North America offices

(1)

Residential first mortgages

(2)

$ 47,778 $ 47,008 $ 47,412 $ 49,375 $ 53,131

Home equity loans

(2)

7,128 9,223 11,543 14,827 19,454

Credit cards 130,385 149,163 144,542 139,718 133,297

Personal, small business and other 4,509 3,699 4,046 4,140 5,290

Total $ 189,800 $ 209,093 $ 207,543 $ 208,060 $ 211,172

In offices outside North America

(1)

Residential first mortgages

(2)

$ 39,969 $ 38,024 $ 36,388 $ 37,870 $ 35,523

Credit cards 22,692 25,909 24,951 25,727 23,055

Personal, small business and other 36,378 36,522 33,478 34,157 30,966

Total $ 99,039 $ 100,455 $ 94,817 $ 97,754 $ 89,544

Consumer loans, net of unearned income

(3)

$ 288,839 $ 309,548 $ 302,360 $ 305,814 $ 300,716

Corporate loans

In North America offices

(1)

Commercial and industrial $ 57,731 $ 55,929 $ 60,861 $ 60,219 $ 57,886

Financial institutions 55,809 53,922 48,447 39,128 35,517

Mortgage and real estate

(2)

60,675 53,371 50,124 44,683 38,691

Installment and other 26,744 31,238 32,425 31,932 31,194

Lease financing 673 1,290 1,429 1,470 1,518

Total $ 201,632 $ 195,750 $ 193,286 $ 177,432 $ 164,806

In offices outside North America

(1)

Commercial and industrial $ 104,072 $ 112,668 $ 114,029 $ 113,178 $ 100,532

Financial institutions 32,334 40,211 36,837 35,273 26,886

Mortgage and real estate

(2)

11,371 9,780 7,376 7,309 5,363

Installment and other 33,759 27,303 25,685 22,638 19,965

Lease financing 65 95 103 190 251

Governments and official institutions 3,811 4,128 4,520 5,200 5,850

Total $ 185,412 $ 194,185 $ 188,550 $ 183,788 $ 158,847

Corporate loans, net of unearned income

(4)

$ 387,044 $ 389,935 $ 381,836 $ 361,220 $ 323,653

Total loans—net of unearned income $ 675,883 $ 699,483 $ 684,196 $ 667,034 $ 624,369

Allowance for credit losses on loans (ACLL) (24,956) (12,783) (12,315) (12,355) (12,060)

Total loans—net of unearned income

and ACLL $ 650,927 $ 686,700 $ 671,881 $ 654,679 $ 612,309

ACLL as a percentage of total loans—

net of unearned income

(5)

3.73 % 1.84 % 1.81 % 1.86 % 1.94 %

ACLL for consumer loan losses as a percentage of

total consumer loans—net of unearned income

(5)

6.77 % 3.20 % 3.14 % 3.08 % 2.94 %

ACLL for corporate loan losses as a percentage of

total corporate loans—net of unearned income

(5)

1.42 % 0.75 % 0.74 % 0.82 % 1.01 %

(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 $749 million, $783 million, $742 million, $768 million and $803 million at December 31, 2020, 2019, 2018, 2017

and 2016, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.

(4) Corporate loans include private bank loans and are net of unearned income of $(844) million, $(814) million, $(855) million, $(794) million and $(730) million at

December 31, 2020, 2019, 2018, 2017 and 2016, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet

earned, on loans originated on a discounted basis.

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

Details of Credit Loss Experience

In millions of dollars

2020 2019 2018 2017 2016

Allowance for credit losses on loans (ACLL) at beginning of year $ 12,783 $ 12,315 $ 12,355 $ 12,060 $ 12,626

Adjustments to opening balance:

Financial instruments—credit losses (CECL)

(1)

4,201 — — — —

Variable post-charge-off third-party collection costs

(2)

(443) — — — —

Adjusted ACLL at beginning of year $ 16,541 $ 12,315 $ 12,355 $ 12,060 $ 12,626

Provision for credit losses on loans (PCLL)

Consumer

(2)

$ 11,765 $ 7,751 $ 7,258 $ 7,329 $ 6,207

Corporate 4,157 467 96 174 542

Total $ 15,922 $ 8,218 $ 7,354 $ 7,503 $ 6,749

Gross credit losses on loans

Consumer

In U.S. offices $ 6,047 $ 6,538 $ 5,971 $ 5,664 $ 4,874

In offices outside the U.S. 2,144 2,316 2,351 2,377 2,594

Corporate

Commercial and industrial, and other

In U.S. offices 562 265 121 223 370

In offices outside the U.S. 409 196 208 401 334

Loans to financial institutions

In U.S. offices 14 — 3 3 5

In offices outside the U.S. 12 3 7 1 5

Mortgage and real estate

In U.S. offices 71 23 2 2 34

In offices outside the U.S. 4 — 2 2 6

Total $ 9,263 $ 9,341 $ 8,665 $ 8,673 $ 8,222

Credit recoveries on loans

(2)

Consumer

In U.S. offices $ 1,106 $ 975 $ 912 $ 892 $ 972

In offices outside the U.S. 460 503 502 552 576

Corporate

Commercial and industrial, and other

In U.S. offices 43 28 47 31 31

In offices outside the U.S. 28 59 78 117 79

Loans to financial institutions

In U.S. offices — — — 1 1

In offices outside the U.S. 14 — 3 1 1

Mortgage and real estate

In U.S. offices — 8 6 2 1

In offices outside the U.S. 1 — 4 1 —

Total $ 1,652 $ 1,573 $ 1,552 $ 1,597 $ 1,661

Net credit losses on loans (NCLs)

In U.S. offices $ 5,545 $ 5,815 $ 5,132 $ 4,966 $ 4,278

In offices outside the U.S. 2,066 1,953 1,981 2,110 2,283

Total $ 7,611 $ 7,768 $ 7,113 $ 7,076 $ 6,561

Other—net

(3)(4)(5)(6)(7)(8)

$ 104 $ 18 $ (281) $ (132) $ (754)

Allowance for credit losses on loans (ACLL) at end of year $ 24,956 $ 12,783 $ 12,315 $ 12,355 $ 12,060

ACLL as a percentage of EOP loans

(9)

3.73 % 1.84 % 1.81 % 1.86 % 1.94 %

Allowance for credit losses on unfunded lending commitments

(ACLUC)

(10)(11)

$ 2,655 $ 1,456 $ 1,367 $ 1,258 $ 1,418

Total ACLL and ACLUC $ 27,611 $ 14,239 $ 13,682 $ 13,613 $ 13,478

Net consumer credit losses on loans $ 6,625 $ 7,376 $ 6,908 $ 6,597 $ 5,920

As a percentage of average consumer loans 2.32 % 2.49 % 2.33 % 2.22 % 2.00 %

Net corporate credit losses on loans $ 986 $ 392 $ 205 $ 479 $ 641

As a percentage of average corporate loans 0.25 % 0.10 % 0.05 % 0.14 % 0.20 %

ACLL by type at end of year

(12)

Consumer $ 19,554 $ 9,897 $ 9,504 $ 9,412 $ 8,842

Corporate 5,402 2,886 2,811 2,943 3,218

Total $ 24,956 $ 12,783 $ 12,315 $ 12,355 $ 12,060

(1) On January 1, 2020, Citi adopted Accounting Standards Codification (ASC) 326, Financial Instruments—Credit Losses (CECL). The ASC introduces a new credit

loss methodology requiring earlier recognition of credit losses while also providing additional disclosure about credit risk. On January 1, 2020, Citi recorded a

$4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a

deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the Consumer ACL due to longer estimated tenors than under

the incurred loss methodology under prior U.S. GAAP, net of recoveries; and (ii) a $0.8 billion decrease to the Corporate ACL due to shorter remaining tenors,

incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies. See Note

1 to the Consolidated Financial Statements for further discussion on the impact of Citi’s adoption of CECL.

(2) Citi had a change in accounting related to its variable post-charge-off third-party collection costs which was recorded as an adjustment to its January 1, 2020

opening allowance for credit losses on loans of $443 million. See Note 1 to the Consolidated Financial Statements.

(3) Includes all adjustments to the ACL, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting

adjustments, etc.

(4) 2020 includes reductions of approximately $4 million related to the transfer to HFS of various real estate loan portfolios. In addition, 2020 includes an increase of

approximately $97 million related to FX translation.

(5) 2019 includes reductions of approximately $42 million related to the transfer to HFS of various real estate loan portfolios. In addition, 2019 includes an increase

of approximately $60 million related to FX translation.

(6) 2018 includes reductions of approximately $201 million related to the sale or transfer to HFS of various loan portfolios, which include approximately $91 million

related to the transfer of various real estate loan portfolios to HFS. In addition, 2018 includes a reduction of approximately $60 million related to FX translation.

(7) 2017 includes reductions of approximately $261 million related to the sale or transfer to HFS of various loan portfolios, which include approximately $106 million

related to the transfer of various real estate loan portfolios to HFS. In addition, 2017 includes an increase of approximately $115 million related to FX translation.

(8) 2016 includes reductions of approximately $574 million related to the sale or transfer to HFS of various loan portfolios, which include approximately $106 million

related to the transfer of various real estate loan portfolios to HFS. In addition, 2016 includes a reduction of approximately $199 million related to FX translation.

(9) December 31, 2020, 2019, 2018, 2017 and 2016 exclude $6.9 billion, $4.1 billion, $3.2 billion, $4.4 billion and $3.5 billion, respectively, of loans which are

carried at fair value.

(10) 2020 corporate ACLUC includes a non-provision transfer of $68 million, representing reserves on performance guarantees. The reserves on these contracts were

reclassified out of the ACL on unfunded lending commitments and into other liabilities.

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

(12) Beginning in 2020, under CECL, the ACLL represents management’s estimate of expected credit losses in the portfolio.and troubled debt restructurings. See

“Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements below. Attribution of the ACLL is made for

analytical purposes only and the entire ACLL is available to absorb credit losses in the overall portfolio. Prior to 2020, the ACLL represented management’s

estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and TDRs. See “Superseded

Accounting Principles” in Note 1 to the Consolidated Financial Statements.

Allowance for Credit Losses on Loans (ACLL)

The following tables detail information on Citi’s ACLL, loans and coverage ratios. The December 31, 2020 table reflects the impact

from the January 1, 2020 CECL adoption and the impact from the pandemic. The December 31, 2019 table is presented under the

previous accounting standard (see “Superseded Accounting Principles” in Note 1 to the Consolidated Financial Statements).

December 31, 2020

In billions of dollars

ACLL

EOP loans, net of

unearned income

ACLL as a

percentage of EOP

loans

(1)

North America cards

(2)

$ 14.7 $ 130.4 11.3 %

North America mortgages

(3)

0.7 54.9 1.3

North America other 0.3 4.5 6.7

International cards 2.1 22.7 9.3

International other

(4)

1.8 76.3 2.4

Total consumer $ 19.6 $ 288.8 6.8 %

Total corporate 5.4 387.1 1.4

Total Citigroup $ 25.0 $ 675.9 3.7 %

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

(2) Includes both Citi-branded cards and Citi retail services. The $14.7 billion of loan loss reserves represented approximately 53 months of coincident net credit loss

coverage. As of December 31, 2020, the North America Citi-branded cards ACLL as a percentage of EOP loans was 10.0% and the North America Citi retail

services ACLL as a percentage of EOP loans was 13.6%.

(3) Of the $0.7 billion, approximately $0.3 billion was allocated to North America mortgages in Corporate/Other, including $0.5 billion and $0.2 billion determined

in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $54.9 billion in loans, approximately $53.0 billion and

$1.9 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional

information, see Note 15 to the Consolidated Financial Statements.

(4) Includes mortgages and other retail loans.

December 31, 2019

In billions of dollars

ACLL

EOP loans, net of

unearned income

ACLL as a

percentage of EOP

loans

(1)

North America cards

(2)

$ 7.0 $ 149.2 4.7 %

North America mortgages

(3)

0.3 56.2 0.5

North America other 0.1 3.7 2.7

International cards 1.4 25.9 5.4

International other

(4)

1.1 74.6 1.5

Total consumer $ 9.9 $ 309.6 3.2 %

Total corporate 2.9 389.9 0.7

Total Citigroup $ 12.8 $ 699.5 1.8 %

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

(2) Includes both Citi-branded cards and Citi retail services. The $7.0 billion of loan loss reserves represented approximately 15 months of coincident net credit loss

coverage.

(3) Of the $0.3 billion, nearly all was allocated to North America mortgages in Corporate/Other, including $0.1 billion and $0.2 billion determined in accordance with

ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $56.2 billion in loans, approximately $54.2 billion and $2.0 billion of the

loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 15 to

the Consolidated Financial Statements.

(4) Includes mortgages and other retail loans.

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

December 31, 2020

In millions of dollars, except percentages

Funded

exposure

(1)

ACLL

(2)(3)

ACLL as a % of

funded exposure

Transportation and industrials $ 58,352 $ 1,558 2.67 %

Private bank 75,693 224 0.30

Consumer retail 34,621 563 1.63

Technology, media and telecom 29,821 407 1.36

Real estate 42,711 718 1.68

Power, chemicals, metals and mining 20,156 312 1.55

Banks and finance companies 29,570 219 0.74

Energy and commodities 14,009 523 3.73

Health 8,575 144 1.68

Public sector 13,416 172 1.28

Insurance 1,925 7 0.36

Asset managers and funds 4,491 22 0.49

Financial markets infrastructure 229 — —

Securities firms 430 10 2.33

Other industries 3,579 122 3.41

Total $ 337,578 $ 5,001 1.48 %

(1) Funded exposure excludes $6,840 million of loans at fair value that are not subject to ACLL under the CECL standard.

(2) As of December 31, 2020, the ACLL shown above reflects coverage of 0.5% of funded investment grade exposure and 4.4% of funded non-investment grade

exposure.

(3) Excludes $401 million of ACLL associated with approximately $43 billion of funded delinquency-managed private bank exposures at December 31, 2020.

Including those reserves and exposures, the total ACLL is 1.42% of total funded exposure, including 0.5% of funded investment grade exposure and 4.4% of

funded non-investment grade exposure.

Non-Accrual Loans and Assets and Renegotiated Loans

There is a certain amount of overlap among non-accrual loans

and assets and renegotiated loans. The following summary

provides a general description of each category.

Non-Accrual Loans and Assets:

• Corporate and consumer (including commercial banking)

non-accrual status is based on the determination that

payment of interest or principal is doubtful.

• A corporate loan may be classified as non-accrual and still

be performing under the terms of the loan structure. Non-

accrual loans may still be current on interest payments.

Approximately 59%, 58% and 44% of Citi’s corporate

non-accrual loans were performing at December 31, 2020,

September 30, 2020 and December 31, 2019, respectively.

• Consumer non-accrual status is generally based on aging,

i.e., the borrower has fallen behind on payments.

• Consumer mortgage loans, other than Federal Housing

Administration (FHA) insured loans, are classified as

non-accrual within 60 days of notification that the

borrower has filed for bankruptcy. In addition, home

equity loans are classified as non-accrual if the related

residential first mortgage loan is 90 days or more past

due.

• North America Citi-branded cards and Citi retail services

are not included because, under industry standards, credit

card loans accrue interest until such loans are charged off,

which typically occurs at 180 days of contractual

delinquency.

Renegotiated Loans:

• Includes both corporate and consumer loans whose terms

have been modified in a troubled debt restructuring

(TDR).

• Includes both accrual and non-accrual TDRs.

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.

December 31,

In millions of dollars

2020 2019 2018 2017 2016

Corporate non-accrual loans

(1)

North America $ 1,928 $ 1,214 $ 586 $ 966 $ 1,291

EMEA 661 430 375 849 904

Latin America 719 473 307 348 441

Asia 219 71 243 70 220

Total corporate non-accrual loans $ 3,527 $ 2,188 $ 1,511 $ 2,233 $ 2,856

Consumer non-accrual loans

(1)

North America $ 1,059 $ 905 $ 1,138 $ 1,468 $ 1,854

Latin America 774 632 638 688 648

Asia

(2)

308 279 250 243 221

Total consumer non-accrual loans $ 2,141 $ 1,816 $ 2,026 $ 2,399 $ 2,723

Total non-accrual loans $ 5,668 $ 4,004 $ 3,537 $ 4,632 $ 5,579

(1) For years prior to 2020, excludes purchased credit-deteriorated loans, as they are generally accreting interest. The carrying value of these loans was $128 million

at December 31, 2019, $128 million at December 31, 2018, $167 million at December 31, 2017 and $187 million at December 31, 2016.

(2) Asia includes balances in certain EMEA countries for all periods presented.

The changes in Citigroup’s non-accrual loans were as follows:

Year ended Year ended

December 31, 2020 December 31, 2019

In millions of dollars

Corporate Consumer Total Corporate Consumer Total

Non-accrual loans at beginning of year $ 2,188 $ 1,816 $ 4,004 $ 1,511 $ 2,026 $ 3,537

Additions 5,103 2,829 7,932 3,407 2,954 6,361

Sales and transfers to HFS (2) (95) (97) (23) (171) (194)

Returned to performing (157) (389) (546) (68) (431) (499)

Paydowns/settlements (3,117) (677) (3,794) (2,496) (902) (3,398)

Charge-offs (446) (1,132) (1,578) (268) (1,444) (1,712)

Other (42) (211) (253) 125 (216) (91)

Ending balance $ 3,527 $ 2,141 $ 5,668 $ 2,188 $ 1,816 $ 4,004

Non-Accrual Assets

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:

December 31,

In millions of dollars

2020 2019 2018 2017 2016

OREO

North America $ 19 $ 39 $ 64 $ 89 $ 161

EMEA — 1 1 2 —

Latin America 7 14 12 35 18

Asia 17 7 22 18 7

Total OREO $ 43 $ 61 $ 99 $ 144 $ 186

Non-accrual assets

Corporate non-accrual loans $ 3,527 $ 2,188 $ 1,511 $ 2,233 $ 2,856

Consumer non-accrual loans 2,141 1,816 2,026 2,399 2,723

Non-accrual loans (NAL) $ 5,668 $ 4,004 $ 3,537 $ 4,632 $ 5,579

OREO $ 43 $ 61 $ 99 $ 144 $ 186

Non-accrual assets (NAA) $ 5,711 $ 4,065 $ 3,636 $ 4,776 $ 5,765

NAL as a percentage of total loans 0.84 % 0.57 % 0.52 % 0.69 % 0.89 %

NAA as a percentage of total assets 0.25 0.21 0.19 0.26 0.32

ACLL as a percentage of NAL

(1)

440 319 348 267 216

(1) The ACLL includes the allowance for Citi’s credit card portfolios and purchased distressed loans, while the non-accrual loans exclude credit card balances (with

the exception of certain international portfolios) and, prior to 2020, include purchased credit-deteriorated loans as these continue to accrue interest until charge-off.

Renegotiated Loans

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

In millions of dollars

Dec. 31,

2020

Dec. 31,

2019

Corporate renegotiated loans

(1)

In U.S. offices

Commercial and industrial

(2)

$ 193 $ 226

Mortgage and real estate 60 57

Financial institutions — —

Other 30 4

Total $ 283 $ 287

In offices outside the U.S.

Commercial and industrial

(2)

$ 132 $ 200

Mortgage and real estate 32 22

Financial institutions — —

Other 3 40

Total $ 167 $ 262

Total corporate renegotiated loans $ 450 $ 549

Consumer renegotiated loans

(3)

In U.S. offices

Mortgage and real estate $ 1,904 $ 1,956

Cards 1,449 1,464

Installment and other 33 17

Total $ 3,386 $ 3,437

In offices outside the U.S.

Mortgage and real estate $ 361 $ 305

Cards 533 466

Installment and other 519 400

Total $ 1,413 $ 1,171

Total consumer renegotiated loans $ 4,799 $ 4,608

(1) Includes $415 million and $472 million of non-accrual loans included in

the non-accrual loans table above at December 31, 2020 and 2019,

respectively. The remaining loans are accruing interest.

(2) In addition to modifications reflected as TDRs at December 31, 2020

and 2019, Citi also modified $47 million and $26 million, respectively,

of commercial loans risk rated “Substandard Non-Performing” or worse

(asset category defined by banking regulators) in offices outside the U.S.

These modifications were not considered TDRs because they did not

involve a concession or because they qualified for exemptions from

TDR accounting provided by the CARES Act or Interagency Guidance.

(3) Includes $873 million and $814 million of non-accrual loans included in

the non-accrual loans table above at December 31, 2020 and 2019,

respectively. The remaining loans are accruing interest.

Forgone Interest Revenue on Loans

(1)

In millions of dollars

In U.S.

offices

In non-

U.S.

offices

2020

total

Interest revenue that

would have been accrued

at original contractual

rates

(2)

$ 428 $ 365 $ 793

Amount recognized as

interest revenue

(2)

177 134 311

Forgone interest

revenue $ 251 $ 231 $ 482

(1) Relates to corporate non-accrual loans, renegotiated loans and consumer

loans on which accrual of interest has been suspended.

(2) Interest revenue in offices outside the U.S. may reflect prevailing local

interest rates, including the effects of inflation and monetary correction

in certain countries.

LIQUIDITY RISK

Overview

Adequate and diverse sources of funding and liquidity are

essential to Citi’s businesses. Funding and liquidity risks arise

from several factors, many of which are mostly or entirely

outside Citi’s control, such as disruptions in the financial

markets, changes in key funding sources, credit spreads,

changes in Citi’s credit ratings and macroeconomic,

geopolitical and other conditions. For additional information,

see “Risk Factors—Liquidity Risks” above.

Citi’s funding and liquidity management objectives are

aimed at (i) funding its existing asset base, (ii) growing its

core businesses, (iii) maintaining sufficient liquidity,

structured appropriately, so that Citi can operate under a

variety of adverse circumstances, including potential

Company-specific and/or market liquidity events in varying

durations and severity, and (iv) satisfying regulatory

requirements, including, among other things, those related to

resolution planning (for additional information, see

“Resolution Plan” and “Total Loss-Absorbing Capacity

(TLAC)” below). Citigroup’s primary liquidity objectives are

established by entity, and in aggregate, across two major

categories:

• Citibank (including Citibank Europe plc, Citibank

Singapore Ltd. and Citibank (Hong Kong) Ltd.); and

• Citi’s non-bank and other entities, including the parent

holding company (Citigroup Inc.), Citi’s primary

intermediate holding company (Citicorp LLC), Citi’s

broker-dealer subsidiaries (including Citigroup Global

Markets Inc., Citigroup Global Markets Ltd. and

Citigroup Global Markets Japan Inc.) and other bank and

non-bank subsidiaries that are consolidated into Citigroup

(including Citibanamex).

At an aggregate Citigroup level, Citi’s goal is to maintain

sufficient funding in amount and tenor to fully fund customer

assets and to provide an appropriate amount of cash and high-

quality liquid assets (as discussed below), even in times of

stress, in order to meet its payment obligations as they come

due. The liquidity risk management framework provides that

in addition to the aggregate requirements, certain entities be

self-sufficient or net providers of liquidity, including in

conditions established under their designated stress tests.

Citi’s primary sources of funding include (i) deposits via

Citi’s bank subsidiaries, which are Citi’s most stable and

lowest cost source of long-term funding, (ii) long-term debt

(primarily senior and subordinated debt) primarily issued at

the parent and certain bank subsidiaries, and (iii) stockholders’

equity. These sources may be supplemented by short-term

borrowings, primarily in the form of secured funding

transactions.

As referenced above, Citi’s funding and liquidity

framework ensures that the tenor of these funding sources is of

sufficient term in relation to the tenor of its asset base. The

goal of Citi’s asset/liability management is to ensure that there

is sufficient liquidity and tenor in the liability structure relative

to the liquidity profile of the assets. This reduces the risk that

liabilities will become due before assets mature or are

monetized. This excess liquidity is held primarily in the form

of high-quality liquid assets (HQLA), as set forth in the table

below.

Citi’s liquidity is managed via a centralized treasury

model by Treasury, in conjunction with regional and in-

country treasurers with oversight provided by Independent

Risk Management and various Asset & Liability Committees

(ALCOs) at the Citigroup, region, country and business levels.

Pursuant to this approach, Citi’s HQLA is managed with

emphasis on asset-liability management and entity-level

liquidity adequacy throughout Citi.

The Chief Risk Officer and Citi’s CFO co-chair

Citigroup’s ALCO, which includes Citi’s Treasurer and other

senior executives. ALCOs, among other things, set the

strategy of the liquidity portfolio and monitor its performance.

Significant changes to portfolio asset allocations need to be

approved by the ALCOs.

Liquidity Monitoring and Measurement

Stress Testing

Liquidity stress testing is performed for each of Citi’s major

entities, operating subsidiaries and/or countries. Stress testing

and scenario analyses are intended to quantify the potential

impact of an adverse liquidity event on the balance sheet and

liquidity position, and to identify viable funding alternatives

that can be utilized. These scenarios include assumptions

about significant changes in key funding sources, market

triggers (such as credit ratings), potential uses of funding and

macroeconomic, geopolitical and other conditions. These

conditions include expected and stressed market conditions as

well as Company-specific events.

Liquidity stress tests are performed to ascertain potential

mismatches between liquidity sources and uses over a variety

of time horizons and over different stressed conditions. To

monitor the liquidity of an entity, these stress tests and

potential mismatches are calculated with varying frequencies,

with several tests performed daily.

Given the range of potential stresses, Citi maintains

contingency funding plans on a consolidated basis and for

individual entities. These plans specify a wide range of readily

available actions for a variety of adverse market conditions or

idiosyncratic stresses.

High-Quality Liquid Assets (HQLA)

Citibank Citi non-bank and other entities Total

In billions of dollars

Dec. 31,

2020

Sept. 30,

2020

Dec. 31,

2019

Dec. 31,

2020

Sept. 30,

2020

Dec. 31,

2019

Dec. 31,

2020

Sept. 30,

2020

Dec. 31,

2019

Available cash $ 304.3 $ 279.3 $ 158.7 $ 2.1 $ 2.0 $ 2.1 $ 306.4 $ 281.3 $ 160.8

U.S. sovereign 77.8 80.6 100.2 64.8 56.0 29.6 142.6 136.6 129.8

U.S. agency/agency MBS 31.8 34.6 56.9 6.5 5.8 4.4 38.3 40.4 61.3

Foreign government debt

(1)

39.6 44.5 66.4 16.2 17.0 16.5 55.8 61.5 82.9

Other investment grade 1.2 1.5 2.4 0.5 0.7 0.5 1.7 2.2 2.8

Total HQLA (AVG) $ 454.7 $ 440.5 $ 384.6 $ 90.1 $ 81.5 $ 53.1 $ 544.8 $ 522.0 $ 437.6

Note: The amounts set forth in the table above are presented on an average basis. For securities, the amounts represent the liquidity value that potentially could be

realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts applicable under the U.S. LCR rule. The table above incorporates

various restrictions that could limit the transferability of liquidity between legal entities, including Section 23A of the Federal Reserve Act.

(1) Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt

securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Japan, Mexico,

Singapore, South Korea and Hong Kong.

The table above includes average amounts of HQLA held at

Citigroup’s operating entities that are eligible for inclusion in

the calculation of Citigroup’s consolidated Liquidity Coverage

ratio (LCR), pursuant to the U.S. LCR rules. These amounts

include the HQLA needed to meet the minimum requirements

at these entities and any amounts in excess of these minimums

that are assumed to be transferable to other entities within

Citigroup.

Citigroup’s HQLA increased quarter-over-quarter as of

the fourth quarter of 2020, primarily reflecting an increase in

average long-term non-bank debt. While deposit growth and a

decline in loans increased liquidity at Citibank, a significant

amount of this liquidity was assumed not to be transferable to

other entities within Citigroup and therefore not included in

Citi’s consolidated HQLA.

As of December 31, 2020, Citigroup had $972 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.

Generally, the LCR is designed to ensure that banks

maintain an adequate level of HQLA to meet liquidity needs

under an acute 30-day stress scenario. The LCR is calculated

by dividing HQLA by estimated net outflows over a stressed

30-day period, with the net outflows determined by applying

prescribed outflow factors to various categories of liabilities,

such as deposits, unsecured and secured wholesale

borrowings, unused lending commitments and derivatives-

related exposures, partially offset by inflows from assets

maturing within 30 days. Banks are required to calculate an

add-on to address potential maturity mismatches between

contractual cash outflows and inflows within the 30-day

period in determining the total amount of net outflows. The

minimum LCR requirement is 100%.

The table below details the components of Citi’s LCR

calculation and HQLA in excess of net outflows for the

periods indicated:

In billions of dollars

Dec. 31,

2020

Sept. 30,

2020

Dec. 31,

2019

HQLA $ 544.8 $ 522.0 $ 437.6

Net outflows 460.7 442.6 382.0

LCR 118 % 118 % 115 %

HQLA in excess of net outflows

$ 84.1 $ 79.4 $ 55.6

Note: The amounts are presented on an average basis.

As of December 31, 2020, Citi’s average LCR was

unchanged sequentially, as Citi’s average HQLA and net

outflows increased proportionately.

Long-Term Liquidity Measurement: Net Stable Funding

Ratio (NSFR)

On October 20, 2020, the U.S. banking agencies adopted a

final rule to assess the availability of a bank’s stable funding

against a required level. The intended purpose of the final rule

is to support the ability of financial institutions to provide

financial intermediation to businesses and households across a

range of market conditions and reduce the possibility of

funding shocks compromising a financial institution’s liquidity

position.

In general, a bank’s available stable funding will include

portions of equity, deposits and long-term debt, while its

required stable funding will be based on the liquidity

characteristics of its assets, derivatives and commitments.

Standardized weightings will be required to be applied to the

various asset and liabilities classes. The ratio of available

stable funding to required stable funding will be required to be

greater than 100%.

The final rule becomes effective beginning July 1, 2021

while public disclosure requirements to report the ratio will

occur on a semi-annual basis beginning June 30, 2023. Citi

expects to be in compliance with the final rule when the rule is

effective.

Loans

As part of its funding and liquidity objectives, Citi seeks to

fund its existing asset base appropriately as well as maintain

sufficient liquidity to grow its GCB and ICG businesses,

including its loan portfolio. Citi maintains a diversified

portfolio of loans to its consumer and institutional clients. The

table below details the average loans, by business and/or

segment, and the total end-of-period loans for each of the

periods indicated:

In billions of dollars

Dec. 31,

2020

Sept. 30,

2020

Dec. 31,

2019

Global Consumer Banking

North America $ 179.4 $ 179.1 $ 192.7

Latin America 14.3 13.6 17.4

Asia

(1)

82.4 79.7 80.9

Total $ 276.1 $ 272.4 $ 291.0

Institutional Clients Group

Corporate lending $ 146.2 $ 166.1 $ 154.2

Treasury and trade solutions

(TTS) 67.1 67.1 74.5

Private bank 113.3 110.3 106.6

Markets and securities services

and other 56.1 53.1 56.0

Total $ 382.7 $ 396.6 $ 391.3

Total Corporate/Other $ 7.4 $ 8.2 $ 10.3

Total Citigroup loans (AVG) $ 666.2 $ 677.2 $ 692.6

Total Citigroup loans (EOP) $ 676.1 $ 666.9 $ 699.5

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

As of the fourth quarter of 2020, end-of period loans

declined 3% year-over-year and increased 1% quarter-over-

quarter.

On an average basis, loans declined 4% year-over-year

and 2% quarter-over-quarter. Excluding the impact of FX

translation, average loans also declined 4% year-over-year and

2% sequentially. On this basis, average GCB loans declined

6% year-over-year, primarily reflecting the impact of lower

consumer spending in Citi’s cards businesses and higher

payments by customers given high levels of liquidity due to

fiscal stimulus.

Excluding the impact of FX translation, average ICG

loans declined 3% year-over-year. Treasury and trade

solutions (TTS) loans declined 10% year-over-year, reflecting

softness in underlying trade flows and the continued low level

of spend in commercial cards driven by the impact of the

pandemic. Average corporate lending loans declined 6%,

reflecting net repayments as Citi continued to assist its clients

in accessing the capital markets, as well as lower loan demand

given more muted economic activity. Average private bank

loans increased 6%, largely driven by secured lending to high-

net-worth clients, including residential real estate lending.

Average Corporate/Other loans continued to decline

(down 29%), driven by the wind-down of legacy assets.

Deposits

The table below details the average deposits, by business and/

or segment, and the total end-of-period deposits for each of the

periods indicated:

In billions of dollars

Dec. 31,

2020

Sept. 30,

2020

Dec. 31,

2019

Global Consumer Banking

(1)

North America $ 188.9 $ 182.1 $ 156.2

Latin America 24.3 22.5 23.0

Asia

(2)

120.0 115.2 103.4

Total $ 333.2 $ 319.8 $ 282.6

Institutional Clients Group

Treasury and trade solutions

(TTS) $ 686.5 $ 678.6 $ 558.7

Banking ex-TTS 163.2 150.1 140.7

Markets and securities services 109.3 107.9 95.0

Total $ 959.0 $ 936.6 $ 794.4

Corporate/Other $ 13.1 $ 11.4 $ 12.5

Total Citigroup deposits (AVG) $ 1,305.3 $ 1,267.8 $ 1,089.5

Total Citigroup deposits (EOP) $ 1,280.7 $ 1,262.6 $ 1,070.6

(1) Reflects deposits within retail banking.

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

End-of-period deposits increased 20% year-over-year and

1% sequentially.

As of the fourth quarter of 2020, on an average basis,

deposits increased 20% year-over-year and 3% sequentially.

Excluding the impact of FX translation, average deposits grew

19% from the prior-year period and 2% sequentially,

reflecting continued client engagement as well as the elevated

level of liquidity in the financial system. On this basis, average

deposits in GCB increased 18%, with strong growth across all

regions.

Excluding the impact of FX translation, average deposits

in ICG grew 20% year-over-year, primarily driven by 22%

growth in TTS, as well as continued growth in the private

bank and securities services.

Long-Term Debt

Long-term debt (generally defined as debt with original

maturities of one year or more) represents the most significant

component of Citi’s funding for the Citigroup parent company

and Citi’s non-bank subsidiaries and is a supplementary source

of funding for the bank entities.

Long-term debt is an important funding source due in part

to its multiyear contractual maturity structure. 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

8.6 years as of December 31, 2020, unchanged from

September 30, 2020 and an increase from the prior year. The

weighted-average maturity is calculated based on the

contractual maturity of each security. For securities that are

redeemable prior to maturity at the option of the holder, the

weighted-average maturity is calculated based on the earliest

date an option becomes exercisable.

Citi’s long-term debt outstanding at the Citigroup parent

company includes benchmark senior and subordinated debt

and what Citi refers to as customer-related debt, consisting of

structured notes, such as equity- and credit-linked notes, as

well as non-structured notes. Citi’s issuance of customer-

related debt is generally driven by customer demand and

complements benchmark debt issuance as a source of funding

for Citi’s non-bank entities. Citi’s long-term debt at the bank

includes bank notes, FHLB advances and securitizations.

Long-Term Debt Outstanding

The following table sets forth Citi’s end-of-period total long-

term debt outstanding for each of the dates indicated:

In billions of dollars

Dec. 31,

2020

Sept. 30,

2020

Dec. 31,

2019

Non-bank

(1)

Benchmark debt:

Senior debt $ 126.2 $ 126.3 $ 106.6

Subordinated debt 27.1 27.4 25.5

Trust preferred 1.7 1.7 1.7

Customer-related debt 65.2 61.0 53.8

Local country and other

(2)

6.7 8.1 7.9

Total non-bank $ 226.9 $ 224.5 $ 195.5

Bank

FHLB borrowings $ 10.9 $ 14.7 $ 5.5

Securitizations

(3)

16.6 16.4 20.7

Citibank benchmark senior debt 13.6 14.2 23.1

Local country and other

(2)

3.7 3.5 4.0

Total bank $ 44.8 $ 48.8 $ 53.3

Total long-term debt $ 271.7 $ 273.3 $ 248.8

Note: Amounts represent the current value of long-term debt on Citi’s

Consolidated Balance Sheet that, for certain debt instruments, includes

consideration of fair value, hedging impacts and unamortized discounts and

premiums.

(1) Non-bank includes long-term debt issued to third parties by the parent

holding company (Citigroup) and Citi’s non-bank subsidiaries (including

broker-dealer subsidiaries) that are consolidated into Citigroup. As of

December 31, 2020, non-bank included $56.4 billion of long-term debt

issued by Citi’s broker-dealer and other subsidiaries, as well as certain

Citigroup consolidated hedging activities.

(2) Local country and other includes debt issued by Citi’s affiliates in

support of their local operations. Within non-bank, certain secured

financing is also included. Within bank, borrowings under certain U.S.

government-sponsored liquidity programs are also included.

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

branded credit card receivables.

As of the fourth quarter of 2020, Citi’s total long-term

debt outstanding increased year-over-year, primarily driven by

the issuance of unsecured benchmark senior debt and

customer-related debt at the non-bank entities, as well as an

increase in FHLB borrowings at the bank, partially offset by

declines in unsecured benchmark senior debt and

securitizations at the bank. Sequentially, long-term debt

outstanding decreased, driven primarily by a decline in FHLB

borrowings at the bank and local country and other debt at the

non-bank, partially offset by higher customer-related debt at

the non-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

2020, Citi redeemed or repurchased $28.9 billion of its

outstanding long-term debt.

Long-Term Debt Issuances and Maturities

The table below details Citi’s long-term debt issuances and maturities (including repurchases and redemptions) during the periods

presented:

2020 2019 2018

In billions of dollars

Maturities Issuances Maturities Issuances Maturities Issuances

Non-bank

Benchmark debt:

Senior debt $ 6.5 $ 20.4 $ 16.5 $ 16.2 $ 18.5 $ 14.8

Subordinated debt — — — — 2.9 0.6

Trust preferred — — — — — —

Customer-related debt 27.7 36.8 12.7 25.1 6.6 16.9

Local country and other 2.4 1.4 1.1 5.4 1.2 2.3

Total non-bank $ 36.6 $ 58.6 $ 30.3 $ 46.7 $ 29.2 $ 34.6

Bank

FHLB borrowings $ 7.5 $ 12.9 $ 7.1 $ 2.1 $ 15.8 $ 7.9

Securitizations 4.6 0.3 7.9 0.1 8.6 6.8

Citibank benchmark senior debt 9.8 — 4.8 8.8 2.3 8.5

Local country and other 4.9 4.6 0.9 1.4 2.2 2.9

Total bank $ 26.8 $ 17.8 $ 20.7 $ 12.4 $ 28.9 $ 26.1

Total $ 63.4 $ 76.4 $ 51.0 $ 59.1 $ 58.1 $ 60.7

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) in 2020, as well as its

aggregate expected remaining long-term debt maturities by year as of December 31, 2020:

Maturities

In billions of dollars

2020 2021 2022 2023 2024 2025 Thereafter Total

Non-bank

Benchmark debt:

Senior debt $ 6.5 $ 14.7 $ 11.5 $ 13.0 $ 11.3 $ 7.7 $ 67.9 $ 126.2

Subordinated debt — — 0.8 1.3 1.1 5.3 18.6 27.1

Trust preferred — — — — — — 1.7 1.7

Customer-related debt 27.7 8.4 8.5 6.8 4.0 5.4 32.1 65.2

Local country and other 2.4 1.6 1.3 2.2 — — 1.6 6.7

Total non-bank $ 36.6 $ 24.7 $ 22.1 $ 23.3 $ 16.4 $ 18.4 $ 121.9 $ 226.9

Bank

FHLB borrowings $ 7.5 $ 5.7 $ 5.3 $ — $ — $ — $ — $ 10.9

Securitizations 4.6 7.2 2.1 2.4 1.1 0.4 3.3 16.6

Citibank benchmark senior debt 9.8 5.1 5.7 — 2.8 — — 13.6

Local country and other 4.9 0.6 1.5 0.3 0.7 0.1 0.5 3.7

Total bank $ 26.8 $ 18.6 $ 14.6 $ 2.7 $ 4.6 $ 0.5 $ 3.8 $ 44.8

Total long-term debt $ 63.4 $ 43.3 $ 36.7 $ 26.0 $ 21.0 $ 18.9 $ 125.7 $ 271.7

Resolution Plan

Citi is required under Title I of the Dodd-Frank Wall Street

Reform and Consumer Protection Act of 2010 (Dodd-Frank

Act) and the rules promulgated by the FDIC and FRB to

periodically submit a plan for Citi’s rapid and orderly

resolution under the U.S. Bankruptcy Code in the event of

material financial distress or failure. For additional

information on Citi’s resolution plan submissions, see “Risk

Factors—Strategic Risks” above. Citigroup’s preferred

resolution strategy is “single point of entry” under the U.S.

Bankruptcy Code.

Under Citi’s preferred “single point of entry” resolution

plan strategy, only Citigroup, the parent holding company,

would enter into bankruptcy, while Citigroup’s material legal

entities (as defined in the public section of its 2019 resolution

plan, which can be found on the FRB’s and FDIC’s websites)

would remain operational outside of any resolution or

insolvency proceedings. Citigroup’s resolution plan has been

designed to minimize the risk of systemic impact to the U.S.

and global financial systems, while maximizing the value of

the bankruptcy estate for the benefit of Citigroup’s creditors,

including its unsecured long-term debt holders.

In addition, in line with the Federal Reserve’s final total

loss-absorbing capacity (TLAC) rule, Citigroup believes it has

developed the resolution plan so that Citigroup’s shareholders

and unsecured creditors—including its unsecured long-term

debt holders—bear any losses resulting from Citigroup’s

bankruptcy. Accordingly, any value realized by holders of its

unsecured long-term debt may not be sufficient to repay the

amounts owed to such debt holders in the event of a

bankruptcy or other resolution proceeding of Citigroup.

The FDIC has also indicated that it was developing a

single point of entry strategy to implement the Orderly

Liquidation Authority under Title II of the Dodd-Frank Act,

which provides the FDIC with the ability to resolve a firm

when it is determined that bankruptcy would have serious

adverse effects on financial stability in the U.S.

As previously disclosed, in response to feedback received

from the Federal Reserve and FDIC, Citigroup took the

following actions:

(i) Citicorp LLC (Citicorp), an existing wholly owned

subsidiary of Citigroup, was established as an

intermediate holding company (an IHC) for certain of

Citigroup’s operating material legal entities;

(ii) Citigroup executed an inter-affiliate agreement with

Citicorp, Citigroup’s operating material legal entities

and certain other affiliated entities pursuant to which

Citicorp is required to provide liquidity and capital

support to Citigroup’s operating material legal entities

in the event Citigroup were to enter bankruptcy

proceedings (Citi Support Agreement);

(iii) pursuant to the Citi Support Agreement:

• Citigroup made an initial contribution of assets,

including certain high-quality liquid assets and

inter-affiliate loans (Contributable Assets), to

Citicorp, and Citicorp became the business-as-

usual funding vehicle for Citigroup’s operating

material legal entities;

• Citigroup will be obligated to continue to transfer

Contributable Assets to Citicorp over time, subject

to certain amounts retained by Citigroup to, among

other things, meet Citigroup’s near-term cash

needs;

• in the event of a Citigroup bankruptcy, Citigroup

will be required to contribute most of its remaining

assets to Citicorp; and

(iv) the obligations of both Citigroup and Citicorp under the

Citi Support Agreement, as well as the Contributable

Assets, are secured pursuant to a security agreement.

The Citi Support Agreement provides two mechanisms,

besides Citicorp’s issuing of dividends to Citigroup, pursuant

to which Citicorp will be required to transfer cash to Citigroup

during business as usual so that Citigroup can fund its debt

service as well as other operating needs: (i) one or more

funding notes issued by Citicorp to Citigroup and (ii) a

committed line of credit under which Citicorp may make loans

to Citigroup.

On December 17, 2019, the FRB and FDIC issued

feedback on the resolution plans filed on July 1, 2019 by the

eight U.S. GSIBs, including Citi. The FRB and FDIC

identified one shortcoming, but no deficiencies, in Citi’s

resolution plan relating to governance mechanisms. On July 1,

2020, the FRB and FDIC provided information to the eight

largest domestic banking organizations, including Citi,

required to be included in the targeted resolution plans due on

July 1, 2021.

Total Loss-Absorbing Capacity (TLAC)

U.S. GSIBs are required to maintain minimum levels of TLAC

and eligible LTD, each set by reference to the GSIB’s

consolidated risk-weighted assets (RWA) and total leverage

exposure. The intended purpose of the requirements is to

facilitate the orderly resolution of U.S. GSIBs under the U.S.

Bankruptcy Code and Title II of the Dodd-Frank Act. For

additional information, including Citi’s TLAC and LTD

amounts and ratios, see “Capital Resources—Current

Regulatory Capital Standards” and “Risk Factors—

Compliance Risks” above.

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 $200 billion as of December 31, 2020

increased 20% from the prior year and declined 4% from the

prior quarter. Excluding the impact of FX translation, secured

funding decreased 16% from the prior year and declined 7%

sequentially, both driven by normal business activity. Average

balances for secured funding were $227 billion for the quarter

ended December 31, 2020.

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 December 31, 2020.

Citi manages the risks in its secured funding by

conducting daily stress tests to account for changes in

capacity, tenor, haircut, collateral profile and client actions. In

addition, Citi maintains counterparty diversification by

establishing concentration triggers and assessing counterparty

reliability and stability under stress. Citi generally sources

secured funding from more than 150 counterparties.

Short-Term Borrowings

Citi’s short-term borrowings of $30 billion as of the fourth

quarter of 2020 decreased 34% year-over-year and 21%

sequentially, primarily driven by a decline in FHLB advances

(see Note 17 to the Consolidated Financial Statements for

further information on Citigroup’s and its affiliates’

outstanding short-term borrowings).

Overall Short-Term Borrowings

The following table contains the year-end, average and maximum month-end amounts for the following respective short-term

borrowings categories at the end of each of the three prior years:

Securities sold under

agreements to repurchase Other borrowings

(1)(2)

In billions of dollars

2020 2019 2018 2020 2019 2018

Amounts outstanding at year end $ 199.5 $ 166.3 $ 177.8 $ 80.0 $ 93.7 $ 96.9

Average outstanding during the year

(3)(4)(5)

216.8 190.2 172.1 102.4 98.8 108.4

Maximum month-end outstanding 225.3 196.8 191.2 129.3 112.3 113.5

Weighted average interest rate during the year

(3)(4)(5)(6)

0.96 % 3.29 % 2.84 % 0.62 % 2.49 % 2.04 %

(1) Original maturities of less than one year.

(2) Other borrowings include commercial paper, brokerage payables and borrowings from the FHLB and other market participants. See “Average Balances and

Interest Rates” below.

(3) Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.

(4) Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45; average rates exclude the impact of ASC

210-20-45.

(5) Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.

(6) Average rates reflect prevailing local interest rates, including inflationary effects and monetary correction in certain countries.

CREDIT RATINGS

Citigroup’s funding and liquidity, funding capacity, ability to

access capital markets and other sources of funds, the cost of

these funds and its ability to maintain certain deposits are

partially dependent on its credit ratings.

The table below shows the ratings for Citigroup and

Citibank as of December 31, 2020. While not included in the

table below, the long-term and short-term ratings of Citigroup

Global Markets Holding Inc. (CGMHI) were BBB+/A-2 at

Standard & Poor’s and A/F1 at Fitch as of December 31,

2020.

Ratings as of December 31, 2020

Citigroup Inc. Citibank, N.A.

Senior

debt

Commercial

paper Outlook

Long-

term

Short-

term Outlook

Fitch Ratings (Fitch) A F1 Negative A+ F1 Negative

Moody’s Investors Service (Moody’s) A3 P-2 Stable Aa3 P-1 Stable

Standard & Poor’s (S&P)

BBB+ A-2 Stable A+ A-1 Stable

Potential Impacts of Ratings Downgrades

Ratings downgrades by Moody’s, Fitch or S&P could

negatively impact Citigroup’s and/or Citibank’s funding and

liquidity due to reduced funding capacity, including derivative

triggers, which could take the form of cash obligations and

collateral requirements.

The following information is provided for the purpose of

analyzing the potential funding and liquidity impact to

Citigroup and Citibank of a hypothetical simultaneous

ratings downgrade across all three major rating agencies. This

analysis is subject to certain estimates, estimation

methodologies, judgments and uncertainties. Uncertainties

include potential ratings limitations that certain entities may

have with respect to permissible counterparties, as well as

general subjective counterparty behavior. For example, certain

corporate customers and markets counterparties could re-

evaluate their business relationships with Citi and limit

transactions in certain contracts or market instruments with

Citi. Changes in counterparty behavior could impact Citi’s

funding and liquidity, as well as the results of operations of

certain of its businesses. The actual impact to Citigroup or

Citibank is unpredictable and may differ materially from the

potential funding and liquidity impacts described below. For

additional information on the impact of credit rating changes

on Citi and its applicable subsidiaries, see “Risk Factors—

Liquidity Risks” above.

Citigroup Inc. and Citibank—Potential Derivative Triggers

As of December 31, 2020, Citi estimates that a hypothetical

one-notch downgrade of the senior debt/long-term rating of

Citigroup Inc. across all three major rating agencies could

impact Citigroup’s funding and liquidity due to derivative

triggers by approximately $0.6 billion, unchanged from

September 30, 2020. Other funding sources, such as secured

financing transactions and other margin requirements, for

which there are no explicit triggers, could also be adversely

affected.

As of December 31, 2020, 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 $0.4 billion, unchanged

from September 30, 2020. Other funding sources, such as

secured financing transactions and other margin requirements,

for which there are no explicit triggers, could also be

adversely affected.

In total, as of December 31, 2020, 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

$1.0 billion, unchanged from September 30, 2020 (see also

Note 22 to the Consolidated Financial Statements). As detailed

under “High-Quality Liquid Assets” above, Citigroup has

various liquidity resources available to its bank and non-bank

entities in part as a contingency for the potential events

described above.

In addition, a broad range of mitigating actions are

currently included in Citigroup’s and Citibank’s contingency

funding plans. For Citigroup, these mitigating factors include,

but are not limited to, accessing surplus funding capacity from

existing clients, tailoring levels of secured lending and

adjusting the size of select trading books and collateralized

borrowings at certain Citibank subsidiaries. Mitigating actions

available to Citibank include, but are not limited to, selling or

financing highly liquid government securities, tailoring levels

of secured lending, adjusting the size of select trading assets,

reducing loan originations and renewals, raising additional

deposits or borrowing from the FHLB or central banks. Citi

believes these mitigating actions could substantially reduce the

funding and liquidity risk, if any, of the potential downgrades

described above.

Citibank—Additional Potential Impacts

In addition to the above derivative triggers, Citi believes that a

potential downgrade of Citibank’s senior debt/long-term rating

across any of the three major rating agencies could also have

an adverse impact on the commercial paper/short-term rating

of Citibank. Citibank has provided liquidity commitments to

consolidated asset-backed commercial paper conduits,

primarily in the form of asset purchase agreements. As of

December 31, 2020, Citibank had liquidity commitments of

approximately $10.0 billion to consolidated asset-backed

commercial paper conduits, compared to $11.4 billion as of

September 30, 2020 (for additional information, see Note 21

to the Consolidated Financial Statements).

In addition to the above-referenced liquidity resources of

certain Citibank entities, Citibank could reduce the funding

and liquidity risk, if any, of the potential downgrades

described above through mitigating actions, including

repricing or reducing certain commitments to commercial

paper conduits. In the event of the potential downgrades

described above, Citi believes that certain corporate customers

could re-evaluate their deposit relationships with Citibank.

This re-evaluation could result in clients adjusting their

discretionary deposit levels or changing their depository

institution, which could potentially reduce certain deposit

levels at Citibank. However, Citi could choose to adjust

pricing, offer alternative deposit products to its existing

customers or seek to attract deposits from new customers, in

addition to the mitigating actions referenced above.

MARKET RISK

OVERVIEW

Market risk is the potential for losses arising from changes in

the value of Citi’s assets and liabilities resulting from changes

in market variables such as interest rates, foreign exchange

rates, equity prices, commodity prices and credit spreads, as

well as their implied volatilities. Market risk emanates from

both Citi’s trading and non-trading portfolios. For additional

information on market risk and market risk management, see

“Risk Factors” above.

Each business is required to establish, with approval from

Citi’s market risk management, a market risk limit framework

for identified risk factors that clearly defines approved risk

profiles and is within the parameters of Citi’s overall risk

appetite. These limits are monitored by the Risk organization,

including various regional, legal entity and business Risk

Management committees, Citi’s country and business Asset &

Liability Committees and the Citigroup Risk Management and

Asset & Liability Committees. In all cases, the businesses are

ultimately responsible for the market risks taken and for

remaining within their defined limits.

MARKET RISK OF NON-TRADING PORTFOLIOS

Market risk from non-trading portfolios stems from the

potential impact of changes in interest rates and foreign

exchange rates on Citi’s net interest revenues, the changes in

Accumulated other comprehensive income (loss) (AOCI) from

its debt securities portfolios and capital invested in foreign

currencies.

Net Interest Revenue at Risk

Net interest revenue, for interest rate exposure purposes, is the

difference between the yield earned on the non-trading

portfolio assets (including customer loans) and the rate paid on

the liabilities (including customer deposits or company

borrowings). Net interest revenue is affected by changes in the

level of interest rates, as well as the amounts and mix of assets

and liabilities, and the timing of contractual and assumed

repricing of assets and liabilities to reflect market rates.

Citi’s principal measure of risk to net interest revenue is

interest rate exposure (IRE). IRE measures the change in

expected net interest revenue in each currency resulting solely

from unanticipated changes in forward interest rates.

Citi’s estimated IRE incorporates various assumptions

including prepayment rates on loans, customer behavior and

the impact of pricing decisions. For example, in rising interest

rate scenarios, portions of the deposit portfolio may be

assumed to experience rate increases that are less than the

change in market interest rates. In declining interest rate

scenarios, it is assumed that mortgage portfolios experience

higher prepayment rates. Citi’s estimated IRE below assumes

that its businesses and/or Citi Treasury make no additional

changes in balances or positioning in response to the

unanticipated rate changes.

In order to manage changes in interest rates effectively,

Citi may modify pricing on new customer loans and deposits,

purchase fixed-rate securities, issue debt that is either fixed or

floating or enter into derivative transactions that have the

opposite risk exposures. Citi regularly assesses the viability of

these and other strategies to reduce its interest rate risks and

implements such strategies when it believes those actions are

prudent.

Citi manages interest rate risk as a consolidated

Company-wide position. Citi’s client-facing businesses create

interest rate-sensitive positions, including loans and deposits,

as part of their ongoing activities. Citi Treasury aggregates

these risk positions and manages them centrally. Operating

within established limits, Citi Treasury makes positioning

decisions and uses tools, such as Citi’s investment securities

portfolio, company-issued debt and interest rate derivatives, to

target the desired risk profile. Changes in Citi’s interest rate

risk position reflect the accumulated changes in all non-trading

assets and liabilities, with potentially large and offsetting

impacts, as well as in Citi Treasury’s positioning decisions.

Citigroup employs additional measurements, including

stress testing the impact of non-linear interest rate movements

on the value of the balance sheet, and the analysis of portfolio

duration and volatility, particularly as they relate to mortgage

loans and mortgage-backed securities and the potential impact

of the change in the spread between different market indices.

Interest Rate Risk of Investment Portfolios—Impact

on AOCI

Citi also measures the potential impacts of changes in interest

rates on the value of its AOCI, which can in turn impact Citi’s

common equity and tangible common equity. This will impact

Citi’s Common Equity Tier 1 and other regulatory capital

ratios. Citi’s goal is to benefit from an increase in the market

level of interest rates, while limiting the impact of changes in

AOCI on its regulatory capital position.

AOCI at risk is managed as part of the Company-wide

interest rate risk position. AOCI at risk considers potential

changes in AOCI (and the corresponding impact on the

Common Equity Tier 1 Capital ratio) relative to Citi’s capital

generation capacity.

100

The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio

(on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point (bps) increase in interest rates:

In millions of dollars, except as otherwise noted

Dec. 31, 2020 Sept. 30, 2020 Dec. 31, 2019

Estimated annualized impact to net interest revenue

U.S. dollar

(1)

$ 373 $ 65 $ 20

All other currencies 683 702 606

Total $ 1,056 $ 767 $ 626

As a percentage of average interest-earning assets 0.05 % 0.04 % 0.03 %

Estimated initial negative impact to AOCI (after-tax)

(2)

$ (5,645) $ (5,757) $ (5,002)

Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) (34) (36) (31)

(1) Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the estimated impact to net interest revenue in the table,

since these exposures are managed economically in combination with mark-to-market positions. The U.S. dollar interest rate exposure associated with these

businesses was $(89) million for a 100 bps instantaneous increase in interest rates as of December 31, 2020.

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

The year-over-year increase in the estimated impact to net

interest revenue primarily reflected changes in Citi’s balance

sheet composition and Citi Treasury positioning. The year-

over-year changes in the estimated impact to AOCI and the

Common Equity Tier 1 Capital ratio primarily reflected the

impact of the composition of Citi Treasury’s investment and

derivatives portfolio.

In the event of a parallel instantaneous 100 bps increase in

interest rates, Citi expects that the negative impact to AOCI

would be offset in shareholders’ equity through the expected

recovery of the impact on AOCI through accretion of Citi’s

investment portfolio over a period of time. As of

December 31, 2020, Citi expects that the negative $5.6 billion

impact to AOCI in such a scenario could potentially be offset

over approximately 31 months.

The following table sets forth the estimated impact to

Citi’s net interest revenue, AOCI and the Common Equity

Tier 1 Capital ratio (on a fully implemented basis) under five

different changes in interest rate scenarios for the U.S. dollar

and Citi’s other currencies. The 100 bps downward rate

scenarios are impacted by the low level of interest rates in

several countries and the assumption that market interest rates,

as well as rates paid to depositors and charged to borrowers,

do not fall below zero (i.e., the “flooring assumption”). The

rate scenarios are also impacted by convexity related to

mortgage products.

In addition, in the table below, the magnitude of the

impact to Citi’s net interest revenue and AOCI is greater under

Scenario 2 as compared to Scenario 3. This is because the

combination of changes to Citi’s investment portfolio,

partially offset by changes related to Citi’s pension liabilities,

results in a net position that is more sensitive to rates at

shorter- and intermediate-term maturities.

In millions of dollars, except as otherwise noted

Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5

Overnight rate change (bps) 100 100 — — (100)

10-year rate change (bps) 100 — 100 (100) (100)

Estimated annualized impact to net interest revenue

U.S. dollar $ 373 $ 348 $ 141 $ (113) $ (217)

All other currencies 683 489 42 (42) (342)

Total $ 1,056 $ 837 $ 183 $ (155) $ (559)

Estimated initial impact to AOCI (after-tax)

(1)

$ (5,645) $ (3,837) $ (1,987) $ 1,391 $ 2,472

Estimated initial impact to Common Equity Tier 1 Capital ratio (bps) (34) (24) (12) 7 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.

101

Changes in Foreign Exchange Rates—Impacts on AOCI

and Capital

As of December 31, 2020, Citi estimates that an unanticipated

parallel instantaneous 5% appreciation of the U.S. dollar

against all of the other currencies in which Citi has invested

capital could reduce Citi’s tangible common equity (TCE) by

approximately $1.7 billion, or 1.0%, as a result of changes to

Citi’s 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, Australian dollar and

Singapore dollar.

This impact is also before any mitigating actions Citi may

take, including ongoing management of its foreign currency

translation exposure. Specifically, as currency movements

change the value of Citi’s net investments in foreign currency-

denominated capital, these movements also change the value

of Citi’s risk-weighted assets denominated in those currencies.

This, coupled with Citi’s foreign currency hedging strategies,

such as foreign currency borrowings, foreign currency

forwards and other currency hedging instruments, lessens the

impact of foreign currency movements on Citi’s Common

Equity Tier 1 Capital ratio. Changes in these hedging

strategies, as well as hedging costs, divestitures and tax

impacts, can further affect the actual impact of changes in

foreign exchange rates on Citi’s capital as compared to an

unanticipated parallel shock, as described above.

The effect of Citi’s ongoing management strategies with

respect to changes in foreign exchange rates, and the impact of

these changes on Citi’s TCE and Common Equity Tier 1

Capital ratio, are shown in the table below. For additional

information on the changes in AOCI, see Note 19 to the

Consolidated Financial Statements.

For the quarter ended

In millions of dollars, except as otherwise noted

Dec. 31, 2020 Sept. 30, 2020 Dec. 31, 2019

Change in FX spot rate

(1)

5.5 % 2.6 % 2.8 %

Change in TCE due to FX translation, net of hedges $ 1,829 $ 655 $ 659

As a percentage of TCE 1.2 % 0.4 % 0.4 %

Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due

to changes in FX translation, net of hedges (bps) 2 (1) (3)

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

102

Interest Revenue/Expense and Net Interest Margin (NIM)

In millions of dollars, except as otherwise noted

2020 2019 2018

Change

2020 vs. 2019

Change

2019 vs. 2018

Interest revenue

(1)

$ 58,285 $ 76,718 $ 71,082 (24) % 8 %

Interest expense

(2)

14,541 29,163 24,266 (50) 20

Net interest revenue, taxable equivalent basis $ 43,744 $ 47,555 $ 46,816 (8) % 2 %

Interest revenue—average rate

(3)

2.88 % 4.27 % 4.08 % (139) bps 19 bps

Interest expense—average rate 0.88 2.01 1.77 (113) bps 24 bps

Net interest margin

(3)(4)

2.16 2.65 2.69 (49) bps (4) bps

Interest rate benchmarks

Two-year U.S. Treasury note—average rate 0.39 % 1.97 % 2.53 % (158) bps (56) bps

10-year U.S. Treasury note—average rate 0.89 2.14 2.91 (125) bps (77) bps

10-year vs. two-year spread 50 bps 17 bps 38 bps

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

(1) Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of

$196 million, $208 million and $254 for 2020, 2019 and 2018, respectively.

(2) Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together

with any changes in fair value as part of Principal transactions in the Consolidated Statement of Income and is therefore not reflected in Interest expense in the

table above.

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

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

103

Non-ICG Markets Net Interest Revenue

In millions of dollars

2020 2019 2018

Net interest revenue (NIR)—taxable equivalent basis

(1)

per above $ 43,744 $ 47,555 $ 46,816

ICG Markets NIR—taxable equivalent basis

(1)

5,454 4,372 4,506

Non-ICG Markets NIR—taxable equivalent basis

(1)

$ 38,290 $ 43,183 $ 42,310

(1) Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of

$196 million, $208 million and $254 million for 2020, 2019 and 2018, respectively.

Citi’s net interest revenue (NIR) in the fourth quarter of 2020

decreased 13% to $10.5 billion (also $10.5 billion on a taxable

equivalent basis) versus the prior-year period. Excluding the

impact of FX translation, NIR decreased year-over-year by

approximately $1.3 billion. The decrease was primarily related

to a decline of approximately $1.5 billion in non-ICG Markets

NIR, partially offset by an approximate $130 million increase

in ICG Markets (fixed income markets and equity markets)

NIR. The decrease in non-ICG Markets NIR primarily

reflected lower interest rates and lower loan balances across

institutional and consumer businesses (for additional

information, see “Liquidity Risk—Loans” above). Citi’s NIM

was 2.00% on a taxable equivalent basis in the fourth quarter

of 2020, a decrease of three basis points from the prior quarter,

reflecting lower NIR and balance sheet expansion due to

strong deposit growth.

Citi’s NIR for the full year 2020 decreased 8% to $43.5

billion ($43.7 billion on a taxable equivalent basis) versus the

prior year. Excluding the impact of FX translation, NIR

decreased 6%, or approximately $3.0 billion. The decrease

was primarily related to a decline of $4.1 billion in non-ICG

Markets NIR, partially offset by an increase of $1.1 billion in

ICG Markets NIR. The decrease in non-ICG Markets NIR was

primarily driven by lower interest rates, as well as lower loan

balances. On a full-year basis, Citi’s NIM was 2.16% on a

taxable equivalent basis, compared to 2.65% in 2019.

Citi’s ICG Markets NIR and non-ICG Markets NIR are

non-GAAP financial measures. Citi believes presentation of

these measures provides a meaningful depiction of the

underlying fundamentals of its lending, investing and deposit-

raising businesses.

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105

Additional Interest Rate Details

Average Balances and Interest Rates—Assets

(1)(2)(3)

Taxable Equivalent Basis

Average volume Interest revenue % Average rate

In millions of dollars, except rates

2020 2019 2018 2020 2019 2018 2020 2019 2018

Assets

Deposits with banks

(4)

$ 288,629 $ 188,523 $ 177,294 $ 928 $ 2,682 $ 2,203 0.32 % 1.42 % 1.24 %

Securities borrowed and

purchased under agreements to

resell

(5)

In U.S. offices $ 149,076 $ 146,030 $ 149,879 $ 1,202 $ 4,752 $ 3,818 0.81 % 3.25 % 2.55 %

In offices outside the U.S.

(4)

138,074 119,550 117,695 1,081 2,133 1,674 0.78 1.78 1.42

Total $ 287,150 $ 265,580 $ 267,574 $ 2,283 $ 6,885 $ 5,492 0.80 % 2.59 % 2.05 %

Trading account assets

(6)(7)

In U.S. offices $ 144,130 $ 109,064 $ 94,065 $ 3,624 $ 4,099 $ 3,706 2.51 % 3.76 % 3.94 %

In offices outside the U.S.

(4)

134,078 131,217 115,601 2,509 3,589 2,615 1.87 2.74 2.26

Total $ 278,208 $ 240,281 $ 209,666 $ 6,133 $ 7,688 $ 6,321 2.20 % 3.20 % 3.01 %

Investments

In U.S. offices

Taxable $ 265,833 $ 221,895 $ 228,686 $ 3,860 $ 5,162 $ 5,331 1.45 % 2.33 % 2.33 %

Exempt from U.S. income tax 14,084 15,227 17,199 452 577 706 3.21 3.79 4.10

In offices outside the U.S.

(4)

139,400 117,529 104,033 3,781 4,222 3,600 2.71 3.59 3.46

Total $ 419,317 $ 354,651 $ 349,918 $ 8,093 $ 9,961 $ 9,637 1.93 % 2.81 % 2.75 %

Loans (net of unearned income)

(8)

In U.S. offices $ 396,846 $ 395,792 $ 385,350 $ 26,700 $ 30,563 $ 28,627 6.73 % 7.72 % 7.43 %

In offices outside the U.S.

(4)

288,379 288,319 285,505 13,569 17,266 17,129 4.71 5.99 6.00

Total $ 685,225 $ 684,111 $ 670,855 $ 40,269 $ 47,829 $ 45,756 5.88 % 6.99 % 6.82 %

Other interest-earning assets

(9)

$ 67,531 $ 64,322 $ 67,269 $ 579 $ 1,673 $ 1,673 0.86 % 2.60 % 2.49 %

Total interest-earning assets $ 2,026,060 $ 1,797,468 $ 1,742,576 $ 58,285 $ 76,718 $ 71,082 2.88 % 4.27 % 4.08 %

Non-interest-earning assets

(6)

$ 200,196 $ 181,341 $ 177,654

Total assets $ 2,226,256 $ 1,978,809 $ 1,920,230

(1) Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of

$196 million, $208 million and $254 million for 2020, 2019 and 2018, respectively.

(2) Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.

(3) Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.

(4) Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(5) Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes

the impact of ASC 210-20-45.

(6) The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-

bearing liabilities.

(7) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral

positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(8) Includes cash-basis loans.

(9) Includes Brokerage receivables.

106

Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue

(1)(2)(3)

Taxable Equivalent Basis

Average volume Interest expense % Average rate

In millions of dollars, except rates

2020 2019 2018 2020 2019 2018 2020 2019 2018

Liabilities

Deposits

In U.S. offices

(4)

$ 485,848 $ 388,948 $ 338,060 $ 3,384 $ 6,304 $ 4,500 0.70 % 1.62 % 1.33 %

In offices outside the U.S.

(5)

541,301 487,318 453,793 3,153 6,329 5,116 0.58 1.30 1.13

Total $ 1,027,149 $ 876,266 $ 791,853 $ 6,537 $ 12,633 $ 9,616 0.64 % 1.44 % 1.21 %

Securities loaned and sold under

agreements to repurchase

(6)

In U.S. offices $ 137,348 $ 112,876 $ 102,843 $ 1,292 $ 4,194 $ 3,320 0.94 % 3.72 % 3.23 %

In offices outside the U.S.

(5)

79,426 77,283 69,264 785 2,069 1,569 0.99 2.68 2.27

Total $ 216,774 $ 190,159 $ 172,107 $ 2,077 $ 6,263 $ 4,889 0.96 % 3.29 % 2.84 %

Trading account liabilities

(7)(8)

In U.S. offices $ 38,308 $ 37,099 $ 37,305 $ 283 $ 818 $ 612 0.74 % 2.20 % 1.64 %

In offices outside the U.S.

(5)

52,051 51,817 58,919 345 490 389 0.66 0.95 0.66

Total $ 90,359 $ 88,916 $ 96,224 $ 628 $ 1,308 $ 1,001 0.70 % 1.47 % 1.04 %

Short-term borrowings and other

interest-bearing liabilities

(9)

In U.S. offices $ 82,363 $ 78,230 $ 85,009 $ 493 $ 2,138 $ 1,885 0.60 % 2.73 % 2.22 %

In offices outside the U.S.

(5)

20,053 20,575 23,402 137 327 324 0.68 1.59 1.38

Total $ 102,416 $ 98,805 $ 108,411 $ 630 $ 2,465 $ 2,209 0.62 % 2.49 % 2.04 %

Long-term debt

(10)

In U.S. offices $ 213,809 $ 193,972 $ 197,933 $ 4,656 $ 6,398 $ 6,386 2.18 % 3.30 % 3.23 %

In offices outside the U.S.

(5)

3,918 4,803 4,895 13 96 165 0.33 2.00 3.37

Total $ 217,727 $ 198,775 $ 202,828 $ 4,669 $ 6,494 $ 6,551 2.14 % 3.27 % 3.23 %

Total interest-bearing liabilities $ 1,654,425 $ 1,452,921 $ 1,371,423 $ 14,541 $ 29,163 $ 24,266 0.88 % 2.01 % 1.77 %

Demand deposits in U.S. offices $ 30,876 $ 27,737 $ 33,398

Other non-interest-bearing

liabilities

(7)

346,538 301,813 315,862

Total liabilities $ 2,031,839 $ 1,782,471 $ 1,720,683

Citigroup stockholders’ equity $ 193,769 $ 195,632 $ 198,681

Noncontrolling interests 648 706 866

Total equity $ 194,417 $ 196,338 $ 199,547

Total liabilities and stockholders’

equity $ 2,226,256 $ 1,978,809 $ 1,920,230

Net interest revenue as a

percentage of average interest-

earning assets

(11)

In U.S. offices $ 1,187,061 $ 1,017,021 $ 992,543 $ 26,661 $ 28,466 $ 28,157 2.25 % 2.80 % 2.84 %

In offices outside the U.S.

(6)

838,999 780,447 750,033 17,083 19,089 18,659 2.04 2.45 2.49

Total $ 2,026,060 $ 1,797,468 $ 1,742,576 $ 43,744 $ 47,555 $ 46,816 2.16 % 2.65 % 2.69 %

(1) Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of

$196 million, $208 million and $254 millionfor 2020, 2019 and 2018, respectively.

(2) Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.

(3) Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.

(4) Consists of other time deposits and savings deposits. Savings deposits are composed of insured money market accounts, NOW accounts and other savings

deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.

(5) Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(6) Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of

ASC 210-20-45.

(7) The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-

bearing liabilities.

107

(8) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral

positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(9) Includes Brokerage payables.

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

obligations are recorded in Principal transactions.

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

Analysis of Changes in Interest Revenue

(1)(2)(3)

2020 vs. 2019 2019 vs. 2018

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)

$ 976 $ (2,730) $ (1,754) $ 146 $ 333 $ 479

Securities borrowed and purchased under agreements to resell

In U.S. offices $ 96 $ (3,647) $ (3,551) $ (100) $ 1,034 $ 934

In offices outside the U.S.

(3)

290 (1,342) (1,052) 27 432 459

Total $ 386 $ (4,989) $ (4,603) $ (73) $ 1,466 $ 1,393

Trading account assets

(4)

In U.S. offices $ 1,102 $ (1,577) $ (475) $ 570 $ (177) $ 393

In offices outside the U.S.

(3)

77 (1,157) (1,080) 382 592 974

Total $ 1,179 $ (2,734) $ (1,555) $ 952 $ 415 $ 1,367

Investments

(1)

In U.S. offices $ 910 $ (2,337) $ (1,427) $ (213) $ (85) $ (298)

In offices outside the U.S.

(3)

703 (1,144) (441) 481 141 622

Total $ 1,613 $ (3,481) $ (1,868) $ 268 $ 56 $ 324

Loans (net of unearned income)

(5)

In U.S. offices $ 81 $ (3,944) $ (3,863) $ 789 $ 1,149 $ 1,938

In offices outside the U.S.

(3)

4 (3,701) (3,697) 169 (34) 135

Total $ 85 $ (7,645) $ (7,560) $ 958 $ 1,115 $ 2,073

Other interest-earning assets

(6)

$ 80 $ (1,173) $ (1,093) $ (75) $ 75 $ —

Total interest revenue $ 4,319 $ (22,752) $ (18,433) $ 2,176 $ 3,460 $ 5,636

(1) The taxable equivalent adjustments related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21%, are included in this presentation.

(2) Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.

(3) Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(4) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral

positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(5) Includes cash-basis loans.

(6) Includes Brokerage receivables.

108

Analysis of Changes in Interest Expense and Net Interest Revenue

(1)(2)(3)

2020 vs. 2019 2019 vs. 2018

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 $ 1,298 $ (4,218) $ (2,920) $ 738 $ 1,066 $ 1,804

In offices outside the U.S.

(3)

637 (3,813) (3,176) 397 816 1,213

Total $ 1,935 $ (8,031) $ (6,096) $ 1,135 $ 1,882 $ 3,017

Securities loaned and sold under agreements to repurchase

In U.S. offices $ 756 $ (3,658) $ (2,902) $ 343 $ 531 $ 874

In offices outside the U.S.

(3)

56 (1,340) (1,284) 194 306 500

Total $ 812 $ (4,998) $ (4,186) $ 537 $ 837 $ 1,374

Trading account liabilities

(4)

In U.S. offices $ 27 $ (562) $ (535) $ (3) $ 209 $ 206

In offices outside the U.S.

(3)

2 (147) (145) (51) 152 101

Total $ 29 $ (709) $ (680) $ (54) $ 361 $ 307

Short-term borrowings and other interest-bearing liabilities

(5)

In U.S. offices $ 107 $ (1,752) $ (1,645) $ (159) $ 412 $ 253

In offices outside the U.S.

(3)

(8) (182) (190) (42) 45 3

Total $ 99 $ (1,934) $ (1,835) $ (201) $ 457 $ 256

Long-term debt

In U.S. offices $ 602 $ (2,344) $ (1,742) $ (129) $ 141 $ 12

In offices outside the U.S.

(3)

(15) (68) (83) (3) (66) (69)

Total $ 587 $ (2,412) $ (1,825) $ (132) $ 75 $ (57)

Total interest expense $ 3,462 $ (18,084) $ (14,622) $ 1,285 $ 3,612 $ 4,897

Net interest revenue $ 857 $ (4,668) $ (3,811) $ 891 $ (152) $ 739

(1) The taxable equivalent adjustments related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21%, are included in this presentation.

(2) Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.

(3) Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(4) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral

positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(5) Includes Brokerage payables.

109

Market Risk of Trading Portfolios

Trading portfolios include positions resulting from market-

making activities, hedges of certain available-for-sale (AFS)

debt securities, the CVA relating to derivative counterparties

and all associated hedges, fair value option loans and hedges

of the loan portfolio within capital markets origination within

ICG.

The market risk of Citi’s trading portfolios is monitored

using a combination of quantitative and qualitative measures,

including, but not limited to:

• factor sensitivities;

• value at risk (VAR); and

• stress testing.

Each trading portfolio across Citi’s businesses has its own

market risk limit framework encompassing these measures and

other controls, including trading mandates, new product

approval, permitted product lists and pre-trade approval for

larger, more complex and less liquid transactions.

The following chart of total daily trading-related revenue

(loss) captures trading volatility and shows the number of days

in which revenues for Citi’s trading businesses fell within

particular ranges. Trading-related revenue includes trading, net

interest and other revenue associated with Citi’s trading

businesses. It excludes DVA, FVA and CVA adjustments

incurred due to changes in the credit quality of counterparties,

as well as any associated hedges of that CVA. In addition, it

excludes fees and other revenue associated with capital

markets origination activities. Trading-related revenues are

driven by both customer flows and the changes in valuation of

the trading inventory. As shown in the chart below, positive

trading-related revenue was achieved for 97.7% of the trading

days in 2020.

Daily Trading-Related Revenue (Loss)

(1)

—Twelve Months Ended December 31, 2020

In millions of dollars

(1) Reflects the effects of asymmetrical accounting for economic hedges of certain AFS debt securities. Specifically, the change in the fair value of hedging

derivatives is included in trading-related revenue, while the offsetting change in the fair value of hedged AFS debt securities is included in AOCI and not reflected

above.

110

Factor Sensitivities

Factor sensitivities are expressed as the change in the value of

a position for a defined change in a market risk factor, such as

a change in the value of a U.S. Treasury bill for a one-basis-

point change in interest rates. Citi’s market risk management,

within the Risk organization, works to ensure that factor

sensitivities are calculated, monitored and limited for all

material risks taken in the trading portfolios.

Value at Risk (VAR)

VAR estimates, at a 99% confidence level, the potential

decline in the value of a position or a portfolio under normal

market conditions assuming a one-day holding period. VAR

statistics, which are based on historical data, can be materially

different across firms due to differences in portfolio

composition, differences in VAR methodologies and

differences in model parameters. As a result, Citi believes

VAR statistics can be used more effectively as indicators of

trends in risk-taking within a firm, rather than as a basis for

inferring differences in risk-taking across firms.

Citi uses a single, independently approved Monte Carlo

simulation VAR model (see “VAR Model Review and

Validation” below), which has been designed to capture

material risk sensitivities (such as first- and second-order

sensitivities of positions to changes in market prices) of

various asset classes/risk types (such as interest rate, credit

spread, foreign exchange, equity and commodity risks). Citi’s

VAR includes positions that are measured at fair value; it does

not include investment securities classified as AFS or HTM.

For information on these securities, see Note 13 to the

Consolidated Financial Statements.

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. The Monte Carlo simulation involves

approximately 450,000 market factors, making use of

approximately 350,000 time series, with sensitivities updated

daily, volatility parameters updated intra-monthly and

correlation parameters updated monthly. The conservative

features of the VAR calibration contribute an approximate

32% add-on to what would be a VAR estimated under the

assumption of stable and perfectly, normally distributed

markets.

As set forth in the table below, Citi’s average trading

VAR increased from 2019 to 2020, mainly due to significant

market volatility during the first half of 2020 across all asset

classes, driven by macroeconomic challenges and

uncertainties related to the COVID-19 pandemic. Citi’s

average trading and credit portfolio VAR also increased in

2020, primarily due to the higher market volatility, increased

hedging activity and changes in portfolio composition.

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

In millions of dollars

December 31,

2020

Average

December 31,

2019

Average

Interest rate $ 72 $ 66 $ 32 $ 35

Credit spread 70 86 44 44

Covariance adjustment

(1)

(51) (48) (27) (23)

Fully diversified interest rate and credit spread

(2)

$ 91 $ 104 $ 49 $ 56

Foreign exchange 40 26 22 23

Equity 31 36 21 16

Commodity 17 22 13 24

Covariance adjustment

(1)

(85) (82) (52) (62)

Total trading VAR—all market risk factors, including general and specific risk

(excluding credit portfolios)

(2)

$ 94 $ 106 $ 53 $ 57

Specific risk-only component

(3)

$ (1) $ (2) $ 3 $ 2

Total trading VAR—general market risk factors only (excluding credit portfolios) $ 95 $ 108 $ 50 $ 55

Incremental impact of the credit portfolio

(4)

$ 29 $ 49 $ 30 $ 14

Total trading and credit portfolio VAR $ 123 $ 155 $ 83 $ 71

(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.

111

The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:

2020 2019

In millions of dollars

Low High Low High

Interest rate $ 28 $ 137 $ 25 $ 58

Credit spread 36 171 36 55

Fully diversified interest rate and credit spread $ 44 $ 223 $ 43 $ 89

Foreign exchange 14 40 12 34

Equity 13 141 7 29

Commodity 12 64 12 75

Total trading $ 47 $ 245 $ 38 $ 87

Total trading and credit portfolio 58 424 54 103

Note: No covariance adjustment can be inferred from the above table as the high and low for each market factor will be from different close-of-business dates.

The following table provides the VAR for ICG, excluding

the CVA relating to derivative counterparties, hedges of CVA,

fair value option loans and hedges to the loan portfolio:

In millions of dollars

Dec. 31, 2020

Total—all market risk factors, including

general and specific risk $ 97

Average—during year $ 104

High—during year 236

Low—during year 44

VAR Model Review and Validation

Generally, Citi’s VAR review and model validation process

entails reviewing the model framework, major assumptions

and implementation of the mathematical algorithm. In

addition, product specific back-testing on portfolios is

periodically completed as part of the ongoing model

performance monitoring process and reviewed with Citi’s U.S.

banking regulators. Furthermore, Regulatory VAR back-

testing (as described below) is performed against buy-and-

hold profit and loss on a monthly basis for multiple sub-

portfolios across the organization (trading desk level, ICG

business segment and Citigroup) and the results are shared

with U.S. banking regulators.

Material VAR model and assumption changes must be

independently validated within Citi’s risk management

organization. All model changes, including those for the VAR

model, are validated by the model validation group within

Citi’s Model Risk Management. In the event of significant

model changes, parallel model runs are undertaken prior to

implementation. In addition, significant model and assumption

changes are subject to the periodic reviews and approval by

Citi’s U.S. banking regulators.

Citi uses the same independently validated VAR model

for both Regulatory VAR and Risk Management VAR (i.e.,

total trading and total trading and credit portfolios VARs) and,

as such, the model review and validation process for both

purposes is as described above.

Regulatory VAR, which is calculated in accordance with

Basel III, differs from Risk Management VAR due to the fact

that certain positions included in Risk Management VAR are

not eligible for market risk treatment in Regulatory VAR. The

composition of Risk Management VAR is discussed under

“Value at Risk” above. The applicability of the VAR model

for positions eligible for market risk treatment under U.S.

regulatory capital rules is periodically reviewed and approved

by Citi’s U.S. banking regulators.

In accordance with Basel III, Regulatory VAR includes

all trading book-covered positions and all foreign exchange

and commodity exposures. Pursuant to Basel III, Regulatory

VAR excludes positions that fail to meet the intent and ability

to trade requirements and are therefore classified as non-

trading book and categories of exposures that are specifically

excluded as covered positions. Regulatory VAR excludes

CVA on derivative instruments and DVA on Citi’s own fair

value option liabilities. CVA hedges are excluded from

Regulatory VAR and included in credit risk-weighted assets as

computed under the Advanced Approaches for determining

risk-weighted assets.

Regulatory VAR Back-Testing

In accordance with Basel III, Citi is required to perform back-

testing to evaluate the effectiveness of its Regulatory VAR

model. Regulatory VAR back-testing is the process in which

the daily one-day VAR, at a 99% confidence interval, is

compared to the buy-and-hold profit and loss (i.e., the profit

and loss impact if the portfolio is held constant at the end of

the day and re-priced the following day). Buy-and-hold profit

and loss represents the daily mark-to-market profit and loss

attributable to price movements in covered positions from the

close of the previous business day. Buy-and-hold profit and

loss excludes realized trading revenue, net interest, fees and

commissions, intra-day trading profit and loss and changes in

reserves.

Based on a 99% confidence level, Citi would expect two

to three days in any one year when 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.

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The following graph shows the daily buy-and-hold profit

and loss associated with Citi’s covered positions compared to

Citi’s one-day Regulatory VAR during 2020. As of December

31, 2020, four back-testing exceptions were observed at the

Citigroup level. These exceptions occurred in March and were

due to losses across multiple businesses during the onset of the

pandemic-related volatility.

The difference between the 65.26% of days with buy-and-

hold gains for Regulatory VAR back-testing and the 97.7% of

days with trading, net interest and other revenue associated

with Citi’s trading businesses, shown in the histogram of daily

trading-related revenue below, reflects, among other things,

that a significant portion of Citi’s trading-related revenue is

not generated from daily price movements on these positions

and exposures, as well as differences in the portfolio

composition of Regulatory VAR and Risk Management VAR.

Regulatory Trading VAR and Associated Buy-and-Hold Profit and Loss

(1)

—12 Months ended December 31, 2020

In millions of dollars

(1) Buy-and-hold profit and loss, as defined by the banking regulators under Basel III, represents the daily mark-to-market revenue movement attributable to the

trading position from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue and net interest intra-day trading

profit and loss on new and terminated trades, as well as changes in reserves. Therefore, it is not comparable to the trading-related revenue presented in the chart of

daily trading-related revenue above.

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Stress Testing

Citi performs market risk stress testing on a regular basis to

estimate the impact of extreme market movements. It is

performed on individual positions and trading portfolios, as

well as in aggregate, inclusive of multiple trading portfolios.

Citi’s market risk management, after consultations with the

businesses, develops both systemic and specific stress

scenarios, reviews the output of periodic stress testing

exercises and uses the information to assess the ongoing

appropriateness of exposure levels and limits. Citi uses two

complementary approaches to market risk stress testing across

all major risk factors (i.e., equity, foreign exchange,

commodity, interest rate and credit spreads): top-down

systemic stresses and bottom-up business-specific stresses.

Systemic stresses are designed to quantify the potential impact

of extreme market movements on an institution-wide basis,

and are constructed using both historical periods of market

stress and projections of adverse economic scenarios.

Business-specific stresses are designed to probe the risks of

particular portfolios and market segments, especially those

risks that are not fully captured in VAR and systemic stresses.

The systemic stress scenarios and business-specific stress

scenarios at Citi are used in several reports reviewed by senior

management and also to calculate internal risk capital for

trading market risk. In general, changes in market values are

defined over a one-year horizon. For the most liquid positions

and market factors, changes in market values are defined over

a shorter two-month horizon. The limited set of positions and

market factors whose market value changes are defined over a

two-month horizon are those that in management’s judgment

have historically remained very liquid during financial crises,

even as the trading liquidity of most other positions and

market factors materially declined.

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OPERATIONAL RISK

Overview

Operational risk is the risk of loss resulting from inadequate or

failed internal processes, people and systems or from external

events. This includes legal risk, which is the risk of loss

(including litigation costs, settlements, and regulatory fines)

resulting from the failure of Citi to comply with laws,

regulations, prudent ethical standards, and contractual

obligations in any aspect of its businesses, but excludes

strategic and reputation risks. Citi also recognizes the impact

of operational risk on the reputation risk associated with Citi’s

business activities.

Operational risk is inherent in Citi’s global business

activities, as well as related support functions, and can result

in losses. Citi maintains a comprehensive firm-wide risk

taxonomy to classify operational risks that it faces using

standardized definitions across the firm’s Operational Risk

Management Framework (see discussion below). This

taxonomy also supports regulatory requirements and

expectations inclusive of those related to U.S. Basel III capital

requirements, CCAR process and heightened standards under

U.S. banking requirements.

Citi manages operational risk consistent with the overall

framework described in “Managing Global Risk—Overview”

above. Citi’s goal is to keep operational risk at appropriate

levels relative to the characteristics of its businesses, the

markets in which it operates, its capital and liquidity and the

competitive, economic and regulatory environment. This

includes effectively managing operational risk and

maintaining or reducing operational risk exposures within

Citi’s operational risk appetite.

To anticipate, mitigate and control operational risk, Citi’s

Independent Operational Risk Management group has

established a global-Operational Risk Management

Framework with policies and practices for identification,

measurement, monitoring, mitigating, and reporting

operational risks and the overall operating effectiveness of the

internal control environment. As part of this framework, Citi

has defined its operational risk appetite and established a

manager’s control assessment (MCA) process for self-

identification of significant operational risks, assessment of

the performance of key controls and mitigation of residual risk

above acceptable levels.

Each major business segment must implement operational

risk processes consistent with the requirements of this

framework. This includes:

• Understanding the operational risks they are exposed to;

• designing controls to mitigate identified risks;

• establishing key indicators;

• monitoring and reporting whether the operational risk

exposures are in or out of their operational risk appetite;

• having processes in place to bring operational risk

exposures within acceptable levels;

• periodically estimate and aggregate the operational risks

they are exposed to; and

• ensuring that sufficient resources are available to

actively improve the operational risk environment and

mitigate emerging risks.

Citi considers operational risks that result from the

introduction of new or changes to existing products, or result

from significant changes in its organizational structures,

systems, processes and personnel.

Citi has a governance structure for the oversight of

operational risk exposures through Business Risk and Controls

Committees (BRCCs), which include a Citigroup BRCC as

well as business, functions, regional and country BRCCs.

BRCCs are chaired by the individuals in the first line of

defense and provide escalation channels for senior

management to review operational risk exposures including

breaches of operational risk appetite, key indicators,

operational risk events, and control issues. Membership

includes senior business and functions leadership as well as

members of the second line of defense.

Citi also has an Operational Risk Management Committee

that provides senior management of the second line of defense

risk organizations with a platform to assess Citi’s operational

risk profile and to review that actions are taken to bring Citi’s

operational risk exposures within operational risk appetite.

Members include Citi’s Chief Risk Officer and Citi’s Head of

Operational Risk Management and senior members of their

organizations. These members cover multiple dimensions of

risk management and include business and regional Chief Risk

Officers and senior operational risk managers.

In addition, Independent Risk Management, including the

Operational Risk Management group, works proactively with

Citi’s businesses and functions to drive a strong and embedded

operational risk management culture and framework across

Citi. The Operational Risk Management group actively

challenges business and functions implementation of the

Operational Risk Management Framework requirements and

the quality of operational risk management practices and

outcomes.

