citi-2022-annual-report.pdf

2022 ANNUAL REPORT

Citi is proud of its

colleagues in Ukraine,

who are supporting

the country through

a devastating war.

A mission of enabling growth

and economic 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 more than 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

More than 20 years ago, I started at Citi as a market risk analyst in New York City. Since then, I have

benefited from the career opportunities that come with being at a global bank and have worked across

the world. In 2018, I took on the role of leading Citi’s franchise in Ukraine and have had the pleasure of

making my home with my family in the beautiful city of Kyiv.

At Citi, we like to think of ourselves as a “human bank,” and nowhere has that been more apparent than

in Ukraine. When Russia invaded our country last year, the entire firm moved swiftly to support our

colleagues and clients. Thanks to the courage and dedication of our Citi Ukraine team, our business

here has operated continuously throughout the war. That’s allowed us to support clients on the ground

who are overseeing essential services and the non-governmental organizations that are delivering aid.

On the cover of this report, you will find some images illustrating these heroic efforts.

I am also incredibly grateful to my Citi colleagues in Poland, Romania, Hungary and other neighboring

countries who have received displaced Ukrainians and mobilized volunteer efforts. On top of that,

so many members of the firm from around the world have found other ways to support us in Ukraine.

Simply put, I could not be prouder to work at Citi.

May 2023 bring peace to Ukraine.

Alex McWhorter

Citi Country Officer, Citi Ukraine

Hear more from Alex and

Citi Ukraine colleagues

on the impact of the war.

Europe, Middle East and Africa CEO David Livingstone (center left) and Alex McWhorter (center right) meet with Citi Ukraine

colleagues during a visit to Poland.

Jane Fraser

Chief Executive Officer

Dear shareholders,

Looking back at 2022, I don’t think any of us could have predicted the

twists and turns the year would take. Lingering disruptions to supply

chains, historic inflationary pressures, persistent lockdowns in China

and the largest war on European soil since World War II combined to

create a tumultuous environment for businesses and financial markets.

As a leading global bank with a more-than-210-year history, these

dynamics are not unfamiliar to us. And as we showed throughout the

pandemic, Citi is an important source of strength and stability during

times of immense change and challenge. This is an opportunity and a

responsibility we take very seriously.

So, for me, 2022 will be remembered most for two things:

The first is how we continued to support our clients. We helped them

navigate macro and geopolitical dynamics. We advised them in their digital

transformations and supported the shifts in their business models. We

guided them in their transitions toward a clean-energy economy. When war

broke out in Ukraine, we sprang to the aid of our employees and clients on

the ground, and helped our multinational clients unwind their operations in

Russia in response to Western sanctions aimed at the country.

The second is the important strides we are making to position Citi to win

in the decade ahead. In March 2022, at our first Investor Day in several

years, we set a vision and refreshed our strategy to change our business

mix and simplify our operating model. We have

absolute clarity on our future, and we are focused

on accelerating growth, gaining share and

increasing returns for shareholders over time.

By most measures, we ended the year in a stronger

position than we started.

A foundation for the future

Our vision for Citi is to be the preeminent banking

partner for institutions with cross-border needs,

a global leader in wealth management and a

valued personal bank in our home market.

To that end, we have laid the foundation

by focusing on five core interconnected

businesses: Services, Markets, Banking,

Global Wealth Management and U.S.

Personal Banking. We intentionally designed

our business mix to withstand different

macroeconomic conditions, and we have seen

that borne out over the past year. So whilst the

environment has changed, our strategy has

not, and we remain steadfast in executing and

delivering for our shareholders.

For the year, we delivered $14.8 billion in net income on

revenues of $75.3 billion. Our Return on Tangible Common

Equity (RoTCE

) was 8.9%, and we remain on track to achieve

an RoTCE of 11–12% in the medium term.

We increased our Common Equity Tier 1 Capital ratio by nearly

80 basis points to 13%, which includes a buffer of 100 basis

points above the regulatory requirement to help absorb the

impact of various macro and other factors. Finally, our tangible

book value per share

increased to $81.65, and we returned

more than $7 billion to our shareholders through common

dividends and share repurchases.

How our core businesses fared

Our Services business had an exceptional year with revenues

up 27% versus 2021. Treasury and Trade Solutions (TTS),

the crown jewel of our global network, experienced a 32%

increase in revenues as we continued to grow our wallet

share with existing clients whilst also adding new client

relationships. With the introduction of a seven-day sweeps

service, the industry’s first 24/7 USD clearing capabilities

and instant payments in 33 markets, we’re moving closer

to an always-on, near real-time cash management solution

for corporate clients. In Securities Services, we grew yearly

revenues by 15% and onboarded $1.2 trillion in assets under

custody and administration.

Our Markets business closed 2022 with revenues up 7%

from 2021, ending the year with one of the best fourth

quarters in recent memory. Our traders navigated the

volatility quite well, with notable performance amongst

corporate clients and strong gains in FX and rates. And

together with our Corporate Bank, our Markets team

continued to optimize its balance sheet.

Revenues in Banking fell 35% as we contended with a materially

slower deal environment. But Banking remains a key part of

our strategy, and we continued to play a leading role in the

year’s notable transactions. This included acting as one of the

lead advisors on Volkswagen’s €9.4 billion IPO of Porsche, the

largest public listing of the year, and serving as financial advisor

to Amgen on its proposed $27.8 billion acquisition of Horizon

Therapeutics. We hired exceptional bankers in healthcare, clean

energy and technology — all sectors critical to our growth —

and welcomed new talent into our Commercial Bank as it has

expanded into Canada, Germany and Switzerland.

In U.S. Personal Banking, revenues for the year rose 7% as we

bolstered our leadership in payments and lending. Branded

Cards grew revenues by 9%, whilst Retail Services revenues

were up 7%. We launched new credit cards with ExxonMobil

and AT&T and celebrated 35 years of our co-branded credit

“ We have absolute clarity

on our future, and we are

focused on accelerating

growth, gaining share

and increasing returns for

shareholders over time.”

Letter to shareholders

Celebrated

35 years

of the American

Airlines co-branded

credit card, a leading

airline rewards

credit card

Hired exceptional

talent in Banking,

Capital Markets

and Advisory

to strengthen coverage

of growth sectors such as

healthcare, clean energy

and technology

Expanded the

Private Bank

to France and Germany,

opened the first Citi

Global Wealth Center

in Hong Kong and

established a Citi Global

Wealth at Work presence

in Luxembourg

Grew Citi

Commercial Bank

by expanding into

Canada, Germany and

Switzerland and

hiring talent

to execute on our

client-centric

coverage model

Served as one of

the lead advisors

on Porsche’s IPO and

as financial advisor

on Amgen’s proposed

acquisition of Horizon

Therapeutics

Onboarded

$1.2 trillion of

new assets under

custody and

administration

in Securities

Services

Enhanced risk

and controls

by improving stress

test capabilities and

our approval process

for new products

Debuted

a refreshed

strategy

for improving

returns at Citi’s

Investor Day

Built out digital

capabilities

in our market-leading

Treasury and Trade Solutions

business and launched

a 24/7 payments

clearing service

Simplified our

operating model

by closing the sale of five

consumer businesses

and announced plans

to end nearly all

operations in Russia

Strengthened

connections between

businesses

resulting in more

than 60,000 client

referrals from the U.S.

Personal Bank to

Citi Global Wealth

Implemented

new performance

management

framework

to drive excellence

and accountability

across the firm

A year of progress

RoTCE and tangible book value per share are non-GAAP financial measures. For more information, see page 40 of Citi’s 2022 Form 10-K.

Citi’s binding CET1 Capital ratio was derived under the Basel III Standardized Approach as of December 31, 2022.

Closed the sale of India and Vietnam consumer businesses in March 2023.

card partnership with American Airlines. Revenues in Retail

Banking were roughly flat for the full year, but we continued to

enhance our digital capabilities, growing digital users by 6%

for the year. And as part of our efforts to break down barriers to

banking, last year we became the first of the largest U.S. banks

to completely eliminate overdraft fees and returned item fees

for our customers.

We also made progress building out our Global Wealth

Management business despite the economic headwinds

that slowed activity amongst our Asia-based clients in

particular and reduced overall revenues by 2%. Having unified

our Wealth businesses under a single platform, we’ve been

acquiring new clients and investing in hiring advisors to make

sure we’re well-positioned for success as the markets recover.

In addition, we forged ahead with our global expansion,

opening Private Bank offices in Paris and Frankfurt, a new

Wealth center in Hong Kong and a Citi Global Wealth at Work

presence in Luxembourg.

Greater connectivity and focus

A centerpiece of our go-forward plan is increasing the linkages

between our businesses so we can more easily engage clients

in one part of our firm with products and services from another.

By delivering the full power of Citi to clients, we can deepen

existing relationships and win new mandates.

Our Markets and Banking businesses are now aligned more

closely than ever, and, as a result, we are supporting our

clients in a more integrated way. Our Wealth business is also

benefiting from closer connections and received more than

60,000 referrals from the Retail Bank last year. In addition,

we have established a new partnership agreement between

Wealth and our Commercial Bank, where 90% of our clients

are privately owned companies.

At the same time, we are making progress in simplifying our

firm, making us easier to manage and allowing us to focus on

the parts of our business where we know we can grow and

improve our competitiveness.

We announced our intention to exit 14 consumer businesses

in Asia, Europe, the Middle East and Mexico — businesses

that do not have clear synergies with our global network.

As a result of swift but disciplined execution, in 2022 we

successfully closed the sale of our consumer businesses in

Australia, Bahrain, Malaysia, the Philippines and Thailand.

In March 2023, we closed the sale of our consumer

businesses in India and Vietnam and are on track to close

two additional markets by the end of the year. We also

are progressing with the wind-down of our consumer

business in Korea. In addition to exiting our consumer and

local commercial banking businesses in Russia, we are

actively ending nearly all institutional banking services in

the country, and by the second quarter of 2023, our only

operations will be those necessary to fulfill any legal and

regulatory obligations. Apart from Russia, Citi will continue

to serve our clients and invest in these markets through our

institutional franchise and our Wealth business.

Citi’s Transformation

For our strategy to unlock the greatest possible value,

we know we need to modernize our infrastructure so that

we are scaled and agile and able to continue to deliver

for our clients. The consent orders issued in 2020 by the

Federal Reserve Board and Office of the Comptroller of

the Currency underscored how we had underinvested not

only in parts of our infrastructure but also in our risk and

controls environment and our data governance.

Last year, we made progress in accelerating our work to address

these gaps and simplify and modernize our operating model for

the digital age. This work is so consequential in nature that we

call it our “Transformation.” It remains my number one priority.

Whilst this is a multi-year journey, we are already seeing the

fruits of our labors. We have dramatically streamlined our

approval process for new products. And new stress testing

capabilities enable us to make faster, better-informed risk

decisions. This made a huge difference in how we have been

able to minimize the impact of Russia’s invasion of Ukraine

on all parts of our business.

Investments in our people and communities

Ensuring we have a culture characterized by excellence and

accountability underpins the success of our Transformation

and broader vision for the firm. Last year, we launched a

program, Citi’s New Way, to help our colleagues adopt the

everyday habits we need in order to operate with excellence.

We have also hardwired accountability into our firm by

strengthening our performance management process and

implementing a greater emphasis on financial returns rather

than on revenues.

The diversity of the nearly 240,000 people who work at Citi

is a distinguishing aspect of our firm, as is the diversity of our

Board, which is majority female. We remain committed to a

workplace that mirrors the communities we serve. In 2022,

we set new goals to increase the number of women and other

underrepresented groups working at Citi. These new goals

follow our success in exceeding the three-year goals we set in

2018 to increase the percentage of women in the firm globally

and of Black talent in the U.S.

In another sign of our progress, last year we celebrated the

promotion of one of the largest and most diverse Managing

Director classes in recent years. Maintaining a workplace

that is diverse, equitable and inclusive is not only true to our

values but key to our competitiveness.

Our commitment to advancing diversity, equity and inclusion

goes well beyond Citi’s walls as we continue to use our

resources as a global bank to take on some of society’s

toughest challenges. We expanded the Citi Impact Fund

to $500 million in support of diverse founders who are

driving both financial and social returns. And we delivered

on our commitment to transparency and accountability by

announcing the findings from an external review and audit of

our $1 billion Action for Racial Equity initiative to help close

the racial wealth gap.

We have also been a leader in reimagining the future of

work. Drawing on lessons learned during the pandemic, we

have institutionalized a hybrid work model for much of our

firm. This approach provides the flexibility that our people

want whilst also ensuring we benefit from the in-person

collaboration, real-time coaching and apprenticeship that

occurs only when we are physically together.

Everywhere you look around the firm, there is an undeniable

sense of momentum. We have never been clearer about the

bank we want to be, and we have made significant progress

over the past year in bringing this vision to life. Through our

relentless commitment to excellence, we are changing the

trajectory of Citi to close the gap with our competitors and

deliver a new era of success for all our stakeholders.

Sincerely,

Jane Fraser

Chief Executive Officer, Citigroup Inc.

Full year 2022 results and key metrics

Key financial metrics Businesses snapshot

REVENUES

$75.3B

NET INCOME

$14.8B

TOTAL SERVICES

REVENUES

 27%

TOTAL MARKETS

REVENUES

 7%

EPS

$7.00

ROCE

7.7%

TOTAL BANKING

REVENUES

 35%

U.S. PERSONAL

BANKING REVENUES

 7%

RoTCE

8.9%

SLR

5.8%

CET1 CAPITAL

RATIO

13.0%

GLOBAL WEALTH

MANAGEMENT

REVENUES

 2%

LEGACY FRANCHISES

REVENUES

 3%

Key highlights

TTS revenues

 32% YoY

with further

wallet share gains

Fixed Income revenues

 13% YoY

signaling our strengthened

leadership position

Returned

~$7.3B

in capital to shareholders in

the form of common dividends

and share repurchases

Securities Services

 15% YoY

with

$1.2T

of new client assets under custody

and administration onboarded

Cards revenues

 8% YoY

with double-digit growth in

revenues and interest-earning

balances in the second half

Closed the sale of

non-strategic consumer

exit markets

Became

the first

major U.S.

bank to

eliminate

overdraft

fees.

Expanded the

Citi Impact Fund

to $500 million

more than tripling our initial

commitment to invest in

private companies helping to

address societal challenges.

Became the first

major U.S. bank to set

a recruiting goal

for LGBTQ+

candidates

from colleges and

universities around

the globe.

Financed nearly

$6 billion in

affordable

housing

projects in

the U.S.

Provided more than

2.5 million households,

including nearly

1 million women,

access to essential

goods and services in

emerging markets.

Committed

$50 million through

the Citi Foundation

to nonprofits supporting

community finance

initiatives throughout

the U.S.

Volunteered

over 115,000 hours

across 84 countries

and territories as

part of Citi’s Global

Community Day.

Set 2030

emissions

reductions

targets

Signed onto the

Sustainable

Steel

Principles,

Created a first-of-its-kind

diverse financial

institutions group

to deepen our work with

minority-owned firms.

Became a founding

member of the Biden

administration’s

Economic

Opportunity

Coalition

focused on addressing

economic disparities in

underserved communities.

Advised the

Egyptian government,

in its role as COP27

president, on climate

finance in Egypt and other

developing countries.

Prioritized the safety of

Citi colleagues in Ukraine

while supporting clients and relief

organizations on the ground.

for energy and power lending

portfolios as part of Citi’s

net zero commitment.

the first framework for

lenders to measure steel

industry emissions.

Mobilized over $3 billion

emerging market

social finance

activity, including access to

finance, healthcare, digital

connectivity, smallholder

agriculture, reliable energy,

water and sanitation.

Confronting society’s toughest challenges

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, 2022

☐

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 x No o

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or 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, a smaller reporting company, 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. ☒

If securities are registered pursuant to Section 12(b) of the Act, indicate by check mark whether the financial statements of the registrant included in the filing

reflect the correction of an error to previously issued financial statements. o

Indicate by check mark whether any of those error corrections are restatements that required a recovery analysis of incentive-based compensation received

by any of the registrant’s executive officers during the relevant recovery period pursuant to §240.10D-1(b). o

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

The aggregate market value of Citigroup Inc. common stock held by non-affiliates of Citigroup Inc. on June 30, 2022 was approximately $88.9 billion.

Number of shares of Citigroup Inc. common stock outstanding on January 31, 2023: 1,943,712,436

Documents Incorporated by Reference: Portions of the registrant’s proxy statement for the annual meeting of stockholders scheduled to be held on April 25,

2023 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 1–23, 122–128,

131, 163–164,

315–316

1A. Risk Factors 41–54

1B. Unresolved Staff Comments Not Applicable

2. Properties Not Applicable

Legal Proceedings—See

Note 29 to the Consolidated

Financial Statements 298–304

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, 170–172,

317–318

6. [Reserved]

Management’s Discussion

and Analysis of Financial

Condition and Results of

Operations 3–23, 60–121

7A.

Quantitative and Qualitative

Disclosures About Market

Risk

60–121, 165–169,

189–232, 238–289

Financial Statements and

Supplementary Data 138–314

Changes in and

Disagreements with

Accountants on Accounting

and Financial Disclosure Not Applicable

9A. Controls and Procedures 129–130

9B. Other Information Not Applicable

9C. Disclosure Regarding

Foreign Jurisdictions that

Prevent Inspections

Not Applicable

Part III

10.

Directors, Executive Officers

and Corporate Governance 319–321*

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 Accountant Fees

and Services *****

Part IV

15.

Exhibit 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 25, 2023, 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 “2022 Summary

Compensation Table and Compensation Information” and “CEO

Pay Ratio” in the Proxy Statement, incorporated herein by

reference, other than disclosure under the heading “Pay versus

Performance” information responsive to Item 402(v) of Regulation

S-K of SEC rules.

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

Compensation Plan Information” 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 Accountants” in the Proxy Statement,

incorporated herein by reference.

CITIGROUP’S 2022 ANNUAL REPORT ON FORM 10-K

OVERVIEW 1

Citigroup Operating Segments 2

MANAGEMENT’S DISCUSSION AND

ANALYSIS OF FINANCIAL CONDITION AND

RESULTS OF OPERATIONS 3

Executive Summary 3

Citi’s Consent Order Compliance 6

Summary of Selected Financial Data 8

Segment Revenues and Income (Loss) 10

Segment Balance Sheet 11

Institutional Clients Group 12

Personal Banking and Wealth Management 18

Legacy Franchises 20

Corporate/Other 23

CAPITAL RESOURCES 24

RISK FACTORS 41

SUSTAINABILITY AND OTHER ESG MATTERS 54

HUMAN CAPITAL RESOURCES AND

MANAGEMENT 57

Managing Global Risk Table of Contents 59

MANAGING GLOBAL RISK 60

SIGNIFICANT ACCOUNTING POLICIES AND

SIGNIFICANT ESTIMATES 122

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 (PCAOB ID # 185) 132

FINANCIAL STATEMENTS AND NOTES

TABLE OF CONTENTS 137

CONSOLIDATED FINANCIAL STATEMENTS 138

NOTES TO CONSOLIDATED FINANCIAL

STATEMENTS 146

FINANCIAL DATA SUPPLEMENT 314

SUPERVISION, REGULATION AND OTHER 315

CORPORATE INFORMATION 319

Executive Officers 319

Citigroup Board of Directors 320

GLOSSARY OF TERMS AND ACRONYMS 322

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 nearly 160 countries and

jurisdictions.

At December 31, 2022, Citi had approximately 240,000

full-time employees, compared to approximately 223,400 full-

time employees at December 31, 2021. For additional

information, see “Human Capital Resources and

Management” below.

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

Company” refer to Citigroup Inc. and its consolidated

subsidiaries. For a list of certain terms and acronyms used

herein, see “Glossary of Terms and Acronyms” at the end of

this report. All “Note” references correspond to the Notes to

the Consolidated Financial Statements.

Additional Information

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, current

reports on Form 8-K and proxy statements, as well as other

filings with the U.S. Securities and Exchange Commission

(SEC) are available free of charge through Citi’s website by

clicking on the “Investors” tab and selecting “SEC Filings.”

The SEC’s website also contains these filings and other

information regarding Citi at www.sec.gov.

For a discussion of 2021 versus 2020 results of operations

of Institutional Clients Group (ICG), Personal Banking and

Wealth Management (PBWM), Legacy Franchises and

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

operations in Citigroup’s Annual Report on Form 10-K for the

year ended December 31, 2021 and its Current Report on

Form 8-K dated May 10, 2022 (as amended by a Current

Report on Form 8-K/A dated May 10, 2022) (collectively

referred to as Citigroup’s 2021 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 “Risk Factors” below for a discussion of

material risks and uncertainties that could impact Citi’s

businesses, results of operations and financial condition.

Non-GAAP Financial Measures

Citi prepares its financial statements in accordance with U.S.

GAAP and also presents certain non-GAAP financial

measures (non-GAAP measures) that exclude certain items or

otherwise include components that differ from the most

directly comparable measures calculated in accordance with

U.S. GAAP. Non-GAAP measures are provided as additional

useful information to assess Citi’s financial condition and

results of operations (including period-to-period operating

performance). These non-GAAP measures are not intended as

a substitute for GAAP financial measures and may not be

defined or calculated the same way as non-GAAP measures

with similar names used by other companies. For more

information, including the reconciliation of these non-GAAP

financial measures to their corresponding GAAP financial

measures, see the respective sections where the measures are

presented and described and the “Glossary of Terms and

Acronyms” below.

Citigroup is managed pursuant to three operating segments: Institutional Clients Group, Personal Banking and Wealth Management

and Legacy Franchises. Activities not assigned to the operating segments are included in Corporate/Other.

Citigroup Operating Segments

Institutional

Clients Group

(ICG)

Personal Banking

and Wealth

Management

(PBWM)

Legacy

Franchises

• Services

– Treasury and trade solutions

(TTS)

– Securities services

• Markets

– Equity markets

– Fixed income markets

• Banking

– Investment banking

– Corporate lending

• U.S. Personal Banking

– Cards

◦ Branded cards

◦ Retail services

– Retail banking

• Global Wealth Management

(Global Wealth)

– Private bank

– Wealth at Work

– Citigold

• Asia Consumer Banking

(Asia Consumer)

– Retail banking and cards for the

remaining 8 exit markets (China,

India, Indonesia, Korea, Poland,

Russia, Taiwan and Vietnam)

• Mexico Consumer Banking

(Mexico Consumer) and Mexico

Small Business and Middle-

Market Banking (Mexico

SBMM)

– Retail banking and cards

• Legacy Holdings Assets

– Certain North America consumer

mortgage loans

– Other legacy assets

Corporate/Other

• Corporate Treasury managed portfolios

• Operations and technology

• Global staff functions and other corporate expenses

• Discontinued operations

The following are the four regions in which Citigroup operates. The regional results are fully reflected in the operating segments and

Corporate/Other above.

Citigroup Regions

(1)

North

America

Europe,

Middle East

and Africa

(EMEA)

Latin

America

Asia

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

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

EXECUTIVE SUMMARY

As described further throughout this Executive Summary, Citi

demonstrated continued progress across the franchise during

2022:

• Citi’s revenues increased 5% versus the prior year,

including net gains on sales of Citi’s Philippines and

Thailand consumer banking businesses versus a loss on

sale of Citi’s Australia consumer banking business in the

prior year. Excluding these divestiture-related impacts

(see “2022 Results Summary” below), revenues increased

3%, driven by higher net interest income, partially offset

by lower non-interest revenues.

• Citi’s expenses increased 6% versus the prior year,

including divestiture-related impacts in both the current

and prior years. Excluding these divestiture-related

impacts (see “2022 Results Summary” below), expenses

increased 8%, driven by continued investments in Citi’s

transformation, business-led investments and volume-

related expenses, as well as other risk and control

investments and inflation, all partially offset by

productivity savings, the impact of foreign exchange

translation and the expense reduction from the closure of

five exit markets (see also “Expenses” below).

• Citi’s cost of credit was $5.2 billion, versus $(3.8) billion

in the prior year, largely reflecting a net build of $1.2

billion in the allowance for credit losses (ACL) for loans

and unfunded commitments, primarily due to consumer

loan growth and a deterioration in macroeconomic

assumptions, compared to a net ACL release of $8.8

billion in the prior year.

• Citi returned $7.3 billion to common shareholders in the

form of dividends and share repurchases.

• Citi’s Common Equity Tier 1 (CET1) Capital ratio

increased to 13.0% as of December 31, 2022, compared to

12.2% as of December 31, 2021 (for additional

information, see “Capital Resources” below). Citi’s

required regulatory CET1 Capital ratio was 12.0% as of

January 1, 2023, under the Basel III Standardized

Approach.

• Citi made substantial progress on its consumer banking

business divestitures in 2022, closing sales in five exit

markets and working toward closing four additional sale

transactions, as well as progressing with the ongoing

wind-downs of the Korea consumer banking business and

Russia consumer, local commercial and institutional

businesses.

2022 Results Summary

Citigroup

Citigroup reported net income of $14.8 billion, or $7.00 per

share, compared to net income of $22.0 billion, or $10.14 per

share in the prior year. The decrease in net income was

primarily driven by the higher cost of credit, resulting from

loan growth in Personal Banking and Wealth Management

(PBWM) and a deterioration in macroeconomic assumptions,

and the higher operating expenses, partially offset by the

higher revenues. Citigroup’s effective tax rate was 19.4% in

the current year versus 19.8% in the prior year. Earnings per

share (EPS) decreased 31%, reflecting the decrease in net

income, partially offset by a 4% decline in average diluted

shares outstanding.

As discussed above, results for 2022 included divestiture-

related impacts of approximately $(184) million in after-tax

earnings, substantially all of which were recorded in Legacy

Franchises (for additional information, see discussion below).

Collectively, divestiture-related impacts had a $0.09 negative

impact on EPS. This compares to divestiture-related negative

impacts on EPS of $0.80 in 2021. (As used throughout this

Form 10-K, Citi’s results of operations and financial condition

excluding the divestiture-related impacts are non-GAAP

financial measures. Citi believes the presentation of its results

of operations and financial condition excluding the divestiture-

related impacts described above provides a meaningful

depiction of the underlying fundamentals of its broader results

and Legacy Franchises’ results for investors, industry analysts

and others.)

Results for 2022 included pretax divestiture-related

impacts of approximately $82 million (approximately $(184)

million after-tax), substantially all of which were recorded in

Legacy Franchises, primarily consisting of the following:

• Approximately $618 million Philippines gain on sale

recorded in revenues

• Approximately $209 million Thailand gain on sale

recorded in revenues

• Approximately $(64) million incremental Australia

consumer business loss on sale recorded in revenues

• Approximately $535 million goodwill impairment

recorded in expenses due to re-segmentation and timing

of divestitures

• Approximately $161 million of aggregate divestiture-

related costs

Results for 2021 included pretax divestiture-related

impacts of $(1.9) billion (approximately $(1.6) billion after-

tax) in Legacy Franchises, which primarily consisted of the

following:

• Approximately $(694) million Australia loss on sale

recorded in revenues

• Approximately $1.1 billion related to charges incurred

from the voluntary early retirement program (VERP) in

connection with the wind-down of the Korea consumer

banking business recorded in expenses

• Contract modification costs related to the Asia

divestitures of $119 million

Citigroup revenues of $75.3 billion increased 5% versus

the prior year. Excluding the divestiture-related impacts,

revenues were up 3%, as the impact of higher interest rates

across businesses and strong loan growth in PBWM were

partially offset by declines in Banking in Institutional Clients

Group (ICG) and Asia investment product revenue in Global

Wealth Management (Global Wealth), as well as the reduction

in revenues from the closure of five exit markets and ongoing

wind-downs.

Citigroup’s end-of-period loans were $657 billion, down

2% versus the prior year, largely driven by Legacy Franchises

and the impact of foreign exchange translation. The decline in

Legacy Franchises primarily reflected the reclassification of

loans to Other assets to reflect held-for-sale (HFS) accounting,

as a result of the signing of sale agreements for consumer

banking businesses in Asia Consumer Banking (Asia

Consumer), as well as the impact of the ongoing Korea and

Russia wind-downs.

Citigroup’s end-of-period deposits were $1.4 trillion, up

4% versus the prior year, largely driven by Treasury and trade

solutions in ICG, partially offset by the impact of foreign

exchange translation.

Expenses

Citigroup’s operating expenses of $51.3 billion increased 6%

in 2022. Reported expenses included divestiture-related

impacts of approximately $696 million in the current year and

approximately $1.2 billion in the prior year, substantially all of

which were recorded in Legacy Franchises. Excluding these

divestiture-related impacts, expenses increased 8% versus the

prior year, largely driven by the following:

• Approximately 2% by transformation investments, with

about two-thirds related to the risk, controls, data and

finance programs (approximately 25% of the program

investments were related to technology).

• Approximately 1% by business-led investments, as Citi

continues to hire commercial and investment bankers, as

well as client advisors in Global Wealth, and continues to

invest in client experience, front-office platforms and

onboarding.

• Approximately 1% by higher volume-related expenses

across both PBWM and ICG.

• Approximately 3% by other risk and control investments

and inflation, partially offset by a Revlon-related wire

transfer recovery, productivity savings, the impact of

foreign exchange translation and the expense reduction

from the exit markets.

Citi expects to incur higher expenses in 2023, primarily

driven by transformation-related investments, volume-related

expenses and inflation-related impacts.

Cost of Credit

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

claims was a cost of $5.2 billion, compared to a benefit of $3.8

billion in the prior year. Results in 2022 included net credit

losses of $3.8 billion versus $4.9 billion in the prior year. The

higher cost of credit was driven by the net build of $1.2 billion

in the ACL for loans and unfunded commitments, compared to

a net ACL release of $8.8 billion in the prior year, partially

offset by the lower net credit losses. The net ACL build was

primarily due to cards loan growth in PBWM and a

deterioration in macroeconomic assumptions. For additional

information on Citi’s ACL, see “Significant Accounting

Policies and Significant Estimates—Citi’s Allowance for

Credit Losses (ACL)” below.

Net credit losses of $3.8 billion decreased 23% from the

prior year, largely driven by lower consumer net credit losses.

Consumer net credit losses decreased 20% to $3.6 billion,

reflecting low loss rates in the first half of 2022, followed by

the ongoing normalization of losses toward pre-pandemic

levels, particularly in Retail services cards business in PBWM.

Corporate net credit losses decreased 54% to $178 million,

largely driven by improvements in portfolio credit quality.

Citi expects to incur higher net credit losses in 2023,

primarily driven by continued normalization toward pre-

pandemic levels, particularly in the cards business in PBWM.

For additional information on Citi’s consumer and

corporate credit costs, see each respective business’s results of

operations and “Credit Risk” below.

Capital

Citigroup’s CET1 Capital ratio was 13.0% as of December

31, 2022, compared to 12.2% as of December 31, 2021, based

on the Basel III Standardized Approach for determining risk-

weighted assets (RWA). The increase was primarily driven by

net income, impacts from the closing of the Australia,

Philippines and other Asia consumer banking business sales

and business actions to reduce RWA, partially offset by the

return of capital to common shareholders and interest rate

impacts on Citigroup’s investment portfolio. The increase in

Citi’s CET1 Capital ratio was also partially offset by the

impact of adopting the Standardized Approach for

Counterparty Credit Risk (SA-CCR) on January 1, 2022.

Citigroup’s Supplementary Leverage ratio as of

December 31, 2022 was 5.8%, compared to 5.7% as of

December 31, 2021. The increase was driven by a decrease in

Total Leverage Exposure, partly offset by lower Tier 1

Capital. For additional information on Citi’s capital ratios and

related components, see “Capital Resources” below.

Citi has continued to pause common share repurchases in

order to absorb any temporary capital impacts related to any

potential signing of a sale agreement for its Mexico Consumer

and Small Business and Middle-Market Banking (Mexico

Consumer/SBMM) business (for additional information, see

“Macroeconomic and Other Risks and Uncertainties” and the

capital return risk factor in “Risk Factors” below) and to

continue to have ample capital to serve its clients.

Institutional Clients Group

ICG net income of $10.7 billion decreased 25%, driven by a

net ACL release in the prior year, versus a net ACL build in

the current year, and higher expenses, partially offset by

higher revenues. ICG operating expenses of $26.3 billion

increased 10%, primarily driven by continued investment in

Citi’s transformation, business-led investments and volume-

related expenses, partially offset by a Revlon-related wire

transfer recovery, the impact of foreign exchange translation

and productivity savings.

ICG revenues of $41.2 billion increased 3% (including

losses on loan hedges), as revenue growth in Services and

Markets was partially offset by lower revenues in Banking.

Results included a gain on loan hedges of $307 million,

compared with a loss on loan hedges of $140 million in the

prior year.

Services revenues of $16.0 billion increased 27%.

Treasury and trade solutions (TTS) revenues of $12.2 billion

increased 32%, driven by 46% growth in net interest income

and 10% growth in non-interest revenue. The strong

performance in TTS was driven by the benefit of higher

interest rates, as well as business actions, including balance

sheet optimization and managing deposit pricing, deepening of

relationships with existing clients and an increase in new

clients across segments. Securities services revenues of $3.9

billion increased 15%, as net interest income increased 59%,

driven by higher interest rates across currencies, as well as the

impact of foreign exchange translation, partially offset by a

1% decrease in non-interest revenue due to the impact of

lower global financial markets.

Markets revenues of $19.1 billion increased 7% versus the

prior year, largely driven by Fixed income markets, partially

offset by lower client activity levels in Equity markets, as well

as business actions to reduce RWA. Fixed income markets

revenues of $14.6 billion increased 13%, driven by strength in

rates and currencies. Equity markets revenues of $4.6 billion

were down 9%, largely reflecting reduced client activity in

equity derivatives versus the prior year.

Banking revenues of $6.1 billion decreased 35%,

including the gain on loan hedges in the current year and loss

on loan hedges in the prior year. Excluding the gain and loss

on loan hedges, Banking revenues of $5.8 billion decreased

39%, driven by lower revenues in Investment banking and

Corporate lending. Investment banking revenues of $3.1

billion decreased 53%, as heightened macroeconomic

uncertainty and volatility continued to impact client activity.

Excluding the gain and loss on loan hedges, Corporate lending

revenues decreased 8% versus the prior year, driven by the

impact of foreign currency translation, higher cost of funds

and higher hedging costs.

For additional information on the results of operations of

ICG in 2022, see “Institutional Clients Group” below.

Personal Banking and Wealth Management

PBWM net income of $3.3 billion decreased 57% versus the

prior year, largely driven by a net ACL release in the prior

year versus a net ACL build in the current year, as well as

higher expenses. PBWM operating expenses of $16.3 billion

increased 11%, primarily driven by continued investments in

Citi’s transformation, other risk and control initiatives,

volume-related expenses and business-led investments,

partially offset by productivity savings.

PBWM revenues of $24.2 billion increased 4% versus the

prior year, as net interest income growth, driven by strong loan

growth across Branded cards and Retail services and higher

interest rates, was partially offset by a decline in non-interest

revenue, driven by lower investment product revenue in

Global Wealth and higher partner payments in Retail services.

U.S. Personal Banking revenues of $16.8 billion increased

7% versus the prior year. Branded cards revenues of $8.9

billion increased 9%, driven by higher net interest income. In

Branded cards, new account acquisitions increased 11%, card

spend volumes increased 16% and average loans increased

11%. Retail services revenues of $5.5 billion increased 7%,

driven by higher net interest income, partially offset by higher

partner payments. Retail banking revenues of $2.5 billion were

largely unchanged versus the prior year, as higher interest

income and modest deposit growth were offset by lower

mortgage revenues due to fewer mortgage originations.

Global Wealth revenues of $7.4 billion decreased 2%

versus the prior year, as investment product revenue

headwinds, particularly in Asia, more than offset net interest

income growth from higher interest rates and higher loan and

deposit volumes.

For additional information on the results of operations of

PBWM in 2022, see “Personal Banking and Wealth

Management” below.

Legacy Franchises

Legacy Franchises net loss of $12 million compared to net

income of $1 million in the prior year, primarily driven by

higher cost of credit, partially offset by lower expenses and

higher revenues, primarily reflecting the Philippines and

Thailand gains on sales in the current year and the Australia

loss on sale in the prior year. Legacy Franchises expenses of

$7.8 billion decreased 6%, largely driven by the absence of the

Korea VERP charge in the prior year and the benefit from

closing the five exit markets, partially offset by the $535

million goodwill impairment, an approximate $70 million

impairment of long-lived assets related to the Russia consumer

banking business and $156 million of other aggregate

divestiture-related costs.

Legacy Franchises revenues of $8.5 billion increased 3%

versus the prior year, primarily driven by the Philippines and

Thailand gains on sale versus the Australia loss on sale in the

prior year. Excluding these divestiture-related impacts,

revenues decreased 15%, primarily driven by the reduction in

revenues from the closings of the five exit markets, as well as

the impact of the ongoing Korea and Russia wind-downs.

For additional information on the results of operations of

Legacy Franchises in 2022, see “Legacy Franchises” below.

Corporate/Other

Corporate/Other net income was $879 million, compared to a

net loss of $8 million in the prior year, reflecting higher

revenue and lower expenses, partially offset by lower income

tax benefits, as well as the second quarter of 2022 release of a

CTA (cumulative translation adjustment) loss (net of hedges)

from Accumulated other comprehensive income (loss) (AOCI)

related to the substantial liquidation of a legacy U.K.

consumer operation, recorded in discontinued operations.

Corporate/Other operating expenses of $953 million

decreased 31%, primarily driven by lower consulting expenses

and the impact of certain legal settlements.

Corporate/Other revenues of $1.4 billion increased from

$0.5 billion in the prior year, driven by higher net interest

income, primarily from the investment portfolio, partially

offset by lower non-interest revenue, primarily due to the

absence of mark-to-market gains in the prior year as well as

higher hedging costs.

For additional information on the results of operations of

Corporate/Other in 2022, see “Corporate/Other” below.

Macroeconomic and Other Risks and Uncertainties

Various geopolitical and macroeconomic challenges and

uncertainties continue to adversely impact economic

conditions in the U.S. and globally. The U.S. and other

countries have continued to experience significantly elevated

levels of inflation, resulting in central banks implementing a

series of interest rates increases, with additional increases

expected in the near term. In addition to causing a

humanitarian crisis, the war in Ukraine continues to disrupt

energy and food markets. An economic rebound in China

remains uncertain, due to the ongoing impacts from

COVID-19, the amount of leverage in its economy and stress

in the property sector. These and other factors have adversely

affected financial markets, negatively impacted global

economic growth rates, contributed to lower consumer

confidence and increased the risk of recession in Europe, the

U.S. and other countries. These and other factors could

adversely affect Citi’s customers, clients, businesses, funding

costs, expenses and results during 2023.

In addition, Citi could incur a significant loss on sale in

2023, due to CTA losses (net of hedges) in AOCI, goodwill

write-offs and other AOCI loss components, related to the

potential signing of a sale agreement for any of its remaining

consumer banking divestitures. The majority of these losses

would be regulatory capital neutral at closing.

For a further discussion of trends, uncertainties and risks

that will or could impact Citi’s businesses, results of

operations, capital and other financial condition during 2023,

see “2022 Results Summary” above and “Risk Factors,” each

respective business’s results of operations and “Managing

Global Risk,” including “Managing Global Risk—Other Risks

—Country Risk—Russia,” below.

CITI’S CONSENT ORDER COMPLIANCE

Citi has embarked on a multiyear transformation, with the

target outcome to change Citi’s business and operating models

such that they simultaneously strengthen risk and controls and

improve Citi’s value to customers, clients and shareholders.

This includes efforts to effectively implement the October

2020 Federal Reserve Board (FRB) and Office of the

Comptroller of the Currency (OCC) consent orders issued to

Citigroup and Citibank, respectively. In the second quarter of

2021, Citi made an initial submission to the OCC, and

submitted its plans to address the consent orders to both

regulators during the third quarter of 2021. Citi continues to

work constructively with the regulators and provides to both

regulators on an ongoing basis additional information

regarding its plans and progress. Citi will continue to reflect

their feedback in its project plans and execution efforts.

As discussed above, Citi’s efforts include continued

investments in its transformation, including the remediation of

its consent orders. Citi’s CEO has made the strengthening of

Citi’s risk and control environment a strategic priority and has

established a Chief Administrative Officer organization to

centralize program management. In addition, 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. The Citi Board

of Directors has determined that Citi’s plans are responsive to

the Company’s objectives and that progress continues to be

made on execution of the plans.

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.

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RESULTS OF OPERATIONS

SUMMARY OF SELECTED FINANCIAL DATA

Citigroup Inc. and Consolidated Subsidiaries

In millions of dollars, except per share amounts

2022 2021 2020 2019 2018

Net interest income $ 48,668 $ 42,494 $ 44,751 $ 48,128 $ 47,744

Non-interest revenue 26,670 29,390 30,750 26,939 26,292

Revenues, net of interest expense $ 75,338 $ 71,884 $ 75,501 $ 75,067 $ 74,036

Operating expenses 51,292 48,193 44,374 42,783 43,023

Provisions for credit losses and for benefits and claims 5,239 (3,778) 17,495 8,383 7,568

Income from continuing operations before income taxes $ 18,807 $ 27,469 $ 13,632 $ 23,901 $ 23,445

Income taxes 3,642 5,451 2,525 4,430 5,357

Income from continuing operations $ 15,165 $ 22,018 $ 11,107 $ 19,471 $ 18,088

Income (loss) from discontinued operations, net of taxes (231) 7 (20) (4) (8)

Net income before attribution of noncontrolling interests $ 14,934 $ 22,025 $ 11,087 $ 19,467 $ 18,080

Net income attributable to noncontrolling interests 89 73 40 66 35

Citigroup’s net income $ 14,845 $ 21,952 $ 11,047 $ 19,401 $ 18,045

Earnings per share

Basic

Income from continuing operations $ 7.16 $ 10.21 $ 4.75 $ 8.08 $ 6.69

Net income 7.04 10.21 4.74 8.08 6.69

Diluted

Income from continuing operations $ 7.11 $ 10.14 $ 4.73 $ 8.04 $ 6.69

Net income 7.00 10.14 4.72 8.04 6.68

Dividends declared per common share 2.04 2.04 2.04 1.92 1.54

Common dividends $ 4,028 $ 4,196 $ 4,299 $ 4,403 $ 3,865

Preferred dividends

(1)

1,032 1,040 1,095 1,109 1,174

Common share repurchases 3,250 7,600 2,925 17,875 14,545

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

2022 2021 2020 2019 2018

At December 31:

Total assets $ 2,416,676 $ 2,291,413 $ 2,260,090 $ 1,951,158 $ 1,917,383

Total deposits 1,365,954 1,317,230 1,280,671 1,070,590 1,013,170

Long-term debt 271,606 254,374 271,686 248,760 231,999

Citigroup common stockholders’ equity 182,194 182,977 179,962 175,262 177,760

Total Citigroup stockholders’ equity 201,189 201,972 199,442 193,242 196,220

Average assets 2,396,023 2,347,709 2,226,454 1,978,805 1,920,242

Direct staff (in thousands) 240 223 210 200 204

Performance metrics

Return on average assets 0.62 % 0.94 % 0.50 % 0.98 % 0.94 %

Return on average common stockholders’ equity

(2)

7.7 11.5 5.7 10.3 9.4

Return on average total stockholders’ equity

(2)

7.5 10.9 5.7 9.9 9.1

Return on tangible common equity (RoTCE)

(3)

8.9 13.4 6.6 12.1 11.0

Efficiency ratio (total operating expenses/total revenues, net) 68.1 67.0 58.8 57.0 58.1

Basel III ratios

CET1 Capital

(4)

13.03 % 12.25 % 11.51 % 11.79 % 11.86 %

Tier 1 Capital

(4)

14.80 13.91 13.06 13.33 13.43

Total Capital

(4)

15.46 16.04 15.33 15.87 16.14

Supplementary Leverage ratio 5.82 5.73 6.99 6.20 6.40

Citigroup common stockholders’ equity to assets 7.54 % 7.99 % 7.96 % 8.98 % 9.27 %

Total Citigroup stockholders’ equity to assets 8.33 8.81 8.82 9.90 10.23

Dividend payout ratio

(5)

29 20 43 24 23

Total payout ratio

(6)

53 56 73 122 109

Book value per common share $ 94.06 $ 92.21 $ 86.43 $ 82.90 $ 75.05

Tangible book value (TBV) per share

(3)

81.65 79.16 73.67 70.39 63.79

(1) Certain series of preferred stock have semiannual payment dates. See Note 21.

(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 binding CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach as of December 31, 2022, 2021, 2019 and 2018, and

were derived under the Basel III Advanced Approaches framework as of December 31, 2020. Citi’s binding Total Capital ratio was derived under the Basel III

Advanced Approaches framework for all periods presented.

(5) Dividends declared per common share as a percentage of net income per diluted share.

(6) 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 and “Equity Security Repurchases” below for the component details.