Information about businesses’ key operational risks,

historical operational risk losses and the control environment

is reported by each major business segment and functional

area. Citi’s operational risk profile and related information is

summarized and reported to senior management, as well as to

the Audit and Risk Committees of Citi’s Board of Directors by

the Head of Operational Risk Management.

Operational risk is measured through

Operational Risk Capital and Operational Risk Regulatory

Capital for the Advanced Approaches under Basel III.

Projected operational risk losses under stress scenarios are

estimated as a required part of the Federal Reserve Board’s

CCAR process.

For additional information on Citi’s operational risks, see

“Risk Factors—Operational Risk” above.

Erroneous Revlon-Related Payment

In August 2020, Citi, as administrative agent for a Revlon

credit facility, in addition to making an interest payment,

erroneously paid the lenders under the facility an aggregate of

approximately $894 million, which is an amount equal to the

principal balance of the loan at that time. Human error at Citi

and at a third-party vendor, and limitations in Citi’s loan

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processing systems, were the main contributing factors. After

a careful assessment of the incident, Citi immediately put in

additional controls to prevent similar loan disbursement errors

in the future, while also embarking on a major upgrade of the

loan infrastructure and controls.

As of February 26, 2021, $389.8 million has been repaid

to Citi. In August 2020, Citi commenced litigation against

certain fund managers of lenders that have not returned the

remaining $504.2 million of erroneously transferred funds,

and obtained a temporary restraining order against the fund

managers and those acting with them, freezing the funds from

transfer or disbursement. On February 16, 2021, the court

issued a judgment in favor of the defendants, which Citi

intends to appeal. As a result of the court’s decision, Citi now

has rights as a creditor related to the Revlon loan. For

additional information, see Notes 27, 29 and 30 to the

Consolidated Financial Statements.

Cybersecurity Risk

Cybersecurity risk is the business risk associated with the

threat posed by a cyber attack, cyber breach or the failure to

protect Citi’s most vital business information assets or

operations, resulting in a financial or reputational loss(for

additional information, see the operational systems and

cybersecurity risk factors in “Risk Factors—Operational

Risks” above). With an evolving threat landscape, ever-

increasing sophistication of cybersecurity attacks and use of

new technologies to conduct financial transactions, Citi and its

clients, customers and third parties are and will continue to be

at risk for cyber attacks and information security incidents.

Citi recognizes the significance of these risks and, therefore,

employs an intelligence-led strategy to protect against, detect,

respond to and recover from cyber attacks. Further, Citi

actively participates in financial industry, government and

cross-sector knowledge-sharing groups to enhance individual

and collective cyber resilience.

Citi’s technology and cybersecurity risk management

program is built on three lines of defense. Citi’s first line of

defense under the Office of the Chief Information Security

Officer provides frontline business, operational and technical

controls and capabilities to protect against cybersecurity risks,

and to respond to cyber incidents and data breaches. Citi

manages these threats through state-of-the-art Fusion Centers,

which serve as central command for monitoring and

coordinating responses to cyber threats. The enterprise

information security team is responsible for infrastructure

defense and security controls, performing vulnerability

assessments and third-party information security assessments,

employee awareness and training programs and security

incident management, in each case working in coordination

with a network of information security officers who are

embedded within the businesses and functions on a global

basis.

Citi’s Operational Risk Management-Technology and

Cyber (ORM-T/C) and Independent Compliance Risk

Management-Technology and Information Security (ICRM-T)

groups serve as the second line of defense, and actively

evaluate, anticipate and challenge Citi’s risk mitigation

practices and capabilities. Internal audit serves as the third line

of defense and independently provides assurance on how

effectively the organization as a whole manages cybersecurity

risk. Citi also has multiple senior committees such as the

Information Security Risk Committee (ISRC), which governs

enterprise-level risk tolerance inclusive of cybersecurity risk.

Citi seeks to proactively identify and remediate

technology and cybersecurity risks before they materialize as

incidents that negatively affect business operations.

Accordingly, the ORM-T/C team independently challenges

and monitors capabilities in accordance with Citi’s defined

Technology and Cyber Risk Appetite statements. To address

evolving cybersecurity risks and corresponding regulations,

ORM-T/C and ICRM-T team collectively also monitor cyber

legal and regulatory requirements, identify and define

emerging risks, execute strategic cyber threat assessments,

perform new products and initiative reviews, perform data

management risk oversight and conduct cyber risk assurance

reviews (inclusive of third-party assessments). In addition,

ORM-T/C employs tools and oversees and challenges metrics

that are both tailored to cybersecurity and technology and

aligned with Citi’s overall operational risk management

framework to effectively track, identify and manage risk.

COMPLIANCE RISK

Compliance risk is the risk to current or projected financial

condition and resilience arising from violations of laws, rules,

or regulations, or from non-conformance with prescribed

practices, internal policies and procedures or ethical standards.

Compliance risk exposes Citi to fines, civil money penalties,

payment of damages and the voiding of contracts. Compliance

risk can result in diminished reputation, harm to the firm’s

customers, limited business opportunities and lessened

expansion potential. It encompasses the risk of noncompliance

with all laws and regulations, as well as prudent ethical

standards and some contractual obligations. It could also

include exposure to litigation (known as legal risk) from all

aspects of traditional and non-traditional banking.

Citi seeks to operate with integrity, maintain strong

ethical standards and adhere to applicable policies and

regulatory and legal requirements. Citi must maintain and

execute a proactive Compliance Risk Management (CRM)

Policy that is designed to manage compliance risk effectively

across Citi, with a view to fundamentally strengthen the

compliance risk management culture across the lines of

defense taking into account Citi’s risk governance framework

and regulatory requirements. Independent Compliance Risk

Management’s (ICRM) primary objectives are to:

• Drive and embed a culture of compliance and control

throughout Citi;

• Maintain and oversee an integrated CRM Policy and

Compliance Risk Framework that facilitates enterprise-

wide compliance with local, national or cross-border laws,

rules or regulations, Citi’s internal policies, standards and

procedures and relevant standards of conduct;

• Assess compliance risks and issues across product lines,

functions and geographies, supported by globally

consistent systems and compliance risk management

processes; and

• Provide compliance risk data aggregation and reporting

capabilities.

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To anticipate, control and mitigate compliance risk, Citi

has established the CRM Policy to achieve standardization and

centralization of methodologies and processes, and to enable

more consistent and comprehensive execution of compliance

risk management.

Citi has a commitment, as well as an obligation, to

identify, assess and mitigate compliance risks associated with

its businesses and functions. ICRM is responsible for

oversight of Citi’s CRM Policy, while all businesses and

global control functions are responsible for managing their

compliance risks and operating within the Compliance Risk

Appetite.

Citi carries out its objectives and fulfills its

responsibilities through the Compliance Risk Framework,

which is composed of the following integrated key activities,

to holistically manage compliance risk:

• Management of Citi’s compliance with laws, rules and

regulations by identifying and analyzing changes,

assessing the impact, and implementing appropriate

policies, processes and controls.

• Developing and providing compliance training to ensure

colleagues are aware of and understand the key laws,

rules and regulations.

• Monitoring compliance risk appetite, which is articulated

through qualitative compliance risk statements describing

Citi’s appetite for certain types of risk and quantitative

measures to monitor the Company’s compliance risk

exposure.

• Monitoring and testing of compliance risks and controls

in assessing conformance with laws, rules, regulations and

internal policies.

• Issue identification, escalation and remediation to drive

accountability, including measurement and reporting of

compliance risk metrics against established thresholds in

support of the CRM Policy and Compliance Risk

Appetite.

As discussed above, Citi is working to address the FRB

and OCC consent orders, which include improvements to

Citi’s Compliance Risk Framework and its Enterprise-wide

application (for additional information regarding the consent

orders, see “Citi’s Consent Order Compliance” above).

REPUTATION RISK

Citi’s reputation is a vital asset in building trust with its

stakeholders and Citi is diligent in communicating its

corporate values to its colleagues, customers, investors and

regulators. To support this, Citi has defined a reputation risk

appetite approach. Under this approach, each major business

segment has implemented a risk appetite statement and related

key indicators to monitor and address weaknesses that may

result in significant reputation risks. The approach requires

that each business segment or region escalates significant

reputation risks that require review or mitigation through its

Reputation Risk Committee or equivalent.

The Reputation Risk Committees are part of the

governance infrastructure that Citi has in place to review the

reputation risk posed by business activities, sales practices,

product design, or perceived conflicts of interest. These

committees may also raise potential reputation risks for due

consideration by the Reputation Risk Committee at the

corporate level. The Citigroup Reputation Risk Committee

may escalate reputation risks to the Nomination, Governance

and Public Affairs Committee or other appropriate committee

of the Citigroup Board of Directors. The Reputation Risk

Committees, which are composed of Citi’s most senior

executives, govern the process by which material reputation

risks are identified, monitored, reported, managed and

escalated, and appropriate actions are taken in line with

Company-wide strategic objectives, risk appetite thresholds

and regulatory expectations, while promoting the culture of

risk awareness and high standards of integrity and ethical

behavior across the Company, consistent with Citi’s mission

and value proposition.

Further, the responsibility for maintaining Citi’s

reputation is shared by all colleagues, who are guided by Citi’s

Code of Conduct. Colleagues are expected to exercise sound

judgment and common sense in decisions and actions. They

are also expected to promptly and appropriately escalate all

issues that present potential reputation risk.

STRATEGIC RISK

Overview

Citi’s Executive Management Team, led by Citi’s CEO, is

responsible for the development and execution of Citi’s

strategy. This strategy is translated into forward-looking plans

that are then cascaded across the organization. Strategic risk is

monitored through a range of practices: regular Citigroup

Board of Director meetings provide strategic checkpoints

where management’s progress is assessed and where decisions

to refine the strategic direction of the Company are evaluated;

Citi’s Executive Management Team assesses progress against

executing the defined plans; CEO reviews, which include a

risk assessment of the plans, occur across products, regions

and functions to focus on progress against executing the plans;

products, regions and functions have internal reviews to assess

performance at lower levels across the organization; and

specific forums exist to focus on key areas that drive strategic

risk such as balance sheet management, the introduction of

new or modified products and services and country

management, among others. In addition to these day-to-day

practices, significant strategic actions, such as mergers,

acquisitions or capital expenditures, are reviewed and

approved by, or notified to, the Citigroup Board of Directors.

U.K.’s Future Relationship with the EU

As previously disclosed, the U.K. formally left the European

Union (EU) on January 31, 2020. Subsequently, the U.K. and

the EU entered into a Trade and Cooperation Agreement

(TCA) that set out preferential arrangements in areas such as

trade in goods and in services that became effective on

January 1, 2021. While entering into the TCA avoided a “no

deal” exit scenario, many questions remain as to the future

relationship between the U.K. and the EU. For example, the

TCA minimally covers financial services. The U.K. and the

EU have committed under the TCA to negotiate further details

regarding financial services, but there can be no assurance as

to the successful completion or ultimate outcome of those

negotiations. Citi planned extensively for the U.K. exit from

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the EU and successfully implemented its transition plans to

date. However, future legislative and regulatory developments

in the U.K. and the EU as a result of the exit may negatively

impact Citi. For additional information, see “Risk Factors—

Strategic Risks” above.

LIBOR Transition Risk

The ICE Benchmark Administration concluded the

consultation on its intent to cease publication of one week and

two month USD LIBOR on December 31, 2021 and to extend

the publication of all remaining USD LIBORs until June 30,

2023 for legacy contracts. In addition, it is expected that all

non USD LIBOR tenors will cease after December 31, 2021.

Citi recognizes that a transition away from and discontinuance

of LIBOR presents various risks and challenges that could

significantly impact financial markets and market participants,

including Citi (for information about Citi’s risks from a

transition away from and discontinuation of LIBOR or any

other interest rate benchmark, see “Risk Factors—Strategic

Risks” above). Accordingly, Citi has continued its efforts to

identify and manage its LIBOR transition risks. Citi is also

closely monitoring legislative, regulatory and other

developments related to LIBOR transition matters and relief.

Citi has established a LIBOR governance and

implementation program focused on identifying and

addressing the LIBOR transition impacts to Citi’s clients,

operational capabilities and legal and financial contracts,

among others. The program operates globally across Citi’s

businesses and functions and includes active involvement of

senior management, oversight by Citi’s Asset & Liability

Committee and reporting to the Risk Management Committee

of Citigroup’s Board of Directors. As part of the program, Citi

has continued to implement its LIBOR transition action plans

and associated roadmaps under the following key

workstreams: program management; transition strategy and

risk management; customer management, including internal

communications and training, legal/contract management and

product management; financial exposures and risk

management; regulatory and industry engagement; operations

and technology; and finance, risk, tax and treasury.

During 2020, Citi continued to participate in a number of

working groups formed by global regulators, including the

Alternative Reference Rates Committee (ARRC) convened by

the Federal Reserve Board. These working groups promote

and advance development of alternative reference rates and

seek to identify and address potential challenges from any

transition to such rates. Citi also continued to engage with

regulators, financial accounting bodies and others on LIBOR

transition matters.

Moreover, Citi has continued to identify its LIBOR

transition exposures, including financial instruments that do

not contain contract provisions that adequately contemplate

the discontinuance of reference rates and that would require

additional negotiation with counterparties. Citi’s LIBOR

transition efforts include, among other things, using alternative

reference rates in certain newly issued financial instruments

and products. Since 2019, Citi has issued preferred stock and

benchmark debt referencing the Secured Overnight Financing

Rate (SOFR) as well as updated the LIBOR determination

method in its debt documentation with the ARRC

recommended fallback language. In addition, in 2020, Citi

transitioned the discounting of centrally cleared EUR and

USD interest rate derivatives to the Euro Short-Term Rate

(ESTR) and SOFR, respectively; announced the adoption of

the newly published Interbank Offered Rate (IBOR) Fallbacks

Protocol of the International Swaps and Derivatives

Association (ISDA) for existing IBOR derivatives

transactions; and increased Citi’s virtual client communication

efforts, including outreach regarding these new industry-led

protocols and solutions. Further, Citi has also been investing

in its systems and infrastructure, as client activity moves away

from LIBOR to alternative reference rates.

Climate Risk

Climate change presents immediate and long-term risks to Citi

and to its clients and customers, with the risks expected to

increase over time. Climate risk refers to the risk of loss

arising from climate change and is divided into physical risk

and transition risk. Physical risk considers how chronic and

acute climate change (e.g., increased storms, drought, fires,

floods) can directly damage physical assets (e.g., real estate,

crops) or otherwise impact their value or productivity.

Transition risk considers how changes in policy, technology

and market preference to address climate change (e.g., carbon

price policies, power generation shifts from fossil fuels to

renewable energy) can lead to changes in the value of assets,

commodities and companies.

Climate risk is an overarching risk that can act as a driver

of other types of risk in the Citi risk taxonomy, such as credit

risk from obligors exposed to high climate risk, reputational

risk from increased stakeholder concerns about financing high

carbon industries and operational risk from physical climate

risks to Citi’s facilities.

Citi currently identifies climate risk as an “emerging risk”

within its risk governance framework. Emerging risks are risks

or thematic issues that are either new to the landscape, or in

the case of climate risk, existing risks that are rapidly

changing or evolving in an escalating fashion, which are

difficult to assess due to limited data or other uncertainties.

For additional information on climate risk, see “Risk Factors

—Strategic Risk” above.

With the increased importance and focus on climate risk,

Citi has continued to expand its governance of climate risk and

integrate climate considerations into the priorities of

Citigroup’s Board of Directors and senior management. In

particular, Citi has:

• appointed a Chief Sustainability Officer;

• appointed a Head of Climate Risk to partner with the

Head of Environmental and Social Risk Management to

deliver a Company-wide strategy concerning climate risk;

• formed a global, cross-functional senior-executive level

Climate Risk Advisory Council to provide oversight of

and guidance to Citi’s climate risk integration efforts; and

• increased the frequency and depth of Board and senior-

level review of climate-related matters.

Citi manages and mitigates the credit and reputational

risks from climate change through a number of internal

initiatives, including Citi’s Environmental and Social Risk

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Management (ESRM) Policy. First established in 2003, the

ESRM Policy is part of Citi’s broader credit risk management

policy and is applicable to all Citi entities globally. The ESRM

Policy provides the framework for how Citi identifies,

mitigates and manages the potential environmental and social

risks (including climate risks) associated with clients’

activities that could lead to credit or reputation risks to the

Company. It guides how Citi evaluates lending, underwriting

and advisory in environmentally sensitive and/or high-carbon

sectors, and presents opportunities for Citi to engage clients on

solutions to thematic risks.

In project-related lending, Citi’s ESRM Policy

incorporates the updates from the fourth iteration of the

Equator Principles, which Citi helped shape, that expands

climate risk requirements to include physical risk as well as

transition risk. Citi’s ESRM Policy covers lending and

underwriting with identified use of proceeds directed to

physical assets and activities, as well as sector standards for

corporate relationships in higher-risk sectors, including

carbon-intensive sectors. In 2020, Citi updated its sector

standards for thermal and coal mining, coal-fired power and

Arctic oil and gas.

Citi has also made climate risk one of the three key pillars

of its 2025 Sustainable Progress Strategy. Under this pillar,

Citi intends to measure, manage and reduce the climate risk

and impact of its client portfolios and enhance its Taskforce on

Climate-Related Financial Disclosures (TCFD)

implementation and disclosure through policy development,

portfolio analysis and client engagement. In December 2020,

Citi released its second report detailing its implementation of

the TCFD recommendations: Finance for a Climate-Resilient

Future II. In this report, Citi discusses its implementation of

the TCFD recommendations, and Citi’s recent pilot testing of

climate scenario analyses to assess climate-related impacts and

risks in specific sectors, spanning both transition and physical

climate risks. Climate data is still improving in terms of its

accessibility and reliability, and the industry and Citi continue

to develop better methodological approaches toward assessing

climate change impacts. Nonetheless, Citi expects to integrate

more quantitative analysis of climate risks into credit

assessments in the future and to quantify the carbon emissions

associated with its client portfolios. Citi will continue to

disclose its progress in this area in its annual Environmental,

Social, and Governance (ESG) Report and TCFD reporting.

In addition, Citi continues to participate in financial

industry collaborations to develop and pilot new

methodologies and approaches for measuring and assessing

the potential financial risks of climate change. Citi is also

closely monitoring regulatory developments on climate risk

and sustainable finance, and actively engaging with regulators

on these topics.

For information on Citi’s environmental and social

policies and priorities, see Citi’s website at

www.citigroup.com. Click on “About Us” and then

“Environmental, Social, and Governance.” For information on

Citi’s ESG and Sustainability (including climate change)

governance, see Citi’s 2020 Annual Meeting Proxy Statement

available at www.citigroup.com. Click on “Investors” and then

“Annual Reports & Proxy Statements.”

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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 December 31, 2020.

(Including the U.S., the total exposure as of December 31,

2020 would represent approximately 96% of Citi’s exposure

to all countries.)

For purposes of the table, loan amounts are reflected in

the country where the loan is booked, which is generally based

on the domicile of the borrower. For example, a loan to a

Chinese subsidiary of a Switzerland-based corporation will

generally be categorized as a loan in China. In addition, Citi

has developed regional booking centers in certain countries,

most significantly in the United Kingdom (U.K.) and Ireland,

in order to more efficiently serve its corporate customers. As

an example, with respect to the U.K., only 37% of corporate

loans presented in the table below are to U.K. domiciled

entities (42% for unfunded commitments), with the balance of

the loans predominately to European domiciled counterparties.

Approximately 80% of the total U.K. funded loans and 86% of

the total U.K. unfunded commitments were investment grade

as of December 31, 2020.

Trading account assets and investment securities are

generally categorized based on the domicile of the issuer of

the security of the underlying reference entity. For additional

information on the assets included in the table, see the

footnotes to the table below.

In billions of

dollars

ICG

loans

(1)

GCB

loans

Other

funded

(2)

Unfunded

(3)

Net MTM

derivatives/

repos

(4)

Total

hedges

(on loans

and

CVA)

Investment

securities

(5)

Trading

account

assets

(6)

Total

as of

4Q20

Total

as of

3Q20

Total

as of

4Q19

Total as a

% of Citi

as of

4Q20

United

Kingdom $ 43.3 $ — $ 2.0 $ 52.0 $ 17.0 $ (5.4) $ 5.0 $ 1.3 $ 115.2 $ 108.5 $ 105.8 6.6 %

Mexico 14.2 14.6 0.3 9.6 3.1 (0.9) 19.0 4.6 64.5 60.9 65.0 3.7

Hong Kong 18.2 13.2 0.5 6.8 1.8 (0.7) 7.1 2.1 49.0 47.9 49.0 2.8

Singapore 13.9 13.8 0.2 6.4 2.1 (0.6) 8.0 2.0 45.8 44.1 43.3 2.6

Ireland 13.0 — 0.6 29.2 0.5 (0.1) — 0.7 43.9 41.2 39.9 2.5

South Korea 3.3 18.7 0.1 2.6 1.5 (0.8) 9.7 0.7 35.8 33.2 34.7 2.1

India 6.6 4.2 0.9 6.2 3.5 (0.4) 9.9 0.5 31.4 31.6 30.0 1.8

Brazil 11.7 — — 2.8 4.2 (0.8) 4.3 4.0 26.2 25.1 28.3 1.5

Germany 0.7 — — 6.7 4.4 (4.0) 10.6 6.0 24.4 27.1 21.8 1.4

China 7.5 3.6 0.6 3.1 1.6 (0.5) 5.7 0.2 21.8 21.7 18.7 1.3

Japan 2.5 — 0.1 3.1 3.9 (1.9) 5.7 8.4 21.8 19.7 17.0 1.3

Australia 4.9 9.4 — 7.0 1.6 (0.6) 1.5 (2.1) 21.7 21.2 21.5 1.2

Canada 2.2 0.6 0.2 7.9 2.3 (0.9) 5.1 0.4 17.8 17.0 15.2 1.0

Taiwan 5.5 8.3 0.2 1.3 0.6 (0.1) 0.4 1.1 17.3 17.0 17.9 1.0

Poland 3.5 2.0 — 2.7 0.2 (0.1) 6.5 0.2 15.0 15.1 13.4 0.9

Jersey 6.8 — — 6.9 — (0.3) — — 13.4 13.3 12.8 0.8

United Arab

Emirates 7.6 1.3 — 3.2 0.5 (0.3) 0.1 — 12.4 11.9 12.8 0.7

Malaysia 1.4 3.9 0.1 0.8 0.2 — 1.7 0.2 8.3 8.4 8.4 0.5

Thailand 0.9 2.9 — 2.2 0.1 — 1.8 0.1 8.0 7.9 7.7 0.5

Indonesia 2.2 0.7 — 1.3 0.1 (0.1) 1.7 0.1 6.0 6.0 5.9 0.3

Russia 1.8 0.8 — 0.8 0.3 (0.1) 1.5 0.1 5.2 4.6 5.0 0.3

Luxembourg 0.8 — — — 0.4 (0.9) 4.5 0.3 5.1 6.7 4.6 0.3

Philippines 0.8 1.4 — 0.5 0.1 — 1.7 — 4.5 4.7 4.9 0.3

Czech

Republic 0.8 — — 0.7 2.3 — 0.4 0.1 4.3 3.8 4.3 0.2

South Africa 1.3 — — 0.4 0.3 — 1.8 (0.2) 3.6 3.5 3.5 0.2

Total as a % of Citi’s total exposure 35.8 %

Total as a % of Citi’s non-U.S. total exposure 91.5 %

(1) ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of December 31, 2020, private bank loans in the table above totaled

$30.1 billion, concentrated in Hong Kong ($8.2 billion), the United Kingdom ($7.9 billion) and Singapore ($7 billion).

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

equity method.

120

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

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

inclusive of CVA. Includes margin loans.

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

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

located in that country.

Argentina

As previously disclosed, Citi operates in Argentina through its

ICG businesses. As of December 31, 2020, Citi’s net

investment in its Argentine operations was approximately $1.0

billion. Citi uses the U.S. dollar as the functional currency for

its operations in Argentina because the Argentine economy is

considered highly inflationary under U.S. GAAP.

During August 2020, the Argentine government

announced the successful restructuring of almost all of its

foreign currency debt issued under foreign law, for which it

had previously postponed principal and interest payments.

However, during September 2020, the Argentine government

tightened its existing capital and currency controls, which

continue to restrict Citi’s ability to access U.S. dollars in

Argentina and remit earnings from its Argentine operations.

Citi’s net investment in its Argentine operations is likely

to increase as Citi generates net income in its Argentine

franchise and its earnings are unable to be remitted.

Citi economically hedges the foreign currency risk in its

net Argentine peso-denominated assets to the extent possible

and prudent using non-deliverable forward (NDF) derivative

instruments that are primarily executed outside of Argentina.

As of December 31, 2020, the international NDF market had

very limited liquidity, resulting in Citi’s being unable to

economically hedge nearly all of its Argentine peso exposure.

As a result, and to the extent that Citi does not execute NDF

contracts for this unhedged exposure in the future, Citi would

record devaluations on its net Argentine peso‑denominated

assets in earnings, without any benefit from a change in the

fair value of derivative positions used to economically hedge

the exposure.

Citi continually evaluates its economic exposure to its

Argentine counterparties and reserves for changes in credit

risk and sovereign risk associated with its Argentine assets.

Citi believes it has established appropriate allowances for

credit losses on its Argentine loans, and appropriate fair value

adjustments on Argentine assets and liabilities measured at fair

value, for such risks under U.S. GAAP as of December 31,

2020. 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” above.

FFIEC—Cross-Border Claims on Third Parties and Local

Country Assets

Citi’s cross-border disclosures are based on the country

exposure bank regulatory reporting guidelines of the Federal

Financial Institutions Examination Council (FFIEC). The

following summarizes some of the FFIEC key reporting

guidelines:

• Amounts are based on the domicile of the ultimate

obligor, counterparty, collateral (only including qualifying

liquid collateral), issuer or guarantor, as applicable (e.g., a

security recorded by a Citi U.S. entity but issued by the

U.K. government is considered U.K. exposure; a loan

recorded by a Citi Mexico entity to a customer domiciled

in Mexico where the underlying collateral is held in

Germany is considered German exposure).

• Amounts do not consider the benefit of collateral received

for secured financing transactions (i.e., repurchase

agreements, reverse repurchase agreements and securities

loaned and borrowed) and are reported based on notional

amounts.

• Netting of derivative receivables and payables, reported at

fair value, is permitted, but only under a legally binding

netting agreement with the same specific counterparty,

and does not include the benefit of margin received or

hedges.

• Credit default swaps (CDS) are included based on the

gross notional amount sold and purchased and do not

include any offsetting CDS on the same underlying entity.

• Loans are reported without the benefit of hedges.

Given the requirements noted above, Citi’s FFIEC cross-

border exposures and total outstandings tend to fluctuate, in

some cases significantly, from period to period. As an

example, because total outstandings under FFIEC guidelines

do not include the benefit of margin or hedges, market

volatility in interest rates, foreign exchange rates and credit

spreads may cause significant fluctuations in the level of total

outstandings, all else being equal.

121

The tables below show each country whose total outstandings exceeded 0.75% of total Citigroup assets:

December 31, 2020

Cross-border claims on third parties and local country assets

In billions of

dollars

Banks

(a)

Public

(a)

NBFIs

(1)

(a)

Other

(corporate

and households)

(a)

Trading

assets

(2)

(included

in (a))

Short-term

claims

(2)

(included in

(a))

Total

outstanding

(3)

(sum of (a))

Commitments

and

guarantees

(4)

Credit

derivatives

purchased

(5)

Credit

derivatives

sold

(5)

United

Kingdom $ 16.0 $ 26.0 $ 55.9 $ 17.5 $ 14.2 $ 75.1 $ 115.4 $ 25.8 $ 76.2 $ 75.3

Cayman

Islands — — 85.8 12.7 8.0 70.1 98.5 11.9 0.3 0.2

Japan 32.9 35.5 12.1 6.6 16.2 63.3 87.1 6.6 16.1 15.1

Germany 7.1 51.8 11.1 9.6 11.3 58.6 79.6 14.1 49.7 48.1

Mexico 3.9 31.5 9.5 28.8 6.0 44.4 73.7 21.7 7.3 6.6

France 11.0 9.7 39.3 9.5 13.3 58.7 69.5 68.2 61.3 56.4

Singapore 2.5 25.6 10.7 17.5 2.8 48.5 56.3 13.8 1.9 1.5

South Korea 3.3 18.2 1.8 24.9 1.5 35.6 48.2 14.7 10.8 10.7

Hong Kong 1.5 13.8 3.9 19.8 7.2 35.2 39.0 13.1 2.1 1.7

Australia 5.1 16.4 4.0 13.0 9.6 31.6 38.5 13.0 5.7 5.2

China 4.5 16.3 3.3 14.1 9.7 33.6 38.2 5.8 10.5 10.0

India 1.9 14.0 2.5 12.9 2.3 22.1 31.3 11.3 1.8 1.6

Taiwan 0.4 7.8 2.0 16.5 5.1 23.7 26.7 14.1 — —

Netherlands 7.8 10.4 3.4 4.8 5.2 18.2 26.4 10.4 28.5 27.4

Brazil 2.8 11.3 1.6 9.9 5.2 20.0 25.6 2.7 6.0 6.0

Italy 2.5 19.1 0.6 1.9 15.0 16.1 24.1 2.7 42.3 41.3

Switzerland 1.8 14.3 1.4 4.9 2.6 20.1 22.4 7.3 18.0 17.4

Canada 4.5 6.3 5.9 4.5 3.4 15.1 21.2 14.5 3.9 4.0

December 31, 2019

Cross-border claims on third parties and local country assets

In billions of

dollars

Banks

(a)

Public

(a)

NBFIs

(1)

(a)

Other

(corporate

and households)

(a)

Trading

assets

(2)

(included

in (a))

Short-term

claims

(2)

(included

in (a))

Total

outstanding

(3)

(sum of (a))

Commitments

and

guarantees

(4)

Credit

derivatives

purchased

(5)

Credit

derivatives

sold

(5)

Cayman

Islands $ — $ — $ 95.5 $ 10.1 $ 5.3 $ 75.0 $ 105.6 $ 9.9 $ — $ —

United

Kingdom 13.3 25.2 35.7 20.0 12.9 61.9 94.2 23.3 71.6 71.6

Japan 32.7 33.3 8.4 6.5 13.1 58.0 80.9 4.7 18.7 17.1

Mexico 2.8 26.3 9.4 35.0 5.5 37.0 73.5 22.4 8.9 8.8

Germany 6.8 29.8 7.7 9.7 9.3 33.6 54.0 13.1 48.0 46.4

France 8.4 7.5 22.1 7.5 9.6 35.8 45.5 29.0 56.0 54.3

Singapore 2.3 17.7 7.2 16.1 2.8 38.0 43.3 12.0 2.0 1.9

South Korea 2.0 16.8 1.7 21.6 2.6 32.0 42.1 12.2 13.9 13.0

India 1.7 12.9 3.1 16.0 2.7 23.1 33.7 10.8 2.3 2.0

Hong Kong 0.6 10.2 3.0 19.9 4.1 29.9 33.7 13.7 2.2 2.0

Australia 4.8 8.7 4.7 12.9 7.9 20.6 31.1 11.8 7.4 7.3

China 3.4 11.0 3.1 12.7 3.9 25.3 30.2 5.1 12.8 11.6

Brazil 3.3 13.3 1.8 11.0 6.1 20.7 29.4 3.2 8.1 8.2

Canada 2.9 4.8 11.5 5.0 3.1 13.5 24.2 14.8 4.3 5.1

Netherlands 6.8 8.7 3.9 4.2 4.6 15.5 23.6 11.0 26.9 26.5

Taiwan 0.6 6.8 1.6 14.3 2.9 13.2 23.3 14.6 0.1 0.1

Italy 3.3 15.9 0.7 1.7 12.8 14.9 21.6 2.5 44.5 44.0

Switzerland 1.2 14.6 1.1 4.6 2.2 18.1 21.5 8.2 17.8 17.3

Ireland 0.2 0.3 8.9 5.2 4.2 12.9 14.6 5.3 1.6 1.8

(1) Non-bank financial institutions.

(2) Included in total outstanding.

(3) Total outstanding includes cross-border claims on third parties, as well as local country assets. Cross-border claims on third parties include cross-border loans,

securities, deposits with banks and other monetary assets, as well as net revaluation gains on foreign exchange and derivative products.

(4) Commitments (not included in total outstanding) include legally binding cross-border letters of credit and other commitments and contingencies as defined by the

FFIEC guidelines. The FFIEC definition of commitments includes commitments to local residents to be funded with local currency liabilities originated within the

country.

(5) Credit default swaps (CDS) are not included in total outstanding.

122

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 contains a summary of all of Citigroup’s

significant accounting policies. These policies, as well as

estimates made by management, are integral to the

presentation of Citi’s results of operations and financial

condition. While all of these policies require a certain level of

management judgment and estimates, this section highlights

and discusses the significant accounting policies that require

management to make highly difficult, complex or subjective

judgments and estimates at times regarding matters that are

inherently uncertain and susceptible to change (see also “Risk

Factors—Operational Risks” above). Management has

discussed each of these significant accounting policies, the

related estimates and its judgments with the Audit Committee

of the Citigroup Board of Directors.

Valuations of Financial Instruments

Citigroup holds debt and equity securities, derivatives,

retained interests in securitizations, investments in private

equity and other financial instruments. Substantially all of

these assets and liabilities are reflected at fair value on Citi’s

Consolidated Balance Sheet.

Citi purchases securities under agreements to resell

(reverse repos or resale agreements) and sells securities under

agreements to repurchase (repos), a majority of which are

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 the Consolidated Balance Sheet to

meet customer needs and to manage liquidity needs, interest

rate risks and private equity investing.

When available, Citi generally uses quoted market prices

to determine fair value and classifies such items within Level

1 of the fair value hierarchy established under ASC 820-10,

Fair Value Measurement. If quoted market prices are not

available, fair value is based upon internally developed

valuation models that use, where possible, current market-

based or independently sourced market parameters, such as

interest rates, currency rates and option volatilities. Such

models are often based on a discounted cash flow analysis. In

addition, items valued using such internally generated

valuation techniques are classified according to the lowest

level input or value driver that is significant to the valuation.

Thus, an item may be classified under the fair value hierarchy

as Level 3 even though there may be some significant inputs

that are readily observable.

Citi is required to exercise subjective judgments relating

to the applicability and functionality of internal valuation

models, the significance of inputs or value drivers to the

valuation of an instrument and the degree of illiquidity and

subsequent lack of observability in certain markets. These

judgments have the potential to impact the Company’s

financial performance for instruments where the changes in

fair value are recognized in either the Consolidated Statement

of Income or in AOCI.

Losses on available-for-sale securities whose fair values

are less than the amortized cost, where Citi intends to sell the

security or could more-likely-than-not be required to sell the

security, are recognized in earnings. Where Citi does not

intend to sell the security nor could more-likely-than-not be

required to sell the security, the portion of the loss related to

credit is recognized as an allowance for credit losses with a

corresponding provision for credit losses and the remainder of

the loss is recognized in other comprehensive income. Such

losses are capped at the difference between the fair value and

amortized cost of the security.

For equity securities carried at cost or under the

measurement alternative, decreases in fair value below the

carrying value are recognized as impairment in the

Consolidated Statement of Income. Moreover, for certain

equity method investments, decreases in fair value are only

recognized in earnings in the Consolidated Statement of

Income if such decreases are judged to be an other-than-

temporary impairment (OTTI). Adjudicating the temporary

nature of fair value impairments is also inherently judgmental.

The fair value of financial instruments incorporates the

effects of Citi’s own credit risk and the market view of

counterparty credit risk, the quantification of which is also

complex and judgmental. For additional information on Citi’s

fair value analysis, see Notes 1, 6, 24 and 25 to the

Consolidated Financial Statements.

Allowance for Credit Losses (ACL)

Citi provides reserves for an estimate of current expected

credit losses in the funded loan portfolio and for unfunded

lending commitments, standby letters of credit and financial

guarantees (excluding those that are performance guarantees),

on the Consolidated Balance Sheet in Allowance for credit

losses on loans (ACLL) and Other liabilities, respectively. In

addition, Citi provides allowances for an estimate of current

expected credit losses for other financial assets measured at

amortized cost, including held-to-maturity securities, reverse

repurchase agreements, securities borrowed, deposits with

banks and other financial receivables carried at amortized cost

(these allowances, together with the ACLL, are referred to as

the ACL).

The ACL is composed of quantitative and qualitative

components. For the quantitative component, Citi uses a

forward-looking base macroeconomic forecast that is

complemented by a qualitative management adjustment

component. As further discussed below, this qualitative

component reflects (i) economic uncertainty related to an

alternative downside scenario, (ii) loss adjustments for

concentration and collateral and (iii) specific adjustments

based on the associated portfolio for estimating the ACL.

Quantitative Component

Citi estimates expected credit losses for its quantitative

component based on (i) its internal system of credit risk

ratings, (ii) its comprehensive internal history and rating

agency information regarding default rates and loss data,

including internal data on the severity of losses in the event of

123

default, and (iii) a reasonable and supportable forecast of

future macroeconomic conditions.

For its consumer and corporate portfolios, Citi’s expected

credit loss is determined primarily by utilizing models for the

borrowers’ probability of default (PD), loss given default

(LGD) and exposure at default (EAD). The loss likelihood and

severity models used for estimating expected credit losses are

sensitive to changes in macroeconomic variables that inform

the forecasts. For corporate portfolios, the loss likelihood and

loss severity models cover a wide range of geographic,

industry, product and business segments that contribute to the

portfolios.

In addition, Citi’s delinquency-managed portfolios

containing smaller-balance homogeneous loans also primarily

use PD, LGD and EAD models to determine expected credit

losses and reserve balances based on leading credit indicators,

including loan delinquencies and changes in portfolio size, as

well as other current economic factors and credit trends,

including housing prices, unemployment and gross domestic

product (GDP). This methodology is applied separately for

each product within each geographic region in which these

portfolios exist, including the U.S., Mexico and Asia.

This evaluation process is subject to numerous estimates

and judgments. The frequency of default, risk ratings, loss

recovery rates, size and diversity of individual large credits

and ability of borrowers with foreign currency obligations to

obtain the foreign currency necessary for orderly debt

servicing, among other things, are all taken into account.

Changes in these estimates could have a direct impact on

Citi’s credit costs and the allowance in any period.

Qualitative Management Adjustment Component

The qualitative management adjustment component considers,

among other things, the uncertainty of forward-looking

economic scenarios based on the likelihood and severity of a

downside scenario, certain portfolio characteristics and

concentrations, collateral coverage, model limitations,

idiosyncratic events and other relevant criteria under banking

supervisory guidance for the ACL. In the current

macroeconomic environment, the qualitative management

adjustment also reflects the uncertainty around the estimated

impact of the pandemic on credit loss estimates.

4Q20 Combined Quantitative and Qualitative Components

In the fourth quarter of 2020, Citi (i) released $0.2 billion of

the ACL for its consumer portfolios and (ii) released $1.3

billion of the ACL for its corporate portfolios, primarily driven

by an improvement in the base macroeconomic forecast.

In the fourth quarter, the qualitative management

adjustment component incorporated an alternative downside

scenario, reflecting more adverse economic conditions

and, subsequently a slower Real GDP recovery, at a 15%

likelihood. This qualitative management adjustment

component contributed to an increase in the ACL of

approximately $0.7 billion resulting in a total qualitative

management adjustment of $3.8 billion and an overall ACL

balance of $27.8 billion at December 31, 2020.

The extent of the pandemic’s ultimate impact on Citi’s

ACL will depend on, among other things, (i) how consumers

respond to the government stimulus and assistance programs;

(ii) the impact on unemployment; (iii) the timing and extent of

the economic recovery; (iv) the severity and duration of the

resurgence of COVID-19; (v) the rate of distribution and

administration of vaccines; and (vi) the extent of any market

volatility. Citi believes its analysis of the ACL reflects the

forward view of the economic analysis as of December 31,

2020, based on its November 5, 2020 base macroeconomic

forecast.

Macroeconomic Variables

Citi uses a multitude of variables in its base macroeconomic

forecast as part of its calculation of both the quantitative and

qualitative (including the downside scenario) components of

the ACL, including both domestic and international variables

for its global portfolios and exposures. Citi’s forecasts of the

U.S. unemployment rate and U.S. Real GDP rate represent the

key macroeconomic variables that most significantly affect its

estimate of its consumer and corporate ACLs.

The tables below show these macroeconomic variables

used in determining Citi’s 1Q20, 2Q20, 3Q20 and 4Q20

consumer and corporate ACLs, comparing Citi’s forecasted

1Q21, 3Q21 and 1Q22 quarterly average U.S. unemployment

rate and Citi’s forecasted 2020, 2021 and 2022 year-over-year

U.S. Real GDP growth rate:

Quarterly average

U.S. unemployment 1Q21 3Q21 1Q22

13-quarter

average

(1)

Citi forecast at 1Q20 6.9 % 6.6 % 6.3 % 6.1 %

Citi forecast at 2Q20 8.1 6.3 5.8 7.2

Citi forecast at 3Q20 8.2 6.8 6.3 6.6

Citi forecast at 4Q20 7.3 6.5 6.2 6.1

(1) Represents the average unemployment rate for the rolling, forward-

looking 13 quarters in forecast horizon.

Year-over-year growth rate

(1)

Full year

U.S. Real GDP 2020 2021 2022

Citi forecast at 1Q20 (1.3) % 1.5 % 1.9 %

Citi forecast at 2Q20 (5.1) 5.5 3.3

Citi forecast at 3Q20 (5.1) 3.3 2.8

Citi forecast at 4Q20 (4.0) 3.7 2.7

(1) The year-over-year growth rate is the percentage change in the Real

(inflation adjusted) GDP level.

Under the base macroeconomic forecast as of 4Q20, the

U.S. unemployment rate and Real GDP growth rate are

expected to continue to improve, as the U.S. moves past the

peak of the pandemic-related health and economic crisis.

Consumer

As discussed above, Citi’s total consumer ACL release

(including Corporate/Other) of $0.2 billion in the fourth

quarter of 2020 reduced the ACL balance to $19.6 billion, or

6.77% of total consumer loans at December 31, 2020, and

reflected the update of the base macroeconomic forecast for

the fourth quarter, as well as changes in loan volumes. Citi’s

consumer ACL is largely driven by the cards businesses,

124

where the receivables have longer estimated tenors under the

CECL lifetime expected credit loss methodology, net of

recoveries, than under the previous incurred loss model.

For cards, including Citi’s international businesses, the

level of reserves relative to EOP loans decreased to 10.98% at

December 31, 2020, compared to 11.42% at September 30,

2020, primarily due to the update of the base macroeconomic

forecast for the fourth quarter of 2020. For the remaining

consumer exposures, the level of reserves relative to EOP

loans decreased slightly to 2.0% at December 31, 2020,

compared to 2.1% at September 30, 2020.

Corporate

Citi’s corporate ACLL release of $1.6 billion in the fourth

quarter of 2020 reduced the ACLL reserve balance to

$5.4 billion, or 1.42% of total funded loans, and reflected the

update of the macroeconomic forecast scenario for the fourth

quarter, as well as fewer downgrades in the portfolio.

The ACLUC build of $0.4 billion in the fourth quarter of

2020 increased the total corporate ACLUC reserve balance

included in Other liabilities to $2.7 billion at December 31,

2020.

ACLL and Non-accrual Ratios

At December 31, 2020, the ratio of the ACLL to total funded

loans was 3.73% (6.77% for consumer loans and 1.42% for

corporate loans), compared to 4.00% at September 30, 2020

(6.96% for consumer loans and 1.82% for corporate loans).

Citi’s total non-accrual loans were $5.7 billion at

December 31, 2020, up $394 million from September 30,

2020. Consumer non-accrual loans increased $451 million to

$2.1 billion at December 31, 2020, from $1.7 billion at

September 30, 2020, while corporate non-accrual loans

decreased $57 million to $3.5 billion at December 31, 2020,

from $3.6 billion at September 30, 2020. In addition, the ratio

of corporate non-accrual loans to total corporate loans was

0.91%, and the ratio of consumer non-accrual loans to total

consumer loans was 0.74%, at December 31, 2020.

Regulatory Capital Impact

Citi has elected to phase in the CECL impact for regulatory

capital purposes. The transition provisions were recently

modified to defer the phase-in. After two years with no impact

on capital, the CECL transition impact will phase in over a

three-year transition period with 25% of the impact (net of

deferred taxes) recognized on the first day of each subsequent

year, commencing January 1, 2022, and will be fully

implemented on January 1, 2025. In addition, 25% of the build

(pretax) made in 2020 and 2021 will be deferred and

amortized over the same timeframe.

For a further description of the ACL and related accounts,

see Notes 1 and 15 to the Consolidated Financial Statements.

For a discussion of the adoption of the CECL accounting

pronouncement, see Note 1 to the Consolidated Financial

Statements.

Goodwill

Citi tests goodwill for impairment annually on July 1 (the

annual test) and through interim assessments between annual

tests if an event occurs or circumstances change that would

more-likely-than-not reduce the fair value of a reporting unit

below its carrying amount, such as a significant adverse

change in the business climate, a decision to sell or dispose of

all or a significant portion of a reporting unit or a significant

decline in Citi’s stock price. During 2020, the annual test was

performed, which resulted in no goodwill impairment as

described in Note 16 to the Consolidated Financial Statements.

As of December 31, 2020, Citigroup’s activities are

conducted through the Global Consumer Banking and

Institutional Clients Group business segments and Corporate/

Other. Goodwill impairment testing is performed at the level

below the business segment (referred to as a reporting unit).

Citi utilizes allocated equity as a proxy for the carrying

value of its reporting units for purposes of goodwill

impairment testing. The allocated equity in the reporting units

is determined based on the capital the business would require

if it were operating as a standalone entity, incorporating

sufficient capital to be in compliance with both current and

expected regulatory capital requirements, including capital for

specifically identified goodwill and intangible assets. The

capital allocated to the businesses is incorporated into the

annual budget process, which is approved by Citi’s Board of

Directors.

Goodwill impairment testing involves management

judgment, requiring an assessment of whether the carrying

value of the reporting unit can be supported by the fair value

of the reporting unit using widely accepted valuation

techniques, such as the market approach (earnings multiples

and/or transaction multiples) and/or the income approach

(discounted cash flow (DCF) method). In applying these

methodologies, Citi utilizes a number of factors, including

actual operating results, future business plans, economic

projections and market data.

Similar to 2019, Citigroup engaged an independent

valuation specialist in 2020 to assist in Citi’s valuation for all

the reporting units with goodwill balances, employing both the

market approach and the DCF method. The resulting fair

values were relatively consistent and appropriate weighting

was given to outputs from both methods.

Under the market approach and in calculation of the

terminal value under the income approach, the key

assumptions are the selected price to earnings and price to

tangible book value multiples. The selection of the multiples

considers the operating performance and financial condition of

the reporting units as compared with those of a group of

selected publicly traded guideline companies. Among other

factors, the level and expected growth in return on tangible

equity relative to those of the guideline companies is

considered. Since the guideline company prices used are on a

minority interest basis, the selection of the multiples considers

recent transactions prices, as well as data in comparable

macroeconomic environments, which reflect control rights and

privileges, in arriving at a multiple that reflects an appropriate

control premium.

For valuation under the income approach, the key

assumptions used are the cash flows for the forecasted period,

the terminal growth rate and the discount rate. The cash flows

for the forecasted period are estimated based on management’s

most recent projections available as of the testing date, given

125

consideration to minimum equity capital requirement. The

projections incorporate macroeconomic variables developed at

the same time. The terminal growth rate is selected based on

management’s long-term expectation for the businesses. The

discount rate is based on the reporting unit’s estimated cost of

equity capital computed under the capital asset pricing model

and reflects the risk and uncertainty in the financial markets in

the internally generated cash flow projections.

Since none of the Company’s reporting units are publicly

traded, individual reporting unit fair value determinations

cannot be directly correlated to Citigroup’s common stock

price. The sum of the fair values of the reporting units

exceeded the overall market capitalization of Citi as of July 1,

2020. However, Citi believes that it is not meaningful to

reconcile the sum of the fair values of the Company’s

reporting units to its market capitalization due to several

factors. The market capitalization of Citigroup reflects the

execution risk in a transaction involving Citigroup due to its

size. However, the individual reporting units’ fair values are

not subject to the same level of execution risk nor a business

model that is perceived to be as complex. In addition, the

market capitalization of Citigroup does not include

consideration of the individual reporting unit’s control

premium.

At July 1, 2020, the fair values of Citi’s reporting units as

a percentage of their carrying values ranged from

approximately 115% to 136%, resulting in no impairment.

While the inherent risk related to uncertainty is embedded in

the key assumptions used in the valuations, the current

environment continues to evolve due to the challenge and

uncertainties related to the pandemic. Further deterioration in

macroeconomic and market conditions, including potential

adverse effects to economic forecasts due to the severity and

duration of the pandemic, as well as the responses of

governments, customers and clients, could negatively

influence the assumptions used in the valuations, in particular,

the discount rates, exit multiples and growth rates used in net

income projections. If the future were to differ from

management’s best estimate of key assumptions (e.g., net

interest revenue and loan volume), and associated cash flows

were to decrease, Citi could potentially experience material

goodwill impairment charges in the future.

See Notes 1 and 16 to the Consolidated Financial

Statements for additional information on goodwill, including

the changes in the goodwill balance year-over-year and the

segments’ goodwill balances as of December 31, 2020.

Income Taxes

Overview

Citi is subject to the income tax laws of the U.S., its states and

local municipalities and the non-U.S. jurisdictions in which

Citi operates. These tax laws are complex and are subject to

differing interpretations by the taxpayer and the relevant

governmental taxing authorities. Disputes over interpretations

of the tax laws may be subject to review and adjudication by

the court systems of the various tax jurisdictions or may be

settled with the taxing authority upon audit.

In establishing a provision for income tax expense, Citi

must make judgments and interpretations about the application

of these inherently complex tax laws. Citi must also make

estimates about when in the future certain items will affect

taxable income in the various tax jurisdictions, both domestic

and foreign. Deferred taxes are recorded for the future

consequences of events that have been recognized in the

financial statements or tax returns, based upon enacted tax

laws and rates. Deferred tax assets (DTAs) are recognized

subject to management’s judgment that realization is more-

likely-than-not. For example, if it is more-likely-than-not that

a carry-forward would expire unused, Citi would set up a

valuation allowance against that DTA. Citi has established

valuation allowances as described below.

As a result of the Tax Cuts and Jobs Act (Tax Reform),

beginning in 2018, Citi is taxed on income generated by its

U.S. operations at a federal tax rate of 21%. The effect on

Citi’s state tax rate is dependent upon how and when the

individual states that have not yet addressed the federal tax

law changes choose to adopt the various new provisions of the

U.S. Internal Revenue Code.

Citi’s non-U.S. branches and subsidiaries are subject to

tax at their local tax rates. Non-U.S. branches also continue to

be subject to U.S. taxation. The impact of this on Citi’s

earnings depends on the level of branch pretax income, the

local branch tax rate and allocations of overall domestic loss

(ODL) and expenses for U.S. tax purposes to branch earnings.

Citi expects no residual U.S. tax on such earnings since it

currently has sufficient branch tax carry-forwards. With

respect to non-U.S. subsidiaries, dividends from these

subsidiaries will be excluded from U.S. taxation. While the

majority of Citi’s non-U.S. subsidiary earnings are classified

as Global Intangible Low Taxed Income (GILTI), Citi expects

no material residual U.S. tax on such earnings based on its

non-U.S. subsidiaries’ local tax rates, which exceed, on

average, the GILTI tax rate. Finally, Citi does not expect the

Base Erosion Anti-Abuse Tax (BEAT) to affect its tax

provision.

Deferred Tax Assets and Valuation Allowances

At December 31, 2020, Citi had net DTAs of $24.8 billion,

unchanged from September 30, 2020. Citi’s net DTAs

increased $1.7 billion from $23.1 billion at December 31,

2019, primarily due to an increase in the ACL and adoption

impact of the CECL standard, partially offset by gains in

AOCI. Of Citi’s total net DTAs of $24.8 billion as of

December 31, 2020, $9.5 billion, primarily related to tax

carry-forwards, was excluded in calculating Citi’s regulatory

capital. Net DTAs arising from temporary differences are

deducted from regulatory capital if in excess of the 10%/15%

limitations (see “Capital Resources” above). For the quarter

and year ended December 31, 2020, Citi did not have any such

DTAs. Accordingly, the remaining $15.3 billion of net DTAs

as of December 31, 2020 was not deducted in calculating

regulatory capital pursuant to Basel III standards, and was

appropriately risk weighted under those rules.

Citi’s total valuation allowance (VA) at December 31,

2020 was $5.2 billion, a decrease of $1.3 billion from $6.5

billion at December 31, 2019, primarily driven by usage of

carry-forwards in the FTC branch basket. Citi’s VA of $5.2

billion is composed of (i) $3.4 billion on its FTC carry-

forwards, (ii) $1.0 billion on its U.S. residual DTA related to

126

its non-U.S. branches, (iii) $0.6 billion on local non-U.S.

DTAs and (iv) $0.2 billion on state net operating loss and

capital loss carry-forwards.

As stated above with regard to the impact of non-U.S.

branches on Citi’s earnings, the level of branch pretax income,

the local branch tax rate and the allocations of ODL and

expenses for U.S. tax purposes to the branch basket are also

the main factors in determining the branch VA. Citi computed

these factors for 2020. While the COVID-19 pandemic

reduced branch earnings, the allocated ODL did not decline

since a large portion of the pandemic losses will not be

recognizable for U.S. taxable income until a future period. In

addition, lower than forecasted U.S. interest rates resulted in a

lower allocation of interest expense to non-U.S. branches. The

combination of these factors drove the VA release of $0.5

billion in Citi’s full-year effective tax rate. Citi also released

$0.1 billion of branch basket VA in the fourth quarter, with

respect to future years based upon Citi’s operating plan and

estimates of future branch basket factors, as discussed above.

Citi’s VA of $1.0 billion against FTC carry-forwards in

its general basket declined $0.1 billion in 2020, primarily due

to expired FTCs. In the general FTC basket, foreign source

income, an important driver in the utilization of FTC carry-

forwards for the current year and future years in the carry-

forward period, has been reduced due to the compression in

interest rate spreads. Overall U.S. taxable income, which

impacts ODL usage and, correspondingly, the utilization of

FTC carry-forwards is also lower because of the impacts of the

pandemic. Accordingly, management has taken actions to

increase future foreign source income and U.S. taxable

income. These planning actions include geographic asset

movements, deferral of future FTC recognition and

capitalization of expenses for tax purposes, resulting in no tax

provision change to Citi’s general basket VA in 2020. In light

of the pandemic, Citi will continue to monitor its forecasts and

mix of earnings, which could affect Citi’s VA against FTC

carry-forwards. Citi continues to look for additional actions

that are prudent and feasible, taking into account client,

regulatory and operational considerations. See Note 9 to the

Consolidated Financial Statements.

Recognized FTCs comprised approximately $4.4 billion

of Citi’s DTAs as of December 31, 2020, compared to

approximately $6.3 billion as of December 31, 2019. The

decrease was primarily due to current-year usage. The FTC

carry-forward period represents the most time-sensitive

component of Citi’s DTAs.

Citi had an overall domestic loss (ODL) of approximately

$26 billion at December 31, 2020, which allows Citi to elect a

percentage between 50% and 100% of future years’ domestic

source income to be reclassified as foreign source income.

(See Note 9 to the Consolidated Financial Statements for a

description of the ODL.)

The majority of Citi’s U.S. federal net operating loss

carry-forward and all of its New York State and City net

operating loss carry-forwards are subject to a carry-forward

period of 20 years. This provides enough time to fully utilize

the net DTAs pertaining to these existing net operating loss

carry-forwards. This is due to Citi’s forecast of sufficient U.S.

taxable income and the continued taxation of Citi’s non-U.S.

income by New York State and City.

Although realization is not assured, Citi believes that the

realization of its recognized net DTAs of $24.8 billion at

December 31, 2020 is more-likely-than-not, based on

management’s expectations as to future taxable income in the

jurisdictions in which the DTAs arise, as well as available tax

planning strategies (as defined in ASC Topic 740, Income

Taxes). Citi has concluded that it has the necessary positive

evidence to support the realization of its net DTAs after taking

its valuation allowances into consideration.

For additional information on Citi’s income taxes,

including its income tax provision, tax assets and liabilities

and a tabular summary of Citi’s net DTAs balance as of

December 31, 2020 (including the FTCs and applicable

expiration dates of the FTCs), see Note 9 to the Consolidated

Financial Statements. For information on Citi’s ability to use

its DTAs, see “Risk Factors—Strategic Risks” above and Note

9 to the Consolidated Financial Statements.

Tax Cuts and Jobs Act

On December 22, 2017, Tax Reform was signed into law,

reflecting changes to U.S. corporate taxation, including a

lower statutory tax rate of 21%, a quasi-territorial regime and

a deemed repatriation of all accumulated earnings and profits

of foreign subsidiaries. The new law was generally effective

January 1, 2018.

Citi recorded a one-time, non-cash charge to continuing

operations of $22.6 billion in the fourth quarter of 2017,

composed of (i) a $12.4 billion remeasurement due to the

reduction of the U.S. corporate tax rate and the change to a

“quasi-territorial tax system,” (ii) a $7.9 billion valuation

allowance against Citi’s FTC carry-forwards and its U.S.

residual DTAs related to its non-U.S. branches and (iii) a $2.3

billion reduction in Citi’s FTC carry-forwards related to the

deemed repatriation of undistributed earnings of non-U.S.

subsidiaries. Of this one-time charge, $16.4 billion was

considered provisional pursuant to Staff Accounting Bulletin

(SAB) 118.

Citi completed its accounting for Tax Reform under SAB

118 during the fourth quarter of 2018 and recorded a one-time,

non-cash tax benefit of $94 million in Corporate/Other,

related to amounts that were considered provisional pursuant

to SAB 118.

127

The table below details the fourth quarter of 2018 changes to Citi’s provisional impact from Tax Reform:

Provisional Impact of Tax Reform

In billions of dollars

Provisional amounts

included in the

2017 Form 10-K

SAB 118 impact to fourth

quarter of 2018

tax provision

Quasi-territorial tax system $ 6.2 $ 0.2

Valuation allowance 7.9 (1.2)

Deemed repatriation 2.3 0.9

Total of provisional items $ 16.4 $ (0.1)

2017 Impact of Tax Reform

The table below discloses the as-reported GAAP results for 2018 and 2017, as well as the 2017 adjusted results excluding the one-time

2017 impact of Tax Reform. The table below does not reflect any adjustment to 2018 results.

In millions of dollars, except per share amounts and

as otherwise noted

2018

reported

(1)

2017

as reported

2017 one-time

impact of

Tax Reform

2017

adjusted

results

(2)

2018 increase (decrease)

vs. 2017 ex-Tax Reform

$ Change % Change

Net income $ 18,045 $ (6,798) $ (22,594) $ 15,796 $ 2,249 14 %

Diluted earnings per share:

Income from continuing operations 6.69 (2.94) (8.31) 5.37 1.32 25

Net income 6.68 (2.98) (8.31) 5.33 1.35 25

Effective tax rate 22.8 % 129.1 % (9,930) bps 29.8 % (700) bps

Performance and other metrics:

Return on average assets 0.94 % (0.36) % (120) bps 0.84 % 10 bps

Return on average common stockholders’

equity 9.4 (3.9) (1,090) 7.0 240

Return on average total stockholders’ equity 9.1 (3.0) (1,000) 7.0 210

Return on average tangible common equity 11.0 (4.6) (1,270) 8.1 290

Dividend payout ratio 23.1 (32.2) (5,020) 18.0 510

Total payout ratio 109.1 (213.9) (33,140) 117.5 840

(1) 2018 includes the one-time benefit of $94 million, due to the finalization of the provisional component of the impact based on Citi’s analysis as well as additional

guidance received from the U.S. Treasury Department related to Tax Reform, which impacted the tax line within Corporate/Other.

(2) 2017 excludes the one-time impact of Tax Reform.

Litigation Accruals

See the discussion in Note 27 to the Consolidated Financial

Statements for information regarding Citi’s policies on

establishing accruals for litigation and regulatory

contingencies.

128

DISCLOSURE CONTROLS AND

PROCEDURES

Citi’s disclosure controls and procedures are designed to

ensure that information required to be disclosed under the

Securities Exchange Act of 1934, as amended, is recorded,

processed, summarized and reported within the time periods

specified in the SEC’s rules and forms, including without

limitation that information required to be disclosed by Citi in

its SEC filings is accumulated and communicated to

management, including the Chief Executive Officer (CEO)

and Chief Financial Officer (CFO), as appropriate, to allow for

timely decisions regarding required disclosure.

Citi’s Disclosure Committee assists the CEO and CFO in

their responsibilities to design, establish, maintain and

evaluate the effectiveness of Citi’s disclosure controls and

procedures. The Disclosure Committee is responsible for,

among other things, the oversight, maintenance and

implementation of the disclosure controls and procedures,

subject to the supervision and oversight of the CEO and CFO.

Citi’s management, with the participation of its CEO and

CFO, has evaluated the effectiveness of Citigroup’s disclosure

controls and procedures (as defined in Rule 13a-15(e) under

the Securities Exchange Act of 1934) as of December 31,

2020. Based on that evaluation, the CEO and CFO have

concluded that at that date Citigroup’s disclosure controls and

procedures were effective.

129

MANAGEMENT’S ANNUAL REPORT ON INTERNAL CONTROL OVER FINANCIAL

REPORTING

Citi’s management is responsible for establishing and

maintaining adequate internal control over financial reporting.

Citi’s internal control over financial reporting is designed to

provide reasonable assurance regarding the reliability of its

financial reporting and the preparation of financial statements

for external reporting purposes in accordance with U.S.

generally accepted accounting principles. Citi’s internal

control over financial reporting includes those policies and

procedures that (i) pertain to the maintenance of records that in

reasonable detail accurately and fairly reflect the transactions

and dispositions of Citi’s assets, (ii) provide reasonable

assurance that transactions are recorded as necessary to permit

preparation of financial statements in accordance with

generally accepted accounting principles and that Citi’s

receipts and expenditures are made only in accordance with

authorizations of Citi’s management and directors and (iii)

provide reasonable assurance regarding prevention or timely

detection of unauthorized acquisition, use or disposition of

Citi’s assets that could have a material effect on its financial

statements.

Because of its inherent limitations, internal control over

financial reporting may not prevent or detect all

misstatements. Also, projections of any evaluation of

effectiveness to future periods are subject to the risk that

controls may become inadequate because of changes in

conditions or that the degree of compliance with the policies

or procedures may deteriorate.

Citi’s management assessed the effectiveness of

Citigroup’s internal control over financial reporting as of

December 31, 2020 based on the criteria set forth by the

Committee of Sponsoring Organizations of the Treadway

Commission (COSO) in Internal Control—Integrated

Framework (2013). Based on this assessment, management

believes that, as of December 31, 2020, Citi’s internal control

over financial reporting was effective. In addition, there were

no changes in Citi’s internal control over financial reporting

during the fiscal quarter ended December 31, 2020 that

materially affected, or are reasonably likely to materially

affect, Citi’s internal control over financial reporting.

The effectiveness of Citi’s internal control over financial

reporting as of December 31, 2020 has been audited by

KPMG LLP, Citi’s independent registered public accounting

firm, as stated in their report below, which expressed an

unqualified opinion on the effectiveness of Citi’s internal

control over financial reporting as of December 31, 2020.

130

FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-K, including but not

limited to statements included within the Management’s

Discussion and Analysis of Financial Condition and Results of

Operations, are “forward-looking statements” within the

meaning of the rules and regulations of the SEC. In addition,

Citigroup also may make forward-looking statements in its

other documents filed or furnished with the SEC, and its

management may make forward-looking statements orally to

analysts, investors, representatives of the media and others.

Generally, forward-looking statements are not based on

historical facts but instead represent Citigroup’s and its

management’s beliefs regarding future events. Such

statements may be identified by words such as believe, expect,

anticipate, intend, estimate, may increase, may fluctuate, target

and illustrative, and similar expressions or future or

conditional verbs such as will, should, would and could.

Such statements are based on management’s current

expectations and are subject to risks, uncertainties and changes

in circumstances. Actual results and capital and other financial

conditions may differ materially from those included in these

statements due to a variety of factors, including without

limitation (i) the precautionary statements included within

each individual business’s discussion and analysis of its results

of operations and (ii) the factors listed and described under

“Risk Factors” above.

Any forward-looking statements made by or on behalf of

Citigroup speak only as to the date they are made, and Citi

does not undertake to update forward-looking statements to

reflect the impact of circumstances or events that arise after

the forward-looking statements were made.

131

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Stockholders and Board of Directors

Citigroup Inc.:

Opinions on the Consolidated Financial Statements and

Internal Control Over Financial Reporting

We have audited the accompanying consolidated balance

sheets of Citigroup Inc. and subsidiaries (the Company) as of

December 31, 2020 and 2019, the related consolidated

statements of income, comprehensive income, changes in

stockholders’ equity, and cash flows for each of the years in

the three-year period ended December 31, 2020, and the

related notes (collectively, the consolidated financial

statements). We also have audited the Company’s internal

control over financial reporting as of December 31, 2020,

based on criteria established in Internal Control – Integrated

Framework (2013) issued by the Committee of Sponsoring

Organizations of the Treadway Commission.

In our opinion, the consolidated financial statements

referred to above present fairly, in all material respects, the

financial position of the Company as of December 31, 2020

and 2019, and the results of its operations and its cash flows

for each of the years in the three-year period ended December

31, 2020, in conformity with U.S. generally accepted

accounting principles. Also in our opinion, the Company

maintained, in all material respects, effective internal control

over financial reporting as of December 31, 2020 based on

criteria established in Internal Control – Integrated Framework

(2013) issued by the Committee of Sponsoring Organizations

of the Treadway Commission.

Change in Accounting Principle

As discussed in Note 1 to the consolidated financial

statements, the Company has changed its method of

accounting for the recognition and measurement of credit

losses as of January 1, 2020 due to the adoption of ASC Topic

326, Financial Instruments - Credit Losses.

Basis for Opinions

The Company’s management is responsible for these

consolidated financial statements, for maintaining effective

internal control over financial reporting, and for its assessment

of the effectiveness of internal control over financial reporting,

included in the accompanying management's annual report on

internal control over financial reporting. Our responsibility is

to express an opinion on the Company’s consolidated financial

statements and an opinion on the Company’s internal control

over financial reporting based on our audits. We are a public

accounting firm registered with the Public Company

Accounting Oversight Board (United States) (PCAOB) and

are required to be independent with respect to the Company in

accordance with the U.S. federal securities laws and the

applicable rules and regulations of the Securities and

Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards

of the PCAOB. Those standards require that we plan and

perform the audits to obtain reasonable assurance about

whether the consolidated financial statements are free of

material misstatement, whether due to error or fraud, and

whether effective internal control over financial reporting was

maintained in all material respects.

Our audits of the consolidated financial statements

included performing procedures to assess the risks of material

misstatement of the consolidated financial statements, whether

due to error or fraud, and performing procedures that respond

to those risks. Such procedures included examining, on a test

basis, evidence regarding the amounts and disclosures in the

consolidated financial statements. Our audits also included

evaluating the accounting principles used and significant

estimates made by management, as well as evaluating the

overall presentation of the consolidated financial statements.

Our audit of internal control over financial reporting included

obtaining an understanding of internal control over financial

reporting, assessing the risk that a material weakness exists,

and testing and evaluating the design and operating

effectiveness of internal control based on the assessed risk.

Our audits also included performing such other procedures as

we considered necessary in the circumstances. We believe that

our audits provide a reasonable basis for our opinions.

Definition and Limitations of Internal Control Over Financial

Reporting

A company’s internal control over financial reporting is a

process designed to provide reasonable assurance regarding

the reliability of financial reporting and the preparation of

financial statements for external purposes in accordance with

generally accepted accounting principles. A company’s

internal control over financial reporting includes those policies

and procedures that (1) pertain to the maintenance of records

that, in reasonable detail, accurately and fairly reflect the

transactions and dispositions of the assets of the company; (2)

provide reasonable assurance that transactions are recorded as

necessary to permit preparation of financial statements in

accordance with generally accepted accounting principles, and

that receipts and expenditures of the company are being made

only in accordance with authorizations of management and

directors of the company; and (3) provide reasonable

assurance regarding prevention or timely detection of

unauthorized acquisition, use, or disposition of the company’s

assets that could have a material effect on the financial

statements.

Because of its inherent limitations, internal control over

financial reporting may not prevent or detect misstatements.

Also, projections of any evaluation of effectiveness to future

periods are subject to the risk that controls may become

inadequate because of changes in conditions, or that the degree

of compliance with the policies or procedures may deteriorate.

132

Critical Audit Matters

The critical audit matters communicated below are matters

arising from the current period audit of the consolidated

financial statements that were communicated or required to be

communicated to the audit committee and that: (1) relate to

accounts or disclosures that are material to the consolidated

financial statements and (2) involved our especially

challenging, subjective, or complex judgments. The

communication of critical audit matters does not alter in any

way our opinion on the consolidated financial statements,

taken as a whole, and we are not, by communicating the

critical audit matters below, providing separate opinions on

the critical audit matters or on the accounts or disclosures to

which they relate.

Assessment of the fair value of Level 3 assets and

liabilities measured on a recurring basis

As described in Notes 1, 24 and 25 to the consolidated

financial statements, the Company’s assets and liabilities

recorded at fair value on a recurring basis were $918.1

billion and $308.8. billion, respectively at December 31,

2020. The Company estimated the fair value of Level 3

assets and liabilities measured on a recurring basis ($16.1

billion and $36.0 billion, respectively at December 31,

2020) utilizing various valuation techniques with one or

more significant inputs or significant value drivers being

unobservable including, but not limited to, complex

internal valuation models, alternative pricing procedures

or comparables analysis and discounted cash flows.

We identified the assessment of the measurement of

fair value for Level 3 assets and liabilities recorded at fair

value on a recurring basis as a critical audit matter. A high

degree of audit effort, including specialized skills and

knowledge, and subjective and complex auditor judgment

was involved in the assessment of the Level 3 fair values

due to measurement uncertainty. Specifically, the

assessment encompassed the evaluation of the fair value

methodology, including methods, models and significant

assumptions and inputs used to estimate fair value.

Significant assumptions and inputs include interest rate,

price, yield, credit spread, volatilities, correlations and

forward prices. The assessment also included an

evaluation of the conceptual soundness and performance

of the valuation models.

The following are the primary procedures we

performed to address this critical audit matter. We

involved valuation professionals with specialized skills

and knowledge who assisted in evaluating the design and

testing the operating effectiveness of certain internal

controls related to the Company’s Level 3 fair value

measurements including controls over:

• valuation methodologies, including significant inputs

and assumptions

• independent price verification

• evaluating that significant model assumptions and

inputs reflected those which a market participant

would use to determine an exit price in the current

market environment

• the valuation models used were mathematically

accurate and appropriate to value the financial

instruments

• relevant information used within the Company’s

models that was reasonably available was considered

in the fair value determination.

We evaluated the Company’s methodology for

compliance with U.S. generally accepted accounting

principles. We involved valuation professionals with

specialized skills and knowledge who assisted in

developing an independent fair value estimate for a

selection of certain Level 3 assets and liabilities recorded

at fair value on a recurring basis based on independently

developed valuation models and assumptions, as

applicable, using market data sources we determined to be

relevant and reliable and compared our independent

expectation to the Company’s fair value measurements.

Assessment of the allowance for credit losses collectively

evaluated for impairment

As discussed in Note 1 to the consolidated financial

statements, the Company adopted ASU No. 2016-13,

Financial Instruments – Credit Losses (ASC 326) as of

January 1, 2020. As discussed in Notes 1 and 15 to the

consolidated financial statements, the Company’s

allowance for credit losses related to loans and unfunded

lending commitments collectively evaluated for

impairment (the collective ACLL) was $27.6 billion as of

December 31, 2020. The expected credit losses for the

quantitative component of the collective ACLL is the

product of multiplying the probability of default (PD),

loss given default (LGD), and exposure at default (EAD)

for consumer and corporate loans. For consumer credit

cards, the Company uses the payment rate approach over

the life of the loan, which leverages payment rate curves,

to determine the payments that should be applied to

liquidate the end-of-period balance in the estimation of

EAD. For unconditionally cancelable accounts, reserves

are based on the expected life of the balance as of the

evaluation date and do not include any undrawn

commitments that are unconditionally cancelable. The

Company’s models utilize a single forward-looking

macroeconomic forecast and macroeconomic assumptions

over reasonable and supportable forecast periods.

Reasonable and supportable forecast periods vary by

product. For consumer loan models, the Company uses a

13-quarter reasonable and supportable period and reverts

to historical loss experience thereafter. For corporate loan

models, the Company uses a nine-quarter reasonable and

supportable period followed by a three-quarter transition

to historical loss experience. Additionally, for consumer

loans, these models consider leading credit indicators

including loan delinquencies, as well as economic factors.

For corporate loans, these models consider the credit

quality as measured by risk ratings and economic factors.

The qualitative component considers idiosyncratic events

and the uncertainty of forward-looking economic

scenarios.

133

We identified the assessment of the collective ACLL

as a critical audit matter. The assessment involved

significant measurement uncertainty requiring complex

auditor judgment, and specialized skills and knowledge as

well as experience in the industry. This assessment

encompassed the evaluation of the various components of

the collective ACLL methodology, including the methods

and models used to estimate the PD, LGD, and EAD and

certain key assumptions and inputs for the Company’s

quantitative and qualitative components. Key assumptions

and inputs for consumer loans included loan

delinquencies, certain credit indicators, reasonable and

supportable forecast periods, expected life as well as

economic factors, including unemployment rates, gross

domestic product (GDP), and housing prices which are

considered in the model. For corporate loans, key

assumptions and inputs included risk ratings, reasonable

and supportable forecasts, credit conversion factor for

unfunded lending commitments, and economic factors,

including GDP and unemployment rates considered in the

model. Key assumptions and inputs for the qualitative

component included the likelihood and severity of a

downside scenario and consideration of uncertainties due

to idiosyncratic events as a result of the COVID-19

pandemic. The assessment also included an evaluation of

the conceptual soundness and performance of the PD,

LGD, and EAD models. In addition, auditor judgment

was required to evaluate the sufficiency of audit evidence

obtained.

The following are the primary procedures we

performed to address this critical audit matter. We

evaluated the design and tested the operating effectiveness

of certain internal controls related to the Company’s

measurement of the collective ACLL estimate, including

controls over the:

• approval of the collective ACLL methodologies

• determination of the key assumptions and inputs used

to estimate the quantitative and qualitative

components of the collective ACLL

• performance monitoring of the PD, LGD, and EAD

models.

We evaluated the Company’s process to develop the

collective ACLL estimate by testing certain sources of

data, factors and assumptions that the Company used and

considered the relevance and reliability of such data,

factors, and assumptions. In addition, we involved credit

risk professionals with specialized skills and knowledge,

who assisted in:

• reviewing the Company’s collective ACLL

methodologies and key assumptions for compliance

with U.S. generally accepted accounting principles

• evaluating judgments made by the Company relative

to the development and performance monitoring

testing of the PD, LGD, and EAD models by

comparing them to relevant Company-specific

metrics

• assessing the conceptual soundness and performance

testing of the PD, LGD, and EAD models by

inspecting the model documentation to determine

whether the models are suitable for their intended use

• assessing the economic forecast scenarios through

comparison to publicly available forecasts

• evaluating the methodology used to develop certain

economic forecast scenarios by comparing it to

relevant industry practices

• testing corporate loan risk ratings for a selection of

borrowers by evaluating the financial performance of

the borrower, sources of repayment, and any relevant

guarantees or underlying collateral

• evaluating the methodology used in determining the

qualitative components and the effect of that

component on the collective ACLL compared with

relevant credit risk factors and consistency with

credit trends.

We also assessed the sufficiency of the audit

evidence obtained related to the collective ACLL by

evaluating the:

• cumulative results of the audit procedures

• qualitative aspects of the Company’s accounting

practices

• potential bias in the accounting estimates.

Assessment of the realizability of deferred tax assets,

specifically as it relates to general basket foreign tax

credits

As discussed in Note 9 to the consolidated financial

statements, the Company’s net deferred tax assets (DTA)

were $31.0 billion as of December 31, 2020. This balance

is net of a valuation allowance of $5.2 billion recorded by

the Company. The estimation of the DTA for general

basket foreign tax credits (FTCs) and related valuation

allowance was $5.3 billion and $1.0 billion respectively.

The Company evaluated the realization of the DTA for

general basket FTCs to determine whether there was more

than a 50% likelihood that the DTA for general basket

FTCs would be realized, based primarily on the

Company’s expectations of future taxable income in each

relevant jurisdiction, available tax planning strategies and

timing of tax credit expirations. In particular, the

COVID-19 pandemic has negatively affected the

economy and business activities in countries where the

Company operates, which has impacted the Company’s

future forecasts of taxable income as of December 31,

2020.

We identified the assessment of the realizability of

the DTA for general basket FTCs as a critical audit

matter. Due to the significant measurement uncertainty

associated with the realizability of the DTA for general

basket FTCs, there was a high degree of subjectivity and

judgment in evaluating global tax regulations and future

taxable income. This assessment encompassed the

evaluation of the Company’s estimations that are

subjective and complex due to its global structure, given

the Company’s assumptions used to determine that

sufficient taxable income will be generated or tax

planning strategies implemented to support the realization

134

of the DTA for general basket FTCs before expiration of

foreign tax credits.

The following are the primary procedures we

performed to address this critical audit matter. We

evaluated the design and tested the operating effectiveness

of certain controls related to the Company’s DTA

realizability process, including controls over the:

• realizability of the Company’s deferred tax assets for

general basket FTCs

• appropriateness of future taxable income and tax

planning strategies.

We tested the Company’s process to develop the

valuation allowance estimate. This included performing

an assessment of the policy and methodology used by

management in the valuation allowance determination.

We involved income tax professionals with specialized

skills and knowledge, who assisted in assessing:

• certain assumptions used to determine the Company’s

future taxable income, including the interpretation of

the various tax laws and regulations and the source

and character of future taxable income

• the timing of tax credit expirations

• the prudence and feasibility of certain tax planning

strategies.

We performed sensitivity analyses over the

Company’s expectations of future taxable income and

timing of tax credit expirations.

Evaluation of goodwill in the North American and Asia

Global Consumer Banking reporting units

As discussed in Notes 1 and 16 to the consolidated

financial statements, the goodwill balance as of December

31, 2020 was $22.2 billion, of which $12.1 billion related

to reporting units within the Global Consumer Banking

segment and $10.1 billion related to reporting units within

the Institutional Clients Group segment. The Company

performs goodwill impairment testing on an annual basis

and whenever events or changes in circumstances indicate

that the carrying value of a reporting unit likely exceeds

its fair value. This involves estimating the fair value of the

reporting units using both discounted cash flow analyses

and a market multiples approach. The COVID-19

pandemic has negatively affected the economy and

business activities in countries where the Company

operates, which impacted the Company’s future forecasts

used in the discounted cash flow analyses.

We identified the evaluation of the goodwill

impairment analysis for the North America Global

Consumer Banking and Asia Global Consumer Banking

reporting units, two of the three reporting units within the

Global Consumer Banking segment, as a critical audit

matter. The estimated fair value of the North America and

Asia Global Consumer Banking reporting units

marginally exceeded their carrying values, indicating a

higher risk due to measurement uncertainty that the

goodwill may be impaired and, therefore, involved a high

degree of subjective auditor judgment. Specifically, the

assessment encompassed the evaluation of the key

assumptions used in estimating the fair value of the North

America and Asia Global Consumer Banking reporting

units, which include the long-term growth rate, discount

rate, exit multiple assumptions, certain forecasted

macroeconomic assumptions used to inform the

forecasted income by reporting unit, and certain

assumptions used to forecast income by reporting unit

including the forecast period, net interest revenue, and

loan volume used in the discounted cash flow analyses.

The following are the primary procedures we

performed to address this critical audit matter. We

evaluated the design and tested the operating effectiveness

of certain internal controls related to the Company’s

determination of the estimated fair value of the North

America Global Consumer Banking and Asia Global

Consumer Banking reporting units, including controls

related to management’s process for assessing the

appropriateness of:

• certain assumptions including the long-term growth

rate, discount rate and exit multiple used in the

discounted cash flow analyses

• certain forecasted macroeconomic assumptions used

to inform the forecasted income by reporting unit

• certain assumptions used to forecast income by

reporting unit including the forecast period, net

interest revenue and loan volume.

135

We compared the Company’s historical revenue

forecasts to actual results to assess the Company’s ability

to accurately forecast. We evaluated the reasonableness of

the Company’s forecasts by comparing to analyst reports.

In addition, we involved a valuation professional with

specialized skills and knowledge, who assisted in:

• developing an independent range of long-term growth

rate assumptions by reviewing publicly available data

for the United States and Asian markets and

comparable industries and comparing it to the

Company’s assumption

• evaluating the discount rate by assessing the

methodology used by management and developing an

independent assumption for the discount rate

• developing an independent range of the exit

assumptions using publicly available data for

comparable entities and comparing it to the

Company’s assumption

• developing an estimate of the fair value of North

America and Asia Global Consumer Banking

reporting units using the income approach and

comparing the results to the Company’s fair value

estimate

• developing an independent range of control premium

assumptions by comparing data from the 2008-2009

financial crisis to the Company’s assumption

• assessing the market capitalization reconciliation and

the reasonableness of the implied control premium.

/s/ KPMG LLP

We have served as the Company’s auditor since 1969.

New York, New York

February 26, 2021

136

FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS

CONSOLIDATED FINANCIAL STATEMENTS

Consolidated Statement of Income—

For the Years Ended December 31, 2020, 2019 and 2018 138

Consolidated Statement of Comprehensive Income—

For the Years Ended December 31, 2020, 2019 and 2018 139

Consolidated Balance Sheet—December 31, 2020 and 2019 140

Consolidated Statement of Changes in Stockholders’ Equity

—For the Years Ended December 31, 2020, 2019 and 2018 142

Consolidated Statement of Cash Flows—

For the Years Ended December 31, 2020, 2019 and 2018 144

NOTES TO CONSOLIDATED FINANCIAL

STATEMENTS

Note 1—Summary of Significant Accounting Policies 146

Note 2—Discontinued Operations and Significant Disposals 161

Note 3—Business Segments 162

Note 4—Interest Revenue and Expense 163

Note 5—Commissions and Fees; Administration and Other

Fiduciary Fees 164

Note 6—Principal Transactions 167

Note 7—Incentive Plans 168

Note 8—Retirement Benefits 172

Note 9—Income Taxes 183

Note 10—Earnings per Share 187

Note 11—Securities Borrowed, Loaned and

Subject to Repurchase Agreements 188

Note 12—Brokerage Receivables and Brokerage Payables 191

Note 13—Investments 192

Note 14—Loans 204

Note 15—Allowance for Credit Losses 217

Note 16—Goodwill and Intangible Assets 220

Note 17—Debt 222

Note 18—Regulatory Capital 224

Note 19—Changes in Accumulated Other Comprehensive

Income (Loss) (AOCI) 225

Note 20—Preferred Stock 228

Note 21—Securitizations and Variable Interest Entities 230

Note 22—Derivatives 242

Note 23—Concentrations of Credit Risk 258

Note 24—Fair Value Measurement 259

Note 25—Fair Value Elections 279

Note 26—Pledged Assets, Collateral, Guarantees and

Commitments 283

Note 27—Contingencies 291

Note 28—Condensed Consolidating Financial Statements 300

Note 29—Subsequent Event 309

Note 30—Selected Quarterly Financial Data (Unaudited) 310

137

CONSOLIDATED FINANCIAL STATEMENTS

CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries

Years ended December 31,

In millions of dollars, except per share amounts

2020 2019 2018

Revenues

Interest revenue $ 58,089 $ 76,510 $ 70,828

Interest expense 14,541 29,163 24,266

Net interest revenue $ 43,548 $ 47,347 $ 46,562

Commissions and fees $ 11,385 $ 11,746 $ 11,857

Principal transactions 13,885 8,892 8,905

Administration and other fiduciary fees 3,472 3,411 3,580

Realized gains on sales of investments, net 1,756 1,474 421

Impairment losses on investments:

Impairment losses on investments and other assets (165) (32) (132)

Provision for credit losses on AFS debt securities

(1)

(3) — —

Net impairment losses recognized in earnings $ (168) $ (32) $ (132)

Other revenue $ 420 $ 1,448 $ 1,661

Total non-interest revenues $ 30,750 $ 26,939 $ 26,292

Total revenues, net of interest expense $ 74,298 $ 74,286 $ 72,854

Provisions for credit losses and for benefits and claims

Provision for credit losses on loans $ 15,922 $ 8,218 $ 7,354

Provision for credit losses on held-to-maturity (HTM) debt securities 7 — —

Provision for credit losses on other assets 7 — —

Policyholder benefits and claims 113 73 101

Provision for credit losses on unfunded lending commitments 1,446 92 113

Total provisions for credit losses and for benefits and claims $ 17,495 $ 8,383 $ 7,568

Operating expenses

Compensation and benefits $ 22,214 $ 21,433 $ 21,154

Premises and equipment 2,333 2,328 2,324

Technology/communication 7,383 7,077 7,193

Advertising and marketing 1,217 1,516 1,545

Other operating 10,024 9,648 9,625

Total operating expenses $ 43,171 $ 42,002 $ 41,841

Income from continuing operations before income taxes $ 13,632 $ 23,901 $ 23,445

Provision for income taxes 2,525 4,430 5,357

Income from continuing operations $ 11,107 $ 19,471 $ 18,088

Discontinued operations

Loss from discontinued operations $ (20) $ (31) $ (26)

Provision (benefit) for income taxes — (27) (18)

Loss from discontinued operations, net of taxes $ (20) $ (4) $ (8)

Net income before attribution of noncontrolling interests $ 11,087 $ 19,467 $ 18,080

Noncontrolling interests 40 66 35

Citigroup’s net income $ 11,047 $ 19,401 $ 18,045

Basic earnings per share

(2)

Income from continuing operations $ 4.75 $ 8.08 $ 6.69

Loss from discontinued operations, net of taxes (0.01) — —

Net income $ 4.74 $ 8.08 $ 6.69

Weighted average common shares outstanding (in millions) 2,085.8 2,249.2 2,493.3

138

CONSOLIDATED STATEMENT OF INCOME

(Continued)

Citigroup Inc. and Subsidiaries

Years ended December 31,

In millions of dollars, except per share amounts

2020 2019 2018

Diluted earnings per share

(2)

Income from continuing operations $ 4.73 $ 8.04 $ 6.69

Income (loss) from discontinued operations, net of taxes (0.01) — —

Net income $ 4.72 $ 8.04 $ 6.68

Adjusted weighted average common shares outstanding

(in millions)

2,099.0 2,265.3 2,494.8

(1) In accordance with ASC 326.

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

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

CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME Citigroup Inc. and Subsidiaries

Years ended December 31,

In millions of dollars

2020 2019 2018

Citigroup’s net income $ 11,047 $ 19,401 $ 18,045

Add: Citigroup’s other comprehensive income (loss)

Net change in unrealized gains and losses on debt securities, net of taxes

(1)

$ 3,585 $ 1,985 $ (1,089)

Net change in debt valuation adjustment (DVA), net of taxes

(1)

(475) (1,136) 1,113

Net change in cash flow hedges, net of taxes 1,470 851 (30)

Benefit plans liability adjustment, net of taxes

(2)

(55) (552) (74)

Net change in foreign currency translation adjustment, net of taxes and hedges (250) (321) (2,362)

Net change in excluded component of fair value hedges, net of taxes (15) 25 (57)

Citigroup’s total other comprehensive income (loss) $ 4,260 $ 852 $ (2,499)

Citigroup’s total comprehensive income $ 15,307 $ 20,253 $ 15,546

Add: Other comprehensive income (loss) attributable to noncontrolling interests $ 26 $ — $ (43)

Add: Net income attributable to noncontrolling interests 40 66 35

Total comprehensive income $ 15,373 $ 20,319 $ 15,538

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

(2) See Note 8 to the Consolidated Financial Statements.

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

139

CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries

December 31,

In millions of dollars

2020 2019

Assets

Cash and due from banks (including segregated cash and other deposits) $ 26,349 $ 23,967

Deposits with banks, net of allowance 283,266 169,952

Securities borrowed and purchased under agreements to resell (including $185,204 and $153,193 as of

December 31, 2020 and 2019, respectively, at fair value), net of allowance 294,712 251,322

Brokerage receivables, net of allowance 44,806 39,857

Trading account assets (including $168,967 and $120,236 pledged to creditors at December 31, 2020 and

2019, respectively) 375,079 276,140

Investments:

Available-for-sale debt securities (including $5,921 and $8,721 pledged to creditors as of December 31,

2020 and 2019, respectively), net of allowance 335,084 280,265

Held-to-maturity debt securities (including $547 and $1,923 pledged to creditors as of December 31,

2020 and 2019, respectively), net of allowance 104,943 80,775

Equity securities (including $1,066 and $1,162 as of December 31, 2020 and 2019, respectively, at fair

value) 7,332 7,523

Total investments $ 447,359 $ 368,563

Loans:

Consumer (including $14 and $18 as of December 31, 2020 and 2019, respectively, at fair value) 288,839 309,548

Corporate (including $6,840 and $4,067 as of December 31, 2020 and 2019, respectively, at fair value) 387,044 389,935

Loans, net of unearned income $ 675,883 $ 699,483

Allowance for credit losses on loans (ACLL) (24,956) (12,783)

Total loans, net $ 650,927 $ 686,700

Goodwill 22,162 22,126

Intangible assets (including MSRs of $336 and $495 as of December 31, 2020 and 2019,

respectively, at fair value) 4,747 4,822

Other assets (including $14,613 and $12,830 as of December 31, 2020 and 2019, respectively,

at fair value), net of allowance 110,683 107,709

Total assets $ 2,260,090 $ 1,951,158

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.

December 31,

In millions of dollars

2020 2019

Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs

Cash and due from banks $ 281 $ 108

Trading account assets 8,104 6,719

Investments 837 1,295

Loans, net of unearned income

Consumer 37,561 46,977

Corporate 17,027 16,175

Loans, net of unearned income $ 54,588 $ 63,152

Allowance for credit losses on loans (ACLL) (3,794) (1,841)

Total loans, net $ 50,794 $ 61,311

Other assets 43 73

Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs $ 60,059 $ 69,506

Statement continues on the next page.

140

CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries

(Continued)

December 31,

In millions of dollars, except shares and per share amounts

2020 2019

Liabilities

Non-interest-bearing deposits in U.S. offices $ 126,942 $ 98,811

Interest-bearing deposits in U.S. offices (including $879 and $1,624 as of December 31, 2020 and 2019,

respectively, at fair value) 503,213 401,418

Non-interest-bearing deposits in offices outside the U.S. 100,543 85,692

Interest-bearing deposits in offices outside the U.S. (including $1,079 and $695 as of December 31, 2020

and 2019, respectively, at fair value) 549,973 484,669

Total deposits $ 1,280,671 $ 1,070,590

Securities loaned and sold under agreements to repurchase (including $60,206 and $40,651 as of

December 31, 2020 and 2019, respectively, at fair value) 199,525 166,339

Brokerage payables 50,484 48,601

Trading account liabilities 168,027 119,894

Short-term borrowings (including $4,683 and $4,946 as of December 31, 2020 and 2019, respectively,

at fair value) 29,514 45,049

Long-term debt (including $67,063 and $55,783 as of December 31, 2020 and 2019, respectively,

at fair value) 271,686 248,760

Other liabilities (including $6,835 and $6,343 as of December 31, 2020 and 2019, respectively,

at fair value), including allowance 59,983 57,979

Total liabilities $ 2,059,890 $ 1,757,212

Stockholders’ equity

Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 779,200 as of December

31, 2020 and 719,200 as of December 31, 2019, at aggregate liquidation value $ 19,480 $ 17,980

Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,763,661 as of

December 31, 2020 and 3,099,602,856 as of December 31, 2019 31 31

Additional paid-in capital 107,846 107,840

Retained earnings 168,272 165,369

Treasury stock, at cost: 1,017,674,452 shares as of December 31, 2020 and 985,479,501 shares as of

December 31, 2019 (64,129) (61,660)

Accumulated other comprehensive income (loss) (AOCI) (32,058) (36,318)

Total Citigroup stockholders’ equity $ 199,442 $ 193,242

Noncontrolling interests 758 704

Total equity $ 200,200 $ 193,946

Total liabilities and equity $ 2,260,090 $ 1,951,158

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.

December 31,

In millions of dollars

2020 2019

Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have

recourse to the general credit of Citigroup

Short-term borrowings $ 9,278 $ 10,031

Long-term debt 20,405 25,582

Other liabilities 463 917

Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have

recourse to the general credit of Citigroup $ 30,146 $ 36,530

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

141

CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’

EQUITY Citigroup Inc. and Subsidiaries

Years ended December 31,

Amounts Shares

In millions of dollars, except shares in thousands

2020 2019 2018 2020 2019 2018

Preferred stock at aggregate liquidation value

Balance, beginning of year $ 17,980 $ 18,460 $ 19,253 719 738 770

Issuance of new preferred stock 3,000 1,500 — 120 60 —

Redemption of preferred stock (1,500) (1,980) (793) (60) (79) (32)

Balance, end of year $ 19,480 $ 17,980 $ 18,460 779 719 738

Common stock and additional paid-in capital

Balance, beginning of year $ 107,871 $ 107,953 $ 108,039 3,099,603 3,099,567 3,099,523

Employee benefit plans 5 (112) (94) 161 36 44

Preferred stock issuance costs (4) (4) — — — —

Other 5 34 8 — — —

Balance, end of year $ 107,877 $ 107,871 $ 107,953 3,099,764 3,099,603 3,099,567

Retained earnings

Balance, beginning of year $ 165,369 $ 151,347 $ 138,425

Adjustments to opening balance, net of taxes

(1)

Financial instruments—credit losses (CECL adoption) (3,076) — —

Variable post-charge-off third-party collection costs 330 — —

Lease accounting, intra-entity transfers of assets — 151 (84)

Adjusted balance, beginning of year $ 162,623 $ 151,498 $ 138,341

Citigroup’s net income 11,047 19,401 18,045

Common dividends

(2)

(4,299) (4,403) (3,865)

Preferred dividends (1,095) (1,109) (1,174)

Other (4) (18) —

Balance, end of year $ 168,272 $ 165,369 $ 151,347

Treasury stock, at cost

Balance, beginning of year $ (61,660) $ (44,370) $ (30,309) (985,480) (731,100) (529,615)

Employee benefit plans

(3)

456 585 484 8,546 9,872 10,557

Treasury stock acquired

(4)

(2,925) (17,875) (14,545) (40,740) (264,252) (212,042)

Balance, end of year $ (64,129) $ (61,660) $ (44,370) (1,017,674) (985,480) (731,100)

Citigroup’s accumulated other comprehensive income (loss)

Balance, beginning of year $ (36,318) $ (37,170) $ (34,668)

Adjustment to opening balance, net of taxes

(1)

— — (3)

Adjusted balance, beginning of year $ (36,318) $ (37,170) $ (34,671)

Citigroup’s total other comprehensive income (loss)

(3)

4,260 852 (2,499)

Balance, end of year $ (32,058) $ (36,318) $ (37,170)

Total Citigroup common stockholders’ equity $ 179,962 $ 175,262 $ 177,760 2,082,090 2,114,123 2,368,467

Total Citigroup stockholders’ equity $ 199,442 $ 193,242 $ 196,220

Noncontrolling interests

Balance, beginning of year $ 704 $ 854 $ 932

Transactions between noncontrolling-interest shareholders and the

related consolidated subsidiary — — —

Transactions between Citigroup and the noncontrolling-interest

shareholders (4) (169) (50)

Net income attributable to noncontrolling-interest shareholders 40 66 35

Distributions paid to noncontrolling-interest shareholders (2) (40) (38)

Other comprehensive income (loss) attributable to

noncontrolling-interest shareholders 26 — (43)

Other (6) (7) 18

Net change in noncontrolling interests $ 54 $ (150) $ (78)

Balance, end of year $ 758 $ 704 $ 854

Total equity $ 200,200 $ 193,946 $ 197,074

142

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

(2) Common dividends declared were $0.51 per share in the first, second, third and fourth quarters of 2020; $0.45 per share in the first and second quarters of 2019

and $0.51 per share in the third and fourth quarters of 2019; and $0.32 in the first and second quarters of 2018 and $0.45 per share in the third and fourth quarters

of 2018.

(3) Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option

exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.

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

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

143

CONSOLIDATED STATEMENT OF CASH FLOWS Citigroup Inc. and Subsidiaries

Years ended December 31,

In millions of dollars

2020 2019 2018

Cash flows from operating activities of continuing operations

Net income before attribution of noncontrolling interests $ 11,087 $ 19,467 $ 18,080

Net income attributable to noncontrolling interests 40 66 35

Citigroup’s net income $ 11,047 $ 19,401 $ 18,045

Loss from discontinued operations, net of taxes (20) (4) (8)

Income from continuing operations—excluding noncontrolling interests $ 11,067 $ 19,405 $ 18,053

Adjustments to reconcile net income to net cash provided by (used in) operating activities of

continuing operations

Net gains on significant disposals

(1)

— — (247)

Depreciation and amortization 3,937 3,905 3,754

Deferred income taxes (2,333) (610) (51)

Provision for credit losses on loans and unfunded lending commitments 17,368 8,310 7,467

Realized gains from sales of investments (1,756) (1,474) (421)

Impairment losses on investments and other assets 165 32 132

Change in trading account assets (98,997) (20,124) (3,469)

Change in trading account liabilities 48,133 (24,411) 19,135

Change in brokerage receivables net of brokerage payables (3,066) (20,377) 6,163

Change in loans HFS 1,202 (909) 770

Change in other assets (1,012) 4,724 (5,791)

Change in other liabilities 558 1,737 (984)

Other, net 4,113 16,955 (7,559)

Total adjustments $ (31,688) $ (32,242) $ 18,899

Net cash provided by (used in) operating activities of continuing operations $ (20,621) $ (12,837) $ 36,952

Cash flows from investing activities of continuing operations

Change in securities borrowed and purchased under agreements to resell $ (43,390) $ 19,362 $ (38,206)

Change in loans 14,249 (22,466) (29,002)

Proceeds from sales and securitizations of loans 1,495 2,878 4,549

Purchases of investments (334,900) (274,491) (152,487)

Proceeds from sales of investments 146,285 137,173 61,491

Proceeds from maturities of investments 124,229 119,051 83,604

Proceeds from significant disposals

(1)

— — 314

Capital expenditures on premises and equipment and capitalized software (3,446) (5,336) (3,774)

Proceeds from sales of premises and equipment, subsidiaries and affiliates

and repossessed assets 50 259 212

Other, net 116 196 181

Net cash used in investing activities of continuing operations $ (95,312) $ (23,374) $ (73,118)

Cash flows from financing activities of continuing operations

Dividends paid $ (5,352) $ (5,447) $ (5,020)

Issuance of preferred stock 2,995 1,496 —

Redemption of preferred stock (1,500) (1,980) (793)

Treasury stock acquired (2,925) (17,571) (14,433)

Stock tendered for payment of withholding taxes (411) (364) (482)

Change in securities loaned and sold under agreements to repurchase 33,186 (11,429) 21,491

Issuance of long-term debt 76,458 59,134 60,655

Payments and redemptions of long-term debt (63,402) (51,029) (58,132)

Change in deposits 210,081 57,420 53,348

Change in short-term borrowings

(15,535)

12,703 (12,106)

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CONSOLIDATED STATEMENT OF CASH FLOWS

(Continued)

Citigroup Inc. and Subsidiaries

Years ended December 31,

In millions of dollars

2020 2019 2018

Net cash provided by financing activities of continuing operations $ 233,595 $ 42,933 $ 44,528

Effect of exchange rate changes on cash and due from banks $ (1,966) $ (908) $ (773)

Change in cash, due from banks and deposits with banks $ 115,696 $ 5,814 $ 7,589

Cash, due from banks and deposits with banks at beginning of year 193,919 188,105 180,516

Cash, due from banks and deposits with banks at end of year $ 309,615 $ 193,919 $ 188,105

Cash and due from banks (including segregated cash and other deposits) $ 26,349 $ 23,967 $ 23,645

Deposits with banks, net of allowance 283,266 169,952 164,460

Cash, due from banks and deposits with banks at end of year $ 309,615 $ 193,919 $ 188,105

Supplemental disclosure of cash flow information for continuing operations

Cash paid during the year for income taxes $ 4,797 $ 4,888 $ 4,313

Cash paid during the year for interest 13,298 28,682 22,963

Non-cash investing activities

(2)

Transfers to loans HFS (Other assets) from loans $ 2,614 $ 5,500 $ 4,200

(1) See Note 2 to the Consolidated Financial Statements for further information on significant disposals.

(2) 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 26 to the Consolidated Financial Statements for more information and balances as of December 31, 2020

and 2019.

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

145

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING

POLICIES

Throughout these Notes, “Citigroup,” “Citi” and the

“Company” refer to Citigroup Inc. and its consolidated

subsidiaries.

Certain reclassifications, have been made to the prior

periods’ financial statements and disclosures to conform to the

current period’s presentation.

For information on Citi’s recent revisions and

reclassifications related to the accounting principle change for

variable post-charge-off third-party collection costs, see below

and Notes 15 and 30 to the Consolidated Financial Statements.

Principles of Consolidation

The Consolidated Financial Statements include the accounts of

Citigroup and its subsidiaries prepared in accordance with

U.S. generally accepted accounting principles (GAAP). The

Company consolidates subsidiaries in which it holds, directly

or indirectly, more than 50% of the voting rights or where it

exercises control. Entities where the Company holds 20% to

50% of the voting rights and/or has the ability to exercise

significant influence, other than investments of designated

venture capital subsidiaries or investments accounted for at

fair value under the fair value option, are accounted for under

the equity method, and the pro rata share of their income (loss)

is included in Other revenue. Income from investments in less-

than-20%-owned companies is recognized when dividends are

received. As discussed in more detail in Note 21 to the

Consolidated Financial Statements, Citigroup also

consolidates entities deemed to be variable interest entities

when Citigroup is determined to be the primary beneficiary.

Gains and losses on the disposition of branches, subsidiaries,

affiliates, buildings and other investments are included in

Other revenue.

Citibank

Citibank, N.A. (Citibank) is a commercial bank and wholly

owned subsidiary of Citigroup. Citibank’s principal offerings

include consumer finance, mortgage lending and retail

banking (including commercial banking) products and

services; investment banking, cash management and trade

finance; and private banking products and services.

Variable Interest Entities (VIEs)

An entity is a variable interest entity (VIE) if it meets either of

the criteria outlined in Accounting Standards Codification

(ASC) Topic 810, Consolidation, which are (i) the entity has

equity that is insufficient to permit the entity to finance its

activities without additional subordinated financial support

from other parties, or (ii) the entity has equity investors that

cannot make significant decisions about the entity’s operations

or that do not absorb their proportionate share of the entity’s

expected losses or expected returns.

The Company consolidates a VIE when it has both the

power to direct the activities that most significantly impact the

VIE’s economic performance and a right to receive benefits or

the obligation to absorb losses of the entity that could be

potentially significant to the VIE (that is, Citi is the primary

beneficiary). In addition to variable interests held in

consolidated VIEs, the Company has variable interests in other

VIEs that are not consolidated because the Company is not the

primary beneficiary.

All unconsolidated VIEs are monitored by the Company

to assess whether any events have occurred to cause its

primary beneficiary status to change.

All entities not deemed to be VIEs with which the

Company has involvement are evaluated for consolidation

under other subtopics of ASC 810. See Note 21 to the

Consolidated Financial Statements for more detailed

information.

Foreign Currency Translation

Assets and liabilities of Citi’s foreign operations are translated

from their respective functional currencies into U.S. dollars

using period-end spot foreign exchange rates. The effects of

those translation adjustments are reported in Accumulated

other comprehensive income (loss), a component of

stockholders’ equity, net of any related hedge and tax effects,

until realized upon sale or substantial liquidation of the foreign

operation, at which point such amounts related to the foreign

entity are reclassified into earnings. Revenues and expenses of

Citi’s foreign operations are translated monthly from their

respective functional currencies into U.S. dollars at amounts

that approximate weighted average exchange rates.

For transactions that are denominated in a currency other

than the functional currency, including transactions

denominated in the local currencies of foreign operations that

use the U.S. dollar as their functional currency, the effects of

changes in exchange rates are primarily included in Principal

transactions, along with the related effects of any economic

hedges. Instruments used to hedge foreign currency exposures

include foreign currency forward, option and swap contracts

and, in certain instances, designated issues of non-U.S. dollar

debt. Foreign operations in countries with highly inflationary

economies designate the U.S. dollar as their functional

currency, with the effects of changes in exchange rates

primarily included in Other revenue.

Investment Securities

Investments include debt and equity securities. Debt securities

include bonds, notes and redeemable preferred stocks, as well

as certain loan-backed and structured securities that are subject

to prepayment risk. Equity securities include common and

nonredeemable preferred stock.

Debt Securities

• Debt securities classified as “held-to-maturity” are

securities that the Company has both the ability and the

intent to hold until maturity and are carried at amortized

cost. Interest income on such securities is included in

Interest revenue.

• Debt securities classified as “available-for-sale” are

carried at fair value with changes in fair value reported in

Accumulated other comprehensive income (loss), a

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component of stockholders’ equity, net of applicable

income taxes and hedges. Interest income on such

securities is included in Interest revenue.

Equity Securities

• Marketable equity securities are measured at fair value

with changes in fair value recognized in earnings.

• Non-marketable equity securities are measured at fair

value with changes in fair value recognized in earnings

unless (i) the measurement alternative is elected or (ii) the

investment represents Federal Reserve Bank and Federal

Home Loan Bank stock or certain exchange seats that

continue to be carried at cost. Non-marketable equity

securities under the measurement alternative are carried at

cost plus or minus changes resulting from observed prices

for orderly transactions for the identical or a similar

investment of the same issuer.

• Certain investments that would otherwise have been

accounted for using the equity method are carried at fair

value with changes in fair value recognized in earnings,

since the Company elected to apply fair value accounting.

For investments in debt securities classified as HTM or

AFS, the accrual of interest income is suspended for

investments that are in default or for which it is likely that

future interest payments will not be made as scheduled.

Debt securities not measured at fair value through

earnings include securities held in HTM or AFS, and equity

securities accounted for under the Measurement Alternative or

equity method. These securities are subject to evaluation for

impairment as described in Note 15 to the Consolidated

Financial Statements for HTM securities and in Note 13 for

AFS, Measurement Alternative and equity method

investments. Realized gains and losses on sales of investments

are included in earnings, primarily on a specific identification

basis.

The Company uses a number of valuation techniques for

investments carried at fair value, which are described in Note

24 to the Consolidated Financial Statements.

Trading Account Assets and Liabilities

Trading account assets include debt and marketable equity

securities, derivatives in a receivable position, residual

interests in securitizations and physical commodities

inventory. In addition, as described in Note 25 to the

Consolidated Financial Statements, certain assets that

Citigroup has elected to carry at fair value under the fair value

option, such as loans and purchased guarantees, are also

included in Trading account assets.

Trading account liabilities include securities sold, not yet

purchased (short positions) and derivatives in a net payable

position, as well as certain liabilities that Citigroup has elected

to carry at fair value (as described in Note 25 to the

Consolidated Financial Statements).

Other than physical commodities inventory, all trading

account assets and liabilities are carried at fair value.

Revenues generated from trading assets and trading liabilities

are generally reported in Principal transactions and include

realized gains and losses as well as unrealized gains and losses

resulting from changes in the fair value of such instruments.

Interest income on trading assets is recorded in Interest

revenue reduced by interest expense on trading liabilities.

Physical commodities inventory is carried at the lower of

cost or market with related losses reported in Principal

transactions. Realized gains and losses on sales of

commodities inventory are included in Principal transactions.

Investments in unallocated precious metals accounts (gold,

silver, platinum and palladium) are accounted for as hybrid

instruments containing a debt host contract and an embedded

non-financial derivative instrument indexed to the price of the

relevant precious metal. The embedded derivative instrument

is separated from the debt host contract and accounted for at

fair value. The debt host contract is carried at fair value under

the fair value option, as described in Note 25 to the

Consolidated Financial Statements.

Derivatives used for trading purposes include interest rate,

currency, equity, credit and commodity swap agreements,

options, caps and floors, warrants, and financial and

commodity futures and forward contracts. Derivative asset and

liability positions are presented net by counterparty on the

Consolidated Balance Sheet when a valid master netting

agreement exists and the other conditions set out in ASC

Topic 210-20, Balance Sheet—Offsetting, are met. See Note

22 to the Consolidated Financial Statements.

The Company uses a number of techniques to determine

the fair value of trading assets and liabilities, which are

described in Note 24 to the Consolidated Financial Statements.

Securities Borrowed and Securities Loaned

Securities borrowing and lending transactions do not

constitute a sale of the underlying securities for accounting

purposes and are treated as collateralized financing

transactions. Such transactions are recorded at the amount of

proceeds advanced or received plus accrued interest. As

described in Note 25 to the Consolidated Financial Statements,

the Company has elected to apply fair value accounting to a

number of securities borrowing and lending transactions. Fees

paid or received for all securities lending and borrowing

transactions are recorded in Interest expense or Interest

revenue at the contractually specified rate.

The Company monitors the fair value of securities

borrowed or loaned on a daily basis and obtains or posts

additional collateral in order to maintain contractual margin

protection.

As described in Note 24 to the Consolidated Financial

Statements, the Company uses a discounted cash flow

technique to determine the fair value of securities lending and

borrowing transactions.

Repurchase and Resale Agreements

Securities sold under agreements to repurchase (repos) and

securities purchased under agreements to resell (reverse repos)

do not constitute a sale (or purchase) of the underlying

securities for accounting purposes and are treated as

collateralized financing transactions. As described in Note 25

to the Consolidated Financial Statements, the Company has

elected to apply fair value accounting to certain of such

transactions, with changes in fair value reported in earnings.

Any transactions for which fair value accounting has not been

147

elected are recorded at the amount of cash advanced or

received plus accrued interest. Irrespective of whether the

Company has elected fair value accounting, interest paid or

received on all repo and reverse repo transactions is recorded

in Interest expense or Interest revenue at the contractually

specified rate.

Where the conditions of ASC 210-20-45-11, Balance

Sheet—Offsetting: Repurchase and Reverse Repurchase

Agreements, are met, repos and reverse repos are presented net

on the Consolidated Balance Sheet.

The Company’s policy is to take possession of securities

purchased under reverse repurchase agreements. The

Company monitors the fair value of securities subject to

repurchase or resale on a daily basis and obtains or posts

additional collateral in order to maintain contractual margin

protection.

As described in Note 24 to the Consolidated Financial

Statements, the Company uses a discounted cash flow

technique to determine the fair value of repo and reverse repo

transactions.

Loans

Loans are reported at their outstanding principal balances net

of any unearned income and unamortized deferred fees and

costs, except for credit card receivable balances, which include

accrued interest and fees. Loan origination fees and certain

direct origination costs are generally deferred and recognized

as adjustments to income over the lives of the related loans.

As described in Note 25 to the Consolidated Financial

Statements, Citi has elected fair value accounting for certain

loans. Such loans are carried at fair value with changes in fair

value reported in earnings. Interest income on such loans is

recorded in Interest revenue at the contractually specified rate.

Loans that are held-for-investment are classified as Loans,

net of unearned income on the Consolidated Balance Sheet,

and the related cash flows are included within the cash flows

from investing activities category in the Consolidated

Statement of Cash Flows on the line Change in loans.

However, when the initial intent for holding a loan has

changed from held-for-investment to held-for-sale (HFS), the

loan is reclassified to HFS, but the related cash flows continue

to be reported in cash flows from investing activities in the

Consolidated Statement of Cash Flows on the line Proceeds

from sales and securitizations of loans.

Consumer Loans

Consumer loans represent loans and leases managed primarily

by the Global Consumer Banking (GCB) businesses and

Corporate/Other.

Consumer Non-accrual and Re-aging Policies

As a general rule, interest accrual ceases for installment and

real estate (both open- and closed-end) loans when payments

are 90 days contractually past due. For credit cards and other

unsecured revolving loans, however, Citi generally accrues

interest until payments are 180 days past due. As a result of

OCC guidance, home equity loans in regulated bank entities

are classified as non-accrual if the related residential first

mortgage is 90 days or more past due. Also as a result of OCC

guidance, mortgage loans in regulated bank entities are

classified as non-accrual within 60 days of notification that the

borrower has filed for bankruptcy, other than Federal Housing

Administration (FHA)-insured loans.

Loans that have been modified to grant a concession to a

borrower in financial difficulty may not be accruing interest at

the time of the modification. The policy for returning such

modified loans to accrual status varies by product and/or

region. In most cases, a minimum number of payments

(ranging from one to six) is required, while in other cases the

loan is never returned to accrual status. For regulated bank

entities, such modified loans are returned to accrual status if a

credit evaluation at the time of, or subsequent to, the

modification indicates the borrower is able to meet the

restructured terms, and the borrower is current and has

demonstrated a reasonable period of sustained payment

performance (minimum six months of consecutive payments).

For U.S. consumer loans, generally one of the conditions

to qualify for modification (other than for loan modifications

made through the CARES Act relief provisions or banking

agency guidance for pandemic-related issues) is that a

minimum number of payments (typically ranging from one to

three) must be made. Upon modification, the loan is re-aged to

current status. However, re-aging practices for certain open-

ended consumer loans, such as credit cards, are governed by

Federal Financial Institutions Examination Council (FFIEC)

guidelines. For open-ended consumer loans subject to FFIEC

guidelines, one of the conditions for the loan to be re-aged to

current status is that at least three consecutive minimum

monthly payments, or the equivalent amount, must be

received. In addition, under FFIEC guidelines, the number of

times that such a loan can be re-aged is subject to limitations

(generally once in 12 months and twice in five years).

Furthermore, FHA and Department of Veterans Affairs (VA)

loans may only be modified under those respective agencies’

guidelines, and payments are not always required in order to

re-age a modified loan to current.

Consumer Charge-Off Policies

Citi’s charge-off policies follow the general guidelines below:

• Unsecured installment loans are charged off at 120 days

contractually past due.

• Unsecured revolving loans and credit card loans are

charged off at 180 days contractually past due.

• Loans secured with non-real estate collateral are written

down to the estimated value of the collateral, less costs to

sell, at 120 days contractually past due.

• Real estate-secured loans are written down to the

estimated value of the property, less costs to sell, at 180

days contractually past due.

• Real estate-secured loans are charged off no later than 180

days contractually past due if a decision has been made

not to foreclose on the loans.

• Unsecured loans in bankruptcy are charged off within 60

days of notification of filing by the bankruptcy court or in

accordance with Citi’s charge-off policy, whichever

occurs earlier.

• Real estate-secured loans in bankruptcy, other than FHA-

insured loans, are written down to the estimated value of

the property, less costs to sell, within 60 days of

148

notification that the borrower has filed for bankruptcy or

in accordance with Citi’s charge-off policy, whichever is

earlier.

Corporate Loans

Corporate loans represent loans and leases managed by

Institutional Clients Group (ICG). Corporate loans are

identified as impaired and placed on a cash (non-accrual) basis

when it is determined, based on actual experience and a

forward-looking assessment of the collectability of the loan in

full, that the payment of interest or principal is doubtful or

when interest or principal is 90 days past due, except when the

loan is well collateralized and in the process of collection. Any

interest accrued on impaired corporate loans and leases is

reversed at 90 days past due and charged against current

earnings, and interest is thereafter included in earnings only to

the extent actually received in cash. When there is doubt

regarding the ultimate collectability of principal, all cash

receipts are thereafter applied to reduce the recorded

investment in the loan.

Impaired corporate loans and leases are written down to

the extent that principal is deemed to be uncollectible.

Impaired collateral-dependent loans and leases, where

repayment is expected to be provided solely by the sale of the

underlying collateral and there are no other available and

reliable sources of repayment, are written down to the lower of

carrying value or collateral value. Cash-basis loans are

returned to accrual status when all contractual principal and

interest amounts are reasonably assured of repayment and

there is a sustained period of repayment performance in

accordance with the contractual terms.

Loans Held-for-Sale

Corporate and consumer loans that have been identified for

sale are classified as loans HFS and included in Other assets.

The practice of Citi’s U.S. prime mortgage business has been

to sell substantially all of its conforming loans. As such, U.S.

prime mortgage conforming loans are classified as HFS and

the fair value option is elected at origination, with changes in

fair value recorded in Other revenue. With the exception of

those loans for which the fair value option has been elected,

HFS loans are accounted for at the lower of cost or market

value, with any write-downs or subsequent recoveries charged

to Other revenue. The related cash flows are classified in the

Consolidated Statement of Cash Flows in the cash flows from

operating activities category on the line Change in loans held-

for-sale.

Allowances for Credit Losses (ACL)

Commencing January 1, 2020, Citi adopted Accounting

Standards Update (ASC) 326, Financial Instruments—Credit

Losses, using the methodologies described below. For

information about Citi’s accounting for loan losses prior to

January 1, 2020, see “Superseded Accounting Principles”

below.

The current expected credit losses (CECL) methodology

is based on relevant information about past events, including

historical experience, current conditions and reasonable and

supportable (R&S) forecasts that affect the collectability of the

reported financial asset balances. If the asset’s life extends

beyond the R&S forecast period, then historical experience is

considered over the remaining life of the assets in the ACL.

The resulting ACL is adjusted in each subsequent reporting

period through Provisions for credit losses in the Consolidated

Statement of Income to reflect changes in history, current

conditions and forecasts as well as changes in asset positions

and portfolios. ASC 326 defines the ACL as a valuation

account that is deducted from the amortized cost of a financial

asset to present the net amount that management expects to

collect on the financial asset over its expected life. All

financial assets carried at amortized cost are in the scope of

ASC 326, while assets measured at fair value are excluded.

See Note 13 to the Consolidated Financial Statements for a

discussion of impairment on available-for-sale (AFS)

securities.

Increases and decreases to the allowances are recorded in

Provisions for credit losses. The CECL methodology utilizes a

lifetime expected credit loss (ECL) measurement objective for

the recognition of credit losses for held-for-investment (HFI)

loans, held-to-maturity (HTM) debt securities, receivables and

other financial assets measured at amortized cost at the time

the financial asset is originated or acquired. Within the life of

a loan or other financial asset, the methodology generally

results in the earlier recognition of the provision for credit

losses and the related ACL than prior U.S. GAAP.

Estimation of ECLs requires Citi to make assumptions

regarding the likelihood and severity of credit loss events and

their impact on expected cash flows, which drive the

probability of default (PD), loss given default (LGD) and

exposure at default (EAD) models and, where Citi discounts

the ECL, using discounting techniques for certain products.

Where the asset’s life extends beyond the R&S forecast

period, Citi considers historical experience over the remaining

life of the assets in estimating the ACL.

Citi uses a multitude of variables in its macroeconomic

forecast as part of its calculation of both the qualitative and

quantitative components of the ACL, including both domestic

and international variables for its global portfolios and

exposures. Citi’s forecasts of the U.S. unemployment rate and

U.S. Real GDP growth rate represent the key macroeconomic

variables that most significantly affect its estimate of its

consumer and corporate ACLs. Under the quantitative base

scenario, Citi’s 4Q’20 forecasts are for U.S. unemployment to

continue to improve as the U.S. moves past the peak of the

health and economic crisis. The downside scenario

incorporates more adverse economic conditions and

subsequently higher unemployment rates and slower GDP

recovery.

The following are the main factors and interpretations that

Citi considers when estimating the ACL under the CECL

methodology:

• The most important reasons for the 2020 change in the

ACL since the adoption of CECL on January 1, 2020 are

the pandemic and the resulting economic recessions,

which led to higher unemployment and lower GDP

forecasts than were expected at the beginning of the year;

the impact of government stimulus and relief programs;

and portfolio changes and lower loan balances resulting

from changed customer spending patterns.

149

• CECL reserves are estimated over the contractual term of

the financial asset, which is adjusted for expected

prepayments. Expected extensions are generally not

considered unless the option to extend the loan cannot be

canceled unilaterally by Citi. Modifications are also not

considered, unless Citi has a reasonable expectation that it

will execute a troubled debt restructuring (TDR).

• Credit enhancements that are not freestanding (such as

those that are included in the original terms of the contract

or those executed in conjunction with the lending

transaction) are considered loss mitigants for purposes of

CECL reserve estimation.

• For unconditionally cancelable accounts such as credit

cards, reserves are based on the expected life of the

balance as of the evaluation date (assuming no further

charges) and do not include any undrawn commitments

that are unconditionally cancelable. Reserves are included

for undrawn commitments for accounts that are not

unconditionally cancelable (such as letters of credit and

corporate loan commitments, HELOCs, undrawn

mortgage loan commitments and financial guarantees).

• CECL models are designed to be economically sensitive.

They utilize the macroeconomic forecasts provided by

Citi’s economic forecasting team (EFT) that are approved

by senior management. Analysis is performed and

documented to determine the necessary qualitative

management adjustment (QMA) to capture forward-

looking macroeconomic expectations and model

uncertainty.

• The portion of the forecast that reflects the EFT’s

reasonable and supportable (R&S) period indicates the

maximum length of time its models can produce a R&S

macroeconomic forecast, after which mean reversion

reflecting historical loss experience is used for the

remaining life of the loan to estimate expected credit

losses. For the loss forecast, businesses consume the

macroeconomic forecast as determined to be appropriate

and justifiable.

Citi’s ability to forecast credit losses over the reasonable

and supportable (R&S) period is based on the ability to

forecast economic activity over a reasonable and supportable

time window.

The R&S period reflects the overall ability to have a

reasonable and supportable forecast of credit loss based on

economic forecasts.

• The loss models consume all or a portion of the R&S

economic forecast and then revert to historical loss

experience. The R&S forecast period for consumer loans

is 13 quarters and, in most cases, reverts to historically

based loss experience either immediately or using a

straight-line approach thereafter, while the R&S period

for wholesale is nine quarters with an additional straight-

line reversion period of three quarters for ECL

parameters.

• The ACL incorporates provisions for accrued interest on

products that are not subject to a non-accrual and timely

write-off policy (e.g., cards and Ready Credit, etc.).

• The reserves for TDRs are calculated using the discounted

cash flow method and consider appropriate

macroeconomic forecast data for the exposure type. For

TDR loans that are collateral dependent, the ACL is based

on the fair value of the collateral.

• Citi uses the most recent available information to inform

its macroeconomic forecasts, allowing sufficient time for

analysis of the results and corresponding approvals. Key

variables are reviewed for significant changes through

year end and changes to portfolio positions are reflected

in the ACL.

• Reserves are calculated at an appropriately granular level

and on a pooled basis where financial assets share risk

characteristics. At a minimum, reserves are calculated at a

portfolio level (product and country). Where a financial

asset does not share risk characteristics with any of the

pools, it is evaluated for credit losses individually.

Quantitative and Qualitative Components of the ACL

The loss likelihood and severity models use both internal and

external information and are sensitive to forecasts of different

macroeconomic conditions. For the quantitative component,

Citi uses a single forward-looking macroeconomic forecast,

complemented by the qualitative component that reflects

economic uncertainty due to a different possible more adverse

scenario for estimating the ACL. Estimates of these ECLs are

based upon (i) Citigroup’s internal system of credit risk

ratings; (ii) historical default and loss data, including

comprehensive internal history and rating agency information

regarding default rates and internal data on the severity of

losses in the event of default; and (iii) a R&S forecast of future

macroeconomic conditions. ECL is determined primarily by

utilizing models for the borrowers’ PD, LGD and EAD.

Adjustments may be made to this data, including (i)

statistically calculated estimates to cover the historical

fluctuation of the default rates over the credit cycle, the

historical variability of loss severity among defaulted loans

and the degree to which there are large obligor concentrations

in the global portfolio, and (ii) adjustments made for

specifically known items, such as current environmental

factors and credit trends.

Any adjustments needed to the modeled expected losses

in the quantitative calculations are addressed through a

qualitative adjustment. The qualitative adjustment considers,

among other things: the uncertainty of forward-looking

scenarios based on the likelihood and severity of a possible

recession; the uncertainty of economic conditions related to an

alternative downside scenario; certain portfolio characteristics

and concentrations; collateral coverage; model limitations;

idiosyncratic events; and other relevant criteria under banking

supervisory guidance for loan loss reserves. The qualitative

adjustment also reflects the estimated impact of the pandemic

on the economic forecasts and the impact on credit loss

estimates. The total ACL is composed of the quantitative and

qualitative components.

Consumer Loans

For consumer loans, most portfolios including North America

cards, mortgages and personal installment loans (PILs) are

covered by the PD, LGD and EAD loss forecasting models.

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Some smaller international portfolios are covered by

econometric models where the gross credit loss (GCL) rate is

forecasted. The modeling of all retail products is performed by

examining risk drivers for a given portfolio; these drivers

relate to exposures with similar credit risk characteristics and

consider past events, current conditions and R&S forecasts.

Under the PD x LGD x EAD approach, GCLs and recoveries

are captured on an undiscounted basis. Citi incorporates

expected recoveries on loans into its reserve estimate,

including expected recoveries on assets previously written off.

CECL defines the exposure’s expected life as the

remaining contractual maturity including any expected

prepayments. Subsequent changes to the contractual terms that

are the result of a re-underwriting are not included in the

loan’s expected CECL life.

Citi does not establish reserves for the uncollectible

accrued interest on non-revolving consumer products, such as

mortgages and installment loans, which are subject to a non-

accrual and timely write-off policy. As such, only the principal

balance is subject to the CECL reserve methodology and

interest does not attract a further reserve. FAS 91-deferred

origination costs and fees related to new account originations

are amortized within a 12-month period, and an ACL is

provided for components in the scope of the ASC.

Separate valuation allowances are determined for

impaired smaller-balance homogeneous loans whose terms

have been modified in a TDR. Long-term modification

programs, and short-term (less than 12 months) modifications

that provide concessions (such as interest rate reductions) to

borrowers in financial difficulty, are reported as TDRs. In

addition, loan modifications that involve a trial period are

reported as TDRs at the start of the trial period. The ACL for

TDRs is determined using a discounted cash flow (DCF)

approach. When a DCF approach is used, the initial allowance

for ECLs is calculated as the expected contractual cash flows

discounted at the loan’s original effective interest rate. DCF

techniques are applied only for consumer loans classified as

TDR loan exposures.

For cards, Citi uses the payment rate approach, which

leverages payment rate curves, to determine the payments that

should be applied to liquidate the end-of-period balance

(CECL balance) in the estimation of EAD. The payment rate

approach uses customer payment behavior (payment rate) to

establish the portion of the CECL balance that will be paid

each month. These payment rates are defined as the percentage

of principal payments received in the respective month divided

by the prior month’s billed principal balance. The liquidation

(CECL payment) amount for each forecast period is

determined by multiplying the CECL balance by that period’s

forecasted payment rate. The cumulative sum of these

payments less the CECL balance produces the balance

liquidation curve. Citi does not apply a non-accrual policy to

credit card receivables; rather, they are subject to full charge-

off at 180 days past due. As such, the entire customer balance

up until write-off, including accrued interest and fees, will be

subject to the CECL reserve methodology.

Corporate Loans and HTM Securities

Citi records allowances for credit losses on all financial assets

carried at amortized cost that are in the scope of CECL,

including corporate loans classified as HFI and HTM debt

securities. Discounting techniques are applied for corporate

loans classified as HFI and HTM securities and non-accrual/

TDR loan exposures. All cash flows are fully discounted to the

reporting date. The ACL includes Citi’s estimate of all credit

losses expected to be incurred over the estimated full

contractual life of the financial asset. The contractual life of

the financial asset does not include expected extensions,

renewals or modifications, except for instances where the

Company reasonably expects to extend the tenor of the

financial asset pursuant to a future TDR Where Citi has an

unconditional option to extend the contractual term, Citi does

not consider the potential extension in determining the

contractual term; however, where the borrower has the sole

right to exercise the extension option without Citi’s approval,

Citi does consider the potential extension in determining the

contractual term. The decrease in credit losses under CECL at

the date of adoption on January 1, 2020, compared with the

prior incurred loss methodology, is largely due to more precise

contractual maturities that result in shorter remaining tenors,

the incorporation of recoveries and use of more specific

historical loss data based on an increase in portfolio

segmentation across industries and geographies.

The Company primarily bases its ACL on models that

assess the likelihood and severity of credit events and their

impact on cash flows under R&S forecasted economic

scenarios. Allowances consider the probability of the

borrower’s default, the loss the Company would incur upon

default and the borrower’s exposure at default. Such models

discount the present value of all future cash flows, using the

asset’s effective interest rate (EIR). Citi applies a more

simplified approach based on historical loss rates to certain

exposures recorded in Other assets and certain loan exposures

in the private bank.

The Company considers the risk of nonpayment to be zero

for U.S. Treasuries and U.S. government-sponsored agency

guaranteed mortgage-backed securities (MBS) and, as such,

Citi does not have an ACL for these securities. For all other

HTM debt securities, ECLs are estimated using PD models

and discounting techniques, which incorporate assumptions

regarding the likelihood and severity of credit losses. For

structured securities, specific models use relevant assumptions

for the underlying collateral type. A discounting approach is

applied to HTM direct obligations of a single issuer, similar to

that used for corporate HFI loans.

Other Financial Assets with Zero Expected Credit Losses

For certain financial assets, zero expected credit losses will be

recognized where the expectation of nonpayment of the

amortized cost basis is zero, based on there being no history of

loss and the nature of the receivables.

Secured Financing Transactions

Most of Citi’s reverse repurchase agreements, securities

borrowing arrangements and margin loans require that the

borrower continually adjust the amount of the collateral

securing Citi’s interest, primarily resulting from changes in the

fair value of such collateral. In such arrangements, ACLs are

recorded based only on the amount by which the asset’s

amortized cost basis exceeds the fair value of the collateral.

No ACLs are recorded where the fair value of the collateral is

151

equal to or exceeds the asset’s amortized cost basis, as Citi

does not expect to incur credit losses on such well-

collateralized exposures. For certain margin loans presented in

Loans on the Consolidated Balance Sheet, credit losses are

estimated using the same approach as corporate loans.

Accrued Interest

CECL permits entities to make an accounting policy election

not to reserve for interest, if the entity has a policy in place

that will result in timely reversal or write-off of interest.

However, when a non-accrual or timely charge-off policy is

not applied, an ACL is recognized on accrued interest. For

HTM debt securities, Citi established a non-accrual policy that

results in timely write-off of accrued interest. For corporate

loans, where a timely charge-off policy is used, Citi has

elected to recognize an ACL on accrued interest receivable.

The LGD models for corporate loans include an adjustment

for estimated accrued interest.

Reasonably Expected TDRs

For corporate loans, the reasonable expectation of TDR

concept requires that the contractual life over which ECLs are

estimated be extended when a TDR that results in a tenor

extension is reasonably expected. Reasonably expected TDRs

are included in the life of the asset. A discounting technique or

collateral-dependent practical expedient is used for non-

accrual and TDR loan exposures that do not share risk

characteristics with other loans and are individually assessed.

Loans modified in accordance with the CARES Act and bank

regulatory guidance are not classified as TDRs.

Purchased Credit Deteriorated (PCD) Assets

ASC 326 requires entities that have acquired financial assets

(such as loans and HTM securities) with an intent to hold, to

evaluate whether those assets have experienced a more-than-

insignificant deterioration in credit quality since origination.

These assets are subject to specialized accounting at initial

recognition under CECL. Subsequent measurement of PCD

assets will remain consistent with other purchased or

originated assets, i.e., non-PCD assets. CECL introduces the

notion of PCD assets, which replaces purchased credit

impaired (PCI) accounting under prior U.S. GAAP.

CECL requires the estimation of credit losses to be

performed on a pool basis unless a PCD asset does not share

characteristics with any pool. If certain PCD assets do not

meet the conditions for aggregation, those PCD assets should

be accounted for separately. This determination must be made

at the date the PCD asset is purchased. In estimating ECLs

from day 2 onward, pools can potentially be reassembled

based upon similar risk characteristics. When PCD assets are

pooled, Citi determines the amount of the initial ACL at the

pool level. The amount of the initial ACL for a PCD asset

represents the portion of the total discount at acquisition that

relates to credit and is recognized as a “gross-up” of the

purchase price to arrive at the PCD asset’s (or pool’s)

amortized cost. Any difference between the unpaid principal

balance and the amortized cost is considered to be related to

non-credit factors and results in a discount or premium, which

is amortized to interest income over the life of the individual

asset (or pool). Direct expenses incurred related to the

acquisition of PCD assets and other assets and liabilities in a

business combination are expensed as incurred. Subsequent

accounting for acquired PCD assets is the same as the

accounting for originated assets; changes in the allowance are

recorded in Provisions for credit losses.

Consumer

Citi does not purchase whole portfolios of PCD assets in its

retail businesses. However, there may be a small portion of a

purchased portfolio that is identified as PCD at the purchase

date. Interest income recognition does not vary between PCD

and non-PCD assets. A consumer financial asset is considered

to be more-than-insignificantly credit deteriorated if it is more

than 30 days past due at the purchase date.

Corporate

Citi generally classifies wholesale loans and debt securities

classified HTM or AFS as PCD when both of the following

criteria are met: (i) the purchase price discount is at least 10%

of par and (ii) the purchase date is more than 90 days after the

origination or issuance date. Citi classifies HTM beneficial

interests rated AA- and lower obtained at origination from

certain securitization transactions as PCD when there is a

significant difference (i.e., 10% or greater) between

contractual cash flows, adjusted for prepayments, and

expected cash flows at the date of recognition.

Reserve Estimates and Policies

Management provides reserves for an estimate of lifetime

ECLs in the funded loan portfolio on the Consolidated

Balance Sheet in the form of an ACL. These reserves are

established in accordance with Citigroup’s credit reserve

policies, as approved by the Audit Committee of the Citigroup

Board of Directors. Citi’s Chief Risk Officer and Chief

Financial Officer review the adequacy of the credit loss

reserves each quarter with risk management and finance

representatives for each applicable business area. Applicable

business areas include those having classifiably managed

portfolios, where internal credit risk ratings are assigned

(primarily ICG) and delinquency managed portfolios

(primarily GCB) or modified consumer loans, where

concessions were granted due to the borrowers’ financial

difficulties. The aforementioned representatives for these

business areas present recommended reserve balances for their

funded and unfunded lending portfolios along with supporting

quantitative and qualitative data discussed below:

Estimated credit losses for non-performing, non-homogeneous

exposures within a business line’s classifiably managed

portfolio and impaired smaller-balance homogeneous loans

whose terms have been modified due to the borrowers’

financial difficulties, where it was determined that a

concession was granted to the borrower.

Consideration may be given to the following, as appropriate,

when determining this estimate: (i) the present value of

expected future cash flows discounted at the loan’s original

effective rate, (ii) the borrower’s overall financial condition,

resources and payment record and (iii) the prospects for

support from financially responsible guarantors or the

realizable value of any collateral. In the determination of the

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ACL for TDRs, management considers a combination of

historical re-default rates, the current economic environment

and the nature of the modification program when forecasting

expected cash flows. When impairment is measured based on

the present value of expected future cash flows, the entire

change in present value is recorded in Provisions for credit

losses.

Estimated credit losses in the delinquency-managed portfolios

for performing exposures.

In addition, risk management and finance representatives who

cover business areas with delinquency-managed portfolios

containing smaller-balance homogeneous loans present their

recommended reserve balances based on leading credit

indicators, including loan delinquencies and changes in

portfolio size as well as economic trends, including current

and future housing prices, unemployment, length of time in

foreclosure, costs to sell and GDP. This methodology is

applied separately for each product within each geographic

region in which these portfolios exist. This evaluation process

is subject to numerous estimates and judgments. The

frequency of default, risk ratings, loss recovery rates, size and

diversity of individual large credits and ability of borrowers

with foreign currency obligations to obtain the foreign

currency necessary for orderly debt servicing, among other

things, are all taken into account during this review. Changes

in these estimates could have a direct impact on the credit

costs in any period and could result in a change in the

allowance.

Allowance for Unfunded Lending Commitments

Credit loss reserves are recognized on all off-balance sheet

commitments that are not unconditionally cancelable.

Corporate loan EAD models include an incremental usage

factor (or credit conversion factor) to estimate ECLs on

amounts undrawn at the reporting date. Off-balance sheet

commitments include unfunded exposures, revolving facilities,

securities underwriting commitments, letters of credit,

HELOCs and financial guarantees, which excludes

performance guarantees. This reserve is classified on the

Consolidated Balance Sheet in Other liabilities. Changes to

the allowance for unfunded lending commitments are recorded

in Provision for credit losses on unfunded lending

commitments.

Mortgage Servicing Rights (MSRs)

Mortgage servicing rights (MSRs) are recognized as intangible

assets when purchased or when the Company sells or

securitizes loans acquired through purchase or origination and

retains the right to service the loans. Mortgage servicing rights

are accounted for at fair value, with changes in value recorded

in Other revenue in the Company’s Consolidated Statement of

Income.

For additional information on the Company’s MSRs, see

Notes 16 and 21 to the Consolidated Financial Statements.

Goodwill

Goodwill represents the excess of acquisition cost over the fair

value of net tangible and intangible assets acquired in a

business combination. Goodwill is subject to annual

impairment testing and interim assessments between annual

tests if an event occurs or circumstances change that would

more-likely-than-not reduce the fair value of a reporting unit

below its carrying amount.

Under ASC Topic 350, Intangibles—Goodwill and Other

and upon the adoption of ASU No. 2017-04 on January 1,

2020, the Company has an option to assess qualitative factors

to determine if it is necessary to perform the goodwill

impairment test. If, after assessing the totality of events or

circumstances, the Company determines that it is not more-

likely-than-not that the fair value of a reporting unit is less

than its carrying amount, no further testing is necessary. If,

however, the Company determines that it is more-likely-than-

not that the fair value of a reporting unit is less than its

carrying amount, then the Company must perform the

quantitative test.

The Company has an unconditional option to bypass the

qualitative assessment for any reporting unit in any reporting

period and proceed directly to the quantitative test.

The quantitative test requires a comparison of the fair

value of the individual reporting unit to its carrying value,

including goodwill. If the fair value of the reporting unit is in

excess of the carrying value, the related goodwill is considered

not impaired and no further analysis is necessary. If the

carrying value of the reporting unit exceeds the fair value, an

impairment loss is recognized in an amount equal to that

excess, limited to the total amount of goodwill allocated to

that reporting unit.

Upon any business disposition, goodwill is allocated to,

and derecognized with, the disposed business based on the

ratio of the fair value of the disposed business to the fair value

of the reporting unit.

Additional information on Citi’s goodwill impairment

testing can be found in Note 16 to the Consolidated Financial

Statements.

Intangible Assets

Intangible assets—including core deposit intangibles, present

value of future profits, purchased credit card relationships,

credit card contract related intangibles, other customer

relationships and other intangible assets, but excluding MSRs

—are amortized over their estimated useful lives. Intangible

assets that are deemed to have indefinite useful lives, primarily

trade names, are not amortized and are subject to annual

impairment tests. An impairment exists if the carrying value of

the indefinite-lived intangible asset exceeds its fair value. For

other intangible assets subject to amortization, an impairment

is recognized if the carrying amount is not recoverable and

exceeds the fair value of the intangible asset.

Other Assets and Other Liabilities

Other assets include, among other items, loans HFS, deferred

tax assets, equity method investments, interest and fees

receivable, lease right-of-use assets, premises and equipment

(including purchased and developed software), repossessed

assets and other receivables. Other liabilities include, among

other items, accrued expenses and other payables, lease

liabilities, deferred tax liabilities and reserves for legal claims,

taxes, unfunded lending commitments, repositioning reserves

and other payables.

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Other Real Estate Owned and Repossessed Assets

Real estate or other assets received through foreclosure or

repossession are generally reported in Other assets, net of a

valuation allowance for selling costs and subsequent declines

in fair value.

Securitizations

There are two key accounting determinations that must be

made relating to securitizations. Citi first makes a

determination as to whether the securitization entity must be

consolidated. Second, it determines whether the transfer of

financial assets to the entity is considered a sale under GAAP.

If the securitization entity is a VIE, the Company consolidates

the VIE if it is the primary beneficiary (as discussed in

“Variable Interest Entities” above). For all other securitization

entities determined not to be VIEs in which Citigroup

participates, consolidation is based on which party has voting

control of the entity, giving consideration to removal and

liquidation rights in certain partnership structures. Only

securitization entities controlled by Citigroup are consolidated.

Interests in the securitized and sold assets may be retained

in the form of subordinated or senior interest-only strips,

subordinated tranches, spread accounts and servicing rights. In

credit card securitizations, the Company retains a seller’s

interest in the credit card receivables transferred to the trusts,

which is not in securitized form. In the case of consolidated

securitization entities, including the credit card trusts, these

retained interests are not reported on Citi’s Consolidated

Balance Sheet. The securitized loans remain on the balance

sheet. Substantially all of the consumer loans sold or

securitized through non-consolidated trusts by Citigroup are

U.S. prime residential mortgage loans. Retained interests in

non-consolidated mortgage securitization trusts are classified

as Trading account assets, except for MSRs, which are

included in Intangible assets on Citigroup’s Consolidated

Balance Sheet.

Debt

Short-term borrowings and Long-term debt are accounted for

at amortized cost, except where the Company has elected to

report the debt instruments, including certain structured notes,

at fair value, or the debt is in a fair value hedging relationship.

Transfers of Financial Assets

For a transfer of financial assets to be considered a sale: (i) the

assets must be legally isolated from the Company, even in

bankruptcy or other receivership, (ii) the purchaser must have

the right to pledge or sell the assets transferred (or, if the

purchaser is an entity whose sole purpose is to engage in

securitization and asset-backed financing activities through the

issuance of beneficial interests and that entity is constrained

from pledging the assets it receives, each beneficial interest

holder must have the right to sell or pledge their beneficial

interests) and (iii) the Company may not have an option or

obligation to reacquire the assets.

If these sale requirements are met, the assets are removed

from the Company’s Consolidated Balance Sheet. If the

conditions for sale are not met, the transfer is considered to be

a secured borrowing, the assets remain on the Consolidated

Balance Sheet and the sale proceeds are recognized as the

Company’s liability. A legal opinion on a sale generally is

obtained for complex transactions or where the Company has

continuing involvement with assets transferred or with the

securitization entity. For a transfer to be eligible for sale

accounting, that opinion must state that the asset transfer

would be considered a sale and that the assets transferred

would not be consolidated with the Company’s other assets in

the event of the Company’s insolvency.

For a transfer of a portion of a financial asset to be

considered a sale, the portion transferred must meet the

definition of a participating interest. A participating interest

must represent a pro rata ownership in an entire financial

asset; all cash flows must be divided proportionately, with the

same priority of payment; no participating interest in the

transferred asset may be subordinated to the interest of another

participating interest holder; and no party may have the right

to pledge or exchange the entire financial asset unless all

participating interest holders agree. Otherwise, the transfer is

accounted for as a secured borrowing.

See Note 21 to the Consolidated Financial Statements for

further discussion.

Risk Management Activities—Derivatives Used for

Hedging Purposes

The Company manages its exposures to market movements

outside of its trading activities by modifying the asset and

liability mix, either directly or through the use of derivative

financial products, including interest rate swaps, futures,

forwards and purchased options, as well as foreign-exchange

contracts. These end-user derivatives are carried at fair value

in Trading account assets and Trading account liabilities.

See Note 22 to the Consolidated Financial Statements for

a further discussion of the Company’s hedging and derivative

activities.

Instrument-specific Credit Risk

Citi presents separately in AOCI the portion of the total change

in the fair value of a liability resulting from a change in the

instrument-specific credit risk, when the entity has elected to

measure the liability at fair value in accordance with the fair

value option for financial instruments. Accordingly, the

change in fair value of liabilities for which the fair value

option was elected, related to changes in Citigroup’s own

credit spreads, is presented in AOCI.

Employee Benefits Expense

Employee benefits expense includes current service costs of

pension and other postretirement benefit plans (which are

accrued on a current basis), contributions and unrestricted

awards under other employee plans, the amortization of

restricted stock awards and costs of other employee benefits.

For its most significant pension and postretirement benefit

plans (Significant Plans), Citigroup measures and discloses

plan obligations, plan assets and periodic plan expense

quarterly, instead of annually. The effect of remeasuring the

Significant Plan obligations and assets by updating plan

actuarial assumptions on a quarterly basis is reflected in

Accumulated other comprehensive income (loss) and periodic

plan expense. All other plans (All Other Plans) are remeasured

annually. See Note 8 to the Consolidated Financial Statements.

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Stock-Based Compensation

The Company recognizes compensation expense related to

stock and option awards over the requisite service period,

generally based on the instruments’ grant-date fair value,

reduced by actual forfeitures as they occur. Compensation cost

related to awards granted to employees who meet certain age

plus years-of-service requirements (retirement-eligible

employees) is accrued in the year prior to the grant date, in the

same manner as the accrual for cash incentive compensation.

Certain stock awards with performance conditions or certain

clawback provisions are subject to variable accounting,

pursuant to which the associated compensation expense

fluctuates with changes in Citigroup’s common stock price.

See Note 7 to the Consolidated Financial Statements.

Income Taxes

The Company is subject to the income tax laws of the U.S. and

its states and municipalities, as well as the non-U.S.

jurisdictions in which it operates. These tax laws are complex

and may be subject to different interpretations by the taxpayer

and the relevant governmental taxing authorities. In

establishing a provision for income tax expense, the Company

must make judgments and interpretations about these tax laws.

The Company must also make estimates about when in the

future certain items will affect taxable income in the various

tax jurisdictions, both domestic and foreign.

Disputes over interpretations of the tax laws may be

subject to review and adjudication by the court systems of the

various tax jurisdictions, or may be settled with the taxing

authority upon examination or audit. The Company treats

interest and penalties on income taxes as a component of

Income tax expense.

Deferred taxes are recorded for the future consequences

of events that have been recognized in financial statements or

tax returns, based upon enacted tax laws and rates. Deferred

tax assets are recognized subject to management’s judgment

about whether realization is more-likely-than-not. ASC 740,

Income Taxes, sets out a consistent framework to determine

the appropriate level of tax reserves to maintain for uncertain

tax positions. This interpretation uses a two-step approach

wherein a tax benefit is recognized if a position is more-likely-

than-not to be sustained. The amount of the benefit is then

measured to be the highest tax benefit that is more than 50%

likely to be realized. ASC 740 also sets out disclosure

requirements to enhance transparency of an entity’s tax

reserves.

See Note 9 to the Consolidated Financial Statements for a

further description of the Company’s tax provision and related

income tax assets and liabilities.

Commissions, Underwriting and Principal Transactions

Commissions and fees revenues are recognized in income

when earned. Underwriting revenues are recognized in income

typically at the closing of the transaction. Principal

transactions revenues are recognized in income on a trade-

date basis. See Note 5 to the Consolidated Financial

Statements for a description of the Company’s revenue

recognition policies for Commissions and fees, and Note 6 to

the Consolidated Financial Statements for details of Principal

transactions revenue.

Earnings per Share

Earnings per share (EPS) is computed after deducting

preferred stock dividends. The Company has granted restricted

and deferred share awards with dividend rights that are

considered to be participating securities, which are akin to a

second class of common stock. Accordingly, a portion of

Citigroup’s earnings is allocated to those participating

securities in the EPS calculation.

Basic earnings per share is computed by dividing income

available to common stockholders after the allocation of

dividends and undistributed earnings to the participating

securities by the weighted average number of common shares

outstanding for the period. Diluted earnings per share reflects

the potential dilution that could occur if securities or other

contracts to issue common stock were exercised. It is

computed after giving consideration to the weighted average

dilutive effect of the Company’s stock options and warrants

and convertible securities and after the allocation of earnings

to the participating securities. Anti-dilutive options and

warrants are disregarded in the EPS calculations.

Use of Estimates

Management must make estimates and assumptions that affect

the Consolidated Financial Statements and the related Notes to

the Consolidated Financial Statements. Such estimates are

used in connection with certain fair value measurements. See

Note 24 to the Consolidated Financial Statements for further

discussions on estimates used in the determination of fair

value. Moreover, estimates are significant in determining the

amounts of other-than-temporary impairments, impairments of

goodwill and other intangible assets, provisions for probable

losses that may arise from credit-related exposures and

probable and estimable losses related to litigation and

regulatory proceedings, and income taxes. While management

makes its best judgment, actual amounts or results could differ

from those estimates.

Cash Flows

Cash equivalents are defined as those amounts included in

Cash and due from banks and predominately all of Deposits

with banks. Cash flows from risk management activities are

classified in the same category as the related assets and

liabilities.

Related Party Transactions

The Company has related party transactions with certain of its

subsidiaries and affiliates. These transactions, which are

primarily short-term in nature, include cash accounts,

collateralized financing transactions, margin accounts,

derivative transactions, charges for operational support and the

borrowing and lending of funds, and are entered into in the

ordinary course of business.

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ACCOUNTING CHANGES

Accounting for Financial Instruments—Credit Losses

Overview

In June 2016, the Financial Accounting Standards Board

(FASB) issued ASU No. 2016-13, Financial Instruments—

Credit Losses (Topic 326). The ASU introduced a new credit

loss methodology, the current expected credit losses (CECL)

methodology, which requires earlier recognition of credit

losses while also providing additional disclosure about credit

risk. Citi adopted the ASU as of January 1, 2020, which, as

discussed below, resulted in an increase in Citi’s Allowance

for credit losses and a decrease to opening Retained earnings,

net of deferred income taxes, at January 1, 2020.

The CECL methodology utilizes a lifetime “expected

credit loss” measurement objective for the recognition of

credit losses for loans, held-to-maturity debt securities,

receivables and other financial assets measured at amortized

cost at the time the financial asset is originated or acquired.

The ACL is adjusted each period for changes in expected

lifetime credit losses. The CECL methodology represents a

significant change from prior U.S. GAAP and replaced the

prior multiple existing impairment methods, which generally

required that a loss be incurred before it was recognized.

Within the life cycle of a loan or other financial asset, the

methodology generally results in the earlier recognition of the

provision for credit losses and the related ACL than prior U.S.

GAAP. For available-for-sale debt securities where fair value

is less than cost that Citi intends to hold or more-likely-than-

not will not be required to sell, credit-related impairment, if

any, is recognized through an ACL and adjusted each period

for changes in credit risk.

January 1, 2020 CECL Transition (Day 1) Impact

The CECL methodology’s impact on expected credit losses,

among other things, reflects Citi’s view of the current state of

the economy, forecasted macroeconomic conditions and Citi’s

portfolios. At the January 1, 2020 date of adoption, based on

forecasts of macroeconomic conditions and exposures at that

time, the aggregate impact to Citi was an approximate

$4.1 billion, or an approximate 29%, pretax increase in the

Allowance for credit losses, along with a $3.1 billion after-tax

decrease in Retained earnings and a deferred tax asset increase

of $1.0 billion. This transition impact reflects (i) a $4.9 billion

build to the Allowance for credit losses for Citi’s consumer

exposures, primarily driven by the impact on credit card

receivables of longer estimated tenors under the CECL

lifetime expected credit loss methodology (loss coverage of

approximately 23 months) compared to shorter estimated

tenors under the probable loss methodology under prior U.S.

GAAP (loss coverage of approximately 14 months), net of

recoveries; and (ii) a release of $0.8 billion of reserves

primarily related to Citi’s corporate net loan loss exposures,

largely due to more precise contractual maturities that result in

shorter remaining tenors, incorporation of recoveries and use

of more specific historical loss data based on an increase in

portfolio segmentation across industries and geographies.

Under the CECL methodology, the Allowance for credit

losses consists of quantitative and qualitative components.

Citi’s quantitative component of the Allowance for credit

losses is model based and utilizes a single forward-looking

macroeconomic forecast, complemented by the qualitative

component described below, in estimating expected credit

losses and discounts inputs for the corporate classifiably

managed portfolios. Reasonable and supportable forecast

periods vary by product. For example, Citi’s consumer models

use a 13-quarter reasonable and supportable period and revert

to historical loss experience thereafter, while its corporate loan

models use a nine-quarter reasonable and supportable period

followed by a three-quarter graduated transition to historical

loss experience.

Citi’s qualitative component of the Allowance for credit

losses considers (i) the uncertainty of forward-looking

scenarios based on the likelihood and severity of a possible

recession as another possible scenario; (ii) certain portfolio

characteristics, such as portfolio concentration and collateral

coverage; and (iii) model limitations as well as idiosyncratic

events. Citi calculates a judgmental management adjustment,

which is an alternative, more adverse scenario that only

considers downside risk.

Accounting for Variable Post-Charge-Off Third-Party

Collection Costs

During the second quarter of 2020 Citi changed its accounting

for variable post-charge-off third-party collection costs,

whereby these costs were accounted for as an increase in

expenses as incurred rather than a reduction in expected credit

recoveries. Citi concluded that such a change in the method of

accounting is preferable in Citi’s circumstances as it better

reflects the nature of these collection costs. That is, these costs

do not represent reduced payments from borrowers and are

similar to Citi’s other executory third-party vendor contracts

that are accounted for as operating expenses as incurred. As a

result of this change, Citi had a consumer ACL release of

$426 million in the second quarter of 2020 for its U.S. cards

portfolios and $122 million in the third quarter of 2020 for its

international portfolios.

In the fourth quarter of 2020, Citi revised the second

quarter of 2020 accounting conclusion from a “change in

accounting estimate effected by a change in accounting

principle” to a “change in accounting principle,” which

requires an adjustment to opening retained earnings rather than

net income, with retrospective application to the earliest

period presented. Citi considered the guidance in ASC Topic

250, Accounting Changes and Error Corrections; ASC Topic

270, Interim Reporting; ASC Topic 250-S99-1, Assessing

Materiality; and ASC Topic 250-S99-23, Accounting Changes

Not Retroactively Applied Due to Immateriality, Considering

the Effects of Prior Year Misstatements when Quantifying

Misstatements in Current Year Financial Statements. Citi

believes that the effects of the revisions were not material to

any previously reported quarterly or annual period. As a result,

Citi’s full-year and quarterly results have been revised to

reflect this change as if it were effective as of January 1, 2020

(impacts to 2018 and 2019 were de minimis). Accordingly,

Citi recorded an increase to its beginning retained earnings on

January 1, 2020 of $330 million and a decrease of

$443 million to its ACL. Further, Citi recorded a decrease of

$18 million to its provisions for credit losses on loans in the

156

first quarter of 2020 and an increase of $339 million and

$122 million to its provisions for credit losses on loans in the

second and third quarters of 2020, respectively. In addition,

Citi`s operating expenses increased by $49 million and

$45 million, with a corresponding decrease in net credit losses,

in the first and second quarters of 2020, respectively. As a

result of these changes, Citi’s net income for the year ended

December 31, 2020 was $330 million lower, or $0.16 per

share lower, than under the previous presentation as a change

in accounting estimate.

Reference Rate Reform

In March 2020, the FASB issued ASU No. 2020-04,

Reference Rate Reform (Topic 848): Facilitation of the Effects

of Reference Rate Reform on Financial Reporting, which

provides optional guidance to ease the potential burden in

accounting for (or recognizing the effects of) reference rate

reform on financial reporting. Specifically, the guidance

permits an entity, when certain criteria are met, to consider

amendments to contracts made to comply with reference rate

reform to meet the definition of a modification under U.S.

GAAP. It further allows hedge accounting to be maintained

and permits a one-time transfer or sale of qualifying held-to-

maturity securities. The expedients and exceptions provided

by the amendments are permitted to be adopted any time

through December 31, 2022 and do not apply to contract

modifications made and hedging relationships entered into or

evaluated after December 31, 2022, except for certain optional

expedients elected for certain hedging relationships existing as

of December 31, 2022. The ASU was adopted by Citi as of

June 30, 2020 with prospective application and did not impact

financial results in 2020.

In January 2021, the FASB issued ASU No. 2021-01,

Reference Rate Reform (Topic 848): Scope, which clarifies

that the scope of the initial accounting relief issued by the

FASB in March 2020 includes derivative instruments that do

not reference a rate that is expected to be discontinued but that

use an interest rate for margining, discounting, or contract

price alignment that is modified as a result of reference rate

reform (commonly referred to as the "discounting transition").

The amendments do not apply to contract modifications made

after December 31, 2022, new hedging relationships entered

into after December 31, 2022, and existing hedging

relationships evaluated for effectiveness in periods after

December 31, 2022, except for hedging relationships existing

as of December 31, 2022, that apply certain optional

expedients in which the accounting effects are recorded

through the end of the hedging relationship. The ASU was

adopted by Citi on a full retrospective basis upon issuance and

did not impact financial results in 2020.

Lease Accounting

In February 2016, the FASB issued ASU No. 2016-02, Leases

(Topic 842), which increases the transparency and

comparability of accounting for lease transactions. The ASU

requires lessees to recognize liabilities for operating leases and

corresponding right-of-use (ROU) assets on the balance sheet.

The ASU also requires quantitative and qualitative disclosures

regarding key information about leasing arrangements. Lessee

accounting for finance leases, as well as lessor accounting, is

largely unchanged.

Effective January 1, 2019, Citi prospectively adopted the

provisions of the ASU. At adoption, Citi recognized a lease

liability and a corresponding ROU asset of approximately

$4.4 billion on the Consolidated Balance Sheet related to its

future lease payments as a lessee under operating leases. In

addition, Citi recorded a $151 million increase in Retained

earnings for the cumulative effect of recognizing previously

deferred gains on sale/leaseback transactions. Adoption of the

ASU did not have a material impact on the Consolidated

Statement of Income. See Notes 14 and 26 for additional

details.

Citi has elected not to separate lease and non-lease

components in its lease contracts and accounts for them as a

single lease component. Citi has also elected not to record an

ROU asset for short-term leases that have a term of 12 months

or less and do not contain purchase options that Citi is

reasonably certain to exercise. The cost of short-term leases is

recognized in the Consolidated Statement of Income on a

straight-line basis over the lease term. In addition, Citi applies

the portfolio approach to account for certain equipment leases

with nearly identical contractual terms.

Lessee accounting

Operating lease ROU assets and lease liabilities are included

in Other assets and Other liabilities, respectively, on the

Consolidated Balance Sheet. Finance lease assets and

liabilities are included in Other assets and Long-term debt,

respectively, on the Consolidated Balance Sheet. Citi uses its

incremental borrowing rate, factoring in the lease term, to

determine the lease liability, which is measured at the present

value of future lease payments. The ROU asset is initially

measured at the amount of the lease liability plus any prepaid

rent and remaining initial direct costs, less any remaining lease

incentives and accrued rent. The ROU asset is subject to

impairment, during the lease term, in a manner consistent with

the impairment of long-lived assets. The lease terms include

periods covered by options to extend or terminate the lease

depending on whether Citi is reasonably certain to exercise

such options.

Lessor accounting

Lessor accounting is largely unchanged under the ASU. Citi

acts as a lessor for power, railcar, shipping and aircraft assets,

where Citi has executed operating, direct financing and

leveraged leasing arrangements. In a direct financing or a

leveraged lease, Citi derecognizes the leased asset and records

a lease financing receivable at lease commencement in Loans.

Upon lease termination, Citi may obtain control of the asset,

which is then recorded in Other assets on the Consolidated

Balance Sheet and any remaining receivable for the asset’s

residual value is derecognized. Under the ASU, leveraged

lease accounting is grandfathered and may continue to be

applied until the leveraged lease is terminated or modified.

Upon modification, the lease must be classified as an

operating, direct finance or sales-type lease in accordance with

the ASU.

157

Separately, as part of managing its real estate footprint,

Citi subleases excess real estate space via operating lease

arrangements.

SEC Staff Accounting Bulletin 118

On December 22, 2017, the SEC issued Staff Accounting

Bulletin (SAB) 118, which set forth the accounting for the

changes in tax law caused by the enactment of the Tax Cuts

and Jobs Act (Tax Reform). SAB 118 provided guidance

where the accounting under ASC 740 was incomplete for

certain income tax effects of Tax Reform, at the time of the

issuance of an entity’s financial statements for the period in

which Tax Reform was enacted (provisional items). Citi

disclosed several provisional items recorded as part of its

$22.6 billion fourth quarter 2017 charge related to Tax

Reform.

Citi completed its accounting for Tax Reform under SAB

118 during the fourth quarter of 2018 and recorded a one-time,

non-cash tax benefit of $94 million in Corporate/Other related

to amounts that were considered provisional pursuant to SAB

118. The adjustments for the provisional amounts consisted of

a $1.2 billion benefit relating to a reduction of the valuation

allowance against Citi’s FTC carry-forwards and its U.S.

residual DTAs related to its non-U.S. branches, offset by

additional charges of $0.2 billion related to the impact of a

change to a “quasi-territorial tax system” and $0.9 billion

related to the impact of deemed repatriation of undistributed

earnings of non-U.S. subsidiaries.

Also, Citi has made a policy election to account for taxes

on Global Intangible Low Taxed Income (GILTI) as incurred.

Revenue Recognition

In May 2014, the FASB issued ASU No. 2014-09, Revenue

from Contracts with Customers (Revenue Recognition), which

outlines a single comprehensive model for entities to use in

accounting for revenue arising from contracts with customers.

The core principle of the revenue model is that an entity

recognizes revenue to depict the transfer of promised goods or

services to customers in an amount that reflects the

consideration to which the entity expects to be entitled, in

exchange for those goods or services. The ASU defines the

promised good or service as the performance obligation under

the contract.

While the guidance replaces most existing revenue

recognition guidance in GAAP, the ASU is not applicable to

financial instruments and, therefore, does not impact a

majority of Citi’s revenues, including net interest income, loan

fees, gains on sales and mark-to-market accounting.

In accordance with the new revenue recognition standard,

Citi has identified the specific performance obligation

(promised services) associated with the contract with the

customer and has determined when that specific performance

obligation has been satisfied, which may be at a point in time

or over time depending on how the performance obligation is

defined. The contracts with customers also contain the

transaction price, which consists of fixed consideration and/or

consideration that may vary (variable consideration), and is

defined as the amount of consideration an entity expects to be

entitled to when or as the performance obligation is satisfied,

excluding amounts collected on behalf of third parties

(including transaction taxes). The amounts recognized at the

point in time the performance obligation is satisfied may differ

from the ultimate transaction price associated with that

performance obligation when a portion of it is based on

variable consideration. For example, some consideration is

based on the client’s month-end balance or market values,

which are unknown at the time the contract is executed. The

remaining transaction price amount, if any, will be recognized

as the variable consideration becomes determinable. In certain

transactions, the performance obligation is considered satisfied

at a point in time in the future. In this instance, Citi defers

revenue on the balance sheet that will only be recognized upon

completion of the performance obligation.

The new revenue recognition standard further clarified the

guidance related to reporting revenue gross as principal versus

net as an agent. In many cases, Citi outsources a component of

its performance obligations to third parties. Citi has

determined that it acts as principal in the majority of these

transactions and therefore presents the amounts paid to these

third parties gross within operating expenses.

The Company has retrospectively adopted this standard as

of January 1, 2018 and as a result was required to report

amounts paid to third parties where Citi is principal to the

contract within Operating expenses. The adoption resulted in

an increase in both revenue and expenses of approximately $1

billion for each of the years ended December 31, 2020 and

2018 with similar amounts for prior years. Prior to adoption,

these expense amounts were reported as contra revenue

primarily within Commissions and fees and Administration

and other fiduciary fees revenues. Accordingly, prior periods

have been reclassified to conform to the new presentation.

See Note 5 to the Consolidated Financial Statements for a

description of the Company’s revenue recognition policies for

Commissions and fees and Administration and other fiduciary

fees.

Income Tax Impact of Intra-Entity Transfers of Assets

In October 2016, the FASB issued ASU No. 2016-16, Income

Taxes—Intra-Entity Transfers of Assets Other Than Inventory,

which requires an entity to recognize the income tax

consequences of an intra-entity transfer of an asset other than

inventory when the transfer occurs. The ASU was effective

January 1, 2018 and was adopted as of that date. The impact of

this standard was an increase of DTAs by approximately $300

million, a decrease of Retained earnings by approximately $80

million and a decrease of prepaid tax assets by approximately

$380 million.

Clarifying the Definition of a Business

In January 2017, the FASB issued ASU No. 2017-01,

Business Combinations (Topic 805): Clarifying the Definition

of a Business. The definition of a business directly and

indirectly affects many areas of accounting (e.g., acquisitions,

disposals, goodwill and consolidation). The ASU narrows the

definition of a business by introducing a quantitative screen as

the first step, such that if substantially all of the fair value of

the gross assets acquired is concentrated in a single

identifiable asset or a group of similar identifiable assets, then

the set of transferred assets and activities is not a business. If

the set is not clarified from the quantitative screen, the entity

158

then evaluates whether the set meets the requirement that a

business include, at a minimum, an input and a substantive

process that together significantly contribute to the ability to

create outputs.

Citi adopted the ASU upon its effective date on January 1,

2018, prospectively. The ongoing impact of the ASU will

depend upon the acquisition and disposal activities of Citi. If

fewer transactions qualify as a business, there could be less

initial recognition of Goodwill, but also less goodwill

allocated to disposals. There was no impact during 2018 from

the adoption of this ASU.

Changes in Accounting for Pension and Postretirement

(Benefit) Expense

In March 2017, the FASB issued ASU No. 2017-07,

Compensation—Retirement Benefits (Topic 715): Improving

the Presentation of Net Periodic Pension Cost and Net

Periodic Postretirement Benefit Cost, which changes the

income statement presentation of net benefit expense and

requires restating the Company’s financial statements for each

of the earlier periods presented in Citi’s annual and interim

financial statements. The change in presentation was effective

for annual and interim periods starting January 1, 2018. The

ASU requires that only the service cost component of net

benefit expense be included in Compensation and benefits on

the income statement. The other components of net benefit

expense are required to be presented outside of Compensation

and benefits and are presented in Other operating

expenses. Since both of these income statement line items are

part of Operating expenses, total Operating expenses and Net

income will not change. This change in presentation did not

have a material effect on Compensation and benefits and

Other operating expenses and was applied prospectively. The

components of the net benefit expense are disclosed in Note 8

to the Consolidated Financial Statements.

The standard also changes the components of net benefit

expense that are eligible for capitalization when employee

costs are capitalized in connection with various activities, such

as internally developed software, construction-in-progress and

loan origination costs. Prospectively from January 1, 2018,

only the service cost component of net benefit expense may be

capitalized. Existing capitalized balances are not affected. This

change in amounts eligible for capitalization does not have a

material effect on the Company’s Consolidated Financial

Statements and related disclosures.

Hedging

In August 2017, the FASB issued ASU No. 2017-12, Targeted

Improvements to Accounting for Hedging Activities, which

better aligns an entity’s risk management activities and

financial reporting for hedging relationships through changes

to the designation and measurement guidance for qualifying

hedging relationships and the presentation of hedge results.

The ASU requires the change in the fair value of the hedging

instrument to be presented in the same income statement line

as the hedged item and also requires expanded disclosures.

Citi adopted this standard on January 1, 2018 and transferred

approximately $4 billion of prepayable mortgage-backed

securities and municipal bonds from held-to-maturity (HTM)

into available-for-sale (AFS) securities classification as

permitted as a one-time transfer upon adoption of the standard,

as these assets were deemed to be eligible to be hedged under

the last-of-layer hedge strategy. The impact to opening

Retained earnings was immaterial. See Note 19 to the

Consolidated Financial Statements for more information.

FUTURE ACCOUNTING CHANGES

Long-Duration Insurance Contracts

In August 2018, the FASB issued ASU No. 2018-12,

Financial Services—Insurance: Targeted Improvements to the

Accounting for Long-Duration Contracts, which changes the

existing recognition, measurement, presentation and

disclosures for long-duration contracts issued by an insurance

entity. Specifically, the guidance (i) improves the timeliness of

recognizing changes in the liability for future policy benefits

and prescribes the rate used to discount future cash flows for

long-duration insurance contracts, (ii) simplifies and improves

the accounting for certain market-based options or guarantees

associated with deposit (or account balance) contracts, (iii)

simplifies the amortization of deferred acquisition costs and

(iv) introduces additional quantitative and qualitative

disclosures. Citi has certain insurance subsidiaries, primarily

in the U.S. and Mexico, that issue long-duration insurance

contracts that will be impacted by the requirements of ASU

2018-12.

The effective date of ASU No. 2018-12 was deferred for

all insurance entities by ASU No. 2019-09, Finance Services

—Insurance: Effective Date (issued in October 2019) and by

ASU No. 2020-11, Financial Services—Insurance: Effective

Date and Early Application (issued November 2020). Citi

plans to adopt the targeted improvements in ASU 2018-12 on

January 1, 2023 and is currently evaluating the impact of the

standard on its insurance subsidiaries. Citi does not expect a

material impact to its results of operations as a result of

adopting the standard.

SUPERSEDED ACCOUNTING PRINCIPLES

Accounting for Credit Losses

Prior to January 1, 2020, Citi applied the incurred loss method

for the allowance for credit losses on loans and the other-than-

temporary impairment (OTTI) method for HTM securities as

follows.

Allowance for Credit Losses

The allowance for credit losses on loans represents

management’s best estimate of probable credit losses inherent

in the portfolio, including probable losses related to large

individually evaluated impaired loans and troubled debt

restructurings. Additions to the allowance are made through

the Provision for credit losses on loans. Loan losses are

deducted from the allowance and subsequent recoveries are

added. Assets received in exchange for loan claims in a

restructuring are initially recorded at fair value, with any gain

or loss reflected as a recovery or charge-off in the provision.

159

Evaluating HTM Debt Securities for Other-Than-

Temporary Impairment (OTTI)

The Company conducts periodic reviews of all HTM debt

securities with unrealized losses to evaluate whether the

impairment is other-than-temporary.

An unrealized loss exists when the current fair value of an

individual debt security is lower than its adjusted amortized

cost basis. Temporary losses related to HTM debt securities

generally are not recorded, as these investments are carried at

adjusted amortized cost basis. However, for HTM debt

securities with credit-related impairment, the credit loss is

recognized in earnings as OTTI, and any difference between

the cost basis adjusted for the OTTI and fair value is

recognized in AOCI and amortized as an adjustment of yield

over the remaining contractual life of the security.

160

2. DISCONTINUED OPERATIONS AND

SIGNIFICANT DISPOSALS

Summary of Discontinued Operations

The Company’s results from Discontinued operations

consisted of residual activities related to the sales of the Egg

Banking plc credit card business in 2011 and the German retail

banking business in 2008. All Discontinued operations results

are recorded within Corporate/Other.

The following table summarizes financial information for

all Discontinued operations:

In millions of dollars

2020 2019 2018

Total revenues, net of interest expense $ — $ — $ —

Loss from discontinued operations $ (20) $ (31) $ (26)

Benefit for income taxes — (27) (18)

Loss from discontinued operations, net

of taxes $ (20) $ (4) $ (8)

Cash flows from Discontinued operations were not

material for all periods presented.

Significant Disposals

There were no significant disposals during 2020 and 2019.

The transaction described below was identified as a significant

disposal in 2018.

Sale of Mexico Asset Management Business

On September 21, 2018, Citi completed the sale of its Mexico

asset management business, which was part of Latin America

GCB. As part of the sale, Citi derecognized total assets of

$137 million and total liabilities of $41 million. The

transaction resulted in a pretax gain on sale of approximately

$250 million (approximately $150 million after-tax) recorded

in Other revenue in 2018. Further, Citi and the buyer entered

into a 10-year services framework agreement, with Citi acting

as the distributor in exchange for an ongoing fee.

Income before taxes for the divested business, excluding

the pretax gain on sale, was as follows:

In millions of dollars

2020 2019 2018

Income before taxes $ — $ — $ 123

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3. BUSINESS SEGMENTS

Citigroup’s activities are conducted through the following

business segments: Global Consumer Banking (GCB)

and Institutional Clients Group (ICG). In addition, Corporate/

Other includes activities not assigned to a specific business

segment, as well as certain North America legacy loan

portfolios, discontinued operations and other legacy assets.

The business segments are determined based on products

and services provided or type of customers served, of which

those identified as non-core are recorded in Corporate/Other

and are reflective of how management allocates resources and

measures financial performance to make business decisions.

GCB includes a global, full-service consumer franchise

delivering a wide array of banking, credit card, lending and

investment services through a network of local branches,

offices and electronic delivery systems and consists of three

GCB businesses: North America, Latin America and Asia

(including consumer banking activities in certain EMEA

countries).

ICG consists of Banking and Markets and securities

services and provides corporate, institutional, public sector

and high-net-worth clients in 96 countries and jurisdictions

with a broad range of banking and financial products and

services.

Corporate/Other includes certain unallocated costs of

global functions, other corporate expenses and net treasury

results, offsets to certain line-item reclassifications and

eliminations, the results of certain North America legacy loan

portfolios, discontinued operations and unallocated taxes.

The accounting policies of these reportable segments are

the same as those disclosed in Note 1 to the Consolidated

Financial Statements.

The following table presents certain information

regarding the Company’s continuing operations by reportable

segment:

Revenues,

net of interest expense

(1)

Provision (benefits)

for income taxes

Income (loss) from

continuing operations

(2)

Identifiable assets

In millions of dollars, except

identifiable assets in billions

2020 2019 2018 2020 2019 2018 2020 2019 2018 2020 2019

Global Consumer Banking $ 29,991 $ 32,971 $ 32,339 $ 212 $ 1,746 $ 1,689 $ 874 $ 5,702 $ 5,309 $ 434 $ 407

Institutional Clients Group 44,253 39,301 38,325 3,373 3,570 3,756 11,798 12,944 12,574 1,730 1,447

Corporate/Other 54 2,014 2,190 (1,060) (886) (88) (1,565) 825 205 96 97

Total $ 74,298 $ 74,286 $ 72,854 $ 2,525 $ 4,430 $ 5,357 $ 11,107 $ 19,471 $ 18,088 $ 2,260 $ 1,951

(1) Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $36.3 billion, $33.9 billion and $33.4 billion; in EMEA of $12.8

billion, $12.0 billion and $11.8 billion; in Latin America of $9.2 billion, $10.4 billion and $10.3 billion; and in Asia of $15.9 billion, $16.0 billion and $15.3

billion in 2020, 2019 and 2018, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S.

(2) Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $11.7 billion, $7.9 billion and $7.6 billion; in the ICG results of $5.6

billion, $0.6 billion and $0.2 billion; and in the Corporate/Other results of $0.2 billion, $(0.1) billion and $(0.2) billion in 2020, 2019 and 2018, respectively.

162

4. INTEREST REVENUE AND EXPENSE

Interest revenue and Interest expense consisted of the following:

In millions of dollars

2020 2019 2018

Interest revenue

Loan interest, including fees $ 40,185 $ 47,751 $ 45,682

Deposits with banks 928 2,682 2,203

Securities borrowed and purchased under agreements to resell 2,283 6,872 5,492

Investments, including dividends 7,989 9,860 9,494

Trading account assets

(1)

6,125 7,672 6,284

Other interest-bearing assets 579 1,673 1,673

Total interest revenue $ 58,089 $ 76,510 $ 70,828

Interest expense

Deposits

(2)

$ 6,537 $ 12,633 $ 9,616

Securities loaned and sold under agreements to repurchase 2,077 6,263 4,889

Trading account liabilities

(1)

628 1,308 1,001

Short-term borrowings and other interest-bearing liabilities 630 2,465 2,209

Long-term debt 4,669 6,494 6,551

Total interest expense $ 14,541 $ 29,163 $ 24,266

Net interest revenue $ 43,548 $ 47,347 $ 46,562

Provision for credit losses on loans 15,922 8,218 7,354

Net interest revenue after provision for credit losses on loans $ 27,626 $ 39,129 $ 39,208

(1) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral

positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(2) Includes deposit insurance fees and charges of $1,203 million, $781 million and $1,182 million for 2020, 2019 and 2018, respectively.

163

5. COMMISSIONS AND FEES; ADMINISTRATION

AND OTHER FIDUCIARY FEES

Commissions and Fees

The primary components of Commissions and fees revenue are

investment banking fees, brokerage commissions, credit card

and bank card income and deposit-related fees.

Investment banking fees are substantially composed of

underwriting and advisory revenues. Such fees are recognized

at the point in time when Citigroup’s performance under the

terms of a contractual arrangement is completed, which is

typically at the closing of a transaction. Reimbursed expenses

related to these transactions are recorded as revenue and are

included within investment banking fees. In certain instances

for advisory contracts, Citi will receive amounts in advance of

the deal’s closing. In these instances, the amounts received

will be recognized as a liability and not recognized in revenue

until the transaction closes. For the periods presented, the

contract liability amount was negligible.

Out-of-pocket expenses associated with underwriting

activity are deferred and recognized at the time the related

revenue is recognized, while out-of-pocket expenses

associated with advisory arrangements are expensed as

incurred. In general, expenses incurred related to investment

banking transactions, whether consummated or not, are

recorded in Other operating expenses. The Company has

determined that it acts as principal in the majority of these

transactions and therefore presents expenses gross within

Other operating expenses.

Brokerage commissions primarily include commissions

and fees from the following: executing transactions for clients

on exchanges and over-the-counter markets; sales of mutual

funds and other annuity products; and assisting clients in

clearing transactions, providing brokerage services and other

such activities. Brokerage commissions are recognized in

Commissions and fees at the point in time the associated

service is fulfilled, generally on the trade execution date.

Gains or losses, if any, on these transactions are included in

Principal transactions (see Note 6 to the Consolidated

Financial Statements). Sales of certain investment products

include a portion of variable consideration associated with the

underlying product. In these instances, a portion of the

revenue associated with the sale of the product is not

recognized until the variable consideration becomes fixed. The

Company recognized $495 million, $485 million and $521

million of revenue related to such variable consideration for

the years ended December 31, 2020, 2019 and 2018,

respectively. These amounts primarily relate to performance

obligations satisfied in prior periods.

Credit card and bank card income is primarily composed

of interchange fees, which are earned by card issuers based on

purchase sales, and certain card fees, including annual fees.

Costs related to customer reward programs and certain

payments to partners (primarily based on program sales,

profitability and customer acquisitions) are recorded as a

reduction of credit card and bank card income. Citi’s credit

card programs have certain partner sharing agreements that

vary by partner. These partner sharing agreements are subject

to contractually based performance thresholds that if met,

would require Citi to make ongoing payments to the partner.

The threshold is based on the profitability of a program and is

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, it would generally result in lower payments to

partners in total for that year and vice versa. Further, in some

instances, other partner payments are based on program sales

and new account acquisitions.Interchange revenues are

recognized as earned on a daily basis when Citi’s performance

obligation to transmit funds to the payment networks has been

satisfied. Annual card fees, net of origination costs, are

deferred and amortized on a straight-line basis over a 12-

month period. Costs related to card reward programs are

recognized when the rewards are earned by the cardholders.

Payments to partners are recognized when incurred.

Deposit-related fees consist of service charges on deposit

accounts and fees earned from performing cash management

activities and other deposit account services. Such fees are

recognized in the period in which the related service is

provided.

Transactional service fees primarily consist of fees

charged for processing services such as cash management,

global payments, clearing, international funds transfer and

other trade services. Such fees are recognized as/when the

associated service is satisfied, which normally occurs at the

point in time the service is requested by the customer and

provided by Citi.