SEGMENT REVENUES AND INCOME (LOSS)

REVENUES

In millions of dollars

2022 2021 2020

% Change

2022 vs. 2021

% Change

2021 vs. 2020

Institutional Clients Group $ 41,206 $ 39,836 $ 41,093 3 % (3) %

Personal Banking and Wealth Management 24,217 23,327 25,140 4 (7)

Legacy Franchises 8,472 8,251 9,454 3 (13)

Corporate/Other 1,443 470 (186) NM NM

Total Citigroup net revenues $ 75,338 $ 71,884 $ 75,501 5 % (5) %

NM Not meaningful

INCOME

In millions of dollars

2022 2021 2020

% Change

2022 vs. 2021

% Change

2021 vs. 2020

Income (loss) from continuing operations

Institutional Clients Group $ 10,738 $ 14,308 $ 10,811 (25) % 32 %

Personal Banking and Wealth Management 3,319 7,734 1,322 (57) NM

Legacy Franchises (9) (9) (142) — 94

Corporate/Other 1,117 (15) (884) NM 98

Income from continuing operations $ 15,165 $ 22,018 $ 11,107 (31) % 98 %

Discontinued operations $ (231) $ 7 $ (20) NM NM

Less: Net income attributable to noncontrolling interests 89 73 40 22 % 83 %

Citigroup’s net income $ 14,845 $ 21,952 $ 11,047 (32) % 99 %

NM Not meaningful

SEGMENT BALANCE SHEET

(1)

—DECEMBER 31, 2022

In millions of dollars

Institutional

Clients

Group

Personal

Banking

and Wealth

Management

Legacy

Franchises

Corporate/Other

and

consolidating

eliminations

(2)

Citigroup

parent company-

issued long-term

debt and

stockholders’

equity

(3)

Total

Citigroup

consolidated

Assets

Cash and deposits with banks, net of

allowance $ 108,289 $ 6,411 $ 3,251 $ 224,074 $ — $ 342,025

Securities borrowed and purchased under

agreements to resell, net of allowance 364,673 425 303 — — 365,401

Trading account assets 319,376 2,250 639 11,849 — 334,114

Investments, net of allowance 140,613 73 1,516 384,380 — 526,582

Loans, net of unearned income and

allowance for credit losses on loans 279,337 324,260 36,650 — — 640,247

Other assets, net of allowance 111,477 25,559 27,764 43,507 — 208,307

Net intersegment liquid assets

(4)

406,143 134,852 26,592 (567,587) — —

Total assets $ 1,729,908 $ 493,830 $ 96,715 $ 96,223 $ — $ 2,416,676

Liabilities and equity

Total deposits $ 845,364 $ 437,813 $ 50,994 $ 31,783 $ — $ 1,365,954

Securities loaned and sold under

agreements to repurchase 199,895 80 2,469 — — 202,444

Trading account liabilities 168,550 1,636 258 203 — 170,647

Short-term borrowings 34,785 2 4 12,305 — 47,096

Long-term debt

(3)

93,219 189 75 11,866 166,257 271,606

Other liabilities 99,353 14,514 27,868 15,356 — 157,091

Net intersegment funding (lending)

(3)

288,742 39,596 15,047 24,061 (367,446) —

Total liabilities $ 1,729,908 $ 493,830 $ 96,715 $ 95,574 $ (201,189) $ 2,214,838

Total stockholders’ equity

(5)

— — — 649 201,189 201,838

Total liabilities and equity $ 1,729,908 $ 493,830 $ 96,715 $ 96,223 $ — $ 2,416,676

(1) The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reportable segment and component. 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 (see Notes 18 and 30).

Citigroup allocates stockholders’ equity and long-term debt to its businesses through intersegment 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.

INSTITUTIONAL CLIENTS GROUP

Institutional Clients Group (ICG) includes Services, Markets and Banking (for additional information on these businesses, see

“Citigroup Operating Segments” above). ICG provides corporate, institutional and public sector clients around the world with a full

range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime

brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, cash

management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed

income, foreign currency, equity and commodity products.

ICG’s 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 fees. 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.

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

economically hedge the corporate loan portfolio) are also recorded in Principal transactions (for additional information on Principal

transactions revenue, see Note 6). 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, secured funding transactions and customers deposits, is recorded as Net interest

income.

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.

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 95

countries and jurisdictions. As previously disclosed, Citi intends to end nearly all of the institutional banking services it offers in

Russia by the end of the first quarter of 2023. Going forward, Citi’s only operations in Russia will be those necessary to fulfill its

remaining legal and regulatory obligations. At this time, the estimated cost to be incurred in relation to this action is approximately

$80 million (excluding the impact from any portfolio sales), primarily through 2024. For additional information about Citi’s continued

efforts to reduce its operations and exposure in Russia, see “Legacy Franchises” and “Managing Global Risk—Other Risks—Country

Risk—Russia” below.

At December 31, 2022, ICG had $1.7 trillion in assets and $845 billion in deposits. Securities services managed $22.2 trillion in

assets under custody and administration at December 31, 2022, of which Citi provided both custody and administrative services to

certain clients related to $1.9 trillion of such assets. Managed assets under trust were $4.0 trillion at December 31, 2022. For additional

information on these operations, see “Administration and Other Fiduciary Fees” in Note 5.

In millions of dollars, except as otherwise noted

2022 2021 2020

% Change

2022 vs. 2021

% Change

2021 vs. 2020

Commissions and fees $ 4,404 $ 4,300 $ 3,961 2 % 9 %

Administration and other fiduciary fees 2,684 2,693 2,348 — 15

Investment banking fees

(1)

3,573 6,709 4,982 (47) 35

Principal transactions 13,633 9,763 12,916 40 (24)

Other (999) 1,372 1,136 NM 21

Total non-interest revenue $ 23,295 $ 24,837 $ 25,343 (6) % (2) %

Net interest income (including dividends) 17,911 14,999 15,750 19 (5)

Total revenues, net of interest expense $ 41,206 $ 39,836 $ 41,093 3 % (3) %

Total operating expenses

(2)

$ 26,299 $ 23,949 $ 22,336 10 % 7 %

Net credit losses on loans $ 152 $ 356 $ 877 (57) % (59) %

Credit reserve build (release) for loans 478 (2,093) 2,582 NM NM

Provision (release) for credit losses on unfunded lending

commitments 187 (753) 1,390 NM NM

Provisions for credit losses on HTM debt securities and other

assets 94 — 20 — 100

Provisions (releases) for credit losses $ 911 $ (2,490) $ 4,869 NM NM

Income from continuing operations before taxes $ 13,996 $ 18,377 $ 13,888 (24) % 32 %

Income taxes 3,258 4,069 3,077 (20) 32

Income from continuing operations $ 10,738 $ 14,308 $ 10,811 (25) % 32 %

Noncontrolling interests 79 83 50 (5) 66

Net income $ 10,659 $ 14,225 $ 10,761 (25) % 32 %

Balance Sheet data (in billions of dollars)

EOP assets $ 1,730 $ 1,613 $ 1,592 7 % 1 %

Average assets 1,716 1,669 1,566 3 7

Efficiency ratio 64 % 60 % 54 %

Average loans by reporting unit (in billions of dollars)

Services $ 82 $ 75 $ 70 9 % 7 %

Banking 196 196 217 — (10)

Markets 13 16 11 (19) 45

Total $ 291 $ 287 $ 298 1 % (4) %

Average deposits by reporting unit (in billions of dollars)

TTS $ 675 $ 670 $ 646 1 % 4 %

Securities services 133 135 108 (1) 25

Services $ 808 $ 805 $ 754 — % 7 %

Markets and Banking 22 23 26 (4) (12)

Total $ 830 $ 828 $ 780 — % 6 %

(1) Investment banking fees are substantially composed of underwriting and advisory revenues.

(2) 2020 includes an approximate $390 million operational loss related to certain legal matters. 2022 includes a Revlon-related wire transfer recovery.

NM Not meaningful

ICG Revenue Details

In millions of dollars

2022 2021 2020

% Change

2022 vs. 2021

% Change

2021 vs. 2020

Services

Net interest income $ 9,722 $ 6,595 $ 7,581 47 % (13) %

Non-interest revenue 6,300 5,987 5,165 5 16

Total Services revenues $ 16,022 $ 12,582 $ 12,746 27 % (1) %

Net interest income $ 8,306 $ 5,706 $ 6,524 46 % (13) %

Non-interest revenue 3,857 3,509 3,004 10 17

TTS revenues $ 12,163 $ 9,215 $ 9,528 32 % (3) %

Net interest income $ 1,416 $ 889 $ 1,057 59 % (16) %

Non-interest revenue 2,443 2,478 2,161 (1) 15

Securities services revenues $ 3,859 $ 3,367 $ 3,218 15 % 5 %

Markets

Net interest income $ 5,164 $ 5,161 $ 5,182 — % — %

Non-interest revenue 13,949 12,715 15,932 10 (20)

Total Markets revenues

(1)

$ 19,113 $ 17,876 $ 21,114 7 % (15) %

Fixed income markets $ 14,555 $ 12,880 $ 17,040 13 % (24) %

Equity markets 4,558 4,996 4,074 (9) 23

Total Markets revenues $ 19,113 $ 17,876 $ 21,114 7 % (15) %

Rates and currencies $ 11,743 $ 8,793 $ 12,057 34 % (27) %

Spread products / other fixed income 2,812 4,087 4,983 (31) (18)

Total Fixed income markets revenues $ 14,555 $ 12,880 $ 17,040 13 % (24) %

Banking

Net interest income $ 3,025 $ 3,243 $ 2,987 (7) % 9 %

Non-interest revenue 3,046 6,135 4,246 (50) 44

Total Banking revenues $ 6,071 $ 9,378 $ 7,233 (35) % 30 %

Investment banking

Advisory $ 1,365 $ 1,796 $ 1,010 (24) % 78 %

Equity underwriting 611 2,249 1,423 (73) 58

Debt underwriting 1,133 2,586 2,173 (56) 19

Total Investment banking revenues $ 3,109 $ 6,631 $ 4,606 (53) % 44 %

Corporate lending (excluding gains (losses) on loan

hedges)

(2)

$ 2,655 $ 2,887 $ 2,686 (8) % 7 %

Total Banking revenues (excluding gains (losses) on loan

hedges)

(2)

$ 5,764 $ 9,518 $ 7,292 (39) % 31 %

Gain (loss) on loan hedges

(2)

307 (140) (59) NM NM

Total Banking revenues (including gains (losses) on loan

hedges)

(2)

$ 6,071 $ 9,378 $ 7,233 (35) % 30 %

Total ICG revenues, net of interest expense $ 41,206 $ 39,836 $ 41,093 3 % (3) %

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

interest income may be risk managed by derivatives that are recorded in Principal transactions revenue within Non-interest revenue. For a description of the

composition of these revenue line items, see Notes 4, 5 and 6.

(2) Credit derivatives are used to economically hedge a portion of the corporate loan portfolio that includes both accrual loans and loans at fair value. Gain (loss) on

loan hedges include the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium

costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the

impact of gain (loss) on loan hedges are non-GAAP financial measures.

NM Not meaningful

The discussion of the results of operations for ICG below excludes (where noted) the impact of any gain (loss) 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.

2022 vs. 2021

Net income of $10.7 billion decreased 25%, primarily driven

by substantially higher cost of credit and higher expenses,

partially offset by higher revenues.

Revenues increased 3% (including gain (loss) on loan

hedges), primarily reflecting higher Services and Markets

revenues, partially offset by lower Banking revenues. Services

revenues were up 27%, driven by higher revenues in both TTS

and Securities services. Markets revenues were up 7%,

primarily driven by higher Fixed income markets revenues,

partially offset by lower Equity markets revenues and the

impact of business actions taken to reduce RWA.

Banking revenues were down 35% (39% excluding the

impact of gain (loss) on loan hedges), reflecting lower

revenues in both Investment banking and Corporate lending.

Citi expects that revenues in its Markets and Investment

banking businesses will continue to reflect the overall market

environment during 2023.

Within Services:

• TTS revenues increased 32%, driven by 46% growth in

net interest income and 10% growth in non-interest

revenue, driven by deepening of existing client relations

and gaining new clients across segments. The increase in

net interest income was driven by both the cash and trade

businesses, reflecting benefits from higher interest rates,

balance sheet optimization, higher average deposits and

higher average loans. Average deposits grew 1%, as

volume growth was partially offset by the impact of

foreign exchange translation. Average loans grew 11%,

primarily driven by the strength in trade flows in Asia and

Latin America, partially offset by loan sales in North

America. Strong non-interest revenues growth across both

cash and trade businesses reflected client engagement and

growth from underlying drivers, including higher U.S.

dollar clearing volumes (up 2%), cross-border flows (up

11%) and commercial card spend (up 49%).

• Securities services revenues increased 15%, primarily

driven by an increase in net interest income, reflecting

higher interest rates across currencies as well as the

impact of foreign exchange translation. Non-interest

revenues decreased 1%, due to the impact of foreign

exchange translation and lower fees in the custody

business tied to lower assets under custody and

administration (decline of 7%), driven by declines in

global financial markets. The decline in non-interest

revenues was partially offset by continued elevated levels

of corporate activity in issuer services and new client

onboarding of $1.2 trillion in assets under custody and

administration. Average deposits declined 7%, due to

clients seeking higher rate alternatives.

Within Markets:

• Fixed income markets revenues increased 13%, driven by

growth in rates and currencies across all regions, due to

strong corporate and investor client engagement, partially

offset by a decline in spread products, primarily driven by

North America.

• Rates and currencies revenues increased 34%, reflecting

increased market volatility, driven by rising interest rates

and quantitative tightening, as central banks responded to

elevated levels of inflation. Spread products and other

fixed income revenues decreased 31%, due to continued

lower client activity across spread products and a

challenging credit market due to widening spreads for

most of the year. The decline in spread products and other

fixed income revenues was partially offset by strength in

commodities, particularly with corporate clients, as the

business assisted those clients in managing risk associated

with the increased volatility.

• Equity markets revenues decreased 9%, driven by equity

derivatives, primarily reflecting lower activity by both

corporate and institutional clients compared to a strong

prior year. The lower revenues also reflected a decline in

equity cash, driven by lower client activity.

Within Banking:

• Investment banking revenues were down 53%, reflecting

a significant decline in the overall market wallet and loss

in wallet share, as heightened macroeconomic uncertainty

and volatility continued to impact client activity.

Advisory revenues decreased 24%, reflecting a decline in

North America and EMEA, driven by the decline in the

market wallet as well as loss in wallet share. Equity and

debt underwriting revenues decreased 73% and 56%

respectively, reflecting a decline in North America,

EMEA and Asia and driven by the decline in the market

wallet as well as wallet share loss. The decline in debt

underwriting revenues also reflected markdowns on loan

commitments and losses on loan sales.

• Corporate lending revenues increased 8%, including the

impact of gain (loss) on loan hedges. Excluding the

impact of gain (loss) on loan hedges, revenues decreased

8%, primarily driven by the impacts of foreign currency

translation, higher cost of funds and higher hedging costs.

Expenses were up 10%, primarily driven by continued

investment in Citi’s transformation, business-led investments

and volume-related expenses, partially offset by a Revlon-

related wire transfer recovery, the impact of foreign exchange

translation and productivity savings.

Provisions were $911 million, compared to a benefit of

$2.5 billion in the prior year, driven by an ACL build, partially

offset by lower net credit losses.

Net credit losses declined to $152 million, compared to

$356 million in the prior year, driven by improvements in

portfolio credit quality.

The ACL build was $759 million, compared to a release

of $2.8 billion in the prior year. The ACL build was primarily

driven by a deterioration in macroeconomic assumptions. For

additional information on Citi’s ACL, see “Significant

Accounting Policies and Significant Estimates” below.

For additional information on ICG’s corporate credit

portfolio, see “Managing Global Risk—Credit Risk—

Corporate Credit” below.

For additional information on trends in ICG’s deposits

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

Loans” and “—Deposits” below.

For additional information about trends, uncertainties and

risks related to ICG’s future results, see “Executive Summary”

above and “Risk Factors” and “Managing Global Risk—Other

Risks—Country Risk—Argentina” and “—Russia” below.

This page intentionally left blank.

PERSONAL BANKING AND WEALTH MANAGEMENT

Personal Banking and Wealth Management (PBWM) consists of U.S. Personal Banking and Global Wealth Management (Global

Wealth). U.S. Personal Banking includes Retail banking, which provides traditional banking services to retail and small business

customers. U.S. Personal Banking’s cards portfolio includes the following proprietary portfolios: Cash, Rewards and Value portfolios

and co-branded cards (including, among others, American Airlines and Costco) within Branded cards, and co-brand and private label

relationships (including, among others, The Home Depot, Best Buy, Sears and Macy’s) within Retail services. Global Wealth includes

Private bank, Wealth at Work and Citigold and provides financial services to clients from affluent to ultra-high-net-worth through

banking, lending, mortgages, investment, custody and trust product offerings in 20 countries, including the U.S., Mexico and four

wealth management centers: Singapore, Hong Kong, the UAE and London.

At December 31, 2022, U.S. Personal Banking had 654 retail bank branches concentrated in the six key metropolitan areas of

New York, Chicago, Los Angeles, San Francisco, Miami and Washington, D.C. U.S. Personal Banking had $151 billion in

outstanding credit card balances, $113 billion in deposits and $37 billion in retail banking loans.

At December 31, 2022, Global Wealth had $325 billion in deposits, $84 billion in mortgage loans, $61 billion in personal and

small business loans and $5 billion in outstanding credit card balances.

In millions of dollars, except as otherwise noted

2022 2021 2020

% Change

2022 vs. 2021

% Change

2021 vs. 2020

Net interest income $ 22,656 $ 20,646 $ 22,326 10 % (8) %

Non-interest revenue 1,561 2,681 2,814 (42) (5)

Total revenues, net of interest expense $ 24,217 $ 23,327 $ 25,140 4 % (7) %

Total operating expenses $ 16,258 $ 14,610 $ 13,599 11 % 7 %

Net credit losses on loans $ 3,021 $ 3,061 $ 5,229 (1) % (41) %

Credit reserve build (release) for loans 707 (4,284) 4,613 NM NM

Provision (release) for credit losses on unfunded lending

commitments 11 (16) 26 NM NM

Provisions for benefits and claims (PBC), and other assets 15 15 17 — (12)

Provisions (release) for credit losses and PBC $ 3,754 $ (1,224) $ 9,885 NM NM

Income from continuing operations before taxes $ 4,205 $ 9,941 $ 1,656 (58) % NM

Income taxes 886 2,207 334 (60) NM

Income from continuing operations $ 3,319 $ 7,734 $ 1,322 (57) % NM

Noncontrolling interests — — — — — %

Net income $ 3,319 $ 7,734 $ 1,322 (57) % NM

Balance Sheet data (in billions of dollars)

EOP assets $ 494 $ 464 $ 453 6 % 2 %

Average assets 476 467 454 2 3

Average loans 321 307 304 5 1

Average deposits 435 417 358 4 16

Efficiency ratio 67 % 63 % 54 %

Net credit losses as a percentage of average loans 0.94 1.00 1.72

Revenue by reporting unit and component

Branded cards $ 8,892 $ 8,190 $ 8,799 9 % (7) %

Retail services 5,450 5,082 5,965 7 (15)

Retail banking 2,501 2,506 2,790 — (10)

U.S. Personal Banking $ 16,843 $ 15,778 $ 17,554 7 % (10) %

Private bank $ 2,762 $ 2,943 $ 2,882 (6) % 2 %

Wealth at Work 730 691 677 6 2

Citigold 3,882 3,915 4,027 (1) (3)

Global Wealth $ 7,374 $ 7,549 $ 7,586 (2) % — %

Total $ 24,217 $ 23,327 $ 25,140 4 % (7) %

NM Not meaningful

2022 vs. 2021

Net income was $3.3 billion, compared to $7.7 billion in the

prior year, reflecting significantly higher cost of credit and

higher expenses, partially offset by higher revenues.

Revenues increased 4%, primarily due to higher net

interest income, driven by strong loan growth in Branded

cards and Retail services and higher interest rates. The

increase was partially offset by lower non-interest revenue,

reflecting lower investment product revenue in Global Wealth

and higher partner payments in Retail services resulting from

higher revenues.

U.S. Personal Banking revenues increased 7%, reflecting

higher revenues in cards.

Cards revenues increased 8%. Branded cards revenues

increased 9%, primarily driven by higher net interest income

on higher loan balances. Branded cards new account

acquisitions increased 11% and card spend volume increased

16%. Average loans increased 11%, reflecting the higher card

spend volumes.

Retail services revenues increased 7%, primarily driven

by higher net interest income on higher loan balances and

lower payment rates, partially offset by the increase in partner

payments. The increase in partner payments reflected higher

income sharing as a result of higher revenues (for additional

information on partner payments, see Note 5). Retail services

credit card spend volume increased 8% and average loans

increased 6%, reflecting the higher card spend volumes.

Retail banking revenues were largely unchanged, as the

higher interest rates and modest deposit growth were offset by

lower mortgage revenues due to fewer mortgage originations,

driven by the higher interest rates. Average deposits increased

3%, largely reflecting higher levels of consumer liquidity in

the first half of 2022.

Global Wealth revenues decreased 2%, reflecting

investment product revenue headwinds, particularly in Asia,

driven by overall market volatility, partially offset by net

interest income growth, driven by higher interest rates and

higher loan and deposit volumes. Average loans increased 2%

and average deposits increased 5%. Client assets decreased

8%, primarily driven by declines in equity market valuations.

Global Wealth advisors increased 4% during 2022. Private

bank revenues decreased 6%, Citigold revenues decreased 1%

and Wealth at Work revenues increased 6%.

Expenses increased 11%, primarily driven by continued

investments in Citi’s transformation, other risk and control

initiatives, volume-related expenses and business-led

investments, partially offset by productivity savings.

Provisions were $3.8 billion, compared to a benefit of

$1.2 billion in the prior year, largely driven by a net ACL

build. Net credit losses decreased 1%, driven by historically

low loss rates experienced in the first half of 2022, followed

by the ongoing normalization of losses toward pre-pandemic

levels, particularly in Retail services (net credit losses up 7%

to $1.3 billion). Branded cards net credit losses declined 17%

to $1.4 billion.

The net ACL build was $0.7 billion, compared to a net

release of $4.3 billion in the prior year, primarily driven by

U.S. Cards loan growth and a deterioration in macroeconomic

assumptions. For additional information on Citi’s ACL, see

“Significant Accounting Policies and Significant Estimates”

below.

For additional information on U.S. Personal Banking’s

Retail banking, and its Branded cards and Retail services

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

For additional information about trends, uncertainties and

risks related to PBWM’s future results, see “Executive

Summary” above and “Risk Factors” below.

LEGACY FRANCHISES

As of December 31, 2022, Legacy Franchises included (i) Asia Consumer Banking (Asia Consumer), representing the consumer

banking operations of the remaining eight Asia and EMEA exit countries; (ii) Mexico Consumer Banking (Mexico Consumer) and

Mexico Small Business and Middle-Market Banking (Mexico SBMM), collectively Mexico Consumer/SBMM, which Citi also plans

to exit; and (iii) Legacy Holdings Assets (certain North America consumer mortgage loans and other legacy assets). Asia Consumer

provides traditional retail banking and branded card products to retail and small business customers. Mexico Consumer/SBMM

provides traditional retail banking and branded card products to consumers and small business customers and traditional middle-

market banking products and services to commercial customers through Citibanamex.

Legacy Franchises also included the following consumer banking businesses prior to their sale: Australia, until its closing on June

1, 2022; the Philippines, until its closing on August 1, 2022; Thailand and Malaysia, until their closings on November 1, 2022; and

Bahrain, until its closing on December 1, 2022. In addition, Citi has entered into agreements to sell its consumer banking businesses in

India, Indonesia, Taiwan and Vietnam, and announced its wind-down of consumer banking operations in Korea and China and

consumer banking and local commercial banking operations in Russia (see below). In December 2022, Citi announced the pursuit of

sales of portfolios within its China consumer banking business, subject to applicable regulations. See Note 2 for additional information

on Legacy Franchises’ consumer banking business sales and wind-downs.

As previously disclosed, Citi announced the wind-down of its consumer banking and local commercial banking operations in

Russia, including its active pursuit of sales of certain Russia consumer banking portfolios. In connection with this wind-down plan,

Citi expects to incur approximately $110 million in costs (excluding the impact from any portfolio sales), primarily through 2024,

largely driven by restructuring, vendor termination fees and other related charges. In December 2022, Citi (i) sold a portfolio of ruble-

denominated personal installment loans, totaling approximately $240 million in outstanding loan balances as of the fourth quarter of

2022 and (ii) entered into a referral agreement to settle a portfolio of ruble-denominated credit card loans, subject to customer

consents; the outstanding card loans balance was approximately $219 million as of the fourth quarter of 2022. For additional

information about Citi’s continued efforts to reduce its operations and exposure in Russia, see “Institutional Clients Group” above and

“Risk Factors” and “Managing Global Risk—Other Risks—Country Risk—Russia” below.

At December 31, 2022, on a combined basis, Legacy Franchises had 1,438 retail branches, $23 billion in retail banking loans and

$51 billion in deposits. In addition, the businesses had $8 billion in outstanding card loan balances, and Mexico SBMM had $7 billion

in outstanding corporate loan balances. These amounts exclude approximately $12 billion of loans ($9 billion of retail banking loans

and $3 billion of credit card loan balances) and approximately $16 billion of deposits, all of which were reclassified to Other assets

and Other liabilities held-for-sale (HFS) as a result of Citi’s agreements to sell its consumer banking businesses in India, Indonesia,

Taiwan and Vietnam. See Note 2 for additional information.

In millions of dollars, except as otherwise noted

2022 2021 2020

% Change

2022 vs. 2021

% Change

2021 vs. 2020

Net interest income $ 5,691 $ 6,250 $ 6,973 (9) % (10) %

Non-interest revenue 2,781 2,001 2,481 39 (19)

Total revenues, net of interest expense $ 8,472 $ 8,251 $ 9,454 3 % (13) %

Total operating expenses $ 7,782 $ 8,259 $ 6,890 (6) % 20 %

Net credit losses on loans $ 616 $ 1,478 $ 1,505 (58) % (2) %

Credit reserve build (release) for loans (229) (1,621) 1,116 86 NM

Provision (release) for credit losses on unfunded lending

commitments 93 (19) 30 NM NM

Provisions for benefits and claims (PBC), HTM debt securities

and other assets 91 100 88 (9) 14

Provisions (releases) for credit losses and PBC $ 571 $ (62) $ 2,739 NM NM

Income (loss) from continuing operations before taxes $ 119 $ 54 $ (175) NM NM

Income taxes 128 63 (33) NM NM

Income (loss) from continuing operations $ (9) $ (9) $ (142) — % 94 %

Noncontrolling interests 3 (10) (6) NM (67)

Net income (loss) $ (12) $ 1 $ (136) NM 101 %

Balance Sheet data (in billions of dollars)

EOP assets $ 97 $ 125 $ 131 (22) % (5) %

Average assets 110 127 128 (13) (1)

EOP loans 38 65 84 (42) (23)

EOP deposits 51 76 90 (33) (16)

Efficiency ratio 92 % 100 % 73 %

Revenue by reporting unit and component

Asia Consumer $ 3,811 $ 3,405 $ 4,311 12 % (21) %

Mexico Consumer/SBMM 4,751 4,651 4,885 2 (5)

Legacy Holdings Assets (90) 195 258 NM (24)

Total $ 8,472 $ 8,251 $ 9,454 3 % (13) %

NM Not meaningful

2022 vs. 2021

Net loss was $12 million, compared to net income of $1

million in the prior year, primarily driven by higher cost of

credit, partially offset by lower expenses and higher revenues.

Results for 2022 included divestiture-related impacts of

approximately $87 million (approximately $(180) million

after-tax), which primarily consisted of (i) an approximate

$618 million Philippines gain on sale recorded in revenues, (ii)

an approximate $209 million Thailand gain on sale recorded in

revenues, (iii) an approximate $(64) million incremental

Australia consumer banking loss on sale recorded in revenues,

(iv) an approximate $535 million goodwill impairment

recorded in expenses and (v) an approximate $156 million of

other aggregate divestiture-related costs.

Results for 2021 included divestiture-related impacts of

approximately $(1.9) billion (approximately $(1.6) billion

after-tax), which primarily consisted of (i) an approximate

$(694) million Australia loss on sale recorded in revenues, (ii)

an approximate $1.1 billion related to charges incurred from

the voluntary early retirement program (VERP) in connection

with the wind-down of the Korea consumer banking business

recorded in expenses and (iii) contract modification costs

related to the Asia divestitures of approximately $119 million

recorded in expenses.

Revenues increased 3%, primarily driven by higher

revenues in Asia Consumer and Mexico Consumer/SBMM,

partially offset by lower Legacy Holdings Assets revenues.

Asia Consumer revenues increased 12%, primarily driven

by the Philippines and Thailand gains on sale, versus the

Australia loss on sale in the prior year, partially offset by the

loss of revenues from the closing of the five exit markets and

impacts of the ongoing Korea and Russia wind-downs.

Mexico Consumer/SBMM revenues increased 2%, as

cards revenues in Mexico Consumer increased 7% and SBMM

revenues increased 9%, primarily due to higher interest rates

and higher deposit and loan growth. The increase in revenues

was partially offset by a 1% decrease in retail banking

revenues, primarily driven by lower fiduciary fees reflecting

declines in equity market valuations.

Legacy Holdings Assets revenues of $(90) million

decreased from $195 million in the prior year, largely driven

by a CTA loss (net of hedges) recorded in AOCI in the second

quarter of 2022, related to the substantial liquidation of a

legacy U.K. consumer operation (for additional information,

see “Corporate/Other” below and Note 2), as well as the

continued wind-down of Legacy Holdings Assets.

Expenses decreased 6%, primarily driven by the absence

of the $1.2 billion divestiture-related costs in the prior year,

including the Korea VERP of approximately $1.1 billion and

contract modification costs related to Asia divestiture markets

of approximately $119 million, and the benefit from the

closing of the five exit markets. The decline was partially

offset by an approximate $535 million goodwill impairment in

the first quarter of 2022, an approximate $70 million

impairment of long-lived assets related to the Russia consumer

banking business in the second quarter of 2022 and

approximately $156 million of other aggregate divestiture-

related costs.

Provisions were $571 million, compared to a benefit of

$62 million in the prior year, primarily driven by a lower net

ACL release, partially offset by lower net credit losses. Net

credit losses decreased 58%, primarily reflecting improved

delinquencies in both Asia Consumer and Mexico Consumer

and the reclassification of loans and net credit losses to reflect

HFS accounting as a result of the signing of sale agreements

for the aforementioned consumer banking businesses in Asia

Consumer.

The net ACL release was $136 million, compared to a net

release of $1.6 billion in the prior year. The continued release

primarily reflected further improvement in portfolio credit

quality. For additional information on Citi’s ACL, see

“Significant Accounting Policies and Significant Estimates”

below.

For additional information about trends, uncertainties and

risks related to Legacy Franchises’ future results, see

“Executive Summary” above and “Risk Factors” and

“Managing Global Risk—Other Risks—Country Risk—

Russia” below.

CORPORATE/OTHER

Activities not assigned to the operating segments (ICG, PBWM and Legacy Franchises) are included in Corporate/Other. Corporate/

Other included certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance-

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

results of Corporate Treasury investment activities and discontinued operations. At December 31, 2022, Corporate/Other had $96

billion in assets, primarily related to the investment securities.

In millions of dollars

2022 2021 2020

% Change

2022 vs. 2021

% Change

2021 vs. 2020

Net interest income $ 2,410 $ 599 $ (298) NM NM

Non-interest revenue (967) (129) 112 NM NM

Total revenues, net of interest expense $ 1,443 $ 470 $ (186) NM NM

Total operating expenses $ 953 $ 1,375 $ 1,549 (31) % (11) %

Provisions (releases) for HTM debt securities and other assets $ 3 $ (2) $ 2 NM NM

Income (loss) from continuing operations before taxes $ 487 $ (903) $ (1,737) NM 48 %

Income taxes (benefits) (630) (888) (853) 29 % (4)

Income (loss) from continuing operations $ 1,117 $ (15) $ (884) NM 98 %

Income (loss) from discontinued operations, net of taxes (231) 7 (20) NM NM

Net income (loss) before attribution of noncontrolling

interests $ 886 $ (8) $ (904) NM 99 %

Noncontrolling interests 7 — (4) — % 100

Net income (loss) $ 879 $ (8) $ (900) NM 99 %

NM Not meaningful

2022 vs. 2021

Net income was $879 million, compared to a net loss of $8

million in the prior year, reflecting higher revenues and lower

expenses, partially offset by lower income tax benefits and a

second quarter of 2022 release of a CTA loss (net of hedges)

from AOCI, recorded in discontinued operations, related to the

substantial liquidation of a U.K. consumer legacy operation

(for additional information, see “Legacy Franchises” above

and Note 2).

Revenues were $1.4 billion, compared to $470 million in

the prior year, driven by higher net interest income, partially

offset by lower non-interest revenue. The higher net interest

income was primarily due to the investment portfolio driven

by higher balances, higher interest rates and lower mortgage-

backed securities prepayments, partially offset by higher cost

of funds related to higher institutional certificates of deposit.

The lower non-interest revenue was primarily due to the

absence of mark-to-market gains in the prior year as well as

higher hedging costs.

Expenses decreased 31%, primarily driven by lower

consulting expenses and the impact of certain legal

settlements.

For additional information about trends, uncertainties and

risks related to Corporate/Other’s future results, see

“Executive Summary” above and “Risk Factors” below.

CAPITAL RESOURCES

Overview

Capital is used principally to support assets in Citi’s

businesses and to absorb potential losses, including 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 the

impact of future events on Citi’s business results, such as the

signing or closing of divestitures and changes in interest and

foreign exchange rates.

During 2022, Citi returned a total of $7.3 billion of capital

to common shareholders in the form of $4.0 billion in

dividends and $3.3 billion in share repurchases totaling

approximately 56 million common shares. Citi has continued

to pause common share repurchases in order to absorb any

temporary capital impacts related to any potential signing of a

sale agreement for its Mexico Consumer and Small Business

and Middle-Market Banking (Mexico Consumer/SBMM)

business (for additional information, see “Executive Summary

—Macroeconomic and Other Risks and Uncertainties” above)

and to continue to have ample capital to serve its clients. For

additional information on capital-related trends, uncertainties

and risks related to Citi’s exit businesses, including the impact

of CTA losses, see “Executive Summary” above and “Risk

Factors—Strategic Risks” and “—Operational Risks” 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 and its 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 rules issued by the Federal

Reserve Board (FRB), in coordination with the OCC and

FDIC, including the U.S. implementation of the Basel III rules

(for information on potential changes to the Basel III rules, see

“Basel III Revisions” below). 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 Standardized

Approach include credit and market risk-weighted assets,

which are generally prescribed supervisory risk weights. Total

risk-weighted assets under the Advanced Approaches, which

are primarily model based, include credit, market and

operational risk-weighted assets. 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

the Standardized and Advanced Approaches. The

Standardized Approach does not include operational risk-

weighted assets.

Under the U.S. Basel III rules, Citigroup is required to

maintain several regulatory capital buffers above the stated

minimum capital requirements to avoid certain limitations on

capital distributions and discretionary bonus payments to

executive officers. Accordingly, for the fourth quarter of 2022,

Citigroup’s required regulatory CET1 Capital ratio was 11.5%

under the Standardized Approach (incorporating its Stress

Capital Buffer of 4.0% and GSIB (global systemically

important bank) surcharge of 3.0%) and 10.0% under the

Advanced Approaches (inclusive of the fixed 2.5% Capital

Conservation Buffer and GSIB surcharge of 3.0%).

In addition, commencing January 1, 2023, Citi’s GSIB

surcharge increased from 3.0% to 3.5%, which is applicable to

both the Standardized and Advanced Approaches, resulting in

a required CET1 Capital ratio of 12.0% under the

Standardized Approach and 10.5% under the Advanced

Approaches, both as of such date (for additional information,

see “GSIB Surcharge” below).

Similarly, Citigroup’s primary subsidiary, Citibank, N.A.

(Citibank), is required to maintain minimum regulatory capital

ratios plus applicable regulatory buffers, as well as hold

sufficient capital to be considered “well capitalized” under the

Prompt Corrective Action framework. In effect, Citibank’s

required CET1 Capital ratio was 7.0% under both the

Standardized and Advanced Approaches, which is the sum of

the minimum 4.5% CET1 requirement and a fixed 2.5%

Capital Conservation Buffer. For additional information, see

“Regulatory Capital Buffers” and “Prompt Corrective Action

Framework” below.

Further, the U.S. Basel III rules implement the “capital

floor provision” of the Dodd-Frank Act (the so-called “Collins

Amendment”), which requires banking organizations to

calculate “generally applicable” capital requirements. As a

result, Citi must calculate each of the three risk-based capital

ratios (CET1 Capital, Tier 1 Capital and Total Capital) under

both the Standardized Approach and the Advanced

Approaches and comply with the more binding of each of the

resulting risk-based capital ratios.

Tier 1 Leverage Ratio

Under the U.S. Basel III rules, Citigroup is also required to

maintain a minimum Tier 1 Leverage ratio of 4.0%. Similarly,

Citibank is required to maintain a minimum Tier 1 Leverage

ratio of 5.0% to be considered “well capitalized” under the

Prompt Corrective Action framework. 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 (SLR), which differs from the Tier 1 Leverage ratio by

including certain off-balance sheet exposures within the

denominator of the ratio (Total Leverage Exposure). The SLR

represents end-of-period Tier 1 Capital to Total Leverage

Exposure. Total Leverage Exposure is defined as the sum of

(i) the daily average of on-balance sheet assets for the quarter

and (ii) 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 SLR of 3.0%.

Further, U.S. GSIBs, including Citigroup, are subject to a

2.0% leverage buffer in addition to the 3.0% stated minimum

SLR requirement, resulting in a 5.0% SLR. If a U.S. GSIB

fails to exceed this requirement, it will be subject to

increasingly stringent restrictions (depending upon the extent

of the shortfall) on capital distributions and discretionary

executive bonus payments.

Similarly, Citibank is required to maintain a minimum

SLR of 6.0% to be considered “well capitalized” under the

Prompt Corrective Action framework.

Regulatory Capital Treatment—Modified Transition of the

Current Expected Credit Losses Methodology

In 2020, the U.S. banking agencies issued a final rule that

modified the regulatory capital transition provision related to

the current expected credit losses (CECL) methodology. The

rule does not have any impact on U.S. GAAP accounting.

The rule permitted 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

utilized a 25% scaling factor as an approximation of the

increased reserve build under CECL compared to the previous

incurred loss model and, therefore, allowed banks to add back

to CET1 Capital an amount equal to 25% of the change in

CECL-based allowances in each quarter between January 1,

2020 and December 31, 2021. Beginning January 1, 2022, the

cumulative 25% change in CECL-based allowances between

January 1, 2020 and December 31, 2021 started to be phased

in to regulatory capital (i) at 25% per year on January 1 of

each year over the three-year transition period and (ii) along

with the delayed Day One impact.

Citigroup and Citibank elected the modified CECL

transition provision provided by the rule. 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 in each

quarter between January 1, 2020 and December 31, 2021,

started to be phased in on January 1, 2022 and will be fully

reflected in Citi’s regulatory capital as of January 1, 2025.

As of December 31, 2022, Citigroup’s reported CET1

Capital ratio of 13.0% benefited from the deferrals of the

CECL transition provision by 24 basis points. For additional

information on Citigroup’s and Citibank’s regulatory capital

ratios excluding the impact of the CECL transition provision,

see “Capital Resources (Full Adoption of CECL)” below.

Regulatory Capital Buffers

Citigroup and Citibank are required to maintain several

regulatory capital buffers above the 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 regulatory capital

ratio requirements.

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. ERI is equal to 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, 2022, Citi’s regulatory capital ratios

exceeded the regulatory capital requirements. Accordingly,

Citi is not subject to payout limitations as a result of the U.S.

Basel III requirements.

Stress Capital Buffer

Citigroup is subject to the FRB’s Stress Capital Buffer (SCB)

rule, which integrates the annual stress testing requirements

with ongoing regulatory capital requirements. The SCB equals

the peak-to-trough CET1 Capital ratio decline under the

Supervisory Severely Adverse scenario over a nine-quarter

period 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%. SCB-based capital

requirements are reviewed and updated annually by the FRB

as part of the CCAR process. For additional information

regarding CCAR and DFAST, see “Stress Testing Component

of Capital Planning” below. The fixed 2.5% Capital

Conservation Buffer will continue to apply under the

Advanced Approaches (for additional information, see below).

In August 2022, the FRB finalized and announced Citi’s

SCB requirement of 4.0% for the four-quarter window starting

from October 1, 2022 to September 30, 2023.

Accordingly, as of October 1, 2022, Citi is required to

maintain an 11.5% required regulatory CET1 Capital ratio

under the Standardized Approach, incorporating this SCB and

its GSIB surcharge of 3.0%. Previously, from October 1, 2021

through September 30, 2022, Citi had been subject to a 3.0%

SCB, and a 10.5% required regulatory CET1 Capital ratio

under the Standardized Approach. Citi’s required regulatory

CET1 Capital ratio under the Advanced Approaches (using the

fixed 2.5% Capital Conservation Buffer) remains unchanged

at 10.0%. The SCB applies to Citigroup only; the regulatory

capital framework applicable to Citibank, including the

Capital Conservation Buffer, is unaffected by Citigroup’s

SCB.

Capital Conservation Buffer and Countercyclical Capital

Buffer

Citigroup is subject to a fixed 2.5% Capital Conservation

Buffer under the Advanced Approaches. Citibank is subject to

the fixed 2.5% Capital Conservation Buffer under both the

Advanced Approaches and the Standardized Approach.

In addition, Advanced Approaches banking organizations,

such as Citigroup and Citibank, are subject to a discretionary

Countercyclical Capital Buffer. The Countercyclical Capital

Buffer is currently set at 0% by the U.S. banking agencies.

GSIB Surcharge

The FRB imposes a risk-based capital surcharge upon U.S.

bank holding companies that are identified as 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 calculated during 2022 will be based on 2021

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 GSIB surcharge,

the higher surcharge would become effective on January 1 of

the year that is one full calendar year after the increased GSIB

surcharge was calculated (e.g., a higher surcharge calculated

in 2024 using data as of December 31, 2023 would not

become effective until January 1, 2026). 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 on January 1 of the year immediately

following the calendar year in which the decreased GSIB

surcharge was calculated (e.g., a lower surcharge calculated in

2024 using data as of December 31, 2023 would become

effective January 1, 2025).

The following table presents Citi’s effective GSIB

surcharge as determined under method 1 and method 2 during

2022 and 2021:

2022 2021

Method 1 2.0 % 2.0 %

Method 2 3.0 3.0

Citi’s GSIB surcharge effective during both 2022 and

2021 was 3.0%, as derived under the higher method 2 result.

Citi’s GSIB surcharge effective for 2023 has increased from

3.0% to 3.5%, 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, based on Citi’s method 2 result as of December

31, 2021 and its estimated method 2 result as of December 31,

2022, Citi’s GSIB surcharge is expected to remain at 3.5%

effective January 1, 2024. Citi’s GSIB surcharge effective for

2025 will likely be based on the lower of its method 2 scores

for year-end 2022 and 2023 and, therefore, is not expected to

exceed 3.5%.

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 CET1 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, 2022.

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

FRB directive to maintain higher capital levels.

Stress Testing Component of Capital Planning

Citi is subject to an annual assessment by the FRB 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 FRB evaluates

firms’ capital planning practices, focusing on six areas of

capital planning: 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 FRB evaluates Citi’s capital

adequacy, capital adequacy process and its planned capital

distributions, such as dividend payments and common share

repurchases. The FRB 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.

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 FRB 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 FRB. In

addition to the annual supervisory stress test conducted by the

FRB, Citi is required to conduct annual company-run stress

tests under the same adverse economic conditions designed by

the FRB.

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.

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.

Citigroup and Citibank are required to disclose the results

of their company-run stress tests.

Citigroup’s Capital Resources

The following table presents Citi’s required risk-based capital ratios as of December 31, 2022, September 30, 2022 and December 31,

2021:

Advanced Approaches Standardized Approach

December 31,

2022

September 30,

2022

December 31,

2021

December 31,

2022

September 30,

2022

December 31,

2021

CET1 Capital ratio

(1)

10.0 % 10.0 % 10.0 % 11.5 % 10.5 % 10.5 %

Tier 1 Capital ratio

(1)

11.5 11.5 11.5 13.0 12.0 12.0

Total Capital ratio

(1)

13.5 13.5 13.5 15.0 14.0 14.0

(1) Beginning October 1, 2022, Citi’s required risk-based capital ratios included the 4.0% 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 CET1 Capital). For prior periods

presented, Citi’s required risk-based capital ratios included the 3.0% 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. Commencing January 1, 2023, Citi’s GSIB surcharge increased from 3.0% to

3.5%, which is applicable to both the Standardized Approach and Advanced Approaches. See “Regulatory Capital Buffers” above for more information.

The following tables present Citi’s capital components and ratios as of December 31, 2022, September 30, 2022 and December 31,

2021:

Advanced Approaches Standardized Approach

In millions of dollars, except ratios

December 31,

2022

September 30,

2022

December 31,

2021

December 31,

2022

September 30,

2022

December 31,

2021

CET1 Capital

(1)

$ 148,930 $ 144,567 $ 149,305 $ 148,930 $ 144,567 $ 149,305

Tier 1 Capital

(1)

169,145 164,830 169,568 169,145 164,830 169,568

Total Capital (Tier 1 Capital + Tier 2

Capital)

(1)

188,839 185,046 194,006 197,543 193,871 203,838

Total Risk-Weighted Assets 1,221,538 1,226,578 1,209,374 1,142,985 1,176,749 1,219,175

Credit Risk

(1)

$ 851,875 $ 849,769 $ 840,483 $ 1,069,992 $ 1,096,384 $ 1,135,906

Market Risk 71,889 78,748 78,634 72,993 80,365 83,269

Operational Risk 297,774 298,061 290,257 — — —

CET1 Capital ratio

(2)

12.19 % 11.79 % 12.35 % 13.03 % 12.29 % 12.25 %

Tier 1 Capital ratio

(2)

13.85 13.44 14.02 14.80 14.01 13.91

Total Capital ratio

(2)

15.46 15.09 16.04 17.28 16.48 16.72

In millions of dollars, except ratios

Required

Capital Ratios December 31, 2022 September 30, 2022 December 31, 2021

Quarterly Adjusted Average Total Assets

(1)(3)

$ 2,395,863 $ 2,364,564 $ 2,351,434

Total Leverage Exposure

(1)(4)

2,906,773 2,888,535 2,957,764

Tier 1 Leverage ratio 4.0% 7.06 % 6.97 % 7.21 %

Supplementary Leverage ratio 5.0 5.82 5.71 5.73

(1) Citi’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the CECL standard.

For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology”

above.

(2) Citi’s binding CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach, whereas Citi’s binding Total Capital ratio was

derived under the Basel III Advanced Approaches framework for all periods presented.

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

(4) Supplementary Leverage ratio denominator.

Common Equity Tier 1 Capital Ratio

Citi’s Common Equity Tier 1 (CET1) Capital ratio under the

Basel III Standardized Approach was 13.0% as of December

31, 2022, relative to a required regulatory CET1 Capital ratio

of 11.5% as of such date under the Standardized Approach.

This compares to a CET1 Capital ratio of 12.3% as of

September 30, 2022 and 12.2% as of December 31, 2021,

relative to a required regulatory CET1 Capital ratio of 10.5%

as of such dates under the Standardized Approach.

Citi’s CET1 Capital ratio under the Basel III Advanced

Approaches was 12.2% as of December 31, 2022, compared to

11.8% as of September 30, 2022 and 12.3% as of December

31, 2021, relative to a required regulatory CET1 Capital ratio

of 10.0% as of such dates under the Advanced Approaches

framework.

Citi’s CET1 Capital ratio increased under both the

Standardized Approach and Advanced Approaches from

September 30, 2022, driven primarily by net income, business

actions to reduce RWA, beneficial net movements in AOCI

and impacts from the closing of Asia consumer banking

business sales, partially offset by the payment of common

dividends.

Citi’s CET1 Capital ratio increased under the

Standardized Approach from year-end 2021, due to the net

income of $14.8 billion, impacts from the closing of the

Australia, Philippines and other Asia consumer banking

business sales and business actions to reduce RWA, partially

offset by the return of capital to common shareholders and

interest rate impacts on Citigroup’s investment portfolio. The

increase in Citi’s CET1 Capital ratio was also partially offset

by the impact of adopting the Standardized Approach for

Counterparty Credit Risk (SA-CCR) on January 1, 2022.

Citi’s CET1 Capital ratio decreased under the Advanced

Approaches from year-end 2021, due to the return of capital to

common shareholders, the interest rate impacts on Citigroup’s

investment portfolio and the impact of adopting the SA-CCR,

partially offset by the net income of $14.8 billion and the

impacts from the closing of the Australia, Philippines and

other Asia consumer banking business sales.

For additional information on SA-CCR, see “Standardized

Approach for Counterparty Credit Risk” below.

Components of Citigroup Capital

In millions of dollars

December 31,

2022

December 31,

2021

CET1 Capital

Citigroup common stockholders’ equity

(1)

$ 182,325 $ 183,108

Add: Qualifying noncontrolling interests 128 143

Regulatory capital adjustments and deductions:

Add: CECL transition provision

(2)

2,271 3,028

Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax (2,522) 101

Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities

attributable to own creditworthiness, net of tax 1,441 (896)

Less: Intangible assets:

Goodwill, net of related DTLs

(3)

19,007 20,619

Identifiable intangible assets other than MSRs, net of related DTLs 3,411 3,800

Less: Defined benefit pension plan net assets; other 1,935 2,080

Less: DTAs arising from net operating loss, foreign tax credit and general business credit

carry-forwards

(4)

12,197 11,270

Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,

and MSRs

(4)(5)

325 —

Total CET1 Capital (Standardized Approach and Advanced Approaches) $ 148,930 $ 149,305

Additional Tier 1 Capital

Qualifying noncumulative perpetual preferred stock

(1)

$ 18,864 $ 18,864

Qualifying trust preferred securities

(6)

1,406 1,399

Qualifying noncontrolling interests 30 34

Regulatory capital deductions:

Less: Other 85 34

Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches) $ 20,215 $ 20,263

Total Tier 1 Capital (CET1 Capital + Additional Tier 1 Capital)

(Standardized Approach and Advanced Approaches) $ 169,145 $ 169,568

Tier 2 Capital

Qualifying subordinated debt $ 15,530 $ 20,064

Qualifying trust preferred securities

(7)

— 248

Qualifying noncontrolling interests 37 42

Eligible allowance for credit losses

(2)(8)

13,426 14,209

Regulatory capital deduction:

Less: Other 595 293

Total Tier 2 Capital (Standardized Approach) $ 28,398 $ 34,270

Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) $ 197,543 $ 203,838

Adjustment for excess of eligible credit reserves over expected credit losses

(2)(8)

$ (8,704) $ (9,832)

Total Tier 2 Capital (Advanced Approaches) $ 19,694 $ 24,438

Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) $ 188,839 $ 194,006

(1) Issuance costs of $131 million related to outstanding noncumulative perpetual preferred stock at December 31, 2022 and 2021 were excluded from common

stockholders’ equity and netted against such preferred stock in accordance with FRB regulatory reporting requirements, which differ from those under U.S.

GAAP.

(2) Citi’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the CECL standard.

For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology”

above.

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

Footnotes continue on the following page.

(4) Of Citi’s $27.7 billion of net DTAs at December 31, 2022, $12.2 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit

tax carry-forwards, as well as $0.3 billion of DTAs arising from temporary differences that exceeded 10%/15% limitations, were excluded from Citi’s CET1

Capital as of December 31, 2022. DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards are required to be entirely

deducted from CET1 Capital under the U.S. Basel III rules. DTAs arising from temporary differences are required to be deducted from capital only if they exceed

10%/15% limitations under the U.S. Basel III rules.

(5) Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated

financial institutions. At December 31, 2022, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. At

December 31, 2021, none of these assets were in excess of the 10%/15% limitations.

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

(7) Represents the amount of non-grandfathered trust preferred securities that were previously eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules.

Commencing January 1, 2022, non-grandfathered trust preferred securities have been fully phased out of Tier 2 Capital.

(8) Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any

excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which

eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of

credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject

to limitation, under the Advanced Approaches framework were $4.7 billion and $4.4 billion at December 31, 2022 and December 31, 2021, respectively.

Citigroup Capital Rollforward

In millions of dollars

Three months ended

December 31, 2022

Twelve months ended

December 31, 2022

CET1 Capital, beginning of period $ 144,567 $ 149,305

Net income 2,513 14,845

Common and preferred dividends declared (1,241) (5,060)

Net change in treasury stock 10 (2,727)

Net increase in common stock and additional paid-in capital 111 455

Net change in CTA net of hedges, net of tax 1,571 (2,472)

Net change in unrealized gains (losses) on debt securities AFS, net of tax 974 (5,384)

Net change in defined benefit plans liability adjustment, net of tax (22) 97

Net change in adjustment related to change in fair value of financial liabilities

attributable to own creditworthiness, net of tax 168 (307)

Net change in excluded component of fair value hedges (32) 55

Net change in goodwill, net of related DTLs (211) 1,612

Net decrease in identifiable intangible assets other than MSRs, net of related DTLs 81 389

Net change in defined benefit pension plan net assets (7) 61

Net increase in DTAs arising from net operating loss, foreign tax credit and general

business credit carry-forwards (507) (927)

Net change in excess over 10%/15% limitations for other DTAs, certain common stock

investments and MSRs 936 (325)

Net decrease in CECL 25% provision deferral — (757)

Other 19 70

Net change in CET1 Capital $ 4,363 $ (375)

CET1 Capital, end of period

(Standardized Approach and Advanced Approaches) $ 148,930 $ 148,930

Additional Tier 1 Capital, beginning of period $ 20,263 $ 20,263

Net increase in qualifying trust preferred securities 2 7

Other (50) (55)

Net decrease in Additional Tier 1 Capital $ (48) $ (48)

Tier 1 Capital, end of period

(Standardized Approach and Advanced Approaches) $ 169,145 $ 169,145

Tier 2 Capital, beginning of period (Standardized Approach) $ 29,041 $ 34,270

Net decrease in qualifying subordinated debt (149) (4,534)

Net decrease in eligible allowance for credit losses (326) (783)

Other (168) (555)

Net decrease in Tier 2 Capital (Standardized Approach) $ (643) $ (5,872)

Tier 2 Capital, end of period (Standardized Approach) $ 28,398 $ 28,398

Total Capital, end of period (Standardized Approach) $ 197,543 $ 197,543

Tier 2 Capital, beginning of period (Advanced Approaches) $ 20,216 $ 24,438

Net decrease in qualifying subordinated debt (149) (4,534)

Net increase in excess of eligible credit reserves over expected credit losses (205) 345

Other (168) (555)

Net decrease in Tier 2 Capital (Advanced Approaches) $ (522) $ (4,744)

Tier 2 Capital, end of period (Advanced Approaches) $ 19,694 $ 19,694

Total Capital, end of period (Advanced Approaches) $ 188,839 $ 188,839

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

In millions of dollars

Three months ended

December 31, 2022

Twelve months ended

December 31, 2022

Total Risk-Weighted Assets, beginning of period $ 1,176,749 $ 1,219,175

Changes in Credit Risk-Weighted Assets

General credit risk exposures

(1)

(4,243) (26,061)

Repo-style transactions

(2)

(225) (15,302)

Securitization exposures

(3)

2,928 4,886

Equity exposures

(4)

3,751 453

Over-the-counter (OTC) derivatives

(5)

(27,320) (4,619)

Other exposures

(6)

(1,911) (10,718)

Off-balance sheet exposures

(7)

628 (14,553)

Net decrease in Credit Risk-Weighted Assets $ (26,392) $ (65,914)

Changes in Market Risk-Weighted Assets

Risk levels $ (8,974) $ (15,961)

Model and methodology updates 1,602 5,685

Net decrease in Market Risk-Weighted Assets

(8)

$ (7,372) $ (10,276)

Total Risk-Weighted Assets, end of period $ 1,142,985 $ 1,142,985

(1) General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures decreased

during the three and 12 months ended December 31, 2022 primarily due to Asia consumer divestitures and a decrease in corporate lending, partially offset by an

increase in card activities.

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

transactions decreased during the 12 months ended December 31, 2022 primarily due to reduced exposure in repurchase agreements and securities lending, as well

as a decrease in margin loans.

(3) Securitization exposures increased during the three and 12 months ended December 31, 2022 primarily due to new exposures.

(4) Equity exposures increased during the three months ended December 31, 2022 primarily due to increases in market value of various investments.

(5) OTC derivatives decreased during the three months ended December 31, 2022 primarily due to decreases across FX, commodities and equities. OTC derivatives

decreased during the 12 months ended December 31, 2022 primarily due to decreases in rates, FX, commodities and equities, partially offset by the impact from

the adoption of SA-CCR. For additional information on SA-CCR, see “Standardized Approach for Counterparty Credit Risk” below.

(6) Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures decreased during the 12 months ended December 31, 2022

primarily due to decreases in centrally cleared derivatives and default fund contributions, partially offset by an increase in fixed assets.

(7) Off-balance sheet exposures decreased during the 12 months ended December 31, 2022 primarily due to a decrease in loan commitments.

(8) Market risk-weighted assets decreased during the three and 12 months ended December 31, 2022 primarily due to exposure changes, partially offset by changes in

model inputs regarding volatility and the correlation between market risk factors.

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

In millions of dollars

Three months ended

December 31, 2022

Twelve months ended

December 31, 2022

Total Risk-Weighted Assets, beginning of period $ 1,226,578 $ 1,209,374

Changes in Credit Risk-Weighted Assets

Retail exposures

(1)

4,610 12,633

Wholesale exposures

(2)

2,094 (14,843)

Repo-style transactions

(3)

390 (10,694)

Securitization exposures

(4)

2,916 5,057

Equity exposures

(5)

3,795 948

Over-the-counter (OTC) derivatives

(6)

(11,929) (2,667)

Derivatives CVA

(7)

(2,067) 19,667

Other exposures

(8)

2,026 1,725

Supervisory 6% multiplier 271 (434)

Net increase in Credit Risk-Weighted Assets $ 2,106 $ 11,392

Changes in Market Risk-Weighted Assets

Risk levels $ (8,461) $ (12,430)

Model and methodology updates 1,602 5,685

Net decrease in Market Risk-Weighted Assets

(9)

$ (6,859) $ (6,745)

Net change in Operational Risk-Weighted Assets

(10)

$ (287) $ 7,517

Total Risk-Weighted Assets, end of period $ 1,221,538 $ 1,221,538

(1) Retail exposures increased during the three months ended December 31, 2022 primarily due to an increase in card activities, partially offset by a decrease from

divestitures. Retail exposures increased during the 12 months ended December 31, 2022 primarily due to increases in card activities, consumer loans and model

recalibrations, partially offset by a decrease from divestitures.

(2) Wholesale exposures decreased during the 12 months ended December 31, 2022 primarily due to decreases in wholesale loans and available-for-sale securities.

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

transactions decreased during the 12 months ended December 31, 2022 primarily due to reduced exposure in repurchase agreements and securities lending, as well

as a decrease in margin loans.

(4) Securitization exposures increased during the three and 12 months ended December 31, 2022 primarily driven by new exposures.

(5) Equity exposures increased during the three months ended December 31, 2022 primarily due to increases in market value of various investments.

(6) OTC derivatives decreased during the three months ended December 31, 2022 primarily due to exposure decreases across FX and commodities. OTC derivatives

decreased during the 12 months ended December 31, 2022 primarily due to exposure decreases across FX and commodities, partially offset by the impact from the

adoption of SA-CCR. For additional information on SA-CCR, see “Standardized Approach for Counterparty Credit Risk” below.

(7) Derivatives CVA increased during the 12 months ended December 31, 2022 primarily due to the adoption of SA-CCR. For additional information on SA-CCR,

see “Standardized Approach for Counterparty Credit Risk” below.

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

Other exposures increased during the three and 12 months ended December 31, 2022 primarily due to an increase in fixed assets.

(9) Market risk-weighted assets decreased during the three and 12 months ended December 31, 2022 primarily due to exposure changes, partially offset by changes in

model inputs regarding volatility and the correlation between market risk factors.

(10) Operational risk-weighted assets increased during the 12 months ended December 31, 2022 primarily due to new model severity updates.

Supplementary Leverage Ratio

The following table presents Citi’s Supplementary Leverage

ratio and related components as of December 31, 2022,

September 30, 2022 and December 31, 2021:

In millions of dollars, except ratios

December 31,

2022

September 30,

2022

December 31,

2021

Tier 1 Capital $ 169,145 $ 164,830 $ 169,568

Total Leverage Exposure

On-balance sheet assets

(1)(2)

$ 2,432,823 $ 2,401,767 $ 2,389,237

Certain off-balance sheet exposures

(3)

Potential future exposure on derivative contracts 133,071 153,842 222,241

Effective notional of sold credit derivatives, net

(4)

34,117 32,768 23,788

Counterparty credit risk for repo-style transactions

(5)

17,169 16,997 25,775

Other off-balance sheet exposures 326,553 320,364 334,526

Total of certain off-balance sheet exposures $ 510,910 $ 523,971 $ 606,330

Less: Tier 1 Capital deductions 36,960 37,203 37,803

Total Leverage Exposure $ 2,906,773 $ 2,888,535 $ 2,957,764

Supplementary Leverage ratio 5.82 % 5.71 % 5.73 %

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

(2) Citi’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the CECL standard.

For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology”

above.

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

(4) Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives,

with netting of exposures permitted if certain conditions are met.

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

As presented in the table above, Citigroup’s

Supplementary Leverage ratio was 5.8% at December 31,

2022, compared to 5.7% at September 30, 2022 and December

31, 2021. The quarter-over-quarter increase was primarily

driven by an increase in Tier 1 Capital due to net income in

the fourth quarter of 2022 and beneficial net movements in

AOCI, partially offset by an increase in Total Leverage

Exposure. The year-over-year increase was primarily driven

by a decrease in Total Leverage Exposure.

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 FRB.

The following tables present the capital components and

ratios for Citibank, Citi’s primary subsidiary U.S. depository

institution, as of December 31, 2022, September 30, 2022 and

December 31, 2021:

Advanced Approaches Standardized Approach

In millions of dollars, except ratios

Required

Capital

Ratios

(1)

December 31,

2022

September 30,

2022

December 31,

2021

December 31,

2022

September 30,

2022

December 31,

2021

CET1 Capital

(2)

$ 149,593 $ 147,938 $ 148,548 $ 149,593 $ 147,938 $ 148,548

Tier 1 Capital

(2)

151,720 150,062 150,679 151,720 150,062 150,679

Total Capital (Tier 1 Capital + Tier

2 Capital)

(2)(3)

165,131 165,171 166,921 172,647 172,916 175,427

Total Risk-Weighted Assets 1,003,747 1,046,884 1,017,774 982,914 1,024,923 1,066,015

Credit Risk

(2)

$ 728,082 $ 762,660 $ 737,802 $ 948,150 $ 983,949 $ 1,016,293

Market Risk 34,403 40,676 48,089 34,764 40,974 49,722

Operational Risk 241,262 243,548 231,883 — — —

CET1 Capital ratio

(4)(5)

7.0 % 14.90 % 14.13 % 14.60 % 15.22 % 14.43 % 13.93 %

Tier 1 Capital ratio

(4)(5)

8.5 15.12 14.33 14.80 15.44 14.64 14.13

Total Capital ratio

(4)(5)

10.5 16.45 15.78 16.40 17.56 16.87 16.46

In millions of dollars, except ratios

Required

Capital Ratios December 31, 2022 September 30, 2022 December 31, 2021

Quarterly Adjusted Average Total Assets

(2)(6)

$ 1,738,744 $ 1,694,381 $ 1,716,596

Total Leverage Exposure

(2)(7)

2,189,541 2,147,923 2,236,839

Tier 1 Leverage ratio

(5)

5.0 % 8.73 % 8.86 % 8.78 %

Supplementary Leverage ratio

(5)

6.0 6.93 6.99 6.74

(1) Citibank’s required risk-based capital ratios are inclusive of the 2.5% Capital Conservation Buffer (all of which must be composed of CET1 Capital).

(2) Citibank’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the CECL

standard. For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses

Methodology” above.

(3) Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that

the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the ACL is eligible for inclusion in

Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess ACL being deducted in arriving at credit risk-weighted assets.

(4) Citibank’s binding CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of December 31, 2022 and

September 30, 2022, and under the Basel III Standardized Approach as of December 31, 2021, whereas Citibank’s binding Total Capital ratio was derived under

the Basel III Advanced Approaches framework for all periods presented.

(5) Citibank must maintain required CET1 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 required Supplementary Leverage ratio of 6.0% to be considered “well capitalized.”

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

(7) Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank’s capital ratios at

December 31, 2022 were in excess of the regulatory capital

requirements under the U.S. Basel III rules. In addition,

Citibank was “well capitalized” as of December 31, 2022.

As presented in the table above, Citibank’s

Supplementary Leverage ratio was 6.9% at December 31,

2022, compared to 7.0% at September 30, 2022 and 6.7% at

December 31, 2021. The quarter-over-quarter decrease was

primarily driven by an increase in Total Leverage Exposure,

partially offset by an increase in Tier 1 Capital due to net

income in the fourth quarter of 2022 and beneficial net

movements in AOCI. The year-over-year increase was

primarily driven by a decrease in Total Leverage Exposure.

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 CET1 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, 2022.

This information is provided for the purpose of analyzing the

impact that a change in Citigroup’s or Citibank’s financial

position or results of operations could have on these ratios.

These sensitivities only consider a single change to either a

component of capital, risk-weighted assets, quarterly adjusted

average total assets or Total Leverage Exposure. Accordingly,

an event that affects more than one factor may have a larger

basis point impact than is reflected in these tables.

Common Equity

Tier 1 Capital ratio Tier 1 Capital ratio Total Capital ratio

In basis points

Impact of

$100 million

change in

Common Equity

Tier 1 Capital

Impact of

$1 billion

change in risk-

weighted assets

Impact of

$100 million

change in

Tier 1 Capital

Impact of

$1 billion

change in risk-

weighted assets

Impact of

$100 million

change in

Total Capital

Impact of

$1 billion

change in risk-

weighted assets

Citigroup

Advanced Approaches 0.8 1.0 0.8 1.1 0.8 1.3

Standardized Approach 0.9 1.1 0.9 1.3 0.9 1.5

Citibank

Advanced Approaches 1.0 1.5 1.0 1.5 1.0 1.6

Standardized Approach 1.0 1.5 1.0 1.6 1.0 1.8

Tier 1 Leverage ratio Supplementary Leverage ratio

In basis points

Impact of

$100 million

change in

Tier 1 Capital

Impact of

$1 billion

change in

quarterly adjusted

average total assets

Impact of

$100 million

change in

Tier 1 Capital

Impact of

$1 billion

change in

Total Leverage

Exposure

Citigroup 0.4 0.3 0.3 0.2

Citibank 0.6 0.5 0.5 0.3

Citigroup Broker-Dealer Subsidiaries

At December 31, 2022, Citigroup Global Markets Inc., a U.S.

broker-dealer registered with the SEC that is an indirect

wholly owned subsidiary of Citigroup, had net capital,

computed in accordance with the SEC’s net capital rule, of

$13 billion, which exceeded the minimum requirement by $8

billion.

Moreover, Citigroup Global Markets Limited, a broker-

dealer registered with the United Kingdom’s Prudential

Regulation Authority (PRA) that is also an indirect wholly

owned subsidiary of Citigroup, had total regulatory capital of

$27 billion at December 31, 2022, which exceeded the PRA’s

minimum regulatory capital requirements.

In addition, certain of Citi’s other broker-dealer

subsidiaries are subject to regulation in the countries in which

they do business, including requirements to maintain specified

levels of net capital or its equivalent. Citigroup’s other

principal broker-dealer subsidiaries were in compliance with

their regulatory capital requirements at December 31, 2022.

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 2022). Accordingly, Citi’s

total current minimum TLAC requirement was 22.5% of

RWA for 2022.

Minimum Long-Term Debt (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 2022),

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 TLAC and LTD regulatory

requirement, as well as the surplus amount in dollars in excess

of each requirement.

December 31, 2022

In billions of dollars, except ratios

External

TLAC LTD

Total eligible amount $ 334 $ 160

% of Advanced Approaches risk-

weighted assets 27.3 % 13.1 %

Regulatory requirement

(1)(2)

22.5 9.0

Surplus amount $ 59 $ 50

% of Total Leverage Exposure 11.5 % 5.5 %

Regulatory requirement 9.5 4.5

Surplus amount $ 58 $ 29

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

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

As of December 31, 2022, Citi exceeded each of the

TLAC and LTD regulatory requirements, resulting in a $29

billion surplus above its binding TLAC requirement of LTD as

a percentage of Total Leverage Exposure.

For additional information on Citi’s TLAC-related

requirements, see “Liquidity Risk—Total Loss-Absorbing

Capacity (TLAC)” below.

Capital Resources (Full Adoption of CECL)

(1)

The following tables present Citigroup’s and Citibank’s capital components and ratios under a hypothetical scenario where the full

impact of CECL is reflected as of December 31, 2022:

Citigroup Citibank

Required

Capital Ratios,

Advanced

Approaches

Required

Capital Ratios,

Standardized

Approach

Advanced

Approaches

Standardized

Approach

Required

Capital

Ratios

(2)

Advanced

Approaches

Standardized

Approach

CET1 Capital ratio 10.0 % 11.5 % 11.96 % 12.79 % 7.0 % 14.70 % 15.01 %

Tier 1 Capital ratio 11.5 13.0 13.62 14.56 8.5 14.91 15.23

Total Capital ratio 13.5 15.0 15.24 17.06 10.5 16.25 17.36

Required

Capital Ratios Citigroup

Required

Capital Ratios Citibank

Tier 1 Leverage ratio 4.0 % 6.94 % 5.0 % 8.61 %

Supplementary Leverage ratio 5.0 5.71 6.0 6.84

(1) See footnote 2 on the “Components of Citigroup Capital” table above.

(2) Citibank’s required capital ratios were the same under the Standardized Approach and the Advanced Approaches framework.

Standardized Approach for Counterparty Credit Risk

In 2020, the U.S. banking agencies adopted the Standardized

Approach for Counterparty Credit Risk (SA-CCR) to calculate

exposure for all derivative contracts at the netting set level. In

addition, SA-CCR is used in numerous other instances

throughout the regulatory framework, including but not

limited to the Supplementary Leverage ratio, certain

components of the GSIB score, single counterparty credit

limits and legal lending limits.

As previously disclosed, Citi adopted SA-CCR as of the

mandatory compliance date of January 1, 2022. Adoption of

SA-CCR increased Citigroup’s Standardized RWA by

approximately $51 billion, which resulted in a 49 basis points

decrease to Citigroup’s CET1 Capital ratio under the

Standardized Approach on January 1, 2022.

Adoption of SA-CCR also increased Citigroup’s

Advanced RWA by approximately $29 billion, which resulted

in a 29 basis points decrease to Citigroup’s CET1 Capital ratio

under the Advanced Approaches on January 1, 2022.

Regulatory Capital Standards Developments

Basel III Revisions

As described above, the U.S. banking agencies implemented a

number of international capital standards adopted by the Basel

Committee on Banking Supervision (Basel Committee),

following the Global Financial Crisis regulatory reforms (see

the U.S. Basel III rules discussion above). The Basel

Committee finalized the Basel III reforms in December 2017,

which included revisions to the methodologies in deriving

credit, market 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 U.S. banking agencies may revise the U.S. Basel III

rules in the future, in response to the Basel Committee’s final

Basel III reforms. For information about risks related to

changes in regulatory capital requirements, see “Risk Factors

—Strategic Risks” below.

Tangible Common Equity, Book Value Per Share,

Tangible Book Value Per Share and Return on Equity

Tangible common equity (TCE), as defined by Citi, represents

common stockholders’ equity less goodwill and identifiable

intangible assets (other than mortgage servicing rights

(MSRs)). RoTCE represents annualized net income available

to common shareholders as a percentage of average TCE.

Tangible book value per share represents average TCE divided

by average common shares outstanding. Other companies may

calculate these measures differently. TCE, RoTCE and

tangible book value per share are non-GAAP financial

measures. Citi believes TCE, TBV and RoTCE provide

alternative 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

2022 2021 2020 2019 2018

Total Citigroup stockholders’ equity $ 201,189 $ 201,972 $ 199,442 $ 193,242 $ 196,220

Less: Preferred stock 18,995 18,995 19,480 17,980 18,460

Common stockholders’ equity $ 182,194 $ 182,977 $ 179,962 $ 175,262 $ 177,760

Less:

Goodwill 19,691 21,299 22,162 22,126 22,046

Identifiable intangible assets (other than MSRs) 3,763 4,091 4,411 4,327 4,636

Goodwill and identifiable intangible assets

(other than MSRs) related to assets held-for-sale (HFS) 589 510 — — —

Tangible common equity (TCE) $ 158,151 $ 157,077 $ 153,389 $ 148,809 $ 151,078

Common shares outstanding (CSO) 1,937.0 1,984.4 2,082.1 2,114.1 2,368.5

Book value per share (common stockholders’ equity/

CSO) $ 94.06 $ 92.21 $ 86.43 $ 82.90 $ 75.05

Tangible book value per share (TCE/CSO) 81.65 79.16 73.67 70.39 63.79

For the year ended December 31,

In millions of dollars

2022 2021 2020 2019 2018

Net income available to common shareholders $ 13,813 $ 20,912 $ 9,952 $ 18,292 $ 16,871

Average common stockholders’ equity 180,093 182,421 175,508 177,363 179,497

Average TCE 155,943 156,253 149,892 150,994 153,343

Return on average common stockholders’ equity 7.7 % 11.5 % 5.7 % 10.3 % 9.4 %

RoTCE 8.9 13.4 6.6 12.1 11.0

RISK FACTORS

The following discussion presents 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 that Citi may face. For additional information

about risks and uncertainties that could impact Citi, see

“Executive Summary” and each respective business’ results of

operations above and “Managing Global Risk” below. The

following risk factors are categorized to improve the

readability and usefulness of the risk factor disclosure, and,

while the headings and risk factors generally align with Citi’s

risk categorization, in certain instances the risk factors may

not directly correspond with how Citi categorizes or manages

its risks.

MARKET-RELATED RISKS

Macroeconomic, Geopolitical and Other Challenges and

Uncertainties Could Continue to Have a Negative Impact on

Citi.

Citi has experienced, and could experience in the future,

negative impacts to its businesses, results of operations and

financial condition as a result of various macroeconomic,

geopolitical and other challenges, uncertainties and volatility.

These include, among other things, significantly elevated

levels of inflation, higher interest rates, global supply shocks

and lower economic growth rates, as well as an increasing risk

of recession in Europe, the U.S. and other countries.

For example, in 2022, the U.S., the U.K., the EU and

other economies experienced significantly higher levels of

widespread inflation. As a result, the Federal Reserve Board

(FRB) and other central banks have substantially raised

interest rates, reduced the size of their balance sheets and

taken other actions in an aggressive effort to curb inflation.

These actions are expected to slow economic growth, increase

the risk of recession and increase the unemployment rate in the

U.S. and other countries, all of which would likely adversely

affect Citi’s consumer and institutional clients, businesses and

results of operations. Elevated levels of inflation are also

expected to continue to result in higher labor and other costs,

thus putting further pressure on Citi’s expenses.

Interest rates on loans Citi makes are typically based off

or set at a spread over a benchmark interest rate and would

likely decline or rise as benchmark rates decline or rise,

respectively. While Citi expects its overall net interest income

would generally increase due to higher interest rates, higher

rates could adversely affect its funding costs, levels of deposits

in its consumer and institutional businesses and certain

business or product revenues. Citi’s net interest income could

be adversely affected due to a flattening (a lower spread

between shorter-term versus longer-term interest rates) or

longer lasting or more severe inversion (shorter-term interest

rates exceeding longer-term interest rates) of the interest rate

yield curve, 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—Banking Book

Interest Rate Risk” below. Additionally, Citi’s balance sheet

includes interest-rate sensitive fixed-rate assets such as U.S.

Treasuries, U.S. agency securities and residential mortgages,

among others, whose valuation would be adversely impacted

in a rising-rate environment and/or whose hedging costs may

increase.

Russia’s war in Ukraine has caused supply shocks in

energy, food and other commodities markets, worsened

inflation, increased cybersecurity risks, increased the risk of

recession in Europe and heightened geopolitical tensions.

Actions by Russia, and any further measures taken by the U.S.

or its allies, could continue to have negative impacts on

regional and global energy and other commodities and

financial markets and macroeconomic conditions, adversely

impacting jurisdictions where Citi operates and Citi’s

customers, clients and employees. Citi’s ability to continue to

reduce its operations and exposure in Russia, including

completion of the wind-down of its consumer and local

commercial banking operations and nearly all of its

institutional banking services in the country, may be

negatively impacted by macroeconomic challenges and

uncertainties, local market conditions, and sanctions and other

governmental regulations or actions.

Moreover, Citi’s remaining operations in Russia subject

Citi to various other risks, among which are foreign currency

volatility, including appreciations or devaluations; restrictions

arising from retaliatory Russian laws and regulations on the

conduct of its business, including, without limitation, its

provision to its customers of certain securities services;

sanctions or asset freezes; and other deconsolidation events.

Examples of triggers that may result in deconsolidation of

Citi’s subsidiary bank in Russia, AO Citibank, include

voluntary or forced sale of ownership or loss of control due to

actions of relevant governmental authorities, including

expropriation (i.e., the entity becomes subject to the complete

control of a government, court, administrator, trustee or

regulator); revocation of banking license; and loss of ability to

elect a board of directors or appoint members of senior

management. In the event of a loss of control of AO Citibank,

Citi would be required to write off its net investment in the

entity, recognize a CTA loss through earnings and recognize a

loss on intercompany liabilities owed by AO Citibank to other

Citi entities outside of Russia. In the sole event of a substantial

liquidation, as opposed to a loss of control, Citi would be

required to recognize the CTA loss through earnings and

would evaluate its remaining net investment as circumstances

evolve. Additionally, Citi may incur reputational harm if its

actions are perceived to be misaligned with Citi’s announced

reductions of its operations and exposure in Russia. For

additional information about these risks, see the operational

processes and systems, cybersecurity and emerging markets

risk factors and “Managing Global Risk—Other Risks—

Country Risk—Russia” below.

COVID-19 is expected to continue to adversely affect

global health and could negatively impact macroeconomic

conditions in 2023. The extent of the impact remains uncertain

and will largely depend on future developments in China, the

U.S. and other countries, such as the severity and duration of

the public health consequences, including the course of

variants; the public response; and government actions.

COVID-19 could again disrupt supply chains, worsen inflation

and reduce economic activity. These factors could adversely

impact Citi’s businesses and results of operations and financial

condition.

Additional areas of uncertainty include, among others,

economic and geopolitical challenges related to China,

including related policy actions, distress in Chinese real estate

finance and other credit markets, tensions or conflicts between

China and Taiwan and/or between China and the U.S.;

significant disruptions and volatility in financial markets,

including foreign currency volatility and devaluations and

continued strength in the U.S. dollar; other geopolitical

tensions and conflicts; protracted or widespread trade tensions;

financial market, other economic and political disruption

driven by populist movements and governments; natural

disasters; other pandemics; and election outcomes, including

the effects of divided government in the U.S., such as with

respect to raising of the federal debt limit. For example, Citi’s

market-making businesses can suffer losses resulting from the

widening of credit spreads due to unanticipated changes in

financial markets. 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.

STRATEGIC RISKS

Citi’s Ability to Return Capital to Common Shareholders

Substantially Depends on Regulatory Capital Requirements,

Including the Results of the CCAR Process and Dodd-Frank

Act 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

annual recalibration of the Stress Capital Buffer (SCB), which

is based upon the results of the CCAR process required by the

FRB, and recalibration of the GSIB surcharge.

Citi’s ability to return capital also depends on its results of

operations and financial condition, including the capital

impact related to its remaining divestitures, such as, among

other things, any temporary capital impact from CTA losses

(net of hedges) between transaction signings and closings and

achievement of the expected capital benefits from the

divestitures (for additional information, see “Executive

Summary” above and the continued investments risk factor

below); Citi’s effectiveness in planning, managing and

calculating its level of risk-weighted assets under both the

Advanced Approaches and the Standardized Approach,

Supplementary Leverage ratio (SLR) and GSIB surcharge; its

implementation and maintenance of an effective capital

planning process and management framework; forecasts of

macroeconomic conditions; and deferred tax asset (DTA)

utilization (see the ability to utilize DTA risk factor below).

Changes in regulatory capital rules, requirements or

interpretations could continue to have a material impact on

Citi’s regulatory capital. For example, on October 1, 2022,

Citi’s required regulatory CET1 Capital ratio increased to

11.5% from 10.5% due to an increase in the SCB requirement

(see below for information on calculation of the SCB). In

addition, on January 1, 2023, Citi’s required regulatory CET1

Capital ratio further increased to 12% from 11.5% under the

Standardized Approach, as the current GSIB surcharge

increased to 3.5% from 3.0%. Due to these increases as well as

macroeconomic uncertainty, Citi paused common share

repurchases beginning as of the third quarter of 2022. In

addition, the U.S. banking agencies are considering a number

of changes to the U.S. regulatory capital framework in the

future, including, but not limited to, revisions to the U.S. Basel

III rules, and potential changes to the GSIB surcharge, SLR

and discretionary Countercyclical Capital Buffer. All of these

potential changes could negatively impact Citi’s regulatory

capital position or increase Citi’s regulatory capital

requirements.

All firms subject to CCAR requirements, including Citi,

will continue to be subject to a rigorous regulatory evaluation

of capital planning practices, including, but not limited to,

governance, risk management, data quality and internal

controls. Citi’s ability to return capital may be adversely

impacted if such an evaluation of Citi results in negative

findings. The FRB has stated that it expects capital adequacy

practices to continue to evolve and to likely be determined by

its yearly 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 and stress losses, and the addition of

components deemed important by the FRB. For 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.

Beginning January 1, 2022, Citi was required to phase

into regulatory capital, at 25% per year, the changes in

retained earnings, DTAs and ACL determined upon the

January 1, 2020 CECL adoption date, as well as subsequent

changes in the ACL through 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

through the 2023 supervisory stress test cycle, while

continuing to evaluate appropriate future enhancements to this

framework. The impacts on Citi’s capital adequacy of the

FRB’s incorporation of CECL into 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

Methodology” above and Note 1.

In addition, the annual stress testing requirements are

integrated into ongoing regulatory capital requirements. Citi’s

SCB equals the maximum decline in its CET1 Capital ratio

under the supervisory 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%. 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, based on the

supervisory stress test results, thus potentially resulting in

additional volatility in the calculation of Citi’s required

regulatory CET1 Capital ratio under the Standardized

Approach. Similar to the other regulatory capital buffers, a

breach of the SCB may result in graduated limitations on

capital distributions. For additional information on the SCB,

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 regulatory capital, 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 Must Continually Review, Analyze and Successfully

Adapt to Ongoing Regulatory and Legislative Uncertainties

and Changes in the U.S. and Globally.

Citi, its management and its businesses continue to 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, examples include, but are

not limited to (i) potential fiscal, monetary, tax, sanctions and

other changes promulgated by the U.S. federal government

and other governments, including as a result of priority shifts

depending on individuals, political parties and other groups in

governmental positions; (ii) potential changes to various

aspects of the regulatory capital framework and requirements

applicable to Citi, including the Basel III rules (see the capital

return risk factor and “Capital Resources—Regulatory Capital

Standards Developments” above); and (iii) rapidly evolving

legislative and regulatory requirements and other government

initiatives in the U.S. and globally related to climate change

and other ESG areas that vary, and may conflict, across

jurisdictions, including any new disclosure requirements (see

the climate change risk factor below). References to

“regulatory” refer to both formal regulation and the views and

expectations of Citi’s regulators in their supervisory roles.

For example, in February 2023, the Consumer Financial

Protection Bureau proposed significant changes to the

maximum amounts on credit card late fees, which, if adopted

as proposed, would reduce credit card fee revenues in Branded

cards and Retail services in PBWM. In addition, 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 their scope, interpretation, timing,

structure or approach, leading to inconsistent or even

conflicting requirements, including within a single

jurisdiction. For example, in 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.

Further, 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 and may impact

its results of operations. 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 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. 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) and can adversely affect Citi’s

businesses, results of operations and financial condition.

Citi’s Continued Investment and Other Initiatives as Part of

Its Transformation and Strategic Refresh May Not Be as

Successful as It Projects or Expects.

As part of its transformation and other strategic initiatives, Citi

continues to make significant investments to improve its risk

and control environment, modernize its data and technology

infrastructure and further enhance safety and soundness (for

additional information on these investments, see “Executive

Summary” above and the legal and regulatory proceedings risk

factor below). Citi also continues to make business-led

investments, as part of the execution of its strategic refresh.

For example, Citi has been making investments across the

Company, including, for example, hiring front office

colleagues and enhancing product capabilities and platforms to

improve client digital experiences and add scalability and

implementing new capabilities and partnerships. Citi has also

been pursuing productivity improvements through various

technology and digital initiatives, organizational simplification

and location strategies.

Citi’s multiyear transformation initiatives involve

significant execution complexity, and there is inherent risk

that these will not be as productive or effective as Citi expects,

or at all. Conversely, failure to properly invest in and upgrade

Citi’s technology and processes could result in Citi’s inability

to meet regulatory expectations, be sufficiently competitive,

serve clients effectively and avoid operational errors (for

additional information, see the operational processes and

systems and legal and regulatory proceedings risk factors

below). Moreover, Citi’s ability to achieve expected returns on

its investments and productivity improvements depends, in

part, on factors that it cannot control, including, among others,

macroeconomic challenges and uncertainties; customer, client

and competitor actions; and ongoing regulatory requirements

or changes.

Citi’s strategic refresh also includes the divestiture of its

remaining consumer banking businesses in Legacy

Franchises, including Mexico Consumer/SBMM, in order to

simplify the Company and enhance its allocation of resources.

These divestitures involve significant uncertainty and

execution complexity, and may result in additional CTA or

other losses, charges or other negative financial or strategic

impacts, which could be material (for information about risks

related to Citi’s operations in Russia, see the macroeconomic

challenges and uncertainties risk factor above and “Managing

Global Risk—Other Risks—Country Risk—Russia” below).

For additional information about CTA losses, see “Executive

Summary” and the capital return risk factor above and the

incorrect assumptions or estimates risk factor below.

Citi’s investment and other 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.

Climate Change Presents Various Financial and Non-

Financial Risks to Citi and its Customers and Clients.

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 both physical

risks (those risks related to the physical effects of climate

change) and transition risks (risks related to regulatory,

market, technological, stakeholder and legal changes from a

transition to a low-carbon economy). Physical and transition

risks can manifest themselves differently across Citi’s risk

categories in the short, medium and long terms. Physical risks

from climate change include acute risks, such as hurricanes

and floods, as well as consequences of chronic changes in

climate, such as rising sea levels, prolonged droughts and

systemic changes to geographies and any resulting population

migration. Such physical risks could have adverse financial,

operational and other impacts on Citi, both directly on its

business and operations, and indirectly as a result of impacts

to Citi’s clients, customers, vendors and other counterparties.

These impacts can include destruction, damage or impairment

of properties and other assets, disruptions to business

operations and supply chains and reduced availability or

increase in the cost of insurance. Physical risks can also

impact Citi’s credit risk exposures, for example, in its

mortgage and commercial real estate lending businesses.

Transition risks may arise from changes in regulations or

market preferences toward low-carbon industries or sectors,

which in turn could have negative impacts on asset values,

results of operations or the reputations of Citi and its

customers and clients. For example, Citi’s corporate credit

exposures include oil and gas, power and other industries that

may experience reduced demand for carbon-intensive products

due to the transition to a low-carbon economy. Failure to

adequately consider transition risk in developing and

executing on its business strategy could lead to a loss of

market share, lower revenues and higher credit costs.

Additionally, if Citi’s response to climate change is

perceived to be ineffective or insufficient or Citi is unable to

achieve its objectives or commitments relating to climate

change, its businesses, reputation, attractiveness to certain

investors and efforts to recruit and retain employees may

suffer. For example, the need to decarbonize in a gradual and

orderly way, while promoting energy security, may lead to

continued exposure to carbon-intensive activity that in turn

may raise such reputational risks.

Even as some regulators seek to mandate additional

disclosure of climate-related information, Citi’s ability to

comply with such requirements and conduct more robust

climate-related risk analyses may be hampered by lack of

information and reliable data. Data on climate-related risks is

limited in availability, often based on estimated or unverified

figures, collected and reported on a lag, and variable in

quality. Modeling capabilities to analyze climate-related risks

and interconnections are improving, but remain incomplete.

Moreover, U.S. and non-U.S. banking regulators and others

are increasingly focusing on the issue of climate risk at

financial institutions, both directly and with respect to their

clients. For example, in December 2022, the FRB requested

comment on draft principles that would provide a high-level

framework for the safe and sound management of exposures to

climate-related financial risks for FRB-supervised financial

institutions with more than $100 billion in assets.

Legislative and regulatory changes and uncertainties

regarding climate-related risk management and disclosures are

likely to result in higher regulatory, compliance, credit,

reputational and other risks and costs for Citi (for additional

information, see the ongoing regulatory and legislative

uncertainties and changes risk factor above). In addition, Citi

could face increased regulatory, reputational and legal scrutiny

as a result of its climate risk, sustainability and other ESG-

related commitments and disclosures. Citi also faces

potentially conflicting anti-ESG initiatives from certain U.S.

state governments that may impact its ability to conduct

certain business within those jurisdictions, as well as from

Congress.

For information on Citi’s climate and other sustainability

initiatives, see “Sustainability and Other ESG Matters” below.

For additional information on Citi’s management of climate

risk, see “Managing Global Risk—Strategic Risks—Climate

Risk” below.

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, 2022, Citi’s net DTAs were $27.7 billion,

net of a valuation allowance of $2.4 billion, of which $10.9

billion was deducted from Citi’s CET1 Capital under the U.S.

Basel III rules, primarily relating to net operating losses,

foreign tax credit and general business credit carry-forwards.

Of the net DTAs at December 31, 2022, $1.9 billion related to

foreign tax credit (FTC) carry-forwards, net of a valuation

allowance. The carry-forward utilization period for FTCs is 10

years and represents the most time-sensitive component of

Citi’s DTAs. The FTC carry-forwards at December 31, 2022

expire over the period of 2025–2029. 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,

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 has not been

and 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.

Citi’s Interpretation or Application of the Complex Tax

Laws to Which It Is Subject Could Differ from Those of

Governmental Authorities, Which Could Result in Litigation

or Examinations and 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 to its

entities, operations and businesses.

For example, the Organization for Economic Cooperation

and Development (OECD) Pillar 2 initiative contemplates a

15% global minimum tax with respect to earnings in each

separate country. EU member states are required to adopt the

OECD Pillar 2 rules in 2023, and other non-U.S. countries are

expected to follow suit. Under these rules, Citi will be required

to pay a “top-up” tax to the extent that Citi’s effective tax rate

in any given country is below 15%. The U.S. is not expected

to pass Pillar 2 legislation in the near term, but the top-up tax

can be collected by other countries. While many aspects of the

application of the rules remain uncertain, Citi does not expect

a material effect to its earnings.

In addition, Citi is subject to litigation or examinations

with U.S. and non-U.S. tax authorities regarding non-income-

based tax matters. While Citi has appropriately reserved for

such matters where there is a probable loss, and has disclosed,

as reasonably possible, matters that are more-likely-than-not,

the outcome from the matters may be different than Citi’s

expectations. Citi’s interpretations or application of the tax

laws, including with respect to 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. See Note 29 for additional

information on litigation and examinations involving non-U.S.

tax authorities.

A Deterioration in or Failure to Maintain Citi’s Co-

Branding or Private Label Credit Card Relationships Could

Have a Negative Impact on Citi.

Citi has co-branding and private label relationships through its

Branded cards and Retail services credit card businesses with

various retailers and merchants, whereby in the ordinary

course of business Citi issues credit cards to customers of the

retailers or merchants. The five largest relationships across

both businesses in U.S. Personal Banking constituted an

aggregate of approximately 10% of Citi’s revenues in 2022

(for additional information, see “Personal Banking and Wealth

Management” above). Citi’s co-branding and private label

agreements often provide for shared economics between the

parties and generally have a fixed term.