Insurance distribution revenue consists of commissions

earned from third-party insurance companies for marketing

and selling insurance policies on behalf of such entities. Such

commissions are recognized in Commissions and fees at the

point in time the associated service is fulfilled, generally when

the insurance policy is sold to the policyholder. Sales of

certain insurance products include a portion of variable

consideration associated with the underlying product. In these

instances, a portion of the revenue associated with the sale of

the policy is not recognized until the variable consideration

becomes determinable. The Company recognized

$290 million, $322 million and $386 million of revenue

related to such variable consideration for the years ended

December 31, 2020, 2019 and 2018, respectively. These

amounts primarily relate to performance obligations satisfied

in prior periods.

Insurance premiums consist of premium income from

insurance policies that Citi has underwritten and sold to

policyholders.

164

The following table presents Commissions and fees revenue:

2020 2019 2018

In millions of dollars

ICG GCB

Corp/

Other Total ICG GCB

Corp/

Other Total ICG GCB

Corp/

Other Total

Investment banking $ 4,483 $ — $ — $ 4,483 $ 3,767 $ — $ — $ 3,767 $ 3,568 $ — $ — $ 3,568

Brokerage commissions 1,986 974 — 2,960 1,771 841 — 2,612 1,977 815 — 2,792

Credit card and bank card

income

Interchange fees 703 7,301 — 8,004 1,222 8,621 — 9,843 1,077 8,112 11 9,200

Card-related loan fees 23 626 — 649 60 718 — 778 63 627 12 702

Card rewards and partner

payments (380) (8,293) — (8,673) (691) (8,883) — (9,574) (504) (8,253) (12) (8,769)

Deposit-related fees

(1)

958 376 — 1,334 1,048 470 — 1,518 1,031 572 1 1,604

Transactional service fees 886 88 — 974 824 123 — 947 733 83 4 820

Corporate finance

(2)

457 — — 457 616 — — 616 734 — — 734

Insurance distribution

revenue 11 492 — 503 12 524 — 536 14 565 11 590

Insurance premiums — 125 — 125 — 186 — 186 — 119 — 119

Loan servicing 82 30 25 137 78 55 21 154 100 91 37 228

Other 118 310 4 432 99 261 3 363 116 139 14 269

Total commissions and

fees

(3)

$ 9,327 $ 2,029 $ 29 $ 11,385 $ 8,806 $ 2,916 $ 24 $ 11,746 $ 8,909 $ 2,870 $ 78 $ 11,857

(1) Includes overdraft fees of $100 million, $127 million and $128 million for the years ended December 31, 2020, 2019 and 2018, respectively. Overdraft fees are

accounted for under ASC 310.

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

(3) Commissions and fees includes $(7,160) million, $(7,695) million and $(6,853) million not accounted for under ASC 606, Revenue from Contracts with

Customers, for the years ended December 31, 2020, 2019 and 2018, 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.

165

Administration and Other Fiduciary Fees

Administration and other fiduciary fees revenue is primarily

composed of custody fees and fiduciary fees.

The custody product is composed of numerous services

related to the administration, safekeeping and reporting for

both U.S. and non-U.S. denominated securities. The services

offered to clients include trade settlement, safekeeping,

income collection, corporate action notification, record-

keeping and reporting, tax reporting and cash management.

These services are provided for a wide range of securities,

including but not limited to equities, municipal and corporate

bonds, mortgage- and asset-backed securities, money market

instruments, U.S. Treasuries and agencies, derivative

instruments, mutual funds, alternative investments and

precious metals. Custody fees are recognized as or when the

associated promised service is satisfied, which normally

occurs at the point in time the service is requested by the

customer and provided by Citi.

Fiduciary fees consist of trust services and investment

management services. As an escrow agent, Citi receives, safe-

keeps, services and manages clients’ escrowed assets, such as

cash, securities, property (including intellectual property),

contracts or other collateral. Citi performs its escrow agent

duties by safekeeping the funds during the specified time

period agreed upon by all parties and therefore earns its

revenue evenly during the contract duration.

Investment management services consist of managing

assets on behalf of Citi’s retail and institutional clients.

Revenue from these services primarily consists of asset-based

fees for advisory accounts, which are based on the market

value of the client’s assets and recognized monthly, when the

market value is fixed. In some instances, the Company

contracts with third-party advisors and with third-party

custodians. The Company has determined that it acts as

principal in the majority of these transactions and therefore

presents the amounts paid to third parties gross within Other

operating expenses.

The following table presents Administration and other

fiduciary fees revenue:

2020 2019 2018

In millions of dollars

ICG GCB

Corp/

Other Total ICG GCB

Corp/

Other Total ICG GCB

Corp/

Other Total

Custody fees $ 1,590 $ 29 $ 38 $ 1,657 $ 1,453 $ 16 $ 73 $ 1,542 $ 1,497 $ 133 $ 65 $ 1,695

Fiduciary fees 668 602 4 1,274 647 621 28 1,296 645 597 43 1,285

Guarantee fees 529 7 5 541 558 8 7 573 584 9 7 600

Total administration and other

fiduciary fees

(1)

$ 2,787 $ 638 $ 47 $ 3,472 $ 2,658 $ 645 $ 108 $ 3,411 $ 2,726 $ 739 $ 115 $ 3,580

(1) Administration and other fiduciary fees includes $541 million, $573 million and $600 million for the years ended December 31, 2020, 2019 and 2018,

respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.

166

6. PRINCIPAL TRANSACTIONS

Principal transactions revenue consists of realized and

unrealized gains and losses from trading activities. Trading

activities include revenues from fixed income, equities, credit

and commodities products and foreign exchange transactions

that are managed on a portfolio basis and characterized below

based on the primary risk managed by each trading desk. Not

included in the table below is the impact of net interest

revenue related to trading activities, which is an integral part

of trading activities’ profitability. See Note 4 to the

Consolidated Financial Statements for information about net

interest revenue related to trading activities. Principal

transactions include CVA (credit valuation adjustments) and

FVA (funding valuation adjustments) on over-the-counter

derivatives, and gains (losses) on certain economic hedges on

loans in ICG. These adjustments are discussed further in Note

24 to the Consolidated Financial Statements.

In certain transactions, Citi incurs fees and presents these

fees paid to third parties in operating expenses.

The following table presents Principal transactions

revenue:

In millions of dollars

2020 2019 2018

Interest rate risks

(1)

$ 5,561 $ 3,831 $ 2,889

Foreign exchange risks

(2)

4,158 3,850 3,772

Equity risks

(3)

1,343 808 1,221

Commodity and other risks

(4)

1,133 546 668

Credit products and risks

(5)

1,690 (143) 355

Total $ 13,885 $ 8,892 $ 8,905

(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.

167

7. INCENTIVE PLANS

Discretionary Annual Incentive Awards

Citigroup grants immediate cash bonus payments and various

forms of immediate and deferred awards as part of its

discretionary annual incentive award program involving a

large segment of Citigroup’s employees worldwide. Most of

the shares of common stock issued by Citigroup as part of its

equity compensation programs are issued to settle the vesting

of the stock components of these awards.

Discretionary annual incentive awards are generally

awarded in the first quarter of the year based on the previous

year’s performance. Awards valued at less than U.S. $100,000

(or the local currency equivalent) are generally paid entirely in

the form of an immediate cash bonus. Pursuant to Citigroup

policy and/or regulatory requirements, certain employees are

subject to mandatory deferrals of incentive pay and generally

receive 25%–60% of their awards in a combination of

restricted or deferred stock, deferred cash stock units or

deferred cash. Discretionary annual incentive awards to many

employees in the EU are subject to deferral requirements

regardless of the total award value, with at least 50% of the

immediate incentive delivered in the form of a stock payment

award subject to a restriction on sale or transfer (generally, for

12 months).

Deferred annual incentive awards may be delivered in the

form of one or more award types: a restricted or deferred stock

award under Citi’s Capital Accumulation Program (CAP), or a

deferred cash stock unit award and/or a deferred cash award

under Citi’s Deferred Cash Award Plan. The applicable mix of

awards may vary based on the employee’s minimum deferral

requirement and the country of employment.

Subject to certain exceptions (principally, for retirement-

eligible employees), continuous employment within Citigroup

is required to vest in CAP, deferred cash stock unit and

deferred cash awards. Post employment vesting by retirement-

eligible employees and participants who meet other conditions

is generally conditioned upon their refraining from

competition with Citigroup during the remaining vesting

period, unless the employment relationship has been

terminated by Citigroup under certain conditions.

Generally, the deferred awards vest in equal annual

installments over three- or four-year periods. Vested CAP

awards are delivered in shares of common stock. Deferred

cash awards are payable in cash and, except as prohibited by

applicable regulatory guidance, earn a fixed notional rate of

interest that is paid only if and when the underlying principal

award amount vests. Deferred cash stock unit awards are

payable in cash at the vesting value of the underlying stock.

Generally, in the EU, vested CAP shares are subject to a

restriction on sale or transfer after vesting, and vested deferred

cash awards and deferred cash stock units are subject to hold

back (generally, for 6 or 12 months based on the award type).

Unvested CAP, deferred cash stock units and deferred

cash awards are subject to one or more clawback provisions

that apply in certain circumstances, including gross

misconduct. CAP and deferred cash stock unit awards, made

to certain employees, are subject to a formulaic performance-

based vesting condition pursuant to which amounts otherwise

scheduled to vest will be reduced based on the amount of any

pretax loss in the participant’s business in the calendar year

preceding the scheduled vesting date. A minimum reduction of

20% applies for the first dollar of loss for CAP and deferred

cash stock unit awards.

In addition, deferred cash awards are subject to a

discretionary performance-based vesting condition under

which an amount otherwise scheduled to vest may be reduced

in the event of a “material adverse outcome” for which a

participant has “significant responsibility.” These awards are

also subject to an additional clawback provision pursuant to

which unvested awards may be canceled if the employee

engaged in misconduct or exercised materially imprudent

judgment, or failed to supervise or escalate the behavior of

other employees who did.

Sign-on and Long-Term Retention Awards

Stock awards and deferred cash awards may be made at

various times during the year as sign-on awards to induce new

hires to join Citi or to high-potential employees as long-term

retention awards.

Vesting periods and other terms and conditions pertaining

to these awards tend to vary by grant. Generally, recipients

must remain employed through the vesting dates to vest in the

awards, except in cases of death, disability or involuntary

termination other than for gross misconduct. These awards do

not usually provide for post employment vesting by

retirement-eligible participants.

Outstanding (Unvested) Stock Awards

A summary of the status of unvested stock awards granted as

discretionary annual incentive or sign-on and long-term

retention awards is presented below:

Unvested stock awards Shares

Weighted-

average grant

date fair

value per share

Unvested at December 31, 2019 30,194,715 $ 61.30

Granted

(1)

12,361,412 76.68

Canceled (606,918) 69.22

Vested

(2)

(13,722,917) 58.45

Unvested at December 31, 2020 28,226,292 $ 69.25

(1) The weighted-average fair value of the shares granted during 2019 and

2018 was $61.78 and $73.87, respectively.

(2) The weighted-average fair value of the shares vesting during 2020 was

approximately $79.68 per share.

Total unrecognized compensation cost related to unvested

stock awards was $580 million at December 31, 2020. The

cost is expected to be recognized over a weighted-average

period of 1.6 years.

168

Performance Share Units

Certain executive officers were awarded a target number of

performance share units (PSUs) every February from 2017 to

2020, for performance in the year prior to the award date.

The PSUs granted each February from 2017 to 2020 were

earned over the preceding three-year performance period,

based half on return on tangible common equity performance

in the last year of the three-year performance period and the

remaining half on cumulative earnings per share over the

three-year performance period.

For all award years, if the total shareholder return is

negative over the three-year performance period, executives

may earn no more than 100% of the target PSUs, regardless of

the extent to which Citigroup outperforms peer firms. The

number of PSUs ultimately earned could vary from zero, if

performance goals are not met, to as much as 150% of target,

if performance goals are meaningfully exceeded.

For all award years, the value of each PSU is equal to the

value of one share of Citi common stock. Dividend

equivalents will be accrued and paid on the number of earned

PSUs after the end of the performance period.

PSUs are subject to variable accounting, pursuant to

which the associated value of the award will fluctuate with

changes in Citigroup’s stock price and the attainment of the

specified performance goals for each award, until the award is

settled solely in cash after the end of the performance period.

The value of the award, subject to the performance goals, is

estimated using a simulation model that incorporates multiple

valuation assumptions, including the probability of achieving

the specified performance goals of each award. The risk-free

rate used in the model is based on the applicable U.S. Treasury

yield curve. Other significant assumptions for the awards are

as follows:

Valuation assumptions 2020 2019 2018

Expected volatility 22.26 % 25.33 % 24.93 %

Expected dividend yield 2.82 2.67 1.75

A summary of the performance share unit activity for

2020 is presented below:

Performance share units Units

Weighted-

average grant

date fair

value per unit

Outstanding, beginning of

year 1,492,000 $ 71.69

Granted

(1)

440,349 78.06

Canceled — —

Payments (598,546) 59.22

Outstanding, end of year 1,333,803 $ 79.39

(1)

Grant activity for 2020 includes additional units earned on the 2017

grant. The weighted-average grant price for the 2020 grant alone was

$83.45. The weighted-average grant date fair value per unit awarded in

2019 and 2018 was $72.83 and $83.24, respectively.

PSUs granted in 2017 were equitably adjusted after the

enactment of Tax Reform, as required under the terms of those

awards. The adjustments were intended to reproduce the

expected value of the awards immediately prior to the passage

of Tax Reform.

Stock Option Programs

All outstanding stock options are fully vested, with the related

expense recognized as a charge to income in prior periods.

169

The following table presents information with respect to stock option activity under Citigroup’s stock option programs:

2020 2019 2018

Options

Weighted-

average

exercise

price

Intrinsic

value

per share Options

Weighted-

average

exercise

price

Intrinsic

value

per share Options

Weighted-

average

exercise

price

Intrinsic

value

per share

Outstanding, beginning of

year 166,650 $ 47.42 $ 32.47 762,225 $ 101.84 $ — 1,138,813 $ 161.96 $ —

Canceled — — — (11,365) 40.80 — — — —

Expired — — — (449,916) 142.30 — (376,588) 283.63 —

Exercised — — — (134,294) 39.00 23.50 — — —

Outstanding, end of year 166,650 $ 47.42 $ 14.24 166,650 $ 47.42 $ 32.47 762,225 $ 101.84 $ —

Exercisable, end of year 166,650 166,650 762,225

The following table summarizes information about stock options outstanding under Citigroup’s stock option programs at

December 31, 2020:

Options outstanding Options exercisable

Range of exercise prices

Number

outstanding

Weighted-average

contractual life

remaining

Weighted-average

exercise price

Number

exercisable

Weighted-average

exercise price

$41.54–$60.00 166,650 0.4 years $ 47.42 166,650 $ 47.42

Total at December 31, 2020 166,650 0.4 years $ 47.42 166,650 $ 47.42

Other Variable Incentive Compensation

Citigroup has various incentive plans globally that are used to

motivate and reward performance primarily in the areas of

sales, operational excellence and customer satisfaction.

Participation in these plans is generally limited to employees

who are not eligible for discretionary annual incentive awards.

Other forms of variable compensation include monthly

commissions paid to financial advisors and mortgage loan

officers.

Summary

Except for awards subject to variable accounting, the total

expense recognized for stock awards represents the grant date

fair value of such awards, which is generally recognized as a

charge to income ratably over the vesting period, other than

for awards to retirement-eligible employees and immediately

vested awards. Whenever awards are made or are expected to

be made to retirement-eligible employees, the charge to

income is accelerated based on when the applicable conditions

to retirement eligibility were or will be met. If the employee is

retirement eligible on the grant date, or the award is vested at

the grant date, the entire expense is recognized in the year

prior to grant.

Recipients of Citigroup stock awards generally do not

have any stockholder rights until shares are delivered upon

vesting or exercise, or after the expiration of applicable

required holding periods. Recipients of restricted or deferred

stock awards and deferred cash stock unit awards, however,

may, except as prohibited by applicable regulatory guidance,

be entitled to receive or accrue dividends or dividend-

equivalent payments during the vesting period. Recipients of

restricted stock awards generally are entitled to vote the shares

in their award during the vesting period. Once a stock award

vests, the shares delivered to the participant are freely

transferable, unless they are subject to a restriction on sale or

transfer for a specified period.

All equity awards granted since April 19, 2005 have been

made pursuant to stockholder-approved stock incentive plans

that are administered by the Personnel and Compensation

Committee of the Citigroup Board of Directors, which is

composed entirely of independent non-employee directors.

At December 31, 2020, approximately 34.0 million shares

of Citigroup common stock were authorized and available for

grant under Citigroup’s 2019 Stock Incentive Plan, the only

plan from which equity awards are currently granted.

The 2019 Stock Incentive Plan and predecessor plans

permit the use of treasury stock or newly issued shares in

connection with awards granted under the plans. Treasury

shares were used to settle vestings from 2017 to 2020, and for

the first quarter of 2021, except where local laws favor newly

issued shares. The use of treasury stock or newly issued shares

to settle stock awards does not affect the compensation

expense recorded in the Consolidated Statement of Income for

equity awards.

170

Incentive Compensation Cost

The following table shows components of compensation

expense, relating to certain of the incentive compensation

programs described above:

In millions of dollars

2020 2019 2018

Charges for estimated awards to

retirement-eligible colleagues $ 748 $ 683 $ 669

Amortization of deferred cash awards,

deferred cash stock units and

performance stock units 201 355 202

Immediately vested stock award

expense

(1)

95 82 75

Amortization of restricted and

deferred stock awards

(2)

420 404 435

Other variable incentive

compensation 627 666 640

Total $ 2,091 $ 2,190 $ 2,021

(1) Represents expense for immediately vested stock awards that generally

were stock payments in lieu of cash compensation. The expense is

generally accrued as cash incentive compensation in the year prior to

grant.

(2) All periods include amortization expense for all unvested awards to non-

retirement-eligible colleagues.

171

8. RETIREMENT BENEFITS

Pension and Postretirement Plans

The Company has several non-contributory defined benefit

pension plans covering certain U.S. employees and has various

defined benefit pension and termination indemnity plans

covering employees outside the U.S.

The U.S. qualified defined benefit plan was frozen

effective January 1, 2008 for most employees. Accordingly,

no additional compensation-based contributions have been

credited to the cash balance portion of the plan for existing

plan participants after 2007. However, certain employees

covered under the prior final pay plan formula continue to

accrue benefits. The Company also offers postretirement

health care and life insurance benefits to certain eligible U.S.

retired employees, as well as to certain eligible employees

outside the U.S.

The Company also sponsors a number of non-

contributory, nonqualified pension plans. These plans, which

are unfunded, provide supplemental defined pension benefits

to certain U.S. employees. With the exception of certain

employees covered under the prior final pay plan formula, the

benefits under these plans were frozen in prior years.

The plan obligations, plan assets and periodic plan

expense for the Company’s most significant pension and

postretirement benefit plans (Significant Plans) are measured

and disclosed quarterly, instead of annually. The Significant

Plans captured approximately 90% of the Company’s global

pension and postretirement plan obligations as of

December 31, 2020. All other plans (All Other Plans) are

measured annually with a December 31 measurement date.

Net (Benefit) Expense

The following table summarizes the components of net

(benefit) expense recognized in the Consolidated Statement of

Income for the Company’s pension and postretirement plans

for Significant Plans and All Other Plans:

Pension plans Postretirement benefit plans

U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans

In millions of dollars

2020 2019 2018 2020 2019 2018 2020 2019 2018 2020 2019 2018

Benefits earned during the year $ — $ 1 $ 1 $ 147 $ 146 $ 146 $ — $ — $ — $ 7 $ 8 $ 9

Interest cost on benefit obligation 378 469 514 246 287 292 17 24 26 93 104 102

Expected return on assets (824) (821) (844) (245) (281) (291) (17) (18) (14) (77) (84) (88)

Amortization of unrecognized:

Prior service cost (benefit) 2 2 2 5 (4) (4) (2) — — (9) (10) (10)

Net actuarial loss 233 200 165 70 61 53 — — (1) 20 23 29

Curtailment loss (gain)

(1)

— 1 1 (8) (6) (1) — — — — — —

Settlement (gain) loss

(1)

— — — (1) 6 7 — — — — — —

Total net (benefit) expense $ (211) $ (148) $ (161) $ 214 $ 209 $ 202 $ (2) $ 6 $ 11 $ 34 $ 41 $ 42

(1) Curtailment and settlement relate to repositioning and divestiture actions.

Contributions

The Company’s funding practice for U.S. and non-U.S.

pension and postretirement plans is generally to fund to

minimum funding requirements in accordance with applicable

local laws and regulations. The Company may increase its

contributions above the minimum required contribution, if

appropriate. In addition, management has the ability to change

its funding practices. For the U.S. pension plans, there were no

required minimum cash contributions for 2020 or 2019.

The following table summarizes the Company’s actual

contributions for the years ended December 31, 2020 and

2019, as well as expected Company contributions for 2021.

Expected contributions are subject to change, since

contribution decisions are affected by various factors, such as

market performance, tax considerations and regulatory

requirements.

Pension plans

(1)

Postretirement benefit plans

(1)

U.S. plans

(2)

Non-U.S. plans U.S. plans Non-U.S. plans

In millions of dollars

2021 2020 2019 2021 2020 2019 2021 2020 2019 2021 2020 2019

Contributions made by the Company $ — $ — $ 425 $ 97 $ 115 $ 111 $ — $ — $ — $ 3 $ 4 $ 221

Benefits paid directly by (reimbursements to)

the Company 57 56 56 58 43 39 6 (15) 4 5 5 4

(1) Amounts reported for 2021 are expected amounts.

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

172

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:

Pension plans Postretirement benefit plans

U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans

In millions of dollars

2020 2019 2020 2019 2020 2019 2020 2019

Change in projected benefit obligation

Projected benefit obligation at beginning of year $ 13,453 $ 12,655 $ 8,105 $ 7,149 $ 692 $ 662 $ 1,384 $ 1,159

Benefits earned during the year — 1 147 146 — — 7 8

Interest cost on benefit obligation 378 469 246 287 17 24 93 104

Plan amendments

(1)

— — (4) 7 (104) — — —

Actuarial loss (gain)

(2)

950 1,263 518 861 (18) 46 30 140

Benefits paid, net of participants’ contributions and

government subsidy

(3)

(966) (936) (298) (304) (28) (40) (64) (72)

Settlement gain

(4)

— — (110) (84) — — — —

Curtailment loss (gain)

(4)

— 1 (14) (4) — — — —

Foreign exchange impact and other — — 39 47 — — (60) 45

Projected benefit obligation at year end $ 13,815 $ 13,453 $ 8,629 $ 8,105 $ 559 $ 692 $ 1,390 $ 1,384

Change in plan assets

Plan assets at fair value at beginning of year $ 12,717 $ 11,490 $ 7,556 $ 6,699 $ 345 $ 345 $ 1,127 $ 1,036

Actual return on assets

(2)

1,502 1,682 584 781 29 36 129 138

Company contributions (reimbursements) 56 481 158 150 (15) 4 9 225

Benefits paid, net of participants’ contributions and

government subsidy

(3)

(966) (936) (298) (304) (28) (40) (64) (72)

Settlement gain

(4)

— — (110) (84) — — — —

Foreign exchange impact and other — — (59) 314 — — (55) (200)

Plan assets at fair value at year end $ 13,309 $ 12,717 $ 7,831 $ 7,556 $ 331 $ 345 $ 1,146 $ 1,127

Funded status of the plans

Qualified plans

(5)

$ 230 $ (23) $ (798) $ (549) $ (228) $ (347) $ (244) $ (257)

Nonqualified plans

(6)

(736) (713) — — — — — —

Funded status of the plans at year end $ (506) $ (736) $ (798) $ (549) $ (228) $ (347) $ (244) $ (257)

Net amount recognized

Qualified plans

Benefit asset $ 230 $ — $ 741 $ 808 $ — $ — $ 25 $ 57

Benefit liability — (23) (1,539) (1,357) (228) (347) (269) (314)

Qualified plans $ 230 $ (23) $ (798) $ (549) $ (228) $ (347) $ (244) $ (257)

Nonqualified plans (736) (713) — — — — — —

Net amount recognized on the balance sheet $ (506) $ (736) $ (798) $ (549) $ (228) $ (347) $ (244) $ (257)

Amounts recognized in AOCI

Net transition obligation $ — $ — $ — $ — $ — $ — $ — $ —

Prior service (cost) benefit (10) (12) 12 1 101 — 63 76

Net actuarial (loss) gain (7,132) (7,092) (1,863) (1,735) 56 24 (348) (416)

Net amount recognized in equity (pretax) $ (7,142) $ (7,104) $ (1,851) $ (1,734) $ 157 $ 24 $ (285) $ (340)

Accumulated benefit obligation at year end $ 13,812 $ 13,447 $ 8,116 $ 7,618 $ 559 $ 692 $ 1,390 $ 1,384

(1) U.S. postretirement benefit plan was amended in 2020 to move grandfathered Medicare-eligible retirees to the Medicare individual marketplace.

(2) During 2020 and 2019, the actuarial loss is primarily due to the decline in global discount rates offset by actual return on assets due to favorable asset returns.

(3) U.S. postretirement benefit plans were net of Employer Group Waiver Plan subsidy of $40 million and $22 million in 2020 and 2019, respectively.

(4) Curtailment and settlement (gains) losses relate to repositioning and divestiture activities.

(5) The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act (ERISA) funding rules as of January 1, 2021 and no

minimum required funding is expected for 2021.

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

173

The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans:

In millions of dollars

2020 2019 2018

Beginning of year balance, net of tax

(1)(2)

$ (6,809) $ (6,257) $ (6,183)

Actuarial assumptions changes and plan experience (1,464) (2,300) 1,288

Net asset gain (loss) due to difference between actual and expected returns 1,076 1,427 (1,732)

Net amortization 318 274 214

Prior service credit (cost) 108 (7) (7)

Curtailment/settlement gain

(3)

(8) 1 7

Foreign exchange impact and other (108) (66) 136

Change in deferred taxes, net 23 119 20

Change, net of tax $ (55) $ (552) $ (74)

End of year balance, net of tax

(1)(2)

$ (6,864) $ (6,809) $ (6,257)

(1) See Note 19 to the Consolidated Financial Statements for further discussion of net AOCI balance.

(2) Includes net-of-tax amounts for certain profit-sharing plans outside the U.S.

(3) Curtailment and settlement relate to repositioning and divestiture activities.

At December 31, 2020 and 2019, the aggregate projected benefit obligation (PBO), the aggregate accumulated benefit obligation

(ABO) and the aggregate fair value of plan assets are presented for all defined benefit pension plans with a PBO in excess of plan

assets and for all defined benefit pension plans with an ABO in excess of plan assets as follows:

PBO exceeds fair value of plan assets ABO exceeds fair value of plan assets

U.S. plans

(1)

Non-U.S. plans U.S. plans

(1)

Non-U.S. plans

In millions of dollars

2020 2019 2020 2019 2020 2019 2020 2019

Projected benefit obligation $ 736 $ 13,453 $ 4,849 $ 4,445 $ 736 $ 13,453 $ 4,723 $ 2,748

Accumulated benefit obligation 734 13,447 4,400 4,041 734 13,447 4,329 2,435

Fair value of plan assets — 12,717 3,310 3,089 — 12,717 3,212 1,429

(1) As of December 31, 2020, only the nonqualified plans’ PBO and ABO exceeded plan assets; As of December 31, 2019, both the qualified and nonqualified plans’

PBO and ABO exceeded plan assets.

Plan Assumptions

The Company utilizes a number of assumptions to determine

plan obligations and expenses. Changes in one or a

combination of these assumptions will have an impact on the

Company’s pension and postretirement PBO, funded status

and (benefit) expense. Changes in the plans’ funded status

resulting from changes in the PBO and fair value of plan

assets will have a corresponding impact on Accumulated other

comprehensive income (loss).

The actuarial assumptions at the respective years ended

December 31 in the table below are used to measure the year-

end PBO and the net periodic (benefit) expense for the

subsequent year (period). Since Citi’s Significant Plans are

measured on a quarterly basis, the year-end rates for those

plans are used to calculate the net periodic (benefit) expense

for the subsequent year’s first quarter.

As a result of the quarterly measurement process, the net

periodic (benefit) expense for the Significant Plans is

calculated at each respective quarter end based on the

preceding quarter-end rates (as shown below for the U.S. and

non-U.S. pension and postretirement plans). The actuarial

assumptions for All Other Plans are measured annually.

174

Certain assumptions used in determining pension and

postretirement benefit obligations and net benefit expense for

the Company’s plans are shown in the following table:

At year end 2020 2019

Discount rate

U.S. plans

Qualified pension 2.45%

3.25%

Nonqualified pension 2.35 3.25

Postretirement 2.20 3.15

Non-U.S. pension plans

Range

(1)

-0.25 to 11.15 -0.10 to 11.30

Weighted average 3.14 3.65

Non-U.S. postretirement plans

Range 0.80 to 8.55 0.90 to 9.10

Weighted average 7.42 7.76

Future compensation increase rate

(2)

Non-U.S. pension plans

Range 1.20 to 11.25 1.50 to 11.50

Weighted average 3.10 3.17

Expected return on assets

U.S. plans

Qualified pension 5.80 6.70

Postretirement

(3)

5.80/1.50 6.70/3.00

Non-U.S. pension plans

Range 0.00 to 11.50 0.00 to 11.50

Weighted average 3.39 3.95

Non-U.S. postretirement plans

Range 5.95 to 8.00 6.20 to 8.00

Weighted average 7.99 7.99

(1) Due to substantial downward movement in yields, there were negative

discount rates for plans with relatively short duration in major markets,

such as the Eurozone and Switzerland.

(2) Not material for U.S. plans.

(3) For the year ended 2020 and 2019, the expected return on assets for the

VEBA Trust was 1.50% and 3.00% respectively.

During the year 2020 2019 2018

Discount rate

U.S. plans

Qualified

pension

3.25%/3.20%/

2.60%/2.55%

4.25%/3.85%/

3.45%/3.10%

3.60%/3.95%/

4.25%/4.30%

Nonqualified

pension

3.25/3.25/

2.55/2.50

4.25/3.90/

3.50/3.10

3.60/3.95/

4.25/4.30

Postretirement

3.15/3.20/

2.45/2.35

4.20/3.80/

3.35/3.00

3.50/3.90/

4.20/4.20

Non-U.S. pension plans

(1)

Range

(2)

-0.10 to 11.30 -0.05 to 12.00 0.00 to 10.75

Weighted

average 3.65 4.47 4.17

Non-U.S. postretirement plans

(1)

Range 0.90 to 9.75 1.75 to 10.75 1.75 to 10.10

Weighted

average 7.76 9.05 8.10

Future compensation increase rate

(3)

Non-U.S. pension plans

(1)

Range 1.50 to 11.50 1.30 to 13.67 1.17 to 13.67

Weighted

average 3.17 3.16 3.08

Expected return on assets

U.S. plans

Qualified

pension

(4)

6.70 6.70 6.80/6.70

Postretirement

(4)

6.70/3.00 6.70/3.00 6.80/6.70/3.00

Non-U.S. pension plans

(1)

Range 0.00 to 11.50 1.00 to 11.50 0.00 to 11.60

Weighted

average 3.95 4.30 4.52

Non-U.S. postretirement plans

(1)

Range 6.20 to 8.00 8.00 to 9.20 8.00 to 9.80

Weighted

average 7.99 8.01 8.01

(1) Reflects rates utilized to determine the quarterly expense for Significant

non-U.S. pension and postretirement plans.

(2) Due to substantial downward movement in yields, there were negative

discount rates for plans with relatively short duration in major markets,

such as the Eurozone and Switzerland.

(3) Not material for U.S. plans.

(4) The expected return on assets for the U.S. pension and postretirement

plans was lowered from 6.70% to 5.80% effective January 1, 2021 to

reflect the lower interest rate environment and a change in target asset

allocation.

175

Discount Rate

The discount rates for the U.S. pension and postretirement

plans were selected by reference to a Citigroup-specific

analysis using each plan’s specific cash flows and compared

with high-quality corporate bond indices for reasonableness.

The discount rates for the non-U.S. pension and postretirement

plans are selected by reference to high-quality corporate bond

rates in countries that have developed corporate bond markets.

However, where developed corporate bond markets do not

exist, the discount rates are selected by reference to local

government bond rates with a premium added to reflect the

additional risk for corporate bonds in certain countries.

Effective December 31, 2019, the established rounding

convention is to the nearest 5 bps for all countries.

Expected Return on Assets

The Company determines its assumptions for the expected

return on assets for its U.S. pension and postretirement plans

using a “building block” approach, which focuses on ranges of

anticipated rates of return for each asset class. A weighted

average range of nominal rates is then determined based on

target allocations to each asset class. Market performance over

a number of earlier years is evaluated covering a wide range of

economic conditions to determine whether there are sound

reasons for projecting any past trends.

The Company considers the expected return on assets to

be a long-term assessment of return expectations and does not

anticipate changing this assumption unless there are

significant changes in investment strategy or economic

conditions. This contrasts with the selection of the discount

rate and certain other assumptions, which are reconsidered

annually (or quarterly for the Significant Plans) in accordance

with GAAP.

The expected return on assets for the U.S. pension and

postretirement plans Trust was 5.80% at December 31, 2020

and 6.70% at December 31, 2019 and 2018. The expected

return on assets reflects the expected annual appreciation of

the plan assets and reduces the Company’s annual pension

expense. The expected return on assets is deducted from the

sum of service cost, interest cost and other components of

pension expense to arrive at the net pension (benefit) expense.

The following table shows the expected return on assets

used in determining the Company’s pension expense

compared to the actual return on assets during 2020, 2019 and

2018 for the U.S. pension and postretirement plans:

U.S. plans

(During the year) 2020 2019 2018

Expected return on

assets

U.S. pension and

postretirement trust 6.70% 6.70% 6.80%/6.70%

VEBA trust 3.00 3.00 3.00

Actual return on

assets

(1)

U.S. pension and

postretirement trust 12.84 15.20 -3.40

VEBA trust 2.11 1.91 to 2.76 0.43 to 1.41

(1) Actual return on assets is presented net of fees.

Sensitivities of Certain Key Assumptions

The following tables summarize the effect on pension

expense:

Discount rate

One-percentage-point increase

In millions of dollars

2020 2019 2018

U.S. plans $ 34 $ 28 $ 25

Non-U.S. plans (16) (19) (22)

One-percentage-point decrease

In millions of dollars

2020 2019 2018

U.S. plans $ (52) $ (44) $ (37)

Non-U.S. plans 25 32 32

The U.S. Qualified Pension Plan was frozen in 2008, and

as a result, most service costs have been eliminated. The

pension expense for the U.S. Qualified Pension Plan is

therefore driven primarily by interest cost rather than by

service cost. An increase in the discount rate generally

increases pension expense.

For Non-U.S. Pension Plans that are not frozen (in

countries such as Mexico, the U.K. and South Korea), there is

more service cost. The pension expense for the Non-U.S.

Plans is driven by both service cost and interest cost. An

increase in the discount rate generally decreases pension

expense due to the greater impact on service cost compared to

interest cost.

Since the U.S. Qualified Pension Plan was frozen, most of

the prospective service cost has been eliminated and the gain/

loss amortization period was changed to the life expectancy

for inactive participants. As a result, pension expense for the

U.S. Qualified Pension Plan is driven more by interest costs

than service costs, and an increase in the discount rate would

increase pension expense, while a decrease in the discount rate

would decrease pension expense.

The following tables summarize the effect on pension

expense:

Expected return on assets

One-percentage-point increase

In millions of dollars

2020 2019 2018

U.S. plans $ (123) $ (123) $ (126)

Non-U.S. plans (66) (64) (64)

One-percentage-point decrease

In millions of dollars

2020 2019 2018

U.S. plans $ 123 $ 123 $ 126

Non-U.S. plans 66 64 64

176

Health Care Cost Trend Rate

Assumed health care cost trend rates were as follows:

2020 2019

Health care cost increase rate for

U.S. plans

Following year 6.50% 6.75%

Ultimate rate to which cost increase is

assumed to decline 5.00 5.00

Year in which the ultimate rate is

reached 2027 2027

Health care cost increase rate for

non-U.S. plans (weighted average)

Following year 6.85% 6.85%

Ultimate rate to which cost increase is

assumed to decline 6.85 6.85

Year in which the ultimate rate

is reached 2021 2020

Interest Crediting Rate

The Company has cash balance plans and other plans with

promised interest crediting rates. For these plans, the interest

crediting rates are set in line with plan rules or country

legislation and do not change with market conditions.

Weighted average interest

crediting rate

At year end 2020 2019 2018

U.S. plans 1.45% 2.25% 3.25%

Non-U.S. plans 1.60 1.61 1.68

Plan Assets

Citigroup’s pension and postretirement plans’ asset allocations for the U.S. plans and the target allocations by asset category based on

asset fair values, are as follows:

Target asset

allocation

U.S. pension assets

at December 31,

U.S. postretirement assets

at December 31,

Asset category

(1)

2021 2020 2019 2020 2019

Equity securities

(2)

0–26% 16 % 17 % 16 % 17 %

Debt securities

(3)

35–82 59 58 59 58

Real estate 0–7 4 4 4 4

Private equity 0–10 3 3 3 3

Other investments 0–30 18 18 18 18

Total 100 % 100 % 100 % 100 %

(1) Asset allocations for the U.S. plans are set by investment strategy, not by investment product. For example, private equities with an underlying investment in real

estate are classified in the real estate asset category, not private equity.

(2) Equity securities in the U.S. pension and postretirement plans do not include any Citigroup common stock at the end of 2020 and 2019.

(3) The VEBA Trust for postretirement benefits is primarily invested in cash equivalents and debt securities in 2020 and 2019 and is not reflected in the table above.

Third-party investment managers and advisors provide

their services to Citigroup’s U.S. pension and postretirement

plans. Assets are rebalanced as the Company’s Pension Plan

Investment Committee deems appropriate. Citigroup’s

investment strategy, with respect to its assets, is to maintain a

globally diversified investment portfolio across several asset

classes that, when combined with Citigroup’s contributions to

the plans, will maintain the plans’ ability to meet all required

benefit obligations.

Citigroup’s pension and postretirement plans’ weighted-

average asset allocations for the non-U.S. plans and the actual

ranges, and the weighted-average target allocations by asset

category based on asset fair values, are as follows:

Non-U.S. pension plans

Target asset

allocation

Actual range

at December 31,

Weighted-average

at December 31,

Asset category

(1)

2021 2020 2019 2020 2019

Equity securities 0–100% 0–100% 0–100% 15 % 13 %

Debt securities 0–100 0–100 0–100 77 80

Real estate 0–15 0–12 0–15 1 1

Other investments 0–100 0–100 0–100 7 6

Total 100 % 100 %

(1) Similar to the U.S. plans, asset allocations for certain non-U.S. plans are set by investment strategy, not by investment product.

177

Non-U.S. postretirement plans

Target asset

allocation

Actual range

at December 31,

Weighted-average

at December 31,

Asset category

(1)

2021 2020 2019 2020 2019

Equity securities 0–38% 0–38% 0–31% 38 % 27 %

Debt securities 56–100 56–100 66–100 56 71

Other investments 0–6 0–6 0–3 6 2

Total 100 % 100 %

(1) Similar to the U.S. plans, asset allocations for certain non-U.S. plans are set by investment strategy, not by investment product.

Fair Value Disclosure

For information on fair value measurements, including

descriptions of Levels 1, 2 and 3 of the fair value hierarchy

and the valuation methodology utilized by the Company, see

Notes 1 and 24 to the Consolidated Financial Statements.

Investments measured using the NAV per share practical

expedient are excluded from Level 1, Level 2 and Level 3 in

the tables below.

Certain investments may transfer between the fair value

hierarchy classifications during the year due to changes in

valuation methodology and pricing sources.

Plan assets by detailed asset categories and the fair value

hierarchy are as follows:

U.S. pension and postretirement benefit plans

(1)

In millions of dollars

Fair value measurement at December 31, 2020

Asset categories Level 1 Level 2 Level 3 Total

U.S. equities $ 813 $ — $ — $ 813

Non-U.S. equities 725 — — 725

Mutual funds and other registered investment companies 447 — — 447

Commingled funds — 1,074 — 1,074

Debt securities 1,275 4,429 — 5,704

Annuity contracts — — 1 1

Derivatives 8 6 — 14

Other investments 16 — 57 73

Total investments $ 3,284 $ 5,509 $ 58 $ 8,851

Cash and short-term investments $ 72 $ 1,035 $ — $ 1,107

Other investment liabilities (2) (10) — (12)

Net investments at fair value $ 3,354 $ 6,534 $ 58 $ 9,946

Other investment receivables redeemed at NAV $ 99

Securities valued at NAV 3,595

Total net assets $ 13,640

(1) The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2020, the allocable interests of the U.S. pension and

postretirement plans were 98.0% and 2.0%, respectively. The investments of the VEBA Trust for postretirement benefits are reflected in the above table.

178

U.S. pension and postretirement benefit plans

(1)

In millions of dollars

Fair value measurement at December 31, 2019

Asset categories Level 1 Level 2 Level 3 Total

U.S. equities $ 739 $ — $ — $ 739

Non-U.S. equities 553 — — 553

Mutual funds and other registered investment companies 280 — — 280

Commingled funds — 1,410 — 1,410

Debt securities 1,534 4,046 — 5,580

Annuity contracts — — 1 1

Derivatives 10 7 — 17

Other investments — — 75 75

Total investments $ 3,116 $ 5,463 $ 76 $ 8,655

Cash and short-term investments $ 93 $ 1,080 $ — $ 1,173

Other investment liabilities (87) (11) — (98)

Net investments at fair value $ 3,122 $ 6,532 $ 76 $ 9,730

Other investment receivables redeemed at NAV $ 22

Securities valued at NAV 3,310

Total net assets $ 13,062

(1) The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2019, the allocable interests of the U.S. pension and

postretirement plans were 98.0% and 2.0%, respectively. The investments of the VEBA Trust for postretirement benefits are reflected in the above table.

Non-U.S. pension and postretirement benefit plans

In millions of dollars

Fair value measurement at December 31, 2020

Asset categories Level 1 Level 2 Level 3 Total

U.S. equities $ 5 $ 16 $ — $ 21

Non-U.S. equities 105 670 — 775

Mutual funds and other registered investment companies 3,137 73 — 3,210

Commingled funds 24 — — 24

Debt securities 6,705 1,420 — 8,125

Real estate — 2 2 4

Annuity contracts — — 5 5

Derivatives — 1,005 — 1,005

Other investments — — 312 312

Total investments $ 9,976 $ 3,186 $ 319 $ 13,481

Cash and short-term investments $ 129 $ 3 $ — $ 132

Other investment liabilities — (4,650) — (4,650)

Net investments at fair value $ 10,105 $ (1,461) $ 319 $ 8,963

Securities valued at NAV $ 14

Total net assets $ 8,977

179

Non-U.S. pension and postretirement benefit plans

In millions of dollars

Fair value measurement at December 31, 2019

Asset categories Level 1 Level 2 Level 3 Total

U.S. equities $ 4 $ 12 $ — $ 16

Non-U.S. equities 127 262 — 389

Mutual funds and other registered investment companies 3,223 63 — 3,286

Commingled funds 23 — — 23

Debt securities 4,307 1,615 10 5,932

Real estate — 3 1 4

Annuity contracts — — 5 5

Derivatives — 1,590 — 1,590

Other investments 1 — 274 275

Total investments $ 7,685 $ 3,545 $ 290 $ 11,520

Cash and short-term investments $ 86 $ 3 $ — $ 89

Other investment liabilities (3) (2,938) — (2,941)

Net investments at fair value $ 7,768 $ 610 $ 290 $ 8,668

Securities valued at NAV $ 15

Total net assets $ 8,683

180

Level 3 Rollforward

The reconciliations of the beginning and ending balances during the year for Level 3 assets are as follows:

In millions of dollars

U.S. pension and postretirement benefit plans

Asset categories

Beginning Level 3

fair value at

Dec. 31, 2019 Realized (losses) Unrealized gains

Purchases,

sales and

issuances

Transfers in and/

or out of Level 3

Ending Level 3

fair value at

Dec. 31, 2020

Annuity contracts $ 1 $ — $ — $ — $ — $ 1

Other investments 75 (3) 3 (18) — 57

Total investments $ 76 $ (3) $ 3 $ (18) $ — $ 58

In millions of dollars

U.S. pension and postretirement benefit plans

Asset categories

Beginning Level 3

fair value at

Dec. 31, 2018 Realized (losses) Unrealized (losses)

Purchases,

sales and issuances

Transfers in and/

or out of Level 3

Ending Level 3

fair value at

Dec. 31, 2019

Annuity contracts $ 1 $ — $ — $ — $ — $ 1

Other investments 127 (7) 12 (57) — 75

Total investments $ 128 $ (7) $ 12 $ (57) $ — $ 76

In millions of dollars

Non-U.S. pension and postretirement benefit plans

Asset categories

Beginning Level 3

fair value at

Dec. 31, 2019 Unrealized gains

Purchases, sales and

issuances

Transfers in and/

or out of Level 3

Ending Level 3

fair value at

Dec. 31, 2020

Debt securities $ 10 $ — $ (10) $ — $ —

Real estate 1 1 — — 2

Annuity contracts 5 — — — 5

Other investments 274 23 15 — 312

Total investments $ 290 $ 24 $ 5 $ — $ 319

In millions of dollars

Non-U.S. pension and postretirement benefit plans

Asset categories

Beginning Level 3

fair value at

Dec. 31, 2018 Unrealized (losses)

Purchases, sales and

issuances

Transfers in and/

or out of Level 3

Ending Level 3

fair value at

Dec. 31, 2019

Debt securities $ 9 $ 1 $ — $ — $ 10

Real estate 1 — — — 1

Annuity contracts 10 — (5) — 5

Other investments 210 7 57 — 274

Total investments $ 230 $ 8 $ 52 $ — $ 290

181

Investment Strategy

The Company’s global pension and postretirement funds’

investment strategy is to invest in a prudent manner for the

exclusive purpose of providing benefits to participants. The

investment strategies are targeted to produce a total return that,

when combined with the Company’s contributions to the

funds, will maintain the funds’ ability to meet all required

benefit obligations. Risk is controlled through diversification

of asset types and investments in domestic and international

equities, fixed income securities and cash and short-term

investments. The target asset allocation in most locations

outside the U.S. is primarily in equity and debt securities.

These allocations may vary by geographic region and country

depending on the nature of applicable obligations and various

other regional considerations. The wide variation in the actual

range of plan asset allocations for the funded non-U.S. plans is

a result of differing local statutory requirements and economic

conditions. For example, in certain countries local law requires

that all pension plan assets must be invested in fixed income

investments, government funds or local-country securities.

Significant Concentrations of Risk in Plan Assets

The assets of the Company’s pension plans are diversified to

limit the impact of any individual investment. The U.S.

qualified pension plan is diversified across multiple asset

classes, with publicly traded fixed income, publicly traded

equity, hedge funds, and real estate representing the most

significant asset allocations. Investments in these four asset

classes are further diversified across funds, managers,

strategies, vintages, sectors and geographies, depending on the

specific characteristics of each asset class. The pension assets

for the Company’s non-U.S. Significant Plans are primarily

invested in publicly traded fixed income and publicly traded

equity securities.

Oversight and Risk Management Practices

The framework for the Company’s pension oversight process

includes monitoring of retirement plans by plan fiduciaries

and/or management at the global, regional or country level, as

appropriate. Independent Risk Management contributes to the

risk oversight and monitoring for the Company’s U.S.

qualified pension plan and non-U.S. Significant Pension Plans.

Although the specific components of the oversight process are

tailored to the requirements of each region, country and plan,

the following elements are common to the Company’s

monitoring and risk management process:

• periodic asset/liability management studies and strategic

asset allocation reviews;

• periodic monitoring of funding levels and funding ratios;

• periodic monitoring of compliance with asset allocation

guidelines;

• periodic monitoring of asset class and/or investment

manager performance against benchmarks; and

• periodic risk capital analysis and stress testing.

Estimated Future Benefit Payments

The Company expects to pay the following estimated benefit

payments in future years:

Pension plans

Postretirement

benefit plans

In millions of dollars

U.S.

plans

Non-

U.S. plans

U.S.

plans

Non-

U.S. plans

2021 $ 820 $ 566 $ 58 $ 76

2022 832 504 55 80

2023 847 507 52 85

2024 852 521 49 90

2025 857 527 45 96

2026–2030 4,101 2,698 181 550

Post Employment Plans

The Company sponsors U.S. post employment plans that

provide income continuation and health and welfare benefits

to certain eligible U.S. employees on long-term disability.

The following table summarizes the funded status and

amounts recognized in the Company’s Consolidated Balance

Sheet:

In millions of dollars

2020 2019

Funded status of the plan at year end $ (40) $ (38)

Net amount recognized in AOCI (pretax) $ (17) $ (15)

The following table summarizes the net expense (benefit)

recognized in the Consolidated Statement of Income for the

Company’s U.S. post employment plans:

In millions of dollars

2020 2019 2018

Net expense (benefit) $ 9 $ 9 $ (18)

Defined Contribution Plans

The Company sponsors defined contribution plans in the U.S.

and in certain non-U.S. locations, all of which are

administered in accordance with local laws. The most

significant defined contribution plan is the Citi Retirement

Savings Plan sponsored by the Company in the U.S.

Under the Citi Retirement Savings Plan, eligible U.S.

employees received matching contributions of up to 6% of

their eligible compensation for 2020 and 2019, subject to

statutory limits. In addition, for eligible employees whose

eligible compensation is $100,000 or less, a fixed contribution

of up to 2% of eligible compensation is provided. All

Company contributions are invested according to participants’

individual elections. The following tables summarize the

Company contributions for the defined contribution plans:

U.S. plans

In millions of dollars

2020 2019 2018

Company contributions $ 414 $ 404 $ 396

Non-U.S. plans

In millions of dollars

2020 2019 2018

Company contributions $ 304 $ 281 $ 283

182

9. INCOME TAXES

Income Tax Provision

Details of the Company’s income tax provision are presented

below:

In millions of dollars

2020 2019 2018

Current

Federal $ 305 $ 365 $ 834

Non-U.S. 4,113 4,352 4,290

State 440 323 284

Total current income taxes $ 4,858 $ 5,040 $ 5,408

Deferred

Federal $ (1,430) $ (907) $ (620)

Non-U.S. (690) 10 371

State (213) 287 198

Total deferred income taxes $ (2,333) $ (610) $ (51)

Provision for income tax on

continuing operations before

noncontrolling interests

(1)

$ 2,525 $ 4,430 $ 5,357

Provision (benefit) for income taxes on

discontinued operations — (27) (18)

Income tax expense (benefit) reported

in stockholders’ equity related to:

FX translation 23 (11) (263)

Investment securities 1,214 648 (346)

Employee stock plans (4) (16) (2)

Cash flow hedges 455 269 (8)

Benefit plans (23) (119) (20)

FVO DVA (141) (337) 302

Excluded fair value hedges (8) 8 (17)

Retained earnings

(2)

(911) 46 (305)

Income taxes before noncontrolling

interests $ 3,130 $ 4,891 $ 4,680

(1) Includes the tax on realized investment gains and impairment losses

resulting in a provision (benefit) of $454 million and $(14) million in

2020, $373 million and $(9) million in 2019 and $104 million and $(32)

million in 2018, respectively.

(2) 2020 reflects the tax effect of ASU 2016-13 for current expected credit

losses (CECL). 2019 reflects the tax effect of the accounting change for

ASU 2016-02 for lease transactions. 2018 reflects the tax effect of the

accounting change for ASU 2016-16 for intra-entity transfers of assets

and the tax effect of the accounting change for ASU 2018-03, to report

the net unrealized gains on former AFS equity securities. See Note 1 to

the Consolidated Financial Statements.

Tax Rate

The reconciliation of the federal statutory income tax rate to

the Company’s effective income tax rate applicable to income

from continuing operations (before noncontrolling interests

and the cumulative effect of accounting changes) for each of

the periods indicated is as follows:

2020 2019 2018

Federal statutory rate 21.0 % 21.0 % 21.0 %

State income taxes, net of federal

benefit 1.3 1.9 1.8

Non-U.S. income tax rate differential 3.5 1.3 5.3

Effect of tax law changes

(1)

— (0.5) (0.6)

Nondeductible FDIC premiums 1.3 0.4 0.7

Basis difference in affiliates (0.1) (0.1) (2.4)

Tax advantaged investments (4.4) (2.3) (2.0)

Valuation allowance releases

(2)

(4.4) (3.0) —

Other, net 0.3 (0.2) (1.0)

Effective income tax rate 18.5 % 18.5 % 22.8 %

(1) 2018 includes one-time Tax Reform benefits of $94 million for amounts

that were considered provisional pursuant to SAB 118.

(2) See “Deferred Tax Assets” below for a description of the components.

As set forth in the table above, Citi’s effective tax rate for

2020 was 18.5%, the same as 2019.

Deferred Income Taxes

Deferred income taxes at December 31 related to the

following:

In millions of dollars

2020 2019

Deferred tax assets

Credit loss deduction $ 6,791 $ 3,809

Deferred compensation and employee benefits 2,510 2,224

U.S. tax on non-U.S. earnings 1,195 1,030

Investment and loan basis differences 1,486 2,727

Tax credit and net operating loss carry-forwards 17,416 19,711

Fixed assets and leases 2,935 2,607

Other deferred tax assets 3,832 3,341

Gross deferred tax assets $ 36,165 $ 35,449

Valuation allowance $ 5,177 $ 6,476

Deferred tax assets after valuation allowance $ 30,988 $ 28,973

Deferred tax liabilities

Intangibles and leases $ (2,526) $ (2,640)

Debt issuances (50) (201)

Non-U.S. withholding taxes (921) (974)

Interest-related items (597) (587)

Other deferred tax liabilities (2,054) (1,477)

Gross deferred tax liabilities $ (6,148) $ (5,879)

Net deferred tax assets $ 24,840 $ 23,094

183

Unrecognized Tax Benefits

The following is a rollforward of the Company’s unrecognized

tax benefits:

In millions of dollars

2020 2019 2018

Total unrecognized tax benefits at

January 1 $ 721 $ 607 $ 1,013

Net amount of increases for current

year’s tax positions 51 50 40

Gross amount of increases for prior

years’ tax positions 217 151 46

Gross amount of decreases for prior

years’ tax positions (74) (44) (174)

Amounts of decreases relating to

settlements (40) (21) (283)

Reductions due to lapse of statutes of

limitation (13) (23) (23)

Foreign exchange, acquisitions and

dispositions (1) 1 (12)

Total unrecognized tax benefits at

December 31 $ 861 $ 721 $ 607

The total amounts of unrecognized tax benefits at

December 31, 2020, 2019 and 2018 that, if recognized, would

affect Citi’s tax expense are $0.7 billion, $0.6 billion and $0.4

billion, respectively. The remaining uncertain tax positions

have offsetting amounts in other jurisdictions or are temporary

differences.

Interest and penalties (not included in unrecognized tax

benefits above) are a component of Provision for income

taxes.

2020 2019 2018

In millions of dollars

Pretax Net of tax Pretax Net of tax Pretax Net of tax

Total interest and penalties on the Consolidated Balance Sheet at January 1 $ 100 $ 82 $ 103 $ 85 $ 121 $ 101

Total interest and penalties in the Consolidated Statement of Income 14 10 (4) (4) 6 6

Total interest and penalties on the Consolidated Balance Sheet at December 31

(1)

118 96 100 82 103 85

(1) Includes $4 million, $3 million and $2 million for non-U.S. penalties in 2020, 2019 and 2018. Also includes $1 million, $1 million and $1 million for state

penalties in 2020, 2019 and 2018.

As of December 31, 2020, Citi was under audit by the

Internal Revenue Service and other major taxing jurisdictions

around the world. It is thus reasonably possible that significant

changes in the gross balance of unrecognized tax benefits may

occur within the next 12 months.The potential range of

amounts that could affect Citi’s effective tax rate is between

$0 and $150 million.

The following are the major tax jurisdictions in which the

Company and its affiliates operate and the earliest tax year

subject to examination:

Jurisdiction Tax year

United States 2016

Mexico 2016

New York State and City 2009

United Kingdom 2016

India 2016

Singapore 2011

Hong Kong 2014

Ireland 2016

Non-U.S. Earnings

Non-U.S. pretax earnings approximated $13.8 billion in 2020,

$16.7 billion in 2019 and $16.1 billion in 2018. As a U.S.

corporation, Citigroup and its U.S. subsidiaries are currently

subject to U.S. taxation on all non-U.S. pretax earnings of

non-U.S. branches. Beginning in 2018, there is a separate

foreign tax credit (FTC) basket for branches. Also, dividends

from a non-U.S. subsidiary or affiliate are effectively exempt

from U.S. taxation. The Company provides income taxes on

the book over tax basis differences of non-U.S. subsidiaries

except to the extent that such differences are indefinitely

reinvested outside the U.S.

At December 31, 2020, $11.0 billion of basis differences

of non-U.S. entities was indefinitely invested. At the existing

tax rates, additional taxes (net of U.S. FTCs) of $4.3 billion

would have to be provided if such assertions were reversed.

Income taxes are not provided for the Company’s

“savings bank base year bad debt reserves” that arose before

1988, because under current U.S. tax rules, such taxes will

become payable only to the extent that such amounts are

distributed in excess of limits prescribed by federal law. At

December 31, 2020, the amount of the base year reserves

totaled approximately $358 million (subject to a tax of $75

million).

184

Deferred Tax Assets

As of December 31, 2020, Citi had a valuation allowance of

$5.2 billion, composed of valuation allowances of $1.0 billion

on its general basket FTC carry-forwards, $2.4 billion on its

branch basket FTC carry-forwards, $1.0 billion on its U.S.

residual DTA related to its non-U.S. branches, $0.6 billion on

local non-U.S. DTAs and $0.2 billion on state net operating

loss carry-forwards. The amount of Citi’s valuation

allowances (VA) may change in future years.

In 2020, Citi’s VA for carry-forward FTCs in its branch

basket decreased by $1.0 billion and the related VA for the

U.S. tax effect on non-U.S. branch temporary differences

increased by $0.2 billion. Of this total branch-related change

of $0.8 billion, $0.6 billion impacted the tax provision as

discussed below. The remainder of the branch basket-related

VA decrease of $0.2 billion was primarily due to carry-

forward expirations and changes in foreign exchange rates.

The level of branch pretax income, the local branch tax rate

and the allocations of Overall Domestic Loss (ODL) and

expenses for U.S. tax purposes to the branch basket are the

main factors in determining the branch VA. Citi computed

these factors for 2020. While the COVID-19 pandemic

reduced branch earnings, the allocated ODL was not

diminished since a large portion of the pandemic losses will

not be recognizable for U.S. taxable income until a future

period. In addition, lower than forecasted U.S. interest rates

resulted in a lower allocation of interest expense to non-U.S.

branches. The combination of the factors enumerated are

reflected in the VA release of $0.5 billion in Citi’s full-year

effective tax rate. Citi also released branch basket VA of

$0.1 billion in the fourth quarter, with respect to future years,

based upon Citi’s Operating Plan and estimates of future

branch basket factors, as outlined above.

In Citi’s general basket for FTCs, changes in the

forecasted amount of income in U.S. locations derived from

sources outside the U.S., in addition to tax examination

changes from prior years, could alter the amount of valuation

allowance that is needed against such FTCs. The valuation

allowance for the general basket decreased by $0.1 billion to

$1.0 billion, primarily due to the expiration of carry-forwards

in 2020. In the general FTC basket, foreign source income, an

important driver in the utilization of FTC carry-forwards for

the current year and future years, has been reduced due to the

compression in interest rate spreads. The pandemic has

otherwise reduced U.S. income, which impacts ODL usage

and, correspondingly, the utilization of FTC carry-forwards.

Accordingly, management identified actions, which became

prudent due to the effects of the pandemic, to increase future

foreign source income and U.S. taxable income. These

planning actions include geographic asset movements, deferral

of future FTC recognition and capitalization of expenses for

tax purposes, resulting in no tax provision change to Citi’s

general basket VA in 2020. In light of the pandemic, Citi will

continue to monitor its forecasts and mix of earnings, which

could affect Citi’s valuation allowance against FTC carry-

forwards. Citi continues to look for additional actions that are

prudent and feasible, taking into account client, regulatory and

operational considerations.

The valuation allowance for U.S. residual DTA related to

its non-U.S. branches increased from $0.8 billion to $1.0

billion, primarily due to higher capitalized expenses. In

addition, the non-U.S. local valuation allowance was reduced

from $1.0 billion to $0.6 billion, primarily due to an expiration

of NOL carry-forwards in a non-U.S. jurisdiction. The

following table summarizes Citi’s DTAs:

In billions of dollars

Jurisdiction/component

(1)

DTAs balance

December 31,

2020

DTAs balance

December 31,

2019

U.S. federal

(2)

Net operating losses (NOLs)

(3)

$ 3.0 $ 2.8

Foreign tax credits (FTCs) 4.4 6.3

General business credits (GBCs) 3.6 2.5

Future tax deductions and credits 7.9 6.2

Total U.S. federal $ 18.9 $ 17.8

State and local

New York NOLs $ 1.5 $ 1.7

Other state NOLs 0.1 0.2

Future tax deductions 1.7 1.3

Total state and local $ 3.3 $ 3.2

Non-U.S.

NOLs $ 0.6 $ 0.5

Future tax deductions 2.0 1.6

Total non-U.S. $ 2.6 $ 2.1

Total $ 24.8 $ 23.1

(1) All amounts are net of valuation allowances.

(2) Included in the net U.S. federal DTAs of $18.9 billion as of December

31, 2020 were deferred tax liabilities of $3.7 billion that will reverse in

the relevant carry-forward period and may be used to support the DTAs.

(3) Consists of non-consolidated tax return NOL carry-forwards that are

eventually expected to be utilized in Citigroup’s consolidated tax return.

185

The following table summarizes the amounts of tax carry-

forwards and their expiration dates:

In billions of dollars

Year of expiration

December

31, 2020

December

31, 2019

U.S. tax return general basket foreign

tax credit carry-forwards

(1)

2020 $ — $ 0.9

2021 — 1.1

2022 2.3 2.4

2023 0.4 0.4

2025 1.4 1.4

2027 1.2 1.2

Total U.S. tax return general basket

foreign tax credit carry-forwards $ 5.3 $ 7.4

U.S. tax return branch basket foreign

tax credit carry-forwards

(1)

2020 $ — $ 0.7

2021 0.7 0.6

2022 1.0 1.0

2028 0.6 0.9

2029 0.2 0.3

Total U.S. tax return branch basket

foreign tax credit carry-forwards $ 2.5 $ 3.5

U.S. tax return general business credit

carry-forwards

2032 $ 0.3 $ —

2033 0.3 0.3

2034 0.2 0.2

2035 0.2 0.2

2036 0.2 0.1

2037 0.5 0.5

2038 0.5 0.5

2039 0.7 0.7

2040 0.7 —

Total U.S. tax return general business

credit carry-forwards $ 3.6 $ 2.5

U.S. subsidiary separate federal NOL

carry-forwards

2027 $ 0.1 $ 0.1

2028 0.1 0.1

2030 0.3 0.3

2033 1.5 1.6

2034 2.0 2.0

2035 3.3 3.3

2036 2.1 2.1

2037 1.0 1.0

Unlimited carry-forward period 3.9 3.0

Total U.S. subsidiary separate federal

NOL carry-forwards

(2)

$ 14.3 $ 13.5

New York State NOL carry-forwards

(2)

2034 $ 8.1 $ 9.9

New York City NOL carry-forwards

(2)

2034 $ 8.7 $ 10.0

Non-U.S. NOL carry-forwards

(1)

Various $ 1.2 $ 1.5

(1) Before valuation allowance.

(2) Pretax.

The time remaining for utilization of the FTC component

has shortened, given the passage of time. Although realization

is not assured, Citi believes that the realization of the

recognized net DTAs of $24.8 billion at December 31, 2020 is

more-likely-than-not, based upon expectations as to future

taxable income in the jurisdictions in which the DTAs arise

and consideration of available tax planning strategies (as

defined in ASC 740, Income Taxes).

The majority of Citi’s U.S. federal net operating loss

carry-forward and all of its New York State and City net

operating loss carry-forwards, are subject to a carry-forward

period of 20 years. This provides enough time to fully utilize

the DTAs pertaining to these existing NOL carry-forwards.

This is due to Citi’s forecast of sufficient U.S. taxable income

and the fact that New York State and City continue to tax

Citi’s non-U.S. income.

With respect to the FTCs component of the DTAs, the

carry-forward period is 10 years. Utilization of FTCs in any

year is generally limited to 21% of foreign source taxable

income in that year. However, overall domestic losses that Citi

has incurred of approximately $26 billion as of December 31,

2020 are allowed to be reclassified as foreign source income to

the extent of 50%–100% (at taxpayer’s election) of domestic

source income produced in subsequent years. Such resulting

foreign source income would substantially cover the FTC

carry-forwards after valuation allowance. As noted in the

tables above, Citi’s FTC carry-forwards were $4.4 billion

($7.8 billion before valuation allowance) as of December 31,

2020, compared to $6.3 billion as of December 31, 2019. Citi

believes that it will generate sufficient U.S. taxable income

within the 10-year carry-forward period to be able to utilize

the net FTCs after the valuation allowance, after considering

any FTCs produced in the tax return for such period, which

must be used prior to any carry-forward utilization.

186

10. EARNINGS PER SHARE

The following table reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations:

In millions of dollars, except per share amounts

2020 2019 2018

Earnings per common share

Income from continuing operations before attribution of noncontrolling interests $ 11,107 $ 19,471 $ 18,088

Less: Noncontrolling interests from continuing operations 40 66 35

Net income from continuing operations (for EPS purposes) $ 11,067 $ 19,405 $ 18,053

Loss from discontinued operations, net of taxes (20) (4) (8)

Citigroup’s net income $ 11,047 $ 19,401 $ 18,045

Less: Preferred dividends

(1)

1,095 1,109 1,174

Net income available to common shareholders $ 9,952 $ 18,292 $ 16,871

Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares

with rights to dividends, applicable to basic EPS 73 121 200

Net income allocated to common shareholders for basic EPS $ 9,879 $ 18,171 $ 16,671

Weighted-average common shares outstanding applicable to basic EPS (in millions) 2,085.8 2,249.2 2,493.3

Basic earnings per share

(2)

Income from continuing operations $ 4.75 $ 8.08 $ 6.69

Discontinued operations (0.01) — —

Net income per share—basic $ 4.74 $ 8.08 $ 6.69

Net income allocated to common shareholders for basic EPS $ 9,879 $ 18,171 $ 16,671

Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends

that are forfeitable 30 33 —

Net income allocated to common shareholders for diluted EPS $ 9,909 $ 18,204 $ 16,671

Weighted-average common shares outstanding applicable to basic EPS (in millions) $ 2,085.8 $ 2,249.2 $ 2,493.3

Effect of dilutive securities

Options

(3)

0.1 0.1 0.1

Other employee plans 13.1 16.0 1.4

Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)

(4)

2,099.0 2,265.3 2,494.8

Diluted earnings per share

(2)

Income from continuing operations $ 4.73 $ 8.04 $ 6.69

Discontinued operations (0.01) — —

Net income per share—diluted $ 4.72 $ 8.04 $ 6.68

(1) See Note 20 to the Consolidated Financial Statements for the potential future impact of preferred stock dividends.

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

(3) During 2020, weighted-average options to purchase 0.1 million shares of common stock were outstanding but not included in the computation of earnings per

share because the weighted-average exercise price of $56.25 per share was anti-dilutive. During 2019, no significant options to purchase shares of common stock

were outstanding. During 2018, weighted-average options to purchase 0.5 million shares of common stock were outstanding but not included in the computation

of earnings per share because the weighted-average exercise prices of $145.69 per share was anti-dilutive.

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

common shares outstanding applicable to diluted EPS.

187

11. SECURITIES BORROWED, LOANED AND

SUBJECT TO REPURCHASE AGREEMENTS

Securities borrowed and purchased under agreements to

resell, at their respective carrying values, consisted of the

following:

December 31,

In millions of dollars

2020 2019

Securities purchased under

agreements to resell $ 204,655 $ 169,874

Deposits paid for securities

borrowed 90,067 81,448

Total, net

(1)

$ 294,722 $ 251,322

Allowance for credit losses on

securities purchased and

borrowed

(2)

(10) —

Total, net of allowance $ 294,712 $ 251,322

Securities loaned and sold under agreements to

repurchase, at their respective carrying values, consisted of

the following:

December 31,

In millions of dollars

2020 2019

Securities sold under agreements

to repurchase $ 181,194 $ 155,164

Deposits received for securities

loaned 18,331 11,175

Total, net

(1)

$ 199,525 $ 166,339

(1) The above tables do not include securities-for-securities lending

transactions of $6.8 billion and $6.3 billion at December 31, 2020 and

2019, 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 15 to the Consolidated Financial Statements for further

information.

The resale and repurchase agreements represent

collateralized financing transactions. Citi executes these

transactions primarily through its broker-dealer subsidiaries to

facilitate customer matched-book activity and to efficiently

fund a portion of Citi’s trading inventory. Transactions

executed by Citi’s bank subsidiaries primarily facilitate

customer financing activity.

To maintain reliable funding under a wide range of

market conditions, including under periods of stress, Citi

manages these activities by taking into consideration the

quality of the underlying collateral and stipulating financing

tenor. Citi manages the risks in its collateralized financing

transactions by conducting daily stress tests to account for

changes in capacity, tenors, haircut, collateral profile and

client actions. In addition, Citi maintains counterparty

diversification by establishing concentration triggers and

assessing counterparty reliability and stability under stress.

It is the Company’s policy to take possession of the

underlying collateral, monitor its market value relative to the

amounts due under the agreements and, when necessary,

require prompt transfer of additional collateral in order to

maintain contractual margin protection. For resale and

repurchase agreements, when necessary, the Company posts

additional collateral in order to maintain contractual margin

protection.

Collateral typically consists of government and

government-agency securities, corporate and municipal bonds,

equities and mortgage- and other asset-backed securities.

The resale and repurchase agreements are generally

documented under industry standard agreements that allow the

prompt close-out of all transactions (including the liquidation

of securities held) and the offsetting of obligations to return

cash or securities by the non-defaulting party, following a

payment default or other type of default under the relevant

master agreement. Events of default generally include

(i) failure to deliver cash or securities as required under the

transaction, (ii) failure to provide or return cash or securities

as used for margining purposes, (iii) breach of representation,

(iv) cross-default to another transaction entered into among the

parties, or, in some cases, their affiliates and (v) a repudiation

of obligations under the agreement. The counterparty that

receives the securities in these transactions is generally

unrestricted in its use of the securities, with the exception of

transactions executed on a tri-party basis, where the collateral

is maintained by a custodian and operational limitations may

restrict its use of the securities.

A substantial portion of the resale and repurchase

agreements is recorded at fair value, as described in Notes 24

and 25 to the Consolidated Financial Statements. The

remaining portion is carried at the amount of cash initially

advanced or received, plus accrued interest, as specified in the

respective agreements.

The securities borrowing and lending agreements also

represent collateralized financing transactions similar to the

resale and repurchase agreements. Collateral typically consists

of government and government-agency securities and

corporate debt and equity securities.

Similar to the resale and repurchase agreements, securities

borrowing and lending agreements are generally documented

under industry standard agreements that allow the prompt

close-out of all transactions (including the liquidation of

securities held) and the offsetting of obligations to return cash

or securities by the non-defaulting party, following a payment

default or other default by the other party under the relevant

master agreement. Events of default and rights to use

securities under the securities borrowing and lending

agreements are similar to the resale and repurchase agreements

referenced above.

A substantial portion of securities borrowing and lending

agreements is recorded at the amount of cash advanced or

received. The remaining portion is recorded at fair value as the

Company elected the fair value option for certain securities

borrowed and loaned portfolios, as described in Note 25 to the

Consolidated Financial Statements. With respect to securities

loaned, the Company receives cash collateral in an amount

generally in excess of the market value of the securities

loaned. The Company monitors the market value of securities

borrowed and securities loaned on a daily basis and obtains or

posts additional collateral in order to maintain contractual

margin protection.

188

The enforceability of offsetting rights incorporated in the

master netting agreements for resale and repurchase

agreements, and securities borrowing and lending agreements,

is evidenced to the extent that (i) a supportive legal opinion

has been obtained from counsel of recognized standing that

provides the requisite level of certainty regarding the

enforceability of these agreements and (ii) the exercise of

rights by the non-defaulting party to terminate and close out

transactions on a net basis under these agreements will not be

stayed or avoided under applicable law upon an event of

default including bankruptcy, insolvency or similar

proceeding.

A legal opinion may not have been sought or obtained for

certain jurisdictions where local law is silent or sufficiently

ambiguous to determine the enforceability of offsetting rights

or where adverse case law or conflicting regulation may cast

doubt on the enforceability of such rights. In some

jurisdictions and for some counterparty types, the insolvency

law for a particular counterparty type may be nonexistent or

unclear as overlapping regimes may exist. For example, this

may be the case for certain sovereigns, municipalities, central

banks and U.S. pension plans.

The following tables present the gross and net resale and

repurchase agreements and securities borrowing and lending

agreements and the related offsetting amounts permitted under

ASC 210-20-45. The tables also include amounts related to

financial instruments that are not permitted to be offset under

ASC 210-20-45, but would be eligible for offsetting to the

extent that an event of default has occurred and a legal opinion

supporting enforceability of the offsetting rights has been

obtained. Remaining exposures continue to be secured by

financial collateral, but the Company may not have sought or

been able to obtain a legal opinion evidencing enforceability

of the offsetting right.

As of December 31, 2020

In millions of dollars

Gross amounts

of recognized

assets

Gross amounts

offset on the

Consolidated

Balance Sheet

(1)

Net amounts of

assets included on

the Consolidated

Balance Sheet

Amounts

not offset on the

Consolidated Balance

Sheet but eligible for

offsetting upon

counterparty default

(2)

Net

amounts

(3)

Securities purchased under agreements to

resell $ 362,025 $ 157,370 $ 204,655 $ 159,232 $ 45,423

Deposits paid for securities borrowed 96,425 6,358 90,067 13,474 76,593

Total $ 458,450 $ 163,728 $ 294,722 $ 172,706 $ 122,016

In millions of dollars

Gross amounts

of recognized

liabilities

Gross amounts

offset on the

Consolidated

Balance Sheet

(1)

Net amounts of

liabilities included on

the Consolidated

Balance Sheet

Amounts

not offset on the

Consolidated Balance

Sheet but eligible for

offsetting upon

counterparty default

(2)

Net

amounts

(3)

Securities sold under agreements to

repurchase $ 338,564 $ 157,370 $ 181,194 $ 95,563 $ 85,631

Deposits received for securities loaned 24,689 6,358 18,331 7,982 10,349

Total $ 363,253 $ 163,728 $ 199,525 $ 103,545 $ 95,980

As of December 31, 2019

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 $ 281,274 $ 111,400 $ 169,874 $ 134,150 $ 35,724

Deposits paid for securities borrowed 90,047 8,599 81,448 27,067 54,381

Total $ 371,321 $ 119,999 $ 251,322 $ 161,217 $ 90,105

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 $ 266,564 $ 111,400 $ 155,164 $ 91,034 $ 64,130

Deposits received for securities loaned 19,774 8,599 11,175 3,138 8,037

Total $ 286,338 $ 119,999 $ 166,339 $ 94,172 $ 72,167

189

(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 December 31, 2020

In millions of dollars

Open and

overnight Up to 30 days 31–90 days

Greater than

90 days Total

Securities sold under agreements to repurchase $ 160,754 $ 98,226 $ 41,679 $ 37,905 $ 338,564

Deposits received for securities loaned 17,038 3 2,770 4,878 24,689

Total $ 177,792 $ 98,229 $ 44,449 $ 42,783 $ 363,253

As of December 31, 2019

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 $ 108,534 $ 82,749 $ 35,108 $ 40,173 $ 266,564

Deposits received for securities loaned 15,758 208 1,789 2,019 19,774

Total $ 124,292 $ 82,957 $ 36,897 $ 42,192 $ 286,338

The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending

agreements by class of underlying collateral:

As of December 31, 2020

In millions of dollars

Repurchase

agreements

Securities lending

agreements Total

U.S. Treasury and federal agency securities $ 112,437 $ — $ 112,437

State and municipal securities 664 2 666

Foreign government securities 130,017 194 130,211

Corporate bonds 20,149 78 20,227

Equity securities 21,497 24,149 45,646

Mortgage-backed securities 45,566 — 45,566

Asset-backed securities 3,307 — 3,307

Other 4,927 266 5,193

Total $ 338,564 $ 24,689 $ 363,253

As of December 31, 2019

In millions of dollars

Repurchase

agreements

Securities lending

agreements Total

U.S. Treasury and federal agency securities $ 100,781 $ 27 $ 100,808

State and municipal securities 1,938 5 1,943

Foreign government securities 95,880 272 96,152

Corporate bonds 18,761 249 19,010

Equity securities 12,010 19,069 31,079

Mortgage-backed securities 28,458 — 28,458

Asset-backed securities 4,873 — 4,873

Other 3,863 152 4,015

Total $ 266,564 $ 19,774 $ 286,338

190

12. BROKERAGE RECEIVABLES AND BROKERAGE

PAYABLES

The Company has receivables and payables for financial

instruments sold to and purchased from brokers, dealers and

customers, which arise in the ordinary course of business. Citi

is exposed to risk of loss from the inability of brokers, dealers

or customers to pay for purchases or to deliver the financial

instruments sold, in which case Citi would have to sell or

purchase the financial instruments at prevailing market prices.

Credit risk is reduced to the extent that an exchange or

clearing organization acts as a counterparty to the transaction

and replaces the broker, dealer or customer in question.

Citi seeks to protect itself from the risks associated with

customer activities by requiring customers to maintain margin

collateral in compliance with regulatory and internal

guidelines. Margin levels are monitored daily, and customers

deposit additional collateral as required. Where customers

cannot meet collateral requirements, Citi may liquidate

sufficient underlying financial instruments to bring the

customer into compliance with the required margin level.

Exposure to credit risk is impacted by market volatility,

which may impair the ability of clients to satisfy their

obligations to Citi. Credit limits are established and closely

monitored for customers and for brokers and dealers engaged

in forwards, futures and other transactions deemed to be credit

sensitive.

Brokerage receivables and Brokerage payables consisted

of the following:

December 31,

In millions of dollars

2020 2019

Receivables from customers

$ 18,097 $ 15,912

Receivables from brokers,

dealers and clearing

organizations

26,709 23,945

Total brokerage receivables

(1)

$ 44,806 $ 39,857

Payables to customers

$ 39,319 $ 37,613

Payables to brokers, dealers and

clearing organizations

11,165 10,988

Total brokerage payables

(1)

$ 50,484 $ 48,601

(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.

191

13. INVESTMENTS

The following table presents Citi’s investments by category:

December 31,

In millions of dollars

2020 2019

Debt securities available-for-sale (AFS) $ 335,084 $ 280,265

Debt securities held-to-maturity (HTM)

(1)

104,943 80,775

Marketable equity securities carried at fair value

(2)

515 458

Non-marketable equity securities carried at fair value

(2)

551 704

Non-marketable equity securities measured using the measurement alternative

(3)

962 700

Non-marketable equity securities carried at cost

(4)

5,304 5,661

Total investments $ 447,359 $ 368,563

(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:

In millions of dollars

2020 2019 2018

Taxable interest $ 7,554 $ 9,269 $ 8,704

Interest exempt from U.S. federal income tax 301 404 521

Dividend income 134 187 269

Total interest and dividend income on investments $ 7,989 $ 9,860 $ 9,494

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

In millions of dollars

2020 2019 2018

Gross realized investment gains $ 1,895 $ 1,599 $ 682

Gross realized investment losses (139) (125) (261)

Net realized gains on sales of investments $ 1,756 $ 1,474 $ 421

192

The Company from time to time may sell certain debt

securities that were classified as HTM. These sales are in

response to significant deterioration in the creditworthiness of

the issuers or securities or because the Company has collected

a substantial portion (at least 85%) of the principal outstanding

at acquisition of the security. In addition, certain other debt

securities were reclassified to AFS investments in response to

significant credit deterioration. Because the Company

generally intends to sell these reclassified debt securities, Citi

recorded impairment on the securities. In 2018, $61 million of

HTM debt securities were sold and $8 million of HTM debt

securities were reclassified to AFS in accordance with

generally accepting accounting standards. There were no such

activities during 2019 and 2020.

Debt Securities Available-for-Sale

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

December 31, 2020 December 31, 2019

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

Fair

value

Debt securities AFS

Mortgage-backed securities

(1)

U.S. government-sponsored

agency guaranteed $ 42,836 $ 1,134 $ 52 $ — $ 43,918 $ 34,963 $ 547 $ 280 $ 35,230

Non-U.S. residential 568 3 — — 571 789 3 — 792

Commercial 49 1 — — 50 75 — — 75

Total mortgage-backed

securities $ 43,453 $ 1,138 $ 52 $ — $ 44,539 $ 35,827 $ 550 $ 280 $ 36,097

U.S. Treasury and federal

agency securities

U.S. Treasury $ 144,094 $ 2,108 $ 49 $ — $ 146,153 $ 106,429 $ 50 $ 380 $ 106,099

Agency obligations 50 1 — — 51 5,336 3 20 5,319

Total U.S. Treasury and federal

agency securities $ 144,144 $ 2,109 $ 49 $ — $ 146,204 $ 111,765 $ 53 $ 400 $ 111,418

State and municipal $ 3,753 $ 13 $ 47 $ — $ 3,719 $ 5,024 $ 43 $ 89 $ 4,978

Foreign government 123,467 1,623 122 — 124,968 110,958 586 241 111,303

Corporate 10,444 152 91 5 10,500 11,266 52 101 11,217

Asset-backed securities

(1)

277 5 4 — 278 524 — 2 522

Other debt securities 4,871 5 — — 4,876 4,729 1 — 4,730

Total debt securities AFS $ 330,409 $ 5,045 $ 365 $ 5 $ 335,084 $ 280,093 $ 1,285 $ 1,113 $ 280,265

(1) The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. The Company’s maximum

exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed

securitizations in which the Company has other involvement, see Note 21 to the Consolidated Financial Statements.

At December 31, 2020, the amortized cost of fixed

income securities exceeded their fair value by $365 million.

Of the $365 million, $280 million represented unrealized

losses on fixed income investments that have been in a gross-

unrealized-loss position for less than a year and, of these, 70%

were rated investment grade; and $85 million represented

unrealized losses on fixed income investments that have been

in a gross-unrealized-loss position for a year or more and, of

these, 78% were rated investment grade. Of the $85 million,

$61 million represents foreign government securities.

193

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

December 31, 2020

Debt securities AFS

Mortgage-backed securities

U.S. government-sponsored agency guaranteed $ 3,588 $ 30 $ 298 $ 22 $ 3,886 $ 52

Non-U.S. residential 1 — — — 1 —

Commercial 7 — 4 — 11 —

Total mortgage-backed securities $ 3,596 $ 30 $ 302 $ 22 $ 3,898 $ 52

U.S. Treasury and federal agency securities

U.S. Treasury $ 25,031 $ 49 $ — $ — $ 25,031 $ 49

Agency obligations 50 — — — 50 —

Total U.S. Treasury and federal agency securities $ 25,081 $ 49 $ — $ — $ 25,081 $ 49

State and municipal $ 3,214 $ 47 $ 24 $ — $ 3,238 $ 47

Foreign government 29,344 61 3,502 61 32,846 122

Corporate 1,083 90 24 1 1,107 91

Asset-backed securities 194 3 39 1 233 4

Other debt securities 182 — — — 182 —

Total debt securities AFS $ 62,694 $ 280 $ 3,891 $ 85 $ 66,585 $ 365

December 31, 2019

Debt securities AFS

Mortgage-backed securities

U.S. government-sponsored agency guaranteed $ 9,780 $ 242 $ 1,877 $ 38 $ 11,657 $ 280

Non-U.S. residential 208 — 1 — 209 —

Commercial 16 — 27 — 43 —

Total mortgage-backed securities $ 10,004 $ 242 $ 1,905 $ 38 $ 11,909 $ 280

U.S. Treasury and federal agency securities

U.S. Treasury $ 45,484 $ 248 $ 26,907 $ 132 $ 72,391 $ 380

Agency obligations 781 2 3,897 18 4,678 20

Total U.S. Treasury and federal agency securities $ 46,265 $ 250 $ 30,804 $ 150 $ 77,069 $ 400

State and municipal $ 362 $ 62 $ 266 $ 27 $ 628 $ 89

Foreign government 35,485 149 8,170 92 43,655 241

Corporate 2,916 98 123 3 3,039 101

Asset-backed securities 112 1 166 1 278 2

Other debt securities 1,307 — — — 1,307 —

Total debt securities AFS $ 96,451 $ 802 $ 41,434 $ 311 $ 137,885 $ 1,113

194

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

December 31,

2020 2019

In millions of dollars

Amortized

cost

Fair

value

Amortized

cost

Fair

value

Mortgage-backed securities

(1)

Due within 1 year $ 27 $ 27 $ 20 $ 20

After 1 but within 5 years 567 571 573 574

After 5 but within 10 years 688 757 594 626

After 10 years

(2)

42,171 43,184 34,640 34,877

Total $ 43,453 $ 44,539 $ 35,827 $ 36,097

U.S. Treasury and federal agency securities

Due within 1 year $ 34,834 $ 34,951 $ 40,757 $ 40,688

After 1 but within 5 years 108,160 110,091 70,128 69,850

After 5 but within 10 years 1,150 1,162 854 851

After 10 years

(2)

— — 26 29

Total $ 144,144 $ 146,204 $ 111,765 $ 111,418

State and municipal

Due within 1 year $ 427 $ 428 $ 932 $ 932

After 1 but within 5 years 189 198 714 723

After 5 but within 10 years 276 267 195 215

After 10 years

(2)

2,861 2,826 3,183 3,108

Total $ 3,753 $ 3,719 $ 5,024 $ 4,978

Foreign government

Due within 1 year $ 48,133 $ 48,258 $ 42,611 $ 42,666

After 1 but within 5 years 67,365 68,586 58,820 59,071

After 5 but within 10 years 5,908 6,011 8,192 8,198

After 10 years

(2)

2,061 2,113 1,335 1,368

Total $ 123,467 $ 124,968 $ 110,958 $ 111,303

All other

(3)

Due within 1 year $ 6,661 $ 6,665 $ 7,306 $ 7,311

After 1 but within 5 years 7,814 7,891 8,279 8,275

After 5 but within 10 years 1,018 1,034 818 797

After 10 years

(2)

99 64 116 86

Total $ 15,592 $ 15,654 $ 16,519 $ 16,469

Total debt securities AFS $ 330,409 $ 335,084 $ 280,093 $ 280,265

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

issued by VIEs through securitization transactions.

(2) Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.

(3) Includes corporate, asset-backed and other debt securities.

195

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

December 31, 2020

Debt securities HTM

Mortgage-backed securities

(2)

U.S. government-sponsored agency guaranteed $ 49,004 $ 2,162 $ 15 $ 51,151

Non-U.S. residential 1,124 3 1 1,126

Commercial 825 1 1 825

Total mortgage-backed securities $ 50,953 $ 2,166 $ 17 $ 53,102

U.S. Treasury securities

(3)

$ 21,293 $ 4 $ 55 $ 21,242

State and municipal 9,185 755 11 9,929

Foreign government 1,931 91 — 2,022

Asset-backed securities

(2)

21,581 6 92 21,495

Total debt securities HTM, net $ 104,943 $ 3,022 $ 175 $ 107,790

December 31, 2019

Debt securities HTM

Mortgage-backed securities

(2)(4)

U.S. government-sponsored agency guaranteed $ 46,637 $ 1,047 $ 21 $ 47,663

Non-U.S. residential 1,039 5 — 1,044

Commercial 582 1 — 583

Total mortgage-backed securities $ 48,258 $ 1,053 $ 21 $ 49,290

State and municipal

(5)

$ 9,104 $ 455 $ 28 $ 9,531

Foreign government 1,934 37 1 1,970

Asset-backed securities

(2)

21,479 12 59 21,432

Total debt securities HTM $ 80,775 $ 1,557 $ 109 $ 82,223

(1) Amortized cost is reported net of ACL of $86 million at December 31, 2020. There was no allowance as of December 31, 2019 due to CECL not being adopted

until January 1, 2020.

(2) The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss

from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the

Company has other involvement, see Note 21 to the Consolidated Financial Statements.

(3) In August 2020, Citibank transferred $13.1 billion of investments in U.S. Treasury securities from AFS classification to HTM classification in accordance with

ASC 320. At the time of transfer, the securities were in an unrealized gain position of $144 million. The gain amounts will remain in AOCI and will be amortized

over the remaining life of the securities.

(4) In March 2019, Citibank transferred $5 billion of agency residential mortgage-backed securities (RMBS) 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 $56 million. The loss amounts will remain in AOCI and be

amortized over the remaining life of the securities.

(5) In December 2019, Citibank transferred $173 million of state and municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At

the time of transfer, the bonds were in an unrealized gain position of $5 million. The gain amounts will remain in AOCI and be amortized over the remaining life

of the securities.

196

The Company has the positive intent and ability to hold

these securities to maturity or, where applicable, to exercise

any issuer call options, absent any unforeseen significant

changes in circumstances, including deterioration in credit or

changes in regulatory capital requirements.

The net unrealized losses classified in AOCI for HTM

securities primarily relate to debt securities previously

classified as AFS that were transferred to HTM, and include

any cumulative fair value hedge adjustments. The net

unrealized loss amount also includes any non-credit-related

changes in fair value of HTM debt securities that have

suffered credit impairment recorded in earnings. The AOCI

balance related to HTM debt securities is amortized as an

adjustment of yield, in a manner consistent with the accretion

of any difference between the carrying value at the transfer

date and par value of the same debt securities.