Competition among card issuers, including Citi, for these

relationships is significant, and Citi may not be able to

maintain such relationships on existing terms or at all. Citi’s

co-branding and private label relationships could also be

negatively impacted by, among other things, the general

economic environment, including the impacts of significantly

elevated levels of inflation, higher interest rates, global supply

shocks and lower economic growth rates, as well as an

increasing risk of recession; changes in consumer sentiment,

spending patterns and credit card usage behaviors; a decline in

sales and revenues, partner store closures, any reduction in air

and business travel, or other operational difficulties of the

retailer or merchant; early termination due to a contractual

breach or exercise of other early termination right; or other

factors, including bankruptcies, liquidations, restructurings,

consolidations or other similar events, whether due to the

challenging macroeconomic environment or otherwise.

These events, particularly early termination and

bankruptcies or liquidations, could negatively impact the

results of operations or financial condition of Branded cards,

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 (see Note 16 for

information on Citi’s credit card related intangibles generally).

Citi’s Inability in Its Resolution Plan Submissions to

Address Any Shortcomings or Deficiencies or Guidance

Provided 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

November 22, 2022, the FRB and FDIC issued feedback on

the resolution plans filed on July 1, 2021 by the eight U.S.

GSIBs, including Citi. The FRB and FDIC identified one

shortcoming, but no deficiencies, in Citi’s 2021 resolution

plan. The shortcoming related to data integrity and data quality

management issues, specifically, weaknesses in Citi’s

processes and practices for producing certain data that could

materially impact its resolution capabilities. If a shortcoming

is not satisfactorily explained or addressed before, or in, the

submission of the next resolution plan, the shortcoming may

be found to be a deficiency in the next resolution plan. 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 Its Ability to Effectively Execute Its

Transformation and Other Strategic Initiatives Could Be

Negatively Impacted if It Is Not Able to Compete for, Retain

and Motivate Highly Qualified Colleagues.

Recent employment conditions and inflationary pressures have

made the competition to hire and retain qualified employees

significantly more challenging and costly. 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 transformation and

other strategic initiatives, including, for example, hiring front

office colleagues to grow businesses or hiring colleagues to

support transformation of its risk, controls, data and finance

infrastructure and compliance, 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 transformation and other strategic initiatives 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 competition for talent recently has

been particularly intense, and attrition rates have risen due to

factors such as low unemployment, a strong job market with a

large number of open positions, and changes in worker’s

expectations, concerns and preferences, in part due to the

pandemic, including an increased demand for remote work

options and other job flexibility. Also, the banking industry

generally is subject to more comprehensive regulation of

employee compensation than other industries, including

deferral and clawback requirements for incentive

compensation, which can make it unusually challenging for

Citi to compete in labor markets against businesses, including

for example technology companies, that are not subject to such

regulation. Other factors that could impact its ability to attract,

retain and motivate colleagues include, among other things,

Citi’s presence in a particular market or region, the

professional and development opportunities and employee

benefits it offers, its reputation and its diversity. For

information on Citi’s colleagues and workforce management,

see “Human Capital Resources and Management” below.

Citi Faces Increased Competitive Challenges, Including

from Financial Services and Other Companies and

Emerging Technologies.

Citi operates in an increasingly evolving and competitive

business 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. Certain competitors may be subject

to different and, in some cases, less stringent legal and

regulatory requirements, whether due to size, jurisdiction,

entity type or other factors, placing Citi at a competitive

disadvantage.

For example, Citi competes with other financial services

companies in the U.S. and globally that continue to develop

and introduce new products and services. In recent years, non-

traditional 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. Emerging technologies have the

potential to intensify competition and accelerate disruption in

the financial services industry. For example, despite recent

turmoil in the digital asset market, there is sustained interest

from clients and investors in digital assets. Financial services

firms and other market participants have begun to offer

services related to those assets. However, Citi may not be able

to provide the same or similar services for legal or regulatory

reasons and due to increased compliance and other risks. In

addition, changes in the payments space (e.g., instant and 24x7

payments) are accelerating, and, as a result, certain of Citi’s

products and services could become less competitive.

Increased competition and emerging technologies have

required and could require Citi to change or adapt its products

and services to attract and retain customers or clients or to

compete more effectively with competitors, including new

market entrants. Simultaneously, as Citi develops new

products and services leveraging emerging technologies, new

risks may emerge that, if not designed and governed

adequately, may result in control gaps and in Citi operating

outside of its risk appetite. For example, instant and 24x7

payments products could be accompanied by challenges to

forecasting and managing liquidity, as well as increased

operational and compliance risks.

Moreover, Citi relies on third parties to support certain of

its product and service offerings, which may put Citi at a

disadvantage to competitors who may directly offer a broader

array of products and services. Also, Citi’s businesses, results

of operations and reputation may suffer if any third party is

unable to provide adequate support for such product and

service offerings, whether due to operational incidents or

otherwise (for additional information, see the operational

processes and systems, cybersecurity and emerging markets

risk factors below).

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 and qualified colleagues

risk factors above and “Supervision, Regulation and Other—

Competition” below.

OPERATIONAL RISKS

A Failure or Disruption of Citi’s Operational Processes or

Systems Could Negatively Impact Its Reputation, Customers,

Clients, Businesses or Results of Operations and Financial

Condition.

Citi’s global operations rely heavily on its technology,

including 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. 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 and

customers’ and clients’ increasing use of online banking and

trading systems and other platforms, 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 (for additional information, see the

cybersecurity risk factor below).

Although Citi has continued to upgrade its technology,

including systems to automate processes and enhance

efficiencies, operational incidents are unpredictable and can

arise from numerous sources, not all of which are fully within

Citi’s control. These include, among others, human error, such

as manual transaction processing errors, which can be

exacerbated by staffing challenges and processing backlogs;

fraud or malice on the part of employees or third parties;

operational or execution failures or deficiencies by third

parties; insufficient (or limited) straight-through processing

between legacy systems and any failure to design and

effectively operate controls that mitigate operational risks

associated with those legacy systems leading to potential risk

of errors and operating losses; 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 (see also the climate change risk factor

above).

For example, Citi has experienced and could experience

further losses associated with manual transaction processing

errors, including erroneous payments to lenders or manual

errors by Citi traders that cause system and market disruptions

and losses for Citi and its clients. 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 losses. While Citi has change management

processes in place to appropriately upgrade its operational

processes and systems to ensure that any changes introduced

do not adversely impact security and operational continuity,

such change management can fail or be ineffective.

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

cyberattacks.

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

actions or 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

Will Continue to Be Susceptible to an Increasing Risk of

Continually Evolving, Sophisticated Cybersecurity Incidents

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, disruptions of service, phishing, malware,

ransomware, computer viruses or other malicious code,

cyberattacks and other similar events. These threats can arise

from external parties, including cyber criminals, cyber

terrorists, hacktivists (individuals or groups using cyberattacks

to promote a political or social agenda) and nation-state actors,

as well as insiders who knowingly or unknowingly engage in

or enable malicious cyber activities.

The increasing use of mobile and other digital banking

platforms and services, cloud technologies and connectivity

solutions to facilitate remote working for Citi’s employees all

increase Citi’s exposure to cybersecurity risks. Citi’s wind-

down of its businesses in Russia could also increase its

susceptibility to cyberattacks (for additional information about

Citi’s exposures related to its Russia operations, see the

macroeconomic and geopolitical risk factor above and

“Managing Global Risk—Other Risks—Country Risk—

Russia” below).

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 cyberattacks 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 these provisions to adequately

offset any losses Citi may incur from third-party cyber

incidents.

Citi and some of its third-party partners have been subject

to attempted and sometimes successful cyberattacks 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

attempts 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, via novel tactics 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 techniques used to initiate cyberattacks change

frequently or, in some cases, are not recognized until launched

or even later, Citi may be unable to implement effective

preventive measures or otherwise proactively address these

methods. 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 cyberattacks or data breaches.

Cyber incidents can result in the disclosure of personal,

confidential or proprietary customer, client or employee

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. Cyber incidents can also

result in 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 (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 costs of

which are impossible to quantify.

For additional information about Citi’s management of

cybersecurity risk, see “Managing Global Risk—Operational

Risk—Cybersecurity Risk” below.

Changes or Errors in Accounting Assumptions, Judgments

or Estimates, or the Application of Certain Accounting

Principles, Could Result in Significant Losses or Other

Adverse Impacts.

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;

valuation of DTAs; the fair values of certain assets and

liabilities; and the assessment of goodwill and other assets for

impairment. These assumptions, judgments and estimates are

inherently limited because they involve techniques, including

the use of historical data in many circumstances, 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. For example, many

models used by Citi include assumptions about correlation or

lack thereof among prices of various asset classes or other

market indicators that may not hold in times of market stress,

limited liquidity or other unforeseen circumstances. 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. Citi

could also experience declines in its stock price, be subject to

legal and regulatory proceedings and incur fines and other

losses. For additional information on the key areas for which

assumptions and estimates are used in preparing Citi’s

financial statements, see “Significant Accounting Policies and

Significant Estimates” below and Notes 1 and 15.

For example, the CECL methodology 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 U.S. inflation-adjusted gross

domestic product (real GDP); and the credit indicators,

composition and other characteristics of Citi’s loan portfolios

and other applicable financial assets. These model

assumptions and forecasted macroeconomic conditions will

change over time, resulting in variability in Citi’s ACL, and,

thus, impact its results of operations and financial condition,

as well as regulatory capital due to the CECL phase-in (for

additional information on the CECL phase-in, see the capital

return risk factor above).

Moreover, Citi has incurred losses related to its foreign

operations that are reported in the CTA components of

Accumulated other comprehensive income (loss) (AOCI). In

accordance with U.S. GAAP, a sale, substantial liquidation or

other deconsolidation event of any foreign operations, such as

those related to Citi’s remaining divestitures or 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

example, in the second quarter of 2022, Citi incurred a CTA

loss (net of hedges) in AOCI released to earnings of

approximately $400 million ($345 million after-tax) related to

the substantial liquidation of a legacy U.K. consumer

operation (for additional information, see “Legacy

Franchises” and “Corporate/Other” above and Note 2). For

additional information on Citi’s accounting policy for foreign

currency translation and its foreign CTA components of

AOCI, see Notes 1 and 20.

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, the SEC, banking regulators or others,

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. See Note 1 for additional

information on Citi’s accounting policies and changes in

accounting, including the expected impacts on Citi’s results of

operations and financial condition.

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

models in enacting processes and strategies as well as 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 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 unintentionally

from untimely, inaccurate or incomplete processes and data.

As discussed below, in October 2020, Citigroup and Citibank

entered into consent orders with the FRB and OCC that

require Citigroup and Citibank to make improvements in

various aspects of enterprise-wide risk management,

compliance, data quality management and governance and

internal controls (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. For example, many models used by Citi

include assumptions about correlation or lack thereof among

prices of various asset classes or other market indicators that

may not necessarily hold in times of market stress, limited

liquidity or other unforeseen circumstances. 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. Citi is

required to notify and obtain preapproval from both the OCC

and FRB prior to implementing certain risk-weighted asset

treatments, as well as certain model changes, resulting in a

more challenging environment within which Citi must operate

in managing its risk-weighted assets. 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.

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 $368 billion and end-of-period

corporate loans of $289 billion at December 31, 2022. For

additional information on Citi’s corporate and consumer loan

portfolios, see “Managing Global Risk—Corporate Credit”

and “—Consumer Credit” below.

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 macroeconomic, geopolitical and other

factors, among other things, can increase Citi’s credit risk and

credit costs, particularly for certain sectors, industries or

countries (for additional information, see the co-branding and

private label credit card and macroeconomic challenges and

uncertainties risk factors above and the emerging markets risk

factor below). For example, a weakening of economic

conditions can adversely affect borrowers’ ability to repay

their obligations, as well as result in Citi being unable to

liquidate the collateral it holds or forced to liquidate the

collateral at prices that do not cover the full amount owed to

Citi. Citi is also a member of various central clearing

counterparties and could incur financial losses as a result of

defaults by other clearing members due to the requirements of

clearing members to share losses. Additionally, due to the

interconnectedness among financial institutions, concerns

about the creditworthiness of or defaults by a financial

institution could spread to other financial market participants

and result in market-wide losses.

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, 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.

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. 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—Other Risks—Country Risk” below and Notes 14 and

15.

Concentrations of risk to clients or counterparties engaged

in the same or related industries or doing business in a

particular geography, especially credit and market risks, can

also increase Citi’s risk of significant losses. For example, 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 27). A

rapid deterioration of a large borrower or other counterparty or

within a sector or country in which Citi has large exposures or

indemnifications or unexpected market dislocations could lead

to concerns about the creditworthiness of other borrowers or

counterparties in related or dependent industries, and such

conditions could cause Citi to incur significant losses.

LIQUIDITY RISKS

Citi’s Businesses, Results of Operations and Financial

Condition Could Be Negatively Impacted if It Does Not

Effectively Manage Its Liquidity.

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 consequent

inability to monetize available liquidity resources. Citi

competes with other banks and financial institutions for both

institutional and consumer deposits, which represent Citi’s

most stable and lowest cost source of long-term funding. The

competition for deposits has continued to increase in recent

years, including as a result of online banks and digital banking

and fixed income alternatives for customer funds.

Furthermore, it is expected that the market for deposits will

become more competitive in the current higher interest rate

environment.

Citi’s costs to obtain and access wholesale funding are

directly related to changes in interest and currency exchange

rates and its credit spreads. For example, during 2022, interest

rates in the U.S. increased significantly, thus, affecting Citi’s

cost of funding. Changes in Citi’s credit spreads are driven by

both external market factors and factors specific to Citi, such

as negative views by investors of the financial services

industry or Citi’s financial prospects, 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 and its

cost of funding could also increase if other market participants

are seeking to access the markets at the same time or to a

greater extent than expected, or if market appetite for

corporate debt securities declines, as is likely to occur in a

liquidity stress event or other market crisis. Citi’s ability to

sell assets may also be impaired if other market participants

are seeking to sell similar assets at the same time or a liquid

market does not exist for such assets. A sudden drop in market

liquidity could also cause a temporary or protracted

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 during challenging

market conditions, which could further impair Citi’s liquidity.

If Citi fails to effectively manage its liquidity, its businesses,

results of operations and financial condition could be

negatively impacted.

In addition, as a holding company, Citigroup Inc. 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

liquidity, regulatory or contractual restrictions on their ability

to provide such payments, including any local regulatory

stress test requirements and inter-affiliate arrangements

entered into in connection with Citigroup Inc.’s resolution

plan. Citigroup Inc.’s broker-dealer and bank subsidiaries are

subject to restrictions on their ability to lend or transact with

affiliates, as well as restrictions on their ability to use funds

deposited with them in brokerage or bank accounts to fund

their businesses. Limitations on the payments that Citigroup

Inc. receives from its subsidiaries could also impact its

liquidity. A bank holding company is required by law to act as

a source of financial and managerial strength for its subsidiary

banks. As a result, the FRB may require Citigroup Inc. to

commit resources to its subsidiary banks even if doing so is

not otherwise in the interests of Citigroup Inc. or its

shareholders or creditors, reducing the amount of funds

available to meet its obligations.

Credit Rating Agencies Continuously Review the Credit

Ratings of Citi and Certain of Its Subsidiaries, and a Ratings

Downgrade Could Adversely Impact Citi’s Funding and

Liquidity.

The credit rating agencies, such as Fitch Ratings, Moody’s

Investors Services and S&P Global Ratings, continuously

evaluate Citi and certain of its subsidiaries. Their ratings of

Citi and its rated subsidiaries’ long-term debt and short-term

obligations are based on several factors, including the

financial strength of Citi and such subsidiaries, 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 and outlooks. Rating downgrades

could negatively impact Citi and its rated subsidiaries’ ability

to access the capital markets and other sources of funds as

well as the costs of those funds. A ratings downgrade could

also have a negative impact on Citi and its rated subsidiaries’

ability to obtain funding and liquidity due to reduced funding

capacity and the impact from derivative triggers, which could

require Citi and its rated subsidiaries 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.

Furthermore, a credit ratings downgrade could have

impacts that may not be currently known to Citi or are not

possible to quantify. Some of Citi’s counterparties and clients

could have ratings limitations on their permissible

counterparties, of which Citi may or may not be aware.

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 and Heightened

Regulatory Scrutiny and Expectations 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 in which it

does business, which may overlap or conflict across

jurisdictions, 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 governance, infrastructure, data,

climate and risk management practices and controls. These

requirements and expectations also include, among other

things, those related to customer and client protection, market

practices, anti-money laundering and increasingly complex

sanctions and disclosure regimes. A failure to comply with

these requirements and expectations, even if inadvertent, or

resolve any identified deficiencies, could result in increased

regulatory oversight and restrictions, enforcement

proceedings, penalties and fines (for additional information on

such regulatory consequences, 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, including new regulatory or legislative requirements

or regimes, across 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. Examples of regulatory or legislative changes that

have resulted in increased compliance risks and costs include

(i) various 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 U.S. banking agencies’ regulatory

capital rules and requirements, which have continued to

evolve (for additional information, see the capital return risk

factor and “Capital Resources” above). In addition, certain

U.S. regulatory agencies and non-U.S. authorities have

prioritized issues of social, economic and racial justice, and

are in the process of considering ways in which these issues

can be mitigated, including through rulemaking, supervision

and other means, even while Congress is signaling, and certain

U.S. state governments are pursuing potentially conflicting

anti-ESG priorities.

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. Additionally, Citi

remains subject to governmental and regulatory investigations,

consent orders and related compliance efforts, and other

inquiries. Citi could 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.

As previously disclosed, the October 2020 FRB and OCC

consent orders require Citigroup and Citibank to implement

targeted action plans and submit quarterly progress reports

detailing the results and status of improvements relating

principally to various aspects of enterprise-wide risk

management, compliance, data quality management and

governance and internal controls. These improvements will

result in continued significant investments by Citi during 2023

and beyond, as an essential part of Citi’s broader

transformation efforts to enhance its risk, controls, data and

finance infrastructure and compliance.

Although there are no restrictions on Citi’s ability to serve

its clients, the OCC consent order requires Citibank to obtain

prior approval of any significant new acquisition, including

any portfolio or business acquisition, excluding ordinary

course transactions. Moreover, the OCC consent order

provides that the OCC has the right to assess future civil

money penalties or take other supervisory and/or enforcement

actions. 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 FRB 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,

and financial institutions have been subject to continued

regulatory scrutiny. 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 foreign

jurisdictions, as well as multiple civil litigation claims in

multiple jurisdictions. Violations of law by other financial

institutions may also result in regulatory scrutiny of Citi.

Responding to regulatory inquiries and proceedings can be

time consuming and costly.

U.S. and non-U.S. regulators have been increasingly

focused on the culture of financial services firms, including

Citi, as well as “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. 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. Moreover, the

severity of the remedies sought in legal and regulatory

proceedings to which Citi is subject has remained elevated.

U.S. and certain non-U.S. 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 financial 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.

Additionally, 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 (see the

incorrect assumptions or estimates risk factor above). In

addition, certain settlements are subject to court approval and

may not be approved. For further information on Citi’s legal

and regulatory proceedings, see Note 29.

OTHER RISKS

Citi’s Emerging Markets Presence Subjects It to Various

Risks as well as Increased Compliance and Regulatory Risks

and Costs.

During 2022, emerging markets revenues accounted for

approximately 37% 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).

Citi’s presence in the emerging markets subjects it to various

risks, such as limitations or unavailability of hedges on foreign

investments; foreign currency volatility, including

devaluations and continued strength in the U.S. dollar;

sustained increases in interest rates; sovereign debt volatility;

election outcomes, regulatory changes and political events;

foreign exchange controls, including inability to access

indirect foreign exchange mechanisms; macroeconomic and

geopolitical challenges and uncertainties and volatility,

including with respect to Russia and China (see the

macroeconomic and geopolitical risk factor above and

“Managing Global Risk—Other Risks—Country Risk—

Russia” and “—Ukraine” below); limitations on foreign

investment; sociopolitical instability (including from

hyperinflation); fraud; nationalization or loss of licenses;

restrictions arising from retaliatory Russian laws and

regulations on the conduct of its business; 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 controls, currency

controls and/or sanctions, such as Argentina and Russia, that

limit its ability to convert local currency into U.S. dollars and/

or transfer funds outside of those countries. For instance, due

to currency controls in Argentina, Citi faces a risk of

devaluation on its unhedged Argentine peso-denominated

assets, which continue to increase (for additional information

on Argentina-related risks, see “Managing Global Risk—

Other Risks—Country Risk—Argentina” below). Moreover, if

the economic situation in a country in which Citi operates

were to deteriorate below a certain level, U.S. regulators

through the Interagency Country Exposure Review Committee

(ICERC) may impose mandatory loan loss or other reserve

requirements on Citi, which would increase its credit costs and

decrease its earnings.

In addition, political turmoil and instability and

geopolitical tensions and conflicts (such as the Russia–

Ukraine war) have occurred in various regions and emerging

market countries across the globe 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 market economies as well as impacting Citi’s

businesses, results of operations and financial conditions in

affected countries.

The Transition Away from and Discontinuance of LIBOR or

Any Other Interest Rate Benchmark Could Have Adverse

Consequences for Citi.

LIBOR and other rates or indices deemed to be benchmarks

have been the subject of ongoing U.S. and non-U.S. regulatory

scrutiny and reform. The LIBOR administrator ceased

publication of non-USD LIBOR and one-week and two-month

USD LIBOR on a permanent or representative basis on

December 31, 2021, with plans for all other USD LIBOR

tenors to permanently cease or become non-representative

after June 30, 2023. As a result, Citi ceased entering into new

contracts referencing USD LIBOR as of January 1, 2022,

other than for limited circumstances where regulators

recognized that it may be appropriate for banks to enter into

new USD LIBOR contracts, including with respect to market-

making, hedging or novations of USD transactions executed

before January 1, 2022.

Through a global effort by the financial services industry

and regulators, alternative reference rates have been identified

and/or developed and are being used to replace LIBOR and

other benchmark rates. Alternative reference rates, such as the

Secured Overnight Financing Rate (SOFR), are calculated

using components different from those used in the calculation

of LIBOR and may fluctuate differently than, and not be

representative of, LIBOR. In order to compensate for these

differences, certain of Citi’s financial instruments and

commercial agreements allow for a benchmark replacement

adjustment. However, there can be no assurance that any

benchmark replacement adjustment will be sufficient to

produce the economic equivalent of LIBOR, either at the

benchmark replacement date or over the life of such

instruments and agreements.

Moreover, the transition presents challenges related to

contractual mechanics of existing contracts that reference

USD LIBOR and are governed by non-U.S. law or reference

the USD LIBOR Ice Swap Rate. Certain of these legacy

instruments and contracts are not covered by any legislative

solution and do not provide for fallbacks to alternative

reference rates, which makes it unclear what the applicable

future replacement benchmark rates and associated payments

might be after the current benchmark’s cessation. Citi may be

unable to amend certain instruments and contracts due to an

inability to obtain sufficient levels of consent from

counterparties or security holders. Although this will depend

on the precise contractual terms of the instrument, such

consent requirements are often conditions of securities, such

as floating rate notes. The Financial Conduct Authority (FCA),

a U.K. regulator, has proposed that one-, three- and six-month

USD LIBOR be published on a synthetic basis, which would

only be available through September 2024.

In addition, the transition away from and discontinuance

of LIBOR and other benchmark rates have subjected financial

institutions, including Citi, to heightened scrutiny from

regulators. Failure to successfully transition away from

LIBOR and other benchmark rates could result in adverse

regulatory actions, disputes, including potential litigation

involving holders of outstanding products and contracts that

reference LIBOR and other benchmark rates, and reputational

harm to Citi. See “Managing Global Risk—Other Risks—

LIBOR Transition Risk” for Citi’s ongoing actions to prepare

for the transition away from LIBOR.

SUSTAINABILITY AND OTHER ESG

MATTERS

Introduction

Citi has worked on Environmental, Social and Governance

(ESG) issues for more than 20 years and has a demonstrated

record of ESG progress, including participating in the creation

and adoption of ESG-related principles and standards. This

section summarizes some of Citi’s key ESG initiatives,

including its Sustainable Progress Strategy, Net Zero, and

Financial Inclusion and Racial Equity commitments.

Citi’s ESG Report provides information on a broad set of

ESG-related efforts. Citi’s Task Force on Climate-Related

Financial Disclosures (TCFD) Report provides its stakeholders

with information on Citi’s continued progress to manage

climate risk and its Net Zero plan, including information on

financed emissions and 2030 emissions targets.

For information regarding Citi’s management of climate

risk, see “Managing Global Risk—Strategic Risks—Climate

Risk” below.

ESG and Climate-Related Governance

Citi’s Board of Directors (Board) provides oversight of Citi’s

management activities (for additional information, see

“Managing Global Risk—Risk Governance” below). For

example, the Nomination, Governance and Public Affairs

Committee of the Board oversees many of Citi’s ESG

activities, including reviewing Citi’s policies and programs for

environmental and social sustainability, climate change,

human rights, diversity and other ESG issues, as well as

overseeing engagement with external stakeholders.

The Risk Management Committee of the Board provides

oversight of Citi’s Independent Risk Management function

and reviews Citi’s risk policies and frameworks, including

receiving climate risk-related updates.

The Audit Committee of the Board has recently been

chartered to provide oversight of controls and procedures

pertaining to the ESG-related metrics and related disclosures

in Citi’s SEC filed reports and voluntary ESG reporting, as

well as management’s evaluation of Citi’s disclosure controls

and procedures for ESG reporting.

Citi’s Global ESG Council consists of senior members of

its management team and certain subject matter experts who

provide oversight of Citi’s ESG goals and activities. In

addition, a number of teams and senior managers contribute to

the oversight and management of areas such as environmental

sustainability; community investing; talent and diversity;

ethics and business practices; and remuneration.

Citi’s climate governance structure continues to evolve as

Citi advances its understanding of its climate risk and its

progress under the Net Zero plan. In addition to the expansion

of the Board’s oversight of climate matters (see Risk

Management Committee and Audit Committee descriptions

above), Citi has:

• Expanded and realigned its climate risk team to be part of

the Enterprise Risk Management function within Risk;

• Further built out its Clean Energy Transition (CET) team

(formed in 2021 and expanded in 2022 to include

Corporate Banking), which focuses on providing advisory

and capital-raising services to companies involved in

energy transition; and

• Launched two climate training pilots for its BCMA

(Banking, Capital Markets and Advisory), Risk

Management and Global Functions teams involving in-

person workshops focused on providing foundational

knowledge of climate risks and client engagement.

Key ESG Initiatives

Sustainable Progress Strategy

Citi’s Sustainable Progress Strategy is summarized in its

Environmental and Social Policy Framework. The three pillars

of the strategy each have climate-related elements and serve as

the foundation for Citi’s climate commitments:

• The first pillar, “Low-Carbon Transition,” focuses on

financing and facilitating environmental and social

finance, including low-carbon solutions, and supporting

Citi’s clients in their decarbonization and transition

strategies.

• The second pillar, “Climate Risk,” focuses on Citi’s

efforts to measure, manage and reduce the climate risk

and impact of its client portfolio. Areas of activity include

portfolio analysis and stakeholder engagement as well as

enhancing TCFD implementation and disclosure.

• The third pillar, “Sustainable Operations,” focuses on

Citi’s efforts to reduce the environmental footprint of its

facilities and strengthen its sustainability culture. This

includes minimizing the impact of its global operations

through operational footprint goals and further integrates

sustainable practices across the countries in which Citi

operates.

Net Zero Emissions by 2050

Citi is a member of several initiatives that enhance its

understanding of climate-related issues, improve its access to

data and promote a common understanding and terminology

across various climate efforts. These initiatives include the

Partnership for Carbon Accounting Financials, the Glasgow

Financial Alliance for Net Zero and the Net Zero Banking

Alliance.

As previously disclosed, Citi has committed to achieving

net zero greenhouse gas (GHG) emissions associated with its

financing by 2050, and net zero GHG emissions for its own

operations by 2030; both are significant targets given the size

and breadth of Citi’s lending portfolios, businesses and

operational footprint. Citi made this commitment as part of its

ongoing work to reduce its climate risk and impact, grow its

business in the clean energy transition and help address the

challenges that climate change poses to the global economy

and broader society. Citi’s net zero commitment demonstrates

how identifying, assessing and managing climate-related risks

and opportunities remains a top business priority for Citi.

While many financial institutions, including Citi, face

increasing public pressure to divest from carbon-intensive

sectors, Citi believes it has an important role to play in

advising and financing the transition to net zero, and it plans to

work closely with clients in this effort. Citi recognizes that

large-scale, rapid divestment could result in an abrupt and

disorderly transition to a low-carbon economy, creating both

economic and social upheaval. Citi believes that an orderly,

responsible and equitable transition, which accounts for the

immediate economic needs of communities and workers,

continued access to energy, environmental justice

considerations and broader economic development concerns,

is essential for the retention of political and social support to

move to a low-carbon economy.

The 2050 net zero commitment includes the following

framework, delineating the key areas required to achieve its

targets:

• Calculate Emissions: Calculate baseline financed

emissions for each carbon-intensive sector

• Transition Pathway: Identify the appropriate climate

scenario transition pathway

• Target Setting: Establish emissions reduction targets for

2030 and beyond

• Implementation Strategy: Engage with and assess clients

to determine transition opportunities

• External Engagement: Solicit feedback from clients,

investors and other stakeholders, as the work continues to

evolve and the parties collectively define net zero for the

banking sector

Citi’s Net Zero plan includes:

• Net Zero Metrics and Target Setting: Assess targets for

carbon-intensive sectors and explore methodologies for

calculating financed emissions beyond lending portfolios

• Client Engagement and Assessment: Seek to understand

clients’ GHG emissions and work with them to develop

their transition plans and advise on capacity building

• Risk Management: Assess climate risk exposure across

Citi’s lending portfolios and review client carbon

reduction progress, with ongoing review and refining of

Citi’s risk appetite and thresholds and policies related to

Climate Risk Management

• Clean Technology and Transition Finance: Support

existing and, where possible, new technologies to

accelerate commercialization and provide transition

advisory and finance, via debt and equity underwriting

• Portfolio Management: Active portfolio management to

align with net zero targets, including considerations of

transition measures taken by clients

• Public Policy and Regulatory Engagement: Support

enabling public policy and regulation in the U.S. and

other countries where relevant

In 2022, Citi took the following steps to operationalize its

Net Zero plan:

• In addition to the energy and power targets established

last year, Citi has set 2030 emissions reduction targets for

four additional loan portfolio sectors: automotive

manufacturing, commercial real estate, steel and thermal

coal mining.

• Citi has begun piloting a Net Zero Review Template for

its energy and power clients to better understand their

transition plans.

• Citi worked with RMI to help develop and launch the

Sustainable STEEL Principles, a solution for measuring

and disclosing the alignment of steel lending portfolios

with 1.5°C climate targets.

Financial Inclusion and Racial Equity

Building on Citi’s longstanding focus on advancing financial

inclusion and economic opportunity for communities of color,

in September 2020, Citi and the Citi Foundation announced

Action for Racial Equity (ARE), a set of strategic initiatives to

help close the racial wealth gap and increase economic

mobility in the U.S. As part of ARE, Citi and the Citi

Foundation have invested more than $1 billion in strategic

initiatives to provide greater access to banking and credit in

communities of color, increase investment in Black-owned

businesses, expand access to affordable housing and

homeownership among Black Americans and advance anti-

racist practices within Citi and across the financial services

industry.

Consistent with its commitment to transparently report on

ARE, in December 2022 Citi released the results of a racial

equity audit of ARE, which it had commissioned from the law

firm Covington & Burling. The audit assessed ARE as an

effort to help address various drivers of the racial wealth gap

by evaluating ARE’s design, implementation and extent of

integration into Citi’s business. The audit’s overall assessment

was that ARE was a well-designed and credible effort to help

address the racial wealth gap in the U.S., given the dimensions

of Citi’s business. More specifically, it concluded that:

• ARE’s design effectively leveraged Citi’s expertise,

network of business partners and resources to address

some of the key factors contributing to the racial wealth

gap.

• Citi has made progress toward many of the objectives

committed to under ARE, although at the time of the audit

(the end of the first two years of its three-year

commitment) it had not yet accomplished every objective

or commitment.

• There are opportunities to further institutionalize ARE

efforts into Citi’s core business, building upon the

creation of dedicated business units in both PBWM and

ICG.

• There are opportunities for Citi to further support

consumers from underrepresented communities to build

and maintain healthy credit scores and access credit.

In addition to Citi’s ongoing work and focus on ARE and

in line with its continued commitment to expand access to

banking products and services that can help advance economic

progress—especially for underbanked and unbanked

communities—Citi eliminated overdraft fees, returned item

fees and overdraft protection fees beginning in June 2022. In

addition to eliminating these fees, Citi will continue to offer a

robust suite of free overdraft protection services for its

customers.

Additional Information

For additional information on Citi’s environmental and social

policies and priorities, click on “Our Impact” on Citi’s website

at www.citigroup.com. For information on Citi’s ESG and

Sustainability (including climate change) governance, see

Citi’s 2023 Annual Meeting Proxy Statement to be filed with

the SEC in March 2023, as well as its 2022 TCFD Report to

be published and available on Citi’s investor relations website

in March 2023.

The 2022 TCFD Report and any other ESG-related

reports and information included elsewhere on Citi’s investor

relations website are not incorporated by reference into, and

do not form any part of, this 2022 Annual Report on Form 10-

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:

• Continuously innovating the recruitment, 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 to

promote accountability, credibility and effectiveness in

achieving those goals

• Providing compensation programs that are competitive in

the market and aligned to strategic objectives

Workforce Size and Distribution

As of December 31, 2022, Citi employed approximately 240,000 colleagues in over 90 countries. The Company’s workforce is

constantly evolving and developing, benefiting from a strong mix of internal and external hiring into new and existing positions. In

2022, Citi welcomed nearly 60,000 new colleagues in addition to the roles filled by colleagues through internal mobility. The

following table shows the geographic distribution of Citi’s employee population by segment, region and gender:

Segment or component

(1)

North

America EMEA

Latin

America Asia Total

(2)

Women

(3)

Men

(3)

Unspecified

(3)

Institutional Clients Group 19,162 19,635 7,569 27,882 74,248 44.1 % 55.9 % 0.03 %

Personal Banking and

Wealth Management 39,952 2,227 452 14,084 56,715 56.8 43.2 0.02

Legacy Franchises 58 21 35,776 14,392 50,247 55.1 44.9 —

Corporate/Other 27,690 10,894 7,281 12,828 58,693 46.8 53.2 0.02

Total 86,862 32,777 51,078 69,186 239,903 50.1 % 49.9 % 0.02 %

(1) Colleague distribution is based on assigned business and region, which may not reflect where the colleague physically resides.

(2) Part-time colleagues represented less than 1.5% of Citi’s global workforce.

(3) Information regarding gender is self-identified by colleagues.

Driving a Culture of Excellence and Accountability

Citi continues to embark on a talent and culture transformation

to drive a culture of excellence and accountability that is

supported by strong risk and controls management.

Citi’s new Leadership Principles of “taking ownership,

delivering with pride and succeeding together” have been

reinforced through a behavioral science-led campaign, Citi’s

New Way, that reinforces the key working habits that support

Citi’s leadership culture.

Citi’s performance management approach also

emphasizes the Leadership Principles through a new four-

pillar system, evaluating what colleagues deliver against

financial performance, risk and controls, and client and

franchise goals as well as how colleagues deliver from a

leadership perspective. The performance management and

incentive compensation processes and associated policies and

frameworks have been redesigned to enhance accountability

through increased rigor and consistency, in particular for risk

and controls.

The culture shift is also being supported by changes in the

way Citi identifies, assesses, develops and promotes talent,

particularly at the most senior levels of the organization. In

2022, the first Company-wide approach for promotions to the

critical leadership role of Managing Director was launched,

with common eligibility criteria across Citi, including risk and

control performance. Further, all potential successors to

Executive Management Team roles are evaluated by the Board

and are now subject to a risk and controls assessment.

Diversity, Equity and Inclusion

Citigroup’s Board is committed to ensuring that the Board and

Citi’s Executive Management Team are composed of

individuals whose backgrounds reflect the diversity of Citi’s

employees, customers and other stakeholders. In addition, Citi

has increased its efforts to diversify its workforce, including,

among other things, taking actions with respect to pay equity,

setting representation goals and the use of diverse slates in

recruiting.

Pay Transparency and Pay Equity

Citi values pay transparency and has taken significant action

to ensure that both managers and employees have greater

clarity around Citi’s compensation philosophy. Over the past

two years, Citi introduced market-based salary structures and

bonus opportunity guidelines in various countries worldwide.

In addition, Citi recently began posting salary ranges on all

external U.S. job postings, which aligns with strategic

objectives of pay equity and transparency. Citi also raised its

U.S. minimum wage in 2022, the second broad-based increase

in less than two years.

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 its compensation of women to that of men, as

well as U.S. minorities to U.S. non-minorities. Since

2018, Citi has continued to be transparent about pay

equity, including disclosing its unadjusted or “raw” pay

gap for both women and U.S. minorities. The raw gap

measures the difference in median compensation. The

existence of Citi’s raw pay gap reflects a need to increase

representation of women and U.S. minorities in senior and

higher-paying roles.

• Citi’s 2022 pay equity review determined that on an

adjusted basis, women globally are paid on average more

than 99% of what men are paid at Citi, and that there was

not a statistically significant difference in adjusted

compensation for U.S. minorities and non-minorities.

• Citi’s 2022 raw pay gap analysis showed that the median

pay for women globally is 78% of the median for men, up

from 74% in 2021 and 2020. The median pay for U.S.

minorities is more than 97% of the median for non-

minorities, which is up from just above 96% in 2021 and

94% in 2020.

Representation Goals

Citi’s management believes that a diverse workforce is key to

the Company’s success in serving diverse clients and

communities. In 2022, Citi announced that it exceeded its

Company-wide, aspirational diversity representation goals for

2018–2021 to increase its percentages of women colleagues

globally and Black talent in the U.S.

Recognizing that this was just a starting point, Citi has set

new goals for 2025. The new goals are more global, embrace

more dimensions of diversity and include all levels of the

Company.

Citi’s 2025 aspirational representation goals are

embedded in its business strategy. Citi has goals for hiring and

promoting colleagues into roles at the Assistant Vice President

to Managing Director levels across the organization, as well as

goals for campus hiring from colleges and universities. Having

aspirational goals across all levels—from early career through

senior leadership roles—will help ensure Citi not only has

diverse talent in leadership roles, but will also help the

Company build a diverse talent pipeline for the future.

Workforce Development

Citi’s numerous programmatic offerings aim to reinforce its

culture and values, foster understanding of compliance

requirements and develop competencies required to deliver

excellence to its clients. Citi encourages career growth and

development by offering broad and diverse opportunities to

colleagues, including the following:

• Citi provides a range of internal development and

rotational programs to colleagues at all levels, including

an extensive leadership curriculum, allowing the

opportunity to build the skills needed to transition to

supervisory and managerial roles. Citi’s tuition assistance

program further enables colleagues in North America to

pursue their educational goals.

• Citi has a focus on internal talent development and aims

to provide colleagues with career growth opportunities,

with more than 33,000 open positions filled internally in

2022. These opportunities are particularly important as

Citi focuses on providing career paths for its internal

talent base as part of its efforts to increase organic growth

and promotions within the organization.

Wellness and Benefits

Citi is proud to provide a wide range of benefits that support

its colleagues mentally, emotionally, physically and

financially and through various life stages and events. The

Company is focused on providing equitable benefits that are

designed to attract, engage and retain colleagues.

Citi has significantly enhanced mental well-being

programs by offering free counseling sessions for colleagues

and their family members and adding real-time text, video and

message-based counseling in the U.S., as well as offering an

online tool so that all colleagues around the globe can easily

find their local Employee Assistance Programs and resources.

Citi also continues to value the importance of physical well-

being—providing employees in several office locations and

countries access to onsite medical care clinics, fitness centers,

subsidized gym memberships and virtual fitness programs.

Citi continues expanding employee benefits to support

colleagues and their families. In early 2020, Citi expanded its

Paid Parental Leave Policy to include Citi colleagues around

the world. Citi also began to offer additional leave

opportunities to eligible colleagues, including the “Refresh,

Recharge, Reenergize” program, whereby employees are able

to take up to 12 weeks for a sabbatical to pursue a personal

interest, and the “Giving Back” program, allowing employees

to take up to four weeks to work with a charitable institution.

In 2022, Citi implemented a global, flexible work

approach to provide colleagues with the ability to balance the

demands of their home lives with the work conditions that are

necessary for success. The “How We Work” approach

includes a new work model for Citi, defined by three role

designations for colleagues globally: Resident, Hybrid or

Remote. By embracing a flexible model of work, Citi has

focused on keeping its approach consistent and aligned with

its values and priorities.

For additional information about Citi’s human capital

management initiatives and goals, see Citi’s 2021 ESG report

available at www.citigroup.com. The 2021 ESG report and

other information included elsewhere on Citi’s investor

relations website are not incorporated by reference into, and

do not form any part of, this 2022 Annual Report on Form 10-

Managing Global Risk Table of Contents

MANAGING GLOBAL RISK 60

Overview 60

CREDIT RISK

(1)

Overview 63

Corporate Credit 64

Consumer Credit 70

Additional Consumer and Corporate Credit Details 77

Loans Outstanding 77

Details of Credit Loss Experience 78

Allowance for Credit Losses on Loans (ACLL) 80

Non-Accrual Loans and Assets and Renegotiated Loans 82

Forgone Interest Revenue on Loans 85

LIQUIDITY RISK 86

Overview 86

Liquidity Monitoring and Measurement 86

High-Quality Liquid Assets (HQLA) 87

Loans 88

Deposits 88

Long-Term Debt 89

Secured Funding Transactions and Short-Term Borrowings 92

Credit Ratings 93

MARKET RISK

(1)

Overview 95

Market Risk of Non-Trading Portfolios 95

Banking Book Interest Rate Risk 95

Interest Rate Risk of Investment Portfolios—Impact on AOCI 96

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital 98

Interest Revenue/Expense and Net Interest Margin (NIM) 99

Additional Interest Rate Details 102

Market Risk of Trading Portfolios 106

Factor Sensitivities 107

Value at Risk (VAR) 107

Stress Testing 110

OPERATIONAL RISK 111

Overview 111

Cybersecurity Risk 111

COMPLIANCE RISK 112

REPUTATION RISK 113

STRATEGIC RISK 113

Climate Risk 113

OTHER RISKS 114

LIBOR Transition Risk 114

Country Risk 116

Top 25 Country Exposures 116

Russia 117

Ukraine 120

Argentina 120

FFIEC—Cross-Border Claims on Third Parties and Local Country Assets 120

(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 has established an

Enterprise Risk Management (ERM) Framework to ensure

that all of Citi’s risks are managed appropriately and

consistently across the Company and at an aggregate,

enterprise-wide level. Citi’s culture drives a strong risk and

control environment, and is at the heart of the ERM

Framework, underpinning the way Citi conducts business. The

activities that Citi engages in, and the risks those activities

generate, must be consistent with Citi’s Mission and Value

Proposition and the key Leadership Principles that support it,

as well as Citi’s risk appetite. As discussed above, Citi also

continues its efforts to comply with the FRB 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).

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’ best

interests, create economic value and are always systemically

responsible.

As discussed in “Human Capital Resources and

Management” above, Citi has designed Leadership Principles

that represent the qualities, behaviors and expectations all

employees must exhibit to deliver on Citi’s mission of

enabling growth and economic progress. The Leadership

Principles inform Citi’s ERM Framework and will contribute

to creating a culture that drives client, control and operational

excellence. Citi colleagues share a common responsibility to

uphold these leadership principles and hold themselves to the

highest standards of ethics and professional behavior in

dealing with Citi’s clients, business colleagues, shareholders,

communities and each other.

Citi’s ERM Framework details the principles used to

support effective enterprise-wide risk management across the

end-to-end risk management lifecycle. The ERM Framework

covers the risk management roles and responsibilities of the

Citigroup Board of Directors (the Board), Citi’s Executive

Management Team (see “Risk Governance—Executive

Management Team” below) and employees across the lines of

defense. The underlying pillars of the framework encompass:

• Culture—the core principles and behaviors that underpin

a strong culture of risk awareness, in line with Citi’s

Mission and Value Proposition, and Leadership

Principles;

• Governance—the committee structure and reporting

arrangements that support the appropriate oversight of

risk management activities at the Board and Executive

Management Team levels;

• Risk Management—the end-to-end risk management

cycle including the identification, measurement,

monitoring, controlling and reporting of all risks

including top, material, growing, idiosyncratic and

emerging risks, and aggregated to an enterprise-wide

level; and

• Enterprise Programs—the key risk management

programs performed across the risk management lifecycle

for all risk categories; these programs also outline the

specific roles played by each of the lines of defense in

these processes.

Each of these pillars is underpinned by supporting

capabilities, which are the infrastructure, people, technology

and data, and modelling and analytical capabilities that are in

place to enable the execution of the ERM Framework.

Citi’s approach to risk management requires that its risk-

taking be consistent with its risk appetite. The risk appetite is

the aggregate level and types of risk Citi is willing to take or

tolerate in order to meet its strategic objectives and business

plan. Citi’s risk appetite framework is the overall firm-wide

approach, including policies, processes, controls and systems

through which the risk appetite is established, communicated

and monitored. In addition, underlying risk limits and

thresholds are designed to control concentrations and

operationalize risk appetite.

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 Citi 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

Citi.

• Market risk (Trading and Non-Trading): Market risk of

trading portfolios is the risk of loss arising from changes

in the value of Citi’s assets and liabilities resulting from

changes in market variables, such as interest rates,

exchange rates, equity and commodity prices or credit

spreads. Market risk of non-trading portfolios is the risk

to current or projected financial condition and resilience

arising from movements in interest rates resulting from

repricing risk, basis risk, yield curve risk and options risk.

• 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 Citi’s

failure to comply with laws, regulations, prudent ethical

standards or contractual obligations in any aspect of Citi’s

business, but excludes strategic and reputation risks (see

below).

• 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.

• Reputation risk is the risk to current or projected financial

conditions and resilience from negative opinion held by

stakeholders.

• Strategic risk is the risk of a sustained impact (not

episodic impact) to Citi’s core strategic objectives as

measured by impacts on anticipated earnings, market

capitalization or capital, arising from the external factors

affecting the Company’s operating environment; as well

as the risks associated with defining the strategy and

executing the strategy, which are identified, measured and

managed as part of the Strategic Risk Framework at the

Enterprise Level.