The table below shows the fair value of debt securities HTM that have been in an unrecognized loss position at December 31, 2019:

Less than 12 months 12 months or longer Total

In millions of dollars

Fair

value

Gross

unrecognized

losses

Fair

value

Gross

unrecognized

losses

Fair

value

Gross

unrecognized

losses

December 31, 2019

Debt securities HTM

Mortgage-backed securities $ 3,590 $ 10 $ 1,116 $ 11 $ 4,706 $ 21

State and municipal 34 1 1,125 27 1,159 28

Foreign government 1,970 1 — — 1,970 1

Asset-backed securities 7,972 11 765 48 8,737 59

Total debt securities HTM $ 13,566 $ 23 $ 3,006 $ 86 $ 16,572 $ 109

Note: Excluded from the gross unrecognized losses presented in the table above are $(582) million of net unrealized losses recorded in AOCI as of December 31, 2019,

primarily related to the difference between the amortized cost and carrying value of HTM debt securities that were reclassified from AFS. Substantially all of these net

unrecognized losses relate to securities that have been in a loss position for 12 months or longer at December 31, 2019.

197

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

December 31,

2020 2019

In millions of dollars

Amortized

cost

(1)

Fair value

Amortized

cost Fair value

Mortgage-backed securities

Due within 1 year $ 81 $ 81 $ 17 $ 17

After 1 but within 5 years 463 477 458 463

After 5 but within 10 years 1,699 1,873 1,662 1,729

After 10 years

(2)

48,710 50,671 46,121 47,081

Total $ 50,953 $ 53,102 $ 48,258 $ 49,290

U.S. Treasury securities

Due within 1 year $ — $ — $ — $ —

After 1 but within 5 years 18,955 19,127 — —

After 5 but within 10 years 2,338 2,115 — —

After 10 years

(2)

— — — —

Total $ 21,293 $ 21,242 $ — $ —

State and municipal

Due within 1 year $ 6 $ 6 $ 2 $ 26

After 1 but within 5 years 139 142 123 160

After 5 but within 10 years 818 869 597 590

After 10 years

(2)

8,222 8,912 8,382 8,755

Total $ 9,185 $ 9,929 $ 9,104 $ 9,531

Foreign government

Due within 1 year $ 361 $ 360 $ 650 $ 652

After 1 but within 5 years 1,570 1,662 1,284 1,318

After 5 but within 10 years — — — —

After 10 years

(2)

— — — —

Total $ 1,931 $ 2,022 $ 1,934 $ 1,970

All other

(3)

Due within 1 year $ — $ — $ — $ —

After 1 but within 5 years — — — —

After 5 but within 10 years 11,795 15,020 8,545 8,543

After 10 years

(2)

9,786 6,475 12,934 12,889

Total $ 21,581 $ 21,495 $ 21,479 $ 21,432

Total debt securities HTM $ 104,943 $ 107,790 $ 80,775 $ 82,223

(1) Amortized cost is reported net of ACL of $86 million at December 31, 2020. There was no allowance as of December 31, 2019 due to CECL not being adopted

until January 1, 2020.

(2) Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.

(3) Includes corporate and asset-backed securities.

HTM Debt Securities Delinquency and Non-Accrual

Details

Citi did not have any HTM securities that were delinquent or

on non-accrual status at December 31, 2020.

There were no purchased credit-deteriorated HTM debt

securities held by the Company as of December 31, 2020.

198

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

ACL. 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 ACL is limited to the amount by which the

AFS debt security’s amortized cost basis exceeds its fair value.

The allowance is increased or decreased if credit conditions

subsequently worsen or improve. Reversals of credit losses are

recognized in earnings.

The Company’s review for impairment of AFS debt

securities generally entails:

• identification and evaluation of impaired investments;

• consideration of evidential matter, including an evaluation

of factors or triggers that could cause individual positions

to qualify as credit impaired and those that would not

support credit impairment; and

• documentation of the results of these analyses, as required

under business policies.

The sections below describe the Company’s process for

identifying expected credit impairments for debt security types

that have the most significant unrealized losses as of

December 31, 2020.

Mortgage-Backed Securities

Citi records no allowances for credit losses on U.S.

government-agency-guaranteed mortgage-backed securities,

because the Company expects to incur no credit losses in the

event of default due to a history of incurring no credit losses

and due to the nature of the counterparties.

State and Municipal Securities

The process for estimating credit losses in Citigroup’s AFS

state and municipal bonds is primarily based on a credit

analysis that incorporates third-party credit ratings. Citi

monitors the bond issuers and any insurers providing default

protection in the form of financial guarantee insurance. The

average external credit rating, ignoring any insurance, is Aa2/

AA. In the event of an external rating downgrade or other

indicator of credit impairment (i.e., based on instrument-

specific estimates of cash flows or probability of issuer

default), the subject bond is specifically reviewed for adverse

changes in the amount or timing of expected contractual

principal and interest payments.

For AFS state and municipal bonds with unrealized losses

that Citi plans to sell, or would more-likely-than-not be

required to sell, the full impairment is recognized in earnings.

For AFS state and municipal bonds where Citi has no intent to

sell and it is more-likely-than-not that the Company will not

be required to sell, Citi records an allowance for expected

credit losses for the amount it expects not to collect, capped at

the difference between the bond’s amortized cost basis and

fair value.

Equity Method Investments

Management assesses equity method investments that have

fair values that are lower than their respective carrying values

for other-than-temporary impairment (OTTI). Fair value is

measured as price multiplied by quantity if the investee has

publicly listed securities. If the investee is not publicly listed,

other methods are used (see Note 24 to the Consolidated

Financial Statements).

For impaired equity method investments that Citi plans to

sell prior to recovery of value or would more-likely-than-not

be required to sell, with no expectation that the fair value will

recover prior to the expected sale date, the full impairment is

recognized in earnings as OTTI regardless of severity and

duration. The measurement of the OTTI does not include

partial projected recoveries subsequent to the balance sheet

date.

For impaired equity method investments that management

does not plan to sell and is not more-likely-than-not to be

required to sell prior to recovery of value, the evaluation of

whether an impairment is other-than-temporary is based on

(i) whether and when an equity method investment will

recover in value and (ii) whether the investor has the intent

and ability to hold that investment for a period of time

sufficient to recover the value. The determination of whether

the impairment is considered other-than-temporary considers

the following indicators:

• the cause of the impairment and the financial condition

and near-term prospects of the issuer, including any

specific events that may influence the operations of the

issuer;

• the intent and ability to hold the investment for a period of

time sufficient to allow for any anticipated recovery in

market value; and

• the length of time and extent to which fair value has been

less than the carrying value.

199

Recognition and Measurement of Impairment

The following tables present total impairment on Investments recognized in earnings:

Year ended

December 31, 2020

In millions of dollars

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 109 — 109

Total impairment losses recognized in earnings $ 109 $ — $ 109

Year ended

December 31, 2019

In millions of dollars

AFS HTM

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 $ 1 $ — $ 1 $ 2

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 $ 1 $ — $ 1 $ 2

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 20 — 1 21

Total impairment losses recognized in earnings $ 21 $ — $ 2 $ 23

Year ended

December 31, 2018

In millions of dollars

AFS

(1)

HTM

Other

assets Total

Impairment losses related to securities that the Company does not intend to sell nor will

likely be required to sell:

Total impairment losses recognized during the period $ — $ — $ — $ —

Less: portion of impairment loss recognized in AOCI (before taxes) — — — —

Net impairment losses recognized in earnings for securities that the Company does not

intend to sell nor will likely be required to sell $ — $ — $ — $ —

Impairment losses recognized in earnings for securities that the Company intends to sell,

would more-likely-than-not be required to sell or will be subject to an issuer call deemed

probable of exercise 125 — — 125

Total impairment losses recognized in earnings $ 125 $ — $ — $ 125

(1) For the year ended December 31, 2018, amounts represent AFS debt securities.

200

The following presents the credit-related impairments recognized in earnings for AFS securities held that the Company does not intend

to sell nor will likely be required to sell at December 31, 2020:

Allowance for Credit Losses on AFS Debt Securities

Year ended December 31, 2020

In millions of dollars

Foreign

government Corporate Total AFS

Allowance for credit losses at beginning of year $ — $ — $ —

Less: Write-offs — — —

Recoveries of amounts written-off — 2 2

Net credit losses (NCLs) $ — $ 2 $ 2

NCLs $ — $ (2) $ (2)

Net reserve builds on securities that did not have previous reserves 3 5 8

Net reserve builds (releases) on securities that had previous reserves (3) — (3)

Total provision for credit losses $ — $ 3 $ 3

Initial allowance on newly purchased credit-deteriorated securities during the year — — —

Allowance for credit losses at end of year $ — $ 5 $ 5

The following are 12-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities

held that the Company does not intend to sell nor will likely be required to sell at December 31, 2019:

Cumulative OTTI credit losses recognized in earnings on debt securities still held

In millions of dollars

Dec. 31, 2018

balance

Credit

impairments

recognized in

earnings on

securities not

previously

impaired

Credit

impairments

recognized in

earnings on

securities

that have

been previously

impaired

Changes due to

credit-impaired

securities sold,

transferred or

matured

(1)

Dec. 31, 2019

balance

AFS debt securities

Mortgage-backed securities

(1)

$ 1 $ — $ — $ — $ 1

State and municipal — — 4 — 4

Corporate 4 — — — 4

All other debt securities — 1 — — 1

Total OTTI credit losses recognized for AFS debt

securities $ 5 $ 1 $ 4 $ — $ 10

HTM debt securities

State and municipal 3 — — — 3

Total OTTI credit losses recognized for HTM debt

securities $ 3 $ — $ — $ — $ 3

(1) Primarily consists of Prime securities.

201

Non-Marketable Equity Securities Not Carried at

Fair Value

Non-marketable equity securities are required to be measured

at fair value with changes in fair value recognized in earnings

unless (i) the measurement alternative is elected or (ii) the

investment represents Federal Reserve Bank and Federal

Home Loan Bank stock or certain exchange seats that continue

to be carried at cost.

The election to measure a non-marketable equity security

using the measurement alternative is made on an instrument-

by-instrument basis. Under the measurement alternative, an

equity security is carried at cost plus or minus changes

resulting from observable prices in orderly transactions for the

identical or a similar investment of the same issuer. The

carrying value of the equity security is adjusted to fair value

on the date of an observed transaction. Fair value may differ

from the observed transaction price due to a number of factors,

including marketability adjustments and differences in rights

and obligations when the observed transaction is not for the

identical investment held by Citi.

Equity securities under the measurement alternative are

also assessed for impairment. On a quarterly basis,

management qualitatively assesses whether each equity

security under the measurement alternative is impaired.

Impairment indicators that are considered include, but are not

limited to, the following:

• a significant deterioration in the earnings performance,

credit rating, asset quality or business prospects of the

investee;

• a significant adverse change in the regulatory, economic

or technological environment of the investee;

• a significant adverse change in the general market

condition of either the geographical area or the industry in

which the investee operates;

• a bona fide offer to purchase, an offer by the investee to

sell or a completed auction process for the same or similar

investment for an amount less than the carrying amount of

that investment; and

• factors that raise significant concerns about the investee’s

ability to continue as a going concern, such as negative

cash flows from operations, working capital deficiencies

or noncompliance with statutory capital requirements or

debt covenants.

When the qualitative assessment indicates that

impairment exists, the investment is written down to fair

value, with the full difference between the fair value of the

investment and its carrying amount recognized in earnings.

Below is the carrying value of non-marketable equity

securities measured using the measurement alternative at

December 31, 2020 and 2019:

In millions of dollars

December 31,

2020

December 31,

2019

Measurement alternative:

Carrying value $ 962 $ 700

Below are amounts recognized in earnings and life-to-date

amounts for non-marketable equity securities measured using

the measurement alternative:

Years ended December 31,

In millions of dollars

2020 2019

Measurement alternative

(1)

Impairment losses $ 56 $ 9

Downward changes for

observable prices 19 16

Upward changes for observable

prices 144 123

(1) See Note 24 to the Consolidated Financial Statements for additional

information on these nonrecurring fair value measurements.

Life-to-date amounts

on securities still held

In millions of dollars

December 31, 2020

Measurement alternative:

Impairment losses $ 68

Downward changes for observable prices 53

Upward changes for observable prices 486

A similar impairment analysis is performed for non-

marketable equity securities carried at cost. For the years

ended December 31, 2020 and 2019, there was no impairment

loss recognized in earnings for non-marketable equity

securities carried at cost.

202

Investments in Alternative Investment Funds That

Calculate Net Asset Value

The Company holds investments in certain alternative

investment funds that calculate net asset value (NAV), or its

equivalent, including private equity funds, funds of funds and

real estate funds, as provided by third-party asset managers.

Investments in such funds are generally classified as non-

marketable equity securities carried at fair value. The fair

values of these investments are estimated using the NAV of

the Company’s ownership interest in the funds. Some of these

investments are in “covered funds” for purposes of the

Volcker Rule, which prohibits certain proprietary investment

activities and limits the ownership of, and relationships with,

covered funds. On April 21, 2017, Citi’s request for extension

of the permitted holding period under the Volcker Rule for

certain of its investments in illiquid funds was approved,

allowing the Company to hold such investments until the

earlier of five years from the July 21, 2017 expiration date of

the general conformance period or the date such investments

mature or are otherwise conformed with the Volcker Rule.

Fair value

Unfunded

commitments

Redemption frequency

(if currently eligible)

monthly, quarterly, annually

Redemption

notice

period

In millions of dollars

December 31,

2020

December 31,

2019

December 31,

2020

December 31,

2019

Private equity funds

(1)(2)

$ 123 $ 134 $ 62 $ 62 — —

Real estate funds

(2)(3)

9 10 20 18 — —

Mutual/collective

investment funds 20 26 — —

Total $ 152 $ 170 $ 82 $ 80 — —

(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.

203

14. LOANS

Citigroup loans are reported in two categories: consumer and

corporate. These categories are classified primarily according

to the segment and subsegment that manage the loans.

Consumer Loans

Consumer loans represent loans and leases managed primarily

by GCB and Corporate/Other.

Citigroup has established a risk management process to

monitor, evaluate and manage the principal risks associated

with its consumer loan portfolio. Credit quality indicators that

are actively monitored include delinquency status, consumer

credit scores under Fair Isaac Corporation (FICO) and loan to

value (LTV) ratios, each as discussed in more detail below.

Included in the loan table above are lending products

whose terms may give rise to greater credit issues. Credit

cards with below-market introductory interest rates and

interest-only loans are examples of such products. These

products are closely managed using credit techniques that are

intended to mitigate their higher inherent risk.

Delinquency Status

Delinquency status is monitored and considered a key

indicator of credit quality of consumer loans. Principally, the

U.S. residential first mortgage loans use the Mortgage Bankers

Association (MBA) method of reporting delinquencies, which

considers a loan delinquent if a monthly payment has not been

received by the end of the day immediately preceding the

loan’s next due date. All other loans use a method of reporting

delinquencies that considers a loan delinquent if a monthly

payment has not been received by the close of business on the

loan’s next due date.

As a general policy, residential first mortgages, home

equity loans and installment loans are classified as non-accrual

when loan payments are 90 days contractually past due. Credit

cards and unsecured revolving loans generally accrue interest

until payments are 180 days past due. Home equity loans in

regulated bank entities are classified as non-accrual if the

related residential first mortgage is 90 days or more past due.

Mortgage loans, other than Federal Housing Administration

(FHA)-insured loans, are classified as non-accrual within 60

days of notification that the borrower has filed for bankruptcy.

The policy for re-aging modified U.S. consumer loans to

current status varies by product. Generally, one of the

conditions to qualify for these modifications is that a

minimum number of payments (typically ranging from one to

three) be made. Upon modification, the loan is re-aged to

current status. However, re-aging practices for certain open-

ended consumer loans, such as credit cards, are governed by

Federal Financial Institutions Examination Council (FFIEC)

guidelines. For open-ended consumer loans subject to FFIEC

guidelines, one of the conditions for a loan to be re-aged to

current status is that at least three consecutive minimum

monthly payments, or the equivalent amount, must be

received. In addition, under FFIEC guidelines, the number of

times that such a loan can be re-aged is subject to limitations

(generally once in 12 months and twice in five years).

Furthermore, FHA and Department of Veterans Affairs

(VA) loans are modified under those respective agencies’

guidelines and payments are not always required in order to

re-age a modified loan to current.

204

The following tables provide Citi’s consumer loans by type:

Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2020

In millions of dollars

Total

current

(1)(2)

30–89 days

past due

(3)(4)

≥ 90 days

past due

(3)(4)

Past due

government

guaranteed

(5)

Total

loans

Non-

accrual

loans for

which there

are no loan

loss

reserves

Non-

accrual

loans for

which

there are

loan loss

reserves

Total

non-

accrual

90 days

past due

and accruing

In North America offices

(6)

Residential first mortgages

(7)

$ 46,471 $ 402 $ 381 $ 524 $ 47,778 $ 136 $ 509 $ 645 $ 332

Home equity loans

(8)(9)

6,829 78 221 — 7,128 72 307 379 —

Credit cards 127,827 1,228 1,330 — 130,385 — — — 1,330

Personal, small business and other 4,472 27 10 — 4,509 2 33 35 —

Total $ 185,599 $ 1,735 $ 1,942 $ 524 $ 189,800 $ 210 $ 849 $ 1,059 $ 1,662

In offices outside North America

(6)

Residential first mortgages

(7)

$ 39,557 $ 213 $ 199 $ — $ 39,969 $ — $ 486 $ 486 $ —

Credit cards 21,718 429 545 — 22,692 — 384 384 376

Personal, small business and other 35,925 319 134 — 36,378 — 212 212 —

Total $ 97,200 $ 961 $ 878 $ — $ 99,039 $ — $ 1,082 $ 1,082 $ 376

Total Citigroup

(10)

$ 282,799 $ 2,696 $ 2,820 $ 524 $ 288,839 $ 210 $ 1,931 $ 2,141 $ 2,038

Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2019

In millions of dollars

Total

current

(1)(2)

30–89 days

past due

(3)

≥ 90 days

past due

(3)

Past due

government

guaranteed

(5)

Total

loans

Total

non-

accrual

90 days

past due

and accruing

In North America offices

(6)

Residential first mortgages

(7)

$ 45,942 $ 411 $ 221 $ 434 $ 47,008 $ 479 $ 288

Home equity loans

(8)(9)

8,860 174 189 — 9,223 405 —

Credit cards 145,477 1,759 1,927 — 149,163 — 1,927

Personal, small business and other 3,641 44 14 — 3,699 21 —

Total $ 203,920 $ 2,388 $ 2,351 $ 434 $ 209,093 $ 905 $ 2,215

In offices outside North America

(6)

Residential first mortgages

(7)

$ 37,654 $ 210 $ 160 $ — $ 38,024 $ 425 $ —

Credit cards 25,111 426 372 — 25,909 310 242

Personal, small business and other 36,118 272 132 — 36,522 176 —

Total $ 98,883 $ 908 $ 664 $ — $ 100,455 $ 911 $ 242

Total Citigroup

(10)

$ 302,803 $ 3,296 $ 3,015 $ 434 $ 309,548 $ 1,816 $ 2,457

(1) Loans less than 30 days past due are presented as current.

(2) Includes $14 million and $18 million at December 31, 2020 and 2019, respectively, of residential first mortgages recorded at fair value.

(3) Excludes loans guaranteed by U.S. government-sponsored agencies.

(4) Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification, and thus

almost all would not be reported as 30-89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be

renewed by the customer).

(5) Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.2 billion and $0.1 billion and

90 days or more past due of $0.4 billion and $0.3 billion at December 31, 2020 and 2019, respectively.

(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 $0.1 billion at December 31, 2020 and 2019, respectively, of residential first mortgage loans in process of foreclosure.

(8) Includes approximately $0.1 billion and $0.1 billion at December 31, 2020 and 2019, respectively, of home equity loans in process of foreclosure.

(9) Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.

(10) Consumer loans are net of unearned income of $749 million and $783 million at December 31, 2020 and 2019, respectively. Unearned income on consumer loans

primarily represents unamortized origination fees and costs, premiums and discounts.

205

Interest Income Recognized for Non-Accrual Consumer Loans

Interest income

In millions of dollars

For the year ended

December 31, 2020

In North America offices

(1)

Residential first mortgages $ 15

Home equity loans 8

Credit cards —

Personal, small business and other —

Total $ 23

In offices outside North America

(1)

Residential first mortgages $ —

Credit cards —

Personal, small business and other —

Total $ —

Total Citigroup $ 23

(1) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

During the years ended December 31, 2020 and 2019, the Company sold and/or reclassified to HFS $414 million and $2,857 million,

respectively, of consumer loans.

206

Consumer Credit Scores (FICO)

In the U.S., independent credit agencies rate an individual’s

risk for assuming debt based on the individual’s credit history

and assign every consumer a Fair Isaac Corporation (FICO)

credit score. These scores are continually updated by the

agencies based upon an individual’s credit actions (e.g., taking

out a loan or missed or late payments).

The following tables provide details on the FICO scores

for Citi’s U.S. consumer loan portfolio based on end-of-period

receivables by year of origination. FICO scores are updated

monthly for substantially all of the portfolio or, otherwise, on

a quarterly basis for the remaining portfolio.

FICO score distribution in U.S. portfolio

(1)

December 31, 2020

In millions of dollars

Less than

680 680 to 760

Greater

than 760

FICO not

available Total loans

Residential first mortgages

2020 $ 187 $ 3,741 $ 9,052

2019 150 1,857 5,384

2018 246 655 1,227

2017 298 846 1,829

2016 323 1,368 3,799

Prior 1,708 4,133 9,105

Total residential first mortgages $ 2,912 $ 12,600 $ 30,396 $ 1,870 $ 47,778

Credit cards

(2)

$ 26,227 $ 52,778 $ 49,767 $ 1,041 $ 129,813

Home equity loans (pre-reset) $ 292 $ 1,014 $ 1,657

Home equity loans (post-reset) 1,055 1,569 1,524

Total home equity loans $ 1,347 $ 2,583 $ 3,181 $ 17 $ 7,128

Installment and other

2020 $ 23 $ 58 $ 95

2019 79 106 134

2018 82 80 84

2017 26 27 30

2016 10 9 8

Prior 214 393 529

Personal, small business and other $ 434 $ 673 $ 880 $ 2,522 $ 4,509

Total $ 30,920 $ 68,634 $ 84,224 $ 5,450 $ 189,228

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

(2) Excludes $572 million of balances related to Canada.

FICO score distribution in U.S. portfolio

(1)

December 31, 2019

In millions of dollars

Less than

680 680 to 760

Greater

than 760

FICO not

available Total loans

Residential first mortgages $ 3,608 $ 13,264 $ 28,442 $ 1,694 $ 47,008

Credit cards

(2)

33,290 59,536 52,935 2,773 148,534

Home equity loans 1,901 3,530 3,732 60 9,223

Personal, small business and other 564 907 1,473 755 3,699

Total $ 39,363 $ 77,237 $ 86,582 $ 5,282 $ 208,464

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

(2) Excludes $629 million of balances related to Canada.

207

Loan to Value (LTV) Ratios

LTV ratios (loan balance divided by appraised value) are

calculated at origination and updated by applying market price

data.

The following tables provide details on the LTV ratios for

Citi’s U.S. consumer mortgage portfolios. LTV ratios are

updated monthly using the most recent Core Logic Home

Price Index data available for substantially all of the portfolio

applied at the Metropolitan Statistical Area level, if available,

or the state level if not. The remainder of the portfolio is

updated in a similar manner using the Federal Housing

Finance Agency indices.

LTV distribution in U.S. portfolio December 31, 2020

In millions of dollars

Less than

or equal

to 80%

> 80% but less

than or equal

to 100%

Greater

than

100%

LTV not

available Total

Residential first mortgages

2020 $ 11,447 $ 1,543 $ —

2019 7,029 376 2

2018 1,617 507 11

2017 2,711 269 4

2016 5,423 84 2

Prior 14,966 66 16

Total residential first mortgages $ 43,193 $ 2,845 $ 35 $ 1,705 $ 47,778

Home equity loans (pre-reset) $ 2,876 $ 50 $ 16

Home equity loans (post-reset) 3,782 290 58

Total home equity loans $ 6,658 $ 340 $ 74 $ 56 $ 7,128

Total $ 49,851 $ 3,185 $ 109 $ 1,761 $ 54,906

LTV distribution in U.S. portfolio December 31, 2019

In millions of dollars

Less than

equal to

80%

> 80% but less

than or equal to

100%

Greater

than

100%

LTV not

available Total

Residential first mortgages $ 41,993 $ 3,313 $ 98 $ 1,604 $ 47,008

Home equity loans 8,101 829 237 56 9,223

Total $ 50,094 $ 4,142 $ 335 $ 1,660 $ 56,231

208

Impaired Consumer Loans

A loan is considered impaired when Citi believes it is probable

that all amounts due according to the original contractual

terms of the loan will not be collected. Impaired consumer

loans include non-accrual loans, as well as smaller-balance

homogeneous loans whose terms have been modified due to

the borrower’s financial difficulties and where Citi has granted

a concession to the borrower. These modifications may

include interest rate reductions and/or principal forgiveness.

Impaired consumer loans exclude smaller-balance

homogeneous loans that have not been modified and are

carried on a non-accrual basis.

The following tables present information about impaired

consumer loans and interest income recognized on impaired

consumer loans:

At and for the year ended December 31, 2020

In millions of dollars

Recorded

investment

(1)(2)

Unpaid

principal

balance

specific

allowance

(3)

Average

carrying

value

(4)

Interest

income

recognized

(5)

Mortgage and real estate

Residential first mortgages $ 1,787 $ 1,962 $ 157 $ 1,661 $ 68

Home equity loans 478 651 60 527 13

Credit cards 1,982 2,135 918 1,926 106

Personal, small business and other 552 552 210 463 63

Total $ 4,799 $ 5,300 $ 1,345 $ 4,577 $ 250

At and for the year ended December 31, 2019

In millions of dollars

Recorded

investment

(1)(2)

Unpaid

principal

balance

specific

allowance

(3)

Average

carrying

value

(4)

Interest

income

recognized

(5)

Mortgage and real estate

Residential first mortgages $ 1,666 $ 1,838 $ 161 $ 1,925 $ 60

Home equity loans 592 824 123 637 9

Credit cards 1,931 2,288 771 1,890 103

Personal, small business and other 419 455 135 683 55

Total $ 4,608 $ 5,405 $ 1,190 $ 5,135 $ 227

(1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest

only on credit card loans.

(2) For December 31, 2020, $211 million of residential first mortgages and $147 million of home equity loans do not have a specific allowance. For December 31,

2019, $405 million of residential first mortgages and $212 million of home equity loans do not have a specific allowance.

(3) Included in the Allowance for credit losses on loans.

(4) Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.

(5) Includes amounts recognized on both an accrual and cash basis.

209

Consumer Troubled Debt Restructurings

(1)

For the year ended December 31, 2020

(1)

In millions of dollars, except number of

loans modified

Number of

loans modified

Post-

modification

recorded

investment

(2)(3)

Deferred

principal

(4)

Contingent

principal

forgiveness

(5)

Principal

forgiveness

(6)

Average

interest rate

reduction

North America

Residential first mortgages 1,225 $ 209 $ — $ — $ — — %

Home equity loans 296 27 — — — 1

Credit cards 215,466 1,038 — — — 17

Personal, small business and other 2,452 28 — — — 5

Total

(7)

219,439 $ 1,302 $ — $ — $ —

International

Residential first mortgages 2,542 $ 141 $ 3 $ — $ — 2 %

Credit cards 90,694 401 — — 12 15

Personal, small business and other 41,079 301 — — 8 10

Total

(7)

134,315 $ 843 $ 3 $ — $ 20

For the year ended December 31, 2019

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 1,122 $ 172 $ — $ — $ — — %

Home equity loans 717 79 3 — — 1

Credit cards 268,778 1,165 — — — 17

Personal, small business and other 1,719 15 — — — 5

Total

(7)

272,336 $ 1,431 $ 3 $ — $ —

International

Residential first mortgages 2,448 $ 74 $ — $ — $ — — %

Credit cards 72,325 288 — — 10 17

Personal, small business and other 29,192 204 — — 6 9

Total

(7)

103,965 $ 566 $ — $ — $ 16

(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 $13 million of residential first mortgages and $2 million of home equity loans to borrowers who have gone

through Chapter 7 bankruptcy in the year ended December 31, 2020. These amounts include $9 million of residential first mortgages and $2 million of home

equity loans that were newly classified as TDRs during 2020, 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 year.

(8) Post-modification balances in North America include $19 million of residential first mortgages and $7 million of home equity loans to borrowers who have gone

through Chapter 7 bankruptcy in the year ended December 31, 2019. These amounts include $11 million of residential first mortgages and $6 million of home

equity loans that were newly classified as TDRs during 2019, based on previously received OCC guidance.

210

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.

Years ended December 31,

In millions of dollars

2020 2019

North America

Residential first mortgages $ 71 $ 85

Home equity loans 14 15

Credit cards 317 301

Personal, small business and other 4 4

Total $ 406 $ 405

International

Residential first mortgages $ 26 $ 13

Credit cards 178 142

Personal, small business and other 78 74

Total $ 282 $ 229

Purchased Credit-Deteriorated Assets

Year ended December 31, 2020

In millions of dollars

Credit

cards Mortgages

(1)

Installment and

other

Purchase price $ 4 $ 49 $ —

Allowance for credit

losses at acquisition

date 4 — —

Discount or

premium attributable

to non-credit factors — — —

Par value (amortized

cost basis) $ 8 $ 49 $ —

(1) Includes loans sold to agencies that were bought back at par due to

repurchase agreements.

211

Corporate Loans

Corporate loans represent loans and leases managed by ICG.

The following table presents information by corporate loan

type:

In millions of dollars

December 31,

2020

December 31,

2019

In North America offices

(1)

Commercial and industrial $ 57,731 $ 55,929

Financial institutions 55,809 53,922

Mortgage and real estate

(2)

60,675 53,371

Installment and other 26,744 31,238

Lease financing 673 1,290

Total $ 201,632 $ 195,750

In offices outside

North America

(1)

Commercial and industrial $ 104,072 $ 112,668

Financial institutions 32,334 40,211

Mortgage and real estate

(2)

11,371 9,780

Installment and other 33,759 27,303

Lease financing 65 95

Governments and official

institutions 3,811 4,128

Total $ 185,412 $ 194,185

Corporate loans, net of

unearned income

(3)

$ 387,044 $ 389,935

(1) North America includes the U.S., Canada and Puerto Rico. Mexico is

included in offices outside North America. The classification between

offices in North America and outside North America is based on the

domicile of the booking unit. The difference between the domicile of the

booking unit and the domicile of the managing unit is not material.

(2) Loans secured primarily by real estate.

(3) Corporate loans are net of unearned income of ($844) million and ($814)

million at December 31, 2020 and 2019, 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

$2.2 billion and $2.6 billion of corporate loans during the

years ended December 31, 2020 and 2019, respectively. The

Company did not have significant purchases of corporate loans

classified as held-for-investment for the years ended

December 31, 2020 or 2019.

Lease financing

Citi is a lessor in the power, railcars, shipping and aircraft

sectors, where the Company has executed operating, direct

financing and leveraged leases. Citi’s $0.7 billion of lease

financing receivables, as of December 31, 2020, is composed

of approximately equal balances of direct financing lease

receivables and net investments in leveraged leases. Citi uses

the interest rate implicit in the lease to determine the present

value of its lease financing receivables. Interest income on

direct financing and leveraged leases during the year ended

December 31, 2020 was not material.

The Company’s leases have an average remaining

maturity of approximately three and a half years. In certain

cases, Citi obtains residual value insurance from third parties

and/or the lessee to manage the risk associated with the

residual value of the leased assets. The receivable related to

the residual value of the leased assets is $0.3 billion as of

December 31, 2020, while the amount covered by residual

value guarantees is $0.2 billion.

The Company’s operating leases, where Citi is a lessor,

are not significant to the Consolidated Financial Statements.

Delinquency Status

Citi generally does not manage corporate loans on a

delinquency basis. Corporate loans are identified as impaired

and placed on a cash (non-accrual) basis when it is

determined, based on actual experience and a forward-looking

assessment of the collectability of the loan in full, that the

payment of interest or principal is doubtful or when interest or

principal is 90 days past due, except when the loan is well

collateralized and in the process of collection. Any interest

accrued on impaired corporate loans and leases is reversed at

90 days and charged against current earnings, and interest is

thereafter included in earnings only to the extent actually

received in cash. When there is doubt regarding the ultimate

collectability of principal, all cash receipts are thereafter

applied to reduce the recorded investment in the loan. While

corporate loans are generally managed based on their

internally assigned risk rating (see further discussion below),

the following tables present delinquency information by

corporate loan type.

212

Corporate Loan Delinquencies and Non-Accrual Details at December 31, 2020

In millions of dollars

30–89 days

past due

and accruing

(1)

≥ 90 days

past due and

accruing

(1)

Total past due

and accruing

Total

non-accrual

(2)

Total

current

(3)

Total

loans

(4)

Commercial and industrial $ 400 $ 109 $ 509 $ 2,795 $ 153,036 $ 156,340

Financial institutions 668 65 733 92 86,864 87,689

Mortgage and real estate 450 247 697 505 70,836 72,038

Lease financing 62 12 74 24 640 738

Other 112 19 131 111 63,157 63,399

Loans at fair value 6,840

Total $ 1,692 $ 452 $ 2,144 $ 3,527 $ 374,533 $ 387,044

Corporate Loan Delinquencies and Non-Accrual Details at December 31, 2019

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 $ 676 $ 93 $ 769 $ 1,828 $ 164,249 $ 166,846

Financial institutions 791 3 794 50 91,008 91,852

Mortgage and real estate 534 4 538 188 62,425 63,151

Lease financing 58 9 67 41 1,277 1,385

Other 190 22 212 81 62,341 62,634

Loans at fair value 4,067

Total $ 2,249 $ 131 $ 2,380 $ 2,188 $ 381,300 $ 389,935

(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 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.

Citigroup has a risk management process to monitor,

evaluate and manage the principal risks associated with its

corporate loan portfolio. As part of its risk management

process, Citi assigns numeric risk ratings to its corporate loan

facilities based on quantitative and qualitative assessments of

the obligor and facility. These risk ratings are reviewed at least

annually or more often if material events related to the obligor

or facility warrant. Factors considered in assigning the risk

ratings include financial condition of the obligor, qualitative

assessment of management and strategy, amount and sources

of repayment, amount and type of collateral and guarantee

arrangements, amount and type of any contingencies

associated with the obligor and the obligor’s industry and

geography.

The obligor risk ratings are defined by ranges of default

probabilities. The facility risk ratings are defined by ranges of

loss norms, which are the product of the probability of default

and the loss given default. The investment grade rating

categories are similar to the category BBB-/Baa3 and above as

defined by S&P and Moody’s. Loans classified according to

the bank regulatory definitions as special mention, substandard

and doubtful will have risk ratings within the non-investment-

grade categories.

213

Corporate Loans Credit Quality Indicators

Recorded investment in loans

(1)

Term loans by year of origination

Revolving line

of credit

arrangements

(2)

Totals as of

In millions of dollars

2020 2019 2018 2017 2016 Prior

December

31,

2020

December

31,

2019

Investment grade

(3)

Commercial and industrial

(4)

$ 38,398 $ 7,607 $ 5,929 $ 3,909 $ 2,094 $ 8,670 $ 25,819 $ 92,426 $ 110,797

Financial institutions

(4)

10,560 2,964 2,106 782 681 2,030 56,239 75,362 80,533

Mortgage and real estate 6,793 6,714 5,174 2,568 1,212 1,719 1,557 25,737 27,571

Other

(5)

10,874 3,566 4,597 952 780 5,290 31,696 57,755 58,155

Total investment grade $ 66,625 $ 20,851 $ 17,806 $ 8,211 $ 4,767 $ 17,709 $ 115,311 $ 251,280 $ 277,056

Non-investment grade

(3)

Accrual

Commercial and industrial

(4)

$ 19,683 $ 4,794 $ 4,645 $ 2,883 $ 1,182 $ 4,533 $ 23,400 $ 61,120 $ 54,220

Financial institutions

(4)

7,413 700 654 274 141 197 2,855 12,234 11,269

Mortgage and real estate 1,882 1,919 2,058 1,457 697 837 551 9,401 3,811

Other

(5)

1,407 918 725 370 186 657 1,986 6,249 5,734

Non-accrual

Commercial and industrial

(4)

260 203 192 143 57 223 1,717 2,795 1,828

Financial institutions 1 — — — — — 91 92 50

Mortgage and real estate 13 4 3 18 8 32 427 505 188

Other

(5)

15 3 12 29 2 65 9 135 122

Total non-investment

grade $ 30,674 $ 8,541 $ 8,289 $ 5,174 $ 2,273 $ 6,544 $ 31,036 $ 92,531 $ 77,222

Non-rated private bank

loans managed on a

delinquency basis

(3)(6)

$ 9,823 $ 7,121 $ 3,533 $ 3,674 $ 4,300 $ 7,942 $ — $ 36,393 $ 31,590

Loans at fair value

(7)

6,840 4,067

Corporate loans, net of

unearned income $ 107,122 $ 36,513 $ 29,628 $ 17,059 $ 11,340 $ 32,195 $ 146,347 $ 387,044 $ 389,935

(1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.

(2) There were no significant revolving line of credit arrangements that converted to term loans during the year.

(3) Held-for-investment loans are accounted for on an amortized cost basis.

(4) Includes certain short-term loans with less than one year in tenor.

(5) Other includes installment and other, lease financing and loans to government and official institutions.

(6) Non-rated private bank loans mainly include mortgage and real estate loans to private banking clients.

(7) Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.

Impaired collateral-dependent loans and leases, where

repayment is expected to be provided solely by the sale of the

underlying collateral and there are no other available and

reliable sources of repayment, are written down to the lower of

carrying value or collateral value, less cost to sell. Cash-basis

loans are returned to an accrual status when all contractual

principal and interest amounts are reasonably assured of

repayment and there is a sustained period of repayment

performance, generally six months, in accordance with the

contractual terms of the loan.

214

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:

At and for the year ended December 31, 2020

In millions of dollars

Recorded

investment

(1)

Unpaid

principal balance

Related specific

allowance

Average

carrying value

(2)

Interest income

recognized

(3)

Non-accrual corporate loans

Commercial and industrial $ 2,795 $ 3,664 $ 442 $ 2,649 $ 14

Financial institutions 92 181 17 132 —

Mortgage and real estate 505 803 38 413 —

Lease financing 24 24 — 34 —

Other 111 235 18 174 21

Total non-accrual corporate loans $ 3,527 $ 4,907 $ 515 $ 3,402 $ 35

At and for the year ended December 31, 2019

In millions of dollars

Recorded

investment

(1)

Unpaid

principal balance

Related specific

allowance

Average

carrying value

(2)

Interest income

recognized

(3)

Non-accrual corporate loans

Commercial and industrial $ 1,828 $ 1,942 $ 283 $ 1,449 $ 33

Financial institutions 50 120 2 63 —

Mortgage and real estate 188 362 10 192 —

Lease financing 41 41 — 8 —

Other 81 202 4 76 9

Total non-accrual corporate loans $ 2,188 $ 2,667 $ 299 $ 1,788 $ 42

December 31, 2020 December 31, 2019

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 $ 1,523 $ 442 $ 714 $ 283

Financial institutions 90 17 40 2

Mortgage and real estate 246 38 48 10

Lease financing — — — —

Other 68 18 7 4

Total non-accrual corporate loans with specific allowances $ 1,927 $ 515 $ 809 $ 299

Non-accrual corporate loans without specific allowances

Commercial and industrial $ 1,272 $ 1,114

Financial institutions 2 10

Mortgage and real estate 259 140

Lease financing 24 41

Other 43 74

Total non-accrual corporate loans without specific

allowances $ 1,600 N/A $ 1,379 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 year ended December 31, 2018 was $56 million.

N/A Not applicable

215

Corporate Troubled Debt Restructurings

(1)

For the year ended December 31, 2020

In millions of dollars

Carrying value of

TDRs modified during

the period

TDRs

involving changes

in the amount

and/or timing of

principal payments

(2)

TDRs

involving changes

in the amount

and/or timing of

interest payments

(3)

TDRs

involving changes

in the amount

and/or timing of

both principal and

interest payments

Commercial and industrial $ 247 $ — $ — $ 247

Mortgage and real estate 19 — — 19

Other 19 6 — 13

Total $ 285 $ 6 $ — $ 279

For the year ended December 31, 2019

In millions of dollars

Carrying value of

TDRs modified

during the period

TDRs

involving changes

in the amount

and/or timing of

principal payments

(2)

TDRs

involving changes

in the amount

and/or timing of

interest payments

(3)

TDRs

involving changes

in the amount

and/or timing of

both principal and

interest payments

Commercial and industrial $ 283 $ 19 $ — $ 264

Mortgage and real estate 16 — — 16

Other 6 6 — —

Total $ 305 $ 25 $ — $ 280

(1) The above tables do not include loan modifications that meet the TDR relief criteria in the CARES Act or the interagency guidance.

(2) TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments.

Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no

impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectible may be recorded at the time of the restructuring or may have

already been recorded in prior periods such that no charge-off is required at the time of the modification.

(3) TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.

The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the

payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably

managed commercial banking loans, where default is defined as 90 days past due.

In millions of dollars

TDR balances at

December 31, 2020

TDR loans that re-defaulted

in 2020 within one year of

modification

TDR balances at

December 31, 2019

TDR loans that re-defaulted

in 2019 within one year of

modification

Commercial and industrial $ 325 $ — $ 426 $ 35

Financial institutions — — — —

Mortgage and real estate 92 — 79 —

Lease financing — — — —

Other 33 — 44 —

Total

(1)

$ 450 $ — $ 549 $ 35

(1) The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.

216

15. ALLOWANCE FOR CREDIT LOSSES

In millions of dollars

2020 2019 2018

Allowance for credit losses on loans (ACLL) at beginning of year $ 12,783 $ 12,315 $ 12,355

Adjustments to opening balance:

Financial instruments—credit losses (CECL)

(1)

4,201 — —

Variable post-charge-off third-party collection costs

(1)

(443) — —

Adjusted ACLL at beginning of year $ 16,541 $ 12,315 $ 12,355

Gross credit losses on loans $ (9,263) $ (9,341) $ (8,665)

Gross recoveries on loans 1,652 1,573 1,552

Net credit losses on loans (NCLs) $ (7,611) $ (7,768) $ (7,113)

NCLs $ 7,611 $ 7,768 $ 7,113

Net reserve builds for loans 7,635 364 394

Net specific reserve builds (releases) for loans 676 86 (153)

Total provision for credit losses on loans (PCLL) $ 15,922 $ 8,218 $ 7,354

Initial allowance for credit losses on newly purchased credit-deteriorated assets during the

period 4 — —

Other, net (see table below) 100 18 (281)

ACLL at end of year $ 24,956 $ 12,783 $ 12,315

Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of

year

(2)

$ 1,456 $ 1,367 $ 1,258

Adjustment to opening balance for CECL adoption

(1)

(194) — —

Provision (release) for credit losses on unfunded lending commitments 1,446 92 113

Other, net

(3)

(53) (3) (4)

ACLUC at end of year

(2)

$ 2,655 $ 1,456 $ 1,367

Total allowance for credit losses on loans, leases and unfunded lending commitments $ 27,611 $ 14,239 $ 13,682

Other, net details

In millions of dollars

2020 2019 2018

Sales or transfers of various consumer loan portfolios to HFS

Transfer of real estate loan portfolios $ (4) $ (42) $ (91)

Transfer of other loan portfolios — — (110)

Sales or transfers of various consumer loan portfolios to HFS $ (4) $ (42) $ (201)

FX translation 97 60 (60)

Other 7 — (20)

Other, net $ 100 $ 18 $ (281)

(1) See “Accounting Changes” in Note 1 to the Consolidated Financial Statements for additional details.

(2) Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.

(3) 2020 includes a non-provision transfer of $68 million, representing reserves on performance guarantees. The reserves on these contracts have been reclassified out

of the allowance for credit losses on unfunded lending commitments and into Other liabilities on the Consolidated Balance Sheet beginning in 2020.

217

Allowance for Credit Losses on Loans and End-of-Period Loans at December 31, 2020

In millions of dollars

Corporate Consumer Total

ACLL at beginning of year $ 2,886 $ 9,897 $ 12,783

Adjustments to opening balance:

Financial instruments—credit losses (CECL)

(1)

(721) 4,922 4,201

Variable post-charge-off third-party collection costs

(1)

— (443) (443)

Adjusted ACLL at beginning of year $ 2,165 $ 14,376 $ 16,541

Charge-offs $ (1,072) $ (8,191) $ (9,263)

Recoveries 86 1,566 1,652

Replenishment of net charge-offs 986 6,625 7,611

Net reserve builds (releases) 2,890 4,745 7,635

Net specific reserve builds (releases) 282 394 676

Initial allowance for credit losses on newly purchased credit-deteriorated assets

during the year — 4 4

Other 65 35 100

Ending balance $ 5,402 $ 19,554 $ 24,956

Allowance for credit losses on loans

Collectively evaluated $ 4,887 $ 18,207 $ 23,094

Individually evaluated 515 1,345 1,860

Purchased credit deteriorated — 2 2

Total allowance for credit losses on loans $ 5,402 $ 19,554 $ 24,956

Loans, net of unearned income

Collectively evaluated $ 376,677 $ 283,885 $ 660,562

Individually evaluated 3,527 4,799 8,326

Purchased credit deteriorated — 141 141

Held at fair value 6,840 14 6,854

Total loans, net of unearned income $ 387,044 $ 288,839 $ 675,883

(1) See “Accounting Changes” in Note 1 to the Consolidated Financial Statements for additional details.

Allowance for Credit Losses on Loans and End-of-Period Loans at December 31, 2019

In millions of dollars

Corporate Consumer Total

ACLL at beginning of year $ 2,811 $ 9,504 $ 12,315

Charge-offs (487) (8,854) (9,341)

Recoveries 95 1,478 1,573

Replenishment of net charge-offs 392 7,376 7,768

Net reserve builds (releases) 96 268 364

Net specific reserve builds (releases) (21) 107 86

Other — 18 18

Ending balance $ 2,886 $ 9,897 $ 12,783

Allowance for credit losses on loans

Collectively evaluated $ 2,587 $ 8,706 $ 11,293

Individually evaluated 299 1,190 1,489

Purchased credit deteriorated — 1 1

Total allowance for credit losses on loans $ 2,886 $ 9,897 $ 12,783

Loans, net of unearned income

Collectively evaluated $ 383,828 $ 304,794 $ 688,622

Individually evaluated 2,040 4,608 6,648

Purchased credit deteriorated — 128 128

Held at fair value 4,067 18 4,085

Total loans, net of unearned income $ 389,935 $ 309,548 $ 699,483

218

Allowance for Credit Losses on Loans at December 31, 2018

In millions of dollars

Corporate Consumer Total

ACLL at beginning of year $ 2,943 $ 9,412 $ 12,355

Charge-offs (343) (8,322) (8,665)

Recoveries 138 1,414 1,552

Replenishment of net charge-offs 205 6,908 7,113

Net reserve builds (releases) 42 352 394

Net specific reserve builds (releases) (151) (2) (153)

Other $ (23) $ (258) $ (281)

Ending balance $ 2,811 $ 9,504 $ 12,315

Allowance for Credit Losses on HTM Debt Securities

Year ended December 31, 2020

In millions of dollars

Mortgage-

backed

State and

municipal

Foreign

government

Asset-

backed Total HTM

Allowance for credit losses on HTM debt securities at beginning

of year $ — $ — $ — $ — $ —

Adjustment to opening balance for CECL adoption — 61 4 5 70

Net credit losses (NCLs) $ — $ — $ — $ — $ —

NCLs $ — $ — $ — $ — $ —

Net reserve builds (releases) (2) 10 (2) 1 7

Net specific reserve builds (releases) — — — — —

Total provision for credit losses on HTM debt securities $ (2) $ 10 $ (2) $ 1 $ 7

Other, net $ 5 $ 3 $ 4 $ (3) $ 9

Initial allowance for credit losses on newly purchased credit-

deteriorated securities during the year — — — — —

Allowance for credit losses on HTM debt securities at end of year $ 3 $ 74 $ 6 $ 3 $ 86

Allowance for Credit Losses on Other Assets

Year ended December 31, 2020

In millions of dollars

Cash and

due from

banks

Deposits

with banks

Securities borrowed

and purchased

under agreements

to resell

Brokerage

receivables

All other

assets

(1)

Total

Allowance for credit losses at beginning of year $ — $ — $ — $ — $ — $ —

Adjustment to opening balance for CECL adoption 6 14 2 1 3 26

Net credit losses (NCLs) $ — $ — $ — $ — $ — $ —

NCLs $ — $ — $ — $ — $ — $ —

Net reserve builds (releases) (6) 5 8 (1) 1 7

Total provision for credit losses $ (6) $ 5 $ 8 $ (1) $ 1 $ 7

Other, net $ — $ 1 $ — $ — $ 21 $ 22

Allowance for credit losses on other assets at end

of year $ — $ 20 $ 10 $ — $ 25 $ 55

(1) Primarily accounts receivable.

For ACL on AFS debt securities, see Note 13 to the Consolidated Financial Statements.

219

16. GOODWILL AND INTANGIBLE ASSETS

Goodwill

The changes in Goodwill by segment were as follows:

In millions of dollars

Global Consumer

Banking

Institutional

Clients Group

Corporate/

Other Total

Balance at December 31, 2017 $ 12,128 $ 10,112 $ 16 $ 22,256

Foreign exchange translation $ (41) $ (153) $ — $ (194)

Divestitures

(1)

— — (16) (16)

Balance at December 31, 2018 $ 12,087 $ 9,959 $ — $ 22,046

Foreign exchange translation $ 15 $ 65 $ — $ 80

Balance at December 31, 2019 $ 12,102 $ 10,024 $ — $ 22,126

Foreign exchange translation $ 40 $ (4) $ — $ 36

Balance at December 31, 2020 $ 12,142 $ 10,020 $ — $ 22,162

(1) Primarily related to the sale of consumer operations in Colombia in 2018.

The Company performed its annual goodwill impairment

test as of July 1, 2020, at the level below each business

segment (referred to as a reporting unit) which indicated that

the fair values of the Company’s reporting units as a

percentage of their carrying values ranged from approximately

115% to 136%, resulting in no impairment. While the inherent

risk related to uncertainty is embedded in the key assumptions

used in the valuations, the economic environment and Citi’s

outlook continues to evolve due to the challenges and

uncertainties related to the impact of the COVID-19

pandemic. Further deterioration in macroeconomic and market

conditions, including potential adverse effects to economic

forecasts due to the severity and duration of the pandemic, as

well as the responses of governments, customers and clients,

could negatively influence the assumptions used in the

valuations, in particular, the discount rates, exit multiples and

growth rates used in net income projections. If the future were

to differ from management’s estimate of key assumptions

(e.g., net interest revenue and loan volume), and associated

cash flows were to decrease, Citi could potentially experience

material goodwill impairment charges in the future.

For additional information regarding Citi’s goodwill

impairment testing process, see the following Notes to the

Consolidated Financial Statements: Note 1 for Citi’s

Accounting Policy for goodwill, including the adoption of a

new accounting standard regarding the subsequent

measurement of goodwill, and Note 3 for a description of

Citi’s Business Segments.

220

Intangible Assets

The components of intangible assets were as follows:

December 31, 2020 December 31, 2019

In millions of dollars

Gross

carrying

amount

Accumulated

amortization

Net

carrying

amount

Gross

carrying

amount

Accumulated

amortization

Net

carrying

amount

Purchased credit card relationships $ 5,648 $ 4,229 $ 1,419 $ 5,676 $ 4,059 $ 1,617

Credit card contract-related intangibles

(1)

3,929 1,276 2,653 5,393 3,069 2,324

Core deposit intangibles 45 44 1 434 433 1

Other customer relationships 455 314 141 424 275 149

Present value of future profits 32 30 2 34 31 3

Indefinite-lived intangible assets 190 — 190 228 — 228

Other 72 67 5 82 77 5

Intangible assets (excluding MSRs) $ 10,371 $ 5,960 $ 4,411 $ 12,271 $ 7,944 $ 4,327

Mortgage servicing rights (MSRs)

(2)

336 — 336 495 — 495

Total intangible assets $ 10,707 $ 5,960 $ 4,747 $ 12,766 $ 7,944 $ 4,822

(1) Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which

represented 96% of the aggregate net carrying amount as of December 31, 2020.

(2) For additional information on Citi’s MSRs, see Note 21 to the Consolidated Financial Statements.

Intangible assets amortization expense was $419 million,

$564 million and $557 million for 2020, 2019 and 2018,

respectively. Intangible assets amortization expense is

estimated to be $364 million in 2021, $350 million in 2022,

$351 million in 2023, $365 million in 2024 and $370 million

in 2025.

The changes in intangible assets were as follows:

Net carrying

amount at Acquisitions/

Net carrying

amount at

In millions of dollars

December 31,

2019

renewals/

divestitures Amortization Impairments

FX translation

and other

December 31,

2020

Purchased credit card relationships

(1)

$ 1,617 $ 11 $ (200) $ (10) $ 1 $ 1,419

Credit card contract-related intangibles

(2)

2,324 509 (183) — 3 2,653

Core deposit intangibles 1 — — — — 1

Other customer relationships 149 — (24) — 16 141

Present value of future profits 3 — — — (1) 2

Indefinite-lived intangible assets 228 — — (28) (10) 190

Other 5 7 (12) — 5 5

Intangible assets (excluding MSRs) $ 4,327 $ 527 $ (419) $ (38) $ 14 $ 4,411

Mortgage servicing rights (MSRs)

(3)

495 336

Total intangible assets $ 4,822 $ 4,747

(1) Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract-related intangibles and include credit card accounts

primarily in the Costco, Macy’s and Sears portfolios.

(2) Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which

represent 96% of the aggregate net carrying amount at December 31, 2020 and 2019. During 2020, Citi renewed its contract with American Airlines.

(3) For additional information on Citi’s MSRs, including the rollforward from 2019 to 2020, see Note 21 to the Consolidated Financial Statements.

221

17. DEBT

Short-Term Borrowings

December 31,

2020 2019

In millions of dollars

Balance

Weighted

average

coupon Balance

Weighted

average

coupon

Commercial paper

Bank

(1)

$ 10,022 $ 10,155

Broker-dealer and

other

(2)

7,988 6,321

Total commercial

paper $ 18,010 0.77 % $ 16,476 1.98 %

Other borrowings

(3)

11,504 0.48 28,573 1.94

Total $ 29,514 $ 45,049

(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 December 31, 2020 and 2019, collateralized short-term

advances from Federal Home Loan Banks were $4.0 billion and $17.6

billion, respectively.

Borrowings under bank lines of credit may be at interest rates

based on LIBOR, CD rates, the prime rate or bids submitted

by the banks. Citigroup pays commitment fees for its lines of

credit.

Some of Citigroup’s non-bank subsidiaries have credit

facilities with Citigroup’s subsidiary depository institutions,

including Citibank. Borrowings under these facilities are

secured in accordance with Section 23A of the Federal

Reserve Act.

Citigroup Global Markets Holdings Inc. (CGMHI) has

borrowing agreements consisting of facilities that CGMHI has

been advised are available, but where no contractual lending

obligation exists. These arrangements are reviewed on an

ongoing basis to ensure flexibility in meeting CGMHI’s short-

term requirements.

Long-Term Debt

Balances at

December 31,

In millions of dollars

Weighted

average

coupon

(1)

Maturities 2020 2019

Citigroup Inc.

(2)

Senior debt

2.82 % 2021-2098

$ 142,197 $ 123,292

Subordinated debt

(3)

4.38 2022-2046

26,636 25,463

Trust preferred

securities

6.26 2036-2067

1,730 1,722

Bank

(4)

Senior debt

1.64 2021-2049

44,742 53,340

Broker-dealer

(5)

Senior debt

0.72 2021-2070

55,896 44,817

Subordinated debt

(3)

— 2022-2046

485 126

Total 2.66 % $ 271,686 $ 248,760

Senior debt $ 242,835 $ 221,449

Subordinated debt

(3)

27,121 25,589

Trust preferred

securities 1,730 1,722

Total $ 271,686 $ 248,760

(1) The weighted average coupon excludes structured notes accounted for at

fair value.

(2) Represents the parent holding company.

(3) Includes notes that are subordinated within certain countries, regions or

subsidiaries.

(4) Represents Citibank entities as well as other bank entities. At

December 31, 2020 and 2019, collateralized long-term advances from

Federal Home Loan Banks were $10.9 billion and $5.5 billion,

respectively.

(5) Represents broker-dealer and other non-bank subsidiaries that are

consolidated into Citigroup Inc., the parent holding company. Certain

Citigroup consolidated hedging activities are also included in this line.

The Company issues both fixed- and variable-rate debt in a

range of currencies. It uses derivative contracts, primarily

interest rate swaps, to effectively convert a portion of its fixed-

rate debt to variable-rate debt. The maturity structure of the

derivatives generally corresponds to the maturity structure of

the debt being hedged. In addition, the Company uses other

derivative contracts to manage the foreign exchange impact of

certain debt issuances. At December 31, 2020, the Company’s

overall weighted average interest rate for long-term debt,

excluding structured notes accounted for at fair value, was

2.66% on a contractual basis and 2.64% including the effects

of derivative contracts.

222

Aggregate annual maturities of long-term debt obligations (based on final maturity dates) including trust preferred securities are

as follows:

In millions of dollars

2021 2022 2023 2024 2025 Thereafter Total

Citigroup Inc. $ 15,605 $ 13,159 $ 14,805 $ 12,329 $ 13,733 $ 100,933 $ 170,564

Bank 18,577 14,608 2,685 4,588 501 3,782 44,741

Broker-dealer 9,139 8,978 8,557 4,089 4,643 20,975 56,381

Total $ 43,321 $ 36,745 $ 26,047 $ 21,006 $ 18,877 $ 125,690 $ 271,686

The following table summarizes Citi’s outstanding trust preferred securities at December 31, 2020:

Junior subordinated debentures owned by trust

Trust

Issuance

date

Securities

issued

Liquidation

value

(1)

Coupon

rate

(2)

Common

issued

to parent Amount Maturity

Redeemable

by issuer

beginning

In millions of dollars, except securities and share amounts

Citigroup Capital III Dec. 1996 194,053 $ 194 7.625 % 6,003 $ 200 Dec. 1, 2036 Not redeemable

Citigroup Capital XIII Sept. 2010 89,840,000 2,246

3 mo LIBOR

+ 637 bps 1,000 2,246 Oct. 30, 2040 Oct. 30, 2015

Citigroup Capital XVIII June 2007 99,901 137

3 mo

Sterling

LIBOR +

88.75 bps 50 137 June 28, 2067 June 28, 2017

Total obligated $ 2,577 $ 2,583

Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and Citigroup Capital

XVIII and quarterly for Citigroup Capital XIII.

(1) Represents the notional value received by outside investors from the trusts at the time of issuance. This differs from Citi’s balance sheet carrying value due

primarily to unamortized discount and issuance costs.

(2) In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.

223

18. REGULATORY CAPITAL

Citigroup is subject to risk-based capital and leverage

standards issued by the Federal Reserve Board, which

constitute the U.S. Basel III rules. Citi’s U.S.-insured

depository institution subsidiaries, including Citibank, are

subject to similar standards issued by their respective primary

bank regulatory agencies. These standards are used to evaluate

capital adequacy and include the required minimums shown in

the following table. The regulatory agencies are required by

law to take specific, prompt corrective actions with respect to

institutions that do not meet minimum capital standards.

The following table sets forth for Citigroup and Citibank

the regulatory capital tiers, total risk-weighted assets, quarterly

adjusted average total assets, Total Leverage Exposure, risk-

based capital ratios and leverage ratios:

In millions of dollars, except ratios

Stated

minimum

Citigroup Citibank

Well-

capitalized

minimum

December 31,

2020

December 31,

2019

Well-

capitalized

minimum

December 31,

2020

December 31,

2019

Common Equity Tier 1 Capital $ 147,274 $ 137,798 $ 142,884 $ 130,720

Tier 1 Capital 167,053 155,805 144,992 132,847

Total Capital

(Tier 1 Capital + Tier 2

Capital)—Standardized Approach 204,849 193,711 169,235 157,253

Total Capital

(Tier 1 Capital + Tier 2

Capital)—Advanced Approaches 195,959 181,337 161,294 145,918

Total risk-weighted assets—Standardized

Approach 1,221,576 1,168,848 1,030,081 1,022,607

Total risk-weighted assets—Advanced

Approaches 1,255,284 1,142,804 1,012,129 938,735

Quarterly adjusted average total assets

(1)

2,265,615 1,957,039 1,680,056 1,459,780

Total Leverage Exposure

(2)

2,386,881 2,513,702 2,167,969 1,958,173

Common Equity Tier 1 Capital ratio

(3)

4.5 % N/A 11.73 % 11.79 % 6.5 % 13.87 % 12.78 %

Tier 1 Capital ratio

(3)

6.0 6.0 % 13.31 13.33 8.0 14.08 12.99

Total Capital ratio

(3)

8.0 10.0 15.61 15.87 10.0 15.94 15.38

Tier 1 Leverage ratio 4.0 N/A 7.37 7.96 5.0 8.63 9.10

Supplementary Leverage ratio 3.0 N/A 7.00 6.20 6.0 6.69 6.78

(1) Tier 1 Leverage ratio denominator.

(2) Supplementary Leverage ratio denominator.

(3) Citigroup’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios as of December 31, 2020 were the lower derived under the Basel III

Advanced Approaches frameworks, whereas Citigroup’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the

Basel III Standardized Approach and the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework as of

December 31, 2019. As of December 31, 2020 and 2019, Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived

under the Basel III Standardized Approach, whereas the Total Capital ratios were the lower derived under the Basel III Advanced Approaches frameworks as of

December 31, 2020 and the lower derived under the Standardized Approach as of December 31, 2019.

N/A Not applicable

As indicated in the table above, Citigroup and Citibank

were “well capitalized” under the current federal bank

regulatory agency definitions as of December 31, 2020 and

2019.

Banking Subsidiaries—Constraints on Dividends

There are various legal limitations on the ability of Citigroup’s

subsidiary depository institutions to extend credit, pay

dividends or otherwise supply funds to Citigroup and its non-

bank subsidiaries. The approval of the Office of the

Comptroller of the Currency is required if total dividends

declared in any calendar year were to exceed amounts

specified by the agency’s regulations.

In determining the dividends, each subsidiary depository

institution must also consider its effect on applicable risk-

based capital and leverage ratio requirements, as well as policy

statements of the federal bank regulatory agencies that indicate

that banking organizations should generally pay dividends out

of current operating earnings. Citigroup received $2.3 billion

and $17.3 billion in dividends from Citibank during 2020 and

2019, respectively.

224

19. CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)

Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows:

In millions of dollars

Net

unrealized

gains (losses)

investment

securities

Debt

valuation

adjustment

(DVA)

(1)

Cash

flow

hedges

(2)

Benefit

plans

(3)

Foreign

currency

translation

adjustment

(CTA), net

of hedges

(4)

Excluded

component

of fair

value

hedges

(5)

Accumulated

other

comprehensive

income (loss)

Balance, December 31, 2017 $ (1,158) $ (921) $ (698) $ (6,183) $ (25,708) $ — $ (34,668)

Adjustment to opening balance, net

of taxes

(6)

$ (3) $ — $ — $ — $ — $ — $ (3)

Adjusted balance, beginning of year $ (1,161) $ (921) $ (698) $ (6,183) $ (25,708) $ — $ (34,671)

Other comprehensive income before

reclassifications (866) 1,081 (135) (240) (2,607) (57) (2,824)

Increase (decrease) due to amounts

reclassified from AOCI

(7)

(223) 32 105 166 245 — 325

Change, net of taxes

$ (1,089) $ 1,113 $ (30) $ (74) $ (2,362) $ (57) $ (2,499)

Balance, December 31, 2018 $ (2,250) $ 192 $ (728) $ (6,257) $ (28,070) $ (57) $ (37,170)

Other comprehensive income before

reclassifications 3,065 (1,151) 549 (758) (321) 25 1,409

Increase (decrease) due to amounts reclassified

from AOCI (1,080) 15 302 206 — — (557)

Change, net of taxes

$ 1,985 $ (1,136) $ 851 $ (552) $ (321) $ 25 $ 852

Balance at December 31, 2019 $ (265) $ (944) $ 123 $ (6,809) $ (28,391) $ (32) $ (36,318)

Other comprehensive income before

reclassifications 4,837 (490) 2,027 (287) (250) (15) 5,822

Increase (decrease) due to amounts

reclassified from AOCI (1,252) 15 (557) 232 — — (1,562)

Change, net of taxes $ 3,585 $ (475) $ 1,470 $ (55) $ (250) $ (15) $ 4,260

Balance at December 31, 2020 $ 3,320 $ (1,419) $ 1,593 $ (6,864) $ (28,641) $ (47) $ (32,058)

(1) Changes in DVA are reflected as a component of AOCI, pursuant to the adoption of ASU 2016-01 relating to the presentation of DVA on fair value option

liabilities.

(2) Primarily driven by Citi’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.

(3) Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial

valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.

(4) Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, South Korean won and Euro against the U.S. dollar and changes in

related tax effects and hedges for the year ended December 31, 2020. Primarily reflects the movements in (by order of impact) the Indian rupee, Brazilian real,

Chilean peso and Euro against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2019. Primarily reflects the

movements in (by order of impact) the Brazilian real, Indian rupee, Mexican peso and Australian dollar against the U.S. dollar and changes in related tax effects

and hedges for the year ended December 31, 2018. 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) Beginning in the first quarter of 2018, changes in the excluded component of fair value hedges are reflected as a component of AOCI, pursuant to the early

adoption of ASU 2017-12, Targeted Improvements to Accounting for Hedging Activities. See Note 1 of the Consolidated Financial Statements for further

information regarding this change.

(6) Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to Retained earnings

for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements.

(7) Includes the impact of the release of foreign currency translation adjustment, net of hedges, upon meeting the accounting trigger for substantial liquidation of

Citi’s Japan Consumer Finance business during the fourth quarter of 2018. See Note 1 to the Consolidated Financial Statements.

225

The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:

In millions of dollars

Pretax Tax effect

(1)

After-tax

Balance, December 31, 2017 $ (41,228) $ 6,560 $ (34,668)

Adjustment to opening balance

(2)

(4) 1 (3)

Adjusted balance, beginning of year $ (41,232) $ 6,561 $ (34,671)

Change in net unrealized gains (losses) on investment securities (1,435) 346 (1,089)

Debt valuation adjustment (DVA) 1,415 (302) 1,113

Cash flow hedges (38) 8 (30)

Benefit plans (94) 20 (74)

Foreign currency translation adjustment (2,624) 262 (2,362)

Excluded component of fair value hedges (74) 17 (57)

Change $ (2,850) $ 351 $ (2,499)

Balance, December 31, 2018 $ (44,082) $ 6,912 $ (37,170)

Change in net unrealized gains (losses) on investment securities 2,633 (648) 1,985

Debt valuation adjustment (DVA) (1,473) 337 (1,136)

Cash flow hedges 1,120 (269) 851

Benefit plans (671) 119 (552)

Foreign currency translation adjustment (332) 11 (321)

Excluded component of fair value hedges 33 (8) 25

Change $ 1,310 $ (458) $ 852

Balance, December 31, 2019 $ (42,772) $ 6,454 $ (36,318)

Change in net unrealized gains (losses) on AFS debt securities 4,799 (1,214) 3,585

Debt valuation adjustment (DVA) (616) 141 (475)

Cash flow hedges 1,925 (455) 1,470

Benefit plans (78) 23 (55)

Foreign currency translation adjustment (227) (23) (250)

Excluded component of fair value hedges (23) 8 (15)

Change $ 5,780 $ (1,520) $ 4,260

Balance, December 31, 2020 $ (36,992) $ 4,934 $ (32,058)

(1) Includes the impact of ASU 2018-02, which transferred amounts from AOCI to Retained earnings. See Note 1 to the Consolidated Financial Statements.

(2) Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to Retained earnings

for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements.

226

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

Year ended December 31,

In millions of dollars

2020 2019 2018

Realized (gains) losses on sales of investments $ (1,756) $ (1,474) $ (421)

Gross impairment losses 109 23 125

Subtotal, pretax $ (1,647) $ (1,451) $ (296)

Tax effect 395 371 73

Net realized (gains) losses on investments, after-tax

(1)

$ (1,252) $ (1,080) $ (223)

Realized DVA (gains) losses on fair value option liabilities, pretax $ 20 $ 20 $ 41

Tax effect (5) (5) (9)

Net realized DVA, after-tax $ 15 $ 15 $ 32

Interest rate contracts $ (734) $ 384 $ 301

Foreign exchange contracts 4 7 17

Subtotal, pretax $ (730) $ 391 $ 318

Tax effect 173 (89) (213)

Amortization of cash flow hedges, after-tax

(2)

$ (557) $ 302 $ 105

Amortization of unrecognized:

Prior service cost (benefit) $ (5) $ (12) $ (34)

Net actuarial loss 322 286 248

Curtailment/settlement impact

(3)

(8) 1 6

Subtotal, pretax $ 309 $ 275 $ 220

Tax effect (77) (69) (54)

Amortization of benefit plans, after-tax

(3)

$ 232 $ 206 $ 166

Excluded component of fair value hedges, pretax $ — $ — $ —

Tax effect — — —

Excluded component of fair value hedges, after-tax $ — $ — $ —

Foreign currency translation adjustment, pretax $ — $ — $ 34

Tax effect — — 211

Foreign currency translation adjustment, after-tax $ — $ — $ 245

Total amounts reclassified out of AOCI, pretax $ (2,048) $ (765) $ 317

Total tax effect 486 208 8

Total amounts reclassified out of AOCI, after-tax $ (1,562) $ (557) $ 325

(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 13 to the Consolidated Financial Statements for additional details.

(2) See Note 22 to the Consolidated Financial Statements for additional details.

(3) See Note 8 to the Consolidated Financial Statements for additional details.

227

20. PREFERRED STOCK

The following table summarizes the Company’s preferred stock outstanding:

Redemption

price per

depositary

share/

preference

Carrying value

in millions of dollars

Issuance date

Redeemable by issuer

beginning

Dividend

rate

Number

depositary

December 31,

2020

December 31,

2019

Series A

(1)

October 29, 2012 January 30, 2023 5.950 % $ 1,000 1,500,000 $ 1,500 $ 1,500

Series B

(2)

December 13, 2012 February 15, 2023 5.900 1,000 750,000 750 750

Series D

(3)

April 30, 2013 May 15, 2023 5.350 1,000 1,250,000 1,250 1,250

Series J

(4)

September 19, 2013 September 30, 2023 7.125 25 38,000,000 950 950

Series K

(5)

October 31, 2013 November 15, 2023 6.875 25 59,800,000 1,495 1,495

Series M

(6)

April 30, 2014 May 15, 2024 6.300 1,000 1,750,000 1,750 1,750

Series O

(7)

March 20, 2015 March 27, 2020 5.875 1,000 1,500,000 — 1,500

Series P

(8)

April 24, 2015 May 15, 2025 5.950 1,000 2,000,000 2,000 2,000

Series Q

(9)

August 12, 2015 August 15, 2020 4.316 1,000 1,250,000 1,250 1,250

Series R

(10)

November 13, 2015 November 15, 2020 4.699 1,000 1,500,000 1,500 1,500

Series S

(11)

February 2, 2016 February 12, 2021 6.300 25 41,400,000 1,035 1,035

Series T

(12)

April 25, 2016 August 15, 2026 6.250 1,000 1,500,000 1,500 1,500

Series U

(13)

September 12, 2019 September 12, 2024 5.000 1,000 1,500,000 1,500 1,500

Series V

(14)

January 23, 2020 January 30, 2025 4.700 1,000 1,500,000 1,500 —

Series W

(15)

December 10, 2020 December 10, 2025 4.000 1,000 1,500,000 1,500 —

$ 19,480 $ 17,980

(1) Issued as depositary shares, each representing a 1/25

interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are

payable semiannually on January 30 and July 30 at a fixed rate until, but excluding, January 30, 2023, thereafter payable quarterly on January 30, April 30, July 30

and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(2) Issued as depositary shares, each representing a 1/25

interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are

payable semiannually on February 15 and August 15 at a fixed rate until, but excluding, February 15, 2023, thereafter payable quarterly on February 15, May 15,

August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(3) Issued as depositary shares, each representing a 1/25

interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are

payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, May 15, 2023, thereafter payable quarterly on February 15, May 15,

August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(4) Issued as depositary shares, each representing a 1/1,000

interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are

payable quarterly on March 30, June 30, September 30 and December 30 at a fixed rate until, but excluding, September 30, 2023, thereafter payable quarterly on

the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(5) Issued as depositary shares, each representing a 1/1,000

interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are

payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, November 15, 2023, thereafter payable quarterly on

the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(6) Issued as depositary shares, each representing a 1/25

interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are

payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, May 15, 2024, thereafter payable quarterly on February 15, May 15,

August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(7) The Series O preferred stock was redeemed in full on March 27, 2020.

(8) Issued as depositary shares, each representing a 1/25

interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are

payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, May 15, 2025, and thereafter payable quarterly on February 15, May 15,

August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(9) Issued as depositary shares, each representing a 1/25

interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are

payable semiannually on February 15 and August 15 at a fixed rate until, but excluding, August 15, 2020, and thereafter payable quarterly on February 15, May

15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(10) Issued as depositary shares, each representing a 1/25

interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are

payable semiannually on May 15 and November 15 at a fixed rate until November 15, 2020, thereafter payable quarterly on February 15, May 15, August 15 and

November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(11) Issued as depositary shares, each representing a 1/1,000

interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are

payable quarterly on February 12, May 12, August 12 and November 12 at a fixed rate, in each case when, as and if declared by the Citi Board of Directors.

(12) Issued as depositary shares, each representing a 1/25

interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are

payable semiannually on February 15 and August 15 at a fixed rate until, but excluding, August 15, 2026, thereafter payable quarterly on February 15, May 15,

August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(13) Issued as depositary shares, each representing a 1/25

interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are

payable semiannually on March 12 and September 12 at a fixed rate until, but excluding, September 12, 2024, thereafter payable quarterly on March 12, June 12,

September 12 and December 12 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(14) Issued as depositary shares, each representing a 1/25

interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are

payable semiannually on January 30 and July 30 at a fixed rate until, but excluding, January 30, 2025, thereafter payable quarterly on January 30, April 30, July 30

and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

228

(15) Issued as depositary shares, each representing a 1/25

interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are

payable quarterly on March 10, June 10, September 10 and December 10 at a fixed rate until, but excluding, December 10, 2025, thereafter payable quarterly on

the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

During 2020, Citi distributed $1,095 million in dividends

on its outstanding preferred stock. On January 21, 2021, Citi

declared preferred dividends of approximately $292 million

for the first quarter of 2021.

During the first quarter of 2021, Citi issued $2.3 billion of

Series X preferred shares. In addition, Citi redeemed all of its

Series S preferred shares for $1.035 billion, and $465 million

of its Series R preferred shares. As of February 26, 2021, Citi

estimates it will distribute preferred dividends of

approximately $254 million, $293 million and $254 million in

the second, third and fourth quarters of 2021, respectively,

subject to such dividends being declared by the Citi Board of

Directors.

229

21. SECURITIZATIONS AND VARIABLE INTEREST

ENTITIES

Uses of Special Purpose Entities

A special purpose entity (SPE) is an entity designed to fulfill a

specific limited need of the company that organized it. The

principal uses of SPEs by Citi are to obtain liquidity and

favorable capital treatment by securitizing certain financial

assets, to assist clients in securitizing their financial assets and

to create investment products for clients. SPEs may be

organized in various legal forms, including trusts, partnerships

or corporations. In a securitization, through the SPE’s issuance

of debt and equity instruments, certificates, commercial paper

or other notes of indebtedness, the company transferring assets

to the SPE converts all (or a portion) of those assets into cash

before they would have been realized in the normal course of

business. These issuances are recorded on the balance sheet of

the SPE, which may or may not be consolidated onto the

balance sheet of the company that organized the SPE.

Investors usually have recourse only to the assets in the

SPE, but may also benefit from other credit enhancements,

such as a collateral account, a line of credit or a liquidity

facility, such as a liquidity put option or asset purchase

agreement. Because of these enhancements, the SPE issuances

typically obtain a more favorable credit rating than the

transferor could obtain for its own debt issuances. This results

in less expensive financing costs than unsecured debt. The

SPE may also enter into derivative contracts in order to

convert the yield or currency of the underlying assets to match

the needs of the SPE investors or to limit or change the credit

risk of the SPE. Citigroup may be the provider of certain credit

enhancements as well as the counterparty to any related

derivative contracts.

Most of Citigroup’s SPEs are variable interest entities

(VIEs), as described below.

Variable Interest Entities

VIEs are entities that have either a total equity investment that

is insufficient to permit the entity to finance its activities

without additional subordinated financial support or whose

equity investors lack the characteristics of a controlling

financial interest (i.e., ability to make significant decisions

through voting rights or similar rights and a right to receive

the expected residual returns of the entity or an obligation to

absorb the expected losses of the entity). Investors that finance

the VIE through debt or equity interests or other counterparties

providing other forms of support, such as guarantees, certain

fee arrangements or certain types of derivative contracts, are

variable interest holders in the entity.

The variable interest holder, if any, that has a controlling

financial interest in a VIE is deemed to be the primary

beneficiary and must consolidate the VIE. Citigroup would be

deemed to have a controlling financial interest and be the

primary beneficiary if it has both of the following

characteristics:

• power to direct the activities of the VIE that most

significantly impact the entity’s economic performance;

and

• an obligation to absorb losses of the entity that could

potentially be significant to the VIE, or a right to receive

benefits from the entity that could potentially be

significant to the VIE.

The Company must evaluate each VIE to understand the

purpose and design of the entity, the role the Company had in

the entity’s design and its involvement in the VIE’s ongoing

activities. The Company then must evaluate which activities

most significantly impact the economic performance of the

VIE and who has the power to direct such activities.

For those VIEs where the Company determines that it has

the power to direct the activities that most significantly impact

the VIE’s economic performance, the Company must then

evaluate its economic interests, if any, and determine whether

it could absorb losses or receive benefits that could potentially

be significant to the VIE. When evaluating whether the

Company has an obligation to absorb losses that could

potentially be significant, it considers the maximum exposure

to such loss without consideration of probability. Such

obligations could be in various forms, including, but not

limited to, debt and equity investments, guarantees, liquidity

agreements and certain derivative contracts.

In various other transactions, the Company may (i) act as

a derivative counterparty (for example, interest rate swap,

cross-currency swap or purchaser of credit protection under a

credit default swap or total return swap where the Company

pays the total return on certain assets to the SPE), (ii) act as

underwriter or placement agent, (iii) provide administrative,

trustee or other services or (iv) make a market in debt

securities or other instruments issued by VIEs. The Company

generally considers such involvement, by itself, not to be

variable interests and thus not an indicator of power or

potentially significant benefits or losses.

230

Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests

or has continuing involvement through servicing a majority of the assets in a VIE is presented below:

As of December 31, 2020

Maximum exposure to loss in significant unconsolidated VIEs

(1)

Funded exposures

(2)

Unfunded exposures

In millions of dollars

Total

involvement

with SPE

assets

Consolidated

VIE/SPE

assets

Significant

unconsolidated

VIE assets

(3)

Debt

investments

Equity

investments

Funding

commitments

Guarantees

and

derivatives Total

Credit card securitizations $ 32,420 $ 32,420 $ — $ — $ — $ — $ — $ —

Mortgage securitizations

(4)

U.S. agency-sponsored 123,999 — 123,999 1,948 — — 61 2,009

Non-agency-sponsored 46,132 939 45,193 2,550 — 2 1 2,553

Citi-administered asset-

backed commercial paper

conduits 16,730 16,730 — — — — — —

Collateralized loan

obligations (CLOs) 18,332 — 18,332 4,273 — — — 4,273

Asset-based financing

(5)

222,274 8,069 214,205 25,153 1,587 9,114 — 35,854

Municipal securities tender

option bond trusts (TOBs) 3,349 835 2,514 — — 1,611 — 1,611

Municipal investments 20,335 — 20,335 2,569 4,056 3,041 — 9,666

Client intermediation 1,352 910 442 88 — — 56 144

Investment funds 488 153 335 — — 15 — 15

Other — — — — — — — —

Total $ 485,411 $ 60,056 $ 425,355 $ 36,581 $ 5,643 $ 13,783 $ 118 $ 56,125

As of December 31, 2019

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 $ 43,534 $ 43,534 $ — $ — $ — $ — $ — $ —

Mortgage securitizations

(4)

U.S. agency-sponsored 117,374 — 117,374 2,671 — — 72 2,743

Non-agency-sponsored 39,608 1,187 38,421 876 — — 1 877

Citi-administered asset-

backed commercial paper

conduits 15,622 15,622 — — — — — —

Collateralized loan

obligations (CLOs) 17,395 — 17,395 4,199 — — — 4,199

Asset-based financing

(5)

196,728 6,139 190,589 23,756 1,151 9,524 — 34,431

Municipal securities tender

option bond trusts (TOBs) 6,950 1,458 5,492 4 — 3,544 — 3,548

Municipal investments 20,312 — 20,312 2,636 4,274 3,034 — 9,944

Client intermediation 1,455 1,391 64 4 — — — 4

Investment funds 827 174 653 5 — 16 1 22

Other 352 1 351 169 — 39 — 208

Total $ 460,157 $ 69,506 $ 390,651 $ 34,320 $ 5,425 $ 16,157 $ 74 $ 55,976

(1) The definition of maximum exposure to loss is included in the text that follows this table.

(2) Included on Citigroup’s December 31, 2020 and 2019 Consolidated Balance Sheet.

(3) A significant unconsolidated VIE is an entity in which the Company has any variable interest or continuing involvement considered to be significant, regardless of

the likelihood of loss.

(4) Citigroup mortgage securitizations also include agency and non-agency (private label) re-securitization activities. These SPEs are not consolidated. See “Re-

securitizations” below for further discussion.

(5) Included within this line are loans to third-party sponsored private equity funds, which represent $78 billion and $69 billion in unconsolidated VIE assets and

$425 million and $711 million in maximum exposure to loss as of December 31, 2020 and 2019, respectively.

231

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 December 31, 2020 and 2019, the

Company’s maximum exposure to loss related to these

deals was $57 billion and $52.5 billion, respectively (for

more information on these positions, see Notes 14 and 26

to the Consolidated Financial Statements);

• certain VIEs structured by third parties in which the

Company holds securities in inventory, as these

investments are made on arm’s-length terms;

• certain positions in mortgage- and asset-backed securities

held by the Company, which are classified as Trading

account assets or Investments, in which the Company has

no other involvement with the related securitization entity

deemed to be significant (for more information on these

positions, see Notes 13 and 24 to the Consolidated

Financial Statements);

• certain representations and warranties exposures in legacy

ICG-sponsored mortgage- and asset-backed

securitizations in which the Company has no variable

interest or continuing involvement as servicer. The

outstanding balance of mortgage loans securitized during

2005 to 2008 in which the Company has no variable

interest or continuing involvement as servicer was

approximately $5.22 billion and $6 billion at

December 31, 2020 and 2019, respectively;

• certain representations and warranties exposures in

Citigroup residential mortgage securitizations in which

the original mortgage loan balances are no longer

outstanding; and

• VIEs such as trust preferred securities trusts used in

connection with the Company’s funding activities. The

Company does not have a variable interest in these trusts.

The asset balances for consolidated VIEs represent the

carrying amounts of the assets consolidated by the Company.

The carrying amount may represent the amortized cost or the

current fair value of the assets depending on the legal form of

the asset (e.g., loan or security) and the Company’s standard

accounting policies for the asset type and line of business.

The asset balances for unconsolidated VIEs in which the

Company has significant involvement represent the most

current information available to the Company. In most cases,

the asset balances represent an amortized cost basis without

regard to impairments, unless fair value information is readily

available to the Company.

The maximum funded exposure represents the balance

sheet carrying amount of the Company’s investment in the

VIE. It reflects the initial amount of cash invested in the VIE,

adjusted for any accrued interest and cash principal payments

received. The carrying amount may also be adjusted for

increases or declines in fair value or any impairment in value

recognized in earnings. The maximum exposure of unfunded

positions represents the remaining undrawn committed

amount, including liquidity and credit facilities provided by

the Company or the notional amount of a derivative

instrument considered to be a variable interest. In certain

transactions, the Company has entered into derivative

instruments or other arrangements that are not considered

variable interests in the VIE (e.g., interest rate swaps, cross-

currency swaps or where the Company is the purchaser of

credit protection under a credit default swap or total return

swap where the Company pays the total return on certain

assets to the SPE). Receivables under such arrangements are

not included in the maximum exposure amounts.

232

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:

December 31, 2020 December 31, 2019

In millions of dollars

Liquidity

facilities

Loan/equity

commitments

Liquidity

facilities

Loan/equity

commitments

Non-agency-sponsored mortgage securitizations $ — $ 2 $ — $ —

Asset-based financing — 9,114 — 9,524

Municipal securities tender option bond trusts (TOBs) 1,611 — 3,544 —

Municipal investments — 3,041 — 3,034

Investment funds — 15 — 16

Other — — — 39

Total funding commitments $ 1,611 $ 12,172 $ 3,544 $ 12,613

Consolidated VIEs

The Company engages in on-balance sheet securitizations,

which are securitizations that do not qualify for sales

treatment; thus, the assets remain on Citi’s Consolidated

Balance Sheet, and any proceeds received are recognized as

secured liabilities. The consolidated VIEs represent more than

a hundred separate entities with which the Company is

involved. In general, the third-party investors in the

obligations of consolidated VIEs have legal recourse only to

the assets of the respective VIEs and do not have such

recourse to the Company, except where Citi has provided a

guarantee to the investors or is the counterparty to certain

derivative transactions involving the VIE. Thus, Citigroup’s

maximum legal exposure to loss related to consolidated VIEs

is significantly less than the carrying value of the consolidated

VIE assets due to outstanding third-party financing.

Intercompany assets and liabilities are excluded from Citi’s

Consolidated Balance Sheet. All VIE assets are restricted from

being sold or pledged as collateral. The cash flows from these

assets are the only source used to pay down the associated

liabilities, which are non-recourse to Citi’s general assets. See

the Consolidated Balance Sheet for more information about

these Consolidated VIE assets and liabilities.

Significant Interests in Unconsolidated VIEs—Balance Sheet Classification

The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs:

In billions of dollars

December 31,

2020

December 31,

2019

Cash $ — $ —

Trading account assets 2.0 2.6

Investments 10.6 9.9

Total loans, net of allowance 29.3 26.7

Other 0.3 0.5

Total assets $ 42.2 $ 39.7

233

Credit Card Securitizations

The Company securitizes credit card receivables through trusts

established to purchase the receivables. Citigroup transfers

receivables into the trusts on a non-recourse basis. Credit card

securitizations are revolving securitizations: as customers pay

their credit card balances, the cash proceeds are used to

purchase new receivables and replenish the receivables in the

trust.

Substantially all of the Company’s credit card

securitization activity is through two trusts—Citibank Credit

Card Master Trust (Master Trust) and Citibank Omni Master

Trust (Omni Trust), with the substantial majority through the

Master Trust. These trusts are consolidated entities because, as

servicer, Citigroup has the power to direct the activities that

most significantly impact the economic performance of the

trusts. Citigroup holds a seller’s interest and certain securities

issued by the trusts, which could result in exposure to

potentially significant losses or benefits from the trusts.

Accordingly, the transferred credit card receivables remain on

Citi’s Consolidated Balance Sheet with no gain or loss

recognized. The debt issued by the trusts to third parties is

included on Citi’s Consolidated Balance Sheet.

Citi utilizes securitizations as one of the sources of

funding for its business in North America. The following table

reflects amounts related to the Company’s securitized credit

card receivables:

In billions of dollars

December 31,

2020

December 31,

2019

Ownership interests in principal amount of trust credit card receivables

Sold to investors via trust-issued securities $ 15.7 $ 19.7

Retained by Citigroup as trust-issued securities 7.9 6.2

Retained by Citigroup via non-certificated interests 11.1 17.8

Total $ 34.7 $ 43.7

The following table summarizes selected cash flow

information related to Citigroup’s credit card securitizations:

In billions of dollars

2020 2019 2018

Proceeds from new securitizations $ 0.3 $ — $ 6.8

Pay down of maturing notes (4.3) (7.6) (8.3)

Managed Loans

After securitization of credit card receivables, the Company

continues to maintain credit card customer account

relationships and provides servicing for receivables transferred

to the trusts. As a result, the Company considers the

securitized credit card receivables to be part of the business it

manages. As Citigroup consolidates the credit card trusts, all

managed securitized card receivables are on-balance sheet.

Funding, Liquidity Facilities and Subordinated Interests

As noted above, Citigroup securitizes credit card receivables

through two securitization trusts—Master Trust and Omni

Trust. The liabilities of the trusts are included on the

Consolidated Balance Sheet, excluding those retained by

Citigroup.

Master Trust Liabilities (at Par Value)

The Master Trust issues fixed- and floating-rate term notes.

Some of the term notes may be issued to multi-seller

commercial paper conduits. The weighted average maturity of

the third-party term notes issued by the Master Trust was 2.9

years as of December 31, 2020 and 3.1 years as of

December 31, 2019.

In billions of dollars

Dec. 31,

2020

Dec. 31,

2019

Term notes issued to third parties $ 13.9 $ 18.2

Term notes retained by Citigroup

affiliates 2.7 4.3

Total Master Trust liabilities $ 16.6 $ 22.5

Omni Trust Liabilities (at Par Value)

The Omni Trust issues fixed- and floating-rate term notes,

some of which are purchased by multi-seller commercial paper

conduits. The weighted average maturity of the third-party

term notes issued by the Omni Trust was 1.1 years as of

December 31, 2020 and 1.6 years as of December 31, 2019.