Citi uses a lines of defense model as a key component of

its ERM Framework to manage its risks. As discussed below,

the lines of defense model brings together risk-taking, risk

oversight and risk assurance under one umbrella and provides

an avenue for risk accountability of first line of defense, a

construct for effective challenge by the second line of defense

(Independent Risk Management and Independent Compliance

Risk Management), and empowers independent risk assurance

by the third line of defense (Internal Audit). In addition, the

lines of defense model includes organizational units tasked

with supporting a strong control environment (“enterprise

support functions”). The first, second and third lines of

defense, along with enterprise support functions, have distinct

roles and responsibilities and are empowered to perform

relevant risk management processes and responsibilities in

order to manage Citi’s risks in a consistent and effective

manner.

First Line of Defense: Front Line Units and Front Line

Unit Activities

Citi’s first line of defense owns the risks and associated

controls inherent in, or arising from, the execution of its

business activities and is responsible for identifying,

measuring, monitoring, controlling and reporting those risks

consistent with Citi’s strategy, Mission and Value Proposition,

Leadership Principles and 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.

The first line of defense is composed of Citi’s Business

Management, Regional Management, certain Corporate

Functions (Enterprise Operations and Technology, Chief

Administrative Office, Global Public Affairs, Office of the

Citibank Chief Executive Officer (CEO) and Finance), as well

as other front line unit activities. Front line units may also

include enterprise support units and/or conduct enterprise

support activities—see “Enterprise Support Functions” below.

Second Line of Defense: Independent Risk Management

Independent risk management units are independent of the

first line of defense. 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 its risk

management responsibilities. They are also responsible for

independently identifying, measuring, monitoring, controlling

and reporting aggregate risks and for setting standards for the

management and oversight of risk. Independent risk

management is composed of Independent Risk Management

(IRM) and Independent Compliance Risk Management

(ICRM), which are led by the Group Chief Risk Officer

(CRO) and Group Chief Compliance Officer (CCO) who have

unrestricted access to the Board and its Risk Management

Committee to facilitate the ability to execute their specific

responsibilities pertaining to escalation to the Board.

Independent Risk Management

The IRM organization sets risk and control standards for the

first line of defense and actively manages and oversees

aggregate credit, market (trading and non-trading), liquidity,

strategic, operational and reputation risks across Citi,

including risks that span categories, such as concentration risk,

country risk and climate risk.

IRM is organized to align to risk categories, legal entities/

regions and Company-wide, cross-risk functions or processes.

Each of these units reports to a member of the Risk

Management Executive Council, who are all direct reports to

the Citigroup CRO.

Independent Compliance Risk Management

The ICRM organization actively oversees compliance risk

across Citi, sets compliance risk and control standards for the

first line of defense to manage compliance risk and promotes

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 Citi.

ICRM is aligned by product line, function and geography

to provide compliance risk management advice and credible

challenge on day-to-day matters and strategic decision-making

for key initiatives. ICRM also has program-level Enterprise

Compliance units responsible for setting standards and

establishing priorities for program-related compliance efforts.

These Compliance Risk Management heads report directly to

the CCO. The CCO reports to Citi’s General Counsel and

ICRM is organizationally part of the Global Legal Affairs &

Compliance group. In addition, the CCO has matrix reporting

into the CRO and is part of the Risk Management Executive

Council.

Third Line of Defense: Internal Audit

Internal Audit is independent of the first line, second line and

enterprise support functions. The role of Internal Audit is to

provide independent, objective, reliable, valued and timely

assurance to the Board, its Audit Committee, Citi senior

management and regulators over the effectiveness of

governance, risk management and controls that mitigate

current and evolving risks and enhance the control culture

within Citi. The Citi Chief Auditor manages Internal Audit

and reports functionally to the Chairman of the Citi Audit

Committee and administratively to the Citi Chief Executive

Officer. The Citi Chief Auditor has unrestricted access to the

Board and the Board Audit Committee to address risks and

issues identified through Internal Audit’s activities.

Enterprise Support Functions

Enterprise support functions engage in activities that support

safety and soundness across Citi. These functions provide

advisory services and/or design, implement, maintain and

oversee Company-wide programs that support Citi in

maintaining an effective control environment.

Enterprise support functions are composed of Human

Resources and Legal (including Citi Security and Investigative

Services). Front line units may also include enterprise support

units and/or conduct enterprise support activities (e.g., the

Controllers Group within Finance).

Enterprise support functions, units and activities are

subject to the relevant Company-wide independent oversight

processes specific to the risks for which they are accountable

(e.g., operational risk, compliance risk, reputation risk).

Risk Governance

Citi’s ERM Framework encompasses risk management

processes to address risks undertaken by Citi through

identification, measurement, monitoring, controlling and

reporting of all risks. The ERM Framework integrates these

processes with appropriate governance to complement Citi’s

commitment to maintaining strong and consistent risk

management practices.

Board Oversight

The Board is responsible for oversight of Citi and holds the

Executive Management Team accountable for implementing

the ERM Framework, meeting strategic objectives within

Citi’s risk appetite.

Executive Management Team

The Board delegates authority to an Executive Management

Team for directing and overseeing day-to-day management of

Citi. The Executive Management Team is led by the Citigroup

CEO and provides oversight of group activities, both directly

and through authority delegated to committees it has

established to oversee the management of risk, to ensure

continued alignment with Citi’s risk strategy.

Board and Executive Management Committees

The Board executes its responsibilities either directly or

through its committees. The Board has delegated authority to

the following Board standing committees to help fulfill its

oversight and risk management responsibilities:

• Risk Management Committee (RMC): assists the Board in

fulfilling its responsibility with respect to (i) oversight of

Citi’s risk management framework, including the

significant policies and practices used in managing credit,

market, liquidity, strategic, operational, compliance,

reputation and certain other risks, including those

pertaining to capital management, and (ii) performance

oversight of the Global Risk Review—credit, capital and

collateral review functions.

• Audit Committee: provides oversight of Citi’s financial

reporting and internal control risk, as well as Internal

Audit and Citi’s external independent accountants.

• Compensation, Performance Management and Culture

Committee: provides oversight of compensation of Citi’s

employees and Citi management’s sustained focus on

fostering a principled culture of sound ethics, responsible

conduct and accountability within the organization.

• Nomination, Governance and Public Affairs Committee:

provides oversight of reputational issues, Environmental,

Social and Governance (ESG) and sustainability matters,

and legal and regulatory compliance risks as they relate to

corporate governance matters.

• Technology Committee: assists the Board in fulfilling its

responsibility with respect to oversight of (i) Citigroup’s

technology strategy and operating plan and the

development of Citi’s target operating model and

architecture, (ii) technology-based risk management,

including Cyber Security, (iii) technology-related

resource and talent planning and (iv) third-party

management policies, practices and standards.

In addition to the above, the Board has established the

following ad hoc committee:

• Transformation Oversight Committee: provides oversight

of the actions of Citi’s management to develop and

execute a transformation of Citi’s risk and control

environment pursuant to the recent regulatory consent

orders (for additional information see “Citi’s Consent

Order Compliance” above).

The Executive Management Team has established five

standing committees that cover the primary risks to which Citi

(i.e., Group) is exposed. These consist of:

• Group Strategic Risk Committee (GSRC): provides

governance oversight of Citi’s management actions to

adequately identify, monitor, report, manage and escalate

all material strategic risks facing Citi.

• Citigroup Asset and Liability Committee (ALCO):

responsible for governance over management’s Liquidity

Risk and Market Risk (non-trading) management and for

monitoring and influencing the balance sheet, investment

securities and capital management activities of Citigroup.

• Group Risk Management Committee (GRMC): the

primary senior executive level committee responsible for

(i) overseeing the execution of Citigroup’s ERM

Framework, (ii) monitoring Citi’s risk profile at an

aggregate level inclusive of individual risk categories, (iii)

ensuring that Citi’s risk profile remains consistent with its

approved risk appetite and (iv) discussing material and

emerging risk issues facing the Company. The Committee

also provides comprehensive Group-wide coverage of all

risk categories, including Credit Risk and Market Risk

(trading).

• Group Business Risk and Control Committee (GBRCC):

provides governance oversight of Citi’s Compliance and

Operational Risks.

• Group Reputation Risk Committee (GRRC): provides

governance oversight for Reputation Risk management

across Citi.

In addition to the Executive Management committees

listed above, management may establish ad-hoc committees in

response to regulatory feedback or to manage additional

activities when deemed necessary.

The figure below illustrates the reporting lines between the Board and Executive Management committees:

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 is one of the most significant risks Citi

faces as an institution. For additional information, see “Risk

Factors—Credit Risk” above. 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.

Citi has an established framework in place for managing

credit risk across all businesses that includes a defined risk

appetite, credit limits and credit policies. Citi’s credit risk

management framework also includes policies and procedures

to manage problem exposures.

To manage concentration risk, Citi has in place a

framework consisting of industry limits, single-name

concentrations for each business and across Citigroup and a

specialized product limit framework.

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 Citi’s 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 allowance for credit losses (ACL)

process (see “Significant Accounting Policies and Significant

Estimates—Allowance for Credit Losses” below and Notes 1

and 15), 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. See Note 14 for additional information on

Citi’s credit risk management.

CORPORATE CREDIT

Consistent with its overall strategy, Citi’s corporate clients are

typically corporations that value the depth and breadth of

Citi’s global network. Citi aims to establish relationships with

these clients whose needs encompass multiple products,

including cash management and trade services, foreign

exchange, lending, capital markets and M&A advisory.

Corporate Credit Portfolio

The following table details Citi’s corporate credit portfolio within ICG and the Mexico SBMM component of Legacy Franchises

(excluding certain loans managed on a delinquency basis, loans carried at fair value and loans held-for-sale), and before consideration

of collateral or hedges, by remaining tenor for the periods indicated:

December 31, 2022 September 30, 2022 December 31, 2021

In billions of dollars

Due

within

1 year

Greater

than

1 year

but

within

5 years

Greater

than

5 years

Total

exposure

Due

within

1 year

Greater

than

1 year

but

within

5 years

Greater

than

5 years

Total

exposure

Due

within

1 year

Greater

than

1 year

but

within

5 years

Greater

than

5 years

Total

exposure

Direct outstandings

(on-balance sheet)

(1)

$ 134 $ 122 $ 27 $ 283 $ 143 $ 114 $ 27 $ 284 $ 145 $ 119 $ 20 $ 284

Unfunded lending

commitments

(off-balance sheet)

(2)

140 256 10 406 133 248 10 391 147 269 13 429

Total exposure $ 274 $ 378 $ 37 $ 689 $ 276 $ 362 $ 37 $ 675 $ 292 $ 388 $ 33 $ 713

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

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

Portfolio Mix—Geography and Counterparty

Citi’s corporate credit portfolio is diverse across geography

and counterparty. The following table shows the percentage of

this portfolio by region based on Citi’s internal management

geography:

December 31,

2022

September 30,

2022

December 31,

2021

North America 56 % 56 % 56 %

EMEA 25 25 25

Asia 12 12 13

Latin America 7 7 6

Total 100 % 100 % 100 %

The maintenance of accurate and consistent risk ratings

across the corporate credit portfolio facilitates the comparison

of credit exposure across all lines of business, geographic

regions and products. Counterparty risk ratings reflect an

estimated probability of default for a counterparty, and

internal risk ratings are derived by leveraging validated

statistical models and scorecards 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

by facility risk rating as a percentage of the total corporate

credit portfolio:

Total exposure

December 31,

2022

September 30,

2022

December 31,

2021

AAA/AA/A 50 % 50 % 48 %

BBB 34 33 34

BB/B 14 15 16

CCC or below 2 2 2

Total 100 % 100 % 100 %

Note: Total exposure includes direct outstandings and unfunded lending

commitments.

In addition to the obligor and facility risk ratings assigned

to all exposures, Citi may classify exposures in the corporate

credit portfolio. These classifications are consistent with Citi’s

interpretation of the U.S. banking regulators’ definition of

criticized exposures, which may categorize exposures as

special mention, substandard, doubtful or loss.

Risk ratings and classifications are reviewed regularly and

adjusted as appropriate. The credit review process incorporates

quantitative and qualitative factors, including financial and

non-financial disclosures or metrics, idiosyncratic events or

changes to the competitive, regulatory or macroeconomic

environment. This includes but is not limited to exposures in

those sectors significantly impacted by the COVID-19

pandemic (including consumer retail, commercial real estate

and transportation).

Citi believes the corporate credit portfolio to be

appropriately rated and classified as of December 31, 2022.

Citigroup has taken action to adjust internal ratings and

classifications of exposures as both the macroeconomic

environment and obligor-specific factors have changed,

particularly where additional stress has been seen.

As obligor risk ratings are downgraded, the probability of

default increases. Downgrades of obligor risk ratings tend to

result in a higher provision for credit losses. In addition,

downgrades may result in the purchase of additional credit

derivatives or other risk mitigants to hedge the incremental

credit risk, or may result in Citi’s seeking to reduce exposure

to an obligor or an industry sector. Citi will continue to review

exposures to ensure that the appropriate probability of default

is incorporated into all risk assessments.

See Note 14 for additional information on Citi’s corporate

credit portfolio.

Portfolio Mix—Industry

Citi’s corporate credit portfolio is diversified by industry. The

following table details the allocation of Citi’s total corporate

credit portfolio by industry:

Total exposure

December 31,

2022

September 30,

2022

December 31,

2021

Transportation and

industrials 20 % 20 % 20 %

Technology, media

and telecom 12 12 12

Consumer retail 11 11 11

Real estate 10 10 10

Power, chemicals,

metals and mining 9 9 9

Banks and finance

companies

(1)

10 9 8

Energy and

commodities 7 7 7

Asset managers

and funds 5 7 8

Health 6 5 5

Insurance 4 4 4

Public sector 3 3 3

Financial markets

infrastructure 2 2 2

Other industries 1 1 1

Total 100 % 100 % 100 %

(1) As of the periods in the table, Citi had less than 1% exposure to

securities firms. See corporate credit portfolio by industry, below.

The following table details Citi’s corporate credit portfolio by industry as of December 31, 2022:

In millions of dollars

Total

credit

exposure Funded

(1)

Unfunded

(1)

Investment

grade

Non-

criticized

Criticized

performing

Criticized

non-

performing

(2)

30 days or

more past

due and

accruing

Net credit

losses

(recoveries)

Credit

derivative

hedges

(3)

Transportation and

industrials $ 139,225 $ 57,271 $ 81,954 $ 109,197 $ 19,697 $ 9,850 $ 481 $ 403 $ — $ (8,459)

Autos

(4)

47,482 21,995 25,487 40,795 5,171 1,391 125 52 — (3,084)

Transportation 24,843 10,374 14,469 18,078 3,156 3,444 165 57 (30) (1,270)

Industrials 66,900 24,902 41,998 50,324 11,370 5,015 191 294 30 (4,105)

Technology, media and

telecom 81,211 28,931 52,280 65,386 12,308 3,308 209 169 11 (6,050)

Consumer retail 78,255 32,687 45,568 60,215 14,830 2,910 300 195 28 (5,395)

Real estate 70,676 48,539 22,137 63,023 4,722 2,881 50 138 2 (739)

Power, chemicals, metals

and mining 59,404 18,326 41,078 47,395 10,466 1,437 106 226 34 (5,063)

Power 22,718 4,827 17,891 18,822 3,325 512 59 129 (3) (2,306)

Chemicals 23,147 7,765 15,382 19,033 3,534 564 16 55 30 (2,098)

Metals and mining 13,539 5,734 7,805 9,540 3,607 361 31 42 7 (659)

Banks and finance

companies 65,623 42,276 23,347 57,368 5,718 2,387 150 266 65 (1,113)

Energy and commodities

(5)

46,309 13,069 33,240 38,918 6,076 1,200 115 180 11 (3,852)

Asset managers and funds 35,983 13,162 22,821 34,431 1,492 60 — 95 — (759)

Health 41,836 8,771 33,065 36,954 3,737 978 167 84 7 (2,855)

Insurance 29,932 4,417 25,515 29,090 801 41 — 44 — (3,884)

Public sector 23,705 11,736 11,969 20,663 2,084 956 2 77 4 (1,633)

Financial markets

infrastructure 8,742 60 8,682 8,672 70 — — — — (18)

Securities firms 1,462 569 893 625 678 157 2 2 — (2)

Other industries 6,697 3,651 3,046 4,842 1,568 238 49 19 16 (8)

Total $ 689,060 $ 283,465 $ 405,595 $ 576,779 $ 84,247 $ 26,403 $ 1,631 $ 1,898 $ 178 $ (39,830)

Non-investment grade Selected metrics

(1) Excludes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2022, respectively, primarily related to the delinquency-managed loans

and unearned income. Funded balances also exclude loans carried at fair value of $5.1 billion at December 31, 2022.

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

(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $39.8 billion of

purchased credit protection, $36.6 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.2

billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $27.6 billion, where the protection seller absorbs the

first loss on the referenced loan portfolios.

(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of

global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.4 billion ($10.3 billion in funded, with more than

99% rated investment grade) as of December 31, 2022.

(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and

industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2022, Citi’s total exposure to these energy-related entities was

approximately $4.7 billion, of which approximately $2.4 billion consisted of direct outstanding funded loans.

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

In millions of dollars

Total credit

exposure Funded

(1)

Unfunded

(1)

Investment

grade

Non-

criticized

Criticized

performing

Criticized

non-

performing

(2)

30 days or

more past

due and

accruing

Net credit

losses

(recoveries)

Credit

derivative

hedges

(3)

Transportation and

industrials $ 143,445 $ 51,502 $ 91,943 $ 110,047 $ 19,051 $ 13,196 $ 1,151 $ 384 $ 127 $ (8,791)

Autos

(4)

48,210 18,662 29,548 39,824 5,365 2,906 115 49 2 (3,228)

Transportation 26,897 12,085 14,812 19,233 2,344 4,447 873 105 104 (1,334)

Industrials 68,338 20,755 47,583 50,990 11,342 5,843 163 230 21 (4,229)

Technology, media

and telecom 84,333 28,542 55,791 64,676 15,873 3,587 197 156 11 (6,875)

Consumer retail 78,994 32,894 46,100 60,686 13,590 4,311 407 224 100 (5,115)

Real estate 69,808 46,220 23,588 58,089 6,761 4,923 35 116 50 (798)

Power, chemicals,

metals and mining 65,641 20,224 45,417 53,575 10,708 1,241 117 292 22 (5,808)

Power 26,199 5,610 20,589 22,860 2,832 420 87 100 17 (3,032)

Chemicals 25,550 8,525 17,025 20,788 4,224 528 10 88 6 (2,141)

Metals and mining 13,892 6,089 7,803 9,927 3,652 293 20 104 (1) (635)

Banks and finance

companies 58,252 36,804 21,448 49,465 4,892 3,890 5 150 (5) (680)

Energy and

commodities

(5)

48,973 13,485 35,488 38,972 7,517 2,220 264 224 78 (3,679)

Asset managers and

funds 55,517 26,879 28,638 54,119 1,019 377 2 211 — (869)

Health 33,393 8,826 24,567 27,600 4,702 942 149 95 — (2,465)

Insurance 28,495 3,162 25,333 27,447 987 61 — 2 1 (2,711)

Public sector 23,842 12,464 11,378 21,035 1,527 1,275 5 37 (3) (1,282)

Financial markets

infrastructure 14,341 109 14,232 14,323 18 — — — — (22)

Securities firms 1,472 613 859 605 816 51 — 4 — (5)

Other industries 6,591 2,803 3,788 4,151 1,890 489 61 — 5 (169)

Total $ 713,097 $ 284,527 $ 428,570 $ 584,790 $ 89,351 $ 36,563 $ 2,393 $ 1,895 $ 386 $ (39,269)

Non-investment grade Selected metrics

(1) Excludes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2021, respectively, primarily related to the delinquency-managed loans

and unearned income. Funded balances also excludes loans carried at fair value of $6.1 billion at December 31, 2021.

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

(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $39.3 billion of

purchased credit protection, $36.0 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.3

billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the

first loss on the referenced loan portfolios.

(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of

global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.9 billion ($6.5 billion in funded, with more than 99%

rated investment grade) at December 31, 2021.

(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and

industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2021, Citi’s total exposure to these energy-related entities was

approximately $5.1 billion, of which approximately $2.6 billion consisted of direct outstanding funded loans.

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, 2022, September 30, 2022 and

December 31, 2021, ICG had economic hedges on the

corporate credit portfolio of $39.8 billion, $36.5 billion and

$39.3 billion, respectively. Citi’s expected credit loss model

used in the calculation of its ACL does not include the

favorable impact of credit derivatives and other mitigants that

are marked-to-market. In addition, the reported amounts of

direct outstandings and unfunded lending commitments in the

tables above do not reflect the impact of these hedging

transactions. The credit protection was economically hedging

underlying ICG corporate credit portfolio exposures with the

following risk rating distribution:

Rating of Hedged Exposure

December 31,

2022

September 30,

2022

December 31,

2021

AAA/AA/A 39 % 38 % 35 %

BBB 45 45 49

BB/B 12 13 13

CCC or below 4 4 3

Total 100 % 100 % 100 %

Loan Maturities and Fixed/Variable Pricing of Corporate Loans

In millions of dollars at December 31, 2022

Due within

1 year

Over 1 year

but within

5 years

Over 5 years

but within

15 years

Over

15 years Total

Corporate loans

In North America offices

(1)

Commercial and industrial loans $ 23,636 $ 31,116 $ 1,328 $ 96 $ 56,176

Financial institutions 21,619 21,600 168 12 43,399

Mortgage and real estate

(2)

7,028 5,074 4,348 1,379 17,829

Installment and other 9,605 12,747 1,287 128 23,767

Lease financing 86 188 34 — 308

Total $ 61,974 $ 70,725 $ 7,165 $ 1,615 $ 141,479

In offices outside North America

(1)

Commercial and industrial loans $ 70,210 $ 19,376 $ 4,300 $ 81 $ 93,967

Financial institutions 15,888 5,201 607 235 21,931

Mortgage and real estate

(2)

1,946 1,592 566 75 4,179

Installment and other 12,386 7,109 1,256 2,596 23,347

Lease financing 6 40 — — 46

Governments and official institutions 2,535 428 798 444 4,205

Total $ 102,971 $ 33,746 $ 7,527 $ 3,431 $ 147,675

Corporate loans, net of unearned income

(3)

$ 164,945 $ 104,471 $ 14,692 $ 5,046 $ 289,154

Loans at fixed interest rates

(4)

Commercial and industrial loans $ 3,885 $ 1,045 $ 48

Financial institutions 3,924 61 12

Mortgage and real estate

(2)

1,238 3,643 977

Other

(5)

4,148 261 6

Lease financing 165 — —

Total $ 13,360 $ 5,010 $ 1,043

Loans at floating or adjustable interest

rates

(4)

Commercial and industrial loans $ 46,607 $ 4,583 $ 129

Financial institutions 22,877 714 235

Mortgage and real estate

(2)

5,428 1,271 477

Other

(5)

16,136 3,080 3,162

Lease financing 63 34 —

Total $ 91,111 $ 9,682 $ 4,003

Total fixed/variable pricing of corporate

loans with maturities due after one year, net

of unearned income

(3)

$ 104,471 $ 14,692 $ 5,046

(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 differences between the domicile of the booking unit and the domicile of the

managing unit are not material.

(2) Loans secured primarily by real estate.

(3) Corporate loans are net of unearned income of ($797) million. Unearned income on corporate loans primarily represents interest received in advance, but not yet

earned, on loans originated on a discounted basis.

(4) Based on contractual terms. Repricing characteristics may effectively be modified from time to time using derivative contracts. See Note 23.

(5) Other includes installment and other and loans to government and official institutions.

CONSUMER CREDIT

PBWM fulfills a broad spectrum of customer financial needs,

with U.S. Personal Banking providing retail banking, credit

card, personal loan, mortgage and small business banking, and

Global Wealth offering wealth management lending and other

products globally to affluent to ultra-high-net-worth customer

segments through the Private bank, Wealth at Work and

Citigold. PBWM’s retail banking products include a generally

prime portfolio built through well-defined lending parameters

within Citi’s risk appetite framework.

Legacy Franchises also provides such activities in its

remaining markets through Asia Consumer and Mexico

Consumer. The Legacy Franchises consumer credit

information discussed below reflects only those exit market

portfolios that remained held-for-investment (versus held-for-

sale) as of each period. The Philippines was reclassified to

held-for-sale as of 4Q21, followed by Malaysia, Thailand,

Indonesia, Vietnam, Taiwan, India and Bahrain in 1Q22. As a

result, China, Korea, Russia and Poland were the only

portfolios that remained held-for-investment and are reflected

in the discussion below as of 4Q22.

Consumer Credit Portfolio

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

(1)

In billions of dollars

4Q’21

(2)

1Q’22

(2)

2Q’22

(2)

3Q’22

(2)

4Q’22

(2)

Personal Banking and Wealth Management

U.S. Personal Banking

Cards

Branded cards $ 87.9 $ 85.9 $ 91.6 $ 93.7 $ 100.2

Retail services 46.0 44.1 45.8 46.7 50.5

Retail banking

Mortgages

(5)

30.2 30.5 32.3 32.3 33.4

Personal, small business and other 2.8 2.8 3.1 3.5 3.7

Global Wealth

(3)(4)

Cards 4.0 3.8 4.0 4.0 4.6

Mortgages

(5)

74.6 75.4 77.8 82.0 84.0

Personal, small business and other

(6)

72.7 71.0 67.0 65.1 60.6

Total $ 318.2 $ 313.5 $ 321.6 $ 327.3 $ 337.0

Legacy Franchises

Asia Consumer

(7)

$ 41.1 $ 19.5 $ 17.3 $ 13.4 $ 13.3

Mexico Consumer (excludes Mexico SBMM) 13.3 13.6 13.5 13.7 14.8

Legacy Holdings Assets

(8)

3.9 3.7 3.2 3.2 3.0

Total $ 58.3 $ 36.8 $ 34.0 $ 30.3 $ 31.1

Total consumer loans $ 376.5 $ 350.3 $ 355.6 $ 357.6 $ 368.1

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

(2) Legacy Franchises—4Q22 Asia Consumer loan balances exclude approximately $12 billion of loans ($9 billion of retail banking loans and $3 billion of credit

card loan balances) reclassified to held-for-sale (HFS) (in Other assets on the Consolidated Balance Sheet) as a result of Citi’s signed agreements to sell its

consumer banking businesses in four countries: Indonesia, Vietnam, Taiwan and India, which were reclassified to HFS starting 1Q22. (See Legacy Franchises

above and Note 2 for additional information.) The Malaysia, Thailand and Bahrain sales closed during the fourth quarter of 2022 and were also reclassified to HFS

starting 1Q22. The Philippines consumer banking business was reclassified to HFS from 4Q21 until the closing of its sale on August 1, 2022. Accordingly, loans

from these sold businesses are excluded from the Asia Consumer loan balances as of the end of such periods.

(3) Consists of $98.2 billion, $99.3 billion, $94.6 billion, $94.1 billion and $92.7 billion of loans in North America as of December 31, 2022, September 30, 2022,

June 30, 2022, March 31, 2022 and December 31, 2021, respectively. For additional information on the credit quality of the Global Wealth portfolio, see Note 14.

(4) Consists of $51.0 billion, $51.8 billion, $54.2 billion, $56.1 billion and $58.6 billion of loans outside North America as of December 31, 2022, September 30,

2022, June 30, 2022, March 31, 2022 and December 31, 2021, respectively.

(5) See Note 14 for details on loan-to-value ratios for the portfolios and FICO scores for the U.S. portfolio.

(6) At December 31, 2022, includes approximately $49 billion of classifiably managed loans. Over 90% of these loans are fully collateralized (consisting primarily of

marketable investment securities, commercial real estate and limited partner capital commitments in private equity) and have experienced very low historical

NCLs. As discussed below, approximately 95% of the classifiably managed portion of these loans are investment grade. See “Consumer Loan Delinquencies

Amounts and Ratios” below for details on the delinquency-managed portfolio.

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

(8) Primarily consists of certain North America consumer mortgages.

For information on changes to Citi’s consumer loans, see

“Liquidity Risk—Loans” below.

Consumer Credit Trends

Personal Banking and Wealth Management (PBWM)

Personal Banking and Wealth Management

As indicated above, PBWM consists of U.S. Personal Banking

and Global Wealth Management (Global Wealth). U.S.

Personal Banking provides card products through Branded

cards and Retail services, and also includes mortgages and

home equity, small business and personal consumer loans

through Citi’s Retail banking network. The Retail bank is

concentrated in six major U.S. metropolitan areas. Global

Wealth provides investment services, cards, mortgages and

personal, small business and other consumer loans through the

Private bank, Wealth at Work and Citigold.

As of December 31, 2022, approximately 45% of PBWM

consumer loans consisted of Branded cards and Retail services

card loans, which generally drives the overall credit

performance of PBWM, as U.S. Cards net credit losses

represent approximately 90% of total PBWM losses.

As shown in the chart above, the fourth quarter of 2022

net credit loss rate in PBWM increased quarter-over-quarter

and year-over-year, driven by an increase in net flow rates,

primarily reflecting ongoing normalization from historically

low levels in U.S. Cards.

PBWM’s 90+ days past due delinquency rate increased

quarter-over-quarter and year-over-year, also driven by an

increase in net flow rates, primarily reflecting the ongoing

normalization in U.S. Cards.

Branded Cards

U.S. Personal Banking’s Branded cards portfolio includes

proprietary and co-branded cards.

As shown in the chart above, the fourth quarter of 2022

net credit loss rate in Branded cards increased quarter-over-

quarter and year-over-year, driven by an increase in net flow

rates, primarily reflecting ongoing normalization from

historically low levels.

The 90+ days past due delinquency rate increased quarter-

over-quarter and year-over year, also driven by an increase in

net flow rates, primarily reflecting the ongoing normalization.

Retail Services

U.S. Personal Banking’s Retail services partners directly

with more than 20 retailers and dealers to offer private label

and co-branded cards. Retail services’ target market focuses

on select industry segments such as home improvement,

specialty retail, consumer electronics and fuel. Retail services

continually evaluates opportunities to add partners within

target industries that have strong loyalty, lending or payment

programs and growth potential.

As shown in the chart above, the fourth quarter of 2022

net credit loss rate in Retail services increased quarter-over-

quarter and year-over-year, driven by an increase in net flow

rates, primarily reflecting the ongoing normalization from

historically low levels.

The 90+ days past due delinquency rate increased quarter-

over-quarter and year-over-year, also driven by an increase in

net flow rates, primarily reflecting the ongoing normalization.

For additional information on cost of credit, loan

delinquency and other information for Citi’s cards portfolios,

see each respective business’s results of operations above and

Note 14.

Retail Banking

U.S. Personal Banking’s Retail banking portfolio consists

primarily of consumer mortgages (including home equity) and

unsecured lending products, such as small business loans and

personal loans. The portfolio is generally delinquency

managed, where Citi evaluates credit risk based on FICO

scores, delinquencies and the value of underlying collateral.

The consumer mortgages in this portfolio have historically

been extended to high credit quality customers, generally with

loan-to-value ratios that are less than or equal to 80% on first

and second mortgages. For additional information, see “Loan-

to-Value (LTV) Ratios” in Note 14.

As shown in the chart above, the net credit loss rate in

Retail banking for the fourth quarter of 2022 increased slightly

quarter-over-quarter and year-over-year, primarily driven by

the continued impact of industry-wide episodic overdraft

losses.

The 90+ days past due delinquency rate decreased

quarter-over-quarter and year-over-year, primarily driven by

U.S. mortgages, which reflected the lasting effects of

government stimulus, unemployment benefits and consumer

relief programs.

Global Wealth

As discussed above, the Global Wealth credit portfolio

primarily consists of consumer mortgages, cards and other

lending products extended to customer segments that range

from the affluent to ultra-high-net-worth through the Private

bank, Wealth at Work and Citigold. These customer segments

represent a target market that is characterized by historically

low default rates and delinquencies.

As of December 31, 2022, approximately $49 billion, or

33%, of the portfolio was classifiably managed and primarily

consisted of margin lending, commercial real estate,

subscription credit finance and other lending programs. These

classifiably managed loans are primarily evaluated for credit

risk based on their internal risk rating, of which 95% is rated

investment grade. While the delinquency rate in the chart

above is calculated only for the delinquency-managed

portfolio, the net credit loss rate is calculated using net credit

losses for both the delinquency and classifiably managed

portfolios.

As shown in the chart above, the net credit loss rate and

90+ days past due delinquency rate were broadly stable

quarter-over-quarter and year-over-year, reflecting the strong

credit profiles of the portfolios. The net credit loss rate

increased slightly quarter-over-quarter, due to a classifiably

managed loan charge-off. The low levels of net credit losses

and the 90+ days past due delinquency rate continued to

reflect the strong credit profiles of the portfolios.

Legacy Franchises

Legacy Franchises provides traditional retail banking and

branded card products to retail and small business customers

in Asia Consumer and Mexico Consumer.

Asia

(1)

Consumer

(1) Asia Consumer includes Legacy Franchises activities in certain EMEA

countries for all periods presented.

As shown in the chart above, the fourth quarter of 2022

net credit loss rate in Asia Consumer for the remaining

portfolios held-for-investment (China, Korea, Russia and

Poland) increased quarter-over-quarter, primarily driven by

lower average loans due to the ongoing wind-down of the

businesses, particularly in Korea (decline of $1.5 billion) and

the sale of the personal loan portfolio in Russia in the fourth

quarter of 2022. The net credit loss rate increased year-over-

year, primarily driven by lower average loans due to the

ongoing wind-down of the businesses, particularly in Korea

(decline of $7.8 billion) and the sale of the personal loan

portfolio in Russia, partially offset by the reclassification of

loans to held-for-sale during 2022.

The 90+ days past due delinquency rate was largely

unchanged quarter-over-quarter and decreased year-over-year,

mainly driven by the impact of the Asia Consumer held-for-

sale reclassifications, partially offset by the effect of declining

loans due to the ongoing wind-down of the businesses,

including the sale of the personal loan portfolio in Russia.

The performance of Asia Consumer’s portfolios continues

to reflect the strong credit profiles in the region’s target

customer segments.

Mexico Consumer

Mexico Consumer operates in Mexico through

Citibanamex and provides credit cards, consumer mortgages

and small business and personal loans. Mexico Consumer

serves a more mass-market segment in Mexico and focuses on

developing multiproduct relationships with customers.

As shown in the chart above, the fourth quarter of 2022

net credit loss rate in Mexico Consumer decreased quarter-

over-quarter and year-over-year, primarily driven by the

impact of the charge-off of peak delinquencies in early 2021,

which resulted in lower delinquencies, leading to lower net

credit losses in the current quarter.

The 90+ days past due delinquency rate was largely

unchanged quarter-over-quarter and decreased year-over-year,

primarily driven by the impact of the charge-off of peak

delinquencies and higher payment rates.

For additional information on cost of credit, loan

delinquency and other information for Citi’s consumer loan

portfolios, see each respective business’s results of operations

above and Note 14.

U.S. Cards FICO Distribution

The following tables show the current FICO score

distributions for Citi’s Branded cards and Retail services

portfolios based on end-of-period receivables. FICO scores are

updated monthly for substantially all of the portfolio and on a

quarterly basis for the remaining portfolio.

Branded Cards

FICO distribution

(1)

Dec. 31,

2022

Sept. 30,

2022

Dec. 31,

2021

> 760 48 % 48 % 49 %

680–760 38 38 38

< 680 14 14 13

Total 100 % 100 % 100 %

Retail Services

FICO distribution

(1)

Dec. 31,

2022

Sept. 30,

2022

Dec. 31,

2021

> 760 27 % 27 % 28 %

680–760 42 43 44

< 680 31 30 28

Total 100 % 100 % 100 %

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

presentations.

The FICO distribution of both cards portfolios shifted

slightly lower across the credit bands from the prior quarter

and the prior year consistent with the ongoing normalization in

net credit loss and delinquency rates in the portfolios. The

FICO distribution continues to reflect strong underlying credit

quality and a benefit from the continued impacts of

government stimulus, unemployment benefits and customer

relief programs. See Note 14 for additional information on

FICO scores.

Additional Consumer Credit Details

Consumer Loan Delinquencies Amounts and Ratios

EOP

loans

(1)

90+ days past due

(2)

30–89 days past due

(2)

December

31, December 31, December 31,

In millions of dollars,

except EOP loan amounts in billions

2022 2022 2021 2020 2022 2021 2020

Personal Banking and Wealth

Management

(3)(4)(5)

Total $ 337.0 $ 1,764 $ 1,350 $ 1,879 $ 2,037 $ 1,453 $ 1,794

Ratio 0.61 % 0.52 % 0.74 % 0.71 % 0.56 % 0.71 %

U.S. Personal Banking

Total $ 187.8 $ 1,578 $ 1,069 $ 1,588 $ 1,720 $ 1,130 $ 1,513

Ratio 0.84 % 0.64 % 0.95 % 0.92 % 0.68 % 0.90 %

Cards

(4)

Total $ 150.7 $ 1,415 $ 871 $ 1,330 $ 1,511 $ 947 $ 1,228

Ratio 0.94 % 0.65 % 1.02 % 1.00 % 0.71 % 0.94 %

Branded cards 100.2 629 389 686 693 408 589

Ratio 0.63 % 0.44 % 0.82 % 0.69 % 0.46 % 0.70 %

Retail services 50.5 786 482 644 818 539 639

Ratio 1.56 % 1.05 % 1.39 % 1.62 % 1.17 % 1.38 %

Retail banking

(3)

37.1 163 198 258 209 183 285

Ratio 0.45 % 0.62 % 0.70 % 0.57 % 0.57 % 0.77 %

Global Wealth

delinquency-managed loans

(5)

$ 100.0 $ 186 $ 281 $ 291 $ 317 $ 323 $ 281

Ratio 0.19 % 0.31 % 0.34 % 0.32 % 0.35 % 0.33 %

Global Wealth

classifiably managed loans

(6)

$ 49.2 N/A N/A N/A N/A N/A N/A

Legacy Franchises

Total $ 31.1 $ 389 $ 613 $ 1,131 $ 335 $ 546 $ 1,083

Ratio 1.26 % 1.06 % 1.47 % 1.09 % 0.94 % 1.41 %

Asia Consumer

(7)(8)

13.3 49 209 456 70 285 514

Ratio 0.37 % 0.51 % 0.81 % 0.53 % 0.69 % 0.92 %

Mexico Consumer 14.8 190 183 363 186 173 390

Ratio 1.28 % 1.38 % 2.49 % 1.26 % 1.30 % 2.67 %

Legacy Holdings Assets

(consumer)

(9)

3.0 150 221 312 79 88 179

Ratio 5.56 % 6.31 % 5.03 % 2.93 % 2.51 % 2.89 %

Total Citigroup consumer $ 368.1 $ 2,153 $ 1,963 $ 3,010 $ 2,372 $ 1,999 $ 2,877

Ratio 0.68 % 0.62 % 0.91 % 0.75 % 0.63 % 0.87 %

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

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

(3) The 90+ days past due and 30–89 days past due and related ratios for Retail banking exclude loans guaranteed by U.S. government-sponsored agencies since the

potential risk of loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans)

were $89 million ($0.6 billion), $185 million ($1.1 billion) and $171 million ($0.7 billion) at December 31, 2022, 2021 and 2020, 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 $70 million,

$74 million and $98 million at December 31, 2022, 2021 and 2020, respectively. The EOP loans in the table include the guaranteed loans.

(4) The 90+ days past due balances for Branded cards and Retail services are generally still accruing interest. Citi’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) Excludes EOP classifiably managed Private bank loans. These loans are not included in the delinquency numerator, denominator and ratios.

(6) These loans are evaluated for non-accrual status and write-off primarily based on their internal risk classification and not solely on their delinquency status, and

therefore delinquency metrics are excluded from this table. As of December 31, 2022, 2021 and 2020, 96%, 94% and 92% of Global Wealth classifiably managed

loans were rated investment grade. For additional information on the credit quality of the Global Wealth portfolio, including classifiably managed portfolios, see

“Consumer Credit Trends” above.

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

(8) Citi recently entered into agreements to sell certain Asia consumer banking businesses. Accordingly, the loans of these businesses have been reclassified as HFS

in Other assets on the Consolidated Balance Sheet, and hence the loans and related delinquencies and ratios are not included in this table. The reclassifications

commenced as follows: Australia (3Q21, and closed on June 1, 2022), the Philippines (4Q21, and closed on August 1, 2022) and Bahrain, India, Indonesia,

Malaysia, Taiwan, Thailand and Vietnam (1Q22) (Bahrain, Malaysia and Thailand closed in 4Q22). See Note 2 for additional information.

(9) The 90+ days past due and 30–89 days past due and related ratios exclude U.S. mortgage loans that are primarily related to U.S. mortgages guaranteed by U.S.

government-sponsored agencies since the potential risk of loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and

(EOP loans) were $90 million ($0.3 billion), $138 million ($0.4 billion) and $183 million ($0.5 billion) at December 31, 2022, 2021 and 2020, 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 $37

million, $35 million and $73 million at December 31, 2022, 2021 and 2020, respectively. The EOP loans in the table include the guaranteed loans.

N/A Not applicable

Consumer Loan Net Credit Losses and Ratios

Average

loans

(1)

Net credit losses

(2)

In millions of dollars, except average loan amounts in billions

2022 2022 2021 2020

Personal Banking and Wealth Management

(2)

Total $ 321.0 $ 3,021 $ 3,061 $ 5,229

Ratio 0.94 % 1.00 % 1.72 %

U.S. Personal Banking

Total $ 170.7 $ 2,918 $ 2,939 $ 4,990

Ratio 1.71 % 1.85 % 2.95 %

Cards

Total 135.6 2,640 2,828 4,858

Ratio 1.95 % 2.28 % 3.71 %

Branded cards 89.8 1,384 1,659 2,708

Ratio 1.54 % 2.05 % 3.20 %

Retail services 45.8 1,256 1,169 2,150

Ratio 2.74 % 2.71 % 4.62 %

Retail banking 35.1 278 111 132

Ratio 0.79 % 0.32 % 0.35 %

Global Wealth $ 150.3 $ 103 $ 122 $ 239

Ratio 0.07 % 0.08 % 0.18 %

Legacy Franchises

Total $ 34.4 $ 590 $ 1,448 $ 1,482

Ratio 1.72 % 2.12 % 1.96 %

Asia Consumer

(3)(4)

17.4 160 610 640

Ratio 0.92 % 1.23 % 1.22 %

Mexico Consumer 13.6 476 920 866

Ratio 3.50 % 6.87 % 5.97 %

Legacy Holdings Assets (consumer) 3.4 (46) (82) (24)

Ratio (1.35) % (1.53) % (0.27) %

Total Citigroup $ 355.4 $ 3,611 $ 4,509 $ 6,711

Ratio 1.02 % 1.20 % 1.77 %

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

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

(3) Asia Consumer includes NCLs and average loans in certain EMEA countries (Russia, Poland and Bahrain) for all periods presented.

(4) Citi recently entered into agreements to sell certain Asia consumer banking businesses, which have been reclassified as HFS in Other assets and Other liabilities

on the Consolidated Balance Sheet. As a result, approximately $155 million and $6 million in related net credit losses (NCLs) were recorded as a reduction in

revenue (Other revenue) in 2022 and 2021, respectively. Accordingly, these NCLs are not included in this table. The reclassifications commenced as follows:

Australia (3Q21, and closed on June 1, 2022), the Philippines (4Q21, and closed on August 1, 2022) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand

and Vietnam (1Q22) (Bahrain, Malaysia and Thailand closed in 4Q22). See Note 2 for additional information.

Loan Maturities and Fixed/Variable Pricing of Consumer Loans

Loan Maturities

In millions of dollars at December 31, 2022

Due within

1 year

Greater than

1 year

but within

5 years

Greater than

5 years

but within 15

years

Greater than

15 years Total

In North America offices

Residential first mortgages $ 4 $ 181 $ 3,513 $ 92,341 $ 96,039

Home equity loans 551 42 1,669 2,318 4,580

Credit cards

(1)

149,822 821 — — 150,643

Personal, small business and other 33,271 3,945 340 196 37,752

Total $ 183,648 $ 4,989 $ 5,522 $ 94,855 $ 289,014

In offices outside North America

Residential mortgages $ 2,994 $ 372 $ 4,374 $ 20,374 $ 28,114

Credit cards

(1)

12,885 70 — — 12,955

Personal, small business and other 29,637 7,179 588 580 37,984

Total $ 45,516 $ 7,621 $ 4,962 $ 20,954 $ 79,053

(1) Credit card loans with maturities greater than one year represent TDRs and are at fixed interest rates.

Fixed/Variable Pricing

In millions of dollars at December 31, 2022

Due within

1 year

Greater than

1 year

but within

5 years

Greater than

5 years

but within 15

years

Greater than

15 years Total

Loans at fixed interest rates

Residential first mortgages $ 2,050 $ 263 $ 2,691 $ 59,918 $ 64,922

Home equity loans 5 39 298 147 489

Credit cards

(1)

41,913 891 — — 42,804

Personal, small business and other 9,748 5,380 343 192 15,663

Total $ 53,716 $ 6,573 $ 3,332 $ 60,257 $ 123,878

Loans at floating or adjustable interest rates

Residential first mortgages $ 948 $ 290 $ 5,196 $ 52,797 $ 59,231

Home equity loans 546 3 1,371 2,171 4,091

Credit cards

(1)

120,794 — — — 120,794

Personal, small business and other 53,160 5,744 585 584 60,073

Total $ 175,448 $ 6,037 $ 7,152 $ 55,552 $ 244,189

(1) Credit card loans with maturities greater than one year represent TDRs and are at fixed interest rates.

ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding

December 31,

In millions of dollars

2022 2021 2020 2019 2018

Consumer loans

In North America offices

(1)

Residential first mortgages

(2)

$ 96,039 $ 83,361 $ 83,956 $ 78,664 $ 75,074

Home equity loans

(2)

4,580 5,745 7,890 10,174 12,675

Credit cards 150,643 133,868 130,385 149,163 144,542

Personal, small business and other 37,752 40,713 39,259 36,548 35,733

Total $ 289,014 $ 263,687 $ 261,490 $ 274,549 $ 268,024

In offices outside North America

(1)

Residential mortgages

(2)

$ 28,114 $ 37,889 $ 42,817 $ 40,467 $ 39,314

Credit cards 12,955 17,808 22,692 25,909 24,951

Personal, small business and other 37,984 57,150 59,475 60,013 52,052

Total $ 79,053 $ 112,847 $ 124,984 $ 126,389 $ 116,317

Consumer loans, net of unearned income

(3)

$ 368,067 $ 376,534 $ 386,474 $ 400,938 $ 384,341

Corporate loans

In North America offices

(1)

Commercial and industrial $ 56,176 $ 48,364 $ 53,930 $ 52,229 $ 56,957

Financial institutions 43,399 49,804 39,390 38,782 34,906

Mortgage and real estate

(2)

17,829 15,965 16,522 13,696 14,490

Installment and other 23,767 20,143 17,362 22,219 23,759

Lease financing 308 415 673 1,290 1,429

Total $ 141,479 $ 134,691 $ 127,877 $ 128,216 $ 131,541

In offices outside North America

(1)

Commercial and industrial $ 93,967 $ 102,735 $ 103,234 $ 112,332 $ 113,662

Financial institutions 21,931 22,158 25,111 28,176 26,602

Mortgage and real estate

(2)

4,179 4,374 5,277 4,325 2,920

Installment and other 23,347 22,812 24,034 21,273 20,458

Lease financing 46 40 65 95 152

Governments and official institutions 4,205 4,423 3,811 4,128 4,520

Total $ 147,675 $ 156,542 $ 161,532 $ 170,329 $ 168,314

Corporate loans, net of unearned income

(4)

$ 289,154 $ 291,233 $ 289,409 $ 298,545 $ 299,855

Total loans—net of unearned income $ 657,221 $ 667,767 $ 675,883 $ 699,483 $ 684,196

Allowance for credit losses on loans (ACLL) (16,974) (16,455) (24,956) (12,783) (12,315)

Total loans—net of unearned income and ACLL $ 640,247 $ 651,312 $ 650,927 $ 686,700 $ 671,881

ACLL as a percentage of total loans—

net of unearned income

(5)

2.60 % 2.49 % 3.73 % 1.84 % 1.81 %

ACLL for consumer loan losses as a percentage of

total consumer loans—net of unearned income

(5)

3.84 % 3.73 % 5.22 % 2.51 % 2.52 %

ACLL for corporate loan losses as a percentage of

total corporate loans—net of unearned income

(5)

1.01 % 0.85 % 1.69 % 0.93 % 0.89 %

(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 $712 million, $629 million, $692 million, $732 million and $703 million at December 31, 2022, 2021, 2020, 2019

and 2018, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.

(4) Corporate loans include Mexico SBMM loans and are net of unearned income of $(797) million, $(770) million, $(787) million, $(763) million and $(817) million

at December 31, 2022, 2021, 2020, 2019 and 2018, 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

2022 2021 2020 2019 2018

Allowance for credit losses on loans (ACLL) at beginning of year $ 16,455 $ 24,956 $ 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

(2)

— — (443) — —

Adjusted ACLL at beginning of year $ 16,455 $ 24,956 $ 16,541 $ 12,315 $ 12,355

Provision for credit losses on loans (PCLL)

Consumer

(2)

4,128 (1,159) 12,222 7,788 7,261

Corporate 617 (1,944) 3,700 430 93

Total $ 4,745 $ (3,103) $ 15,922 $ 8,218 $ 7,354

Gross credit losses on loans

Consumer

In U.S. offices $ 3,944 $ 4,076 $ 6,141 $ 6,590 $ 5,974

In offices outside the U.S. 934 2,144 2,146 2,316 2,352

Corporate

Commercial and industrial, and other

In U.S. offices 110 228 466 213 119

In offices outside the U.S. 81 259 409 196 206

Loans to financial institutions

In U.S. offices — 1 14 — 3

In offices outside the U.S. 80 1 12 3 7

Mortgage and real estate

In U.S. offices — 10 71 23 2

In offices outside the U.S. 7 1 4 — 2

Total $ 5,156 $ 6,720 $ 9,263 $ 9,341 $ 8,665

Gross recoveries on loans

(2)

Consumer

In U.S. offices $ 1,045 $ 1,215 $ 1,094 $ 988 $ 918

In offices outside the U.S. 222 496 482 504 502

Corporate

Commercial and industrial, and other

In U.S. offices 44 57 34 15 39

In offices outside the U.S. 46 54 27 58 79

Loans to financial institutions

In U.S. offices 6 2 — — —

In offices outside the U.S. 3 1 14 — 6

Mortgage and real estate

In U.S. offices — — — 8 7

In offices outside the U.S. 1 — 1 — 1

Total $ 1,367 $ 1,825 $ 1,652 $ 1,573 $ 1,552

Net credit losses on loans (NCLs)

In U.S. offices $ 2,959 $ 3,041 $ 5,564 $ 5,815 $ 5,134

In offices outside the U.S. 830 1,854 2,047 1,953 1,979

Total $ 3,789 $ 4,895 $ 7,611 $ 7,768 $ 7,113

Other—net

(3)(4)(5)(6)(7)(8)

$ (437) $ (503) $ 104 $ 18 $ (281)

Allowance for credit losses on loans (ACLL) at end of year $ 16,974 $ 16,455 $ 24,956 $ 12,783 $ 12,315

ACLL as a percentage of EOP loans

(9)

2.60 % 2.49 % 3.73 % 1.84 % 1.81 %

Allowance for credit losses on unfunded lending commitments

(ACLUC)

(10)(11)

$ 2,151 $ 1,871 $ 2,655 $ 1,456 $ 1,367

Total ACLL and ACLUC $ 19,125 $ 18,326 $ 27,611 $ 14,239 $ 13,682

Net consumer credit losses on loans $ 3,611 $ 4,509 $ 6,711 $ 7,414 $ 6,906

As a percentage of average consumer loans 1.02 % 1.20 % 1.77 % 1.94 % 1.84 %

Net corporate credit losses on loans $ 178 $ 386 $ 900 $ 354 $ 207

As a percentage of average corporate loans 0.06 % 0.13 % 0.29 % 0.12 % 0.07 %

ACLL by type at end of year

(12)

Consumer $ 14,119 $ 14,040 $ 20,180 $ 10,056 $ 9,670

Corporate 2,855 2,415 4,776 2,727 2,645

Total $ 16,974 $ 16,455 $ 24,956 $ 12,783 $ 12,315

(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 for further discussion on the impact of Citi’s adoption of CECL.

(2) Citi had a change in accounting related to its variable post-charge-off third-party collection costs that was recorded as an adjustment to its January 1, 2020 opening

allowance for credit losses on loans of $443 million. See Note 1.

(3) Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation,

purchase accounting adjustments, etc.

(4) 2022 includes an approximate $350 million reclass related to the announced sales of Citi’s consumer banking businesses in Thailand, India, Malaysia, Taiwan,

Indonesia, Bahrain and Vietnam. Also includes a decrease of approximately $100 million related to FX translation.

(5) 2021 includes an approximate $280 million reclass related to Citi’s agreement to sell its Australia consumer banking business and an approximate $90 million

reclass related to Citi’s agreement to sell its Philippines consumer banking business. Those ACLL were reclassified to Other assets during 2021. 2021 also

includes a decrease of approximately $134 million related to FX translation.

(6) 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.

(7) 2019 includes reductions of approximately $42 million related to the sale or transfer to HFS of various loan portfolios. In addition, 2019 includes a reduction of

approximately $60 million related to FX translation.

(8) 2018 includes reductions of approximately $201 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.

(9) December 31, 2022, 2021, 2020, 2019 and 2018 exclude $5.4 billion, $6.1 billion, $6.9 billion, $4.1 billion and $3.2 billion, respectively, of loans that 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 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.

Allowance for Credit Losses on Loans (ACLL)

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

December 31, 2022

In billions of dollars

ACLL

EOP loans, net of

unearned income

ACLL as a

percentage of EOP loans

(1)

Consumer

North America cards

(2)

$ 11.4 $ 150.6 7.6 %

North America mortgages

(3)

0.5 100.4 0.5

North America other

(3)

0.6 37.8 1.6

International cards 0.8 13.0 6.2

International other

(3)

0.8 66.0 1.2

Total

(1)

$ 14.1 $ 367.8 3.8 %

Corporate

Commercial and industrial $ 1.9 $ 147.8 1.3 %

Financial institutions 0.4 64.9 0.6

Mortgage and real estate 0.4 21.9 1.8

Installment and other 0.2 49.4 0.4

Total

(1)

$ 2.9 $ 284.0 1.0 %

Loans at fair value

(1)

N/A $ 5.4 N/A

Total Citigroup $ 17.0 $ 657.2 2.6 %

December 31, 2021

In billions of dollars

ACLL

EOP loans, net of

unearned income

ACLL as a

percentage of EOP loans

(1)

Consumer

North America cards

(2)

$ 10.8 $ 133.9 8.1 %

North America mortgages

(3)

0.5 89.1 0.6

North America other

(3)

0.4 40.7 1.0

International cards 1.2 17.8 6.7

International other

(3)

1.2 95.0 1.3

Total

(1)

$ 14.1 $ 376.5 3.7 %

Corporate

Commercial and industrial $ 1.6 $ 147.0 1.1 %

Financial institutions 0.3 71.8 0.4

Mortgage and real estate 0.3 20.3 1.5

Installment and other 0.2 46.1 0.4

Total

(1)

$ 2.4 $ 285.2 0.8 %

Loans at fair value

(1)

N/A $ 6.1 N/A

Total Citigroup $ 16.5 $ 667.8 2.5 %

(1) Excludes loans carried at fair value, since they do not have an ACLL and are excluded from the ACLL ratio calculation.

(2) Includes both Branded cards and Retail services. As of December 31, 2022, the $11.4 billion of ACLL represented approximately 43 months of coincident net

credit loss coverage (based on 4Q22 NCLs). As of December 31, 2022, Branded cards ACLL as a percentage of EOP loans was 6.2% and Retail services ACLL as

a percentage of EOP loans was 10.3%. As of December 31, 2021, the $10.8 billion of ACLL represented approximately 63 months of coincident net credit loss

coverage (based on 4Q21 NCLs). The decrease in the coincident coverage ratio at December 31, 2022 was primarily due to the relatively higher levels of NCLs in

4Q22 versus 4Q21. As of December 31, 2021, Branded cards ACLL as a percentage of EOP loans was 7.1% and Retail services ACLL as a percentage of EOP

loans was 10.0%.

(3) Includes residential mortgages, retail loans and personal, small business and other loans, including those extended through the Private bank network.

N/A Not applicable

The following table details Citi’s corporate credit ACLL by industry exposure:

December 31, 2022

In millions of dollars, except percentages

Funded

exposure

(1)

ACLL

ACLL as a % of

funded exposure

Transportation and industrials $ 57,271 $ 699 1.2 %

Technology, media and telecom 28,931 330 1.1

Consumer retail 32,687 358 1.1

Real estate 48,539 500 1.0

Power, chemicals, metals and mining 18,326 288 1.6

Banks and finance companies 42,276 225 0.5

Energy and commodities 13,069 188 1.4

Asset managers and funds 13,162 38 0.3

Health 8,771 81 0.9

Insurance 4,417 11 0.2

Public sector 11,736 58 0.5

Financial markets infrastructure 60 — —

Securities firms 569 11 1.9

Other industries 3,651 59 1.6

Total classifiably managed loans

(2)

$ 283,465 $ 2,846 1.0 %

Loans managed on a delinquency basis

(3)

$ 566 $ 9 1.6 %

Total $ 284,031 $ 2,855 1.0 %

(1) Funded exposure excludes loans carried at fair value of $5.1 billion that are not subject to ACLL under the CECL standard.

(2) As of December 31, 2022, the ACLL shown above reflects coverage of 0.4% of funded investment-grade exposure and 3.0% of funded non-investment-grade

exposure.

(3) Primarily associated with delinquency-managed loans including commercial credit cards and other loans, and unearned income at December 31, 2022.

The following table details Citi’s corporate credit ACLL by industry exposure:

December 31, 2021

In millions of dollars, except percentages

Funded

exposure

(1)

ACLL

ACLL as a % of

funded exposure

Transportation and industrials $ 51,502 $ 597 1.2 %

Technology, media and telecom 28,542 170 0.6

Consumer retail 32,894 288 0.9

Real estate 46,220 509 1.1

Power, chemicals, metals and mining 20,224 151 0.7

Banks and finance companies 36,804 197 0.5

Energy and commodities 13,485 268 2.0

Asset managers and funds 26,879 34 0.5

Health 8,826 73 0.8

Insurance 3,162 8 0.3

Public sector 12,464 74 0.6

Financial markets infrastructure 109 — —

Securities firms 613 10 1.6

Other industries 2,803 28 1.0

Total classifiably managed loans

(2)

$ 284,527 $ 2,407 0.8 %

Loans managed on a delinquency basis

(3)

$ 636 $ 8 1.3 %

Total $ 285,163 $ 2,415 0.8 %

(1) Funded exposure excludes loans carried at fair value of $6.1 billion that are not subject to ACLL under the CECL standard.

(2) As of December 31, 2021, the ACLL shown above reflects coverage of 0.7% of funded investment-grade exposure and 2.3% of funded non-investment-grade

exposure.

(3) Primarily associated with delinquency-managed loans including commercial credit cards and other loans, and unearned income at December 31, 2021.

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.

Citi’s corporate non-accrual loans were $1.1 billion, $1.5

billion and $1.6 billion as of December 31, 2022,

September 30, 2022 and December 31, 2021, respectively.

Of these, approximately 50%, 68% and 56% were

performing at December 31, 2022, September 30, 2022

and December 31, 2021, 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 Branded cards and 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

2022 2021 2020 2019 2018

Corporate non-accrual loans by region

(1)(2)

North America $ 138 $ 510 $ 1,486 $ 1,082 $ 416

EMEA 502 367 629 398 344

Latin America 429 568 719 473 307

Asia 53 108 212 71 243

Total $ 1,122 $ 1,553 $ 3,046 $ 2,024 $ 1,310

Corporate non-accrual loans

(1)(2)

Banking $ 767 $ 1,239 $ 2,767 $ 1,742 $ 1,097

Services 153 70 79 113 137

Markets 3 12 21 2 1

Mexico SBMM 199 232 179 167 75

Total $ 1,122 $ 1,553 $ 3,046 $ 2,024 $ 1,310

Consumer non-accrual loans

(1)

U.S. Personal Banking and Global Wealth $ 541 $ 680 $ 950 $ 443 $ 455

Asia Consumer

(3)

30 209 296 267 242

Mexico Consumer 457 524 774 632 638

Legacy Holdings Assets—Consumer 289 413 602 638 892

Total $ 1,317 $ 1,826 $ 2,622 $ 1,980 $ 2,227

Total non-accrual loans $ 2,439 $ 3,379 $ 5,668 $ 4,004 $ 3,537

(1) Corporate loans are placed on non-accrual status based upon a review by Citigroup’s risk officers. Corporate non-accrual loans may still be current on interest

payments. With limited exceptions, the following practices are applied for consumer loans: consumer loans, excluding credit cards and mortgages, are placed on

non-accrual status at 90 days past due and are charged off at 120 days past due; residential mortgage loans are placed on non-accrual status at 90 days past due and

written down to net realizable value at 180 days past due. Consistent with industry conventions, Citigroup generally accrues interest on credit card loans until such

loans are charged off, which typically occurs at 180 days contractual delinquency. As such, the non-accrual loan disclosures do not include credit card loans. The

balances above represent non-accrual loans within Corporate loans and Consumer loans on the Consolidated Balance Sheet.

(2) The December 31, 2022 total corporate non-accrual loans represented 0.39% of total corporate loans.

(3) Asia Consumer 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, 2022 December 31, 2021

In millions of dollars

Corporate Consumer Total Corporate Consumer Total

Non-accrual loans at beginning of year $ 1,553 $ 1,826 $ 3,379 $ 3,046 $ 2,622 $ 5,668

Additions 2,123 1,374 3,497 1,466 2,260 3,726

Sales and transfers to HFS (21) (240) (261) (524) (310) (834)

Returned to performing (378) (408) (786) (219) (723) (942)

Paydowns/settlements (1,814) (585) (2,399) (1,721) (780) (2,501)

Charge-offs (260) (598) (858) (472) (1,202) (1,674)

Other (81) (52) (133) (23) (41) (64)

Ending balance $ 1,122 $ 1,317 $ 2,439 $ 1,553 $ 1,826 $ 3,379

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

2022 2021 2020 2019 2018

OREO

North America $ 10 $ 15 $ 19 $ 39 $ 64

EMEA — — — 1 1

Latin America 4 8 7 14 12

Asia 1 4 17 7 22

Total OREO $ 15 $ 27 $ 43 $ 61 $ 99

Non-accrual assets

Corporate non-accrual loans $ 1,122 $ 1,553 $ 3,046 $ 2,024 $ 1,310

Consumer non-accrual loans 1,317 1,826 2,622 1,980 2,227

Non-accrual loans (NAL) $ 2,439 $ 3,379 $ 5,668 $ 4,004 $ 3,537

OREO $ 15 $ 27 $ 43 $ 61 $ 99

Non-accrual assets (NAA) $ 2,454 $ 3,406 $ 5,711 $ 4,065 $ 3,636

NAL as a percentage of total loans 0.37 % 0.51 % 0.84 % 0.57 % 0.52 %

NAA as a percentage of total assets 0.10 0.15 0.25 0.21 0.19

ACLL as a percentage of NAL

(1)

696 487 440 319 348

(1) The ACLL includes the allowance for Citi’s credit card portfolios and purchased credit-deteriorated loans, while the non-accrual loans exclude credit card

balances (with the exception of certain international portfolios) 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,

2022

Dec. 31,

2021

Corporate renegotiated loans

(1)

In U.S. offices

Commercial and industrial

(2)

$ 35 $ 103

Mortgage and real estate 2 2

Financial institutions — —

Other 11 20

Total $ 48 $ 125

In offices outside the U.S.

Commercial and industrial

(2)

$ 50 $ 133

Mortgage and real estate 11 18

Financial institutions — —

Other 1 8

Total $ 62 $ 159

Total corporate renegotiated loans $ 110 $ 284

Consumer renegotiated loans

(3)

In U.S. offices

Mortgage and real estate $ 1,407 $ 1,485

Cards 1,180 1,269

Personal, small business and other 19 26

Total $ 2,606 $ 2,780

In offices outside the U.S.

Mortgage and real estate $ 152 $ 227

Cards 75 313

Personal, small business and other 88 428

Total $ 315 $ 968

Total consumer renegotiated loans $ 2,921 $ 3,748

(1) Includes $108 million and $284 million of non-accrual loans included in

the non-accrual loans table above at December 31, 2022 and 2021,

respectively. The remaining loans were accruing interest.

(2) In addition to modifications reflected as TDRs at December 31, 2022

and 2021, Citi may have modifications that were not considered TDRs

because the modifications did not involve a concession or because they

qualified for exemptions from TDR accounting provided by the CARES

Act or the interagency guidance.

(3) Includes $566 million and $664 million of non-accrual loans included in

the non-accrual loans table above at December 31, 2022 and 2021,

respectively. The remaining loans were accruing interest.

Forgone Interest Revenue on Loans

(1)

In millions of dollars

In U.S.

offices

In non-

U.S.

offices

2022

total

Interest revenue that

would have been accrued

at original contractual

rates

(2)

$ 331 $ 189 $ 520

Amount recognized as

interest revenue

(2)

158 121 279

Forgone interest

revenue $ 173 $ 68 $ 241

(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, but not limited to, 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 Limited 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 funding sources include (i) corporate and

consumer deposits via Citi’s bank subsidiaries, including

Citibank, N.A. (Citibank), (ii) long-term debt (primarily senior

and subordinated debt) mainly issued by Citigroup Inc., as the

parent, and Citibank, and (iii) stockholders’ equity. These

sources may be supplemented by short-term borrowings,

primarily in the form of secured funding transactions.

Citi’s funding and liquidity framework, working in

concert with overall asset/liability management, ensures that

there is sufficient liquidity and tenor in the overall liability

structure (including funding products) of the Company relative

to the liquidity requirements of Citi’s assets. This reduces the

risk that liabilities will become due before assets mature or are

monetized. The Company holds excess liquidity, primarily in

the form of high-quality liquid assets (HQLA), as presented in

the table below.

Citi’s liquidity is managed centrally by Corporate

Treasury, in conjunction with regional and in-country

treasurers with oversight provided by Independent Risk

Management and various Asset & Liability Committees

(ALCOs) at the individual entity, region, country and business

levels. Pursuant to this approach, Citi’s HQLA are managed

with emphasis on asset/liability management and entity-level

liquidity adequacy throughout Citi.

Citi’s CRO and CFO co-chair Citigroup’s ALCO, which

includes Citi’s Treasurer and other senior executives. The

ALCO sets the strategy of the liquidity portfolio and monitors

portfolio performance (for additional information about the

ALCO, see “Risk Governance—Board and Executive

Management Committees” above). Significant changes to

portfolio asset allocations are approved by the ALCO. Citi

also has other ALCOs, which are established at various

organizational levels to ensure appropriate oversight for

individual entities, countries, franchise businesses and regions,

serving as the primary governance committees for managing

Citi’s balance sheet and liquidity.

As a supplement to ALCO, Citi’s Funding and Liquidity

Risk Committee (FLRC) is focused on funding and liquidity

risk matters. The FLRC reviews and discusses the funding and

liquidity risk profile of, as well as risk management practices

for, Citigroup and Citibank and reports its findings and

recommendations to each relevant ALCO as appropriate.

Liquidity Monitoring and Measurement

Stress Testing

Liquidity stress testing is performed for each of Citi’s major

entities, operating subsidiaries and 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, in order to have sufficient liquidity on hand

to manage through such an event. 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 on a daily basis.

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,

2022

Sept. 30,

2022

Dec. 31,

2021

Dec. 31,

2022

Sept. 30,

2022

Dec. 31,

2021

Dec. 31,

2022

Sept. 30,

2022

Dec. 31,

2021

Available cash $ 241.2 $ 202.2 $ 253.6 $ 4.3 $ 2.1 $ 2.6 $ 245.5 $ 204.3 $ 256.2

U.S. sovereign 130.0 144.6 119.6 68.7 69.4 63.1 198.7 214.0 182.7

U.S. agency/agency MBS 46.3 52.5 45.0 4.0 4.7 5.7 50.3 57.2 50.7

Foreign government debt

(1)

59.1 63.3 48.9 19.4 15.7 13.6 78.5 79.0 62.5

Other investment grade 1.7 2.0 1.6 0.5 0.6 0.8 2.2 2.6 2.4

Total HQLA (AVG) $ 478.3 $ 464.6 $ 468.7 $ 96.9 $ 92.5 $ 85.8 $ 575.2 $ 557.1 $ 554.5

Note: The amounts shown in the table above are presented on an average basis. For securities, the amounts represent the liquidity value that potentially could be

realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts applicable under the U.S. LCR rule. The table above incorporates

various restrictions that could limit the transferability of liquidity between legal entities, including Section 23A of the Federal Reserve Act.

(1) Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt

securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Japan, Korea, Mexico,

Singapore 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 as well as any amounts in excess of these

minimums that are available to be transferred to other entities

within Citigroup. Citigroup’s average HQLA increased

quarter-over-quarter as of the fourth quarter of 2022, primarily

driven by wholesale unsecured debt issuances.

As of December 31, 2022, Citigroup had approximately

$1,045 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; available assets not already accounted for

within Citi’s HQLA to support the Federal Home Loan Bank

(FHLB); and Federal Reserve Bank discount window

borrowing capacity.

Short-Term Liquidity Measurement: Liquidity Coverage

Ratio (LCR)

In addition to internal 30-day liquidity stress testing performed

for Citi’s major entities, operating subsidiaries and countries,

Citi also monitors its liquidity by reference to the LCR.

The LCR is calculated by dividing HQLA by estimated

net outflows assuming a stressed 30-day period, with the net

outflows determined by standardized stress outflow and inflow

rates prescribed in the LCR rule. The outflows are partially

offset by contractual inflows from assets maturing within 30

days. Similar to outflows, the inflows are calculated based on

prescribed factors to various asset categories, such as retail

loans as well as unsecured and secured wholesale lending. 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,

2022

Sept. 30,

2022

Dec. 31,

2021

HQLA $ 575.2 $ 557.1 $ 554.5

Net outflows 489.0 477.0 482.9

LCR 118 % 117 % 115 %

HQLA in excess of net outflows

$ 86.2 $ 80.1 $ 71.6

Note: The amounts are presented on an average basis.

As of December 31, 2022, Citigroup’s average LCR

increased, primarily driven by wholesale unsecured debt

issuances.

Long-Term Liquidity Measurement: Net Stable Funding

Ratio (NSFR)

As previously disclosed, the U.S. banking agencies adopted a

rule to assess the availability of a bank’s stable funding against

a required level.

In general, a bank’s available stable funding includes

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 are required to be applied to the

various asset and liability classes. The ratio of available stable

funding to required stable funding is required to be greater

than 100%.

The rule became effective beginning July 1, 2021, while

public disclosure requirements to report the ratio will occur on

a semiannual basis beginning June 30, 2023. Citi was in

compliance with the rule as of December 31, 2022.

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 PBWM 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 Citigroup end-of-period loans for each

of the periods indicated:

In billions of dollars

4Q22 3Q22 4Q21

Personal Banking and Wealth

Management

U.S. Retail banking $ 37 $ 36 $ 34

U.S. Cards 143 138 128

Global Wealth 150 151 150

Total $ 330 $ 325 $ 312

Institutional Clients Group

Services $ 79 $ 82 $ 77

Banking 194 197 195

Markets 12 12 17

Total $ 285 $ 291 $ 289

Total Legacy Franchises

(1)

$ 38 $ 39 $ 66

Total Citigroup loans (AVG) $ 653 $ 655 $ 667

Total Citigroup loans (EOP) $ 657 $ 646 $ 668

(1) See footnote 2 to the table in “Credit Risk—Consumer Credit—

Consumer Credit Portfolio” above.

End-of-period loans decreased 2% year-over-year, largely

driven by lower balances in Legacy Franchises and the impact

of foreign exchange translation. End-of-period loans increased

2% sequentially.

On an average basis, loans declined 2% year-over-year

and were largely unchanged sequentially. The year-over-year

decline was primarily due to the impact of foreign exchange

translation and lower balances in Legacy Franchises, which

more than offset growth in PBWM. The decline in Legacy

Franchises primarily reflected the reclassification of loans to

Other assets to reflect held-for-sale accounting as a result of

the signing of sale agreements for consumer franchises, as

well as the impact of the ongoing Korea and Russia wind-

downs.

Average PBWM loans as of the fourth quarter of 2022

increased 6% year-over-year, primarily driven by Branded

cards and Retail services.

Average ICG loans as of the fourth quarter of 2022

decreased 1% year-over-year, primarily driven by RWA

optimization efforts within Banking, which more than offset

growth in Services from trade finance in TTS.

Deposits

The table below details the average deposits, by business and/

or segment, and the total Citigroup end-of-period deposits for

each of the periods indicated:

In billions of dollars

4Q22 3Q22 4Q21

Personal Banking and Wealth

Management

U.S. Personal Banking $ 111 $ 115 $ 114

Global Wealth 320 313 323

Total $ 431 $ 428 $ 437

Institutional Clients Group

TTS $ 694 $ 664 $ 689

Securities services 129 131 140

Markets and Banking 25 22 23

Total $ 848 $ 817 $ 852

Legacy Franchises

(1)

$ 50 $ 50 $ 74

Corporate/Other $ 32 $ 21 $ 7

Total Citigroup deposits (AVG) $ 1,361 $ 1,316 $ 1,370

Total Citigroup deposits (EOP) $ 1,366 $ 1,306 $ 1,317

(1) See footnote 2 to the table in “Credit Risk—Consumer Credit—

Consumer Credit Portfolio” above.

End-of-period deposits increased 4% year-over-year,

largely driven by Treasury and trade solutions in ICG,

partially offset by the impact of foreign exchange translation.

End-of-period deposits increased 5% sequentially.

On an average basis, deposits declined 1% year-over-year

and increased 3% sequentially. The year-over-year decline

primarily reflected the impact of foreign exchange translation

and a decline in Legacy Franchises, partially offset by growth

in Corporate/Other. The decline in Legacy Franchises was

due to the impact of held-for-sale accounting as a result of the

signing of sale agreements for consumer franchises, as well as

the ongoing Korea and Russia wind-downs. ICG average

deposits were largely unchanged year-over-year. PBWM

average deposits decreased 1% year-over-year, driven by

modest decreases in both U.S. Personal Banking and Global

Wealth. Corporate/Other average deposits increased $25

billion year-over-year, due to the issuance of institutional

certificates of deposit as Citi continues to diversify its funding

profile.

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 7.6

years as of December 31, 2022, compared to 8.6 years as of

the prior year and 7.8 years as of the prior quarter. The

weighted-average maturity is calculated based on the

contractual maturity of each security. For securities that are

redeemable prior to maturity at the option of the holder, the

weighted-average maturity is calculated based on the earliest

date an option becomes exercisable.

Citi’s long-term debt outstanding at the Citigroup parent

company includes benchmark senior and subordinated debt

and what Citi refers to as customer-related debt, consisting of

structured notes, such as equity- and credit-linked notes, as

well as non-structured notes. Citi’s issuance of customer-

related debt is generally driven by customer demand and

complements benchmark debt issuance as a source of funding

for Citi’s non-bank entities. Citi’s long-term debt at the bank

includes bank notes, FHLB advances and securitizations.

Long-Term Debt Outstanding

The following table presents Citi’s end-of-period total long-

term debt outstanding for each of the dates indicated:

In billions of dollars

Dec. 31,

2022

Sept. 30,

2022

Dec. 31,

2021

Non-bank

(1)

Benchmark debt:

Senior debt $ 117.5 $ 112.7 $ 117.8

Subordinated debt 22.5 22.4 25.7

Trust preferred 1.6 1.6 1.7

Customer-related debt 101.1 86.9 78.3

Local country and other

(2)

7.8 7.0 7.3

Total non-bank $ 250.5 $ 230.6 $ 230.8

Bank

FHLB borrowings $ 7.3 $ 7.3 $ 5.3

Securitizations

(3)

7.6 8.4 9.6

Citibank benchmark senior debt 2.6 2.5 3.6

Local country and other

(2)

3.6 4.3 5.1

Total bank $ 21.1 $ 22.5 $ 23.6

Total long-term debt $ 271.6 $ 253.1 $ 254.4

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, 2022, non-bank included $84.2 billion of long-term debt

issued by Citi’s broker-dealer and other subsidiaries that are

consolidated into Citigroup. Certain Citigroup consolidated hedging

activities are also included in this line.

(2) Local country and other includes debt issued by Citi’s affiliates in

support of their local operations. Within non-bank, certain secured

financing is also included.

(3) Predominantly credit card securitizations, primarily backed by Branded

cards receivables.

Citi’s total long-term debt outstanding increased 7% year-

over-year, primarily driven by an increase in customer-related

debt at the non-bank entities. Sequentially, long-term debt

outstanding also increased 7%, largely driven by an increase in

customer-related debt and benchmark senior debt at the non-

bank entities.

As part of its liability management, Citi has considered,

and may continue to consider, opportunities to redeem or

repurchase its long-term debt pursuant to open market

purchases, tender offers or other means. Such redemptions and

repurchases help reduce Citi’s overall funding costs. During

2022, Citi redeemed or repurchased an aggregate of

approximately $20.8 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:

2022 2021 2020

In billions of dollars

Maturities Issuances Maturities Issuances Maturities Issuances

Non-bank

Benchmark debt:

Senior debt $ 15.4 $ 27.3 $ 17.6 $ 15.4 $ 6.5 $ 20.4

Subordinated debt 0.9 — — — — —

Trust preferred 0.1 — — — — —

Customer-related debt 27.0 65.1 31.2 48.7 27.7 36.8

Local country and other 2.8 3.5 3.3 3.6 2.4 1.4

Total non-bank $ 46.2 $ 95.9 $ 52.1 $ 67.7 $ 36.6 $ 58.6

Bank

FHLB borrowings $ 5.3 $ 7.3 $ 5.7 $ — $ 7.5 $ 12.9

Securitizations 2.1 0.2 6.1 — 4.6 0.3

Citibank benchmark senior debt 0.9 — 9.8 — 9.8 —

Local country and other 2.6 1.3 1.2 2.9 4.9 4.6

Total bank $ 10.9 $ 8.8 $ 22.8 $ 2.9 $ 26.8 $ 17.8

Total $ 57.1 $ 104.7 $ 74.9 $ 70.6 $ 63.4 $ 76.4

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) in 2022, as well as its

aggregate expected remaining long-term debt maturities by year as of December 31, 2022:

Maturities

In billions of dollars

2022 2023 2024 2025 2026 2027 Thereafter Total

Non-bank

Benchmark debt:

Senior debt $ 15.4 $ 4.9 $ 10.5 $ 11.8 $ 23.4 $ 6.9 $ 60.0 $ 117.5

Subordinated debt 0.9 1.2 0.9 4.8 2.3 3.6 9.7 22.5

Trust preferred 0.1 — — — — — 1.6 1.6

Customer-related debt 27.0 16.4 20.6 14.0 6.2 9.3 34.6 101.1

Local country and other 2.8 2.9 0.4 0.3 0.7 0.2 3.1 7.8

Total non-bank $ 46.2 $ 25.4 $ 32.4 $ 30.9 $ 32.6 $ 20.0 $ 109.0 $ 250.5

Bank

FHLB borrowings $ 5.3 $ 4.3 $ 3.0 $ — $ — $ — $ — $ 7.3

Securitizations 2.1 2.2 1.3 1.6 — 0.8 1.7 7.6

Citibank benchmark senior debt 0.9 — 2.6 — — — — 2.6

Local country and other 2.6 0.6 1.2 0.2 0.2 — 1.4 3.6

Total bank $ 10.9 $ 7.1 $ 8.1 $ 1.8 $ 0.2 $ 0.8 $ 3.1 $ 21.1

Total long-term debt $ 57.1 $ 32.5 $ 40.5 $ 32.7 $ 32.8 $ 20.8 $ 112.1 $ 271.6

Resolution Plan

Citigroup 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 Federal

Reserve Board (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. Citigroup

will alternate between submitting a full resolution plan and a

targeted resolution plan on a biennial cycle.

On November 22, 2022, the FRB and FDIC issued

feedback on the resolution plans filed on July 1, 2021 by the

eight U.S. global systemically important banks (GSIBs),

including Citigroup. The FRB and FDIC identified one

shortcoming, but no deficiencies, in Citigroup’s 2021

resolution plan regarding data integrity and data quality

management issues. For additional information on Citi’s

resolution plan submissions, see “Risk Factors—Strategic

Risks” above.

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 2021 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 FRB’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 FRB 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.

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” 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 $202 billion as of December 31, 2022

increased 6% from the prior year and was unchanged

sequentially, driven by normal business activity. The average

balance for secured funding was approximately $205 billion

for the quarter ended December 31, 2022.

The portion of secured funding in the broker-dealer

subsidiaries that funds secured lending is commonly referred

to as “matched book” activity. The majority of this activity is

secured by high-quality liquid securities such as U.S. Treasury

securities, U.S. agency securities and foreign government debt

securities. Other secured funding is secured by less liquid

securities, including equity securities, corporate bonds and

asset-backed securities, the tenor of which is generally equal

to or longer than the tenor of the corresponding matched book

assets.

The remainder of the secured funding activity in the

broker-dealer subsidiaries serves to fund securities inventory

held in the context of market making and customer activities.

To maintain reliable funding under a wide range of market

conditions, including under periods of stress, Citi manages

these activities by taking into consideration the quality of the

underlying collateral and establishing minimum required

funding tenors. The weighted average maturity of Citi’s

secured funding of less liquid securities inventory was greater

than 110 days as of December 31, 2022.

Citi manages the risks in its secured funding by

conducting daily stress tests to account for changes in

capacity, tenor, haircut, collateral profile and client actions. In

addition, Citi maintains counterparty diversification by

establishing concentration triggers and assessing counterparty

reliability and stability under stress. Citi generally sources

secured funding from more than 150 counterparties.

Short-Term Borrowings

Citi’s short-term borrowings of $47 billion as of the fourth

quarter of 2022 increased 68% year-over-year, reflecting an

increase in FHLB advances and commercial paper issuance, as

Citi continues to diversify its funding profile, and decreased

1% sequentially, driven by normal business activity (see Note

18 for further information on Citigroup’s and its affiliates’

outstanding short-term borrowings).

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, 2022. While not included in the

table below, the long-term and short-term ratings of Citigroup

Global Markets Holding Inc. (CGMHI) were A+/F1 at Fitch

Ratings, A2/P-1 at Moody’s Investors Service and A/A-1 at

S&P Global Ratings as of December 31, 2022.

Ratings as of December 31, 2022

Citigroup Inc. Citibank, N.A.

Long-

term

Short-

term Outlook

Long-

term

Short-

term Outlook

Fitch Ratings (Fitch) A F1 Stable A+ F1 Stable

Moody’s Investors Service (Moody’s) A3 P-2 Stable Aa3 P-1 Stable

S&P Global Ratings (S&P)

BBB+ A-2 Stable A+ A-1 Stable

Potential Impacts of Ratings Downgrades

Ratings downgrades by Fitch, Moody’s 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, 2022, Citi estimates that a hypothetical

one-notch downgrade of the senior debt/long-term rating of

Citigroup Inc. across all three major rating agencies could

impact Citigroup’s funding and liquidity due to derivative

triggers by approximately $0.5 billion, compared to $0.6

billion as of September 30, 2022. Other funding sources, such

as secured financing transactions and other margin

requirements, for which there are no explicit triggers, could

also be adversely affected.

As of December 31, 2022, Citi estimates that a

hypothetical one-notch downgrade of the senior debt/long-

term rating of Citibank across all three major rating agencies

could impact Citibank’s funding and liquidity due to

derivative triggers by approximately $0.4 billion, compared to

$0.8 billion as of September 30, 2022. Other funding sources,

such as secured financing transactions and other margin

requirements, for which there are no explicit triggers, could

also be adversely affected.

In total, as of December 31, 2022, Citi estimates that a

one-notch downgrade of Citigroup Inc. and Citibank across all

three major rating agencies could result in increased aggregate

cash obligations and collateral requirements of approximately

$0.9 billion, compared to $1.4 billion as of September 30,

2022 (see also Note 23). As detailed under “High-Quality

Liquid Assets (HQLA)” above, Citigroup has various liquidity

resources available to its bank and non-bank entities in part as

a contingency for the potential events described above.

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, 2022, Citibank had liquidity commitments of

approximately $11.0 billion to consolidated asset-backed

commercial paper conduits, compared to $9.1 billion as of

December 31, 2021 (see Note 22 for additional information).

In addition to the above-referenced liquidity resources of

certain Citibank entities, Citibank could reduce the funding

and liquidity risk, if any, of the potential downgrades

described above through mitigating actions, including

repricing or reducing certain commitments to commercial

paper conduits. In the event of the potential downgrades

described above, Citi believes that certain corporate customers

could re-evaluate their deposit relationships with Citibank.

This re-evaluation could result in clients adjusting their

discretionary deposit levels or changing their depository

institution, which could potentially reduce certain deposit

levels at Citibank. However, Citi could choose to adjust

pricing, offer alternative deposit products to its existing

customers or seek to attract deposits from new customers, in

addition to the mitigating actions referenced above.

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 arises from both

Citi’s trading and non-trading portfolios. For additional

information on market risk and market risk management at

Citi, 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 predominantly

from the potential impact of changes in interest rates and

foreign exchange rates on Citi’s net interest income and on

Citi’s Accumulated other comprehensive income (loss) (AOCI)

from its investment securities portfolios. Market risk from

non-trading portfolios also includes the potential impact of

changes in foreign exchange rates on Citi’s capital invested in

foreign currencies.

Banking Book Interest Rate Risk

For interest rate risk purposes, Citi’s non-trading portfolios are

referred to as the Banking Book. Management of interest rate

risk in the Banking Book is governed by Citi’s Non-Trading

Market Risk Policy. Management’s Asset & Liability

Committee (ALCO) establishes Citi’s risk appetite and related

limits for interest rate risk in the Banking Book, which are

subject to approval by Citigroup’s Board of Directors.

Corporate Treasury is responsible for the day-to-day

management of Citi’s Banking Book interest rate risk as well

as periodically reviewing it with the ALCO. Citi’s Banking

Book interest rate risk management is also subject to

independent oversight from Treasury Risk Management, a

second line of defense team reporting to the Treasury Chief

Risk Officer.

Changes in interest rates impact Citi’s net income, AOCI

and CET1. These changes primarily affect Citi’s Banking

Book through net interest income, due to a variety of risk

factors, including:

• Differences in timing and amounts of the maturity or

repricing of assets, liabilities and off-balance sheet

instruments;

• Changes in level and/or shape of interest rate curves;

• Client behavior in response to changes in interest rate

(e.g., mortgage prepayments, deposit betas); and

• Changes in maturity of instruments resulting from

changes in interest rate environment.

As part of their ongoing activities, Citi’s businesses generate

interest rate-sensitive positions from their client-facing

products, such as loans and deposits. The component of this

interest rate risk that can be hedged is transferred via Citi’s

funds transfer pricing process to Corporate Treasury.

Corporate Treasury uses various tools to manage the total

interest rate risk position within the established risk appetite

and target Citi’s desired risk profile, including its investment

securities portfolio, company-issued debt and interest rate

derivatives.

In addition, Citi uses multiple metrics to measure its

Banking Book interest rate risk. Interest Rate Exposure (IRE)

is a key metric that analyzes the impact of a range of scenarios

on Citi’s Banking Book net interest income and certain other

interest rate-sensitive income versus a base case. IRE does not

represent a forecast of Citi’s net interest income.

The scenarios, methodologies and assumptions used in

this analysis are periodically evaluated and enhanced in

response to changes in the market environment, changes in

Citi’s balance sheet composition, enhancements in Citi’s

modeling and other factors.

Since the third quarter of 2022, Citi has employed

enhanced IRE methodologies and changes to certain

assumptions. The changes included, among other things,

assumptions around the projected balance sheet and revisions

to the treatment of certain business contributions (notably

accrual positions in ICG’s Markets businesses). These changes

resulted in a higher impact to Citi’s net interest income over a

12-month period.

Under the enhanced methodology, Citi utilizes the most

recent quarter-end balance sheet, assuming no changes to its

composition and size over the forecasted horizon (holding the

balance sheet static). The forecasts incorporate expectations

and assumptions of deposit pricing, loan spreads and mortgage

prepayment behavior implied by the interest rate curves in

each scenario. The base case scenario reflects the market

implied forward interest rates, and sensitivity scenarios

assume instantaneous shocks to the base case. The forecasts do

not assume Citi takes any risk-mitigating actions in response

to changes in the interest rate environment. Certain interest

rates are subject to flooring assumptions in downward rate

scenarios. Deposit pricing sensitivities, (i.e., deposit betas), are

informed by historical and expected behavior. Actual deposit

pricing could differ from the assumptions used in these

forecasts.

Citi’s IRE analysis primarily reflects the impacts from the

following Banking Book assets and liabilities: loans, client

deposits, Citi’s deposits with other banks, investment

securities, long-term debt, any related interest rate hedges and

the funds transfer pricing of positions in total trading and

credit portfolio VAR. It excludes impacts from any positions

that are included in total trading and credit portfolio VAR.

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 CET1 and other regulatory capital ratios. Citi seeks to

manage its exposure to changes in the market level of interest

rates, while limiting the potential impact on its AOCI and

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 CET1

Capital ratio) relative to Citi’s capital generation capacity.

The following table presents the 12-month estimated

impact to Citi’s net interest income, AOCI and the CET1

Capital ratio, each assuming an unanticipated parallel

instantaneous 100 basis point (bps) increase in interest rates:

In millions of dollars, except as otherwise noted

Dec. 31, 2022 Sept. 30, 2022 Dec. 31, 2021

Parallel interest rate shock +100 bps

Interest rate exposure

(1)(2)

U.S. dollar $ 186 $ 677 $ 781

All other currencies 1,650 1,483 2,025

Total $ 1,836 $ 2,160 $ 2,806

As a percentage of average interest-earning assets 0.08 % 0.10 % 0.12 %

Estimated initial negative impact to AOCI (after-tax)

(3)

$ (1,102) $ (969) $ (4,609)

Estimated initial impact on CET1 Capital ratio (bps) (10) (9) (30)

(1) Excludes trading book and fair value option banking book portfolios and replaces them with the associated transfer pricing.

(2) IRE as of December 31, 2021 excludes certain IRE methodology enhancements implemented in September 2022, most notably the banking book revisions to the

treatment of certain business.

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

Citi’s balance sheet is asset sensitive (assets reprice faster than

liabilities), resulting in higher net interest income in increasing

interest rate scenarios. The estimated impact to Citi’s net

interest income in a 100 bps upward rate shock scenario as of

December 31, 2022 decreased quarter-over-quarter and year-

over-year, primarily reflecting the net impact of lower

expected gains due to U.S. dollar interest rate moves that have

already been realized and changes in Citi’s balance sheet. At

progressively higher interest rate levels, the marginal net

interest income benefit is lower, as Citi assumes it will pass on

a larger share of rate changes to depositors (i.e., higher betas),

further reducing Citi’s IRE sensitivity. Currency-specific

interest rate changes and balance sheet factors may drive

quarter-to-quarter volatility in Citi’s estimated IRE.

In a 100 bps upward rate shock scenario, Citi expects that

the approximate $1.1 billion initial negative impact to AOCI

could potentially be offset in shareholders’ equity through the

expected recovery of the impact on AOCI through accretion of

Citi’s investment portfolio and expected net interest income

benefit over a period of approximately four months.

Scenario Analysis

The following table presents the estimated impact to Citi’s net

interest income, AOCI and the CET1 Capital ratio (on a fully

implemented basis) under five different scenarios of changes

in interest rate for the U.S. dollar and all other currencies in

which Citi has invested capital as of December 31, 2022. 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 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)

Interest rate exposure

U.S. dollar $ 186 $ 98 $ 105 $ (121) $ (322)

All other currencies 1,650 1,426 229 (236) (1,434)

Total $ 1,836 $ 1,524 $ 334 $ (357) $ (1,756)

Estimated initial impact to AOCI (after-tax)

(1)

$ (1,102) $ (931) $ (159) $ 46 $ 1,014

Estimated initial impact to CET1 Capital ratio (bps) (10) (8) (2) 1 10

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

interpolated.

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

As shown in the table above, the estimated impact to

Citi’s net interest income remains larger under Scenario 2 than

Scenario 3, as Citi’s Banking Book has relatively higher

interest rate exposure to the short end of the yield curve. For

U.S. dollars, exposure to downward rate shocks is larger in

magnitude than to upward rate shocks. This is because of the

lower benefit to net interest income from Citi’s deposit base at

higher rate levels, as well as the prepayment effects on

mortgage loans and mortgage-backed securities. For other

currencies, exposure to downward rate shocks is smaller in

magnitude as a result of Citi’s flooring assumption, given low

rate levels for certain non-U.S. dollar currencies.

The magnitude of the impact to AOCI is greater under

Scenario 2 as compared to Scenario 3. This is because the

combination of changes to Citi’s investment portfolio,

partially offset by changes related to Citi’s pension liabilities,

results in a net position that is more sensitive to rates at

shorter- and intermediate-term maturities.

Changes in Foreign Exchange Rates—Impacts on AOCI

and Capital

As of December 31, 2022, Citi estimates that an unanticipated

parallel instantaneous 5% appreciation of the U.S. dollar

against all of the other currencies in which Citi has invested

capital could reduce Citi’s tangible common equity (TCE) by

approximately $1.7 billion, or 1.0%, as a result of changes to

Citi’s CTA in AOCI, net of hedges. This impact would be

primarily due to changes in the value of the Mexican peso,

Euro, Singapore dollar and Indian rupee.

This impact is also before any mitigating actions Citi may

take, including ongoing management of its foreign currency

translation exposure. Specifically, as currency movements

change the value of Citi’s net investments in foreign currency-

denominated capital, these movements also change the value

of Citi’s risk-weighted assets denominated in those currencies.

This, coupled with Citi’s foreign currency hedging strategies,

such as foreign currency borrowings, foreign currency

forwards and other currency hedging instruments, lessens the

impact of foreign currency movements on Citi’s CET1 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 quarterly changes in foreign exchange rates, and the

quarterly impact of these changes on Citi’s TCE and CET1

Capital ratio, are shown in the table below. See Note 20 for

additional information on the changes in AOCI.

For the quarter ended

In millions of dollars, except as otherwise noted

Dec. 31, 2022 Sept. 30, 2022 Dec. 31, 2021

Change in FX spot rate

(1)

4.0 % (4.5) % (0.6) %

Change in TCE due to FX translation, net of hedges $ 1,193 $ (2,121) $ (438)

As a percentage of TCE 0.8 % (1.4) % (0.3) %

Estimated impact to CET1 Capital ratio (on a fully implemented basis)

due to changes in FX translation, net of hedges (bps) (3) (2) (1)

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

Interest Revenue/Expense and Net Interest Margin (NIM)

In millions of dollars, except as otherwise noted

2022 2021 2020

Change

2022 vs. 2021

Change

2021 vs. 2020

Interest revenue

(1)

$ 74,573 $ 50,667 $ 58,285 47 % (13) %

Interest expense

(2)

25,740 7,981 13,338 223 (40)

Net interest income, taxable equivalent basis

(1)

$ 48,833 $ 42,686 $ 44,947 14 % (5) %

Interest revenue—average rate

(3)

3.43 % 2.36 % 2.88 % 107 bps (52) bps

Interest expense—average rate 1.48 0.46 0.81 102 bps (35) bps

Net interest margin

(3)(4)

2.25 1.99 2.22 26 bps (23) bps

Interest rate benchmarks

Two-year U.S. Treasury note—average rate 2.99 % 0.27 % 0.39 % 272 bps (12) bps

10-year U.S. Treasury note—average rate 2.95 1.45 0.89 150 bps 56 bps

10-year vs. two-year spread (4) bps 118 bps 50 bps

(1) Interest revenue and Net interest income include the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged

loan programs (based on the U.S. federal statutory tax rate of 21%) of $165 million, $192 million and $196 million for 2022, 2021 and 2020, respectively.

(2) Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together

with any changes in fair value as part of Principal transactions in the Consolidated Statement of Income and is therefore not reflected in Interest expense in the

table above.

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

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

Non-ICG Markets Net Interest Income

In millions of dollars

2022 2021 2020

Net interest income—taxable equivalent basis

(1)

per above $ 48,833 $ 42,686 $ 44,947

ICG Markets net interest income—taxable equivalent basis

(1)

5,173 5,167 5,208

Non-ICG Markets net interest income—taxable equivalent basis

(1)

$ 43,660 $ 37,519 $ 39,739

(1) Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.

Citi’s net interest income in the fourth quarter of 2022 was

$13.3 billion (also $13.3 billion on a taxable equivalent basis),

an increase of $2.5 billion versus the prior year, primarily

driven by non-ICG Markets (approximately $2.2 billion), as

ICG Markets was largely unchanged (up approximately $0.3

billion across fixed income markets and equity markets). The

increase in net interest income in non-ICG Markets was

primarily driven by higher interest rates. Citi’s net interest

margin was 2.39% on a taxable equivalent basis in the fourth

quarter of 2022, an increase of eight basis points from the

prior quarter, also largely driven by higher interest rates.

Citi’s net interest income for 2022 increased 15%, or

approximately $6.2 billion, to $48.7 billion ($48.8 billion on a

taxable equivalent basis) versus the prior year. The increase

was primarily due to an increase in non-ICG Markets net

interest income, largely reflecting higher interest rates and

higher loan balances in PBWM. In 2022, Citi’s net interest

margin increased to 2.25% on a taxable equivalent basis,

compared to 1.99% in 2021, primarily driven by higher

interest rates and a mix-shift in balances.

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101

Additional Interest Rate Details

Average Balances and Interest Rates—Assets

(1)(2)(3)

Taxable Equivalent Basis

Average balance Interest revenue % Average rate

In millions of dollars, except rates

2022 2021 2020 2022 2021 2020 2022 2021 2020

Assets

Deposits with banks

(4)

$ 262,504 $ 298,319 $ 288,629 $ 4,515 $ 577 $ 928 1.72 % 0.19 % 0.32 %

Securities borrowed and

purchased under agreements to

resell

(5)

In U.S. offices $ 188,672 $ 172,716 $ 149,076 $ 3,933 $ 385 $ 1,202 2.08 % 0.22 % 0.81 %

In offices outside the U.S.

(4)

164,675 149,944 138,074 3,221 667 1,081 1.96 0.44 0.78

Total $ 353,347 $ 322,660 $ 287,150 $ 7,154 $ 1,052 $ 2,283 2.02 % 0.33 % 0.80 %

Trading account assets

(6)(7)

In U.S. offices $ 142,146 $ 140,215 $ 144,130 $ 4,005 $ 2,653 $ 3,624 2.82 % 1.89 % 2.51 %

In offices outside the U.S.

(4)

132,046 151,722 134,078 3,422 2,718 2,509 2.59 1.79 1.87

Total $ 274,192 $ 291,937 $ 278,208 $ 7,427 $ 5,371 $ 6,133 2.71 % 1.84 % 2.20 %

Investments

In U.S. offices

Taxable $ 355,012 $ 322,884 $ 265,833 $ 5,642 $ 3,547 $ 3,860 1.59 % 1.10 % 1.45 %

Exempt from U.S. income tax 11,742 12,296 14,084 424 437 452 3.61 3.55 3.21

In offices outside the U.S.

(4)

150,968 152,940 139,400 5,210 3,498 3,781 3.45 2.29 2.71

Total $ 517,722 $ 488,120 $ 419,317 $ 11,276 $ 7,482 $ 8,093 2.18 % 1.53 % 1.93 %

Consumer loans

(8)

In U.S. offices $ 268,910 $ 253,184 $ 258,614 $ 23,127 $ 19,810 $ 20,436 8.60 % 7.82 % 7.90 %

In offices outside the U.S.

(4)

86,497 121,794 120,974 5,264 6,598 7,327 6.09 5.42 6.06

Total $ 355,407 $ 374,978 $ 379,588 $ 28,391 $ 26,408 $ 27,763 7.99 % 7.04 % 7.31 %

Corporate loans

(8)

In U.S. offices $ 139,906 $ 132,957 $ 138,232 $ 5,417 $ 4,213 $ 6,264 3.87 % 3.17 % 4.53 %

In offices outside the U.S.

(4)

158,008 160,101 167,405 7,528 4,911 6,242 4.76 3.07 3.73

Total $ 297,914 $ 293,058 $ 305,637 $ 12,945 $ 9,124 $ 12,506 4.35 % 3.11 % 4.09 %

Total loans

(8)

In U.S. offices $ 408,816 $ 386,141 $ 396,846 $ 28,544 $ 24,023 $ 26,700 6.98 % 6.22 % 6.73 %

In offices outside the U.S.

(4)

244,505 281,895 288,379 12,792 11,509 13,569 5.23 4.08 4.71

Total $ 653,321 $ 668,036 $ 685,225 $ 41,336 $ 35,532 $ 40,269 6.33 % 5.32 % 5.88 %

Other interest-earning assets

(9)

$ 112,549 $ 75,876 $ 67,547 $ 2,865 $ 653 $ 579 2.55 % 0.86 % 0.86 %

Total interest-earning assets $ 2,173,635 $ 2,144,948 $ 2,026,076 $ 74,573 $ 50,667 $ 58,285 3.43 % 2.36 % 2.88 %

Non-interest-earning assets

(6)

$ 222,388 $ 202,761 $ 200,378

Total assets $ 2,396,023 $ 2,347,709 $ 2,226,454

(1) Interest revenue and Net interest income include the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged

loan programs (based on the U.S. federal statutory tax rate of 21%) of $165 million, $192 million and $196 million for 2022, 2021 and 2020, respectively.

(2) Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.

(3) Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.

(4) Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(5) Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes

the impact of ASC 210-20-45.

(6) The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-

bearing liabilities.

(7) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral

positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(8) Net of unearned income. Includes cash-basis loans.

(9) Includes assets from businesses held-for-sale (see Note 2) and Brokerage receivables.

102

Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Income

(1)(2)(3)

Taxable Equivalent Basis

Average balance Interest expense % Average rate

In millions of dollars, except rates

2022 2021 2020 2022 2021 2020 2022 2021 2020

Liabilities

Deposits

In U.S. offices

(4)

$ 572,394 $ 532,466 $ 485,848 $ 5,986 $ 1,084 $ 2,524 1.05 % 0.20 % 0.52 %

In offices outside the U.S.

(5)

516,329 557,207 541,301 5,573 1,812 2,810 1.08 0.33 0.52

Total $ 1,088,723 $ 1,089,673 $ 1,027,149 $ 11,559 $ 2,896 $ 5,334 1.06 % 0.27 % 0.52 %

Securities loaned and sold under

agreements to repurchase

(6)

In U.S. offices $ 112,771 $ 136,955 $ 137,348 $ 2,816 $ 676 $ 1,292 2.50 % 0.49 % 0.94 %

In offices outside the U.S.

(5)

94,936 93,744 79,426 1,639 336 785 1.73 0.36 0.99

Total $ 207,707 $ 230,699 $ 216,774 $ 4,455 $ 1,012 $ 2,077 2.14 % 0.44 % 0.96 %

Trading account liabilities

(7)(8)

In U.S. offices $ 52,166 $ 47,871 $ 38,308 $ 697 $ 109 $ 283 1.34 % 0.23 % 0.74 %

In offices outside the U.S.

(5)

70,102 67,739 52,051 740 373 345 1.06 0.55 0.66

Total $ 122,268 $ 115,610 $ 90,359 $ 1,437 $ 482 $ 628 1.18 % 0.42 % 0.70 %

Short-term borrowings and other

interest-bearing liabilities

(9)

In U.S. offices $ 95,054 $ 69,683 $ 82,363 $ 2,161 $ (27) $ 493 2.27 % (0.04) % 0.60 %

In offices outside the U.S.

(5)

55,133 26,133 20,053 327 148 137 0.59 0.57 0.68

Total $ 150,187 $ 95,816 $ 102,416 $ 2,488 $ 121 $ 630 1.66 % 0.13 % 0.62 %

Long-term debt

(10)

In U.S. offices $ 166,063 $ 186,522 $ 213,809 $ 5,625 $ 3,384 $ 4,656 3.39 % 1.81 % 2.18 %

In offices outside the U.S.

(5)

3,592 4,282 3,918 176 86 13 4.90 2.01 0.33

Total $ 169,655 $ 190,804 $ 217,727 $ 5,801 $ 3,470 $ 4,669 3.42 % 1.82 % 2.14 %

Total interest-bearing liabilities $ 1,738,540 $ 1,722,602 $ 1,654,425 $ 25,740 $ 7,981 $ 13,338 1.48 % 0.46 % 0.81 %

Demand deposits in U.S. offices $ 135,725 $ 98,414 $ 30,876

Other non-interest-bearing

liabilities

(7)

322,151 324,643 346,736

Total liabilities $ 2,196,416 $ 2,145,659 $ 2,032,037

Citigroup stockholders’ equity $ 199,088 $ 201,360 $ 193,769

Noncontrolling interests 519 690 648

Total equity $ 199,607 $ 202,050 $ 194,417

Total liabilities and stockholders’

equity $ 2,396,023 $ 2,347,709 $ 2,226,454

Net interest income as a

percentage of average interest-

earning assets

(11)

In U.S. offices $ 1,272,222 $ 1,244,182 $ 1,187,077 $ 28,802 $ 26,404 $ 27,520 2.26 % 2.12 % 2.32 %

In offices outside the U.S.

(6)

901,412 900,766 838,999 20,031 16,282 17,427 2.22 1.81 2.08

Total $ 2,173,634 $ 2,144,948 $ 2,026,076 $ 48,833 $ 42,686 $ 44,947 2.25 % 1.99 % 2.22 %

(1) Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.

(2) Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.

(3) Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.

(4) Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits.

(5) Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(6) Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of

ASC 210-20-45.

(7) The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-

bearing liabilities.

(8) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral

positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

103

(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)

2022 vs. 2021 2021 vs. 2020

Increase (decrease)

due to change in:

Increase (decrease)

due to change in:

In millions of dollars

Average

balance

Average

rate

Net

change

Average

balance

Average

rate

Net

change

Deposits with banks

(3)

$ (77) $ 4,015 $ 3,938 $ 30 $ (381) $ (351)

Securities borrowed and purchased under agreements to resell

In U.S. offices $ 39 $ 3,509 $ 3,548 $ 166 $ (983) $ (817)

In offices outside the U.S.

(3)

72 2,482 2,554 86 (500) (414)

Total $ 111 $ 5,991 $ 6,102 $ 252 $ (1,483) $ (1,231)

Trading account assets

(4)

In U.S. offices $ 37 $ 1,315 $ 1,352 $ (96) $ (875) $ (971)

In offices outside the U.S.

(3)

(388) 1,092 704 320 (111) 209

Total $ (351) $ 2,407 $ 2,056 $ 224 $ (986) $ (762)

Investments

(1)

In U.S. offices $ 404 $ 1,678 $ 2,082 $ 761 $ (1,089) $ (328)

In offices outside the U.S.

(3)

(46) 1,758 1,712 345 (628) (283)

Total $ 358 $ 3,436 $ 3,794 $ 1,106 $ (1,717) $ (611)

Consumer loans (net of unearned income)

(5)

In U.S. offices $ 1,277 $ 2,040 $ 3,317 $ (426) $ (200) $ (626)

In offices outside the U.S.

(3)

(2,078) 744 (1,334) 49 (778) (729)

Total $ (801) $ 2,784 $ 1,983 $ (377) $ (978) $ (1,355)

Corporate loans (net of unearned income)

(5)

In U.S. offices $ 230 $ 974 $ 1,204 $ (231) $ (1,820) $ (2,051)

In offices outside the U.S.

(3)

(65) 2,682 2,617 (263) (1,068) (1,331)

Total $ 165 $ 3,656 $ 3,821 $ (494) $ (2,888) $ (3,382)

Loans (net of unearned income)

(5)

In U.S. offices $ 1,507 $ 3,014 $ 4,521 $ (706) $ (1,971) $ (2,677)

In offices outside the U.S.

(3)

(2,143) 3,426 1,283 (299) (1,761) (2,060)

Total $ (636) $ 6,440 $ 5,804 $ (1,005) $ (3,732) $ (4,737)

Other interest-earning assets

(6)

$ 438 $ 1,774 $ 2,212 $ 72 $ 2 $ 74

Total interest revenue $ (157) $ 24,063 $ 23,906 $ 679 $ (8,297) $ (7,618)

(1) Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.

(2) Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.

(3) Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(4) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral

positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(5) Includes cash-basis loans.

(6) Includes Brokerage receivables.

104

Analysis of Changes in Interest Expense and Net Interest Income

(1)(2)(3)

2022 vs. 2021 2021 vs. 2020

Increase (decrease)

due to change in:

Increase (decrease)

due to change in:

In millions of dollars

Average

balance

Average

rate

Net

change

Average

balance

Average

rate

Net

change

Deposits

In U.S. offices $ 87 $ 4,815 $ 4,902 $ 222 $ (1,661) $ (1,439)

In offices outside the U.S.

(3)

(142) 3,903 3,761 80 (1,078) (998)

Total $ (55) $ 8,718 $ 8,663 $ 302 $ (2,739) $ (2,437)

Securities loaned and sold under agreements to repurchase

In U.S. offices $ (140) $ 2,280 $ 2,140 $ (4) $ (612) $ (616)

In offices outside the U.S.

(3)

4 1,299 1,303 122 (571) (449)

Total $ (136) $ 3,579 $ 3,443 $ 118 $ (1,183) $ (1,065)

Trading account liabilities

(4)

In U.S. offices $ 11 $ 577 $ 588 $ 58 $ (232) $ (174)

In offices outside the U.S.

(3)

13 354 367 93 (65) 28

Total $ 24 $ 931 $ 955 $ 151 $ (297) $ (146)

Short-term borrowings and other interest-bearing liabilities

(5)

In U.S. offices $ (6) $ 2,194 $ 2,188 $ (66) $ (454) $ (520)

In offices outside the U.S.

(3)

172 7 179 37 (26) 11

Total $ 166 $ 2,201 $ 2,367 $ (29) $ (480) $ (509)

Long-term debt

In U.S. offices $ (407) $ 2,648 $ 2,241 $ (551) $ (721) $ (1,272)

In offices outside the U.S.

(3)

(16) 106 90 1 71 72

Total $ (423) $ 2,754 $ 2,331 $ (550) $ (650) $ (1,200)

Total interest expense $ (424) $ 18,183 $ 17,759 $ (8) $ (5,349) $ (5,357)

Net interest income $ 267 $ 5,880 $ 6,147 $ 687 $ (2,948) $ (2,261)

(1) Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.

(2) Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.

(3) Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(4) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral

positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(5) Includes Brokerage payables.

105

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 in 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 95.4% of the trading

days in 2022.

Daily Trading-Related Revenue (Loss)

(1)

—12 Months Ended December 31, 2022

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.

106

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 Bond for a one-basis-

point change in interest rates. Citi’s Global Market Risk

function, within the Independent Risk Management

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, VAR methodologies and 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.

See Note 13 for information on these securities.

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 (18

months for commodities and three years for others) market

volatility. The Monte Carlo simulation involves approximately

550,000 market factors, making use of approximately 480,000

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 46% add-on to what

would be a VAR estimated under the assumption of stable and

perfectly, normally distributed markets.

As presented in the table below, Citi’s average trading

VAR increased $22 million from 2021 to 2022, mainly due to

increased market volatility. Citi’s average trading and credit

portfolio VAR increased $23 million from 2021 to 2022 in

line with trading VAR.

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

In millions of dollars

December 31,

2022

Average

December 31,

2021

Average

Interest rate $ 130 $ 100 $ 50 $ 65

Credit spread 78 74 59 71

Covariance adjustment

(1)

(45) (49) (35) (42)

Fully diversified interest rate and credit spread

(2)

$ 163 $ 125 $ 74 $ 94

Foreign exchange 20 31 36 42

Equity 27 27 29 33

Commodity 32 41 28 34

Covariance adjustment

(1)

(94) (101) (88) (102)

Total trading VAR—all market risk factors, including general and specific risk

(excluding credit portfolios)

(2)

$ 148 $ 123 $ 79 $ 101

Specific risk-only component

(3)

$ (4) $ (2) $ 3 $ 1

Total trading VAR—general market risk factors only (excluding credit portfolios) $ 152 $ 125 $ 76 $ 100

Incremental impact of the credit portfolio

(4)

$ 30 $ 31 $ 45 $ 30

Total trading and credit portfolio VAR $ 178 $ 154 $ 124 $ 131

(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, 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.

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The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:

2022 2021

In millions of dollars

Low High Low High

Interest rate $ 45 $ 165 $ 47 $ 96

Credit spread 59 108 54 96

Fully diversified interest rate and credit spread $ 72 $ 183 $ 74 $ 123

Foreign exchange 12 98 33 49

Equity 12 44 21 50

Commodity 27 104 19 55

Total trading $ 78 $ 168 $ 79 $ 130

Total trading and credit portfolio 110 226 108 166

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, 2022

Total—all market risk factors, including

general and specific risk $ 150

Average—during year $ 124

High—during year 166

Low—during year 81

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

operating 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 Independent 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 where buy-and-hold losses

exceed the Regulatory VAR. Given the conservative

calibration of Citi’s VAR model (as a result of taking the

greater of short- and long-term volatilities and fat-tail scaling

of volatilities), Citi would expect fewer exceptions under

normal and stable market conditions. Periods of unstable

market conditions could increase the number of back-testing

exceptions.

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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 2022. During 2022,

one back-testing exception was observed at the Citigroup

level.

The difference between the 48.3% of days with buy-and-

hold gains for Regulatory VAR back-testing and the 95.4% 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, 2022

In millions of dollars

☐ Total Regulatory VAR Buy-and-Hold P&L ☐ Regulatory VAR T-1

(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 or systems, including human error or

misjudgment, 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 Company-wide risk

taxonomy to classify operational risks that it faces using

standardized definitions across Citi’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,

Comprehensive Capital Analysis and Review (CCAR),

Heightened Standards for Large Financial Institutions and

Dodd-Frank Act Stress Testing (DFAST).

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.

Citi’s Independent Operational Risk Management group

has established a global Operational Risk Management

Framework with policies and practices for identification,

measurement, monitoring, managing 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 Citi operating 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 estimating and aggregating 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 Global

BRCC as well as business, functions, regional and country

BRCCs. BRCCs 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.

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 FRB’s CCAR process.

For additional information on Citi’s operational risks, see

“Risk Factors—Operational Risk” above.

Cybersecurity Risk

Overview

Cybersecurity risk is the business risk associated with the

threat posed by a cyberattack, 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 processes and

systems and cybersecurity risk factors in “Risk Factors—

Operational Risks” above). With an evolving threat landscape,

ever-increasing sophistication of threat actor tactics,

techniques and procedures, 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 from

cyberattacks and information security incidents. Citi

recognizes the significance of these risks and, therefore,

leverages a threat-focused strategy to protect against, detect

and respond to, and recover from cyberattacks. Further, Citi

actively participates in financial industry, government and

cross-sector knowledge-sharing groups to enhance individual

and collective cybersecurity preparedness and resilience.

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Risk Management

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 commands 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 the team works in coordination with a network of

information security officers who are embedded within the

businesses and functions globally.

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. 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 teams 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.

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.

Board Oversight

Citi’s Board of Directors and/or one or more Board

Committees provides oversight of management’s efforts to

mitigate cybersecurity risk and respond to cyber incidents. The

Board and/or one or more Board Committees receives regular

reports on cybersecurity and engages in discussions

throughout the year with management and subject-matter

experts on the effectiveness of Citi’s overall cybersecurity

program. The Board and/or one or more Board Committees

also obtains updates on Citi’s inherent cybersecurity risks and

Citi’s road map and progress for addressing these risks.

Moreover, Citi’s Board and its committee members

receive contemporaneous reporting on significant cyber events

including response, legal obligations, and outreach and

notification to regulators, and customers when needed, as well

as guidance to management as appropriate. On an annual

basis, the Board’s Risk Management Committee approved a

standalone Cybersecurity Risk Appetite Statement against

which Citi’s performance is measured quarterly. For additional

information on the Board’s oversight of cybersecurity risk

management, see Citi’s upcoming 2023 Proxy Statement to be

filed with the SEC in March 2023.

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 Citi’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)

Framework (as set forth in the 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 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.

Citi carries out its objectives and fulfills its

responsibilities through the CRM 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;

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• Developing and providing compliance training to ensure

colleagues are aware of and understand the key laws,

rules and regulations;

• Monitoring the 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;

• Executing Compliance Risk Assessments, the results of

which inform Compliance Risk Monitoring and testing of

compliance risks and controls in assessing conformance

with laws, rules, regulations and internal policies; and

• 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.

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.

As discussed above, Citi is working to address the FRB

and OCC consent orders, which include improvements to

Citi’s CRM 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 and Citi is

diligent in enhancing and protecting its reputation with its key

stakeholders. To support this, Citi has developed a reputation

risk framework. Under this framework, Citigroup and

Citibank, N.A. have implemented a risk appetite statement and

related key indicators to monitor corporate activities and

operations relative to Citi’s risk appetite. The framework also

requires that business segments and regions escalate potential

material reputation risks that require review or mitigation

through a Reputation Risk Committee or equivalent.

The Reputation Risk Committees, which are composed of

Citi’s senior executives, govern the process by which material

reputation risks are identified, measured, monitored,

controlled and reported. The Reputation Risk Committees

determine the appropriate actions to be taken in line with risk

appetite and regulatory expectations, while promoting a

culture of risk awareness and high standards of integrity and

ethical behavior across the Company, consistent with Citi’s

Mission and Value Proposition. 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.

Every Citi employee is responsible for safeguarding Citi’s

reputation, 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

escalate all issues that present material reputation risk in line

with policy.

STRATEGIC RISK

As discussed above, strategic risk is the risk of a sustained

impact (not episodic impact) to Citi’s core strategic objectives

as measured by impacts on anticipated earnings, market

capitalization, or capital, arising from external factors

affecting the Company’s operating environment, as well as the

risks associated with defining the strategy and executing the

strategy, which are identified, measured and managed as part

of the Strategic Risk Framework at the Enterprise Level.

In this context, external factors affecting Citi’s operating

environment are the economic environment, geopolitical/

political landscape, industry/competitive landscape, societal

trends, customer/client behavior, regulatory/legislative

environment and trends related to investors/shareholders.

Citi’s Executive Management Team is responsible for the

development and execution of Citi’s strategy. This strategy is

translated into forward-looking plans (collectively Citi’s

Strategic Plan) that are then cascaded across the organization.

Citi’s Strategic Plan is presented to the Board on an annual

basis, and is aligned with risk appetite thresholds and includes

a risk assessment as required by internal frameworks. It is also

aligned with limit requirements for capital allocation.

Governance and oversight of strategic risk is facilitated by

internal committees on a group-wide basis as well as strategic

committees at the operating segment and regional levels.

Citi works to ensure that strategic risks are adequately

considered and addressed across its various risk management

activities, and that strategic risks are assessed in the context of

Citi’s risk appetite. Citi conducts a top-down, bottom-up risk

identification process to identify risks, including strategic

risks. Business segments undertake a quarterly risk

identification process to systematically identify and document

all material risks faced by Citi. Independent Risk Management

oversees the risk identification process through regular

reviews and coordinates identification and monitoring of top

risks. In addition, Citi performs a quarterly Risk Assessment

of the Plan (RAOP) and continuously monitors risks

associated with its execution of strategy. Independent Risk

Management also manages strategic risk by monitoring risk

appetite thresholds in conjunction with various strategic risk

committees, which are part of the governance structure that

Citi has in place to manage its strategic risks.

For additional information on Citi’s strategic risks, see

“Risk Factors—Strategic Risks” above.

Climate Risk

Climate change presents immediate and long-term risks to Citi

and 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 comprises both 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,

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crops) or otherwise impact their value or productivity.

Transition risk considers how changes in policy, technology,

business practices and market preferences to address climate

change (e.g., carbon pricing 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 categories of risk, such as credit risk from obligors

exposed to high climate risk, strategic risks if Citi fails to

consider transition risk in client selection, reputational risk

from increased stakeholder concerns about financing high-

carbon industries and operational risk from physical risks to

Citi’s facilities and personnel. Citi’s focus on climate risk

continues to increase, driven by materiality of strategic,

reputational and financial risk considerations. Citi continues to

make progress toward embedding these considerations into its

overarching risk management approach. For additional

information on climate risk, see “Risk Factors—Strategic

Risks” above.

Citi reviews factors related to climate risk under its

Environmental and Social Risk Management (ESRM) Policy,

which includes a focus on climate risk related to financed

projects and clients in high-carbon sectors. Considering the

credit risk of stranded assets, as well as the reputational risks

associated with the coal sector due to its high-carbon

emissions, Citi’s ESRM Policy includes a prohibition on all

project-related financing of new coal-fired power plants and

new or expanding thermal coal mines, as well as timetables to

reduce financing of companies with high exposure to coal-

fired power and coal mining that do not pursue low-carbon

transition in the coming years. These sector approaches set

clear expectations for clients and help address certain climate

risk-driven credit risk concerns while reducing reputation risk.

Citi continues to explore and test methodologies for

quantifying how climate risks could impact the individual

credit profiles of its clients across various sectors. To assist in

embedding climate risk assessments in its credit assessment

process, Citi has developed sector-specific climate risk

assessments. Such climate risk assessments are designed to

supplement publicly available client disclosures and data

provided from third-party vendors and facilitate conversations

with clients on their most material climate risks and

management plans for adaptation and mitigation. Citi’s

assessments consider sectors that have been identified as

higher climate risk by its risk identification process. This will

help Citi better understand its clients’ businesses and climate-

related risks. Citi’s Net Zero plan is leading to the further

integration of climate risk discussions into client engagement

and client selection.

Citi continues to develop globally consistent principles

and approaches for managing climate risk across the Company

through the implementation of its Climate Risk Management

Framework. Through this implementation, climate risk is

being embedded into relevant policies and processes over

time.

Furthermore, Citi continues to participate in financial

industry initiatives and develop and pilot new methodologies

and approaches for measuring and assessing the potential

financial risks of climate change. Citi also continues to

monitor regulatory developments on climate risk and

sustainable finance and actively engage with regulators on

these topics.

For additional information about sustainability and other

ESG matters at Citi, see “Sustainability and Other ESG

Matters” above.

OTHER RISKS

LIBOR Transition Risk

As previously disclosed, the LIBOR administrator ceased

publication of non-USD LIBOR and one-week and two-month

USD LIBOR on a permanent or representative basis on

December 31, 2021, with plans for all other USD LIBOR

tenors to permanently cease or become non-representative

after June 30, 2023. As a result, Citi ceased entering into new

contracts referencing USD LIBOR as of January 1, 2022,

other than for limited circumstances where regulators

recognized that it may be appropriate for banks to enter into

new USD LIBOR contracts, including with respect to market-

making, hedging or novations of USD transactions executed

before January 1, 2022. (For information about risks to Citi

from a transition away from and discontinuation of LIBOR or

any other benchmark rates, see “Risk Factors—Other Risks”

above.)

During 2022, Citi continued its efforts to manage its

LIBOR transition risks. Citi has been focused on further

reducing its LIBOR exposure and remediating its remaining

outstanding LIBOR-linked contracts. In addition, Citi has

continued to monitor and engage on legislative, regulatory and

other initiatives and developments related to LIBOR transition

matters.

As of December 31, 2022, Citi had a USD LIBOR-linked

gross notional exposure of approximately $7.1 trillion that

matures after the LIBOR cessation date of June 30, 2023, of

which approximately $7 trillion relates to derivatives. This

derivatives exposure includes (i) bilateral derivatives with a

gross notional of approximately $2.5 trillion of which 96% is

already remediated through inclusion of ISDA fallbacks and

(ii) cleared derivatives with a gross notional of approximately

$4.5 trillion that will be covered by the Central Counterparty

Clearing House (CCP) conversions planned for the second

quarter of 2023.

The remaining gross notional of approximately $0.15

trillion relates to cash products (e.g., loans, debt securities,

preferred stock and securitizations), which Citi continues to

address through active conversion or insertion of robust

contract fallback language or is covered by legislative

solutions such as the Adjustable Interest Rate (LIBOR) Act

(see the discussion below). Due to rounding, USD LIBOR-

linked derivatives and cash products exposure may not sum to

total USD LIBOR-linked gross notional exposure.

In the U.S., the LIBOR Act provides for the use of a

statutory replacement for the overnight, one-month, three-

month, six-month and 12-month tenors of USD LIBOR in all

contracts governed by U.S. law that lack adequate fallback

provisions. As required by the LIBOR Act, each proposed

replacement rate, which differs depending on product type, is

based on the Secured Overnight Financing Rate (SOFR).

Citi’s USD LIBOR-linked securities and contracts that do not

have adequate fallbacks as described in the LIBOR Act and

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that are governed by U.S. law will fall within the application

of the LIBOR Act. As a result, USD LIBOR in these contracts

will be replaced with SOFR plus the applicable spread

adjustment.

Citi is focused on remediating contracts that reference the

USD LIBOR Ice Swap Rate and non-U.S. law contracts,

which are not covered by the LIBOR Act. As of December 31,

2022, Citi had a USD LIBOR Ice Swap Rate gross notional

exposure of approximately $0.17 trillion. This includes

approximately $0.16 trillion of bilateral derivatives, of which

79% has already been remediated through inclusion of ISDA

fallbacks, and approximately $0.01 trillion of debt securities

that Citi is addressing through its remediation action plans.

The USD LIBOR Ice Swap Rate is a separate rate from USD

LIBOR and is not included in the USD LIBOR-linked gross

notional exposure.

On November 23, 2022, the FCA proposed the

publication of one-, three- and six-month USD LIBOR on a

synthetic basis through September 2024, which would provide

additional time for non-U.S.-law-governed contracts and any

contracts that reference the USD LIBOR Ice Swap Rate to be

remediated or mature.

Further, Citi continued to engage with regulators,

financial accounting bodies and others on LIBOR transition

matters. This included participating in a number of working

groups, including the Alternative Reference Rates Committee

(ARRC) convened by the FRB, to promote and advance

development of SOFR and seek to identify and address

potential challenges from LIBOR transition.

Citi has also continued to use alternative reference rates in

certain newly issued financial instruments. Citi has issued

floating rate benchmark and customer-related debt linked to

SOFR and originated and arranged loans linked to SOFR.

Citi’s derivatives contracts are predominantly linked to SOFR

and other global alternative reference rates. Citi also provides

term SOFR-linked products to clients in accordance with

industry best practices and recommendations.

115

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, 2022.

(Including the U.S., the total exposure as of December 31,

2022 to the top 25 countries would represent approximately

98% 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 38% of corporate

loans presented in the table below are to U.K. domiciled

entities (40% for unfunded commitments), with the balance of

the loans predominately to European domiciled counterparties.

Approximately 90% of the total U.K. funded loans and 89% of

the total U.K. unfunded commitments were investment grade

as of December 31, 2022.

Trading account assets and investment securities are

generally categorized based on the domicile of the issuer of

the security of the underlying reference entity. For additional

information on the assets included in the table, see the

footnotes to the table below.

In billions of

dollars

ICG

loans

PBWM

loans

(1)

Legacy

Franchises

loans

Loans

transferred

to HFS

(7)

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

4Q22

Total

as of

3Q22

Total

as of

4Q21

Total

as a %

of Citi

as of

4Q22

United

Kingdom $ 34.1 $ 4.9 $ — $ — $ 1.1 $ 38.7 $ 11.2 $ (6.3) $ 4.9 $ (0.1) $ 88.5 $ 93.0 $ 95.9 5.1 %

Mexico 8.4 0.1 21.9 — 0.3 8.4 2.0 (2.1) 19.3 2.9 61.2 56.3 59.6 3.5

Hong Kong 9.0 19.7 — — 0.4 6.7 1.7 (1.2) 10.8 1.2 48.3 50.2 50.4 2.8

Ireland 14.6 — — — 0.5 31.6 0.2 (0.2) — 0.7 47.4 50.3 44.5 2.7

Singapore 9.1 18.7 — — 0.2 6.2 0.9 (0.5) 9.3 1.3 45.2 44.5 45.7 2.6

Brazil 12.2 — — — 0.1 3.3 7.0 (1.0) 7.0 0.1 28.7 29.8 27.3 1.6

India 6.3 — — 3.4 0.8 4.4 1.6 (0.6) 8.6 0.8 25.3 25.6 29.8 1.5

South Korea 3.7 — 8.7 — 0.1 2.1 1.5 (0.9) 8.1 0.4 23.7 22.8 32.0 1.4

Germany 0.5 — — — 0.2 6.6 7.7 (4.1) 9.1 2.6 22.6 20.4 19.4 1.3

China 5.2 — 2.9 — 0.8 1.7 1.0 (1.2) 9.1 1.2 20.7 19.1 23.4 1.2

Japan 1.5 — — — — 4.0 3.1 (2.3) 5.1 7.6 19.0 17.9 15.9 1.1

United Arab

Emirates 7.2 1.5 — — 1.0 5.8 0.2 (0.4) 2.1 — 17.4 15.8 14.9 1.0

Jersey 2.4 3.3 — — — 10.3 — (0.1) — — 15.9 16.1 17.7 0.9

Poland 3.1 — 1.4 — — 2.8 0.6 (0.1) 7.3 0.5 15.6 12.5 13.1 0.9

Canada 1.5 1.5 — — 0.1 6.2 1.7 (1.9) 3.7 2.4 15.2 15.8 14.7 0.9

Australia

(8)

8.7 0.4 — — — 5.4 0.8 (1.0) 0.8 (0.7) 14.4 14.5 16.4 0.8

Taiwan 4.0 — — 7.9 0.1 1.2 0.4 (0.1) 0.2 0.1 13.8 14.4 15.3 0.8

Indonesia 1.8 — — 0.5 — 1.2 1.5 (0.2) 1.0 0.1 5.9 5.6 5.5 0.3

Malaysia 1.4 — — — 0.2 0.7 0.1 — 3.1 (0.1) 5.4 8.0 7.8 0.3

Philippines

(9)

0.8 — — — 0.1 0.2 2.4 — 1.8 (0.3) 5.0 5.3 2.3 0.3

Luxembourg 0.1 0.9 — — — — 0.2 (0.3) 3.7 0.1 4.7 4.4 4.0 0.3

South Africa 1.5 — — — — 0.5 — (0.2) 2.5 0.1 4.4 4.3 3.8 0.3

Thailand 1.2 — — — — 0.3 0.1 — 2.4 0.2 4.2 7.4 7.9 0.2

Czech

Republic 0.7 — — — — 0.9 2.0 — 0.4 — 4.0 3.2 3.5 0.2

Chile 1.0 — — — 2.2 0.1 0.1 — — — 3.4 3.2 2.5 0.2

Total as a % of Citi’s total exposure 32.2 %

Total as a % of Citi’s non-U.S. total exposure 93.9 %

(1) PBWM loans reflect funded loans, including those related to the Private bank, net of unearned income. As of December 31, 2022, Private bank loans in the table

above totaled $19.8 billion, concentrated in Singapore ($5.2 billion), the U.K. ($4.8 billion) and Hong Kong ($4.1 billion).

(2) Other funded includes other direct exposures such as accounts receivable and investments accounted for under the equity method.

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

116

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

inclusive of CVA. Also includes margin loans.

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

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

located in that country.

(7) December 31, 2022, September 30, 2022 and December 31, 2021 include Legacy Franchises loans reclassified to HFS as a result of Citi’s agreement to sell its

consumer banking business in each applicable country. For additional information, see “Legacy Franchises” above and Note 2.

(8) December 31, 2021 includes Legacy Franchises loans reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in Australia, which

closed on June 1, 2022. For additional information, see “Legacy Franchises” above and Note 2.

(9) December 31, 2021 includes Legacy Franchises loans reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in the Philippines,

which closed on August 1, 2022. For additional information, see “Legacy Franchises” above and Note 2.

Russia

Introduction

In Russia, Citi has operated through both its ICG and Legacy

Franchises segments. Citi continues to closely monitor the

war in Ukraine, related sanctions and economic conditions and

continues to mitigate its Russia exposures and risks as

appropriate.

As previously disclosed, Citi intends to wind down nearly

all of its consumer, local commercial and institutional banking

businesses in the country. As a result, Citi has ceased

soliciting any new business or new clients in Russia. Citi will

continue to manage its existing legal and regulatory

commitments and obligations, as well as support its

employees, during this period. For additional information, see

“Citi’s Wind-Down of Its Russia Operations” below.

For additional information about Citi’s risks related to its

Russia exposures, see “Risk Factors—Market-Related Risk,”

“—Operational Risks” and “—Other Risks” above.

Impact of Russia’s Invasion of Ukraine on Citi’s Businesses

Russia-related Balance Sheet Exposures

Citi’s domestic operations in Russia are conducted through a

subsidiary of Citibank, AO Citibank, which uses the Russian

ruble as its functional currency.

The following table summarizes Citi’s exposures related to its Russia operations:

In billions of U.S. dollars

December 31,

2022

September 30,

2022

December 31,

2021

Change 4Q22

vs. 3Q22

Loans $ 0.6 $ 1.6 $ 2.9 $ (1.0)

Investment securities

(1)

1.1 1.4 1.5 (0.3)

Net MTM on derivatives/repos

(2)

1.4 1.4 0.4 —

Total hedges (on loans and CVA) (0.1) (0.1) (0.1) —

Unfunded

(3)

0.1 0.2 0.7 (0.1)

Trading accounts assets — 0.1 — (0.1)

Country risk exposure $ 3.1 $ 4.6 $ 5.4 $ (1.5)

Cash on deposit and placements

(4)

2.4 3.0 1.0 (0.6)

National Settlements Depository

(5)

1.8 — — 1.8

Reverse repurchase agreements

(2)

— — 1.8 —

Total third-party exposure

(6)

$ 7.3 $ 7.6 $ 8.2 $ (0.3)

Additional exposures to Russian counterparties that are not held by

the Russian subsidiary 0.2 0.3 1.6 (0.1)

Total Russia exposure

(7)

$ 7.5 $ 7.9 $ 9.8 $ (0.4)

(1) Investment securities include debt securities available-for-sale (AFS), recorded at fair market value, primarily local government debt securities. There were no

impairment losses recognized during the third and fourth quarters of 2022.

(2) Net mark-to-market (MTM) on OTC derivatives and securities lending/borrowing transactions (repos). Effective from 2Q22, reverse repurchase agreements have

been shown gross of collateral and reclassified to net MTM on derivatives/repos in the table above, as netting of collateral for Russia-related reverse repurchase

agreements was removed. This removal was due to the inability to conclude, with a well-founded basis, the enforceability of contractual rights in the Russian legal

system in the event of a counterparty default, given the geopolitical uncertainty caused by the war in Ukraine. As this exposure was already included in Total

third-party exposure, the Total Russia exposure was not impacted by this reclassification.

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

(4) Cash on deposit and placements are primarily with the Central Bank of Russia.

(5) Represents dividends received by Citi in its role as custodian for investor clients in Russia. Citi is unable to remit these funds to clients due to restrictions imposed

by the Russian government.

(6) The majority of AO Citibank’s third-party exposures was funded with domestic deposit liabilities from both corporate and personal banking clients.

(7) Citigroup’s CTA loss included in its AOCI related to its indirect subsidiary, AO Citibank, is excluded from the above table, because the CTA loss is not held in

AO Citibank and would be recognized in Citigroup’s earnings upon either the substantial liquidation or a loss of control of AO Citibank. Citi has separately

described these risks in “Deconsolidation Risk” below.

117

During the fourth quarter of 2022, Citi continued to

reduce its operations in Russia and Russia-related exposures,

resulting in a net decrease in total Russia exposure of $0.4

billion, shown in the table above, as well as a change in the

composition of its exposure as mitigation efforts have reduced

Citi’s third-party credit risk. The sequential decline in

exposure was driven by a $1.3 billion decrease due to

depreciation of the ruble against the U.S. dollar and a $0.9

billion decrease due to loan repayments and sales, partially

offset by a $1.8 billion increase in local currency terms, driven

by dividends received by Citi as custodian for investor clients

in Russia that Citi is unable to remit due to restrictions

imposed by the Russian government.

Citi’s continued risk mitigation efforts include ICG

borrower paydowns and limiting extensions of new credit.

ICG’s credit exposure also reflected a shift to a higher

proportion of stronger credit names, including a higher

proportion of subsidiaries of multinational companies that are

headquartered outside of Russia, primarily in the U.S. and

Europe. The decline in overall exposure was also driven by a

reduction in exposures to Russian counterparties not held by

AO Citibank.

Citi’s net investment in Russia was approximately $1.2

billion as of December 31, 2022 (compared to $1.3 billion as

of September 30, 2022). The decrease was primarily driven by

a $0.2 billion decrease due to depreciation of the ruble against

the U.S. dollar, partially offset by an increase of $0.1 billion in

retained earnings. A portion of Citi’s net investment was

hedged for foreign currency depreciation as of December 31,

2022, using forward foreign exchange contracts executed with

international peer banks.