In billions of dollars

Dec. 31,

2020

Dec. 31,

2019

Term notes issued to third parties $ 1.8 $ 1.5

Term notes retained by Citigroup

affiliates 5.2 1.9

Total Omni Trust liabilities $ 7.0 $ 3.4

234

Mortgage Securitizations

Citigroup provides a wide range of mortgage loan products to

a diverse customer base. Once originated, the Company often

securitizes these loans through the use of VIEs. These VIEs

are funded through the issuance of trust certificates backed

solely by the transferred assets. These certificates have the

same life as the transferred assets. In addition to providing a

source of liquidity and less expensive funding, securitizing

these assets also reduces Citi’s credit exposure to the

borrowers. These mortgage loan securitizations are primarily

non-recourse, thereby effectively transferring the risk of future

credit losses to the purchasers of the securities issued by the

trust.

Citi’s U.S. consumer mortgage business generally retains

the servicing rights and in certain instances retains investment

securities, interest-only strips and residual interests in future

cash flows from the trusts and also provides servicing for a

limited number of ICG securitizations. Citi’s ICG business

may hold investment securities pursuant to credit risk retention

rules or in connection with secondary market-making

activities.

The Company securitizes mortgage loans generally

through either a U.S. government-sponsored agency, such as

Ginnie Mae, Fannie Mae or Freddie Mac (U.S. agency-

sponsored mortgages), or private label (non-agency-sponsored

mortgages) securitization. Citi is not the primary beneficiary

of its U.S. agency-sponsored mortgage securitization entities

because Citigroup does not have the power to direct the

activities of the VIEs that most significantly impact the

entities’ economic performance. Therefore, Citi does not

consolidate these U.S. agency-sponsored mortgage

securitization entities. Substantially all of the consumer loans

sold or securitized through non-consolidated trusts by

Citigroup are U.S. prime residential mortgage loans. Retained

interests in non-consolidated agency-sponsored mortgage

securitization trusts are classified as Trading account assets,

except for MSRs, which are included in Other assets on

Citigroup’s Consolidated Balance Sheet.

Citigroup does not consolidate certain non-agency-

sponsored mortgage securitization entities because Citi is

either not the servicer with the power to direct the significant

activities of the entity or Citi is the servicer, but the servicing

relationship is deemed to be a fiduciary relationship; therefore,

Citi is not deemed to be the primary beneficiary of the entity.

In certain instances, the Company has (i) the power to

direct the activities and (ii) the obligation to either absorb

losses or the right to receive benefits that could be potentially

significant to its non-agency-sponsored mortgage

securitization entities and, therefore, is the primary beneficiary

and, thus, consolidates the VIE.

The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage

securitizations:

2020 2019 2018

In billions of dollars

U.S. agency-

sponsored

mortgages

Non-agency-

sponsored

mortgages

U.S. agency-

sponsored

mortgages

Non-agency-

sponsored

mortgages

U.S. agency-

sponsored

mortgages

Non-agency-

sponsored

mortgages

Principal securitized $ 9.4 $ 11.3 $ 5.3 $ 15.6 $ 4.0 $ 5.6

Proceeds from new securitizations

(1)

10.0 11.4 5.5 15.5 4.2 7.1

Contractual servicing fees received 0.1 — 0.1 — 0.1 —

Purchases of previously transferred financial assets 0.4 — 0.2 — 0.2 —

Note: Excludes re-securitization transactions.

(1) The proceeds from new securitizations in 2019 include $0.2 billion related to personal loan securitizations.

For non-consolidated mortgage securitization entities

where the transfer of loans to the VIE meets the conditions for

sale accounting, Citi recognizes a gain or loss based on the

difference between the carrying value of the transferred assets

and the proceeds received (generally cash but may be

beneficial interests or servicing rights).

Agency and non-agency securitization gains for the year

ended December 31, 2020 were $88.4 million and $139.4

million, respectively.

Agency and non-agency securitization gains for the year

ended December 31, 2019 were $16 million and $73.4 million,

respectively, and $17 million and $36 million, respectively,

for the year ended December 31, 2018.

2020 2019

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)

$ 315 $ 1,210 $ 145 $ 491 $ 748 $ 102

(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 $112 million related to personal loan securitizations at December 31, 2020.

(3) Retained interests consist of Level 2 or Level 3 assets depending on the observability of significant inputs. See Note 24 to the Consolidated Financial Statements

for more information about fair value measurements.

235

Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables

were as follows:

December 31, 2020

Non-agency-sponsored mortgages

(1)

U.S. agency-

sponsored mortgages

Senior

interests

Subordinated

interests

Weighted average discount rate 5.4 % 1.7 % 3.0 %

Weighted average constant prepayment rate 25.8 % 3.4 % 25.0 %

Weighted average anticipated net credit losses

(2)

NM 1.7 % 0.5 %

Weighted average life 4.8 years 3.8 years 2.3 years

December 31, 2019

Non-agency-sponsored mortgages

(1)

U.S. agency-

sponsored mortgages

Senior

interests

Subordinated

interests

Weighted average discount rate 9.3 % 3.6 % 4.6 %

Weighted average constant prepayment rate 12.9 % 10.5 % 7.6 %

Weighted average anticipated net credit losses

(2)

NM 3.9 % 2.8 %

Weighted average life 6.6 years 3.0 years 11.4 years

(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the

securitization.

(2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above.

Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests

in mortgage securitizations.

NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual

interests. Key assumptions used in measuring the fair value of retained interests in securitizations of mortgage receivables at period

end were as follows:

December 31, 2020

Non-agency-sponsored mortgages

(1)

U.S. agency-

sponsored mortgages

Senior

interests

Subordinated

interests

Weighted average discount rate 5.9 % 7.2 % 4.3 %

Weighted average constant prepayment rate 22.7 % 5.3 % 4.7 %

Weighted average anticipated net credit losses

(2)

NM 1.2 % 1.4 %

Weighted average life 4.5 years 5.3 years 4.7 years

December 31, 2019

Non-agency-sponsored mortgages

(1)

U.S. agency-

sponsored mortgages

Senior

interests

Subordinated

interests

Weighted average discount rate 9.8 % 7.6 % 4.2 %

Weighted average constant prepayment rate 10.1 % 3.6 % 6.1 %

Weighted average anticipated net credit losses

(2)

NM 5.2 % 2.7 %

Weighted average life 6.6 years 5.9 years 29.3 years

(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the

securitization.

(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.

236

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.

December 31, 2020

Non-agency-sponsored mortgages

In millions of dollars

U.S. agency-

sponsored mortgages

Senior

interests

Subordinated

interests

Discount rate

Adverse change of 10% $ (8) $ — $ (1)

Adverse change of 20% (15) (1) (1)

Constant prepayment rate

Adverse change of 10% (21) — —

Adverse change of 20% (40) — —

Anticipated net credit losses

Adverse change of 10% NM — —

Adverse change of 20% NM — —

December 31, 2019

Non-agency-sponsored mortgages

In millions of dollars

U.S. agency-

sponsored mortgages

Senior

interests

Subordinated

interests

Discount rate

Adverse change of 10% $ (18) $ — $ (1)

Adverse change of 20% (35) (1) (1)

Constant prepayment rate

Adverse change of 10% (18) — —

Adverse change of 20% (35) — —

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:

Securitized assets 90 days past due Liquidation losses

In billions of dollars, except liquidation losses in millions

2020 2019 2020 2019 2020 2019

Securitized assets

Residential mortgages

(1)

$ 16.9 $ 11.7 $ 0.5 $ 0.4 $ 26.2 $ 49.0

Commercial and other 23.9 19.0 — — — —

Total $ 40.8 $ 30.7 $ 0.5 $ 0.4 $ 26.2 $ 49.0

(1) Securitized assets include $0.2 billion of personal loan securitizations as of December 31, 2020.

237

Mortgage Servicing Rights (MSRs)

In connection with the securitization of mortgage loans, Citi’s

U.S. consumer mortgage business generally retains the

servicing rights, which entitle the Company to a future stream

of cash flows based on the outstanding principal balances of

the loans and the contractual servicing fee. Failure to service

the loans in accordance with contractual requirements may

lead to a termination of the servicing rights and the loss of

future servicing fees.

These transactions create intangible assets referred to as

MSRs, which are recorded at fair value on Citi’s Consolidated

Balance Sheet. The fair value of Citi’s capitalized MSRs was

$336 million and $495 million at December 31, 2020 and

2019, respectively. The MSRs correspond to principal loan

balances of $53 billion and $58 billion as of December 31,

2020 and 2019, respectively.

The following table summarizes the changes in

capitalized MSRs:

In millions of dollars

2020 2019

Balance, beginning of year

$ 495 $ 584

Originations

123 70

Changes in fair value of MSRs due to

changes in inputs and assumptions

(204) (84)

Other changes

(1)

(78) (75)

Sale of MSRs

— —

Balance, as of December 31 $ 336 $ 495

(1) Represents changes due to customer payments and passage of time.

The fair value of the MSRs is primarily affected by

changes in prepayments of mortgages that result from shifts in

mortgage interest rates. Specifically, higher interest rates tend

to lead to declining prepayments, which causes the fair value

of the MSRs to increase. In managing this risk, Citigroup

economically hedges a significant portion of the value of its

MSRs through the use of interest rate derivative contracts,

forward purchase and sale commitments of mortgage-backed

securities and purchased securities, all classified as Trading

account assets.

The Company receives fees during the course of servicing

previously securitized mortgages. The amounts of these fees

were as follows:

In millions of dollars

2020 2019 2018

Servicing fees $ 142 $ 148 $ 172

Late fees 5 8 4

Ancillary fees — 1 8

Total MSR fees $ 147 $ 157 $ 184

In the Consolidated Statement of Income these fees are

primarily classified as Commissions and fees, and changes in

MSR fair values are classified as Other revenue.

Re-securitizations

The Company engages in re-securitization transactions in

which debt securities are transferred to a VIE in exchange for

new beneficial interests. Citi did not transfer non-agency

(private label) securities to re-securitization entities during the

years ended December 31, 2020 and 2019. These securities are

backed by either residential or commercial mortgages and are

often structured on behalf of clients.

As of December 31, 2020 and December 31, 2019, Citi

held no retained interests in private label re-securitization

transactions structured by Citi.

The Company also re-securitizes U.S. government-agency

guaranteed mortgage-backed (agency) securities. During the

years ended December 31, 2020 and 2019, Citi transferred

agency securities with a fair value of approximately $42.8

billion and $31.9 billion, respectively, to re-securitization

entities.

As of December 31, 2020, the fair value of Citi-retained

interests in agency re-securitization transactions structured by

Citi totaled approximately $1.6 billion (including $916 million

related to re-securitization transactions executed in 2020)

compared to $2.2 billion as of December 31, 2019 (including

$1.3 billion related to re-securitization transactions executed in

2019), which is recorded in Trading account assets. The

original fair value of agency re-securitization transactions in

which Citi holds a retained interest as of December 31, 2020

and 2019 was approximately $83.6 billion and $73.5 billion,

respectively.

As of December 31, 2020 and 2019, the Company did not

consolidate any private label or agency re-securitization

entities.

Citi-Administered Asset-Backed Commercial Paper Conduits

The Company is active in the asset-backed commercial paper

conduit business as administrator of several multi-seller

commercial paper conduits and also as a service provider to

single-seller and other commercial paper conduits sponsored

by third parties.

Citi’s multi-seller commercial paper conduits are

designed to provide the Company’s clients access to low-cost

funding in the commercial paper markets. The conduits

purchase assets from or provide financing facilities to clients

and are funded by issuing commercial paper to third-party

investors. The conduits generally do not purchase assets

originated by Citi. The funding of the conduits is facilitated by

the liquidity support and credit enhancements provided by the

Company.

As administrator to Citi’s conduits, the Company is

generally responsible for selecting and structuring assets

purchased or financed by the conduits, making decisions

regarding the funding of the conduits, including determining

the tenor and other features of the commercial paper issued,

monitoring the quality and performance of the conduits’ assets

and facilitating the operations and cash flows of the conduits.

In return, the Company earns structuring fees from customers

for individual transactions and earns an administration fee

from the conduit, which is equal to the income from the client

program and liquidity fees of the conduit after payment of

conduit expenses. This administration fee is fairly stable, since

most risks and rewards of the underlying assets are passed

back to the clients. Once the asset pricing is negotiated, most

ongoing income, costs and fees are relatively stable as a

percentage of the conduit’s size.

The conduits administered by Citi do not generally invest

in liquid securities that are formally rated by third parties. The

assets are privately negotiated and structured transactions that

238

are generally designed to be held by the conduit, rather than

actively traded and sold. The yield earned by the conduit on

each asset is generally tied to the rate on the commercial paper

issued by the conduit, thus passing interest rate risk to the

client. Each asset purchased by the conduit is structured with

transaction-specific credit enhancement features provided by

the third-party client seller, including over-collateralization,

cash and excess spread collateral accounts, direct recourse or

third-party guarantees. These credit enhancements are sized

with the objective of approximating a credit rating of A or

above, based on Citi’s internal risk ratings. At December 31,

2020 and 2019, the commercial paper conduits administered

by Citi had approximately $16.7 billion and $15.6 billion of

purchased assets outstanding, respectively, and had

incremental funding commitments with clients of

approximately $17.1 billion and $16.3 billion, respectively.

Substantially all of the funding of the conduits is in the

form of short-term commercial paper. At December 31, 2020

and 2019, the weighted average remaining lives of the

commercial paper issued by the conduits were approximately

54 and 49 days, respectively.

The primary credit enhancement provided to the conduit

investors is in the form of transaction-specific credit

enhancements described above. In addition to the transaction-

specific credit enhancements, the conduits, other than the

government guaranteed loan conduit, have obtained a letter of

credit from the Company, which is equal to at least 8% to 10%

of the conduit’s assets with a minimum of $200 million. The

letters of credit provided by the Company to the conduits total

approximately $1.5 billion as of December 31, 2020 and $1.4

billion as of December 31, 2019. The net result across multi-

seller conduits administered by the Company is that, in the

event that defaulted assets exceed the transaction-specific

credit enhancements described above, any losses in each

conduit are allocated first to the Company and then to the

commercial paper investors.

Citigroup also provides the conduits with two forms of

liquidity agreements that are used to provide funding to the

conduits in the event of a market disruption, among other

events. Each asset of the conduits is supported by a

transaction-specific liquidity facility in the form of an asset

purchase agreement (APA). Under the APA, the Company has

generally agreed to purchase non-defaulted eligible

receivables from the conduit at par. The APA is not designed

to provide credit support to the conduit, as it generally does

not permit the purchase of defaulted or impaired assets. Any

funding under the APA will likely subject the underlying

conduit clients to increased interest costs. In addition, the

Company provides the conduits with program-wide liquidity

in the form of short-term lending commitments. Under these

commitments, the Company has agreed to lend to the conduits

in the event of a short-term disruption in the commercial paper

market, subject to specified conditions. The Company receives

fees for providing both types of liquidity agreements and

considers these fees to be on fair market terms.

Finally, Citi is one of several named dealers in the

commercial paper issued by the conduits and earns a market-

based fee for providing such services. Along with third-party

dealers, the Company makes a market in the commercial paper

and may from time to time fund commercial paper pending

sale to a third party. On specific dates with less liquidity in the

market, the Company may hold in inventory commercial paper

issued by conduits administered by the Company, as well as

conduits administered by third parties. Separately, in the

normal course of business, Citi purchases commercial paper,

including commercial paper issued by Citigroup's conduits. At

December 31, 2020 and 2019, the Company owned $6.6

billion and $5.5 billion, respectively, of the commercial paper

issued by its administered conduits. The Company’s

investments were not driven by market illiquidity and the

Company is not obligated under any agreement to purchase

the commercial paper issued by the conduits.

The asset-backed commercial paper conduits are

consolidated by Citi. The Company has determined that,

through its roles as administrator and liquidity provider, it has

the power to direct the activities that most significantly impact

the entities’ economic performance. These powers include its

ability to structure and approve the assets purchased by the

conduits, its ongoing surveillance and credit mitigation

activities, its ability to sell or repurchase assets out of the

conduits and its liability management. In addition, as a result

of all the Company’s involvement described above, it was

concluded that Citi has an economic interest that could

potentially be significant. However, the assets and liabilities of

the conduits are separate and apart from those of Citigroup.

No assets of any conduit are available to satisfy the creditors

of Citigroup or any of its other subsidiaries.

Collateralized Loan Obligations (CLOs)

A collateralized loan obligation (CLO) is a VIE that purchases

a portfolio of assets consisting primarily of non-investment

grade corporate loans. CLOs issue multiple tranches of debt

and equity to investors to fund the asset purchases and pay

upfront expenses associated with forming the CLO. A third-

party asset manager is contracted by the CLO to purchase the

underlying assets from the open market and monitor the credit

risk associated with those assets. Over the term of a CLO, the

asset manager directs purchases and sales of assets in a

manner consistent with the CLO’s asset management

agreement and indenture. In general, the CLO asset manager

will have the power to direct the activities of the entity that

most significantly impact the economic performance of the

CLO. Investors in a CLO, through their ownership of debt

and/or equity in it, can also direct certain activities of the

CLO, including removing its asset manager under limited

circumstances, optionally redeeming the notes, voting on

amendments to the CLO’s operating documents and other

activities. A CLO has a finite life, typically 12 years.

Citi serves as a structuring and placement agent with

respect to the CLOs. Typically, the debt and equity of the

CLOs are sold to third-party investors. On occasion, certain

Citi entities may purchase some portion of a CLO’s liabilities

for investment purposes. In addition, Citi may purchase,

typically in the secondary market, certain securities issued by

the CLOs to support its market making activities.

The Company generally does not have the power to direct

the activities that most significantly impact the economic

performance of the CLOs, as this power is generally held by a

third-party asset manager of the CLO. As such, those CLOs

are not consolidated.

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The following tables summarize selected cash flow

information and retained interests related to Citigroup CLOs:

In billions of dollars

2020 2019 2018

Principal securitized $ 0.1 $ — $ —

Proceeds from new securitizations 0.1 — —

Cash flows received on retained

interests and other net cash flows — — 0.1

In millions of dollars

Dec. 31,

2020

Dec. 31,

2019

Dec. 31,

2018

Carrying value of retained

interests $ 1,611 $ 1,404 $ 3,142

All of Citi’s retained interests were held-to-maturity

securities as of December 31, 2020 and 2019.

Asset-Based Financing

The Company provides loans and other forms of financing to

VIEs that hold assets. Those loans are subject to the same

credit approvals as all other loans originated or purchased by

the Company. Financings in the form of debt securities or

derivatives are, in most circumstances, reported in Trading

account assets and accounted for at fair value through

earnings. The Company generally does not have the power to

direct the activities that most significantly impact these VIEs’

economic performance; thus, it does not consolidate them.

The primary types of Citi’s asset-based financings, total

assets of the unconsolidated VIEs with significant

involvement and Citi’s maximum exposure to loss are 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.

December 31, 2020

In millions of dollars

Total

unconsolidated

VIE assets

Maximum

exposure to

unconsolidated

VIEs

Type

Commercial and other real

estate $ 34,570 $ 7,758

Corporate loans 12,022 7,654

Other (including investment

funds, airlines and shipping) 167,613 20,442

Total $ 214,205 $ 35,854

December 31, 2019

In millions of dollars

Total

unconsolidated

VIE assets

Maximum

exposure to

unconsolidated

VIEs

Type

Commercial and other real

estate $ 31,377 $ 7,489

Corporate loans 7,088 5,802

Other (including investment

funds, airlines and shipping) 152,124 21,140

Total $ 190,589 $ 34,431

Municipal Securities Tender Option Bond (TOB) Trusts

Municipal TOB trusts may hold fixed- or floating-rate, taxable

or tax-exempt securities issued by state and local governments

and municipalities. TOB trusts are typically structured as

single-issuer entities whose assets are purchased from either

the Company or from other investors in the municipal

securities market. TOB trusts finance the purchase of their

municipal assets by issuing two classes of certificates: long-

dated, floating rate certificates (“Floaters”) that are putable

pursuant to a liquidity facility and residual interest certificates

(“Residuals”). The Floaters are purchased by third-party

investors, typically tax-exempt money market funds. The

Residuals are purchased by the original owner of the

municipal securities that are being financed.

From Citigroup’s perspective, there are two types of TOB

trusts: customer and non-customer. Customer TOB trusts are

those trusts utilized by customers of the Company to finance

their securities, generally municipal securities. The Residuals

issued by these trusts are purchased by the customer being

financed. Non-customer TOB trusts are generally used by the

Company to finance its own municipal securities investments;

the Residuals issued by non-customer TOB trusts are

purchased by the Company.

With respect to both customer and non-customer TOB

trusts, Citi may provide remarketing agent services. If Floaters

are optionally tendered and the Company, in its role as

remarketing agent, is unable to find a new investor to purchase

the optionally tendered Floaters within a specified period of

time, Citigroup may, but is not obligated to, purchase the

tendered Floaters into its own inventory. The level of the

Company’s inventory of such Floaters fluctuates.

For certain customer TOB trusts, Citi may also serve as a

voluntary advance provider. In this capacity, the Company

may, but is not obligated to, make loan advances to customer

TOB trusts to purchase optionally tendered Floaters that have

not otherwise been successfully remarketed to new investors.

Such loans are secured by pledged Floaters. As of

December 31, 2020, Citi had no outstanding voluntary

advances to customer TOB trusts.

For certain non-customer trusts, the Company also

provides credit enhancement. At December 31, 2020 and

2019, none of the municipal bonds owned by non-customer

TOB trusts were subject to a credit guarantee provided by the

Company.

Citigroup also provides liquidity services to many

customer and non-customer trusts. If a trust is unwound early

due to an event other than a credit event on the underlying

municipal bonds, the underlying municipal bonds are sold out

of the trust and bond sale proceeds are used to redeem the

outstanding trust certificates. If this results in a shortfall

between the bond sale proceeds and the redemption price of

the tendered Floaters, the Company, pursuant to the liquidity

agreement, would be obligated to make a payment to the trust

to satisfy that shortfall. For certain customer TOB trusts,

Citigroup has also executed a reimbursement agreement with

the holder of the Residual, pursuant to which the Residual

holder is obligated to reimburse the Company for any payment

the Company makes under the liquidity arrangement. These

reimbursement agreements may be subject to daily margining

based on changes in the market value of the underlying

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municipal bonds. In cases where a third party provides

liquidity to a non-customer TOB trust, a similar

reimbursement arrangement may be executed, whereby the

Company (or a consolidated subsidiary of the Company), as

Residual holder, would absorb any losses incurred by the

liquidity provider.

For certain other non-customer TOB trusts, Citi serves as

tender option provider. The tender option provider

arrangement allows Floater holders to put their interests

directly to the Company at any time, subject to the requisite

notice period requirements, at a price of par.

At December 31, 2020 and 2019, liquidity agreements

provided with respect to customer TOB trusts totaled $1.6

billion and $3.5 billion, respectively, of which $0.8 billion and

$1.6 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.

Citi considers both customer and non-customer TOB

trusts to be VIEs. Customer TOB trusts are not consolidated

by the Company, as the power to direct the activities that most

significantly impact the trust’s economic performance rests

with the customer Residual holder, which may unilaterally

cause the sale of the trust’s bonds.

Non-customer TOB trusts generally are consolidated

because the Company holds the Residual interest and thus has

the unilateral power to cause the sale of the trust’s bonds.

The Company also provides other liquidity agreements or

letters of credit to customer-sponsored municipal investment

funds, which are not variable interest entities, and

municipality-related issuers that totaled $3.6 billion as of

December 31, 2020 and $7.0 billion as of December 31, 2019.

These liquidity agreements and letters of credit are offset by

reimbursement agreements with various term-out provisions.

Municipal Investments

Municipal investment transactions include debt and equity

interests in partnerships that finance the construction and

rehabilitation of low-income housing, facilitate lending in new

or underserved markets or finance the construction or

operation of renewable municipal energy facilities. Citi

generally invests in these partnerships as a limited partner and

earns a return primarily through the receipt of tax credits and

grants earned from the investments made by the partnership.

The Company may also provide construction loans or

permanent loans for the development or operation of real

estate properties held by partnerships. These entities are

generally considered VIEs. The power to direct the activities

of these entities is typically held by the general partner.

Accordingly, these entities are not consolidated by Citigroup.

Client Intermediation

Client intermediation transactions represent a range of

transactions designed to provide investors with specified

returns based on the returns of an underlying security,

referenced asset or index. These transactions include credit-

linked notes and equity-linked notes. In these transactions, the

VIE typically obtains exposure to the underlying security,

referenced asset or index through a derivative instrument, such

as a total-return swap or a credit-default swap. In turn, the VIE

issues notes to investors that pay a return based on the

specified underlying security, referenced asset or index. The

VIE invests the proceeds in a financial asset or a guaranteed

insurance contract that serves as collateral for the derivative

contract over the term of the transaction. The Company’s

involvement in these transactions includes being the

counterparty to the VIE’s derivative instruments and investing

in a portion of the notes issued by the VIE. In certain

transactions, the investor’s maximum risk of loss is limited

and the Company absorbs risk of loss above a specified level.

Citi does not have the power to direct the activities of the VIEs

that most significantly impact their economic performance and

thus it does not consolidate them.

Citi’s maximum risk of loss in these transactions is

defined as the amount invested in notes issued by the VIE and

the notional amount of any risk of loss absorbed by Citi

through a separate instrument issued by the VIE. The

derivative instrument held by the Company may generate a

receivable from the VIE (for example, where the Company

purchases credit protection from the VIE in connection with

the VIE’s issuance of a credit-linked note), which is

collateralized by the assets owned by the VIE. These

derivative instruments are not considered variable interests

and any associated receivables are not included in the

calculation of maximum exposure to the VIE.

Investment Funds

The Company is the investment manager for certain

investment funds and retirement funds that invest in various

asset classes including private equity, hedge funds, real estate,

fixed income and infrastructure. Citigroup earns a

management fee, which is a percentage of capital under

management, and may earn performance fees. In addition, for

some of these funds the Company has an ownership interest in

the investment funds. Citi has also established a number of

investment funds as opportunities for qualified colleagues to

invest in private equity investments. The Company acts as

investment manager for these funds and may provide

colleagues with financing on both recourse and non-recourse

bases for a portion of the colleagues’ investment

commitments.

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22. DERIVATIVES

In the ordinary course of business, Citigroup enters into

various types of derivative transactions, which include:

• Futures and forward contracts, which are commitments

to buy or sell at a future date a financial instrument,

commodity or currency at a contracted price that may be

settled in cash or through delivery of an item readily

convertible to cash.

• Swap contracts, which are commitments to settle in cash

at a future date or dates that may range from a few days to

a number of years, based on differentials between

specified indices or financial instruments, as applied to a

notional principal amount.

• Option contracts, which give the purchaser, for a

premium, the right, but not the obligation, to buy or sell

within a specified time a financial instrument, commodity

or currency at a contracted price that may also be settled

in cash, based on differentials between specified indices

or prices.

Swaps, forwards and some option contracts are over-the-

counter (OTC) derivatives that are bilaterally negotiated with

counterparties and settled with those counterparties, except for

swap contracts that are novated and "cleared" through central

counterparties (CCPs). Futures contracts and other option

contracts are standardized contracts that are traded on an

exchange with a CCP as the counterparty from the inception of

the transaction. Citigroup enters into derivative contracts

relating to interest rate, foreign currency, commodity and other

market/credit risks for the following reasons:

• Trading Purposes: Citigroup trades derivatives as an

active market maker. Citigroup offers its customers

derivatives in connection with their risk management

actions to transfer, modify or reduce their interest rate,

foreign exchange and other market/credit risks or for their

own trading purposes. Citigroup also manages its

derivative risk positions through offsetting trade activities,

controls focused on price verification and daily reporting

of positions to senior managers.

• Hedging: Citigroup uses derivatives in connection with its

own risk management activities to hedge certain risks or

reposition the risk profile of the Company. Hedging may

be accomplished by applying hedge accounting in

accordance with ASC 815, Derivatives and Hedging, or

by an economic hedge. For example, Citigroup issues

fixed-rate long-term debt and then enters into a receive-

fixed, pay-variable-rate interest rate swap with the same

tenor and notional amount to synthetically convert the

interest payments to a net variable-rate basis. This

strategy is the most common form of an interest rate

hedge, as it minimizes net interest cost in certain yield

curve environments. Derivatives are also used to manage

market risks inherent in specific groups of on-balance

sheet assets and liabilities, including AFS securities,

commodities and borrowings, as well as other interest-

sensitive assets and liabilities. In addition, foreign

exchange contracts are used to hedge non-U.S.-dollar-

denominated debt, foreign currency-denominated AFS

securities and net investment exposures.

Derivatives may expose Citigroup to market, credit or

liquidity risks in excess of the amounts recorded on the

Consolidated Balance Sheet. Market risk on a derivative

product is the exposure created by potential fluctuations in

interest rates, market prices, foreign exchange rates and other

factors and is a function of the type of product, the volume of

transactions, the tenor and terms of the agreement and the

underlying volatility. Credit risk is the exposure to loss in the

event of nonperformance by the other party to satisfy a

derivative liability where the value of any collateral held by

Citi is not adequate to cover such losses. The recognition in

earnings of unrealized gains on derivative transactions is

subject to management’s assessment of the probability of

counterparty default. Liquidity risk is the potential exposure

that arises when the size of a derivative position may affect the

ability to monetize the position in a reasonable period of time

and at a reasonable cost in periods of high volatility and

financial stress.

Derivative transactions are customarily documented under

industry standard master netting agreements, which provide

that following an event of default, the non-defaulting party

may promptly terminate all transactions between the parties

and determine the net amount due to be paid to, or by, the

defaulting party. Events of default include (i) failure to make a

payment on a derivative transaction that remains uncured

following applicable notice and grace periods, (ii) breach of

agreement that remains uncured after applicable notice and

grace periods, (iii) breach of a representation, (iv) cross

default, either to third-party debt or to other derivative

transactions entered into between the parties, or, in some

cases, their affiliates, (v) the occurrence of a merger or

consolidation that results in a party’s becoming a materially

weaker credit and (vi) the cessation or repudiation of any

applicable guarantee or other credit support document.

Obligations under master netting agreements are often secured

by collateral posted under an industry standard credit support

annex to the master netting agreement. An event of default

may also occur under a credit support annex if a party fails to

make a collateral delivery that remains uncured following

applicable notice and grace periods.

The netting and collateral rights incorporated in the

master netting agreements are considered to be legally

enforceable if a supportive legal opinion has been obtained

from counsel of recognized standing that provides (i) the

requisite level of certainty regarding enforceability and (ii)

that the exercise of rights by the non-defaulting party to

terminate and close-out transactions on a net basis under these

agreements will not be stayed or avoided under applicable law

upon an event of default, including bankruptcy, insolvency or

similar proceeding.

A legal opinion may not be sought for certain jurisdictions

where local law is silent or unclear as to the enforceability of

such rights or where adverse case law or conflicting regulation

may cast doubt on the enforceability of such rights. In some

jurisdictions and for some counterparty types, the insolvency

law may not provide the requisite level of certainty. For

242

example, this may be the case for certain sovereigns,

municipalities, central banks and U.S. pension plans.

Exposure to credit risk on derivatives is affected by

market volatility, which may impair the ability of

counterparties to satisfy their obligations to the Company.

Credit limits are established and closely monitored for

customers engaged in derivatives transactions. Citi considers

the level of legal certainty regarding enforceability of its

offsetting rights under master netting agreements and credit

support annexes to be an important factor in its risk

management process. Specifically, Citi generally transacts

much lower volumes of derivatives under master netting

agreements where Citi does not have the requisite level of

legal certainty regarding enforceability, because such

derivatives consume greater amounts of single counterparty

credit limits than those executed under enforceable master

netting agreements.

Cash collateral and security collateral in the form of G10

government debt securities are often posted by a party to a

master netting agreement to secure the net open exposure of

the other party; the receiving party is free to commingle/

rehypothecate such collateral in the ordinary course of its

business. Nonstandard collateral such as corporate bonds,

municipal bonds, U.S. agency securities and/or MBS may also

be pledged as collateral for derivative transactions. Security

collateral posted to open and maintain a master netting

agreement with a counterparty, in the form of cash and/or

securities, may from time to time be segregated in an account

at a third-party custodian pursuant to a tri-party account

control agreement.

As of January 1, 2018, Citigroup early adopted ASU

2017-12, Targeted Improvements to Accounting for Hedging

Activities. This standard primarily impacts Citi’s accounting

for derivatives designated as cash flow hedges and fair value

hedges. Refer to the respective sections below for details.

243

Information pertaining to Citigroup’s derivative activities,

based on notional amounts, is presented in the table below.

Derivative notional amounts are reference amounts from

which contractual payments are derived and do not represent a

complete measure of Citi’s exposure to derivative transactions.

Citi’s derivative exposure arises primarily from market

fluctuations (i.e., market risk), counterparty failure (i.e., credit

risk) and/or periods of high volatility or financial stress (i.e.,

liquidity risk), as well as any market valuation adjustments

that may be required on the transactions. Moreover, notional

amounts do not reflect the netting of offsetting trades. For

example, if Citi enters into a receive-fixed interest rate swap

with $100 million notional, and offsets this risk with an

identical but opposite pay-fixed position with a different

counterparty, $200 million in derivative notionals is reported,

although these offsetting positions may result in de minimis

overall market risk.

In addition, aggregate derivative notional amounts can

fluctuate from period to period in the normal course of

business based on Citi’s market share, levels of client activity

and other factors. All derivatives are recorded in Trading

account assets/Trading account liabilities on the Consolidated

Balance Sheet.

Derivative Notionals

Hedging instruments under

ASC 815 Trading derivative instruments

In millions of dollars

December 31,

2020

December 31,

2019

December 31,

2020

December 31,

2019

Interest rate contracts

Swaps $ 334,351 $ 318,089 $ 17,724,147 $ 17,063,272

Futures and forwards — — 4,142,514 3,636,658

Written options — — 1,573,483 2,114,511

Purchased options — — 1,418,255 1,857,770

Total interest rate contracts $ 334,351 $ 318,089 $ 24,858,399 $ 24,672,211

Foreign exchange contracts

Swaps $ 65,709 $ 63,104 $ 6,567,304 $ 6,063,853

Futures, forwards and spot 37,080 38,275 3,945,391 3,979,188

Written options 47 80 907,338 908,061

Purchased options 53 80 900,626 959,149

Total foreign exchange contracts $ 102,889 $ 101,539 $ 12,320,659 $ 11,910,251

Equity contracts

Swaps $ — $ — $ 274,098 $ 197,893

Futures and forwards — — 67,025 66,705

Written options — — 441,003 560,571

Purchased options — — 328,202 422,393

Total equity contracts $ — $ — $ 1,110,328 $ 1,247,562

Commodity and other contracts

Swaps $ — $ — $ 80,127 $ 69,445

Futures and forwards 924 1,195 143,175 137,192

Written options — — 71,376 91,587

Purchased options — — 67,849 86,631

Total commodity and other contracts $ 924 $ 1,195 $ 362,527 $ 384,855

Credit derivatives

(1)

Protection sold $ — $ — $ 543,607 $ 603,387

Protection purchased — — 612,770 703,926

Total credit derivatives $ — $ — $ 1,156,377 $ 1,307,313

Total derivative notionals $ 438,164 $ 420,823 $ 39,808,290 $ 39,522,192

(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.

244

The following tables present the gross and net fair values

of the Company’s derivative transactions and the related

offsetting amounts as of December 31, 2020 and 2019. Gross

positive fair values are offset against gross negative fair values

by counterparty, pursuant to enforceable master netting

agreements. Under ASC 815-10-45, payables and receivables

in respect of cash collateral received from or paid to a given

counterparty pursuant to a credit support annex are included in

the offsetting amount if a legal opinion supporting the

enforceability of netting and collateral rights has been

obtained. GAAP does not permit similar offsetting for security

collateral.

In addition, the following tables reflect rule changes

adopted by clearing organizations that require or allow entities

to treat certain derivative assets, liabilities and the related

variation margin as settlement of the related derivative fair

values for legal and accounting purposes, as opposed to

presenting gross derivative assets and liabilities that are

subject to collateral, whereby the counterparties would also

record a related collateral payable or receivable. As a result,

the tables reflect a reduction of approximately $280 billion

and $180 billion as of December 31, 2020 and 2019,

respectively, of derivative assets and derivative liabilities that

previously would have been reported on a gross basis, but are

now legally settled and not subject to collateral. The tables

also present amounts that are not permitted to be offset, such

as security collateral or cash collateral posted at third-party

custodians, but which would be eligible for offsetting to the

extent that an event of default has occurred and a legal opinion

supporting enforceability of the netting and collateral rights

has been obtained.

245

Derivative Mark-to-Market (MTM) Receivables/Payables

In millions of dollars at December 31, 2020

Derivatives classified

in Trading account assets/liabilities

(1)(2)

Derivatives instruments designated as ASC 815 hedges Assets Liabilities

Over-the-counter $ 1,781 $ 161

Cleared 74 319

Interest rate contracts $ 1,855 $ 480

Over-the-counter $ 2,037 $ 2,042

Foreign exchange contracts $ 2,037 $ 2,042

Total derivatives instruments designated as ASC 815 hedges $ 3,892 $ 2,522

Derivatives instruments not designated as ASC 815 hedges

Over-the-counter $ 228,519 $ 209,330

Cleared 11,041 12,563

Exchange traded 46 38

Interest rate contracts $ 239,606 $ 221,931

Over-the-counter $ 153,791 $ 152,784

Cleared 842 1,239

Exchange traded — 1

Foreign exchange contracts $ 154,633 $ 154,024

Over-the-counter $ 29,244 $ 41,036

Cleared 1 18

Exchange traded 21,274 22,515

Equity contracts $ 50,519 $ 63,569

Over-the-counter $ 13,659 $ 17,076

Exchange traded 879 1,017

Commodity and other contracts $ 14,538 $ 18,093

Over-the-counter $ 7,826 $ 7,951

Cleared 1,963 2,178

Credit derivatives $ 9,789 $ 10,129

Total derivatives instruments not designated as ASC 815 hedges $ 469,085 $ 467,746

Total derivatives $ 472,977 $ 470,268

Cash collateral paid/received

(3)

$ 32,778 $ 8,196

Less: Netting agreements

(4)

(364,879) (364,879)

Less: Netting cash collateral received/paid

(5)

(63,915) (45,628)

Net receivables/payables included on the Consolidated Balance Sheet

(6)

$ 76,961 $ 67,957

Additional amounts subject to an enforceable master netting agreement, but not offset

on the Consolidated Balance Sheet

Less: Cash collateral received/paid $ (1,567) $ (473)

Less: Non-cash collateral received/paid (7,408) (13,087)

Total net receivables/payables

(6)

$ 67,986 $ 54,397

(1) The derivatives fair values are also presented in Note 24 to the Consolidated Financial Statements.

(2) Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central

clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house,

whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed

directly on an organized exchange that provides pre-trade price transparency.

(3) Reflects the net amount of the $78,406 million and $72,111 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid,

$45,628 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $63,915 million was used to offset trading derivative assets.

(4) Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $336 billion, $9 billion and $20 billion of the

netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.

(5) Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash

collateral received and paid is against OTC derivative assets and liabilities, respectively.

(6) The net receivables/payables include approximately $6 billion of derivative asset and $8 billion of derivative liability fair values not subject to enforceable master

netting agreements, respectively.

246

In millions of dollars at December 31, 2019

Derivatives classified

in Trading account assets/liabilities

(1)(2)

Derivatives instruments designated as ASC 815 hedges Assets Liabilities

Over-the-counter $ 1,682 $ 143

Cleared 41 111

Interest rate contracts $ 1,723 $ 254

Over-the-counter $ 1,304 $ 908

Cleared — 2

Foreign exchange contracts $ 1,304 $ 910

Total derivatives instruments designated as ASC 815 hedges $ 3,027 $ 1,164

Derivatives instruments not designated as ASC 815 hedges

Over-the-counter $ 189,892 $ 169,749

Cleared 5,896 7,472

Exchange traded 157 180

Interest rate contracts $ 195,945 $ 177,401

Over-the-counter $ 105,401 $ 108,807

Cleared 862 1,015

Exchange traded 3 —

Foreign exchange contracts $ 106,266 $ 109,822

Over-the-counter $ 21,311 $ 22,411

Exchange traded 7,160 8,075

Equity contracts $ 28,471 $ 30,486

Over-the-counter $ 13,582 $ 16,773

Exchange traded 630 542

Commodity and other contracts $ 14,212 $ 17,315

Over-the-counter $ 8,896 $ 8,975

Cleared 1,513 1,763

Credit derivatives $ 10,409 $ 10,738

Total derivatives instruments not designated as ASC 815 hedges $ 355,303 $ 345,762

Total derivatives $ 358,330 $ 346,926

Cash collateral paid/received

(3)

$ 17,926 $ 14,391

Less: Netting agreements

(4)

(274,970) (274,970)

Less: Netting cash collateral received/paid

(5)

(44,353) (38,919)

Net receivables/payables included on the Consolidated Balance Sheet

(6)

$ 56,933 $ 47,428

Additional amounts subject to an enforceable master netting agreement, but not offset

on the Consolidated Balance Sheet

Less: Cash collateral received/paid $ (861) $ (128)

Less: Non-cash collateral received/paid (13,143) (7,308)

Total net receivables/payables

(6)

$ 42,929 $ 39,992

(1) The derivatives fair values are also presented in Note 24 to the Consolidated Financial Statements.

(2) Over-the-counter (OTC) derivatives include derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central

clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house,

whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed

directly on an organized exchange that provides pre-trade price transparency.

(3) Reflects the net amount of the $56,845 million and $58,744 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid,

$38,919 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $44,353 million was used to offset trading derivative assets.

(4) Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $262 billion, $6 billion and $7 billion of the

netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.

(5) Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash

collateral received and paid is against OTC derivative assets and liabilities, respectively.

(6) The net receivables/payables include approximately $7 billion of derivative asset and $6 billion of derivative liability fair values not subject to enforceable master

netting agreements, respectively.

247

For the years ended December 31, 2020, 2019 and 2018,

amounts recognized in Principal transactions in the

Consolidated Statement of Income include certain derivatives

not designated in a qualifying hedging relationship. Citigroup

presents this disclosure by business classification, showing

derivative gains and losses related to its trading activities

together with gains and losses related to non-derivative

instruments within the same trading portfolios, as this

represents how these portfolios are risk managed. See Note 6

to the Consolidated Financial Statements for further

information.

The amounts recognized in Other revenue in the

Consolidated Statement of Income related to derivatives not

designated in a qualifying hedging relationship are shown

below. The table below does not include any offsetting gains

(losses) on the economically hedged items to the extent that

such amounts are also recorded in Other revenue.

Gains (losses) included in

Other revenue

Year ended December 31,

In millions of dollars

2020 2019 2018

Interest rate contracts $ 63 $ 57 $ (25)

Foreign exchange (57) (29) (197)

Total $ 6 $ 28 $ (222)

Accounting for Derivative Hedging

Citigroup accounts for its hedging activities in accordance

with ASC 815, Derivatives and Hedging. As a general rule,

hedge accounting is permitted where the Company is exposed

to a particular risk, such as interest rate or foreign exchange

risk, that causes changes in the fair value of an asset or

liability or variability in the expected future cash flows of an

existing asset, liability or a forecasted transaction that may

affect earnings.

Derivative contracts hedging the risks associated with

changes in fair value are referred to as fair value hedges, while

contracts hedging the variability of expected future cash flows

are cash flow hedges. Hedges that utilize derivatives or debt

instruments to manage the foreign exchange risk associated

with equity investments in non-U.S.-dollar-functional-

currency foreign subsidiaries (net investment in a foreign

operation) are net investment hedges.

To qualify as an accounting hedge under the hedge

accounting rules (versus an economic hedge where hedge

accounting is not applied), a hedging relationship must be

highly effective in offsetting the risk designated as being

hedged. The hedging relationship must be formally

documented at inception, detailing the particular risk

management objective and strategy for the hedge. This

includes the item and risk(s) being hedged, the hedging

instrument being used and how effectiveness will be assessed.

The effectiveness of these hedging relationships is evaluated at

hedge inception and on an ongoing basis both on a

retrospective and prospective basis, typically using

quantitative measures of correlation, with hedge

ineffectiveness measured and recorded in current earnings.

Hedge effectiveness assessment methodologies are performed

in a similar manner for similar hedges, and are used

consistently throughout the hedging relationships. The

assessment of effectiveness may exclude changes in the value

of the hedged item that are unrelated to the risks being hedged

and the changes in fair value of the derivative associated with

time value. Prior to January 1, 2018, these excluded items

were recognized in current earnings for the hedging derivative,

while changes in the value of a hedged item that were not

related to the hedged risk were not recorded. Upon adoption of

ASC 2017-12, Citi excludes changes in the cross-currency

basis associated with cross-currency swaps from the

assessment of hedge effectiveness and records it in Other

comprehensive income.

Discontinued Hedge Accounting

A hedging instrument must be highly effective in

accomplishing the hedge objective of offsetting either changes

in the fair value or cash flows of the hedged item for the risk

being hedged. Management may voluntarily de-designate an

accounting hedge at any time, but if a hedging relationship is

not highly effective, it no longer qualifies for hedge

accounting and must be de-designated. Subsequent changes in

the fair value of the derivative are recognized in Other revenue

or Principal transactions, similar to trading derivatives, with

no offset recorded related to the hedged item.

For fair value hedges, any changes in the fair value of the

hedged item remain as part of the basis of the asset or liability

and are ultimately realized as an element of the yield on the

item. For cash flow hedges, changes in fair value of the end-

user derivative remain in Accumulated other comprehensive

income (loss) (AOCI) and are included in the earnings of

future periods when the forecasted hedged cash flows impact

earnings. However, if it becomes probable that some or all of

the hedged forecasted transactions will not occur, any amounts

that remain in AOCI related to these transactions must be

immediately reflected in Other revenue.

The foregoing criteria are applied on a decentralized

basis, consistent with the level at which market risk is

managed, but are subject to various limits and controls. The

underlying asset, liability or forecasted transaction may be an

individual item or a portfolio of similar items.

248

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.

249

The following table summarizes the gains (losses) on the Company’s fair value hedges:

Gains (losses) on fair value hedges

(1)

Year ended December 31,

2020 2019 2018

In millions of dollars

Other

revenue

Net

interest

revenue

Other

revenue

Net

interest

revenue

Other

revenue

Net

interest

revenue

Gain (loss) on the hedging derivatives included in assessment of the

effectiveness of fair value hedges

Interest rate hedges $ — $ 4,189 $ — $ 2,273 $ — $ 794

Foreign exchange hedges 1,442 — 337 — (2,064) —

Commodity hedges (164) — (33) — (123) —

Total gain (loss) on the hedging derivatives included in assessment of

the effectiveness of fair value hedges $ 1,278 $ 4,189 $ 304 $ 2,273 $ (2,187) $ 794

Gain (loss) on the hedged item in designated and qualifying fair

value hedges

Interest rate hedges $ — $ (4,537) $ — $ (2,085) $ — $ (747)

Foreign exchange hedges (1,442) — (337) — 2,064 —

Commodity hedges 164 — 33 — 124 —

Total gain (loss) on the hedged item in designated and qualifying fair

value hedges $ (1,278) $ (4,537) $ (304) $ (2,085) $ 2,188 $ (747)

Net gain (loss) on the hedging derivatives excluded from assessment

of the effectiveness of fair value hedges

Interest rate hedges $ — $ (23) $ — $ 3 $ — $ (5)

Foreign exchange hedges

(2)

(73) — (109) — (4) —

Commodity hedges 131 — 41 — (19) —

Total net gain (loss) on the hedging derivatives excluded from

assessment of the effectiveness of fair value hedges $ 58 $ (23) $ (68) $ 3 $ (23) $ (5)

(1) Gain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense. The accrued interest income on fair value hedges is recorded in

Net interest revenue and is excluded from this table.

(2) Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates) that are excluded from the assessment

of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in

the table above. The amount of cross-currency basis that was included in AOCI was $(23) million and $33 million for the years ended December 31, 2020 and

2019, respectively.

250

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 December 31, 2020 and 2019, 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 December 31, 2020

Debt securities

AFS

(1)(3)

$ 81,082 $ 28 $ 342

Long-term debt 169,026 5,554 4,989

As of December 31, 2019

Debt securities

AFS

(2)(3)

$ 94,659 $ (114) $ 743

Long-term debt 157,387 2,334 3,445

(1) These amounts include a cumulative basis adjustment of $(18) million

for active hedges and $62 million for de-designated hedges as of

December 31, 2020 related to certain prepayable financial assets

previously designated as the hedged item in a fair value hedge using the

last-of-layer approach. The Company designated approximately

$2,527 million as the hedged amount (from a closed portfolio of

prepayable financial assets with a carrying value of $19 billion as of

December 31, 2020) in a last-of-layer hedging relationship.

(2) These amounts include a cumulative basis adjustment of $(8) million for

active hedges and $157 million for de-designated hedges as of

December 31, 2019 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 $605 million as

the hedged amount (from a closed portfolio of prepayable financial

assets with a carrying value of $20 billion as of December 31, 2019) in a

last-of-layer hedging relationship.

(3) Carrying amount represents the amortized cost.

251

Cash Flow Hedges

Citigroup hedges the variability of forecasted cash flows due

to changes in contractually specified interest rates associated

with floating-rate assets/liabilities and other forecasted

transactions. Variable cash flows from those liabilities are

synthetically converted to fixed-rate cash flows by entering

into receive-variable, pay-fixed interest rate swaps and

receive-variable, pay-fixed forward-starting interest rate

swaps. Variable cash flows associated with certain assets are

synthetically converted to fixed-rate cash flows by entering

into receive-fixed, pay-variable interest rate swaps. These cash

flow hedging relationships use either regression analysis or

dollar-offset ratio analysis to assess whether the hedging

relationships are highly effective at inception and on an

ongoing basis. Prior to the adoption of ASU 2017-12,

Citigroup designated the risk being hedged as the risk of

overall variability in the hedged cash flows for certain items.

With the adoption of ASU 2017-12, Citigroup hedges the

variability from changes in a contractually specified rate and

recognizes the entire change in fair value of the cash flow

hedging instruments in AOCI. Prior to the adoption of ASU

2017-12, to the extent that these derivatives were not fully

effective, changes in their fair values in excess of changes in

the value of the hedged transactions were immediately

included in Other revenue. With the adoption of ASU

2017-12, such amounts are no longer required to be

immediately recognized in income, but instead the full change

in the value of the hedging instrument is required to be

recognized in AOCI, and then recognized in earnings in the

same period that the cash flows impact earnings. The pretax

change in AOCI from cash flow hedges is presented below:

In millions of dollars

2020 2019 2018

Amount of gain (loss) recognized in AOCI on

derivatives

Interest rate contracts $ 2,670 $ 746 $ (361)

Foreign exchange contracts (15) (17) 5

Total gain (loss) recognized in AOCI $ 2,655 $ 729 $ (356)

Amount of gain (loss) reclassified from AOCI to

earnings

(1)

Other

revenue

Net interest

revenue

Other

revenue

Net interest

revenue

Other

revenue

Net interest

revenue

Interest rate contracts $ — $ 734 $ — $ (384) $ — $ (301)

Foreign exchange contracts (4) — (7) — (17) —

Total gain (loss) reclassified from AOCI into earnings $ (4) $ 734 $ (7) $ (384) $ (17) $ (301)

Net pretax change in cash flow hedges included

within AOCI $ 1,925 $ 1,120 $ (38)

(1) All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue). For all other hedges, the

amounts reclassified to earnings are included primarily in Other revenue and Net interest revenue in the Consolidated Statement of Income.

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 December 31, 2020 is

approximately $920 million. The maximum length of time

over which forecasted cash flows are hedged is 10 years.

The after-tax impact of cash flow hedges on AOCI is

shown in Note 19 to the Consolidated Financial Statements.

252

Net Investment Hedges

Consistent with ASC 830-20, Foreign Currency Matters—

Foreign Currency Transactions, ASC 815 allows the hedging

of the foreign currency risk of a net investment in a foreign

operation. Citigroup uses foreign currency forwards, cross-

currency swaps, options and foreign currency-denominated

debt instruments to manage the foreign exchange risk

associated with Citigroup’s equity investments in several non-

U.S.-dollar-functional-currency foreign subsidiaries. Citigroup

records the change in the carrying amount of these

investments in Foreign currency translation adjustment within

AOCI. Simultaneously, the effective portion of the hedge of

this exposure is also recorded in Foreign currency translation

adjustment and any ineffective portion is immediately

recorded in earnings.

For derivatives designated as net investment hedges,

Citigroup follows the forward-rate method outlined in ASC

815-35-35. According to that method, all changes in fair value,

including changes related to the forward-rate component of the

foreign currency forward contracts and the time value of

foreign currency options, are recorded in Foreign currency

translation adjustment within AOCI.

For foreign currency-denominated debt instruments that

are designated as hedges of net investments, the translation

gain or loss that is recorded in Foreign currency translation

adjustment is based on the spot exchange rate between the

functional currency of the respective subsidiary and the U.S.

dollar, which is the functional currency of Citigroup. To the

extent that the notional amount of the hedging instrument

exactly matches the hedged net investment, and the underlying

exchange rate of the derivative hedging instrument relates to

the exchange rate between the functional currency of the net

investment and Citigroup’s functional currency (or, in the case

of a non-derivative debt instrument, such instrument is

denominated in the functional currency of the net investment),

no ineffectiveness is recorded in earnings.

The pretax gain (loss) recorded in Foreign currency

translation adjustment within AOCI, related to net investment

hedges, was $(600) million, $(569) million and $1,147 million

for the years ended December 31, 2020, 2019 and 2018,

respectively.

Economic Hedges

Citigroup often uses economic hedges when hedge accounting

would be too complex or operationally burdensome. End-user

derivatives that are economic hedges are carried at fair value,

with changes in value included in either Principal transactions

or Other revenue.

For asset/liability management hedging, fixed-rate long-

term debt is recorded at amortized cost under GAAP.

For other hedges that either do not meet the ASC 815

hedging criteria or for which management decides not to apply

ASC 815 hedge accounting, the derivative is recorded at fair

value on the balance sheet with the associated changes in fair

value recorded in earnings, while the debt continues to be

carried at amortized cost. Therefore, current earnings are

affected by the interest rate shifts and other factors that cause a

change in the swap’s value, but for which no offsetting change

in value is recorded on the debt.

Citigroup may alternatively elect to account for the debt at

fair value under the fair value option. Once the irrevocable

election is made upon issuance of the debt, the full change in

fair value of the debt is reported in earnings. The changes in

fair value of the related interest rate swap are also reflected in

earnings, which provides a natural offset to the debt’s fair

value change. To the extent that the two amounts differ

because the full change in the fair value of the debt includes

risks not offset by the interest rate swap, the difference is

automatically captured in current earnings.

Additional economic hedges include hedges of the credit

risk component of commercial loans and loan commitments.

Citigroup periodically evaluates its hedging strategies in other

areas and may designate either an accounting hedge or an

economic hedge after considering the relative costs and

benefits. Economic hedges are also employed when the

hedged item itself is marked to market through current

earnings, such as hedges of commitments to originate one- to

four-family mortgage loans to be HFS and MSRs.

Credit Derivatives

Citi is a market maker and trades a range of credit derivatives.

Through these contracts, Citi either purchases or writes

protection on either a single name or a portfolio of reference

credits. Citi also uses credit derivatives to help mitigate credit

risk in its corporate and consumer loan portfolios and other

cash positions and to facilitate client transactions.

Citi monitors its counterparty credit risk in credit

derivative contracts. As of December 31, 2020 and 2019,

approximately 97% and 98%, respectively, of the gross

receivables are from counterparties with which Citi maintains

collateral agreements. A majority of Citi’s top 15

counterparties (by receivable balance owed to Citi) are central

clearing houses, banks, financial institutions or other dealers.

Contracts with these counterparties do not include ratings-

based termination events. However, counterparty ratings

downgrades may have an incremental effect by lowering the

threshold at which Citi may call for additional collateral.

The range of credit derivatives entered into includes credit

default swaps, total return swaps, credit options and credit-

linked notes.

A credit default swap is a contract in which, for a fee, a

protection seller agrees to reimburse a protection buyer for any

losses that occur due to a predefined credit event on a

reference entity. These credit events are defined by the terms

of the derivative contract and the reference credit and are

generally limited to the market standard of failure to pay on

indebtedness and bankruptcy of the reference credit and, in a

more limited range of transactions, debt restructuring. Credit

derivative transactions that reference emerging market entities

also typically include additional credit events to cover the

acceleration of indebtedness and the risk of repudiation or a

payment moratorium. In certain transactions, protection may

be provided on a portfolio of reference entities or asset-backed

securities. If there is no credit event, as defined by the specific

derivative contract, then the protection seller makes no

payments to the protection buyer and receives only the

contractually specified fee. However, if a credit event occurs

as defined in the specific derivative contract sold, the

protection seller will be required to make a payment to the

253

protection buyer. Under certain contracts, the seller of

protection may not be required to make a payment until a

specified amount of losses has occurred with respect to the

portfolio and/or may only be required to pay for losses up to a

specified amount.

A total return swap typically transfers the total economic

performance of a reference asset, which includes all associated

cash flows, as well as capital appreciation or depreciation. The

protection buyer receives a floating rate of interest and any

depreciation on the reference asset from the protection seller

and, in return, the protection seller receives the cash flows

associated with the reference asset plus any appreciation.

Thus, according to the total return swap agreement, the

protection seller will be obligated to make a payment any time

the floating interest rate payment plus any depreciation of the

reference asset exceeds the cash flows associated with the

underlying asset. A total return swap may terminate upon a

default of the reference asset or a credit event with respect to

the reference entity, subject to the provisions of the related

total return swap agreement between the protection seller and

the protection buyer.

A credit option is a credit derivative that allows investors

to trade or hedge changes in the credit quality of a reference

entity. For example, in a credit spread option, the option writer

assumes the obligation to purchase or sell credit protection on

the reference entity at a specified “strike” spread level. The

option purchaser buys the right to sell credit default protection

on the reference entity to, or purchase it from, the option

writer at the strike spread level. The payments on credit spread

options depend either on a particular credit spread or the price

of the underlying credit-sensitive asset or other reference

entity. The options usually terminate if a credit event occurs

with respect to the underlying reference entity.

A credit-linked note is a form of credit derivative

structured as a debt security with an embedded credit default

swap. The purchaser of the note effectively provides credit

protection to the issuer by agreeing to receive a return that

could be negatively affected by credit events on the underlying

reference credit. If the reference entity defaults, the note may

be cash settled or physically settled by delivery of a debt

security of the reference entity. Thus, the maximum amount of

the note purchaser’s exposure is the amount paid for the

credit-linked note.

254

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 December 31, 2020

Receivable

(1)

Payable

(2)

Protection

purchased

Protection

sold

By industry of counterparty

Banks $ 2,902 $ 3,187 $ 117,685 $ 120,739

Broker-dealers 1,770 1,215 46,928 44,692

Non-financial 109 90 5,740 2,217

Insurance and other financial institutions 5,008 5,637 442,417 375,959

Total by industry of counterparty $ 9,789 $ 10,129 $ 612,770 $ 543,607

By instrument

Credit default swaps and options $ 9,254 $ 9,254 $ 599,633 $ 538,426

Total return swaps and other 535 875 13,137 5,181

Total by instrument $ 9,789 $ 10,129 $ 612,770 $ 543,607

By rating of reference entity

Investment grade $ 4,136 $ 4,037 $ 478,643 $ 418,147

Non-investment grade 5,653 6,092 134,127 125,460

Total by rating of reference entity $ 9,789 $ 10,129 $ 612,770 $ 543,607

By maturity

Within 1 year $ 914 $ 1,355 $ 134,080 $ 125,464

From 1 to 5 years 6,022 5,991 421,682 374,376

After 5 years 2,853 2,783 57,008 43,767

Total by maturity $ 9,789 $ 10,129 $ 612,770 $ 543,607

(1) The fair value amount receivable is composed of $3,514 million under protection purchased and $6,275 million under protection sold.

(2) The fair value amount payable is composed of $7,037 million under protection purchased and $3,092 million under protection sold.

Fair values Notionals

In millions of dollars at December 31, 2019

Receivable

(1)

Payable

(2)

Protection

purchased

Protection

sold

By industry of counterparty

Banks $ 4,017 $ 4,102 $ 172,461 $ 169,546

Broker-dealers 1,724 1,528 54,843 53,846

Non-financial 92 76 2,601 1,968

Insurance and other financial institutions 4,576 5,032 474,021 378,027

Total by industry of counterparty $ 10,409 $ 10,738 $ 703,926 $ 603,387

By instrument

Credit default swaps and options $ 9,759 $ 9,791 $ 685,643 $ 593,850

Total return swaps and other 650 947 18,283 9,537

Total by instrument $ 10,409 $ 10,738 $ 703,926 $ 603,387

By rating of reference entity

Investment grade $ 4,579 $ 4,578 $ 560,806 $ 470,778

Non-investment grade 5,830 6,160 143,120 132,609

Total by rating of reference entity $ 10,409 $ 10,738 $ 703,926 $ 603,387

By maturity

Within 1 year $ 1,806 $ 2,181 $ 231,135 $ 176,188

From 1 to 5 years 7,275 7,265 414,237 379,915

After 5 years 1,328 1,292 58,554 47,284

Total by maturity $ 10,409 $ 10,738 $ 703,926 $ 603,387

(1) The fair value amount receivable is composed of $3,415 million under protection purchased and $6,994 million under protection sold.

(2) The fair value amount payable is composed of $7,793 million under protection purchased and $2,945 million under protection sold.

255

Fair values included in the above tables are prior to

application of any netting agreements and cash collateral. For

notional amounts, Citi generally has a mismatch between the

total notional amounts of protection purchased and sold, and it

may hold the reference assets directly rather than entering into

offsetting credit derivative contracts as and when desired. The

open risk exposures from credit derivative contracts are

largely matched after certain cash positions in reference assets

are considered and after notional amounts are adjusted, either

to a duration-based equivalent basis or to reflect the level of

subordination in tranched structures. The ratings of the credit

derivatives portfolio presented in the tables and used to

evaluate payment/performance risk are based on the assigned

internal or external ratings of the reference asset or entity.

Where external ratings are used, investment-grade ratings are

considered to be “Baa/BBB” and above, while anything below

is considered non-investment grade. Citi’s internal ratings are

in line with the related external rating system.

Citigroup evaluates the payment/performance risk of the

credit derivatives for which it stands as a protection seller

based on the credit rating assigned to the underlying reference

credit. Credit derivatives written on an underlying non-

investment grade reference credit represent greater payment

risk to the Company. The non-investment grade category in

the table above also includes credit derivatives where the

underlying reference entity has been downgraded subsequent

to the inception of the derivative.

The maximum potential amount of future payments under

credit derivative contracts presented in the table above is

based on the notional value of the derivatives. The Company

believes that the notional amount for credit protection sold is

not representative of the actual loss exposure based on

historical experience. This amount has not been reduced by the

value of the reference assets and the related cash flows. In

accordance with most credit derivative contracts, should a

credit event occur, the Company usually is liable for the

difference between the protection sold and the value of the

reference assets. Furthermore, the notional amount for credit

protection sold has not been reduced for any cash collateral

paid to a given counterparty, as such payments would be

calculated after netting all derivative exposures, including any

credit derivatives with that counterparty in accordance with a

related master netting agreement. Due to such netting

processes, determining the amount of collateral that

corresponds to credit derivative exposures alone is not

possible. The Company actively monitors open credit-risk

exposures and manages this exposure by using a variety of

strategies, including purchased credit derivatives, cash

collateral or direct holdings of the referenced assets. This risk

mitigation activity is not captured in the table above.

Credit Risk-Related Contingent Features in Derivatives

Certain derivative instruments contain provisions that require

the Company to either post additional collateral or

immediately settle any outstanding liability balances upon the

occurrence of a specified event related to the credit risk of the

Company. These events, which are defined by the existing

derivative contracts, are primarily downgrades in the credit

ratings of the Company and its affiliates.

The fair value (excluding CVA) of all derivative

instruments with credit risk-related contingent features that

were in a net liability position at both December 31, 2020 and

2019 was $25 billion and $30 billion, respectively. The

Company posted $22 billion and $28 billion as collateral for

this exposure in the normal course of business as of

December 31, 2020 and 2019, respectively.

A downgrade could trigger additional collateral or cash

settlement requirements for the Company and certain

affiliates. In the event that Citigroup and Citibank were

downgraded a single notch by all three major rating agencies

as of December 31, 2020, the Company could be required to

post an additional $0.8 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 $0.2 billion upon the single notch downgrade,

resulting in aggregate cash obligations and collateral

requirements of approximately $1 billion.

Derivatives Accompanied by Financial Asset Transfers

The Company executes total return swaps that provide it with

synthetic exposure to substantially all of the economic return

of the securities or other financial assets referenced in the

contract. In certain cases, the derivative transaction is

accompanied by the Company’s transfer of the referenced

financial asset to the derivative counterparty, most typically in

response to the derivative counterparty’s desire to hedge, in

whole or in part, its synthetic exposure under the derivative

contract by holding the referenced asset in funded form. In

certain jurisdictions these transactions qualify as sales,

resulting in derecognition of the securities transferred (see

Note 1 to the Consolidated Financial Statements for further

discussion of the related sale conditions for transfers of

financial assets). For a significant portion of the transactions,

the Company has also executed another total return swap

where the Company passes on substantially all of the

economic return of the referenced securities to a different third

party seeking the exposure. In those cases, the Company is not

exposed, on a net basis, to changes in the economic return of

the referenced securities.

These transactions generally involve the transfer of the

Company’s liquid government bonds, convertible bonds or

publicly traded corporate equity securities from the trading

portfolio and are executed with third-party financial

institutions. The accompanying derivatives are typically total

return swaps. The derivatives are cash settled and subject to

ongoing margin requirements.

When the conditions for sale accounting are met, the

Company reports the transfer of the referenced financial asset

as a sale and separately reports the accompanying derivative

transaction. These transactions generally do not result in a gain

256

or loss on the sale of the security, because the transferred

security was held at fair value in the Company’s trading

portfolio. For transfers of financial assets accounted for as a

sale by the Company and for which the Company has retained

substantially all of the economic exposure to the transferred

asset through a total return swap executed with the same

counterparty in contemplation of the initial sale (and still

outstanding), both the asset amounts derecognized and the

gross cash proceeds received as of the date of derecognition

were $2.0 billion and $5.8 billion as of December 31, 2020

and 2019, respectively.

At December 31, 2020, the fair value of these previously

derecognized assets was $2.2 billion. The fair value of the

total return swaps as of December 31, 2020 was $135 million

recorded as gross derivative assets and $7 million recorded as

gross derivative liabilities. At December 31, 2019, the fair

value of these previously derecognized assets was $5.9 billion,

and the fair value of the total return swaps was $117 million

recorded as gross derivative assets and $43 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.

257

23. CONCENTRATIONS OF CREDIT RISK

Concentrations of credit risk exist when changes in economic,

industry or geographic factors similarly affect groups of

counterparties whose aggregate credit exposure is material in

relation to Citigroup’s total credit exposure. Although

Citigroup’s portfolio of financial instruments is broadly

diversified along industry, product and geographic lines,

material transactions are completed with other financial

institutions, particularly in the securities trading, derivatives

and foreign exchange businesses.

In connection with the Company’s efforts to maintain a

diversified portfolio, the Company limits its exposure to any

one geographic region, country or individual creditor and

monitors this exposure on a continuous basis. At

December 31, 2020, Citigroup’s most significant

concentration of credit risk was with the U.S. government and

its agencies. The Company’s exposure, which primarily results

from trading assets and investments issued by the U.S.

government and its agencies, amounted to $370.1 billion and

$250.9 billion at December 31, 2020 and 2019, respectively.

The German and Japanese governments and their agencies,

which are rated investment grade by both Moody’s and S&P,

were the next largest exposures. The Company’s exposure to

Germany amounted to $51.8 billion and $29.8 billion at

December 31, 2020 and 2019, respectively, and was composed

of investment securities, loans and trading assets. The

Company’s exposure to Japan amounted to $35.5 billion and

$33.3 billion at December 31, 2020 and 2019, respectively,

and was composed of investment securities, loans and trading

assets.

The Company’s exposure to states and municipalities

amounted to $24.4 billion and $31.4 billion at December 31,

2020 and 2019, respectively, and was composed of trading

assets, investment securities, derivatives and lending activities.

258

24. FAIR VALUE MEASUREMENT

ASC 820-10, Fair Value Measurement, defines fair value,

establishes a consistent framework for measuring fair value

and requires disclosures about fair value measurements. Fair

value is defined as the price that would be received to sell an

asset or paid to transfer a liability in an orderly transaction

between market participants at the measurement date, and

therefore represents an exit price. Among other things, the

standard requires the Company to maximize the use of

observable inputs and minimize the use of unobservable inputs

when measuring fair value.

Under ASC 820-10, the probability of default of a

counterparty is factored into the valuation of derivative and

other positions as well as the impact of Citigroup’s own credit

risk on derivatives and other liabilities measured at fair value.

Fair Value Hierarchy

ASC 820-10 specifies a hierarchy of inputs based on whether

the inputs are observable or unobservable. Observable inputs

are developed using market data and reflect market participant

assumptions, while unobservable inputs reflect the Company’s

market assumptions. These two types of inputs have created

the following fair value hierarchy:

• Level 1: Quoted prices for identical instruments in active

markets.

• Level 2: Quoted prices for similar instruments in active

markets, quoted prices for identical or similar instruments

in markets that are not active, and model-derived

valuations in which all significant inputs and significant

value drivers are observable in active markets.

• Level 3: Valuations derived from valuation techniques in

which one or more significant inputs or significant value

drivers are unobservable.

As required under the fair value hierarchy, the Company

considers relevant and observable market inputs in its

valuations where possible. The frequency of transactions, the

size of the bid-ask spread and the amount of adjustment

necessary when comparing similar transactions are all factors

in determining the relevance of observed prices in those

markets.

Determination of Fair Value

For assets and liabilities carried at fair value, the Company

measures fair value using the procedures set out below,

irrespective of whether the assets and liabilities are measured

at fair value as a result of an election or whether they are

required to be measured at fair value.

When available, the Company uses quoted market prices

from active markets to determine fair value and classifies such

items as Level 1. In some specific cases where a market price

is available, the Company will make use of acceptable

practical expedients (such as matrix pricing) to calculate fair

value, in which case the items are classified as Level 2.

The Company may also apply a price-based methodology,

which utilizes, where available, quoted prices or other market

information obtained from recent trading activity in positions

with the same or similar characteristics to the position being

valued. The frequency and size of transactions are among the

factors that are driven by the liquidity of markets and

determine the relevance of observed prices in those markets. If

relevant and observable prices are available, those valuations

may be classified as Level 2. When that is not the case, and

there are one or more significant unobservable “price” inputs,

then those valuations will be classified as Level 3.

Furthermore, when a quoted price is stale, a significant

adjustment to the price of a similar security is necessary to

reflect differences in the terms of the actual security or loan

being valued, or prices from independent sources are

insufficient to corroborate the valuation, the “price” inputs are

considered unobservable and the fair value measurements are

classified as Level 3.

If quoted market prices are not available, fair value is

based upon internally developed valuation techniques that use,

where possible, current market-based parameters, such as

interest rates, currency rates and option volatilities. Items

valued using such internally generated valuation techniques

are classified according to the lowest level input or value

driver that is significant to the valuation. Thus, an item may be

classified as Level 3 even though there may be some

significant inputs that are readily observable.

Fair value estimates from internal valuation techniques

are verified, where possible, to prices obtained from

independent vendors or brokers. Vendors’ and brokers’

valuations may be based on a variety of inputs ranging from

observed prices to proprietary valuation models, and the

Company assesses the quality and relevance of this

information in determining the estimate of fair value. The

following section describes the valuation methodologies used

by the Company to measure various financial instruments at

fair value, including an indication of the level in the fair value

hierarchy in which each instrument is generally classified.

Where appropriate, the description includes details of the

valuation models, the key inputs to those models and any

significant assumptions.

Market Valuation Adjustments

Generally, the unit of account for a financial instrument is the

individual financial instrument. The Company applies market

valuation adjustments that are consistent with the unit of

account, which does not include adjustment due to the size of

the Company’s position, except as follows. ASC 820-10

permits an exception, through an accounting policy election, to

measure the fair value of a portfolio of financial assets and

financial liabilities on the basis of the net open risk position

when certain criteria are met. Citi has elected to measure

certain portfolios of financial instruments that meet those

criteria, such as derivatives, on the basis of the net open risk

position. The Company applies market valuation adjustments,

including adjustments to account for the size of the net open

risk position, consistent with market participant assumptions.

Valuation adjustments are applied to items classified as

Level 2 or Level 3 in the fair value hierarchy to ensure that the

fair value reflects the price at which the net open risk position

could be exited. These valuation adjustments are based on the

bid/offer spread for an instrument in the market. When Citi

has elected to measure certain portfolios of financial

investments, such as derivatives, on the basis of the net open

259

risk position, the valuation adjustment may take into account

the size of the position.

Credit valuation adjustments (CVA) and funding

valuation adjustments (FVA) are applied to the relevant

population of over-the-counter (OTC) derivative instruments

where adjustments to reflect counterparty credit risk, own

credit risk and term funding risk are required to estimate fair

value. This principally includes derivatives with a base

valuation (e.g., discounted using overnight indexed swap

(OIS)) requiring adjustment for these effects, such as

uncollateralized interest rate swaps. The CVA represents a

portfolio-level adjustment to reflect the risk premium

associated with the counterparty’s (assets) or Citi’s (liabilities)

non-performance risk.

The FVA represents a market funding risk premium

inherent in the uncollateralized portion of a derivative

portfolio and in certain collateralized derivative portfolios that

do not include standard credit support annexes (CSAs), such

as where the CSA does not permit the reuse of collateral

received. Citi’s FVA methodology leverages the existing CVA

methodology to estimate a funding exposure profile. The

calculation of this exposure profile considers collateral

agreements in which the terms do not permit the Company to

reuse the collateral received, including where counterparties

post collateral to third-party custodians.

Citi’s CVA and FVA methodology consists of two steps:

• First, the exposure profile for each counterparty is

determined using the terms of all individual derivative

positions and a Monte Carlo simulation or other

quantitative analysis to generate a series of expected cash

flows at future points in time. The calculation of this

exposure profile considers the effect of credit risk

mitigants and sources of funding, including pledged cash

or other collateral and any legal right of offset that exists

with a counterparty through arrangements such as netting

agreements. Individual derivative contracts that are

subject to an enforceable master netting agreement with a

counterparty are aggregated as a netting set for this

purpose, since it is those aggregate net cash flows that are

subject to nonperformance risk. This process identifies

specific, point-in-time future cash flows that are subject to

nonperformance risk and unsecured funding, rather than

using the current recognized net asset or liability as a

basis to measure the CVA and FVA.

• Second, for CVA, market-based views of default

probabilities derived from observed credit spreads in the

credit default swap (CDS) market are applied to the

expected future cash flows determined in step one. Citi’s

own-credit CVA is determined using Citi-specific CDS

spreads for the relevant tenor. Generally, counterparty

CVA is determined using CDS spread indices for each

credit rating and tenor. For certain identified netting sets

where individual analysis is practicable (e.g., exposures to

counterparties with liquid CDSs), counterparty-specific

CDS spreads are used. For FVA, a term structure of future

liquidity spreads is applied to the expected future funding

requirement.

The CVA and FVA are designed to incorporate a market

view of the credit and funding risk, respectively, inherent in

the derivative portfolio. However, most unsecured derivative

instruments are negotiated bilateral contracts and are not

commonly transferred to third parties. Derivative instruments

are normally settled contractually or, if terminated early, are

terminated at a value negotiated bilaterally between the

counterparties. Thus, the CVA and FVA may not be realized

upon a settlement or termination in the normal course of

business. In addition, all or a portion of these adjustments may

be reversed or otherwise adjusted in future periods in the event

of changes in the credit or funding risk associated with the

derivative instruments.

The table below summarizes the CVA and FVA applied

to the fair value of derivative instruments at December 31,

2020 and 2019:

Credit and funding valuation

adjustments

contra-liability (contra-asset)

In millions of dollars

December 31,

2020

December 31,

2019

Counterparty CVA $ (800) $ (705)

Asset FVA (525) (530)

Citigroup (own-credit) CVA 403 341

Liability FVA 67 72

Total CVA—derivative

instruments

(1)

$ (855) $ (822)

(1) FVA is included with CVA for presentation purposes.

The table below summarizes pretax gains (losses) related

to changes in CVA on derivative instruments, net of hedges,

FVA on derivatives and debt valuation adjustments (DVA) on

Citi’s own fair value option (FVO) liabilities for the years

indicated:

Credit/funding/debt valuation

adjustments gain (loss)

In millions of dollars

2020 2019 2018

Counterparty CVA $ (101) $ 149 $ (109)

Asset FVA (95) 13 46

Own-credit CVA 133 (131) 178

Liability FVA (6) (63) 56

Total CVA—derivative

instruments $ (69) $ (32) $ 171

DVA related to own FVO

liabilities

(1)

$ (616) $ (1,473) $ 1,415

Total CVA and DVA

(2)

$ (685) $ (1,505) $ 1,586

(1) See Notes 1, 17 and 19 to the Consolidated Financial Statements.

(2) FVA is included with CVA for presentation purposes.

Securities Purchased Under Agreements to Resell and

Securities Sold Under Agreements to Repurchase

No quoted prices exist for these instruments, so fair value is

determined using a discounted cash flow technique. Cash

flows are estimated based on the terms of the contract, taking

into account any embedded derivative or other features. These

cash flows are discounted using interest rates appropriate to

the maturity of the instrument as well as the nature of the

260

underlying collateral. Generally, when such instruments are

recorded at fair value, they are classified within Level 2 of the

fair value hierarchy, as the inputs used in the valuation are

readily observable. However, certain long-dated positions are

classified within Level 3 of the fair value hierarchy.

Trading Account Assets and Liabilities—Trading Securities

and Trading Loans

When available, the Company uses quoted market prices in

active markets to determine the fair value of trading securities;

such items are classified as Level 1 of the fair value hierarchy.

Examples include government securities and exchange-traded

equity securities.

For bonds and secondary market loans traded over the

counter, the Company generally determines fair value utilizing

valuation techniques, including discounted cash flows, price-

based and internal models. Fair value estimates from these

internal valuation techniques are verified, where possible, to

prices obtained from independent sources, including third-

party vendors. Vendors compile prices from various sources

and may apply matrix pricing for similar bonds or loans where

no price is observable. A price-based methodology utilizes,

where available, quoted prices or other market information

obtained from recent trading activity of assets with similar

characteristics to the bond or loan being valued. The yields

used in discounted cash flow models are derived from the

same price information. Trading securities and loans priced

using such methods are generally classified as Level 2.

However, when a quoted price is stale, a significant

adjustment to the price of a similar security or loan is

necessary to reflect differences in the terms of the actual

security or loan being valued, or prices from independent

sources are insufficient to corroborate valuation, a loan or

security is generally classified as Level 3. The price input used

in a price-based methodology may be zero for a security, such

as a subprime collateralized debt obligation (CDO), that is not

receiving any principal or interest and is not expected to

receive any in the future.

When the Company’s principal exit market for a portfolio

of loans is through securitization, the Company uses the

securitization price as a key input into the fair value of the

loan portfolio. The securitization price is determined from the

assumed proceeds of a hypothetical securitization within the

current market environment, with adjustments made to

account for various costs associated with the process of

securitization. Where such a price verification is possible, loan

portfolios are typically classified as Level 2 in the fair value

hierarchy.

For most of the subprime mortgage backed security

(MBS) exposures, fair value is determined utilizing observable

transactions where available, or other valuation techniques

such as discounted cash flow analysis utilizing valuation

assumptions derived from similar, more observable securities

as market proxies. The valuation of certain asset-backed

security (ABS) CDO positions are inferred through the net

asset value of the underlying assets of the ABS CDO.

Trading Account Assets and Liabilities—Derivatives

Exchange-traded derivatives, measured at fair value using

quoted (i.e., exchange) prices in active markets, where

available, are classified as Level 1 of the fair value hierarchy.

Derivatives without a quoted price in an active market and

derivatives executed over the counter are valued using internal

valuation techniques. These derivative instruments are

classified as either Level 2 or Level 3 depending on the

observability of the significant inputs to the model.

The valuation techniques depend on the type of derivative

and the nature of the underlying instrument. The principal

techniques used to value these instruments are discounted cash

flows and internal models, such as derivative pricing models

(e.g., Black-Scholes and Monte Carlo simulations).

The key inputs depend upon the type of derivative and the

nature of the underlying instrument and include interest rate

yield curves, foreign exchange rates, volatilities and

correlation. The Company typically uses OIS curves as fair

value measurement inputs for the valuation of certain

derivatives.

Investments

The investments category includes available-for-sale debt and

marketable equity securities whose fair values are generally

determined by utilizing similar procedures described for

trading securities above or, in some cases, using vendor

pricing as the primary source.

Also included in investments are nonpublic investments in

private equity and real estate entities. Determining the fair

value of nonpublic securities involves a significant degree of

management judgment, as no quoted prices exist and such

securities do not generally trade. In addition, there may be

transfer restrictions on private equity securities. The

Company’s process for determining the fair value of such

securities utilizes commonly accepted valuation techniques,

including guideline public company analysis and comparable

transactions. In determining the fair value of nonpublic

securities, the Company also considers events such as a

proposed sale of the investee company, initial public offerings,

equity issuances or other observable transactions. Private

equity securities are generally classified as Level 3 of the fair

value hierarchy.

In addition, the Company holds investments in certain

alternative investment funds that calculate NAV per share,

including hedge funds, private equity funds and real estate

funds. Investments in funds are generally classified as non-

marketable equity securities carried at fair value. The fair

values of these investments are estimated using the NAV per

share of the Company’s ownership interest in the funds where

it is not probable that the investment will be realized at a price

other than the NAV. Consistent with the provisions of ASU

2015-07, these investments have not been categorized within

the fair value hierarchy and are not included in the tables

below. See Note 13 to the Consolidated Financial Statements

for additional information.

261

Short-Term Borrowings and Long-Term Debt

Where fair value accounting has been elected, the fair value of

non-structured liabilities is determined by utilizing internal

models using the appropriate discount rate for the applicable

maturity. Such instruments are generally classified as Level 2

of the fair value hierarchy when all significant inputs are

readily observable.

The Company determines the fair value of hybrid

financial instruments, including structured liabilities, using the

appropriate derivative valuation methodology (described

above in “Trading Account Assets and Liabilities—

Derivatives”) given the nature of the embedded risk profile.

Such instruments are classified as Level 2 or Level 3

depending on the observability of significant inputs to the

model.

262

Items Measured at Fair Value on a Recurring Basis

The following tables present for each of the fair value

hierarchy levels the Company’s assets and liabilities that are

measured at fair value on a recurring basis at December 31,

2020 and 2019. The Company may hedge positions that have

been classified in the Level 3 category with other financial

instruments (hedging instruments) that may be classified as

Level 3, but also with financial instruments classified as

Level 1 or Level 2 of the fair value hierarchy. The effects of

these hedges are presented gross in the following tables:

Fair Value Levels

In millions of dollars at December 31, 2020

Level 1 Level 2 Level 3

Gross

inventory Netting

(1)

Net

balance

Assets

Securities borrowed and purchased under agreements to resell $ — $ 335,073 $ 320 $ 335,393 $ (150,189) $ 185,204

Trading non-derivative assets

Trading mortgage-backed securities

U.S. government-sponsored agency guaranteed — 42,903 27 42,930 — 42,930

Residential — 391 340 731 — 731

Commercial — 893 136 1,029 — 1,029

Total trading mortgage-backed securities $ — $ 44,187 $ 503 $ 44,690 $ — $ 44,690

U.S. Treasury and federal agency securities $ 64,529 $ 2,269 $ — $ 66,798 $ — $ 66,798

State and municipal — 1,224 94 1,318 — 1,318

Foreign government 68,195 15,143 51 83,389 — 83,389

Corporate 1,607 18,840 375 20,822 — 20,822

Equity securities 54,117 12,289 73 66,479 — 66,479

Asset-backed securities — 776 1,606 2,382 — 2,382

Other trading assets

(2)

— 11,295 945 12,240 — 12,240

Total trading non-derivative assets $ 188,448 $ 106,023 $ 3,647 $ 298,118 $ — $ 298,118

Trading derivatives

Interest rate contracts $ 42 $ 238,026 $ 3,393 $ 241,461

Foreign exchange contracts 2 155,994 674 156,670

Equity contracts 66 48,362 2,091 50,519

Commodity contracts — 13,546 992 14,538

Credit derivatives — 8,634 1,155 9,789

Total trading derivatives $ 110 $ 464,562 $ 8,305 $ 472,977

Cash collateral paid

(3)

$ 32,778

Netting agreements $ (364,879)

Netting of cash collateral received (63,915)

Total trading derivatives $ 110 $ 464,562 $ 8,305 $ 505,755 $ (428,794) $ 76,961

Investments

Mortgage-backed securities

U.S. government-sponsored agency guaranteed $ — $ 43,888 $ 30 $ 43,918 $ — $ 43,918

Residential — 571 — 571 — 571

Commercial — 50 — 50 — 50

Total investment mortgage-backed securities $ — $ 44,509 $ 30 $ 44,539 $ — $ 44,539

U.S. Treasury and federal agency securities $ 146,032 $ 172 $ — $ 146,204 $ — $ 146,204

State and municipal — 2,885 834 3,719 — 3,719

Foreign government 77,056 47,644 268 124,968 — 124,968

Corporate 6,326 4,114 60 10,500 — 10,500

Marketable equity securities 287 228 — 515 — 515

Asset-backed securities — 277 1 278 — 278

Other debt securities — 4,876 — 4,876 — 4,876

Non-marketable equity securities

(4)

— 50 349 399 — 399

Total investments $ 229,701 $ 104,755 $ 1,542 $ 335,998 $ — $ 335,998

Table continues on the next page.

263

In millions of dollars at December 31, 2020

Level 1 Level 2 Level 3

Gross

inventory Netting

(1)

Net

balance

Loans $ — $ 4,869 $ 1,985 $ 6,854 $ — $ 6,854

Mortgage servicing rights — — 336 336 — 336

Non-trading derivatives and other financial assets measured on

a recurring basis $ 6,230 $ 8,383 $ — $ 14,613 $ — $ 14,613

Total assets $ 424,489

$ 1,023,665

$ 16,135

$ 1,497,067 $ (578,983) $ 918,084

Total as a percentage of gross assets

(5)

29.0 % 69.9 % 1.1 %

Liabilities

Interest-bearing deposits $ — $ 1,752 $ 206 $ 1,958 $ — $ 1,958

Securities loaned and sold under agreements to repurchase — 156,644 631 157,275 (97,069) 60,206

Trading account liabilities

Securities sold, not yet purchased 85,353 14,477 214 100,044 — 100,044

Other trading liabilities — — 26 26 — 26

Total trading liabilities $ 85,353 $ 14,477 $ 240 $ 100,070 $ — $ 100,070

Trading derivatives

Interest rate contracts $ 25 $ 220,607 $ 1,779 $ 222,411

Foreign exchange contracts 3 155,441 622 156,066

Equity contracts 53 58,212 5,304 63,569

Commodity contracts — 17,393 700 18,093

Credit derivatives — 9,022 1,107 10,129

Total trading derivatives $ 81 $ 460,675 $ 9,512 $ 470,268

Cash collateral received

(6)

$ 8,196

Netting agreements $ (364,879)

Netting of cash collateral paid (45,628)

Total trading derivatives $ 81 $ 460,675 $ 9,512 $ 478,464 $ (410,507) $ 67,957

Short-term borrowings $ — $ 4,464 $ 219 $ 4,683 $ — $ 4,683

Long-term debt — 41,853 25,210 67,063 — 67,063

Total non-trading derivatives and other financial liabilities

measured on a recurring basis $ 6,762 $ 72 $ 1 $ 6,835 $ — $ 6,835

Total liabilities $ 92,196 $ 679,937

$ 36,019

$ 816,348 $ (507,576) $ 308,772

Total as a percentage of gross liabilities

(5)

11.4 % 84.1 % 4.5 %

(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 25 to the Consolidated Financial Statements. Also includes physical

commodities accounted for at the lower of cost or fair value and unfunded credit products.

(3) Reflects the net amount of $78,406 million of gross cash collateral paid, of which $45,628 million was used to offset trading derivative liabilities.

(4) Amounts exclude $0.2 billion of investments measured at net asset value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820):

Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).

(5) Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total

assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.

(6) Reflects the net amount of $72,111 million of gross cash collateral received, of which $63,915 million was used to offset trading derivative assets.

264

Fair Value Levels

In millions of dollars at December 31, 2019

Level 1 Level 2 Level 3

Gross

inventory Netting

(1)

Net

balance

Assets

Securities borrowed and purchased under agreements to resell $ — $ 254,253 $ 303 $ 254,556 $ (101,363)

$ 153,193

Trading non-derivative assets

Trading mortgage-backed securities

U.S. government-sponsored agency guaranteed — 27,661 10 27,671 — 27,671

Residential — 573 123 696 — 696

Commercial — 1,632 61 1,693 — 1,693

Total trading mortgage-backed securities $ — $ 29,866 $ 194 $ 30,060 $ — $ 30,060

U.S. Treasury and federal agency securities $ 26,159 $ 3,736 $ — $ 29,895 $ — $ 29,895

State and municipal — 2,573 64 2,637 — 2,637

Foreign government 50,948 20,326 52 71,326 — 71,326

Corporate 1,332 17,246 313 18,891 — 18,891

Equity securities 41,663 9,878 100 51,641 — 51,641

Asset-backed securities — 1,539 1,177 2,716 — 2,716

Other trading assets

(2)

74 11,412 555 12,041 — 12,041

Total trading non-derivative assets $ 120,176 $ 96,576 $ 2,455 $ 219,207 $ —

$ 219,207

Trading derivatives

Interest rate contracts $ 7 $ 196,493 $ 1,168 $ 197,668

Foreign exchange contracts 1 107,022 547 107,570

Equity contracts 83 28,148 240 28,471

Commodity contracts — 13,498 714 14,212

Credit derivatives — 9,960 449 10,409

Total trading derivatives $ 91 $ 355,121 $ 3,118 $ 358,330

Cash collateral paid

(3)

$ 17,926

Netting agreements $ (274,970)

Netting of cash collateral received (44,353)

Total trading derivatives $ 91 $ 355,121 $ 3,118 $ 376,256 $ (319,323) $ 56,933

Investments

Mortgage-backed securities

U.S. government-sponsored agency guaranteed $ — $ 35,198 $ 32 $ 35,230 $ — $ 35,230

Residential — 793 — 793 — 793

Commercial — 74 — 74 — 74

Total investment mortgage-backed securities $ — $ 36,065 $ 32 $ 36,097 $ — $ 36,097

U.S. Treasury and federal agency securities $ 106,103 $ 5,315 $ — $ 111,418 $ —

$ 111,418

State and municipal — 4,355 623 4,978 — 4,978

Foreign government 69,957 41,196 96 111,249 — 111,249

Corporate 5,150 6,076 45 11,271 — 11,271

Marketable equity securities 87 371 — 458 — 458

Asset-backed securities — 500 22 522 — 522

Other debt securities — 4,730 — 4,730 — 4,730

Non-marketable equity securities

(4)

— 93 441 534 — 534

Total investments $ 181,297 $ 98,701 $ 1,259 $ 281,257 $ —

$ 281,257

Table continues on the next page.

265

In millions of dollars at December 31, 2019

Level 1 Level 2 Level 3

Gross

inventory Netting

(1)

Net

balance

Loans $ — $ 3,683 $ 402 $ 4,085 $ — $ 4,085

Mortgage servicing rights — — 495 495 — 495

Non-trading derivatives and other financial assets measured on a

recurring basis $ 5,628 $ 7,201 $ 1 $ 12,830 $ — $ 12,830

Total assets $ 307,192 $ 815,535 $ 8,033 $ 1,148,686 $ (420,686)

$ 728,000

Total as a percentage of gross assets

(5)

27.2 % 72.1 % 0.7 %

Liabilities

Interest-bearing deposits $ — $ 2,104 $ 215 $ 2,319 $ — $ 2,319

Securities loaned and sold under agreements to repurchase — 111,567 757 112,324 (71,673) 40,651

Trading account liabilities

Securities sold, not yet purchased 60,429 11,965 48 72,442 — 72,442

Other trading liabilities — 24 — 24 — 24

Total trading liabilities $ 60,429 $ 11,989 $ 48 $ 72,466 $ — $ 72,466

Trading account derivatives

Interest rate contracts $ 8 $ 176,480 $ 1,167 $ 177,655

Foreign exchange contracts — 110,180 552 110,732

Equity contracts 144 28,506 1,836 30,486

Commodity contracts — 16,542 773 17,315

Credit derivatives — 10,233 505 10,738

Total trading derivatives $ 152 $ 341,941 $ 4,833 $ 346,926

Cash collateral received

(6)

$ 14,391

Netting agreements $ (274,970)

Netting of cash collateral paid (38,919)

Total trading derivatives $ 152 $ 341,941 $ 4,833 $ 361,317 $ (313,889) $ 47,428

Short-term borrowings $ — $ 4,933 $ 13 $ 4,946 $ — $ 4,946

Long-term debt — 38,614 17,169 55,783 — 55,783

Non-trading derivatives and other financial liabilities measured on

a recurring basis $ 6,280 $ 63 $ — $ 6,343 $ — $ 6,343

Total liabilities $ 66,861 $ 511,211

$ 23,035

$ 615,498 $ (385,562)

$ 229,936

Total as a percentage of gross liabilities

(5)

11.1 % 85.0 % 3.8 %

(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 25 to the Consolidated Financial Statements. Also includes physical

commodities accounted for at the lower of cost or fair value and unfunded credit products.

(3) Reflects the net amount of $56,845 million of gross cash collateral paid, of which $38,919 million was used to offset trading derivative liabilities.

(4) Amounts exclude $0.2 billion of investments measured at NAV in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for

Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).

(5) Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total

assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.

(6) Reflects the net amount of $58,744 million of gross cash collateral received, of which $44,353 million was used to offset trading derivative assets.

266

Changes in Level 3 Fair Value Category

The following tables present the changes in the Level 3 fair

value category for the years ended December 31, 2020 and

2019. The gains and losses presented below include changes in

the fair value related to both observable and unobservable

inputs.

The Company often hedges positions with offsetting

positions that are classified in a different level. For example,

the gains and losses for assets and liabilities in the Level 3

category presented in the tables below do not reflect the effect

of offsetting losses and gains on hedging instruments that may

be classified in the Level 1 and Level 2 categories. In addition,

the Company hedges items classified in the Level 3 category

with instruments also classified in Level 3 of the fair value

hierarchy. The hedged items and related hedges are presented

gross in the following tables:

Level 3 Fair Value Rollforward

Net realized/unrealized

gains (losses) included in

(1)

Transfers

Unrealized

gains

(losses)

still held

(3)

In millions of dollars

Dec. 31,

2019

Principal

transactions Other

(1)(2)

into

Level 3

out of

Level 3 Purchases Issuances Sales Settlements

Dec. 31,

2020

Assets 0

Securities borrowed and

purchased under

agreements to resell $ 303 $ 23 $ — $ — $ — $ 194 $ — $ — $ (200) $ 320 $ 43

Trading non-derivative

assets

Trading mortgage-

backed securities

U.S. government-

sponsored agency

guaranteed 10 (79) — 21 (11) 392 — (306) — 27 (1)

Residential 123 79 — 234 (68) 486 — (514) — 340 (20)

Commercial 61 — — 162 (35) 174 — (226) — 136 (14)

Total trading mortgage-

backed securities $ 194 $ — $ — $ 417 $ (114) $ 1,052 $ — $ (1,046) $ — $ 503 $ (35)

U.S. Treasury and

federal agency securities $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — $ —

State and municipal 64 2 — 33 (3) 62 — (64) — 94 4

Foreign government 52 (35) — 9 (1) 169 — (143) — 51 (7)

Corporate 313 246 — 211 (136) 770 — (1,023) (6) 375 (37)

Marketable equity

securities 100 (16) — 43 (2) 240 — (292) — 73 (11)

Asset-backed securities 1,177 (105) — 677 (131) 1,406 — (1,418) — 1,606 (248)

Other trading assets 555 315 — 471 (343) 387 19 (440) (19) 945 (56)

Total trading non-

derivative assets $ 2,455 $ 407 $ — $ 1,861 $ (730) $ 4,086 $ 19 $ (4,426) $ (25) $ 3,647 $ (390)

Trading derivatives, net

(4)

Interest rate contracts $ 1 $ 429 $ — $ 1,644 $ 16 $ 41 $ 134 $ (34) $ (617) $ 1,614 $ 161

Foreign exchange

contracts (5) 105 — (61) 48 74 — (55) (54) 52 130

Equity contracts (1,596) (536) — (519) 378 35 — (886) (89) (3,213) (3,868)

Commodity contracts (59) (1) — 99 (108) 101 — (61) 321 292 407

Credit derivatives (56) 123 — 173 (334) — — — 142 48 (136)

Total trading derivatives,

net

(4)

$ (1,715) $ 120 $ — $ 1,336 $ — $ 251 $ 134 $ (1,036) $ (297) $ (1,207) $ (3,306)

267

Net realized/unrealized

gains (losses) included in

(1)

Transfers

Unrealized

gains

(losses)

still held

(3)

In millions of dollars

Dec. 31,

2019

Principal

transactions Other

(1)(2)

into

Level 3

out of

Level 3 Purchases Issuances Sales Settlements

Dec. 31,

2020

Investments

Mortgage-backed

securities

U.S. government-

sponsored agency

guaranteed $ 32 $ — $ (5) $ 2 $ — $ 1 $ — $ — $ — $ 30 $ (104)

Residential — — 76 — — — — (76) — — 5

Commercial — — — — — — — — — — —

Total investment

mortgage-backed

securities $ 32 $ — $ 71 $ 2 $ — $ 1 $ — $ (76) $ — $ 30 $ (99)

U.S. Treasury and

federal agency securities $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — $ —

State and municipal 623 — (3) 322 (131) 121 — (98) — 834 (20)

Foreign government 96 — 11 27 (64) 381 — (183) — 268 (4)

Corporate 45 — 6 49 (152) 162 — (50) — 60 —

Marketable equity

securities — — (1) 1 — — — — — — —

Asset-backed securities 22 — (1) — — — — (20) — 1 (4)

Other debt securities — — — — — — — — — — —

Non-marketable equity

securities 441 — (35) — (2) 2 3 (3) (57) 349 10

Total investments $ 1,259 $ — $ 48 $ 401 $ (349) $ 667 $ 3 $ (430) $ (57) $ 1,542 $ (117)

Loans $ 402 $ — $ 1,143 $ 451 $ (6) $ — $ — $ — $ (5) $ 1,985 $ 1,424

Mortgage servicing rights 495 — (204) — — — 123 — (78) 336 (180)

Other financial assets

measured on a recurring

basis 1 — — — — — — (1) — — —

Liabilities

Interest-bearing deposits $ 215 $ — $ 11 $ 278 $ (152) $ — $ 34 $ — $ (158) $ 206 $ (142)

Securities loaned and sold

under agreements to

repurchase 757 5 — — — — — — (121) 631 (18)

Trading account liabilities

Securities sold, not yet

purchased 48 (102) — 271 (17) — — 10 (200) 214 (163)

Other trading liabilities — 9 — 35 — — — — — 26 23

Short-term borrowings 13 78 — 220 (6) — 86 — (16) 219 (91)

Long-term debt 17,169 (1,489) — 6,553 (2,615) — 10,270 — (7,656) 25,210 (1,679)

Other financial liabilities

measured on a recurring

basis — — — — — — 3 — (2) 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 December 31,

2020.

(4) Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.

268

Net realized/unrealized

gains (losses) included in

(1)

Transfers

Unrealized

gains

(losses)

still held

(3)

In millions of dollars

Dec. 31,

2018

Principal

transactions Other

(1)(2)

into

Level 3

out of

Level 3 Purchases Issuances Sales Settlements

Dec. 31,

2019

Assets

Securities borrowed and

purchased under

agreements to resell $ 115 $ (5) $ — $ 191 $ (4) $ 195 $ — $ — $ (189) $ 303 $ 3

Trading non-derivative

assets

Trading mortgage-

backed securities

U.S. government-

sponsored agency

guaranteed 156 — — 54 (72) 160 (1) (287) — 10 1

Residential 268 15 — 86 (80) 227 — (393) — 123 10

Commercial 77 14 — 150 (105) 136 — (211) — 61 (4)

Total trading mortgage-

backed securities $ 501 $ 29 $ — $ 290 $ (257) $ 523 $ (1) $ (891) $ — $ 194 $ 7

U.S. Treasury and

federal agency securities $ 1 $ (9) $ — $ — $ — $ 20 $ — $ (11) $ (1) $ — $ —

State and municipal 200 (2) — 1 (19) 2 — (118) — 64 (2)

Foreign government 31 28 — 12 (7) 88 — (100) — 52 1

Corporate 360 284 — 213 (86) 323 (29) (742) (10) 313 (11)

Marketable equity

securities 153 (21) — 13 (19) 117 — (143) — 100 (51)

Asset-backed securities 1,484 (65) — 51 (127) 738 — (904) — 1,177 29

Other trading assets 818 (52) — 97 (283) 598 36 (630) (29) 555 (257)

Total trading non-

derivative assets $ 3,548 $ 192 $ — $ 677 $ (798) $ 2,409 $ 6 $ (3,539) $ (40) $ 2,455 $ (284)

Trading derivatives, net

(4)

Interest rate contracts $ (154) $ 116 $ — $ (129) $ 172 $ 154 $ 45 $ (1) $ (202) $ 1 $ 2,194

Foreign exchange

contracts (6) (73) — 152 (97) 113 — (114) 20 (5) (134)

Equity contracts (784) (425) — (213) 274 (111) (147) (8) (182) (1,596) (422)

Commodity contracts (18) (121) — (15) (15) 252 — (133) (9) (59) (33)

Credit derivatives 61 (412) — (114) 204 — — 14 191 (56) (289)

Total trading derivatives,

net

(4)

$ (901) $ (915) $ — $ (319) $ 538 $ 408 $ (102) $ (242) $ (182) $ (1,715) $ 1,316

Investments

Mortgage-backed

securities

U.S. government-

sponsored agency

guaranteed $ 32 $ — $ — $ — $ — $ — $ — $ — $ — $ 32 $ (1)

Residential — — — — — — — — — — —

Commercial — — — — — — — — — — —

Total investment

mortgage-backed

securities $ 32 $ — $ — $ — $ — $ — $ — $ — $ — $ 32 $ (1)

U.S. Treasury and

federal agency securities $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — $ —

State and municipal 708 — 86 14 (318) 430 — (297) — 623 82

Foreign government 68 — 2 — — 145 — (119) — 96 2

Corporate 156 — (14) 3 (94) — — (6) — 45 —

Marketable equity

securities — — — — — — — — — — —

Asset-backed securities 187 — (11) 122 (612) 550 — (214) — 22 13

Other debt securities — — — — — — — — — — —

Non-marketable equity

securities 586 — (11) 39 (1) 11 — (151) (32) 441 16

Total investments $ 1,737 $ — $ 52 $ 178 $ (1,025) $ 1,136 $ — $ (787) $ (32) $ 1,259 $ 112

Table continues on the next page.

269

Net realized/unrealized

gains (losses) included in

(1)

Transfers

Unrealized

gains

(losses)

still held

(3)

In millions of dollars

Dec. 31,

2018

Principal

transactions Other

(1)(2)

into

Level 3

out of

Level 3 Purchases Issuances Sales Settlements

Dec. 31,

2019

Loans $ 277 $ — $ 192 $ 148 $ (189) $ 16 $ — $ (40) $ (2) $ 402 $ 186

Mortgage servicing rights 584 — (84) — — — 70 — (75) 495 (68)

Other financial assets

measured on a recurring

basis — — 96 6 (2) 2 32 (21) (112) 1 18

Liabilities

Interest-bearing deposits $ 495 $ — $ (16) $ 10 $ (783) $ — $ 843 $ — $ (366) $ 215 $ (25)

Securities loaned and sold

under agreements to

repurchase 983 121 — 1 4 — — (168) 58 757 (26)

Trading account liabilities

Securities sold, not yet

purchased 586 122 — 68 (443) 19 — (12) (48) 48 3

Other trading liabilities — — — — — — — — — — —

Short-term borrowings 37 32 — 13 (42) — 168 — (131) 13 (1)

Long-term debt 12,570 (1,899) — 3,304 (4,411) — 6,766 — (2,958) 17,169 (1,411)

Other financial liabilities

measured on a recurring

basis — — 4 5 — — 4 — (5) — —

(1) Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value

of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains

(losses) from sales of investments in the Consolidated Statement of Income.

(2) Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.

(3) Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and

DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31,

2019.

(4) Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.

Level 3 Fair Value Rollforward

The following were the significant Level 3 transfers for the

period December 31, 2019 to December 31, 2020:

• During the 12 months ended December 31, 2020,

transfers of Interest rate contracts of $1.6 billion from

Level 2 to Level 3 were due to interest rate option

volatility becoming an unobservable and/or significant

input relative to the overall valuation of inflation and

other interest rate derivatives.

• During the 12 months ended December 31, 2020,

$6.6 billion of Long-term debt containing embedded

derivatives was transferred from Level 2 to Level 3, as a

result of interest rate option volatility, equity correlation

and credit derivative inputs becoming unobservable and/

or significant input relative to the overall valuation of

certain structured long-term debt products. In other

instances, market changes resulted in unobservable

volatility inputs becoming insignificant to the overall

valuation of the instrument (e.g., when an option becomes

deep-in or deep-out of the money). This has resulted in

$2.6 billion of certain structured long-term debt products

being transferred from Level 3 to Level 2 during the 12

months ended December 31, 2020.

The following were the significant Level 3 transfers for

the period December 31, 2018 to December 31, 2019:

• Transfers of Long-term debt of $3.3 billion from Level 2

to Level 3, and of $4.4 billion from Level 3 to Level 2,

mainly related to structured debt, reflecting changes in the

significance of unobservable inputs as well as certain

underlying market inputs becoming less or more

observable.

270

Valuation Techniques and Inputs for Level 3 Fair

Value Measurements

The Company’s Level 3 inventory consists of both cash

instruments and derivatives of varying complexity. The

valuation methodologies used to measure the fair value of

these positions include discounted cash flow analysis, internal

models and comparative analysis. A position is classified

within Level 3 of the fair value hierarchy when one or more

unobservable inputs are used that are considered significant to

its valuation. The specific reason an input is deemed

unobservable varies; for example, at least one significant

input to the pricing model is not observable in the market, at

least one significant input has been adjusted to make it more

representative of the position being valued or the price quote

available does not reflect sufficient trading activities.

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 December 31, 2020

Fair value

(1)

(in millions) Methodology Input Low

(2)(3)

High

(2)(3)

Weighted

average

(4)

Assets

Securities borrowed and

purchased under agreements to

resell $ 320 Model-based Credit spread 15 bps 15 bps 15 bps

Interest rate 0.30 % 0.35 % 0.32 %

Mortgage-backed securities $ 344 Price-based Price $ 30 $ 111 $ 80

168 Yield analysis Yield 2.63 % 21.80 % 10.13 %

State and municipal, foreign

government, corporate and

other debt securities $ 1,566 Price-based Price $ — $ 2,265 $ 90

852 Model-based Credit spread 35 bps 375 bps 226 bps

Marketable equity securities

(5)

$ 36 Model-based Price $ — $ 31,000 $ 5,132

36 Price-based WAL 1.48 years 1.48 years 1.48 years

Recovery

(in millions)

$ 5,733 $ 5,733 $ 5,733

Asset-backed securities $ 863 Price-based Price $ 2 $ 157 $ 59

744 Yield analysis Yield 3.77 % 21.77 % 9.01 %

Non-marketable equities $ 205 Comparables analysis Illiquidity discount 10.00 % 45.00 % 25.29 %

PE ratio 13.60x 28.00x 22.83x

142 Price-based Price $ 136 $ 2,041 $ 1,647

EBITDA multiples 3.30x 36.70x 15.10x

Adjustment factor 0.20x 0.61x 0.25x

Appraised value

(in thousands)

$ 287 $ 39,745 $ 21,754

Revenue multiple 2.70x 28.00x 8.92x

Derivatives—gross

(6)

Interest rate contracts (gross) $ 5,143 Model-based Inflation volatility 0.27 % 2.36 % 0.78 %

IR normal volatility 0.11 % 0.73 % 0.52 %

Foreign exchange contracts

(gross) $ 1,296 Model-based FX volatility 1.70 % 12.63 % 5.41 %

Contingent event 100.00 % 100.00 % 100.00 %

Interest rate 0.84 % 84.09 % 17.55 %

IR normal volatility 0.11 % 0.52 % 0.46 %

IR-FX correlation 40.00 % 60.00 % 50.00 %

IR-IR correlation (21.71) % 40.00 % 38.09 %

Equity contracts (gross)

(7)

$ 7,330 Model-based Equity volatility 5.00 % 91.43 % 42.74 %

Forward price 65.88 % 105.20 % 91.82 %

Commodity and other contracts

(gross) $ 1,636 Model-based

Commodity

correlation (44.92) % 95.91 % 70.60 %

Commodity volatility 0.16 % 80.17 % 23.72 %

Forward price 15.40 % 262.00 % 98.53 %

Credit derivatives (gross) $ 1,854 Model-based Credit spread 3.50 bps 352.35 bps 99.89 bps

271

As of December 31, 2020

Fair value

(1)

(in millions) Methodology Input Low

(2)(3)

High

(2)(3)

Weighted

average

(4)

408 Price-based Recovery rate 20.00 % 60.00 % 41.60 %

Credit correlation 25.00 % 80.00 % 43.36 %

Upfront points — % 107.20 % 48.10 %

Loans and leases $ 1,804 Model-based Equity volatility 24.65 % 83.09 % 58.23 %

Mortgage servicing rights 258 Cash flow Yield 2.86 % 16.00 % 6.32 %

78 Model-based WAL 2.66 years 5.40 years 4.46 years

Liabilities

Interest-bearing deposits $ 206 Model-based IR Normal volatility 0.11 % 0.73 % 0.54 %

Securities loaned and sold under

agreements to repurchase $ 631 Model-based Interest rate 0.08 % 1.86 % 0.71 %

Trading account liabilities

Securities sold, not yet

purchased and other trading

liabilities $ 178 Model-based

IR lognormal

volatility 52.06 % 128.87 % 89.82 %

62 Price-based Price $ — $ 866 $ 80

Interest rate 10.03 % 20.07 % 13.70 %

Short-term borrowings and

long-term debt $ 24,827 Model-based IR Normal volatility 0.11 % 0.73 % 0.51 %

Forward price 15.40 % 262.00 % 92.48 %

As of December 31, 2019

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 $ 303 Model-based Credit spread 15 bps 15 bps 15 bps

Interest rate 1.59 % 3.67 % 2.72 %

Mortgage-backed securities $ 196 Price-based Price $ 36 $ 505 $ 97

22 Model-based

State and municipal, foreign

government, corporate and other

debt securities $ 880 Model-based Price $ — $ 1,238 $ 90

677 Price-based Credit spread 35 bps 295 bps 209 bps

Marketable equity securities

(5)

$ 70 Price-based Price $ — $ 38,500 $ 2,979

30 Model-based WAL 1.48 years 1.48 years 1.48 years

Recovery

(in millions)

$ 5,450 $ 5,450 $ 5,450

Asset-backed securities $ 812 Price-based Price $ 4 $ 103 $ 60

368 Yield analysis Yield 0.61 % 23.38 % 8.88 %

Non-marketable equities $ 316 Comparables analysis EBITDA multiples 7.00x 17.95x 10.34x

97 Price-based

Appraised value

(in thousands)

$ 397 $ 33,246 $ 8,446

Price $ 3 $ 2,019 $ 1,020

PE ratio 14.70x 28.70x 20.54x

Price to book ratio 1.50x 3.00x 1.88x

Discount to price — % 10.00 % 2.32 %

Derivatives—gross

(6)

Interest rate contracts (gross) $ 2,196 Model-based Inflation volatility 0.21 % 2.74 % 0.79 %

Mean reversion 1.00 % 20.00 % 10.50 %

IR normal volatility 0.09 % 0.66 % 0.53 %

Foreign exchange contracts

(gross) $ 1,099 Model-based FX volatility 1.27 % 12.16 % 9.17 %

IR normal volatility 0.27 % 0.66 % 0.58 %

FX rate 37.39 % 586.84 % 80.64 %

Interest rate 2.72 % 56.14 % 13.11 %

272

IR-IR correlation (51.00) % 40.00 % 32.00 %

IR-FX correlation 40.00 % 60.00 % 50.00 %

Equity contracts (gross)

(7)

$ 2,076 Model-based Equity volatility 3.16 % 52.80 % 28.43 %

Forward price 62.60 % 112.69 % 98.46 %

WAL 1.48 years 1.48 years 1.48 years

Recovery

(in millions) $ 5,450 $ 5,450 $ 5,450

Commodity and other contracts

(gross) $ 1,487 Model-based Forward price 37.62 % 362.57 % 119.32 %

Commodity

volatility 5.25 % 93.63 % 23.55 %

Commodity

correlation (39.65) % 87.81 % 41.80 %

Credit derivatives (gross) $ 613 Model-based Credit spread 8 bps 283 bps 80 bps

341 Price-based Upfront points 2.59 % 99.94 % 59.41 %

Price $ 12 $ 100 $ 87

Credit

correlation 25.00 % 87.00 % 48.57 %

Recovery rate 20.00 % 65.00 % 48.00 %

Loans and leases $ 378 Model-based Credit spread 9 bps 52 bps 48 bps

Equity volatility 32.00 % 32.00 % 32.00 %

Mortgage servicing rights $ 418 Cash flow Yield 1.78 % 12.00 % 9.49 %

77 Model-based WAL 4.07 years 8.13 years 6.61 years

Liabilities

Interest-bearing deposits $ 215 Model-based Mean reversion 1.00 % 20.00 % 10.50 %

Forward price 97.59 % 111.06 % 102.96 %

Securities loaned and sold under

agreements to repurchase $ 757 Model-based Interest rate 1.59 % 2.38 % 1.95 %

Trading account liabilities

Securities sold, not yet purchased $ 46 Price-based Price $ — $ 866 $ 96

Short-term borrowings and long-

term debt 17,182 Model-based Mean reversion 1.00 % 20.00 % 10.50 %

IR normal volatility 0.09 % 0.66 % 0.46 %

Forward price 37.62 % 362.57 % 97.52 %

Equity-IR

correlation 15.00 % 44.00 % 32.66 %

(1) The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities.

(2) Some inputs are shown as zero due to rounding.

(3) When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one

large position.

(4) Weighted averages are calculated based on the fair values of the instruments.

(5) For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.

(6) Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis.

(7) Includes hybrid products.

Uncertainty of Fair Value Measurements Relating to

Unobservable Inputs

Valuation uncertainty arises when there is insufficient or

disperse market data to allow a precise determination of the

exit value of a fair-valued position or portfolio in today’s

market. This is especially prevalent in Level 3 fair value

instruments, where uncertainty exists in valuation inputs that

may be both unobservable and significant to the instrument’s

(or portfolio’s) overall fair value measurement. The

uncertainties associated with key unobservable inputs on the

Level 3 fair value measurements may not be independent of

one another. In addition, the amount and direction of the

uncertainty on a fair value measurement for a given change in

an unobservable input depends on the nature of the instrument

as well as whether the Company holds the instrument as an

asset or a liability. For certain instruments, the pricing,

hedging and risk management are sensitive to the correlation

between various inputs rather than on the analysis and

aggregation of the individual inputs.

The following section describes some of the most

significant unobservable inputs used by the Company in

Level 3 fair value measurements.

Correlation

Correlation is a measure of the extent to which two or more

variables change in relation to each other. A variety of

273

correlation-related assumptions are required for a wide range

of instruments, including equity and credit baskets, foreign

exchange options, CDOs backed by loans or bonds,

mortgages, subprime mortgages and many other instruments.

For almost all of these instruments, correlations are not

directly observable in the market and must be calculated using

alternative sources, including historical information.

Estimating correlation can be especially difficult where it may

vary over time, and calculating correlation information from

market data requires significant assumptions regarding the

informational efficiency of the market (e.g., swaption

markets). Uncertainty therefore exists when an estimate of the

appropriate level of correlation as an input into some fair value

measurements is required.

Changes in correlation levels can have a substantial

impact, favorable or unfavorable, on the value of an

instrument, depending on its nature. A change in the default

correlation of the fair value of the underlying bonds

comprising a CDO structure would affect the fair value of the

senior tranche. For example, an increase in the default

correlation of the underlying bonds would reduce the fair

value of the senior tranche, because highly correlated

instruments produce greater losses in the event of default and a

portion of these losses would become attributable to the senior

tranche. That same change in default correlation would

have a different impact on junior tranches of the same

structure.

Volatility

Volatility represents the speed and severity of market price

changes and is a key factor in pricing options. Volatility

generally depends on the tenor of the underlying instrument

and the strike price or level defined in the contract. Volatilities

for certain combinations of tenor and strike are not observable

and need to be estimated using alternative methods, such as

using comparable instruments, historical analysis or other

sources of market information. This leads to uncertainty

around the final fair value measurement of instruments with

unobservable volatilities.

The general relationship between changes in the value of

a portfolio to changes in volatility also depends on changes in

interest rates and the level of the underlying index. Generally,

long option positions (assets) benefit from increases in

volatility, whereas short option positions (liabilities) will

suffer losses. Some instruments are more sensitive to changes

in volatility than others. For example, an at-the-money option

would experience a greater percentage change in its fair value

than a deep-in-the-money option. In addition, the fair value of

an option with more than one underlying security (e.g., an

option on a basket of bonds) depends on the volatility of the

individual underlying securities as well as their correlations.

Yield

In some circumstances, the yield of an instrument is not

observable in the market and must be estimated from historical

data or from yields of similar securities. This estimated yield

may need to be adjusted to capture the characteristics of the

security being valued. In other situations, the estimated yield

may not represent sufficient market liquidity and must be

adjusted as well. Whenever the amount of the adjustment is

significant to the value of the security, the fair value

measurement is classified as Level 3.

Adjusted yield is generally used to discount the projected

future principal and interest cash flows on instruments, such as

asset-backed securities. Adjusted yield is impacted by changes

in the interest rate environment and relevant credit spreads.

Prepayment

Voluntary unscheduled payments (prepayments) change the

future cash flows for the investor and thereby change the fair

value of the security. The effect of prepayments is more

pronounced for residential mortgage-backed securities. An

increase in prepayments—in speed or magnitude—generally

creates losses for the holder of these securities. Prepayment is

generally negatively correlated with delinquency and interest

rate. A combination of low prepayments and high

delinquencies amplifies each input’s negative impact on a

mortgage securities’ valuation. As prepayment speeds change,

the weighted average life of the security changes, which

impacts the valuation either positively or negatively,

depending upon the nature of the security and the direction of

the change in the weighted average life.

Recovery

Recovery is the proportion of the total outstanding balance of

a bond or loan that is expected to be collected in a liquidation

scenario. For many credit securities (such as asset-backed

securities), there is no directly observable market input for

recovery, but indications of recovery levels are available from

pricing services. The assumed recovery of a security may

differ from its actual recovery that will be observable in the

future. The recovery rate impacts the valuation of credit

securities. Generally, an increase in the recovery rate

assumption increases the fair value of the security. An increase

in loss severity, the inverse of the recovery rate, reduces the

amount of principal available for distribution and, as a result,

decreases the fair value of the security.

Credit Spread

Credit spread is a component of the security representing its

credit quality. Credit spread reflects the market perception of

changes in prepayment, delinquency and recovery rates,

therefore capturing the impact of other variables on the fair

value. Changes in credit spread affect the fair value of

securities differently depending on the characteristics and

maturity profile of the security. For example, credit spread is a

more significant driver of the fair value measurement of a high

yield bond as compared to an investment grade bond.

Generally, the credit spread for an investment grade bond is

also more observable and less volatile than its high yield

counterpart.

274

Items Measured at Fair Value on a Nonrecurring Basis

Certain assets and liabilities are measured at fair value on a

nonrecurring basis and, therefore, are not included in the

tables above. These include assets measured at cost that have

been written down to fair value during the periods as a result

of an impairment. These also include non-marketable equity

securities that have been measured using the measurement

alternative and are either (i) written down to fair value during

the periods as a result of an impairment or (ii) adjusted upward

or downward to fair value as a result of a transaction observed

during the periods for the identical or similar investment of the

same issuer. In addition, these assets include loans held-for-

sale and other real estate owned that are measured at the lower

of cost or market value.

The following tables present the carrying amounts of all

assets that were still held for which a nonrecurring fair value

measurement was recorded:

In millions of dollars

Fair value Level 2 Level 3

December 31, 2020

Loans HFS

(1)

$ 3,375 $ 478 $ 2,897

Other real estate owned 17 4 13

Loans

(2)

1,015 679 336

Non-marketable equity

securities measured

using the measurement

alternative 315 312 3

Total assets at fair value

on a nonrecurring basis $ 4,722 $ 1,473 $ 3,249

In millions of dollars

Fair value Level 2 Level 3

December 31, 2019

Loans HFS

(1)

$ 4,579 $ 3,249 $ 1,330

Other real estate owned 20 6 14

Loans

(2)

344 93 251

Non-marketable equity

securities measured

using the measurement

alternative 249 249 —

Total assets at fair value

on a nonrecurring basis $ 5,192 $ 3,597 $ 1,595

(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.

The fair value of loans HFS is determined where possible

using quoted secondary-market prices. If no such quoted price

exists, the fair value of a loan is determined using quoted

prices for a similar asset or assets, adjusted for the specific

attributes of that loan. Fair value for the other real estate

owned is based on appraisals. For loans whose carrying

amount is based on the fair value of the underlying collateral,

the fair values depend on the type of collateral. Fair value of

the collateral is typically estimated based on quoted market

prices if available, appraisals or other internal valuation

techniques.

Where the fair value of the related collateral is based on

an unadjusted appraised value, the loan is generally classified

as Level 2. Where significant adjustments are made to the

appraised value, the loan is classified as Level 3. In addition,

for corporate loans, appraisals of the collateral are often based

on sales of similar assets; however, because the prices of

similar assets require significant adjustments to reflect the

unique features of the underlying collateral, these fair value

measurements are generally classified as Level 3.

The fair value of non-marketable equity securities under

the measurement alternative is based on observed transaction

prices for the identical or similar investment of the same

issuer, or an internal valuation technique in the case of an

impairment. Where significant adjustments are made to the

observed transaction price or when an internal valuation

technique is used, the security is classified as Level 3. Fair

value may differ from the observed transaction price due to a

number of factors, including marketability adjustments and

differences in rights and obligations when the observed

transaction is not for the identical investment held by Citi.

275

Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements

The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the

most significant unobservable inputs used in those measurements:

As of December 31, 2020

Fair value

(1)

(in millions) Methodology Input Low

(2)

High

Weighted

average

(3)

Loans HFS $ 2,683 Price-based Price $ 79 $ 100 $ 98

Other real estate owned $ 7 Price-based Appraised value

(4)

$ 3,110,711 $ 4,241,357 $ 3,586,975

4 Recovery analysis Price 51 51 51

Loans

(5)

$ 147 Price-based Price $ 2 $ 49 $ 23

73 Recovery analysis Recovery rate 0.99 % 78.00 % 13.37 %

Appraised value

(4)

$ 34 $ 43,646,426 $ 17,762,950

As of December 31, 2019

Fair value

(1)

(in millions)

Methodology Input Low

(2)

High

Weighted

average

(3)

Loans HFS $ 1,320 Price-based Price $ 86 $ 100 $ 99

Other real estate owned $ 11 Price-based Appraised value

(4)

$ 2,297,358 $ 8,394,102 $ 5,615,884

5 Recovery analysis

Loans

(5)

$ 100

Recovery analysis

Recovery rate 0.57 % 100.00 % 64.78 %

54 Cash flow Price $ 2 $ 54 $ 27

Price-based

Cost of capital 0.10 % 100.00 % 54.84 %

66 Price-based Price

$ 17,521,218

$ 43,646,426 $ 30,583,822

(1) The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.

(2) Some inputs are shown as zero due to rounding.

(3) Weighted averages are calculated based on the fair values of the instruments.

(4) Appraised values are disclosed in whole dollars.

(5) Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.

Nonrecurring Fair Value Changes

The following tables present total nonrecurring fair value

measurements for the period, included in earnings, attributable

to the change in fair value relating to assets that were still

held:

Year ended

December 31,

In millions of dollars

2020

Loans HFS $ (91)

Other real estate owned (1)

Loans

(1)

(137)

Non-marketable equity securities measured

using the measurement alternative 70

Total nonrecurring fair value gains (losses) $ (159)

Year ended

December 31,

In millions of dollars

2019

Loans HFS $ —

Other real estate owned (1)

Loans

(1)

(56)

Non-marketable equity securities measured

using the measurement alternative 99

Total nonrecurring fair value gains (losses) $ 42

(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.

276

Estimated Fair Value of Financial Instruments Not

Carried at Fair Value

The following tables present the carrying value and fair value

of Citigroup’s financial instruments that are not carried at fair

value. The tables below therefore exclude items measured at

fair value on a recurring basis presented in the tables above.

The disclosure also excludes leases, affiliate investments,

pension and benefit obligations, certain insurance contracts

and tax-related items. Also, as required, the disclosure

excludes the effect of taxes, any premium or discount that

could result from offering for sale at one time the entire

holdings of a particular instrument, excess fair value

associated with deposits with no fixed maturity and other

expenses that would be incurred in a market transaction. In

addition, the tables exclude the values of non-financial assets

and liabilities, as well as a wide range of franchise,

relationship and intangible values, which are integral to a full

assessment of Citigroup’s financial position and the value of

its net assets.

Fair values vary from period to period based on changes

in a wide range of factors, including interest rates, credit

quality and market perceptions of value, and as existing assets

and liabilities run off and new transactions are entered into.

December 31, 2020 Estimated fair value

Carrying

value

Estimated

fair value

In billions of dollars

Level 1 Level 2 Level 3

Assets

Investments $ 110.3 $ 113.2 $ 23.3 $ 87.0 $ 2.9

Securities borrowed and purchased under agreements to resell 109.5 109.5 — 109.5 —

Loans

(1)(2)

643.3 663.9 — 0.6 663.3

Other financial assets

(2)(3)

383.2 383.2 291.5 18.1 73.6

Liabilities

Deposits $ 1,278.7 $ 1,278.8 $ — $ 1,093.3 $ 185.5

Securities loaned and sold under agreements to repurchase 139.3 139.3 — 139.3 —

Long-term debt

(4)

204.6 221.2 — 197.8 23.4

Other financial liabilities

(5)

102.4 102.4 — 19.2 83.2

December 31, 2019 Estimated fair value

Carrying

value

Estimated

fair value

In billions of dollars

Level 1 Level 2 Level 3

Assets

Investments $ 86.4 $ 87.8 $ 1.9 $ 83.8 $ 2.1

Securities borrowed and purchased under agreements to resell 98.1 98.1 — 98.1 —

Loans

(1)(2)

681.2 677.7 — 4.7 673.0

Other financial assets

(2)(3)

262.4 262.4 177.6 16.3 68.5

Liabilities

Deposits $ 1,068.3 $ 1,066.7 $ — $ 875.5 $ 191.2

Securities loaned and sold under agreements to repurchase 125.7 125.7 — 125.7 —

Long-term debt

(4)

193.0 203.8 — 187.3 16.5

Other financial liabilities

(5)

110.2 110.2 — 37.5 72.7

(1) The carrying value of loans is net of the Allowance for credit losses on loans of $25.0 billion for December 31, 2020 and $12.8 billion for December 31, 2019. In

addition, the carrying values exclude $0.7 billion and $1.4 billion of lease finance receivables at December 31, 2020 and 2019, 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.

277

(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 December 31, 2020 and

2019 were liabilities of $7.3 billion and $5.1 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 cancelable by providing notice to the borrower.

278

25. 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 24 to the

Consolidated Financial Statements.

The Company has elected fair value accounting for its

mortgage servicing rights (MSRs). See Note 21 to the

Consolidated Financial Statements for further discussions

regarding the accounting and reporting of MSRs.

The following table presents the changes in fair value of those items for which the fair value option has been elected:

Changes in fair value—gains (losses)

for the years ended December 31,

In millions of dollars

2020 2019

Assets

Securities borrowed and purchased under agreements to resell $ —

$ 6

Trading account assets (136)

Investments — —

Loans

Certain corporate loans

2,486

(222)

Certain consumer loans 1 —

Total loans $ 2,487 $ (222)

Other assets

MSRs $ (204) $ (84)

Certain mortgage loans HFS

(1)

299 91

Total other assets $ 95 $ 7

Total assets $ 2,446 $ (132)

Liabilities

Interest-bearing deposits $ (154) $ (205)

Securities loaned and sold under agreements to repurchase (559) 386

Trading account liabilities (1) 27

Short-term borrowings

(2)

802 (78)

Long-term debt

(2)

(2,700) (5,174)

Total liabilities $ (2,612) $ (5,044)

(1) Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected under the fair value option.

(2) Includes DVA that is included in AOCI. See Notes 19 and 24 to the Consolidated Financial Statements.

279

Own Debt Valuation Adjustments (DVA)

Own debt valuation adjustments are recognized on Citi’s

liabilities for which the fair value option has been elected

using Citi’s credit spreads observed in the bond market.

Changes in fair value of fair value option liabilities related to

changes in Citigroup’s own credit spreads (DVA) are reflected

as a component of AOCI. See Note 1 to the Consolidated

Financial Statements for additional information.

Among other variables, the fair value of liabilities for

which the fair value option has been elected (other than non-

recourse debt and similar liabilities) is impacted by the

narrowing or widening of the Company’s credit spreads.

The estimated changes in the fair value of these non-

derivative liabilities due to such changes in the Company’s

own credit spread (or instrument-specific credit risk) were a

loss of $616 million and a loss of $1,473 million for the years

ended December 31, 2020 and 2019, 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 Non-Collateralized Short-Term Borrowings

The Company elected the fair value option for certain

portfolios of fixed income securities purchased under

agreements to resell and fixed income securities sold under

agreements to repurchase, securities borrowed, securities

loaned and certain 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:

December 31, 2020 December 31, 2019

In millions of dollars

Trading assets Loans Trading assets Loans

Carrying amount reported on the Consolidated Balance Sheet $ 8,063 $ 6,854 $ 8,320 $ 4,086

Aggregate unpaid principal balance in excess of (less than) fair value (915) (14) 410 315

Balance of non-accrual loans or loans more than 90 days past due — 4 — 1

Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual

loans or loans more than 90 days past due — — — —

In addition to the amounts reported above, $1,068 million

and $1,062 million of unfunded commitments related to

certain credit products selected for fair value accounting were

outstanding as of December 31, 2020 and 2019, respectively.

280

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 years ended

December 31, 2020 and 2019 due to instrument-specific credit

risk totaled to a loss of $(16) million and a gain of $95 million,

respectively.

Certain Investments in Unallocated Precious Metals

Citigroup invests in unallocated precious metals accounts

(gold, silver, platinum and palladium) as part of its commodity

and foreign currency trading activities or to economically

hedge certain exposures from issuing structured liabilities.

Under ASC 815, the investment is bifurcated into a debt host

contract and a commodity forward derivative instrument.

Citigroup elects the fair value option for the debt host contract,

and reports the debt host contract within Trading account

assets on the Company’s Consolidated Balance Sheet. The

total carrying amount of debt host contracts across unallocated

precious metals accounts was approximately $0.5 billion and

$0.2 billion at December 31, 2020 and 2019, 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 December 31, 2020, there

were approximately $7.4 billion and $6.3 billion in 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

December 31,

2020

December 31,

2019

Carrying amount reported on the Consolidated Balance Sheet $ 1,742 $ 1,254

Aggregate fair value in excess of (less than) unpaid principal balance 91 (31)

Balance of non-accrual loans or loans more than 90 days past due — 1

Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days

past due — —

The changes in the fair values of these mortgage loans are

reported in Other revenue in the Company’s Consolidated

Statement of Income. There was no net change in fair value

during the years ended December 31, 2020 and 2019 due to

instrument-specific credit risk. Related interest income

continues to be measured based on the contractual interest

rates and reported as Interest revenue in the Consolidated

Statement of Income.

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Certain Structured Liabilities

The Company has elected the fair value option for certain

structured liabilities whose performance is linked to structured

interest rates, inflation, currency, equity, referenced credit or

commodity risks. The Company elected the fair value option

because these exposures are considered to be trading-related

positions and, therefore, are managed on a fair value basis.

These positions will continue to be classified as debt, deposits

or derivatives (Trading account liabilities) on the Company’s

Consolidated Balance Sheet according to their legal form.

The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative

instrument:

In billions of dollars

December 31, 2020 December 31, 2019

Interest rate linked $ 16.0 $ 22.6

Foreign exchange linked 1.2 0.7

Equity linked 27.3 23.7

Commodity linked 1.4 1.8

Credit linked 2.6 0.9

Total $ 48.5 $ 49.7

The portion of the changes in fair value attributable to

changes in Citigroup’s own credit spreads (DVA) is reflected

as a component of AOCI while all other changes in fair value

are reported in Principal transactions. Changes in the fair

value of these structured liabilities include accrued interest,

which is also included in the change in fair value reported in

Principal transactions.

Certain Non-Structured Liabilities

The Company has elected the fair value option for certain non-

structured liabilities with fixed and floating interest rates. The

Company has elected the fair value option where the interest

rate risk of such liabilities may be economically hedged with

derivative contracts or the proceeds are used to purchase

financial assets that will also be accounted for at fair value

through earnings. The elections have been made to mitigate

accounting mismatches and to achieve operational

simplifications. These positions are reported in Short-term

borrowings and Long-term debt on the Company’s

Consolidated Balance Sheet. The portion of the changes in fair

value attributable to changes in Citigroup’s own credit spreads

(DVA) is reflected as a component of AOCI while all other

changes in fair value are reported in Principal transactions.

Interest expense on non-structured liabilities is measured

based on the contractual interest rates and reported as Interest

expense in the Consolidated Statement of Income.

The following table provides information about long-term debt carried at fair value:

In millions of dollars

December 31, 2020 December 31, 2019

Carrying amount reported on the Consolidated Balance Sheet $ 67,063 $ 55,783

Aggregate unpaid principal balance in excess of (less than) fair value (5,130) (2,967)

The following table provides information about short-term borrowings carried at fair value:

In millions of dollars

December 31, 2020 December 31, 2019

Carrying amount reported on the Consolidated Balance Sheet $ 4,683 $ 4,946

Aggregate unpaid principal balance in excess of (less than) fair value 68 1,411

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26. PLEDGED ASSETS, COLLATERAL,

GUARANTEES AND COMMITMENTS

Pledged Assets

In connection with Citi’s financing and trading activities, Citi

has pledged assets to collateralize its obligations under

repurchase agreements, secured financing agreements, secured

liabilities of consolidated VIEs and other borrowings. The

approximate carrying values of the significant components of

pledged assets recognized on Citi’s Consolidated Balance

Sheet included the following:

In millions of dollars

December 31,

2020

December 31,

2019

Investment securities $ 231,696 $ 152,352

Loans 239,699 236,033

Trading account assets 174,717 131,392

Total $ 646,112 $ 519,777

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

December 31,

2020

December 31,

2019

Cash and due from banks $ 3,774 $ 3,758

Deposits with banks, net of

allowance 14,203 26,493

Total $ 17,977 $ 30,251

In addition, included in Cash and due from banks and

Deposits with banks at December 31, 2020 and 2019 were

$9.4 billion and $8.5 billion, respectively, of cash segregated

under federal and other brokerage regulations or deposited

with clearing organizations.

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. This resulted in a decrease in Citigroup’s

restricted cash amount at December 31, 2020.

Collateral

At December 31, 2020 and 2019, the approximate fair value of

collateral received by Citi that may be resold or repledged,

excluding the impact of allowable netting, was $671.6 billion

and $569.8 billion, respectively. This collateral was received

in connection with resale agreements, securities borrowings

and loans, securities for securities lending transactions,

derivative transactions and margined broker loans.

At December 31, 2020 and 2019, a substantial portion of

the collateral received by Citi had been sold or repledged in

connection with repurchase agreements, securities sold, not

yet purchased, securities lendings, pledges to clearing

organizations, segregation requirements under securities laws

and regulations, derivative transactions and bank loans.

In addition, at December 31, 2020 and 2019, Citi had

pledged $470.7 billion and $388.9 billion, respectively, of

collateral that may not be sold or repledged by the secured

parties.

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 may contain renewal

and extension options and early termination features.

However, these options do not impact the lease term unless the

Company is reasonably certain that it will exercise the options.

These leases have a weighted-average remaining lease term of

approximately six years as of December 31, 2020 and 2019.

The operating lease ROU asset was $2.8 billion and

$3.1 billion, as of December 31, 2020 and 2019, respectively.

The operating lease ROU liability was $3.1 billion and

$3.3 billion, as of December 31, 2020 and 2019, respectively.

The Company recognizes fixed lease costs on a straight-line

basis throughout the lease term in the Consolidated Statement

of Income. In addition, variable lease costs are recognized in

the period in which the obligation for those payments is

incurred. The total operating lease expense (principally for

offices, branches and equipment), net of $27 million and

$56 million of sublease income, was $1,054 million and

$1,084 million for the years ended December 31, 2020 and

2019, respectively. During 2019, Citi purchased a previously

leased property in London. The purchased property is included

in Other assets on the Consolidated Balance Sheet at both

December 31, 2020 and 2019.

The table below provides the Cash Flow Statement

Supplemental Information:

In millions of dollars

December 31,

2020

December 31,

2019

Cash paid for amounts included

in the measurement of lease

liabilities $ 814 $ 942

Right-of-use assets obtained in

exchange for new operating

lease liabilities

(1)(2)

447 499

(1) Represents non-cash activity and, accordingly, is not reflected in the

Consolidated Statement of Cash Flow.

(2) Excludes the decrease in the right-of-use assets related to the purchase of

a previously leased property.

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Citi’s future lease payments are as follows:

In millions of dollars

2021 $ 791

2022 663

2023 518

2024 399

2025 307

Thereafter 766

Total future lease payments $ 3,444

Less imputed interest (based on weighted-average

discount rate of 3.6%) $ (356)

Lease liability $ 3,088

Operating lease expense was $1.0 billion for the year

ended December 31, 2018.

Guarantees

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.

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The following tables present information about Citi’s guarantees:

Maximum potential amount of future payments

In billions of dollars at December 31, 2020

Expire within

1 year

Expire after

1 year

Total amount

outstanding

Carrying value

(in millions of dollars)

Financial standby letters of credit $ 25.3 $ 68.4 $ 93.7 $ 1,407

Performance guarantees 7.3 6.0 13.3 72

Derivative instruments considered to be guarantees 20.0 60.9 80.9 671

Loans sold with recourse — 1.2 1.2 9

Securities lending indemnifications

(1)

112.2 — 112.2 —

Credit card merchant processing

(1)(2)

101.9 — 101.9 3

Credit card arrangements with partners 0.2 0.8 1.0 7

Custody indemnifications and other — 37.3 37.3 35

Total $ 266.9 $ 174.6 $ 441.5 $ 2,204

Maximum potential amount of future payments

In billions of dollars at December 31, 2019

Expire within

1 year

Expire after

1 year

Total amount

outstanding

Carrying value

(in millions of dollars)

Financial standby letters of credit $ 31.9 $ 61.4 $ 93.3 $ 581

Performance guarantees 6.9 5.5 12.4 36

Derivative instruments considered to be guarantees 35.2 60.8 96.0 474

Loans sold with recourse — 1.2 1.2 7

Securities lending indemnifications

(1)

87.8 — 87.8 —

Credit card merchant processing

(1)(2)

91.6 — 91.6 —

Credit card arrangements with partners 0.2 0.4 0.6 23

Custody indemnifications and other — 33.7 33.7 41

Total $ 253.6 $ 163.0 $ 416.6 $ 1,162

(1) The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of

potential liabilities arising from these guarantees is minimal.

(2) At December 31, 2020 and 2019, this maximum potential exposure was estimated to be $102 billion and $92 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.

Financial Standby Letters of Credit

Citi issues standby letters of credit, which substitute its own

credit for that of the borrower. If a letter of credit is drawn

down, the borrower is obligated to repay Citi. Standby letters

of credit protect a third party from defaults on contractual

obligations. Financial standby letters of credit include

(i) guarantees of payment of insurance premiums and

reinsurance risks that support industrial revenue bond

underwriting, (ii) settlement of payment obligations to clearing

houses, including futures and over-the-counter derivatives

clearing (see further discussion below), (iii) support options

and purchases of securities in lieu of escrow deposit accounts

and (iv) letters of credit that backstop loans, credit facilities,

promissory notes and trade acceptances.

Performance Guarantees

Performance guarantees and letters of credit are issued to

guarantee a customer’s tender bid on a construction or

systems-installation project or to guarantee completion of such

projects in accordance with contract terms. They are also

issued to support a customer’s obligation to supply specified

products, commodities or maintenance or warranty services to

a third party.

Derivative Instruments Considered to Be Guarantees

Derivatives are financial instruments whose cash flows are

based on a notional amount and an underlying instrument,

reference credit or index, where there is little or no initial

investment, and whose terms require or permit net settlement.

For a discussion of Citi’s derivatives activities, see Note 22 to

the Consolidated Financial Statements.

Derivative instruments considered to be guarantees

include only those instruments that require Citi to make

payments to the counterparty based on changes in an

underlying instrument that is related to an asset, a liability or

an equity security held by the guaranteed party. More

specifically, derivative instruments considered to be

guarantees include certain over-the-counter written put options

285

where the counterparty is not a bank, hedge fund or broker-

dealer (such counterparties are considered to be dealers in

these markets and may, therefore, not hold the underlying

instruments). Credit derivatives sold by Citi are excluded from

the tables above as they are disclosed separately in Note 22 to

the Consolidated Financial Statements. In instances where

Citi’s maximum potential future payment is unlimited, the

notional amount of the contract is disclosed.

Loans Sold with Recourse

Loans sold with recourse represent Citi’s obligations to

reimburse the buyers for loan losses under certain

circumstances. Recourse refers to the clause in a sales

agreement under which a seller/lender will fully reimburse the

buyer/investor for any losses resulting from the purchased

loans. This may be accomplished by the seller’s 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 $31 million and $37 million at December 31,

2020 and 2019, respectively, and these amounts are included

in Other liabilities on the Consolidated Balance Sheet.

Securities Lending Indemnifications

Owners of securities frequently lend those securities for a fee

to other parties who may sell them short or deliver them to

another party to satisfy some other obligation. Banks may

administer such securities lending programs for their clients.

Securities lending indemnifications are issued by the bank to

guarantee that a securities lending customer will be made

whole in the event that the security borrower does not return

the security subject to the lending agreement and collateral

held is insufficient to cover the market value of the security.

Credit Card Merchant Processing

Credit card merchant processing guarantees represent the

Company’s indirect obligations in connection with

(i) providing transaction processing services to various

merchants with respect to its private label cards and

(ii) potential liability for bank card transaction processing

services. The nature of the liability in either case arises as a

result of a billing dispute between a merchant and a cardholder

that is ultimately resolved in the cardholder’s favor. The

merchant is liable to refund the amount to the cardholder. In

general, if the credit card processing company is unable to

collect this amount from the merchant, the credit card

processing company bears the loss for the amount of the credit

or refund paid to the cardholder.

With regard to (i) above, Citi has the primary contingent

liability with respect to its portfolio of private label merchants.

The risk of loss is mitigated as the cash flows between Citi and

the merchant are settled on a net basis, and Citi has the right to

offset any payments with cash flows otherwise due to the

merchant. To further mitigate this risk, Citi may delay

settlement, require a merchant to make an escrow deposit,

include event triggers to provide Citi with more financial and

operational control in the event of the financial deterioration

of the merchant or require various credit enhancements

(including letters of credit and bank guarantees). In the

unlikely event that a private label merchant is unable to deliver

products, services or a refund to its private label cardholders,

Citi is contingently liable to credit or refund cardholders.

With regard to (ii) above, Citi has a potential liability for

bank card transactions where Citi provides the transaction

processing services as well as those where a third party

provides the services and Citi acts as a secondary guarantor,

should that processor fail to perform.

Citi’s maximum potential contingent liability related to

both bank card and private label merchant processing services

is estimated to be the total volume of credit card transactions

that meet the requirements to be valid charge-back

transactions at any given time. At December 31, 2020 and

2019, this maximum potential exposure was estimated to be

$101.9 billion and $91.6 billion, respectively.

However, Citi believes that the maximum exposure is not

representative of the actual potential loss exposure based on its

historical experience. This contingent liability is unlikely to

arise, as most products and services are delivered when

purchased and amounts are refunded when items are returned

to merchants. Citi assesses the probability and amount of its

contingent liability related to merchant processing based on

the financial strength of the primary guarantor, the extent and

nature of unresolved charge-backs and its historical loss

experience. At December 31, 2020 and 2019, the losses

incurred and the carrying amounts of Citi’s contingent

obligations related to merchant processing activities were

immaterial.

Credit Card Arrangements with Partners

Citi, in one of its credit card partner arrangements, provides

guarantees to the partner regarding the volume of certain

customer originations during the term of the agreement. To the

extent that such origination targets are not met, the guarantees

serve to compensate the partner for certain payments that

otherwise would have been generated in connection with such

originations.

Custody Indemnifications

Custody indemnifications are issued to guarantee that custody

clients will be made whole in the event that a third-party

subcustodian or depository institution fails to safeguard

clients’ assets.

286

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 December 31, 2020 and 2019, the actual and estimated

losses incurred and the carrying value of Citi’s obligations

related to these programs were immaterial.

Other Representation and Warranty Indemnifications

In the normal course of business, Citi provides standard

representations and warranties to counterparties in contracts in

connection with numerous transactions and also provides

indemnifications, including indemnifications that protect the

counterparties to the contracts in the event that additional

taxes are owed, due either to a change in the tax law or an

adverse interpretation of the tax law. Counterparties to these

transactions provide Citi with comparable indemnifications.

While such representations, warranties and indemnifications

are essential components of many contractual relationships,

they do not represent the underlying business purpose for the

transactions. The indemnification clauses are often standard

contractual terms related to Citi’s own performance under the

terms of a contract and are entered into in the normal course of

business based on an assessment that the risk of loss is remote.

Often these clauses are intended to ensure that terms of a

contract are met at inception. No compensation is received for

these standard representations and warranties, and it is not

possible to determine their fair value because they rarely, if

ever, result in a payment. In many cases, there are no stated or

notional amounts included in the indemnification clauses, and

the contingencies potentially triggering the obligation to

indemnify have not occurred and are not expected to occur. As

a result, these indemnifications are not included in the tables

above.

Value-Transfer Networks (Including Exchanges and Clearing

Houses) (VTNs)

Citi is a member of, or shareholder in, hundreds of value-

transfer networks (VTNs) (payment, clearing and settlement

systems as well as exchanges) around the world. As a

condition of membership, many of these VTNs require that

members stand ready to pay a pro rata share of the losses

incurred by the organization due to another member’s default

on its obligations. Citi’s potential obligations may be limited

to its membership interests in the VTNs, contributions to the

VTN’s funds, or, in certain narrow cases, to the full pro rata

share. The maximum exposure is difficult to estimate as this

would require an assessment of claims that have not yet

occurred; however, Citi believes the risk of loss is remote

given historical experience with the VTNs. Accordingly, Citi’s

participation in VTNs is not reported in the guarantees tables

above, and there are no amounts reflected on the Consolidated

Balance Sheet as of December 31, 2020 or 2019 for potential

obligations that could arise from Citi’s involvement with VTN

associations.

Long-Term Care Insurance Indemnification

In 2000, Travelers Life & Annuity (Travelers), then a

subsidiary of Citi, entered into a reinsurance agreement to

transfer the risks and rewards of its long-term care (LTC)

business to GE Life (now Genworth Financial Inc., or

Genworth), then a subsidiary of the General Electric Company

(GE). As part of this transaction, the reinsurance obligations

were provided by two regulated insurance subsidiaries of GE

Life, which funded two collateral trusts with securities.

Presently, as discussed below, the trusts are referred to as the

Genworth Trusts.

As part of GE’s spin-off of Genworth in 2004, GE

retained the risks and rewards associated with the 2000

Travelers reinsurance agreement by providing a reinsurance

contract to Genworth through GE’s Union Fidelity Life

Insurance Company (UFLIC) subsidiary that covers the

Travelers LTC policies. In addition, GE provided a capital

maintenance agreement in favor of UFLIC that is designed to

assure that UFLIC will have the funds to pay its reinsurance

obligations. As a result of these reinsurance agreements and

the spin-off of Genworth, Genworth has reinsurance protection

from UFLIC (supported by GE) and has reinsurance

obligations in connection with the Travelers LTC policies. As

noted below, the Genworth reinsurance obligations now

benefit Brighthouse Financial, Inc. (Brighthouse). While

neither Brighthouse nor Citi are direct beneficiaries of the

capital maintenance agreement between GE and UFLIC,

Brighthouse and Citi benefit indirectly from the existence of

the capital maintenance agreement, which helps assure that

UFLIC will continue to have funds necessary to pay its

reinsurance obligations to Genworth.

In connection with Citi’s 2005 sale of Travelers to

MetLife Inc. (MetLife), Citi provided an indemnification to

MetLife for losses (including policyholder claims) relating to

the LTC business for the entire term of the Travelers LTC

policies, which, as noted above, are reinsured by subsidiaries

of Genworth. In 2017, MetLife spun off its retail insurance

business to Brighthouse. As a result, the Travelers LTC

policies now reside with Brighthouse. The original reinsurance

agreement between Travelers (now Brighthouse) and

Genworth remains in place and Brighthouse is the sole

beneficiary of the Genworth Trusts. The Genworth Trusts are

designed to provide collateral to Brighthouse in an amount

equal to the statutory liabilities of Brighthouse in respect of

the Travelers LTC policies. The assets in the Genworth Trusts

are evaluated and adjusted periodically to ensure that the fair

value of the assets continues to provide collateral in an amount

equal to these estimated statutory liabilities, as the liabilities

change over time.

If both (i) Genworth fails to perform under the original

Travelers/GE Life reinsurance agreement for any reason,

287

including its insolvency or the failure of UFLIC to perform

under its reinsurance contract or GE to perform under the

capital maintenance agreement, and (ii) the assets of the two

Genworth Trusts are insufficient or unavailable, then Citi,

through its LTC reinsurance indemnification, must reimburse

Brighthouse for any losses incurred in connection with the

LTC policies. Since both events would have to occur before

Citi would become responsible for any payment to

Brighthouse pursuant to its indemnification obligation, and the

likelihood of such events occurring is currently not probable,

there is no liability reflected on the Consolidated Balance

Sheet as of December 31, 2020 and 2019 related to this

indemnification. However, if both events become reasonably

possible (meaning more than remote but less than probable),

Citi will be required to estimate and disclose a reasonably

possible loss or range of loss to the extent that such an

estimate could be made. In addition, if both events become

probable, Citi will be required to accrue for such liability in

accordance with applicable accounting principles.

Citi continues to closely monitor its potential exposure

under this indemnification obligation, given GE’s 2018 LTC

and other charges and the September 2019 AM Best credit

ratings downgrade for the Genworth subsidiaries.

Separately, Genworth announced that it had agreed to be

purchased by China Oceanwide Holdings Co., Ltd, subject to a

series of conditions and regulatory approvals. Citi is

monitoring these developments.

Futures and Over-the-Counter Derivatives Clearing

Citi provides clearing services on central clearing parties

(CCPs) 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 22 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

through to the client all interest paid by the CCP or depository

institutions on the cash initial margin, (ii) Citi will not utilize

its right as a clearing member to transform cash margin into

other assets, (iii) Citi does not guarantee and is not liable to

the client for the performance of the CCP or the depository

institution and (iv) the client cash balances are legally isolated

from Citi’s bankruptcy estate. The total amount of cash initial

margin collected and remitted in this manner was

approximately $16.6 billion and $13.3 billion as of

December 31, 2020 and 2019, respectively.

Variation margin due from clients to the respective CCP,

or from the CCP to clients, reflects changes in the value of the

client’s derivative contracts for each trading day. As a clearing

member, Citi is exposed to the risk of non-performance by

clients (e.g., failure of a client to post variation margin to the

CCP for negative changes in the value of the client’s

derivative contracts). In the event of non-performance by a

client, Citi would move to close out the client’s positions. The

CCP would typically utilize initial margin posted by the client

and held by the CCP, with any remaining shortfalls required to

be paid by Citi as clearing member. Citi generally holds

incremental cash or securities margin posted by the client,

which would typically be expected to be sufficient to mitigate

Citi’s credit risk in the event that the client fails to perform.

As required by ASC 860-30-25-5, securities collateral

posted by clients is not recognized on Citi’s Consolidated

Balance Sheet.

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Carrying Value—Guarantees and Indemnifications

At December 31, 2020 and 2019, the total carrying amounts of

the liabilities related to the guarantees and indemnifications

included in the tables above amounted to approximately $2.2

billion and $1.2 billion, respectively. The carrying value of

financial and performance guarantees is included in Other

liabilities. For loans sold with recourse, the carrying value of

the liability is included in Other liabilities.

Collateral

Cash collateral available to Citi to reimburse losses realized

under these guarantees and indemnifications amounted to

$51.6 billion and $46.7 billion at December 31, 2020 and

2019, respectively. Securities and other marketable assets held

as collateral amounted to $80.1 billion and $58.6 billion at

December 31, 2020 and 2019, 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 $6.6 billion and

$4.4 billion at December 31, 2020 and 2019, respectively.

Other property may also be available to Citi to cover losses

under certain guarantees and indemnifications; however, the

value of such property has not been determined.

Performance Risk

Citi evaluates the performance risk of its guarantees based on

the assigned referenced counterparty internal or external

ratings. Where external ratings are used, investment-grade

ratings are considered to be Baa/BBB and above, while

anything below is considered non-investment grade. Citi’s

internal ratings are in line with the related external rating

system. On certain underlying referenced assets or entities,

ratings are not available. Such referenced assets are included

in the “not rated” category. The maximum potential amount of

the future payments related to the outstanding guarantees is

determined to be the notional amount of these contracts, which

is the par amount of the assets guaranteed.

Presented in the tables below are the maximum potential

amounts of future payments that are classified based on

internal and external credit ratings. The determination of the

maximum potential future payments is based on the notional

amount of the guarantees without consideration of possible

recoveries under recourse provisions or from collateral held or

pledged. As such, Citi believes such amounts bear no

relationship to the anticipated losses, if any, on these

guarantees.

Maximum potential amount of future payments

In billions of dollars at December 31, 2020

Investment

grade

Non-

investment

grade

Not

rated Total

Financial standby letters of credit $ 78.5 $ 14.6 $ 0.6 $ 93.7

Performance guarantees 9.8 3.0 0.5 13.3

Derivative instruments deemed to be guarantees — — 80.9 80.9

Loans sold with recourse — — 1.2 1.2

Securities lending indemnifications — — 112.2 112.2

Credit card merchant processing — — 101.9 101.9

Credit card arrangements with partners — — 1.0 1.0

Custody indemnifications and other 24.9 12.4 — 37.3

Total $ 113.2 $ 30.0 $ 298.3 $ 441.5

Maximum potential amount of future payments

In billions of dollars at December 31, 2019

Investment

grade

Non-

investment

grade

Not

rated Total

Financial standby letters of credit $ 81.2 $ 11.6 $ 0.5 $ 93.3

Performance guarantees 9.7 2.3 0.4 12.4

Derivative instruments deemed to be guarantees — — 96.0 96.0

Loans sold with recourse — — 1.2 1.2

Securities lending indemnifications — — 87.8 87.8

Credit card merchant processing — — 91.6 91.6

Credit card arrangements with partners — — 0.6 0.6

Custody indemnifications and other 21.3 12.4 — 33.7

Total $ 112.2 $ 26.3 $ 278.1 $ 416.6

289

Credit Commitments and Lines of Credit

The table below summarizes Citigroup’s credit commitments:

In millions of dollars

U.S.

Outside of

U.S.

December 31,

2020

December 31,

2019

Commercial and similar letters of credit $ 658 $ 4,563 $ 5,221 $ 4,533

One- to four-family residential mortgages 2,654 2,348 5,002 3,721

Revolving open-end loans secured by one- to four-family residential properties 8,326 1,300 9,626 10,799

Commercial real estate, construction and land development 11,256 1,611 12,867 12,981

Credit card lines 606,768 103,631 710,399 708,023

Commercial and other consumer loan commitments 201,969 120,489 322,458 324,359

Other commitments and contingencies 5,177 538 5,715 1,948

Total $ 836,808 $ 234,480 $ 1,071,288 $ 1,066,364

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.

Commercial and Similar Letters of Credit

A commercial letter of credit is an instrument by which

Citigroup substitutes its credit for that of a customer to enable

the customer to finance the purchase of goods or to incur other

commitments. Citigroup issues a letter on behalf of its client to

a supplier and agrees to pay the supplier upon presentation of

documentary evidence that the supplier has performed in

accordance with the terms of the letter of credit. When a letter

of credit is drawn, the customer is then required to reimburse

Citigroup.

One- to Four-Family Residential Mortgages

A one- to four-family residential mortgage commitment is a

written confirmation from Citigroup to a seller of a property

that the bank will advance the specified sums enabling the

buyer to complete the purchase.

Revolving Open-End Loans Secured by One- to Four-Family

Residential Properties

Revolving open-end loans secured by one- to four-family

residential properties are essentially home equity lines of

credit. A home equity line of credit is a loan secured by a

primary residence or second home to the extent of the excess

of fair market value over the debt outstanding for the first

mortgage.

Commercial Real Estate, Construction and Land

Development

Commercial real estate, construction and land development

include unused portions of commitments to extend credit for

the purpose of financing commercial and multifamily

residential properties as well as land development projects.

Both secured-by-real-estate and unsecured commitments

are included in this line, as well as undistributed loan

proceeds, where there is an obligation to advance for

construction progress payments. However, this line only

includes those extensions of credit that, once funded, will be

classified as Total loans, net on the Consolidated Balance

Sheet.

Credit Card Lines

Citigroup provides credit to customers by issuing credit cards.

The credit card lines are cancelable by providing notice to the

cardholder or without such notice as permitted by local law.

Commercial and Other Consumer Loan Commitments

Commercial and other consumer loan commitments include

overdraft and liquidity facilities as well as commercial

commitments to make or purchase loans, purchase third-party

receivables, provide note issuance or revolving underwriting

facilities and invest in the form of equity.

Other Commitments 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 December 31, 2020 and 2019,

Citigroup had approximately $71.8 billion and $34.0 billion in

unsettled reverse repurchase and securities borrowing

agreements, and $62.5 billion and $38.7 billion in unsettled

repurchase and securities lending agreements, respectively.

For a further discussion of securities purchased under

agreements to resell and securities borrowed, and securities

sold under agreements to repurchase and securities loaned,

including the Company’s policy for offsetting repurchase and

reverse repurchase agreements, see Note 11 to the

Consolidated Financial Statements.

290

27. CONTINGENCIES

Accounting and Disclosure Framework

ASC 450 governs the disclosure and recognition of loss

contingencies, including potential losses from litigation,

regulatory, tax and other matters. ASC 450 defines a “loss

contingency” as “an existing condition, situation, or set of

circumstances involving uncertainty as to possible loss to an

entity that will ultimately be resolved when one or more future

events occur or fail to occur.” It imposes different

requirements for the recognition and disclosure of loss

contingencies based on the likelihood of occurrence of the

contingent future event or events. It distinguishes among

degrees of likelihood using the following three terms:

“probable,” meaning that “the future event or events are likely

to occur”; “remote,” meaning that “the chance of the future

event or events occurring is slight”; and “reasonably possible,”

meaning that “the chance of the future event or events

occurring is more than remote but less than likely.” These

three terms are used below as defined in ASC 450.

Accruals. ASC 450 requires accrual for a loss contingency

when it is “probable that one or more future events will occur

confirming the fact of loss” and “the amount of the loss can be

reasonably estimated.” In accordance with ASC 450,

Citigroup establishes accruals for contingencies, including the

litigation, regulatory and tax matters disclosed herein, when

Citigroup believes it is probable that a loss has been incurred

and the amount of the loss can be reasonably estimated. When

the reasonable estimate of the loss is within a range of

amounts, the minimum amount of the range is accrued, unless

some higher amount within the range is a better estimate than

any other amount within the range. Once established, accruals

are adjusted from time to time, as appropriate, in light of

additional information. The amount of loss ultimately incurred

in relation to those matters may be substantially higher or

lower than the amounts accrued for those matters.

Disclosure. ASC 450 requires disclosure of a loss

contingency if “there is at least a reasonable possibility that a

loss or an additional loss may have been incurred” and there is

no accrual for the loss because the conditions described above

are not met or an exposure to loss exists in excess of the

amount accrued. In accordance with ASC 450, if Citigroup has

not accrued for a matter because Citigroup believes that a loss

is reasonably possible but not probable, or that a loss is

probable but not reasonably estimable, and the reasonably

possible loss is material, it discloses the loss contingency. In

addition, Citigroup discloses matters for which it has accrued

if it believes a reasonably possible exposure to material loss

exists in excess of the amount accrued. In accordance with

ASC 450, Citigroup’s disclosure includes an estimate of the

reasonably possible loss or range of loss for those matters as to

which an estimate can be made. ASC 450 does not require

disclosure of an estimate of the reasonably possible loss or

range of loss where an estimate cannot be made. Neither

accrual nor disclosure is required for losses that are deemed

remote.

Litigation, Regulatory and Other Contingencies

Overview. In addition to the matters described below, in the

ordinary course of business, Citigroup, its affiliates and

subsidiaries, and current and former officers, directors and

employees (for purposes of this section, sometimes

collectively referred to as Citigroup and Related Parties)

routinely are named as defendants in, or as parties to, various

legal actions and proceedings. Certain of these actions and

proceedings assert claims or seek relief in connection with

alleged violations of consumer protection, fair lending,

securities, banking, antifraud, antitrust, anti-money laundering,

employment and other statutory and common laws. Certain of

these actual or threatened legal actions and proceedings

include claims for substantial or indeterminate compensatory

or punitive damages, or for injunctive relief, and in some

instances seek recovery on a class-wide basis.

In the ordinary course of business, Citigroup and Related

Parties also are subject to governmental and regulatory

examinations, information-gathering requests, investigations

and proceedings (both formal and informal), certain of which

may result in adverse judgments, settlements, fines, penalties,

restitution, disgorgement, injunctions or other relief. In

addition, certain affiliates and subsidiaries of Citigroup are

banks, registered broker-dealers, futures commission

merchants, investment advisors or other regulated entities and,

in those capacities, are subject to regulation by various U.S.,

state and foreign securities, banking, commodity futures,

consumer protection and other regulators. In connection with

formal and informal inquiries by these regulators, Citigroup

and such affiliates and subsidiaries receive numerous requests,

subpoenas and orders seeking documents, testimony and other

information in connection with various aspects of their

regulated activities. From time to time Citigroup and Related

Parties also receive grand jury subpoenas and other requests

for information or assistance, formal or informal, from federal

or state law enforcement agencies including, among others,

various United States Attorneys’ Offices, the Asset Forfeiture

and Money Laundering Section and other divisions of the

Department of Justice, the Financial Crimes Enforcement

Network of the United States Department of the Treasury, and

the Federal Bureau of Investigation relating to Citigroup and

its customers.

Because of the global scope of Citigroup’s operations, and

its presence in countries around the world, Citigroup and

Related Parties are subject to litigation and governmental and

regulatory examinations, information-gathering requests,

investigations and proceedings (both formal and informal) in

multiple jurisdictions with legal, regulatory and tax regimes

that may differ substantially, and present substantially

different risks, from those Citigroup and Related Parties are

subject to in the United States. In some instances, Citigroup

and Related Parties may be involved in proceedings involving

the same subject matter in multiple jurisdictions, which may

result in overlapping, cumulative or inconsistent outcomes.

Citigroup seeks to resolve all litigation, regulatory, tax

and other matters in the manner management believes is in the

best interests of Citigroup and its shareholders, and contests

liability, allegations of wrongdoing and, where applicable, the

amount of damages or scope of any penalties or other relief

sought as appropriate in each pending matter.

291

Inherent Uncertainty of the Matters Disclosed. Certain of

the matters disclosed below involve claims for substantial or

indeterminate damages. The claims asserted in these matters

typically are broad, often spanning a multiyear period and

sometimes a wide range of business activities, and the

plaintiffs’ or claimants’ alleged damages frequently are not

quantified or factually supported in the complaint or statement

of claim. Other matters relate to regulatory investigations or

proceedings, as to which there may be no objective basis for

quantifying the range of potential fine, penalty or other

remedy. As a result, Citigroup is often unable to estimate the

loss in such matters, even if it believes that a loss is probable

or reasonably possible, until developments in the case,

proceeding or investigation have yielded additional

information sufficient to support a quantitative assessment of

the range of reasonably possible loss. Such developments may

include, among other things, discovery from adverse parties or

third parties, rulings by the court on key issues, analysis by

retained experts and engagement in settlement negotiations.

Depending on a range of factors, such as the complexity of the

facts, the novelty of the legal theories, the pace of discovery,

the court’s scheduling order, the timing of court decisions and

the adverse party’s, regulator’s or other authority’s willingness

to negotiate in good faith toward a resolution, it may be

months or years after the filing of a case or commencement of

a proceeding or an investigation before an estimate of the

range of reasonably possible loss can be made.

Matters as to Which an Estimate Can Be Made. For some

of the matters disclosed below, Citigroup is currently able to

estimate a reasonably possible loss or range of loss in excess

of amounts accrued (if any). For some of the matters included

within this estimation, an accrual has been made because a

loss is believed to be both probable and reasonably estimable,

but an exposure to loss exists in excess of the amount accrued.

In these cases, the estimate reflects the reasonably possible

range of loss in excess of the accrued amount. For other

matters included within this estimation, no accrual has been

made because a loss, although estimable, is believed to be

reasonably possible, but not probable; in these cases, the

estimate reflects the reasonably possible loss or range of loss.

As of December 31, 2020, Citigroup estimates that the

reasonably possible unaccrued loss for these matters ranges up

to approximately $1.4 billion in the aggregate.

These estimates are based on currently available

information. As available information changes, the matters for

which Citigroup is able to estimate will change, and the

estimates themselves will change. In addition, while many

estimates presented in financial statements and other financial

disclosures involve significant judgment and may be subject to

significant uncertainty, estimates of the range of reasonably

possible loss arising from litigation, regulatory and tax

proceedings are subject to particular uncertainties. For

example, at the time of making an estimate, (i) Citigroup may

have only preliminary, incomplete, or inaccurate information

about the facts underlying the claim, (ii) its assumptions about

the future rulings of the court, other tribunal or authority on

significant issues, or the behavior and incentives of adverse

parties, regulators or other authorities, may prove to be wrong

and (iii) the outcomes it is attempting to predict are often not

amenable to the use of statistical or other quantitative

analytical tools. In addition, from time to time an outcome

may occur that Citigroup had not accounted for in its estimate

because it had deemed such an outcome to be remote. For all

of these reasons, the amount of loss in excess of accruals

ultimately incurred for the matters as to which an estimate has

been made could be substantially higher or lower than the

range of loss included in the estimate.

Matters as to Which an Estimate Cannot Be Made. For

other matters disclosed below, Citigroup is not currently able

to estimate the reasonably possible loss or range of loss. Many

of these matters remain in very preliminary stages (even in

some cases where a substantial period of time has passed since

the commencement of the matter), with few or no substantive

legal decisions by the court, tribunal or other authority

defining the scope of the claims, the class (if any) or the

potentially available damages or other exposure, and fact

discovery is still in progress or has not yet begun. In many of

these matters, Citigroup has not yet answered the complaint or

statement of claim or asserted its defenses, nor has it engaged

in any negotiations with the adverse party (whether a

regulator, taxing authority or a private party). For all these

reasons, Citigroup cannot at this time estimate the reasonably

possible loss or range of loss, if any, for these matters.

Opinion of Management as to Eventual Outcome. Subject

to the foregoing, it is the opinion of Citigroup’s management,

based on current knowledge and after taking into account its

current legal or other accruals, that the eventual outcome of all

matters described in this Note would not likely have a material

adverse effect on the consolidated financial condition of

Citigroup. Nonetheless, given the substantial or indeterminate

amounts sought in certain of these matters, and the inherent

unpredictability of such matters, an adverse outcome in certain

of these matters could, from time to time, have a material

adverse effect on Citigroup’s consolidated results of

operations or cash flows in particular quarterly or annual

periods.

ANZ Underwriting Matter

In 2018, the Australian Commonwealth Director of Public

Prosecutions (CDPP) filed charges against Citigroup Global

Markets Australia Pty Limited (CGMA) for alleged criminal

cartel offenses following a referral by the Australian

Competition and Consumer Commission. CDPP alleges that

the cartel conduct took place following an institutional share

placement by Australia and New Zealand Banking Group

Limited (ANZ) in August 2015, where CGMA acted as joint

underwriter and lead manager with other banks. CDPP also

charged other banks and individuals, including current and

former Citi employees. Separately, the Australian Securities

and Investments Commission is conducting an investigation,

and CGMA is cooperating with the investigation. Charges

relating to CGMA are captioned R v. CITIGROUP GLOBAL

MARKETS AUSTRALIA PTY LIMITED. The matter is

before the Federal Court in New South Wales, Australia.

Additional information concerning this action is publicly

available in court filings under the docket number NSD 1316 -

NSD 1324/2020.

292

Facilitation Trading Matters

Regulatory agencies in Asia Pacific countries and elsewhere

are conducting investigations or making inquiries regarding

Citigroup affiliates’ equity sales trading desks in connection

with facilitation trades, which are securities transactions in

which Citigroup trades fully or partially as principal. Citigroup

is cooperating with these investigations and inquiries.

Foreign Exchange Matters

Regulatory Actions: Government and regulatory agencies in

the U.S. and in other jurisdictions are conducting

investigations or making inquiries regarding Citigroup’s

foreign exchange business. Citigroup is cooperating with these

and related investigations and inquiries.

Antitrust and Other Litigation: In 2018, a number of

institutional investors who opted out of the previously

disclosed August 2018 final settlement filed an action against

Citigroup, Citibank, Citigroup Global Markets Inc. (CGMI)

and other defendants, captioned ALLIANZ GLOBAL

INVESTORS, ET AL. v. BANK OF AMERICA CORP., ET

AL., in the United States District Court for the Southern

District of New York. Plaintiffs allege that defendants

manipulated, and colluded to manipulate, the foreign exchange

markets. Plaintiffs assert claims under the Sherman Act and

unjust enrichment claims, and seek consequential and punitive

damages and other forms of relief. On July 28, 2020, plaintiffs

filed a third amended complaint. Additional information

concerning this action is publicly available in court filings

under the docket number 18 Civ. 10364 (S.D.N.Y.)

(Schofield, J.).

In 2018, a group of institutional investors issued a claim

against Citigroup, Citibank and other defendants, captioned

ALLIANZ GLOBAL INVESTORS GMBH AND OTHERS v.

BARCLAYS BANK PLC AND OTHERS, in the High Court

of Justice in London. Claimants allege that defendants

manipulated, and colluded to manipulate, the foreign exchange

market in violation of EU and U.K. competition laws.

Additional information concerning this action is publicly

available in court filings under the case number

CL-2018-000840.

In 2015, a putative class of consumers and businesses in

the U.S. who directly purchased supracompetitive foreign

currency at benchmark exchange rates filed an action against

Citigroup and other defendants, captioned NYPL v.

JPMORGAN CHASE & CO., ET AL., in the United States

District Court for the Northern District of California (later

transferred to the United States District Court for the Southern

District of New York). Subsequently, plaintiffs filed an

amended class action complaint against Citigroup, Citibank

and Citicorp as defendants. Plaintiffs allege that they suffered

losses as a result of defendants’ alleged manipulation of, and

collusion with respect to, the foreign exchange market.

Plaintiffs assert claims under federal and California antitrust

and consumer protection laws, and seek compensatory

damages, treble damages and declaratory and injunctive relief.

Additional information concerning this action is publicly

available in court filings under the docket numbers 15 Civ.

2290 (N.D. Cal.) (Chhabria, J.) and 15 Civ. 9300 (S.D.N.Y.)

(Schofield, J.).

In 2017, putative classes of indirect purchasers of certain

foreign exchange instruments filed an action against Citigroup,

Citibank, Citicorp, CGMI and other defendants, captioned

CONTANT, ET AL. v. BANK OF AMERICA CORP., ET

AL., in the United States District Court for the Southern

District of New York. Plaintiffs allege that defendants

engaged in a conspiracy to fix currency prices. Plaintiffs assert

claims under the Sherman Act and various state antitrust laws,

and seek compensatory damages and treble damages. On

November 19, 2020, the court granted final approval of a

settlement between plaintiffs and Citigroup, Citibank, Citicorp

and CGMI. Additional information concerning this action is

publicly available in court filings under the docket number 17

Civ. 3139 (S.D.N.Y.) (Schofield, J.).

In 2019, an application, captioned MICHAEL

O’HIGGINS FX CLASS REPRESENTATIVE LIMITED v.

BARCLAYS BANK PLC AND OTHERS, was made to the

U.K.’s Competition Appeal Tribunal requesting permission to

commence collective proceedings against Citigroup, Citibank

and other defendants. The application seeks compensatory

damages for losses alleged to have arisen from the actions at

issue in the European Commission’s foreign exchange spot

trading infringement decision (European Commission

Decision of May 16, 2019 in Case AT.40135-FOREX (Three

Way Banana Split) C(2019) 3631 final). Additional

information concerning this action is publicly available in

court filings under the case number 1329/7/7/19.

In 2019, an application, captioned PHILLIP EVANS v.

BARCLAYS BANK PLC AND OTHERS, was made to the

U.K.’s Competition Appeal Tribunal requesting permission to

commence collective proceedings against Citigroup, Citibank

and other defendants. The application seeks compensatory

damages similar to those in the Michael O’Higgins FX Class

Representative Limited application. Additional information

concerning this action is publicly available in court filings

under the case number 1336/7/7/19.

In 2019, a putative class action was filed against Citibank

and other defendants, captioned J WISBEY & ASSOCIATES

PTY LTD v. UBS AG & ORS, in the Federal Court of

Australia. Plaintiffs allege that defendants manipulated the

foreign exchange markets. Plaintiffs assert claims under

antitrust laws, and seek compensatory damages and

declaratory and injunctive relief. Additional information

concerning this action is publicly available in court filings

under the docket number VID567/2019.

In 2019, two motions for certification of class actions

filed against Citigroup, Citibank and Citicorp and other

defendants were consolidated, under the caption GERTLER,

ET AL. v. DEUTSCHE BANK AG, in the Tel Aviv Central

District Court in Israel. Plaintiffs allege that defendants

manipulated the foreign exchange markets. A hearing on

Citibank’s motion to dismiss plaintiffs’ petition for

certification is scheduled for April 12, 2021. Additional

information concerning this action is publicly available in

court filings under the docket number CA 29013-09-18.

293

Hong Kong Private Bank Litigation

In 2007, a claim was filed in the High Court of Hong Kong

claiming damages of over $51 million against Citibank. The

case, captioned PT ASURANSI TUGU PRATAMA

INDONESIA TBK v. CITIBANK N.A., was dismissed in

2018 by the Hong Kong Court of First Instance on grounds

that the claim was time-barred. Plaintiff has appealed the

court’s dismissal. Additional information concerning this

action is publicly available in court filings under the docket

number CACV 548/2018.

Interbank Offered Rates-Related Litigation and Other

Matters

Antitrust and Other Litigation: In 2016, a putative class action

was filed against Citibank, Citigroup and other defendants,

now captioned FUND LIQUIDATION HOLDINGS LLC, AS

ASSIGNOR AND SUCCESSOR-IN-INTEREST TO

FRONTPOINT ASIAN EVENT DRIVEN FUND L.P., ET

AL. v. CITIBANK, N.A., ET AL., in the United States District

Court for the Southern District of New York. Plaintiffs allege

that defendants manipulated the Singapore Interbank Offered

Rate and Singapore Swap Offer Rate. Plaintiffs assert claims

under the Sherman Act, the Clayton Act, the RICO Act and

state law. In 2018, plaintiffs entered into a settlement with

Citigroup and Citibank, under which Citigroup and Citibank

agreed to pay approximately $10 million. In July 2019, the

court found that it lacked subject-matter jurisdiction over the

non-settling defendants and dismissed the case. The court also

found that it lacked jurisdiction to approve the settlement and

denied plaintiffs’ motion for preliminary approval of the

settlement. In August 2019, plaintiffs filed an appeal with the

United States Court of Appeals for the Second Circuit.

Additional information concerning this action is publicly

available in court filings under the docket numbers 16 Civ.

5263 (S.D.N.Y.) (Hellerstein, J.) and 19-2719 (2d Cir.).

In 2016, Banque Delubac filed an action against

Citigroup, Citigroup Global Markets Limited (CGML) and

Citigroup Europe Plc, captioned SCS BANQUE DELUBAC

& CIE v. CITIGROUP INC., ET AL., in the Commercial

Court of Aubenas in France. Plaintiff alleges that defendants

suppressed LIBOR submissions between 2005 and 2012 and

that Banque Delubac’s EURIBOR-linked lending activity was

negatively impacted as a result. Plaintiff asserts a claim under

tort law, and seeks compensatory damages and consequential

damages. In November 2018, the Commercial Court of

Aubenas referred the case to the Commercial Court of

Marseille. In March 2019, the Court of Appeal of Nîmes held

that neither the Commercial Court of Aubenas nor any other

court of France has territorial jurisdiction over Banque

Delubac’s claims. In May 2019, plaintiff filed an appeal

before the Cour de cassation of France challenging the Court

of Appeal of Nîmes’s decision. Additional information

concerning this action is publicly available in court filings

under docket numbers RG no. 2018F02750 in the Commercial

Court of Marseille and 19-16.931 in the Cour de cassation.

In May 2019, three putative class actions filed against

Citigroup, Citibank, CGMI and other defendants were

consolidated, under the caption IN RE ICE LIBOR

ANTITRUST LITIGATION, in the United States District

Court of the Southern District of New York. In July 2019,

plaintiffs filed a consolidated amended complaint. Plaintiffs

allege that defendants suppressed ICE LIBOR. Plaintiffs assert

claims under the Sherman Act, the Clayton Act, and unjust

enrichment, and seek compensatory damages, disgorgement,

and treble damages. In March 2020, the court granted

defendants’ motion to dismiss the action for failure to state a

claim, which plaintiffs appealed to the United States Court of

Appeals for the Second Circuit. On December 28, 2020, DYJ

Holdings, LLC filed a motion to intervene as a plaintiff, given

that the existing plaintiffs intended to withdraw from the case,

which defendants opposed and separately moved to dismiss

for lack of subject matter jurisdiction. Additional information

concerning this action is publicly available in court filings

under the docket numbers 19 Civ. 439 (S.D.N.Y.) (Daniels, J.)

and 20-1492 (2d Cir.).

On August 18, 2020, individual borrowers and consumers

of loans and credit cards filed an action against Citigroup,

Citibank, CGMI and other defendants, captioned

MCCARTHY, ET AL. v. INTERCONTINENTAL

EXCHANGE, INC., ET AL., in the United States District

Court for the Northern District of California. Plaintiffs allege

that defendants conspired to fix ICE LIBOR, assert claims

under the Sherman Act and the Clayton Act, and seek

declaratory relief, injunctive relief, and treble damages. On

November 11, 2020, defendants filed a motion to transfer the

case to the United States District Court for the Southern

District of New York. Additional information concerning this

action is publicly available in court filings under the docket

number 20 Civ. 5832 (N.D. Cal.) (Donato, J.).

Interchange Fee Litigation

Beginning in 2005, several putative class actions were filed

against Citigroup, Citibank, and Citicorp, together with Visa,

MasterCard, and other banks and their affiliates, in various

federal district courts and consolidated with other related

individual cases in a multi-district litigation proceeding in the

United States District Court for the Eastern District of New

York. This proceeding is captioned IN RE PAYMENT CARD

INTERCHANGE FEE AND MERCHANT DISCOUNT

ANTITRUST LITIGATION.

The plaintiffs, merchants that accept Visa and MasterCard

branded payment cards, as well as various membership

associations that claim to represent certain groups of

merchants, allege, among other things, that defendants have

engaged in conspiracies to set the price of interchange and

merchant discount fees on credit and debit card transactions

and to restrain trade unreasonably through various Visa and

MasterCard rules governing merchant conduct, all in violation

of Section 1 of the Sherman Act and certain California

statutes. Plaintiffs further alleged violations of Section 2 of the

Sherman Act. Supplemental complaints also were filed against

defendants in the putative class actions alleging that Visa’s

and MasterCard’s respective initial public offerings were

anticompetitive and violated Section 7 of the Clayton Act, and

that MasterCard’s initial public offering constituted a

fraudulent conveyance.

In 2014, the district court entered a final judgment

approving the terms of a class settlement. Various objectors

appealed from the final class settlement approval order to the

United States Court of Appeals for the Second Circuit.

294

In 2016, the Court of Appeals reversed the district court’s

approval of the class settlement and remanded for further

proceedings. The district court thereafter appointed separate

interim counsel for a putative class seeking damages and a

putative class seeking injunctive relief. Amended or new

complaints on behalf of the putative classes and various

individual merchants were subsequently filed, including a

further amended complaint on behalf of a putative damages

class and a new complaint on behalf of a putative injunctive

class, both of which named Citigroup and Related Parties. In

addition, numerous merchants have filed amended or new

complaints against Visa, MasterCard, and in some instances

one or more issuing banks, including Citigroup and affiliates.

In 2019, the district court granted the damages class

plaintiffs’ motion for final approval of a new settlement with

the defendants. The settlement involves the damages class

only and does not settle the claims of the injunctive relief class

or any actions brought on a non-class basis by individual

merchants. The settlement provides for a cash payment to the

damages class of $6.24 billion, later reduced by $700 million

based on the transaction volume of class members that opted-

out from the settlement. Several merchants and merchant

groups have appealed the final approval order. Additional

information concerning these consolidated actions is publicly

available in court filings under the docket number MDL

05-1720 (E.D.N.Y.) (Brodie, J.).

Interest Rate and Credit Default Swap Matters

Regulatory Actions: The Commodity Futures Trading

Commission (CFTC) is conducting an investigation into

alleged anticompetitive conduct in the trading and clearing of

interest rate swaps (IRS) by investment banks. Citigroup is

cooperating with the investigation.

Antitrust and Other Litigation: Beginning in 2015,

Citigroup, Citibank, CGMI, CGML, and numerous other

parties were named as defendants in a number of industry-

wide putative class actions related to IRS trading. These

actions have been consolidated in the United States District

Court for the Southern District of New York under the caption

IN RE INTEREST RATE SWAPS ANTITRUST

LITIGATION. The actions allege that defendants colluded to

prevent the development of exchange-like trading for IRS and

assert federal and state antitrust claims and claims for unjust

enrichment. Also consolidated under the same caption are

individual actions filed by swap execution facilities, asserting

federal and state antitrust claims, as well as claims for unjust

enrichment and tortious interference with business relations.

Plaintiffs in all of these actions seek treble damages, fees,

costs, and injunctive relief. Lead plaintiffs in the class action

moved for class certification in 2019, and subsequently filed

an amended complaint. Additional information concerning

these actions is publicly available in court filings under the

docket numbers 18-CV-5361 (S.D.N.Y.) (Oetken, J.) and 16-

MD-2704 (S.D.N.Y.) (Oetken, J.).

In 2017, Citigroup, Citibank, CGMI, CGML and

numerous other parties were named as defendants in an action

filed in the United States District Court for the Southern

District of New York under the caption TERA GROUP, INC.,

ET AL. v. CITIGROUP, INC., ET AL. The complaint alleges

that defendants colluded to prevent the development of

exchange-like trading for credit default swaps and asserts

federal and state antitrust claims and state law tort claims. In

January 2020, plaintiffs filed an amended complaint, which

defendants later moved to dismiss. Additional information

concerning this action is publicly available in court filings

under the docket number 17-CV-4302 (S.D.N.Y.) (Sullivan,

J.).

Parmalat Litigation

In 2004, an Italian commissioner appointed to oversee the

administration of various Parmalat companies filed a

complaint against Citigroup, Citibank, and related parties,

alleging that the defendants facilitated a number of frauds by

Parmalat insiders. In 2008, a jury rendered a verdict in

Citigroup’s favor and awarded Citi $431 million. In 2019, the

Italian Supreme Court affirmed the decision in the full amount

of $431 million. Citigroup has taken steps to enforce the

judgment in Italian and Belgian courts. Additional information

concerning these actions is publicly available in court filings

under the docket numbers 27618/2014, 4133/2019, and

22098/2019 (Italy), and 20/3617/A and 20/4007/A (Brussels).

In 2015, Parmalat filed a claim in an Italian civil court in

Milan claiming damages of €1.8 billion against Citigroup,

Citibank, and related parties. The Milan court dismissed

Parmalat’s claim on grounds that it was duplicative of

Parmalat’s previously unsuccessful claims. In 2019, the Milan

Court of Appeal rejected Parmalat’s appeal of the Milan

court’s dismissal. In June 2019, Parmalat filed a further appeal

with the Italian Supreme Court. Additional information

concerning this action is publicly available in court filings

under the docket numbers 1009/2018 and 20598/2019.

On January 29, 2020, Parmalat, its three directors, and its

sole shareholder, Sofil S.a.s., as co-plaintiffs, filed a claim

before the Italian civil court in Milan seeking a declaratory

judgment that they do not owe compensatory damages of

€990 million to Citibank. On November 5, 2020, Citibank

joined the proceedings, seeking dismissal of the declaratory

judgment application. Additional information concerning this

action is publicly available in court filings under the docket

number 8611/2020.

Payment Protection Insurance

Regulators and courts in the U.K. have scrutinized the selling

of payment protection insurance (PPI) by financial institutions

for several years. Citibank continues to review customer

claims relating to the sale of PPI in the U.K., to grant redress

in accordance with the requirements of the U.K. Financial

Conduct Authority, and to defend claims filed in U.K. courts.

Revlon Credit Facility Litigation

On August 12, 2020, Citibank and numerous other parties

were named as defendants in an action filed in the United

States District Court for the Southern District of New York

under the caption UMB BANK, NATIONAL ASSOCIATION

v. REVLON, INC., ET AL. Plaintiff alleged that, with respect

to a 2016 credit agreement between Revlon and various

lenders for which Citibank served as administrative and

collateral agent, the defendants deprived lenders of the

collateral securing loans they made to Revlon under the credit

agreement. On November 8, 2020, plaintiffs withdrew the case

295

without prejudice. Additional information concerning this

action is publicly available in court filings under the docket

number 20-CV-6352 (S.D.N.Y.) (Schofield, J.).

Revlon-related Wire Transfer Litigation

On August 17, 18, and 20, 2020, Citibank filed actions in the

United States District Court for the Southern District of New

York, which have been consolidated under the caption IN RE

CITIBANK AUGUST 11, 2020 WIRE TRANSFERS. The

actions relate to a payment erroneously made by Citibank on

August 11, 2020, in its capacity as administrative agent for a

Revlon credit facility. The action seeks the return of the

erroneously transferred funds from certain fund managers.

Citibank has asserted claims for unjust enrichment,

conversion, money had and received, and payment by mistake.

The court issued temporary restraining orders related to the

subject funds. A trial was held in December 2020. On

February 16, 2021, the court issued a judgment in favor of the

defendants. Additional information concerning this action is

publicly available in court filings under the docket number 20-

CV-6539 (S.D.N.Y.) (Furman, J.).

Shareholder Derivative and Securities Litigation

Beginning on October 16, 2020, four derivative actions were

filed in the United States District Court for the Southern

District of New York, purportedly on behalf of Citigroup (as

nominal defendant) against Citigroup’s current directors and

certain former directors. On December 3, 2020, the actions

were consolidated under the caption IN RE CITIGROUP INC.

SHAREHOLDER DERIVATIVE LITIGATION. On

December 24, 2020, plaintiffs filed a consolidated complaint

asserting claims for breach of fiduciary duty, unjust

enrichment, and contribution and indemnification in

connection with defendants’ alleged failures to implement

adequate internal controls. In addition, the consolidated

complaint asserts derivative claims for violations of Sections

10(b) and 14(a) of the Securities Exchange Act of 1934 in

connection with statements in Citigroup’s 2019 and 2020

annual meeting proxy statements. Additional information

concerning this action is publicly available in court filings

under the docket number 1:20-cv-09438 (S.D.N.Y.) (Nathan,

J.).

Beginning on December 4, 2020, two derivative actions

were filed in the Supreme Court of the State of New York,

purportedly on behalf of Citigroup (as nominal defendant)

against Citigroup’s current directors, certain former directors,

and certain current and former officers. The actions are

captioned P. ALEXANDER ATAII v. CORBAT, ET AL. and

ASHLEY IKEDA v. CORBAT, ET AL. The complaints assert

claims for breach of fiduciary duty and unjust enrichment in

connection with defendants’ alleged failures to implement

adequate internal controls. Additional information concerning

these actions is publicly available in court filings under the

docket numbers 656759/2020 (N.Y. Sup. Ct.) and

657086/2020 (N.Y. Sup. Ct.).

Beginning on October 30, 2020, three putative class

action complaints were filed in the United States District

Court for the Southern District of New York against Citigroup

and certain of its current and former officers, asserting

violations of Sections 10(b) and 20(a) of the Securities

Exchange Act of 1934 in connection with defendants’ alleged

misstatements concerning Citigroup’s internal controls. The

actions are captioned CITY OF SUNRISE FIREFIGHTERS’

PENSION FUND v. CITIGROUP INC., ET AL., CITY OF

STERLING HEIGHTS GENERAL EMPLOYEES’

RETIREMENT SYSTEM v. CITIGROUP INC., ET AL., and

TIMOTHY LIM v. CITIGROUP INC., ET AL. Additional

information concerning these actions is publicly available in

court filings under the docket numbers 1:20-CV-9132

(S.D.N.Y.) (Nathan, J.), 1:20-CV-09573 (S.D.N.Y.) (Nathan,

J.), and 1:20-CV-10360 (S.D.N.Y.) (Nathan, J.).

Sovereign Securities Matters

Regulatory Actions: Government and regulatory agencies in

the U.S. and in other jurisdictions 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: In 2015, putative class

actions filed against CGMI and other defendants were

consolidated, under the caption IN RE TREASURY

SECURITIES AUCTION ANTITRUST LITIGATION, in the

United States District Court for the Southern District of New

York. In 2017, a consolidated amended complaint was filed,

alleging that defendants colluded to fix U.S. treasury auction

bids by sharing competitively sensitive information ahead of

the auctions, and that defendants colluded to boycott and

prevent the emergence of an anonymous, all-to-all electronic

trading platform in the U.S. Treasuries secondary market. The

complaint asserts claims under antitrust laws, and seeks

damages, including treble damages where authorized by

statute, and injunctive relief. In February 2018, defendants

moved to dismiss the complaint. Additional information

concerning this action is publicly available in court filings

under the docket number 15-MD-2673 (S.D.N.Y.) (Gardephe,

J.).

In 2016 and 2017, actions by putative classes of direct

purchasers of supranational, sub-sovereign and agency (SSA)

bonds filed against Citigroup, Citibank, CGMI, CGML and

other defendants were consolidated, under the caption IN RE

SSA BONDS ANTITRUST LITIGATION, in the United

States District Court for the Southern District of New York. In

2018, a second amended consolidated complaint was filed,

alleging that defendants, as market makers and traders of SSA

bonds, colluded to fix the price at which they bought and sold

SSA bonds in the secondary market. The complaint asserts

claims under the antitrust laws and unjust enrichment, and

seeks damages, including treble damages where authorized by

statute, and disgorgement. In 2019, the court granted

defendants’ motion to dismiss certain defendants, including

CGML. On June 1, 2020, plaintiffs appealed to the United

States Court of Appeals for the Second Circuit from the

district court’s grant of defendants’ remaining motion to

dismiss the second amended consolidated complaint.

Additional information concerning this action is publicly

available in court filings under the docket numbers 16 Civ.

3711 (S.D.N.Y.) (Ramos, J.) and 20-1759 (2d Cir.).

In 2017, purchasers of SSA bonds filed a proposed class

action on behalf of direct and indirect purchasers of SSA

296

bonds against Citigroup, Citibank, CGMI, CGML, Citibank

Canada, Citigroup Global Markets Canada, Inc. and other

defendants, captioned JOSEPH MANCINELLI, ET AL. v.

BANK OF AMERICA CORPORATION, ET AL., in the

Federal Court in Canada. In October 2019, plaintiffs filed an

amended claim. The complaint alleges that defendants

manipulated, and colluded to manipulate, the SSA bonds

market, asserts claims for breach of the Competition Act,

breach of foreign law, civil conspiracy, unjust enrichment,

waiver of tort, and breach of contract, and seeks compensatory

and punitive damages, among other relief. Additional

information concerning this action is publicly available in

court filings under the docket number T-1871-17 (Fed. Ct.).

In 2019, the State of Louisiana filed an action against

CGMI and other defendants, captioned STATE OF

LOUISIANA v. BANK OF AMERICA, N.A., ET AL., in the

United States District Court for the Middle District of

Louisiana. The complaint alleges that defendants conspired to

manipulate the market for bonds issued by U.S. government-

sponsored agencies. The complaint asserts a claim for a

violation of the Sherman Act, and seeks treble damages and

injunctive relief. Additional information concerning this action

is publicly available in court filings under the docket number

19 Civ. 638 (M.D. La.) (Dick, C.J.).

In 2019, the City of Baton Rouge and related plaintiffs

filed a substantially similar action against CGMI and other

defendants, captioned CITY OF BATON ROUGE, ET AL. v.

BANK OF AMERICA, N.A., ET AL., in the United States

District Court for the Middle District of Louisiana. Additional

information concerning this action is publicly available in

court filings under the docket number 19 Civ. 725 (M.D. La.)

(Dick, C.J.).

On April 1, 2020, the Louisiana Asset Management Pool

filed a substantially similar action against CGMI and other

defendants, captioned LOUISIANA ASSET MANAGEMENT

POOL v. BANK OF AMERICA CORPORATION, ET AL.,

in the United States District Court for the Eastern District of

Louisiana, which was subsequently transferred to the United

States District Court for the Middle District of Louisiana.

Additional information concerning this action is publicly

available in court filings under the docket number 21 Civ.

0003 (M.D. La.) (Dick, C.J.).

On September 21, 2020, the City of New Orleans and

related entities filed a substantially similar action against

CGMI and other defendants, captioned CITY OF NEW

ORLEANS, ET AL. v. BANK OF AMERICA

CORPORATION, ET AL., in the United States District Court

for the Eastern District of Louisiana. Additional information

concerning this action is publicly available in court filings

under the docket number 20 Civ. 2570 (E.D. La.) (Vitter, J.).

In 2018, a putative class action was filed against

Citigroup, CGMI, Citigroup Financial Products Inc., Citigroup

Global Markets Holdings Inc., Citibanamex, Grupo Banamex

and other banks, captioned IN RE MEXICAN

GOVERNMENT BONDS ANTITRUST LITIGATION, in the

United States District Court for the Southern District of New

York. The complaint alleges that defendants colluded in the

Mexican sovereign bond market. In September 2019, the court

granted defendants’ motion to dismiss. In December 2019,

plaintiffs filed an amended complaint against Citibanamex and

other market makers in the Mexican sovereign bond market.

Plaintiffs no longer assert any claims against Citigroup and

any other U.S. Citi affiliates. The amended complaint alleges a

conspiracy to fix prices in the Mexican sovereign bond market

from January 1, 2006 to April 19, 2017, and asserts antitrust

and unjust enrichment claims, and seeks treble damages,

restitution and injunctive relief. On February 21, 2020, certain

defendants, including Citibanamex, moved to dismiss the

amended, which the court later granted. Additional

information concerning this action is publicly available in

court filings under the docket number 18 Civ. 2830 (S.D.N.Y.)

(Oetken, J.).

Transaction Tax Matters

Citigroup and Citibank are engaged in litigation or

examinations with non-U.S. tax authorities, including in the

U.K., India, and Germany, concerning the payment of

transaction taxes and other non-income tax matters.

Tribune Company Bankruptcy

Certain Citigroup affiliates (along with numerous other

parties) have been named as defendants in adversary

proceedings related to the Chapter 11 cases of Tribune

Company (Tribune) filed in the United States Bankruptcy

Court for the District of Delaware, asserting claims arising out

of the approximately $11 billion leveraged buyout of Tribune

in 2007. The actions were consolidated as IN RE TRIBUNE

COMPANY FRAUDULENT CONVEYANCE LITIGATION

and transferred to the United States District Court for the

Southern District of New York.

In the adversary proceeding captioned KIRSCHNER v.

FITZSIMONS, ET AL., the litigation trustee, as successor

plaintiff to the unsecured creditors committee, seeks to avoid

and recover as actual fraudulent transfers the transfers of

Tribune stock that occurred as a part of the leveraged buyout.

Several Citigroup affiliates, along with numerous other

parties, were named as shareholder defendants and were

alleged to have tendered Tribune stock to Tribune as a part of

the buyout. In 2017, the United States District Court for the

Southern District of New York dismissed the actual fraudulent

transfer claim against the shareholder defendants, including

the Citigroup affiliates. In 2019, the litigation trustee filed an

appeal to the United States Court of Appeals for the Second

Circuit.

Several Citigroup affiliates, along with numerous other

parties, are named as defendants in certain actions brought by

Tribune noteholders, which seek to recover the transfers of

Tribune stock that occurred as a part of the leveraged buyout,

as state-law constructive fraudulent conveyances. The

noteholders’ claims were previously dismissed and the

dismissal was affirmed on appeal. In 2018, the United States

Court of Appeals for the Second Circuit withdrew its 2016

transfer of jurisdiction to the district court to reconsider its

decision in light of a recent United States Supreme Court

decision. In 2019, the Court of Appeals issued an amended

decision again affirming the dismissal. In January 2020, the

noteholders filed a petition for rehearing. On July 6, 2020, the

noteholders filed a petition for a writ of certiorari in the United

States Supreme Court. On October 5, 2020, the Supreme

297

Court called for the views of the Acting Solicitor General on

whether the petition should be granted.

CGMI was named as a defendant in a separate action,

KIRSCHNER v. CGMI, in connection with its role as advisor

to Tribune. In 2019, the court dismissed the action, which the

litigation trustee has appealed to the United States Court of

Appeals for the Second Circuit.

Additional information concerning these actions is

publicly available in court filings under the docket numbers

08-13141 (Bankr. D. Del.) (Carey, J.), 11 MD 02296

(S.D.N.Y.) (Cote, J.), 12 MC 2296 (S.D.N.Y.) (Cote, J.),

13-3992 (2d Cir.), 19-0449 (2d Cir.), 19-3049 (2d Cir.),

16-317 (U.S.), and 20-8 (U.S. Supreme Court).

Variable Rate Demand Obligation Litigation

In 2019, plaintiffs in the consolidated actions CITY OF

PHILADELPHIA v. BANK OF AMERICA CORP., ET AL.

and MAYOR AND CITY COUNCIL OF BALTIMORE v.

BANK OF AMERICA CORP., ET AL. filed a consolidated

complaint naming as defendants Citigroup, Citibank, CGMI,

CGML and numerous other industry participants. The

consolidated complaint asserts violations of the Sherman Act,

as well as claims for breach of contract, breach of fiduciary

duty, and unjust enrichment, and seeks damages and injunctive

relief based on allegations that defendants served as

remarketing agents for municipal bonds called variable rate

demand obligations (VRDOs) and colluded to set artificially

high VRDO interest rates. On November 6, 2020, the court

granted in part and denied in part defendants’ motion to

dismiss the consolidated complaint. Additional information

concerning this action is publicly available in court filings

under the docket numbers 19-CV-1608 (S.D.N.Y.) (Furman,

J.) and 19-CV-2667 (S.D.N.Y.) (Furman, J.).

Settlement Payments

Payments required in settlement agreements described above

have been made or are covered by existing litigation or other

accruals.

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28. CONDENSED CONSOLIDATING FINANCIAL

STATEMENTS

Citigroup amended its Registration Statement on Form S-3 on

file with the SEC (File No. 33-192302) to add its wholly

owned subsidiary, Citigroup Global Markets Holdings Inc.

(CGMHI), as a co-registrant. Any securities issued by CGMHI

under the Form S-3 will be fully and unconditionally

guaranteed by Citigroup.

The following are the Condensed Consolidating

Statements of Income and Comprehensive Income for the

years ended December 31, 2020, 2019 and 2018, Condensed

Consolidating Balance Sheet as of December 31, 2020 and

2019 and Condensed Consolidating Statement of Cash Flows

for the years ended December 31, 2020, 2019 and 2018 for

Citigroup Inc., the parent holding company (Citigroup parent

company), CGMHI, other Citigroup subsidiaries and

eliminations and total consolidating adjustments. “Other

Citigroup subsidiaries and eliminations” includes all other

subsidiaries of Citigroup, intercompany eliminations and

income (loss) from discontinued operations. “Consolidating

adjustments” includes Citigroup parent company elimination

of distributed and undistributed income of subsidiaries and

investment in subsidiaries.

These Condensed Consolidating Financial Statements

have been prepared and presented in accordance with SEC

Regulation S-X Rule 3-10, “Financial Statements of

Guarantors and Issuers of Guaranteed Securities Registered or

Being Registered.”

These Condensed Consolidating Financial Statements

schedules are presented for purposes of additional analysis,

but should be considered in relation to the Consolidated

Financial Statements of Citigroup taken as a whole.

300

Condensed Consolidating Statements of Income and Comprehensive Income

Year ended December 31, 2020

In millions of dollars

Citigroup

parent

company CGMHI

Other Citigroup

subsidiaries and

eliminations

Consolidating

adjustments

Citigroup

consolidated

Revenues

Dividends from subsidiaries $ 2,355 $ — $ — $ (2,355) $ —

Interest revenue — 5,364 52,725 — 58,089

Interest revenue—intercompany 4,162 920 (5,082) — —

Interest expense 4,992 1,989 7,560 — 14,541

Interest expense—intercompany 502 2,170 (2,672) — —

Net interest revenue $ (1,332) $ 2,125 $ 42,755 $ — $ 43,548

Commissions and fees $ — $ 6,216 $ 5,169 $ — $ 11,385

Commissions and fees—intercompany (36) 290 (254) — —

Principal transactions (1,254) (4,252) 19,391 — 13,885

Principal transactions—intercompany 693 9,064 (9,757) — —

Other revenue (127) 706 4,901 — 5,480

Other revenue—intercompany 111 23 (134) — —

Total non-interest revenues $ (613) $ 12,047 $ 19,316 $ — $ 30,750

Total revenues, net of interest expense $ 410 $ 14,172 $ 62,071 $ (2,355) $ 74,298

Provisions for credit losses and for benefits and claims $ — $ (1) $ 17,496 $ — $ 17,495

Operating expenses

Compensation and benefits $ (5) $ 4,941 $ 17,278 $ — $ 22,214

Compensation and benefits—intercompany 191 — (191) — —

Other operating 37 2,393 18,527 — 20,957

Other operating—intercompany 15 2,317 (2,332) — —

Total operating expenses $ 238 $ 9,651 $ 33,282 $ — $ 43,171

Equity in undistributed income of subsidiaries $ 9,894 $ — $ — $ (9,894) $ —

Income from continuing operations before income taxes $ 10,066 $ 4,522 $ 11,293 $ (12,249) $ 13,632

Provision (benefit) for income taxes (981) 1,249 2,257 — 2,525

Income from continuing operations $ 11,047 $ 3,273 $ 9,036 $ (12,249) $ 11,107

Income (loss) from discontinued operations, net of taxes — — (20) — (20)

Net income before attribution of noncontrolling interests $ 11,047 $ 3,273 $ 9,016 $ (12,249) $ 11,087

Noncontrolling interests — — 40 — 40

Net income $ 11,047 $ 3,273 $ 8,976 $ (12,249) $ 11,047

Comprehensive income

Add: Other comprehensive income (loss) $ 4,260 $ (223) $ 4,244 $ (4,021) $ 4,260

Total Citigroup comprehensive income $ 15,307 $ 3,050 $ 13,220 $ (16,270) $ 15,307

Add: Other comprehensive income attributable to noncontrolling

interests $ — $ — $ 26 $ — $ 26

Add: Net income attributable to noncontrolling interests — — 40 — 40

Total comprehensive income $ 15,307 $ 3,050 $ 13,286 $ (16,270) $ 15,373

301

Condensed Consolidating Statements of Income and Comprehensive Income

Year ended December 31, 2019

In millions of dollars

Citigroup

parent

company CGMHI

Other Citigroup

subsidiaries and

eliminations

Consolidating

adjustments

Citigroup

consolidated

Revenues

Dividends from subsidiaries $ 23,347 $ — $ — $ (23,347) $ —

Interest revenue — 10,661 65,849 — 76,510

Interest revenue—intercompany 5,091 1,942 (7,033) — —

Interest expense 4,949 7,010 17,204 — 29,163

Interest expense—intercompany 1,038 4,243 (5,281) — —

Net interest revenue $ (896) $ 1,350 $ 46,893 $ — $ 47,347

Commissions and fees $ — $ 5,265 $ 6,481 $ — $ 11,746

Commissions and fees—intercompany (21) 354 (333) — —

Principal transactions (2,537) 277 11,152 — 8,892

Principal transactions—intercompany 1,252 2,464 (3,716) — —

Other revenue 767 832 4,702 — 6,301

Other revenue—intercompany (55) 102 (47) — —

Total non-interest revenues $ (594) $ 9,294 $ 18,239 $ — $ 26,939

Total revenues, net of interest expense $ 21,857 $ 10,644 $ 65,132 $ (23,347) $ 74,286

Provisions for credit losses and for benefits and claims $ — $ — $ 8,383 $ — $ 8,383

Operating expenses

Compensation and benefits $ 32 $ 4,680 $ 16,721 $ — $ 21,433

Compensation and benefits—intercompany 134 — (134) — —

Other operating (16) 2,326 18,259 — 20,569

Other operating—intercompany 20 2,410 (2,430) — —

Total operating expenses $ 170 $ 9,416 $ 32,416 $ — $ 42,002

Equity in undistributed income of subsidiaries $ (3,620) $ — $ — $ 3,620 $ —

Income from continuing operations before income taxes $ 18,067 $ 1,228 $ 24,333 $ (19,727) $ 23,901

Provision (benefit) for income taxes (1,334) 176 5,588 — 4,430

Income from continuing operations $ 19,401 $ 1,052 $ 18,745 $ (19,727) $ 19,471

Income (loss) from discontinued operations, net of taxes — — (4) — (4)

Net income (loss) before attribution of noncontrolling

interests $ 19,401 $ 1,052 $ 18,741 $ (19,727) $ 19,467

Noncontrolling interests — — 66 — 66

Net income $ 19,401 $ 1,052 $ 18,675 $ (19,727) $ 19,401

Comprehensive income

Add: Other comprehensive income (loss) $ 852 $ (651) $ 1,600 $ (949) $ 852

Total Citigroup comprehensive income $ 20,253 $ 401 $ 20,275 $ (20,676) $ 20,253

Add: Other comprehensive income attributable to noncontrolling

interests $ — $ — $ — $ — $ —

Add: Net income attributable to noncontrolling interests — — 66 — 66

Total comprehensive income $ 20,253 $ 401 $ 20,341 $ (20,676) $ 20,319

302

Condensed Consolidating Statements of Income and Comprehensive Income

Year ended December 31, 2018

In millions of dollars

Citigroup

parent

company CGMHI

Other Citigroup

subsidiaries and

eliminations

Consolidating

adjustments

Citigroup

consolidated

Revenues

Dividends from subsidiaries $ 22,854 $ — $ — $ (22,854) $ —

Interest revenue 67 8,732 62,029 — 70,828

Interest revenue—intercompany 4,933 1,659 (6,592) — —

Interest expense 4,783 5,430 14,053 — 24,266

Interest expense—intercompany 1,198 3,539 (4,737) — —

Net interest revenue $ (981) $ 1,422 $ 46,121 $ — $ 46,562

Commissions and fees $ — $ 5,146 $ 6,711 $ — $ 11,857

Commissions and fees—intercompany (2) 237 (235) — —

Principal transactions (1,310) 1,599 8,616 — 8,905

Principal transactions—intercompany (929) 1,328 (399) — —

Other revenue 1,373 710 3,447 — 5,530

Other revenue—intercompany (107) 143 (36) — —

Total non-interest revenues $ (975) $ 9,163 $ 18,104 $ — $ 26,292

Total revenues, net of interest expense $ 20,898 $ 10,585 $ 64,225 $ (22,854) $ 72,854

Provisions for credit losses and for benefits and claims $ — $ (22) $ 7,590 $ — $ 7,568

Operating expenses

Compensation and benefits $ 4 $ 4,484 $ 16,666 $ — $ 21,154

Compensation and benefits—intercompany 115 — (115) — —

Other operating (192) 2,224 18,655 — 20,687

Other operating—intercompany 49 2,312 (2,361) — —

Total operating expenses $ (24) $ 9,020 $ 32,845 $ — $ 41,841

Equity in undistributed income of subsidiaries $ (2,163) $ — $ — $ 2,163 $ —

Income from continuing operations before income taxes $ 18,759 $ 1,587 $ 23,790 $ (20,691) $ 23,445

Provision (benefit) for income taxes 714 1,123 3,520 — 5,357

Income from continuing operations $ 18,045 $ 464 $ 20,270 $ (20,691) $ 18,088

Income (loss) from discontinued operations, net of taxes — — (8) — (8)

Net income before attribution of noncontrolling interests $ 18,045 $ 464 $ 20,262 $ (20,691) $ 18,080

Noncontrolling interests — — 35 — 35

Net income $ 18,045 $ 464 $ 20,227 $ (20,691) $ 18,045

Comprehensive income

Add: Other comprehensive income (loss) $ (2,499) $ 257 $ 3,500 $ (3,757) $ (2,499)

Total Citigroup comprehensive income $ 15,546 $ 721 $ 23,727 $ (24,448) $ 15,546

Add: Other comprehensive income attributable to noncontrolling

interests $ — $ — $ (43) $ — $ (43)

Add: Net income attributable to noncontrolling interests — — 35 — 35

Total comprehensive income $ 15,546 $ 721 $ 23,719 $ (24,448) $ 15,538

303

Condensed Consolidating Balance Sheet

December 31, 2020

In millions of dollars

Citigroup

parent

company CGMHI

Other

Citigroup

subsidiaries

and

eliminations

Consolidating

adjustments

Citigroup

consolidated

Assets

Cash and due from banks $ — $ 628 $ 25,721 $ — $ 26,349

Cash and due from banks—intercompany 16 6,081 (6,097) — —

Deposits with banks, net of allowance — 5,224 278,042 — 283,266

Deposits with banks—intercompany 4,500 8,179 (12,679) — —

Securities borrowed and purchased under resale agreements — 238,718 55,994 — 294,712

Securities borrowed and purchased under resale agreements—

intercompany — 24,309 (24,309) — —

Trading account assets 307 222,278 152,494 — 375,079

Trading account assets—intercompany 723 9,400 (10,123) — —

Investments, net of allowance 1 374 446,984 — 447,359

Loans, net of unearned income — 2,524 673,359 — 675,883

Loans, net of unearned income—intercompany — — — — —

Allowance for credit losses on loans (ACLL) — — (24,956) — (24,956)

Total loans, net $ — $ 2,524 $ 648,403 $ — $ 650,927

Advances to subsidiaries $ 152,383 $ — $ (152,383) $ — $ —

Investments in subsidiaries 213,267 — — (213,267) —

Other assets, net of allowance

(1)

12,156 60,273 109,969 — 182,398

Other assets—intercompany 2,781 51,489 (54,270) — —

Total assets $ 386,134 $ 629,477 $ 1,457,746 $ (213,267) $ 2,260,090

Liabilities and equity

Deposits $ — $ — $ 1,280,671 $ — $ 1,280,671

Deposits—intercompany — — — — —

Securities loaned and sold under repurchase agreements — 184,786 14,739 — 199,525

Securities loaned and sold under repurchase agreements—

intercompany — 76,590 (76,590) — —

Trading account liabilities — 113,100 54,927 — 168,027

Trading account liabilities—intercompany 397 8,591 (8,988) — —

Short-term borrowings — 12,323 17,191 — 29,514

Short-term borrowings—intercompany — 12,757 (12,757) — —

Long-term debt 170,563 47,732 53,391 — 271,686

Long-term debt—intercompany — 67,322 (67,322) — —

Advances from subsidiaries 12,975 — (12,975) — —

Other liabilities, including allowance 2,692 55,217 52,558 — 110,467

Other liabilities—intercompany 65 15,378 (15,443) — —

Stockholders’ equity 199,442 35,681 178,344 (213,267) 200,200

Total liabilities and equity $ 386,134 $ 629,477 $ 1,457,746 $ (213,267) $ 2,260,090

(1) Other assets for Citigroup parent company at December 31, 2020 included $29.5 billion of placements to Citibank and its branches, of which $24.3 billion had a

remaining term of less than 30 days.

304

Condensed Consolidating Balance Sheet

December 31, 2019

In millions of dollars

Citigroup

parent

company CGMHI

Other

Citigroup

subsidiaries

and

eliminations

Consolidating

adjustments

Citigroup

consolidated

Assets

Cash and due from banks $ — $ 586 $ 23,381 $ — $ 23,967

Cash and due from banks—intercompany 21 5,095 (5,116) — —

Deposits with banks, net of allowance — 4,050 165,902 — 169,952

Deposits with banks—intercompany 3,000 6,710 (9,710) — —

Securities borrowed and purchased under resale agreements — 195,537 55,785 — 251,322

Securities borrowed and purchased under resale agreements—

intercompany — 21,446 (21,446) — —

Trading account assets 286 152,115 123,739 — 276,140

Trading account assets—intercompany 426 5,858 (6,284) — —

Investments, net of allowance 1 541 368,021 — 368,563

Loans, net of unearned income — 2,497 696,986 — 699,483

Loans, net of unearned income—intercompany — — — — —

Allowance for credit losses on loans (ACLL) — — (12,783) — (12,783)

Total loans, net $ — $ 2,497 $ 684,203 $ — $ 686,700

Advances to subsidiaries $ 144,587 $ — $ (144,587) $ — $ —

Investments in subsidiaries 202,116 — — (202,116) —

Other assets, net of allowance

(1)

12,377 54,784 107,353 — 174,514

Other assets—intercompany 2,799 45,588 (48,387) — —

Total assets $ 365,613 $ 494,807 $ 1,292,854 $ (202,116) $ 1,951,158

Liabilities and equity

Deposits $ — $ — $ 1,070,590 $ — $ 1,070,590

Deposits—intercompany — — — — —

Securities loaned and sold under repurchase agreements — 145,473 20,866 — 166,339

Securities loaned and sold under repurchase agreements—

intercompany — 36,581 (36,581) — —

Trading account liabilities 1 80,100 39,793 — 119,894

Trading account liabilities—intercompany 379 5,109 (5,488) — —

Short-term borrowings 66 11,096 33,887 — 45,049

Short-term borrowings—intercompany — 17,129 (17,129) — —

Long-term debt 150,477 39,578 58,705 — 248,760

Long-term debt—intercompany — 66,791 (66,791) — —

Advances from subsidiaries 20,503 — (20,503) — —

Other liabilities, including allowance 937 51,777 53,866 — 106,580

Other liabilities—intercompany 8 8,414 (8,422) — —

Stockholders’ equity 193,242 32,759 170,061 (202,116) 193,946

Total liabilities and equity $ 365,613 $ 494,807 $ 1,292,854 $ (202,116) $ 1,951,158

(1) Other assets for Citigroup parent company at December 31, 2019 included $35.1 billion of placements to Citibank and its branches, of which $24.9 billion had a

remaining term of less than 30 days.

305

Condensed Consolidating Statement of Cash Flows

Year ended December 31, 2020

In millions of dollars

Citigroup

parent

company CGMHI

Other

Citigroup

subsidiaries

and

eliminations

Consolidating

adjustments

Citigroup

consolidated

Net cash provided by (used in) operating activities of

continuing operations $ 5,002 $ (26,195) $ 572 $ — $ (20,621)

Cash flows from investing activities of continuing operations

Purchases of investments $ — $ — $ (334,900) $ — $ (334,900)

Proceeds from sales of investments — — 146,285 — 146,285

Proceeds from maturities of investments — — 124,229 — 124,229

Change in loans — — 14,249 — 14,249

Proceeds from sales and securitizations of loans — — 1,495 — 1,495

Change in securities borrowed and purchased under agreements

to resell — (46,044) 2,654 — (43,390)

Changes in investments and advances—intercompany (5,584) (6,917) 12,501 — —

Other investing activities — (54) (3,226) — (3,280)

Net cash used in investing activities of continuing operations $ (5,584) $ (53,015) $ (36,713) $ — $ (95,312)

Cash flows from financing activities of continuing operations

Dividends paid $ (5,352) $ (172) $ 172 $ — $ (5,352)

Issuance of preferred stock 2,995 — — — 2,995

Redemption of preferred stock (1,500) — — — (1,500)

Treasury stock acquired (2,925) — — — (2,925)

Proceeds (repayments) from issuance of long-term debt, net 16,798 6,349 (10,091) — 13,056

Proceeds (repayments) from issuance of long-term debt—

intercompany, net — 3,960 (3,960) — —

Change in deposits — — 210,081 — 210,081

Change in securities loaned and sold under agreements to

repurchase — 79,322 (46,136) — 33,186

Change in short-term borrowings — 1,228 (16,763) — (15,535)

Net change in short-term borrowings and other advances—

intercompany (7,528) (7,806) 15,334 — —

Capital contributions from (to) parent — — — — —

Other financing activities (411) — — — (411)

Net cash provided by financing activities of continuing

operations $ 2,077 $ 82,881 $ 148,637 $ — $ 233,595

Effect of exchange rate changes on cash and due from banks $ — $ — $ (1,966) $ — $ (1,966)

Change in cash and due from banks and deposits with banks $ 1,495 $ 3,671 $ 110,530 $ — $ 115,696

Cash and due from banks and deposits with banks at

beginning of year 3,021 16,441 174,457 — 193,919

Cash and due from banks and deposits with banks at end of

year $ 4,516 $ 20,112 $ 284,987 $ — $ 309,615

Cash and due from banks $ 16 $ 6,709 $ 19,624 $ — $ 26,349

Deposits with banks, net of allowance 4,500 13,403 265,363 — 283,266

Cash and due from banks and deposits with banks at end of

year $ 4,516 $ 20,112 $ 284,987 $ — $ 309,615

Supplemental disclosure of cash flow information for

continuing operations

Cash paid during the year for income taxes $ (1,883) $ 1,138 $ 5,542 $ — $ 4,797

Cash paid during the year for interest 2,681 4,516 6,101 — 13,298

Non-cash investing activities

Transfers to loans HFS from loans $ — $ — $ 2,614 $ — $ 2,614

306

Condensed Consolidating Statement of Cash Flows

Year ended December 31, 2019

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 $ 25,011 $ (35,396) $ (2,452) $ — $ (12,837)

Cash flows from investing activities of continuing operations

Purchases of investments $ — $ —

$ (274,491)

$ — $ (274,491)

Proceeds from sales of investments 5 — 137,168 — 137,173

Proceeds from maturities of investments — — 119,051 — 119,051

Change in loans — — (22,466) — (22,466)

Proceeds from sales and securitizations of loans — — 2,878 — 2,878

Change in securities borrowed and purchased under agreements to

resell — 15,811 3,551 — 19,362

Changes in investments and advances—intercompany (1,847) (870) 2,717 — —

Other investing activities — (64) (4,817) — (4,881)

Net cash provided by (used in) investing activities of

continuing operations $ (1,842) $ 14,877 $ (36,409) $ — $ (23,374)

Cash flows from financing activities of continuing operations

Dividends paid $ (5,447) $ — $ — $ — $ (5,447)

Issuance of preferred stock 1,496 — — — 1,496

Redemption of preferred stock (1,980) — — — (1,980)

Treasury stock acquired (17,571) — — — (17,571)

Proceeds from issuance of long-term debt, net 1,666 10,389 (3,950) — 8,105

Proceeds (repayments) from issuance of long-term debt—

intercompany, net — (7,177) 7,177 — —

Change in deposits — — 57,420 — 57,420

Change in securities loaned and sold under agreements to

repurchase — 5,115 (16,544) — (11,429)

Change in short-term borrowings — 7,440 5,263 — 12,703

Net change in short-term borrowings and other advances—

intercompany (968) 5,843 (4,875) — —

Capital contributions from (to) parent — (74) 74 — —

Other financing activities (364) (253) 253 — (364)

Net cash provided by (used in) financing activities of

continuing operations $ (23,168) $ 21,283 $ 44,818 $ — $ 42,933

Effect of exchange rate changes on cash and due from banks $ — $ — $ (908) $ — $ (908)

Change in cash and due from banks and deposits with banks $ 1 $ 764 $ 5,049 $ — $ 5,814

Cash and due from banks and deposits with banks at

beginning of year 3,020 15,677 169,408 — 188,105

Cash and due from banks and deposits with banks at end of

year $ 3,021 $ 16,441 $ 174,457 $ — $ 193,919

Cash and due from banks $ 21 $ 5,681 $ 18,265 $ — $ 23,967

Deposits with banks, net of allowance 3,000 10,760 156,192 — 169,952

Cash and due from banks and deposits with banks at end of

year $ 3,021 $ 16,441 $ 174,457 $ — $ 193,919

Supplemental disclosure of cash flow information for

continuing operations

Cash paid (received) during the year for income taxes $ (393) $ 418 $ 4,863 $ — $ 4,888

Cash paid during the year for interest 3,820 12,664 12,198 — 28,682

Non-cash investing activities

Transfers to loans HFS from loans $ — $ — $ 5,500 $ — $ 5,500

307

Condensed Consolidating Statements of Cash Flows

Year ended December 31, 2018

In millions of dollars

Citigroup

parent

company CGMHI

Other

Citigroup

subsidiaries

and

eliminations

Consolidating

adjustments

Citigroup

consolidated

Net cash provided by operating activities of continuing

operations $ 21,314 $ 13,287 $ 2,351 $ — $ 36,952

Cash flows from investing activities of continuing operations

Purchases of investments $ (7,955) $ (18) $ (144,514) $ — $ (152,487)

Proceeds from sales of investments 7,634 3 53,854 — 61,491

Proceeds from maturities of investments — — 83,604 — 83,604

Change in loans — — (29,002) — (29,002)

Proceeds from sales and securitizations of loans — — 4,549 — 4,549

Proceeds from significant disposals — — 314 — 314

Change in securities borrowed and purchased under agreements to

resell — (34,018) (4,188) — (38,206)

Changes in investments and advances—intercompany (5,566) (832) 6,398 — —

Other investing activities 556 (59) (3,878) — (3,381)

Net cash used in investing activities of continuing operations $ (5,331) $ (34,924) $ (32,863) $ — $ (73,118)

Cash flows from financing activities of continuing operations

Dividends paid $ (5,020) $ — $ — $ — $ (5,020)

Redemption of preferred stock (793) — — — (793)

Treasury stock acquired (14,433) — — — (14,433)

Proceeds (repayments) from issuance of long-term debt, net (5,099) 10,278 (2,656) — 2,523

Proceeds (repayments) from issuance of long-term debt—

intercompany, net — 10,708 (10,708) — —

Change in deposits — — 53,348 — 53,348

Change in securities loaned and sold under agreements to

repurchase — 23,454 (1,963) — 21,491

Change in short-term borrowings 32 88 (12,226) — (12,106)

Net change in short-term borrowings and other advances—

intercompany 1,819 (19,111) 17,292 — —

Capital contributions from (to) parent — (798) 798 — —

Other financing activities (482) — — — (482)

Net cash provided by (used in) financing activities of

continuing operations $ (23,976) $ 24,619 $ 43,885 $ — $ 44,528

Effect of exchange rate changes on cash and due from banks $ — $ — $ (773) $ — $ (773)

Change in cash and due from banks and deposits with banks $ (7,993) $ 2,982 $ 12,600 $ — $ 7,589

Cash and due from banks and deposits with banks at

beginning of year 11,013 12,695 156,808 — 180,516

Cash and due from banks and deposits with banks at end of

year $ 3,020 $ 15,677 $ 169,408 $ — $ 188,105

Cash and due from banks $ 20 $ 4,234 $ 19,391 $ — $ 23,645

Deposits with banks, net of allowance 3,000 11,443 150,017 — 164,460

Cash and due from banks and deposits with banks at end of

year $ 3,020 $ 15,677 $ 169,408 $ — $ 188,105

Supplemental disclosure of cash flow information for

continuing operations

Cash paid during the year for income taxes $ (783) $ 458 $ 4,638 $ — $ 4,313

Cash paid during the year for interest 3,854 8,671 10,438 — 22,963

Non-cash investing activities

Transfers to loans HFS from loans $ — $ — $ 4,200 $ — $ 4,200

308

29. SUBSEQUENT EVENT

As a result of new information Citi received subsequent to

December 31, 2020, Citi adjusted downward its 2020

financial results (recognized in the fourth quarter of 2020)

from those previously reported on January 15, 2021, due to a

$390 million increase in operating expenses ($323 million

after-tax) recorded within ICG, resulting from operational

losses related to certain legal matters. Citi’s results of

operations and financial condition for the full year 2020, as

reported in this Annual Report on Form 10‑K for the year

ended December 31, 2020, reflect the impact of this

adjustment.

309

30. SELECTED QUARTERLY FINANCIAL DATA (UNAUDITED)

2020 2019

In millions of dollars, except per share amounts

Fourth

(1)

Third

(2)

Second

(2)

First

(2)

Fourth Third Second First

Revenues, net of interest expense $ 16,499 $ 17,302 $ 19,766 $ 20,731 $ 18,378 $ 18,574 $ 18,758 $ 18,576

Operating expenses 11,104 10,964 10,460 10,643 10,454 10,464 10,500 10,584

Provisions (release) for credit losses and for benefits

and claims (46) 2,384 8,197 6,960 2,222 2,088 2,093 1,980

Income from continuing operations before income

taxes $ 5,441 $ 3,954 $ 1,109 $ 3,128 $ 5,702 $ 6,022 $ 6,165 $ 6,012

Income taxes

(3)

1,116 777 52 580 703 1,079 1,373 1,275

Income from continuing operations $ 4,325 $ 3,177 $ 1,057 $ 2,548 $ 4,999 $ 4,943 $ 4,792 $ 4,737

Income (loss) from discontinued operations, net of

taxes 6 (7) (1) (18) (4) (15) 17 (2)

Net income before attribution of noncontrolling

interests $ 4,331 $ 3,170 $ 1,056 $ 2,530 $ 4,995 $ 4,928 $ 4,809 $ 4,735

Noncontrolling interests 22 24 — (6) 16 15 10 25

Citigroup’s net income $ 4,309 $ 3,146 $ 1,056 $ 2,536 $ 4,979 $ 4,913 $ 4,799 $ 4,710

Earnings per share

(4)

Basic

Income from continuing operations $ 1.93 $ 1.37 $ 0.38 $ 1.07 $ 2.16 $ 2.09 $ 1.94 $ 1.88

Net income 1.93 1.37 0.38 1.06 2.16 2.09 1.95 1.88

Diluted

Income from continuing operations 1.92 1.36 0.38 1.06 2.15 2.08 1.94 1.87

Net income 1.92 1.36 0.38 1.06 2.15 2.07 1.95 1.87

This Note to the Consolidated Financial Statements is unaudited due to the Company’s individual quarterly results not being subject to an audit.

(1) As a result of new information Citi received subsequent to December 31, 2020, Citi adjusted downward its fourth quarter of 2020 financial results from those

previously reported on January 15, 2021, due to a $390 million increase in operating expenses ($323 million after‑tax) recorded within ICG, resulting from

operational losses related to certain legal matters. The downward adjustment lowered Citigroup’s fourth quarter net income from $4.6 billion to $4.3 billion and

earnings per diluted share from $2.08 to $1.92.

(2) In the fourth quarter of 2020, Citi revised the second quarter accounting conclusion for its variable post-charge-off third-party collection costs from a “change in

accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which requires an adjustment to January 1, 2020 opening

retained earnings, rather than net income. As a result, Citi’s full-year and quarterly results for 2020 have been revised to reflect this change as if it were effective

as of January 1, 2020. Citi recorded an increase to its beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million in its

allowance for credit losses on loans, as well as a $113 million increase in other assets related to income taxes, and recorded a decrease of $18 million to its

provisions for credit losses on loans in the first quarter and increases of $339 million and $122 million to its provisions for credit losses on loans in the second and

third quarters, respectively. In addition, Citi’s operating expenses increased by $49 million and $45 million with a corresponding decrease in net credit losses, in

the first and second quarters, respectively. See Note 1 to the Consolidated Financial Statements for additional information.

(3) The fourth quarter of 2019 includes discrete tax items of roughly $540 million including an approximate $430 million benefit of a reduction in Citi’s valuation

allowance related to its DTAs. The third quarter of 2019 includes discrete tax items of roughly $230 million, including an approximate $180 million benefit of a

reduction in Citi’s valuation allowance related to its DTAs.

(4) Certain securities were excluded from the second quarter of 2020 diluted EPS calculation because they were anti-dilutive. Year-to-date EPS will not equal the sum

of the individual quarters because the year-to-date EPS calculation is a separate calculation. In addition, due to averaging of shares, quarterly earnings per share

may not sum to the totals reported for the full year.

End of Consolidated Financial Statements and Notes to Consolidated Financial Statements

310

FINANCIAL DATA SUPPLEMENT

RATIOS

2020 2019 2018

Return on average assets 0.50 % 0.98 % 0.94 %

Return on average common

stockholders’ equity

(1)

5.7 10.3 9.4

Return on average total

stockholders’ equity

(2)

5.7 9.9 9.1

Total average equity to average

assets

(3)

8.7 9.9 10.3

Dividend payout ratio

(4)

43 24 23

(1) Based on Citigroup’s net income less preferred stock dividends as a

percentage of average common stockholders’ equity.

(2) Based on Citigroup’s net income as a percentage of average total

Citigroup stockholders’ equity.

(3) Based on average Citigroup stockholders’ equity as a percentage of

average assets.

(4) Dividends declared per common share as a percentage of net income per

diluted share.

AVERAGE DEPOSIT LIABILITIES IN OFFICES OUTSIDE THE U.S.

(1)

2020 2019 2018

In millions of dollars at year end, except ratios

Average

interest rate

Average

balance

Average

interest rate

Average

balance

Average

interest rate

Average

balance

Banks 0.10 % $ 130,970 0.59 % $ 52,699 1.35 % $ 44,426

Other demand deposits 0.33 311,342 1.08 293,209 0.61 287,665

Other time and savings deposits

(2)

0.94 210,896 1.28 223,450 1.31 209,410

Total 0.48 % $ 653,208 1.11 % $ 569,358 0.94 % $ 541,501

(1) Interest rates and amounts include the effects of risk management activities and also reflect the impact of the local interest rates prevailing in certain countries.

(2) Primarily consists of certificates of deposit and other time deposits in denominations of $100,000 or more.

MATURITY PROFILE OF TIME DEPOSITS IN U.S. OFFICES

In millions of dollars at December 31, 2020

Under 3

months

Over 3 to 6

months

Over 6 to 12

months

Over 12

months

Over $100,000

Certificates of deposit $ 8,257 $ 7,478 $ 2,535 $ 501

Other time deposits 4,531 13 21 708

Over $250,000

Certificates of deposit $ 6,434 $ 4,855 $ 1,367 $ 298

Other time deposits 4,499 — — 39

311

SUPERVISION, REGULATION AND OTHER

SUPERVISION AND REGULATION

Citi is subject to regulation under U.S. federal and state laws,

as well as applicable laws in the other jurisdictions in which it

does business.

General

Citigroup is a registered bank holding company and financial

holding company and is regulated and supervised by the

Federal Reserve Board. Citigroup’s nationally chartered

subsidiary banks, including Citibank, are regulated and

supervised by the Office of the Comptroller of the Currency

(OCC). The Federal Deposit Insurance Corporation (FDIC)

also has examination authority for banking subsidiaries whose

deposits it insures. Overseas branches of Citibank are

regulated and supervised by the Federal Reserve Board and

OCC and overseas subsidiary banks by the Federal Reserve

Board. These overseas branches and subsidiary banks are also

regulated and supervised by regulatory authorities in the host

countries. In addition, the Consumer Financial Protection

Bureau (CFPB) regulates consumer financial products and

services. Citi is also subject to laws and regulations

concerning the collection, use, sharing and disposition of

certain customer, employee and other personal and

confidential information, including those imposed by the

Gramm-Leach-Bliley Act, the Fair Credit Reporting Act and

the EU General Data Protection Regulation. For more

information on U.S. and foreign regulation affecting or

potentially affecting Citi, see “Managing Global Risk—

Capital Resources” and “–Liquidity Risk” and “Risk Factors”

above.

Other Bank and Bank Holding Company Regulation

Citi, including its banking subsidiaries, is subject to regulatory

limitations, including requirements for banks to maintain

reserves against deposits, requirements as to liquidity, risk-

based capital and leverage (see “Capital Resources” above and

Note 18 to the Consolidated Financial Statements), restrictions

on the types and amounts of loans that may be made and the

interest that may be charged, and limitations on investments

that can be made and services that can be offered. The Federal

Reserve Board may also expect Citi to commit resources to its

subsidiary banks in certain circumstances. Citi is also subject

to anti-money laundering and financial transparency laws,

including standards for verifying client identification at

account opening and obligations to monitor client transactions

and report suspicious activities.

Securities and Commodities Regulation

Citi conducts securities underwriting, brokerage and dealing

activities in the U.S. through Citigroup Global Markets Inc.

(CGMI), its primary broker-dealer, and other broker-dealer

subsidiaries, which are subject to regulations of the U.S.

Securities and Exchange Commission (SEC), the Financial

Industry Regulatory Authority and certain exchanges. Citi

conducts similar securities activities outside the U.S., subject

to local requirements, through various subsidiaries and

affiliates, principally Citigroup Global Markets Limited in

London (CGML), which is regulated principally by the U.K.

Financial Conduct Authority (FCA), and Citigroup Global

Markets Japan Inc. in Tokyo, which is regulated principally by

the Financial Services Agency of Japan.

Citi also has subsidiaries that are members of futures

exchanges and derivatives clearinghouses. In the U.S., CGMI

is a member of the principal U.S. futures exchanges and

clearinghouses, and Citi has subsidiaries that are registered as

futures commission merchants and commodity pool operators

with the Commodity Futures Trading Commission (CFTC).

Citibank, CGMI, Citigroup Energy Inc., Citigroup Global

Markets Europe AG and CGML are also registered as swap

dealers with the CFTC, and other Citi subsidiaries are

registered with the CFTC as commodity pool operators. CGMI

is also subject to SEC and CFTC rules that specify uniform

minimum net capital requirements. Compliance with these

rules could limit those operations of CGMI that require the

intensive use of capital and also limits the ability of broker-

dealers to transfer large amounts of capital to parent

companies and other affiliates. See “Capital Resources” and

Note 18 to the Consolidated Financial Statements for a further

discussion of capital considerations of Citi’s non-banking

subsidiaries.

Transactions with Affiliates

Transactions between Citi’s U.S. subsidiary depository

institutions and their non-bank affiliates are regulated by the

Federal Reserve Board, and are generally required to be on

arm’s-length terms. See “Managing Global Risk—Liquidity

Risk” above.

COMPETITION

The financial services industry is highly competitive. Citi’s

competitors include a variety of financial services and

advisory companies. Citi competes for clients and capital

(including deposits and funding in the short- and long-term

debt markets) with some of these competitors globally and

with others on a regional or product basis. Citi’s competitive

position depends on many factors, including, among others,

the value of Citi’s brand name, reputation, the types of clients

and geographies served; the quality, range, performance,

innovation and pricing of products and services; the

effectiveness of and access to distribution channels,

technology advances, customer service and convenience; the

effectiveness of transaction execution, interest rates and

lending limits; and regulatory constraints. Citi’s ability to

compete effectively also depends upon its ability to attract

new colleagues and retain and motivate existing colleagues,

while managing compensation and other costs. For additional

information on competitive factors and uncertainties impacting

Citi’s businesses, see “Risk Factors—Strategic Risks” above.

312

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 related quarterly reports on Form 10-Q, previously

disclosed no reportable activities for the first and third quarters

of 2020 and reportable activities pursuant to Section 219 for

the second quarter of 2020.

Citi had no reportable activities pursuant to Section 219

for the fourth quarter of 2020.

313

UNREGISTERED SALES OF EQUITY SECURITIES,

REPURCHASES OF EQUITY SECURITIES AND

DIVIDENDS

Unregistered Sales of Equity Securities

None.

Equity Security Repurchases As previously announced, on

March 15, 2020, Citi joined other major U.S. banks in

suspending share repurchases in light of the COVID-19

pandemic. In addition, based on measures announced by the

Federal Reserve Board throughout 2020, share repurchases

were prohibited through the end of the fourth quarter of 2020.

Accordingly, Citi did not have any share repurchases in the

fourth quarter of 2020, other than permitted repurchases

relating to issuances of common stock related to employee

stock ownership plans. During the fourth quarter, pursuant to

Citigroup’s Board of Directors’ authorization, Citi

repurchased 50,588 shares (at an average price of $54.59) of

common stock, added to treasury stock, related to activity on

employee stock programs where shares were withheld to

satisfy the employee tax requirements.

Based on measures announced by the Federal Reserve

Board in December 2020, share repurchases will be permitted

during the first quarter of 2021, subject to limitations based on

net income for the four preceding calendar quarters, in

addition to the previously announced common dividends paid

during the first quarter of 2021. These limitations on capital

distributions may be extended by the Federal Reserve Board.

Under these modified limitations on capital distributions, Citi

is authorized to return capital to common shareholders of up to

$2.8 billion, during the first quarter of 2021, including the

previously announced common dividends of $0.51 per share in

the quarter. Citi commenced share repurchases in February

2021. For additional information on these capital distribution

limitations, see “Capital Resources—Capital Plan

Resubmission and Related Limitations on Capital

Distributions” above.

Dividends

Consistent with the regulatory capital framework, Citi paid

common dividends of $0.51 per share for the fourth quarter of

2020 and the first quarter of 2021, and intends to maintain its

planned capital actions, which include common dividends of

$0.51 per share through the second and third quarter of 2021

(the remaining quarters of the 2020 CCAR cycle), subject to

approval of Citi’s Board of Directors and the latest financial

and macroeconomic conditions.

In addition to Board of Directors’ approval, Citi’s ability

to pay common stock dividends substantially depends on the

results of the CCAR process required by the Federal Reserve

Board and the supervisory stress tests required under the

Dodd-Frank Act. For additional information regarding Citi’s

capital planning and stress testing, see “Capital Resources—

Stress Testing Component of Capital Planning” and “Risk

Factors—Strategic Risks” above.

Through the end of the first quarter of 2021, dividends

continue to be capped and tied to a formula based on recent

income. These limitations on capital distributions may be

extended by the Federal Reserve Board. For additional

information on these capital distribution limitations, see

“Capital Resources—Capital Plan Resubmission and Related

Limitations on Capital Distributions” above.

Any dividend on Citi’s outstanding common stock would

also need to be made in compliance with Citi’s obligations on

its outstanding preferred stock.

For information on the ability of Citigroup’s subsidiary

depository institutions to pay dividends, see Note 18 to the

Consolidated Financial Statements.

314

PERFORMANCE GRAPH

Comparison of Five-Year Cumulative Total Return

The following graph and table compare the cumulative total

return on Citi’s common stock with the cumulative total return

of the S&P 500 Index and the S&P Financials Index over the

five-year period through December 31, 2020. The graph and

table assume that $100 was invested on December 31, 2015 in

Citi’s common stock, the S&P 500 Index and the S&P

Financials Index, and that all dividends were reinvested.

Comparison of Five-Year Cumulative Total Return

For the years ended

Citigroup S&P 500 Index S&P Financials Index

2015 2016 2017 2018 2019 2020

100

125

150

175

200

225

DATE Citigroup

S&P 500

Index

S&P

Financials

Index

31-Dec-2015 100.0 100.0 100.0

31-Dec-2016 115.9 112.0 122.8

31-Dec-2017 147.2 136.4 150.0

31-Dec-2018 105.3 130.4 130.5

31-Dec-2019 166.1 171.5 172.4

31-Dec-2020 133.5 203.0 169.5

Note: Citi’s common stock is listed on the NYSE under the

ticker symbol “C” and held by 63,632 common stockholders

of record as of January 31, 2021.

315

CORPORATE INFORMATION

EXECUTIVE OFFICERS

Citigroup’s executive officers as of February 26, 2021 are:

Name Age Position and office held

Peter Babej 57 CEO, Asia Pacific

Michael L. Corbat* 60

Chief Executive Officer, Citigroup Inc.

and Citibank, N.A.

Jane Fraser* 53 President

David Livingstone 57 CEO, Europe, Middle East and Africa

Mark A. L. Mason 51 Chief Financial Officer

Mary McNiff 50 Chief Compliance Officer

Johnbull Okpara 49

Controller and Chief Accounting

Officer

Karen Peetz 65 Chief Administrative Officer

Anand Selvakesari

53 CEO, Global Consumer Banking

Edward Skyler 47 Head of Global Public Affairs

Ernesto Torres Cantú 56 CEO, Latin America

Zdenek Turek 56 Chief Risk Officer

Sara Wechter 40 Head of Human Resources

Rohan Weerasinghe 70

General Counsel and Corporate

Secretary

Mike Whitaker 57 Head of Operations and Technology

Paco Ybarra 59 CEO, Institutional Clients Group

* Ms. Fraser will succeed Mr. Corbat as Citigroup’s CEO effective

immediately following the filing of Citi’s 2020 Annual Report on Form 10-K.

Each executive officer has held his or her current executive

officer position with Citigroup for at least five years, except

that:

• Mr. Babej joined Citi in 2010 and assumed his current

position in October 2019. Previously, he served as ICG’s

Global Head of the Financial Institutions Group (FIG)

from January 2017 to October 2019 and Global Co-Head

of FIG from 2010 to January 2017. Prior to joining Citi,

Mr. Babej served as Co-Head, Financial Institutions—

Americas at Deutsche Bank, among other roles;

• Ms. Fraser joined Citi in 2004 and assumed her current

position in October 2019. Previously, she served as CEO

of GCB from October 2019 to December 2020. Before

that, she served as CEO of Citi Latin America from June

2015 to October 2019. She held a number of other roles

across the organization, including CEO of U.S. Consumer

and Commercial Banking and CitiMortgage, CEO of

Citi’s Global Private Bank and Global Head of Strategy

and M&A;

• Mr. Livingstone joined Citi in 2016 and assumed his

current position in March 2019. Previously, he served as

Citi Country Officer for Australia and New Zealand since

June 2016. Prior to joining Citi, he had a nine-year career

at Credit Suisse, where he was Vice Chairman of the

Investment Banking and Capital Markets Division for the

EMEA region, Head of M&A and CEO of Credit Suisse

Australia;

• Mr. Mason joined Citi in 2001 and assumed his current

position in February 2019. Previously, he served as CFO

of ICG since September 2014. He held a number of other

senior operational, strategic and financial executive roles

across the organization, including CEO of Citi Private

Bank, CEO of Citi Holdings and CFO and Head of

Strategy and M&A for Citi’s Global Wealth Management

Division;

• Ms. McNiff joined Citi in 2012 and assumed her current

position in June 2020. Previously, she served as CEO of

Citibank, N.A. from April 2019 to June 2020 and Chief

Auditor of Citi from February 2017 to April 2019. Prior

to taking on that role, Ms. McNiff served as Chief

Administrative Officer of Latin America & Mexico and

interim Chief Auditor. She also led the Global

Transformation initiative within Internal Audit;

• Mr. Okpara joined Citi in his current position in

November 2020. Previously he served as Managing

Director, Global Head of Financial Planning and Analysis

and CFO, Infrastructure Groups at Morgan Stanley since

2016. Prior to that, Mr. Okpara was Managing Vice

President, Finance and Deputy Controller at Capital One

Financial Corporation;

• Ms. Peetz joined Citi in her current position in June 2020.

Previously, she served on the Board of Directors of Wells

Fargo from 2017 to 2019. Ms. Peetz spent nearly 20 years

at BNY Mellon, where she managed several business

units and ultimately served as President for five years

until her departure in 2016. Prior to that, she worked at

JPMorgan Chase, where she held a variety of

management positions during her tenure;

• Mr. Selvakesari joined Citi in 1991 and assumed his

current position in January 2021. Previously, he served as

Head of the U.S. Consumer Bank since October 2018 and

he held various other roles at Citi prior to that, including

Head of Consumer Banking for Asia Pacific from 2015 to

2018, as well as a number of regional and country roles,

including Head of Consumer Banking for ASEAN and

India, leading the consumer banking businesses in

Singapore, Malaysia, Indonesia, Philippines, Thailand and

Vietnam, as well as India;

• Mr. Torres Cantú joined Citi in 1989 and assumed his

current position in October 2019. Previously, he served as

CEO of Citibanamex since October 2014. He served as

CEO of GCB in Mexico from 2006 to 2011 and CEO of

Crédito Familiar from 2003 to 2006. In addition, he

previously held roles in Citibanamex, including Regional

Director and Divisional Director;

• Mr. Turek joined Citi in 1991 and assumed his current

position in December 2020. Previously, he served as CRO

for EMEA since February 2020 and held various other

roles at Citi, including CEO of Citibank Europe as well as

leading significant franchises across Citi, including in

Russia, South Africa and Hungary;

• Ms. Wechter joined Citi in 2004 and assumed her current

position in July 2018. Previously, she served as Citi’s

Head of Talent and Diversity as well as Chief of Staff to

Citi CEO Michael Corbat. She served as Chief of Staff to

both Michael O’Neill and Richard Parsons during their

terms as Chairman of Citigroup’s Board of Directors. In

addition, she held roles in Citi’s ICG, including Corporate

M&A and Strategy and Investment Banking;

316

• Mr. Whitaker joined Citi in 2009 and assumed his current

position in November 2018. Previously, he served as

Head of Operations & Technology for ICG since

September 2014 and held various other roles at Citi,

including Head of Securities & Banking Operations &

Technology, Head of ICG Technology and Regional

Chief Information Officer; and

• Mr. Ybarra joined Citi in 1987 and assumed his current

position in May 2019. Previously, he served as ICG’s

Global Head of Markets and Securities Services since

November 2013. In addition, he has held a number of

other roles across ICG, including Deputy Head of ICG,

Global Head of Markets and Co-Head of Global Fixed

Income.

Code of Conduct, Code of Ethics

Citi has a Code of Conduct that maintains its commitment to

the highest standards of conduct. The Code of Conduct is

supplemented by a Code of Ethics for Financial Professionals

(including accounting, controllers, financial reporting

operations, financial planning and analysis, treasury, tax,

strategy and M&A, investor relations and regional/product

finance professionals and administrative staff) that applies

worldwide. The Code of Ethics for Financial Professionals

applies to Citi’s principal executive officer, principal financial

officer and principal accounting officer. Amendments and

waivers, if any, to the Code of Ethics for Financial

Professionals will be disclosed on Citi’s website,

www.citigroup.com.

Both the Code of Conduct and the Code of Ethics for

Financial Professionals can be found on the Citi website by

clicking on “About Us,” and then “Corporate Governance.”

Citi’s Corporate Governance Guidelines can also be found

there, as well as the charters for the Audit Committee, the

Ethics and Culture Committee, the Nomination, Governance

and Public Affairs Committee, the Operations and Technology

Committee, the Personnel and Compensation Committee and

the Risk Management Committee of Citigroup’s Board of

Directors. These materials are also available by writing to

Citigroup Inc., Corporate Governance, 388 Greenwich Street,

17th Floor, New York, New York 10013.

CITIGROUP BOARD OF DIRECTORS

Michael L. Corbat

Chief Executive Officer

Citigroup Inc. and Citibank, N.A.

Ellen M. Costello

Former President and CEO

BMO Financial Corporation and

Former U.S. Country Head

BMO Financial Group

Grace E. Dailey

Former Senior Deputy Comptroller

for Bank Supervision Policy and

Chief National Bank Examiner

Office of the Comptroller of the

Currency (OCC)

Barbara Desoer

Chair

Citibank, N.A.

John C. Dugan

Chair

Citigroup Inc.

Jane Fraser

President of Citigroup Inc.

Duncan P. Hennes

Co-Founder and Partner

Atrevida Partners, LLC

Peter Blair Henry

Dean Emeritus and W. R.

Berkley Professor of Economics

and Finance

New York University

Stern School of Business

S. Leslie Ireland

Former Assistant Secretary for

Intelligence and Analysis

U.S. Department of the Treasury

Lew W. (Jay) Jacobs, IV

Former President and Managing

Director

Pacific Investment Management

Company LLC (PIMCO)

Renée J. James

Founder, Chairman and CEO

Ampere Computing

Gary M. Reiner

Operating Partner

General Atlantic LLC

Diana L. Taylor

Former Superintendent of Banks

State of New York

James S. Turley

Former Chairman and CEO

Ernst & Young

Deborah C. Wright

Former Chairman

Carver Bancorp, Inc.

Alexander Wynaendts

Former Chief Executive Officer

and Chairman of the Executive

Board

Aegon N.V.

Ernesto Zedillo Ponce de Leon

Director, Center for the

Study of Globalization and

Professor in the Field

of International

Economics and Politics

Yale University

317

Signatures

Pursuant to the requirements of Section 13 or 15(d) of the

Securities Exchange Act of 1934, the registrant has duly

caused this report to be signed on its behalf by the

undersigned, thereunto duly authorized, on the 26th day of

February, 2021.

Citigroup Inc.

(Registrant)

/s/ Mark A. L. Mason

Mark A. L. Mason

Chief Financial Officer

Pursuant to the requirements of the Securities Exchange Act of

1934, this report has been signed below by the following

persons on behalf of the registrant and in the capacities

indicated on the 26th day of February, 2021.

Citigroup’s Principal Executive Officer and a Director:

/s/ Michael L. Corbat

Michael L. Corbat

Citigroup’s Principal Financial Officer:

/s/ Mark A. L. Mason

Mark A. L. Mason

Citigroup’s Principal Accounting Officer:

/s/ Johnbull E. Okpara

Johnbull E. Okpara

The Directors of Citigroup listed below executed a power of

attorney appointing Mark A. L. Mason their attorney-in-fact,

empowering him to sign this report on their behalf.

Ellen M. Costello Lew W. (Jay) Jacobs, IV

Grace E. Dailey Renée J. James

Barbara Desoer Gary M. Reiner

John C. Dugan Diana L. Taylor

Jane Fraser James S. Turley

Duncan P. Hennes Deborah C. Wright

Peter Blair Henry Alexander Wynaendts

S. Leslie Ireland Ernesto Zedillo Ponce de Leon

/s/ Mark A. L. Mason

Mark A. L. Mason

318

EXHIBIT INDEX

Exhibit

Number Description of Exhibit

3.01+ Restated Certificate of Incorporation of Citigroup, as amended, as in effect on the date hereof.

3.02

By-Laws of Citigroup, as amended, as in effect on the date hereof, incorporated by reference to the Company’s

Current Report on Form 8-K filed December 18, 2019 (File No. 001-09924).

4.01

Form of Senior Indenture between Citigroup and The Bank of New York Mellon, as trustee, incorporated by

reference to Exhibit 4.8 to the Company’s Registration Statement on Form S-3 filed November 13, 2013 (File No.

333-192302).

4.02

First Supplemental Indenture, dated as of February 1, 2016, between Citigroup and The Bank of New York Mellon,

as trustee, incorporated by reference to Exhibit 4.01 to the Company’s Current Report on Form 8-K filed on

February 1, 2016 (File No. 001-9924).

4.03

Second Supplemental Indenture, dated as of December 29, 2016, between Citigroup and The Bank of New York

Mellon, as trustee, incorporated by reference to Exhibit 4.01 to the Company’s Current Report on Form 8-K filed

on December 29, 2016 (File No. 001-9924).

4.04

Third Supplemental Indenture dated as of June 26, 2017 among Citigroup Global Markets Holdings Inc., the

Company and The Bank of New York Mellon, as trustee, to Indenture dated as of November 13, 2013,

incorporated by reference to Exhibit 4.01 to the Company’s Quarterly Report on Form 10-Q filed August 1, 2017

(File No. 001-09924).

4.05

Fourth Supplemental Indenture dated as of June 27, 2019, between Citigroup and The Bank of New York Mellon,

as trustee, incorporated by reference to Exhibit 4.2 to the Company’s Current Report on Form 8-K filed on June 28,

2019 (File No. 001-09924).

4.06

Subordinated Debt Indenture, dated as of April 12, 2001, between the Company and The Bank of New York

Mellon, as successor to JP Morgan Chase Bank (formerly Bank One Trust Company, N.A.), as trustee,

incorporated by reference to Exhibit 4.1 to the Company’s Registration Statement on Form S-3 filed February 4,

2013 (File No. 333-186425).

4.07

First Supplemental Indenture, dated as of August 2, 2004, between the Company and J.P. Morgan Trust Company,

N.A. (formerly Bank One Trust Company, N.A.), as trustee, incorporated by reference to Exhibit 4.13 to the

Company’s Registration Statement on Form S-3/A filed August 31, 2004 (File No. 333-117615).

4.08

Second Supplemental Indenture, dated as of May 18, 2016, between Citigroup and The Bank of New York Mellon,

as successor to J.P. Morgan Trust Company, N.A. (formerly Bank One Trust Company, N.A.), as trustee,

incorporated by reference to Exhibit 4.2 to the Company’s Current Report on Form 8-K filed on May 20, 2016

(File No. 001-9924).

4.09

Third Supplemental Indenture, dated as of March 1, 2017, between Citigroup and The Bank of New York Mellon,

as successor to J.P. Morgan Trust Company, N.A. (formerly Bank One Trust Company, N.A.), as trustee,

incorporated by reference to Exhibit 4.11 to the Company’s Registration Statement on Form S-3 filed March 1,

2017 (File No. 333-216372).

4.10

Fourth Supplemental Indenture, dated as of June 27, 2019, between Citigroup and The Bank of New York

Mellon,as trustee, incorporated by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-K filed on

June 28, 2019 (File No. 001-09924).

319

4.11

Indenture, dated as of March 15, 1987, between Primerica Corporation, a New Jersey corporation, and The Bank of

New York, as trustee, incorporated by reference to Exhibit 4.01 to the Company’s Registration Statement on Form

S-3 filed December 8, 1992 (File No. 03355542).

4.12

First Supplemental Indenture, dated as of December 15, 1988, among Primerica Corporation, Primerica Holdings,

Inc. and The Bank of New York, as trustee, incorporated by reference to Exhibit 4.02 to the Company’s

Registration Statement on Form S-3 filed December 8, 1992 (File No. 03355542).

4.13

Second Supplemental Indenture, dated as of January 31, 1991, between Primerica Holdings, Inc. and The Bank of

New York, as trustee, incorporated by reference to Exhibit 4.03 to the Company’s Registration Statement on Form

S-3 filed December 8, 1992 (File No. 03355542).

4.14

Third Supplemental Indenture, dated as of December 9, 1992, among Primerica Holdings, Inc., Primerica

Corporation and The Bank of New York, as trustee, incorporated by reference to Exhibit 5 to the Company’s Form

8-A dated December 21, 1992, with respect to its 7 3/4% Notes Due June 15, 1999 (File No. 001-09924).

4.15

Fourth Supplemental Indenture, dated as of November 2, 1998, between the Company and The Bank of New York,

as trustee, incorporated by reference to Exhibit 4.01 to the Company’s Quarterly Report on Form 10-Q for the

quarter ended September 30, 1998 (File No. 001-09924).

4.16

Fifth Supplemental Indenture, dated as of December 9, 2008, between the Company and The Bank of New York

Mellon, as trustee, incorporated by reference to Exhibit 4.04 to the Company’s Current Report on Form 8-K filed

December 11, 2008 (File No. 001-09924).

4.17

Sixth Supplemental Indenture, dated as of December 20, 2012, between the Company and The Bank of New York

Mellon, as trustee, providing for the issuance of debt securities, incorporated by reference to Exhibit 4.5 to the

Company’s Current Report on Form 8-K filed December 21, 2012 (File No. 001-09924).

4.18

Seventh Supplemental Indenture, dated as of May 18, 2016, between Citigroup Inc. and The Bank of New York

Mellon, as trustee, incorporated by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-K filed

May 20, 2016 (File No. 001-9924).

4.19

Senior Debt Indenture, dated as of June 1, 2005, among Citigroup Funding Inc., the Company and The Bank of

New York Mellon, as successor trustee to JPMorgan Chase Bank, N.A., incorporated by reference to Exhibit 4(b)

to the Company’s Registration Statement on Form S-3 filed March 13, 2006 (File No. 333-132370-01).

4.20

Second Supplemental Indenture, dated as of December 20, 2012, among Citigroup Funding Inc., the Company and

The Bank of New York Mellon, as successor trustee to JPMorgan Chase Bank, N.A., incorporated by reference to

Exhibit 4.2 to the Company’s Current Report on Form 8-K filed December 21, 2012 (File No. 001-09924).

4.21

Indenture, dated as of July 23, 2004, between the Company and The Bank of New York Mellon, as successor

trustee to JPMorgan Chase Bank, as trustee, incorporated by reference to Exhibit 4.28 to the Company’s

Registration Statement on Form S-3 filed July 23, 2004 (File No. 333-117615).

4.22

Form of Indenture, between the Company and The Bank of New York Mellon, as successor trustee to JPMorgan

Chase Bank, incorporated by reference to Exhibit 4.01 to the Company’s Post-Effective Amendment No. 2 to the

Registration Statement on Form S-3 filed May 4, 2007 (File No. 333-135163).

4.23

Form of Indenture, between the Company and The Bank of New York Mellon, as successor trustee to JPMorgan

Chase Bank (formerly known as The Chase Manhattan Bank), incorporated by reference to Exhibit 4.11 to the

Travelers Group Inc. Registration Statement on Form S-3 filed September 20, 1996 (File No. 333-12439).

4.24

Senior Debt Indenture, dated as of March 8, 2016, between Citigroup Global Markets Holdings Inc., the Company

and The Bank of New York Mellon, as trustee, incorporated by reference to Exhibit 4.1 to the Company’s Current

Report on Form 8-K filed March 9, 2016 (File No. 001-09924).

320

4.25

First Supplemental Indenture, dated as of March 1, 2017, between Citigroup Global Markets Holdings Inc., the

Company and the Bank of New York Mellon, as trustee, incorporated by reference to Exhibit 4.24 to the

Company’s Registration Statement on Form S-3 filed March 1, 2017 (File No. 333-216372).

4.26

Second Supplemental Indenture, dated as of April 13, 2020, between Citigroup Global Markets Holdings Inc., the

Company and the Bank of New York Mellon, as trustee, incorporated by reference to Exhibit 4.01 to the

Company’s Current Report on Form 8-K filed on April 13, 2020 (File No. 001-09924).

4.27

Form of Capital Securities Guarantee Agreement between the Company, as Guarantor, and The Bank of New York

Mellon, as Guarantee Trustee, incorporated by reference to Exhibit 4.32 to the Company’s Registration Statement

on Form S-3 filed July 2, 2004 (File No. 333-117615).

4.28

Specimen Physical Common Stock Certificate of Citigroup, incorporated by reference to Exhibit 4.1 to the

Company’s Current Report on Form 8-K filed May 9, 2011 (File No. 001-09924).

4.29+ Description of Citigroup’s Securities Registered Pursuant to Section 12 of the Securities Exchange Act of 1934.

10.01*

Citi Discretionary Incentive and Retention Award Plan (as Amended and Restated Effective as of January 1, 2015),

incorporated by reference to Exhibit 10.01 to the Company’s Annual Report on Form 10-K for the fiscal year

ended December 31, 2014 (File No. 001-09924) (the “Company’s 2014 10-K”).

10.02.1*

Citigroup 2009 Stock Incentive Plan (as amended and restated effective April 24, 2013), incorporated by reference

to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed April 26, 2013 (File No. 001-09924).

10.02.2*

Citigroup 2014 Stock Incentive Plan (as amended and restated effective April 24, 2018), incorporated by reference

to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed April 30, 2018 (File No. 001-09924).

10.02.3*

Citigroup 2019 Stock Incentive Plan (as amended and restated effective April 21, 2020), incorporated by reference

to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed April 17, 2019 (File No. 001-09924).

10.03*

Citigroup Inc. Deferred Cash Award Plan (as Amended and Restated Effective as of January 1, 2015), incorporated

by reference to Exhibit 10.03 to the Company’s 2014 10-K.

10.04.1*

Form of Citigroup Inc. CAP/DCAP Agreement, incorporated by reference to Exhibit 10.01 to the Company’s

Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015 (File No. 001-09924).

10.04.2*

Form of Citigroup Inc. CAP/DCAP Agreement (for awards granted on February 14, 2019 and in future years),

incorporated by reference to Exhibit 10.02 to the Company’s Quarterly Report on Form 10-Q for the quarterly

period ended March 31, 2019 (File No. 001-09924).

10.05*

Form of Citigroup Inc. CAP Agreement, incorporated by reference to Exhibit 10.01 to the Company’s Quarterly

Report on Form 10-Q for the quarterly period ended September 30, 2019 (File No. 001-09924).

10.06*

Citigroup Inc. DCAP Agreement, incorporated by reference to Exhibit 10.04 to the Company’s Quarterly Report

on Form 10-Q for the quarterly period ended March 31, 2020 (File No. 001-09924).

10.07*

The Amended and Restated 2011 Citigroup Executive Performance Plan (as amended and restated as of January 1,

2016, and as further amended on February 16, 2017), incorporated by reference to Exhibit 10.2 to the Company’s

Current Report on Form 10-Q filed for the quarterly period ended March 31, 2017 (File No. 001-09924).

10.08.1*

Form of Citigroup Inc. Performance Share Unit Award Agreement (awards dated February 16, 2017 and in future

years), incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the

quarterly period ended March 31, 2017 (File No. 001-09924).

321

10.08.2*

Form of Citigroup Inc. Performance Share Unit Award Agreement (awards dated February 14, 2019 and in future

years), incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the

quarterly period ended March 31, 2019 (File No. 001-09924).

10.09*

Citigroup Management Committee Termination Notice and Non-Solicitation Policy, effective October 2, 2006,

incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed October 6, 2006

(File No. 001-09924).

10.10*

Citigroup Inc. Omnibus Non-Qualified Plan Amendment, effective as of June 2, 2014, incorporated by reference to

Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2014 (File

No. 001-09924).

10.11*

The Retirement Plan for Specified Non-United States International Staff of Citibank, N.A. and Participating

Companies As Amended and Restated Effective January 1, 2000 (with amendments through December 31, 2008),

incorporated by reference to Exhibit 10.02 to the Company’s Quarterly Report on Form 10-Q for the quarterly

period ended March 31, 2020 (File No. 001-09924).

10.12*

Letter Agreement, dated December 21, 2011, between Citigroup Inc. and Michael Corbat, incorporated by

reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed December 22, 2011 (File No.

001-09924).

10.13*

Citigroup Inc. Non-Employee Directors Compensation Plan (effective as of January 1, 2008), incorporated by

reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended

September 30, 2007 (File No. 001-09924).

10.14*

Citigroup Inc. Off-Cycle Award Agreement for Deferred Stock Award and Deferred Cash Award granted to Jane

Fraser (dated November 25, 2019), incorporated by reference to Exhibit 10.14 to the Company’s Annual Report on

Form 10-K for the fiscal year ended December 31, 2019 (File No. 001-09924) (the “Company’s 2019 10-K”).

10.15*

Agreement between Stephen Bird and Citibank, N.A. (dated November 8, 2019), incorporated by reference to

Exhibit 10.15 to the Company’s 2019 form 10-K (File No. 001-09924).

10.16.1*

Letter Agreement, dated April 22, 2020, between Paco Ybarra and Citigroup Global Markets Limited, incorporated

by reference to Exhibit 10.03 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended

March 31, 2020 (File No. 001-09924).

10.16.2*

Amendment to Letter Agreement, dated April 22, 2020, between Paco Ybarra and Citigroup Global Markets

Limited (dated June 19, 2020), incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on

Form 10-Q for the quarterly period ended June 30, 2020 (File No. 001-09924).

10.16.3*

Amendment to Letter Agreement, dated April 22, 2020, between Paco Ybarra and Citigroup Global Markets

Limited (dated June 29, 2020), incorporated by reference to Exhibit 10.02 to the Company’s Quarterly Report on

Form 10-Q for the quarterly period ended June 30, 2020 (File No. 001-09924).

18.01+ Preferability Letter of KPMG LLP, Independent Registered Public Accounting Firm.

21.01+ Subsidiaries of Citigroup.

23.01+ Consent of KPMG LLP, Independent Registered Public Accounting Firm.

24.01+ Powers of Attorney.

31.01+ Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

322

31.02+ Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.01+

Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of

2002.

99.01+

List of Securities Registered Pursuant to Section 12(b) of the Securities Exchange Act of 1934, formatted in inline

XBRL.

101.01+

Financial statements from the Annual Report on Form 10-K of Citigroup for the fiscal year ended December 31,

2020, filed on February 26, 2021 , formatted in inline XBRL: (i) the Consolidated Statement of Income, (ii) the

Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Equity, (iv) the Consolidated

Statement of Cash Flows and (v) the Notes to Consolidated Financial Statements.

104 The cover page of this Current Report on Form 10-K, 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.

Copies of any of the exhibits referred to above will be furnished at a cost of $0.25 per page (although no charge will be made for the

2020 Annual Report on Form 10-K) to security holders who make written request to Citigroup Inc., Corporate Governance, 388

Greenwich Street, New York, NY 10013.

* Denotes a management contract or compensatory plan or arrangement.

+ Filed herewith.

323

Stockholder Information

Produced by Citi Graphic Communications.

The cover and editorial section of this annual report are printed on McCoy, manufactured by Sappi North America with 10% recycled content

and FSC

®®

Chain of Custody Certiﬁed. 100% of the electricity used to manufacture McCoy is Green-e

®®

certiﬁed renewable energy.

The ﬁnancial section of this annual report is printed on FSC

certiﬁed Accent Opaque from International Paper.

Citi, Citi and Arc Design and other marks used herein are service marks of Citigroup Inc. or its afﬁliates, used and registered throughout the world.

Citigroup common stock is listed on the NYSE under the

ticker symbol “C.” Citigroup preferred stock Series J and K

are also listed on the NYSE.

Because Citigroup’s common stock is listed on the NYSE,

the Chief Executive Ofﬁcer is required to make an annual

certiﬁcation to the NYSE stating that he was not aware of

any violation by Citigroup of the corporate governance listing

standards of the NYSE. The annual certiﬁcation to that effect

was made to the NYSE on May 14, 2020.

As of January 31, 2021, Citigroup had approximately 63,632

common stockholders of record. This ﬁgure does not

represent the actual number of beneﬁcial owners of common

stock because shares are frequently held in “street name”

by securities dealers and others for the beneﬁt of individual

owners who may vote the shares.

Transfer Agent

Stockholder address changes and inquiries regarding stock

transfers, dividend replacement, 1099-DIV reporting and

lost securities for common and preferred stock should be

directed to:

Computershare

P.O. Box 505005

Louisville, KY 40233-5005

Telephone No. 781 575 4555

Toll-free No. 888 250 3985

E-mail address: shareholder@computershare.com

Web address: www.computershare.com/investor

Exchange Agent

Holders of Golden State Bancorp, Associates First Capital

Corporation or Citicorp common stock should arrange to

exchange their certiﬁcates by contacting:

Computershare

P.O. Box 505004

Louisville, KY 40233-5004

Telephone No. 781 575 4555

Toll-free No. 888 250 3985

E-mail address: shareholder@computershare.com

Web address: www.computershare.com/investor

On May 9, 2011, Citi effected a 1-for-10 reverse stock split.

All Citi common stock certiﬁcates issued prior to that date

must be exchanged for new certiﬁcates by contacting

Computershare at the address noted above.

Citi’s 2020 Form 10-K ﬁled with the SEC, as well as other

annual and quarterly reports, are available from Citi

Document Services toll free at 877 936 2737 (outside the

United States at 716 730 8055), by e-mailing a request to

docserv[email protected]om or by writing to:

Citi Document Services

540 Crosspoint Parkway

Getzville, NY 14068

Stockholder Inquiries

Information about Citi, including quarterly earnings

releases and ﬁlings with the U.S. Securities and Exchange

Commission, can be accessed via Citi’s website at

www.citigroup.com. Stockholder inquiries can also be

directed by e-mail to shareholderrelations@citi.com.

2001312 CIT24029 03/21

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