Earnings and Other Impacts on Citi’s Businesses

Citi’s ICG, PBWM and Legacy Franchises segments and

Corporate/Other have been impacted by various

macroeconomic factors and volatilities, including Russia’s

invasion of Ukraine and its direct and indirect impact on the

European and global economies. For a broader discussion of

these factors and volatilities on Citi’s businesses, see

“Executive Summary” and each business’s results of

operations above.

As of December 31, 2022, Citigroup’s ACL included a

$0.3 billion remaining credit reserve for Citi’s direct and

indirect Russian counterparties (down from $0.5 billion at

September 30, 2022).

Citi’s Wind-Down of Its Russia Operations

In August 2022, Citi disclosed its decision to wind down its

Russia consumer and local commercial banking businesses,

including actively pursuing portfolio sales. In connection with

the wind-down plan, Citi incurred $22 million (excluding the

impact from any portfolio sales) of costs in 2022.

In October 2022, Citi announced that it will be ending

nearly all of the institutional banking services it offers in

Russia by the end of the first quarter of 2023. Going forward,

Citi’s only operations in Russia will be those necessary to

fulfill its remaining legal and regulatory obligations.

On October 28, 2022, Citi entered into an agreement to

sell a portfolio of ruble-denominated personal installment

loans, totaling approximately $240 million in outstanding loan

balances as of the fourth quarter of 2022, to Uralsib, a Russian

commercial bank. Citi closed the sale in December 2022 and

incurred a pretax net loss of approximately $12 million as a

result. In connection with the portfolio sale, Citi also entered

into a referral agreement to settle to Uralsib a portfolio of

ruble-denominated credit card loans, subject to customer

consents. The outstanding card loans balance was

approximately $219 million as of the fourth quarter of 2022.

Citi will refer credit card customers, who at the customers’

sole discretion will be eligible to refinance their outstanding

card loan balances with Uralsib.

At this time, Citi expects to incur estimated costs of

approximately $190 million in connection with its consumer

and institutional wind-down plans in Russia, primarily through

2024 ($80 million in ICG and $110 million in Legacy

Franchises). For additional information, see “Institutional

Clients Group” and “Legacy Franchises” above.

Deconsolidation Risk

Citi’s operations in Russia subject it to various risks,

including, among others, foreign currency volatility, including

appreciations or devaluations; restrictions arising from

retaliatory Russian laws and regulations on the conduct of its

business; sanctions or asset freezes; or other deconsolidation

events (for additional information, see “Risk Factors—Other

Risks” above). Examples of triggers that may result in

deconsolidation of AO Citibank include voluntary or forced

sale of ownership or loss of control due to actions of relevant

governmental authorities, including expropriation (i.e., the

entity becomes subject to the complete control of a

government, court, administrator, trustee or regulator);

revocation of banking license; and loss of ability to elect a

board of directors or appoint members of senior management.

As of December 31, 2022, Citi continued to consolidate AO

Citibank because none of the deconsolidation factors were

triggered.

In the event of a loss of control of AO Citibank, Citi

would be required to (i) write off the net investment of

approximately $1.2 billion (compared to $1.3 billion as of

September 30, 2022), (ii) recognize a CTA loss of

approximately $1.3 billion through earnings (compared to $1.0

billion as of September 30, 2022) and (iii) recognize a loss of

$0.5 billion (compared to $0.3 billion as of September 30,

2022) on intercompany liabilities owed by AO Citibank to

other Citi entities outside Russia. In the sole event of a

substantial liquidation, as opposed to a loss of control, Citi

would be required to recognize the CTA loss of approximately

$1.3 billion through earnings and would evaluate its remaining

net investment as circumstances evolve.

Citi as Paying Agent for Russian-related Clients

Citi serves or served as paying agent on bonds issued by

various entities in Russia, including Russian corporate clients.

Citi’s role as paying agent is administrative. In this role, Citi

acts as an agent of its client, the bond issuer, receiving interest

and principal payments from the bond issuer and then making

payments to international central securities depositories (e.g.,

Depository Trust Company, Euroclear, Clearstream). The

international central securities depositories (ICSDs) make

payments to those participants or account holders (e.g., broker/

118

dealers) that have clients who are investors in the applicable

bonds (i.e., bondholders). As a paying agent, Citi generally

does not have information about the identity of the

bondholders. Citi may be exposed to risks due to its

responsibilities for receiving and processing payments on

behalf of its clients as a result of sanctions or other

governmental requirements and prohibitions. To mitigate

operational and sanctions risks, Citi has established policies,

procedures and controls for client relationships and payment

processing to help ensure compliance with U.S., U.K., EU and

other jurisdictions’ sanctions laws.

These processes may require Citi to delay or withhold the

processing of payments as a result of sanctions on the bond

issuer. Citi is also prevented from making payments to

accounts on behalf of bondholders should the ICSDs disclose

to Citi the presence of sanctioned bondholders. In both

instances, Citi is generally required to segregate, restrict or

block the funds until applicable sanctions are lifted or the

payment is otherwise authorized under applicable law.

Reputational Risks

Citi has continued its efforts to enhance and protect its

reputation with its colleagues, clients, customers, investors,

regulators and the public. Citi’s response to the war in

Ukraine, including any action or inaction, may have a negative

impact on Citi’s reputation with some or all of these parties.

For example, Citi is exposed to reputational risk as a

result of its current presence in Russia and association with

Russian individuals or entities, whether subject to sanctions or

not, including Citi’s inability to support its global clients in

Russia, which could adversely affect its broader client

relationships and businesses; current involvement in

transactions or supporting activities involving Russian assets

or interests; failure to correctly interpret and apply laws and

regulations, including those related to sanctions; perceived

misalignment of Citi’s actions to its stated strategy in Russia;

and the reputational impact from Citi’s activity and

engagement with Ukraine or with non-Russian clients exiting

their Russia businesses. Citi has considered the potential for

reputation risk and taken actions to mitigate such risks. Citi

established a Russia Special Review Process with

management’s Reputation Risk Committee with oversight for

significant Russia-related reputation risks and completed a

number of reputation risk reviews of matters with a Russian

nexus.

While Citi announced its intention to wind down its

businesses in Russia, Citi will continue to manage those

operations during the wind-down process and will be required

to maintain certain limited operations to fulfill its remaining

legal and regulatory obligations. Also, sanctions and sanctions

compliance are highly complex and may change over time and

result in increased operational risk. Failure to fully comply

with relevant sanctions or the application of sanctions where

they should not be applied may negatively impact Citi’s

reputation. In addition, Citi currently performs services for,

conducts business with or deals in non-sanctioned Russian-

owned businesses and Russian assets. This has attracted, and

will likely continue to attract, negative attention, despite the

previously disclosed plan to wind down nearly all its activities

in the country, cessation of new business and client

originations, and reduction of other exposures.

Citi’s continued presence or divestiture of businesses in

Russia could also increase its susceptibility to cyberattacks

that could negatively impact its relationships with clients and

customers, harm its reputation, increase its compliance costs

and adversely affect its business operations and results of

operations. For additional information on operational and

cyber risks, see “Risk Factors—Operational Risk” above.

Board’s Role in Overseeing Related Risks

The Citi Board of Directors (Board) and the Board’s Risk

Management Committee (RMC) and its other Committees

have received and continue to receive regular reports from

senior management regarding the war in Ukraine and its

impact on Citi’s operations in Russia, Ukraine and elsewhere,

as well as the war’s broader geopolitical, macroeconomic and

reputational impacts. In addition to receiving regular briefings

from management, the full Board has routinely been invited to

attend portions of the RMC meetings for discussions related to

the war in Ukraine, including with respect to Citi’s risk

exposures and stress testing. The reports to the Board and its

Committees from senior management who represent the

impacted businesses and the EMEA region, Independent Risk

Management, Finance, Independent Compliance Risk

Management, including those individuals responsible for

sanctions compliance, and Human Resources, have included

detailed information regarding financial impacts, impacts on

capital, cybersecurity, strategic considerations, sanctions

compliance, employee assistance and reputational risks,

enabling the Board and its Committees to properly exercise

their oversight responsibilities. In addition, senior

management has also provided updates to Citi’s Executive

Management Team and the Board, outside of formal meetings,

regarding Citi’s Russia-related risks, including with respect to

cybersecurity matters.

119

Ukraine

Citi has continued to operate in Ukraine throughout the war

through its ICG businesses, serving the local subsidiaries of

multinationals, along with local financial institutions and the

public sector. Citi employs approximately 230 people in

Ukraine and their safety is Citi’s top priority.

All of Citi’s domestic operations in Ukraine are

conducted through a subsidiary of Citibank, which uses the

Ukrainian hryvnia as its functional currency. Citi’s exposures

in Ukraine are not significant enough to be included in the

“Top 25 Country Exposures” table above. As of December 31,

2022, these exposures amounted to $1.0 billion, unchanged

from September 30, 2022, and were exclusively composed of

third-party assets held on the Citi Ukraine subsidiary.

Argentina

Citi operates in Argentina through its ICG businesses. As of

December 31, 2022, Citi’s net investment in its Argentine

operations was approximately $1.7 billion. Under U.S. GAAP,

Citi uses the U.S. dollar as the functional currency for its

operations in countries that are deemed highly inflationary.

Citi uses Argentina’s official market exchange rate to

remeasure its net Argentine peso-denominated assets into the

U.S. dollar. As of December 31, 2022, the official Argentine

peso exchange rate against the U.S. dollar was 177.15.

As previously disclosed, the Central Bank of Argentina

has continued to maintain certain capital and currency controls

that restrict Citi’s ability to access U.S. dollars in Argentina

and remit earnings from its Argentine operations. As a result,

Citi’s net investment in its Argentine operations is likely to

continue to increase as Citi generates net income in its

Argentine franchise and its earnings cannot be remitted.

Due to the currency controls implemented by the Central

Bank of Argentina, certain indirect foreign exchange

mechanisms have developed that some Argentine entities may

use to obtain U.S. dollars, generally at rates that are

significantly higher than Argentina’s official exchange rate.

Citibank Argentina is precluded from accessing these

alternative mechanisms, and these exchange mechanisms

cannot be used to remeasure Citi’s net monetary assets into the

U.S. dollar under U.S. GAAP. However, if Argentina’s

official exchange rate converges with the approximate rate

implied by the indirect foreign exchange mechanisms, Citi

could incur a loss on its capital in Argentina. Citi cannot

predict future fluctuations in Argentina’s official market

exchange rate or to what extent Citi may be able to access U.S.

dollars at the official exchange rate in the future.

Citi economically hedges the foreign currency risk in its

net Argentine peso-denominated assets to the extent possible

and prudent using non-deliverable forward (NDF) derivative

instruments that are primarily executed outside of Argentina.

As of December 31, 2022, the international NDF market had

very limited liquidity, resulting in Citi’s inability to

economically hedge its Argentine peso exposure. Accordingly,

and to the extent that Citi does not execute NDF contracts for

this unhedged exposure in the future, Citi would record

devaluations on its net Argentine peso-denominated assets in

earnings, without any benefit from a change in the fair value

of derivative positions used to economically hedge the

exposure.

Citi continually evaluates its economic exposure to its

Argentine counterparties and reserves for changes in credit

risk and records mark-to-market adjustments for relevant

market risks associated with its Argentine assets. Citi believes

it has established an appropriate ACL on its Argentine loans,

and appropriate fair value adjustments on Argentine assets and

liabilities measured at fair value, for credit and sovereign risks

under U.S. GAAP as of December 31, 2022. However, U.S.

regulatory agencies may require Citi to record additional

reserves in the future, increasing ICG’s cost of credit, based on

the perceived country risk associated with its Argentine

exposures.

For additional information on Citi’s emerging markets

risks, including those related to its Argentine exposures, see

“Risk Factors” above.

FFIEC—Cross-Border Claims on Third Parties and Local

Country Assets

Citi’s cross-border disclosures are presented below, based on

the country exposure bank regulatory reporting guidelines of

the Federal Financial Institutions Examination Council

(FFIEC). The following summarizes some of the key FFIEC

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.

120

The tables below show each country whose total outstandings exceeded 0.75% of total Citigroup assets:

December 31, 2022

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 $ 4.9 $ 31.7 $ 59.9 $ 16.2 $ 11.4 $ 82.4 $ 112.7 $ 24.3 $ 79.3 $ 77.8

Cayman Islands — — 99.8 9.8 6.1 70.3 109.6 18.4 0.2 0.2

Japan 35.4 40.0 17.2 6.9 17.0 71.4 99.5 15.6 13.6 11.9

Germany 4.9 48.3 39.6 6.7 8.3 55.9 99.5 24.1 50.8 48.8

Mexico 2.9 31.1 11.4 29.0 3.9 40.8 74.4 22.0 6.4 5.2

France 9.9 10.9 35.6 7.7 10.3 52.4 64.1 68.8 66.2 62.8

Singapore 2.1 22.6 6.5 16.2 2.3 40.5 47.4 15.7 1.2 1.0

South Korea 4.6 17.7 6.4 15.3 4.2 34.8 44.0 11.2 6.4 5.6

Hong Kong 0.7 14.9 3.5 20.6 4.1 33.7 39.7 13.7 1.5 1.3

China 3.1 18.8 1.9 13.2 8.3 31.2 37.0 5.8 8.9 8.6

Brazil 2.4 14.5 2.8 14.4 5.8 25.1 34.1 3.4 5.5 5.1

India 1.4 13.5 6.7 12.7 2.6 24.2 34.3 8.8 1.4 1.2

Canada 6.6 13.3 7.4 4.0 4.0 23.4 31.3 11.6 6.8 6.8

Australia 3.0 13.2 8.7 3.4 5.7 24.2 28.3 5.0 3.5 3.1

Netherlands 3.9 10.6 5.8 4.6 4.0 19.1 24.9 9.2 31.8 31.0

Switzerland 2.1 13.7 1.1 4.7 2.0 18.5 21.6 8.8 19.4 19.2

Ireland 0.1 3.6 13.0 4.3 2.7 19.8 21.0 6.8 2.7 2.6

Taiwan 0.6 5.6 1.4 12.7 2.2 16.4 20.3 12.9 — —

December 31, 2021

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 $ 7.0 $ 31.1 $ 55.6 $ 19.2 $ 16.5 $ 70.8 $ 112.9 $ 23.0 $ 76.3 $ 70.8

Cayman Islands — — 78.8 13.2 7.4 56.3 92.0 9.9 0.4 0.3

Japan 31.0 30.1 12.8 8.7 15.6 54.8 82.6 8.4 13.4 12.1

Germany 4.5 48.9 47.7 9.6 18.5 78.3 110.7 23.2 48.6 44.7

Mexico 2.8 28.4 9.3 25.8 2.7 33.4 66.3 19.7 6.7 6.1

France 9.7 9.6 27.0 9.8 14.0 41.6 56.1 85.3 62.6 55.7

Singapore 1.9 18.3 12.1 17.4 2.7 39.1 49.7 16.3 1.4 1.3

South Korea 3.6 17.9 3.2 21.9 2.0 37.7 46.6 12.7 9.0 8.1

Hong Kong 1.3 12.3 3.9 21.8 4.2 30.2 39.3 13.6 1.7 1.5

Australia 3.9 14.2 5.7 12.8 7.3 22.9 36.6 13.6 4.0 3.9

China 4.2 12.9 3.7 14.7 8.0 26.3 35.5 4.4 9.6 9.0

India 1.2 15.0 4.4 13.1 2.6 23.4 33.7 10.2 1.8 1.4

Taiwan 0.5 7.0 1.7 15.8 4.8 21.1 25.0 14.6 — 0.1

Netherlands 5.9 8.8 3.3 5.7 5.2 16.2 23.7 9.8 30.8 27.6

Brazil 2.0 12.9 2.2 12.5 3.9 20.3 29.6 3.2 6.2 5.6

Italy 2.8 10.9 0.9 1.8 8.1 2.4 16.4 1.6 38.8 37.0

Switzerland 1.4 13.7 0.9 6.0 3.1 20.0 22.0 9.7 18.9 17.6

Canada 6.5 12.2 4.7 4.1 3.8 21.0 27.5 12.9 5.7 5.3

(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.

121

SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES

This section contains a summary of Citi’s most significant

accounting policies. Note 1 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. A substantial portion of

these assets and liabilities is reflected at fair value on Citi’s

Consolidated Balance Sheet as Trading account assets,

Available-for-sale securities and Trading account liabilities.

Citi purchases securities under agreements to resell

(reverse repos or resale agreements) and sells securities under

agreements to repurchase (repos), a substantial portion of

which is carried at fair value. In addition, certain loans, short-

term borrowings, long-term debt and deposits, as well as

certain securities borrowed and loaned positions that are

collateralized with cash, are carried at fair value. Citigroup

holds its investments, trading assets and liabilities, and resale

and repurchase agreements on Citi’s Consolidated Balance

Sheet to meet customer needs and to manage liquidity needs,

interest rate risks and private equity investing.

When available, Citi generally uses quoted market prices

to determine fair value and classifies such items within Level

1 of the fair value hierarchy established under ASC 820-10,

Fair Value Measurement. If quoted market prices are not

available, fair value is based on 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 drivers to the valuation of

an instrument and the degree of illiquidity and subsequent lack

of observability in certain markets. The fair value of these

instruments is reported on Citi’s Consolidated Balance Sheet

with the changes in fair value recognized in either the

Consolidated Statement of Income or in AOCI.

Losses on available-for-sale securities whose fair values

are less than the amortized cost, where Citi intends to sell the

security or could more-likely-than-not be required to sell the

security prior to recovery, are recognized in earnings. Where

Citi does not intend to sell the security nor could more-likely-

than-not be required to sell the security, any portion of the loss

that is attributable to credit is recognized as an allowance for

credit losses with a corresponding provision for credit losses

and the remainder of the loss is recognized in AOCI. Such

losses are capped at the difference between the fair value and

amortized cost of the security.

For equity securities carried at cost or under the

measurement alternative, decreases in fair value below the

carrying value are recognized as impairment in the

Consolidated Statement of Income. Moreover, for certain

equity method investments, decreases in fair value are only

recognized in earnings in the Consolidated Statement of

Income if such decreases are judged to be an other-than-

temporary impairment (OTTI). Assessing if the fair value

impairment is temporary 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, 25 and 26.

122

Citi’s Allowance for Credit Losses (ACL)

The table below shows Citi’s allowance for credit losses on

loans (ACLL) and total ACL as of the fourth quarter of 2022.

For information on the drivers of Citi’s ACL build in the

fourth quarter of 2022, see below. For information on

refinement in the ACL estimation approach to introduce

multiple macroeconomic scenarios to the quantitative

component of the ACL, see Note 1. Also see Note 1 for

additional information on Citi’s accounting policy on

accounting for credit losses under ASC Topic 326, Financial

Instruments—Credit losses; Current Expected Credit Losses

(CECL).

Allowance for credit losses (ACL)

In millions of dollars

Balance

Dec. 31,

2021

Build (release)

2022

FX/

Other

(1)

Balance

Dec. 31,

2022

ACLL/EOP

loans Dec. 31,

2022

(2)

1Q22 2Q22 3Q22 4Q22 2022

ICG $ 2,241 $ 596 $ (76) $ 75 $ (117) $ 478 $ (4) $ 2,715

Legacy Franchises corporate (Mexico SBMM) 174 5 (3) (34) (7) (39) 5 140

Total corporate ACLL $ 2,415 $ 601 $ (79) $ 41 $ (124) $ 439 $ 1 $ 2,855 1.01 %

U.S. Cards

(2)

$ 10,840 $ (1,009) $ 447 $ 303 $ 814 $ 555 $ (2) $ 11,393 7.56 %

Retail banking and Global Wealth Management 1,181 (53) 191 57 (43) 152 (3) 1,330

Total PBWM $ 12,021 $ (1,062) $ 638 $ 360 $ 771 $ 707 $ (5) $ 12,723

Legacy Franchises consumer 2,019 (151) (25) 40 (54) (190) (433) 1,396

Total consumer ACLL $ 14,040 $ (1,213) $ 613 $ 400 $ 717 $ 517 $ (438) $ 14,119 3.84 %

Total ACLL $ 16,455 $ (612) $ 534 $ 441 $ 593 $ 956 $ (437) $ 16,974 2.60 %

Allowance for credit losses on unfunded lending

commitments (ACLUC) 1,871 474 (159) (71) 47 291 (11) 2,151

Other

(3)

148 (6) 27 83 5 109 (14) 243

Total ACL $ 18,474 $ (144) $ 402 $ 453 $ 645 $ 1,356 $ (462) $ 19,368

(1) Includes reclassifications to Other assets related to Citi’s agreements to sell certain of its consumer banking businesses. See Notes 2 and 15.

(2) As of December 31, 2022, in U.S. Personal Banking, Branded cards ACLL/EOP loans was 6.2% and Retail services ACLL/EOP loans was 10.3%.

(3) Includes ACL on HTM securities and Other assets.

Citi’s reserves for expected credit losses on funded loans

and for unfunded lending commitments, standby letters of

credit and financial guarantees are reflected on the

Consolidated Balance Sheet in the Allowance for credit losses

on loans (ACLL) and Other liabilities (for Allowance for

credit losses on unfunded lending commitments (ACLUC)),

respectively. In addition, Citi reserves for expected credit

losses on other financial assets carried at amortized cost,

including held-to-maturity securities, reverse repurchase

agreements, securities borrowed, deposits with banks and

other financial receivables. These reserves, together with the

ACLL and ACLUC, are referred to as the ACL. Changes in

the ACL are reflected as Provision for credit losses in the

Consolidated Statement of Income for each reporting period.

Citi’s ability to estimate expected credit losses over the

reasonable and supportable (R&S) period is based on the

ability to forecast economic activity over an R&S timeframe.

The R&S forecast period for consumer and corporate loans is

eight quarters.

The ACL is composed of quantitative and qualitative

management adjustment components. The quantitative

component uses three forward-looking macroeconomic

forecast scenarios—base, upside and downside. The

qualitative management adjustment component reflects risks

and current economic conditions not captured in the

quantitative component. Both the quantitative and qualitative

components are further discussed below.

Quantitative Component

Citi estimates expected credit losses for its quantitative

component using (i) its comprehensive internal data on loss

and default history, (ii) internal credit risk ratings, (iii)

external credit bureau and rating agencies information and (iv)

R&S forecasts of macroeconomic conditions.

For its consumer and corporate portfolios, Citi’s expected

credit losses are determined primarily by utilizing models that

consider the borrowers’ probability of default (PD), loss given

default (LGD) and exposure at default (EAD). The loss

likelihood and severity models used for estimating expected

credit losses are sensitive to changes in macroeconomic

variables, including housing prices, unemployment and real

GDP, and cover a wide range of geographic, industry, product

and business segments.

In addition, Citi’s models determine expected credit

losses based on leading credit indicators, including loan

delinquencies, changes in portfolio size, default frequency,

123

risk ratings and loss recovery rates, as well as other credit

trends.

Qualitative Component

The qualitative management adjustment component includes

risks not fully captured in the quantitative component, as

required by banking supervisory guidance for the ACL,

including, but not limited to:

• Concentrations and collateral valuation risk with obligors

in the global portfolio

• Emerging macroeconomic risks due to uncertainties

related to the war in Ukraine, potential global recession,

inflation, interest rates, commodity prices and potential

impacts on vulnerable industries and regions

• Normalization of portfolio performance and consumer

behavior from record low losses as a result of government

stimulus and market liquidity

Citi’s qualitative component declined year-over-year,

primarily driven by the incorporation of multiple

macroeconomic scenarios in the quantitative component and

releases of COVID-19–related uncertainty reserves as the

portfolio continues to normalize toward pre-pandemic levels

and as these risks are captured in the quantitative component

of the ACL.

Macroeconomic Variables

Citi considers a multitude of global macroeconomic variables

for the base, upside and downside probability-weighted

macroeconomic scenario forecasts it uses to estimate the ACL.

Citi’s forecasts of the U.S. unemployment rate and U.S. real

GDP growth rate represent the key macroeconomic variables

that most significantly affect its estimate of the ACL.

The tables below show Citi’s forecasted quarterly average

U.S. unemployment rate and year-over-year U.S. real GDP

growth rate used in determining the base macroeconomic

forecast for Citi’s ACL for each quarterly reporting period

from 4Q21 to 4Q22:

Quarterly average

U.S. unemployment 1Q23 3Q23 1Q24

8-quarter

average

(1)

Citi forecast at 4Q21 3.7 % 3.7 % 3.7 % 3.8 %

Citi forecast at 1Q22 3.5 3.5 3.6 3.6

Citi forecast at 2Q22 3.6 3.8 3.9 3.7

Citi forecast at 3Q22 3.8 4.2 4.0 4.0

Citi forecast at 4Q22 3.9 4.5 4.6 4.4

(1) Represents the average unemployment rate for the rolling, forward-

looking eight quarters in the forecast horizon.

Year-over-year growth rate

(1)

Full year

U.S. real GDP 2022 2023 2024

Citi forecast at 4Q21 4.0 % 2.2 % 1.8 %

Citi forecast at 1Q22 3.3 2.4 2.1

Citi forecast at 2Q22 2.6 1.8 2.0

Citi forecast at 3Q22 1.6 0.6 1.9

Citi forecast at 4Q22 1.9 0.3 1.5

(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 4Q22, U.S.

real GDP growth is expected to decline during 2023, and the

unemployment rate is expected to increase modestly over the

forecast horizon, broadly returning to pre-pandemic levels.

Scenario Weighting

Citi’s ACL is estimated using three probability-weighted

macroeconomic scenarios—base, upside and downside. The

macroeconomic scenario weights are estimated using a

statistical model, which, among other factors, takes into

consideration key macroeconomic drivers of the ACL, severity

of the scenario and other macroeconomic uncertainties and

risks. Citi evaluates scenario weights on a quarterly basis.

Citi’s downside scenario incorporates more adverse

macroeconomic assumptions than the base scenario. For

example, compared to the base scenario, Citi’s downside

scenario reflects a more severe recession, including an

elevated average U.S. unemployment rate of 6.9% over the

eight-quarter R&S period, with a peak difference of 2.9% in

the second quarter of 2024. The downside scenario also

reflects a year-over-year U.S. real GDP contraction in 2023 of

2.4%, with a peak quarter-over-quarter difference of 3.3% in

the second quarter of 2023.

Citi’s ACL is sensitive to the various macroeconomic

scenarios that drive the quantitative component of expected

credit losses due to changes in the length and severity of

forecasted economic variables or events in the respective

scenarios. To demonstrate this sensitivity, Citi applied 100%

weight to the downside scenario as of December 31, 2022 to

reflect the most severe economic deterioration forecast in the

multiple macroeconomic scenarios. Citi’s downside scenario

incorporates more adverse macroeconomic assumptions than

the weighted scenario assumptions; therefore, applying a

100% downside scenario weight would result in a hypothetical

increase in the ACL of approximately $4.2 billion related to

lending exposures, except for loans individually evaluated for

credit losses.

This analysis does not incorporate any impacts or changes

to the qualitative component of the ACL. These factors could

decrease the outcome of the sensitivity analysis based on

historical experience and current conditions at the time of the

assessment. Given the uncertainty inherent in macroeconomic

forecasting, Citi continues to believe that its ACL estimate

based on a three probability-weighted macroeconomic

scenario approach combined with the qualitative component

remains appropriate as of December 31, 2022.

124

4Q22 Changes in the ACL

As further discussed below, in the fourth quarter of 2022, Citi

had an ACL build of $0.7 billion for its consumer portfolios

and a release of $0.1 billion for its corporate portfolios, for a

net ACL build of $0.6 billion. The build was primarily driven

by cards loan growth in consumer portfolios and a

deterioration in macroeconomic assumptions (see

“Macroeconomic Variables” above), partially offset by

reductions in Russia exposures (see “Managing Global Risk—

Other Risks—Russia” above). Based on its latest

macroeconomic forecast, Citi believes its analysis of the ACL

reflects the forward view of the economic environment as of

December 31, 2022. See Note 15 for additional information.

Consumer

Citi’s consumer ACLL is largely driven by U.S. Cards in U.S.

Personal Banking. As discussed above, Citi’s total consumer

ACLL build was $0.7 billion in the fourth quarter of 2022,

primarily driven by U.S. Cards loan growth and a deterioration

in macroeconomic assumptions, which increased the ACLL

balance to $14.1 billion, or 3.84% of total funded consumer

loans.

For U.S. Cards, the level of reserves relative to total

funded loans increased to 7.56% as of December 31, 2022,

compared to 7.53% at September 30, 2022. For the remaining

consumer exposures, the level of reserves relative to total

funded loans was 1.3% at December 31, 2022, unchanged

from September 30, 2022.

Corporate

Citi had a corporate ACLL release of $0.1 billion in the fourth

quarter of 2022. The release was primarily driven by the

reduction of direct exposures in Russia, partially offset by the

deterioration of macroeconomic assumptions. Including FX/

Other, the ACLL reserve balance decreased $93 million to

$2.9 billion, or 1.01% of total funded corporate loans.

ACLUC

Citi had an ACLUC build of $47 million in the fourth quarter

of 2022, which increased the ACLUC reserve balance,

included in Other liabilities, to $2.2 billion. The build was

primarily driven by a deterioration in macroeconomic

assumptions.

ACL on Other Financial Assets

Citi had an ACL build on other financial assets carried at

amortized cost of $5 million in the fourth quarter of 2022.

Including FX/Other, the ACL reserve balance decreased $13

million to $0.2 billion, included in Other assets. See Note 15

for additional information.

ACLL and Non-accrual Ratios

At December 31, 2022, the ratio of the ACLL to total funded

loans was 2.60% (3.84% for consumer loans and 1.01% for

corporate loans) compared to 2.54% at September 30, 2022

(3.74% for consumer loans and 1.04% for corporate loans).

Citi’s total non-accrual loans were $2.4 billion at

December 31, 2022, down $447 million from September 30,

2022. Consumer non-accrual loans decreased $84 million to

$1.3 billion at December 31, 2022, from $1.4 billion at

September 30, 2022, while corporate non-accrual loans

decreased $363 million to $1.1 billion at December 31, 2022,

from $1.5 billion at September 30, 2022. In addition, the ratio

of non-accrual loans to total loans was 0.39% and 0.36% for

corporate and consumer loans, respectively, at December 31,

2022 (for additional information on non-accrual loans, see

“Additional Consumer and Corporate Credit Details—Non-

Accrual Loans and Assets and Renegotiated Loans” above).

Regulatory Capital Impact

Citi elected the modified CECL transition provision for

regulatory capital purposes provided by the U.S. banking

agencies’ final rule. Accordingly, the Day One regulatory

capital effects resulting from the adoption of CECL, as well as

the ongoing adjustments for 25% of the change in CECL-

based allowances in each quarter between January 1, 2020 and

December 31, 2021, started to be phased in on January 1, 2022

and will be fully reflected in Citi’s regulatory capital as of

January 1, 2025.

See Notes 1 and 15 for a further description of the ACL

and related accounts.

Goodwill

Citi tests goodwill for impairment annually and conducts

interim assessments between annual tests if an event occurs or

circumstances change that would more-likely-than-not reduce

the fair value of a reporting unit below its carrying amount.

These events or circumstances include, among other things, a

significant adverse change in the business climate, a decision

to sell or dispose of all or a significant portion of a reporting

unit or a sustained decrease in Citi’s stock price.

Citi had historically performed its annual goodwill

impairment test as of July 1 each year. During the quarter

ended September 30, 2022, the Company voluntarily changed

its annual impairment assessment date from July 1 to October

1. Based on interim impairment tests performed between the

previous annual test on July 1, 2021 and the annual test to be

performed on October 1, 2022, no more than 12 months have

elapsed between goodwill impairment tests of any of Citi’s

reporting units. The change in measurement date represents a

change in method of applying an accounting principle. This

change is preferable because it better aligns the Company’s

goodwill impairment testing procedures with its annual

planning process and with its fiscal year-end. Citi continues to

monitor each reporting unit for triggering events for purposes

of goodwill impairment testing. The change in accounting

principle did not result in any delay, acceleration or avoidance

of an impairment charge. During the fourth quarter of 2022,

the annual test was performed, which resulted in no goodwill

impairment as described in Note 16.

As of December 31, 2022, Citigroup’s activities were

conducted through the Institutional Clients Group, Personal

Banking and Wealth Management and Legacy Franchises

operating 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

125

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 reporting units 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 a reporting unit can be supported by its fair value,

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. Where

applicable, bids from buyers are also utilized to determine fair

value.

Similar to 2021, Citi engaged an independent valuation

specialist in 2022 to assist in Citi’s valuation of all the

reporting units, primarily employing both the income and

market approach to determine the fair value of the reporting

units. Bids from buyers were also used, where available. The

resulting fair values were relatively consistent and appropriate

weighting was given to outputs from the income and market

approach valuations. The income approach utilized discount

rates that Citi believes adequately reflected the risk and

uncertainty in the financial markets in the internally generated

cash flow projections.

The income approach employs a capital asset pricing

model in estimating the discount rate. 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 October 1, 2022. 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 as international. In

addition, the market capitalization of Citigroup does not

include consideration of the individual reporting unit’s control

premium.

As discussed in Note 3, effective January 1, 2022, as part

of its strategic refresh, Citi made changes to its management

structure, which resulted in changes in its operating segments

and reporting units to reflect how the CEO, who is the chief

operating decision maker, manages the Company, including

allocating resources and measuring performance. Goodwill

balances were reallocated across the new reporting units based

on their relative fair values using the valuation performed as of

the effective date of the reorganization. Further, the goodwill

balances associated with certain Asia Consumer businesses

within the Legacy Franchises operating segment were

reclassified to HFS as of March 31, 2022. See Note 2 for a

discussion of Citi’s divestiture activities.

The reorganization of Citi’s management structure and the

announced sales of businesses within the Legacy Franchises

operating segment were identified as triggering events for

purposes of goodwill impairment testing. Consistent with the

requirements of ASC 350, interim goodwill impairment tests

were performed that resulted in an impairment of $535 million

to the Asia Consumer reporting unit within the Legacy

Franchises operating segment, due to the implementation of

Citi’s revised operating segments and reporting units, as well

as the timing of mutual execution of sale agreements for

certain of the Asia consumer banking businesses. This

impairment was recorded in the first quarter of 2022 as an

operating expense.

During the second quarter of 2022, Citi’s Banking

reporting unit within the ICG operating segment was

negatively impacted by the industry-wide decline in

investment banking activity and macroeconomic challenges

and uncertainties. These conditions resulted in a corresponding

decline in the operating results of the Banking reporting unit

as of June 30, 2022, and were identified as a triggering event

for purposes of goodwill impairment testing. Consistent with

the requirements of ASC 350, an interim goodwill impairment

test was performed that resulted in no impairment of the

Banking reporting unit within the ICG operating segment.

During the third quarter of 2022, Citi’s Banking reporting

unit within the ICG operating segment continued to be

negatively impacted by the industry-wide decline in

investment banking activity amid ongoing macroeconomic

challenges and uncertainties. The presence of these conditions

was identified as a triggering event for the purposes of

goodwill impairment testing. Consistent with the requirements

of ASC 350, an interim goodwill impairment test was

performed that resulted in no impairment of the Banking

reporting unit.

Also, during the third quarter of 2022, Citi performed an

interim goodwill impairment test on the Mexico Consumer/

SBMM reporting unit as of July 1, 2022 to satisfy the

requirement that no more than 12 months elapse between the

tests for all reporting units. The test resulted in no impairment

as the fair value of the Mexico Consumer/SBMM reporting

unit was greater than its carrying value.

During the fourth quarter of 2022, Citi performed its

annual goodwill impairment test as of October 1, 2022, which

resulted in no impairment. The result of the impairment test

showed that the fair value of Citi’s reporting units exceeded

their carrying value for all reporting units. The fair value of

two reporting units (Banking and Mexico Consumer/SBMM)

ranged from 102% to 106% of their carrying values. The

carrying values of the Banking and Mexico Consumer/SBMM

reporting units included approximately $1.5 billion and $1

billion of goodwill, respectively. The fair values of Citi’s other

reporting units as a percentage of their carrying values ranged

from approximately 111% to 277%.

While the inherent risk related to uncertainty is embedded

in the key assumptions used in the valuations of the reporting

units, the economic and business environments continue to

evolve as Citi’s management implements its strategic refresh.

If management’s future estimates of key economic and market

assumptions were to differ from its current assumptions, Citi

could potentially experience material goodwill impairment

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charges in the future. See Notes 1 and 16 for additional

information on goodwill, including the changes in the

goodwill balance year-over-year and the segments’ goodwill

balances as of December 31, 2022.

Litigation Accruals

See the discussion in Note 29 for information regarding Citi’s

policies on establishing accruals for litigation and regulatory

contingencies.

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 (VA) 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. With

respect to non-U.S. subsidiaries, dividends from these

subsidiaries are 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.

On January 4, 2022, final foreign tax credit (FTC)

regulations were published in the Federal Register. These

regulations eliminate the creditability of foreign taxes paid in

certain situations. These include countries that do not align

with U.S. tax principles in significant part and for services

performed outside the recipient country. The impact on Citi’s

2022 effective tax rate was not material.

The Inflation Reduction Act, signed into law on August

16, 2022, had no impact on Citi’s 2022 results. The Act

includes a new corporate alternative minimum tax (AMT) and

a 1% excise tax on stock buybacks, both effective January 1,

2023. The corporate AMT is a 15% minimum tax on financial

statement income after adjusting for foreign taxes paid.

Corporate AMT paid in one year is creditable against regular

corporate tax liability in future years. Citi does not expect to

pay material amounts of corporate AMT given its profitability

and tax profile.

The 1% excise tax is a non-deductible tax on the fair

market value of stock repurchased in the taxable year, reduced

by the fair market value of any stock issued in the same year,

and is accounted for in equity.

Deferred Tax Assets and Valuation Allowances (VA)

At December 31, 2022, Citi had net DTAs of $27.7 billion. In

the fourth quarter of 2022, Citi’s DTAs increased by $0.6

billion, primarily as a result of losses in Other comprehensive

income. On a full-year basis, Citi’s DTAs increased by $2.9

billion from $24.8 billion at December 31, 2021.

Of Citi’s total net DTAs of $27.7 billion as of December

31, 2022, $10.9 billion, primarily related to tax carry-

forwards, was deducted in calculating Citi’s regulatory capital.

Net DTAs arising from temporary differences are deducted

from regulatory capital if in excess of the 10%/15%

limitations (see “Capital Resources” above). For the quarter

and year ended December 31, 2022, Citi had $0.3 billion of

disallowed temporary difference DTAs (included in the $10.9

billion above). The remaining $16.8 billion of net DTAs as of

December 31, 2022 was not deducted in calculating regulatory

capital pursuant to Basel III standards, and was appropriately

risk weighted under those rules.

Citi’s total VA at December 31, 2022 was $2.4 billion, a

decrease of $1.8 billion from $4.2 billion at December 31,

2021. The decrease was primarily driven by a release of the

remaining general basket FTC VA and expirations in the FTC

branch basket. Citi’s VA of $2.4 billion is composed of $0.9

billion on its FTC branch basket carry-forwards, $1.0 billion

on its U.S. residual DTA related to its non-U.S. branches, $0.4

billion on local non-U.S. DTAs and $0.1 billion on state net

operating 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 the

main factors in determining the branch VA. The allocated

ODL was enhanced by significant taxable income generated in

the current year.

Citi’s VA against FTC carry-forwards in its general

basket was fully reversed in 2022 from $0.8 billion in 2021,

primarily as a result of the effect of higher interest rates on the

projections of future interest income. See Note 9.

Recognized FTCs comprised approximately $1.9 billion

of Citi’s DTAs as of December 31, 2022, compared to

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approximately $2.8 billion as of December 31, 2021. The

decrease in FTCs year-over-year was primarily due to current-

year usage, net of the VA release. The FTC carry-forward

period represents the most time-sensitive component of Citi’s

DTAs.

Citi had an ODL of approximately $8 billion at December

31, 2022, which allows it to elect a percentage between 50%

and 100% of future years’ domestic source income to be

reclassified as foreign source income. (See Note 9 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 New York

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 the City of New York.

Although realization is not assured, Citi believes that the

realization of its recognized net DTAs of $27.7 billion at

December 31, 2022 is more-likely-than-not, based upon

management’s expectations of 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 VAs into consideration.

See Note 9 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, 2022 (including the FTCs and applicable

expiration dates of the FTCs). For information on Citi’s ability

to use its DTAs, see “Risk Factors—Strategic Risks” above

and Note 9.

Accounting Changes

See Note 1 for a discussion of changes in accounting

standards.

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DISCLOSURE CONTROLS AND

PROCEDURES

Citi’s disclosure controls and procedures are designed to

ensure that information required to be disclosed under the

Securities Exchange Act of 1934, as amended, is recorded,

processed, summarized and reported within the time periods

specified in the SEC’s rules and forms, including without

limitation that information required to be disclosed by Citi in

its SEC filings is accumulated and communicated to

management, including the Chief Executive Officer (CEO)

and Chief Financial Officer (CFO), as appropriate, to allow for

timely decisions regarding required disclosure.

Citi’s Disclosure Committee assists the CEO and CFO in

their responsibilities to design, establish, maintain and

evaluate the effectiveness of Citi’s disclosure controls and

procedures. The Disclosure Committee is responsible for,

among other things, the oversight, maintenance and

implementation of the disclosure controls and procedures,

subject to the supervision and oversight of the CEO and CFO.

Citi’s management, with the participation of its CEO and

CFO, has evaluated the effectiveness of Citigroup’s disclosure

controls and procedures (as defined in Rule 13a-15(e) under

the Securities Exchange Act of 1934) as of December 31,

2022. 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, 2022 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, 2022, 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, 2022 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, 2022 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, 2022.

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FORWARD-LOOKING STATEMENTS

Certain statements in this report, including but not limited to

statements included within the Management’s Discussion and

Analysis of Financial Condition and Results of Operations, are

“forward-looking statements” within the meaning of the

Private Securities Litigation Reform Act of 1995. In addition,

Citigroup also may make forward-looking statements in its

other documents filed with or furnished to 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, may, would and could.

Such statements are based on management’s current

expectations and are subject to risks, uncertainties and changes

in circumstances. Actual results of operations and financial

conditions including capital and liquidity may differ materially

from those included in these statements due to a variety of

factors, including without limitation (i) the precautionary

statements included within the “Executive Summary” and

each individual business’s discussion and analysis of its results

of operations 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, 2022 and 2021, 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, 2022, 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, 2022,

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, 2022

and 2021, and the results of its operations and its cash flows

for each of the years in the three-year period ended December

31, 2022, 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, 2022 based on

criteria established in Internal Control – Integrated

Framework (2013) issued by the Committee of Sponsoring

Organizations of the Treadway Commission.

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 controls 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.

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

132

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 certain Level 3 assets and

liabilities measured on a recurring basis

As described in Notes 1, 6, 25 and 26 to the consolidated

financial statements, the Company’s net assets and

liabilities recorded at fair value on a recurring basis were

$840.9 billion and $360.1 billion, respectively at

December 31, 2022. The Company estimated the fair

value of Level 3 assets and liabilities measured on a

recurring basis ($15.8 billion and $46.5 billion,

respectively at December 31, 2022) 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 certain Level 3 assets and liabilities

recorded at fair value on a recurring basis as a critical

audit matter. A high degree of 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 include proxy data,

forecast data, the extrapolation and interpolation of proxy

data, forecast data, and historic data as well as certain

model assumptions. 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 and

• relevant information used within the Company’s

models that was reasonably available was considered

in the fair value determination.

Assessment of the allowance for credit losses collectively

evaluated for impairment

As described in Notes 1 and 15 to the consolidated

financial statements, the Company’s allowance for credit

losses was $19.1 billion as of December 31, 2022, which

includes the allowance related to loans and unfunded

lending commitments collectively evaluated for

impairment (the collective ACLL). 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 U.S. 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 credit loss factors applied

are determined based on three macroeconomic scenarios

(base, downside and upside) multiplied by their respective

scenario probability weights, that take into consideration

both internal and external forecasted macroeconomic

variables, the most significant of which are U.S.

unemployment and U.S. real gross domestic product

(GDP). Additionally, for consumer U.S. credit card 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.

We identified the assessment of the collective ACLL,

specifically for consumer U.S. credit cards and corporate

portfolios as a critical audit matter. Auditing the

assessment involved significant measurement uncertainty

requiring complex auditor judgment, and specialized

skills and knowledge as well as experience in the

industry. Our 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 forecasts,

expected life as well as economic factors, including

unemployment rates, GDP, and housing prices which are

considered in the model. For corporate loans, key

assumptions and inputs included risk ratings, reasonable

and supportable forecast, credit conversion factor for

unfunded lending commitments, and economic factors,

including GDP and unemployment rate considered in the

model. Key assumptions and inputs for the qualitative

component for consumer U.S. credit card loans include

the expected normalization in portfolio performance and

consumer behavior, after lower losses observed as a result

of government stimulus and market liquidity. Key

133

assumptions and inputs for the qualitative component for

corporate loan portfolios include uncertainty around the

war in Ukraine and global recession, considering

macroeconomic and market factors, including inflation,

interest rates and commodity prices and their impacts on

industries and sectors that are considered more

vulnerable. 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 and assumptions that the Company used and

considered the relevance and reliability of such data 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

• 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

• 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 macroeconomic scenario weights model

by inspecting the model documentation to determine

whether the model is suitable for its intended use

• assessing the economic forecast scenarios through

comparison to publicly available forecasts

• evaluating the methodologies 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 methodologies 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.

Evaluation of goodwill in the ICG Banking and PBWM

US PB reporting units

As discussed in Notes 1 and 16 to the consolidated

financial statements, the goodwill balance as of December

31, 2022 was $19.7 billion, of which $9.7 billion related

to reporting units within the Personal Banking and Wealth

Management (PBWM) segment, $9.0 billion related to

reporting units within the Institutional Clients Group

(ICG) segment, and $1.0 billion related to reporting units

within the Legacy Franchises 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.

We identified the evaluation of the goodwill

impairment analysis for the ICG Banking and PBWM

United States Personal Banking reporting units, one of the

three reporting units within the ICG segment and one of

the two reporting units in the PBWM segment, as a

critical audit matter. The estimated fair value of the ICG

Banking and PBWM United States Personal 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 ICG Banking and PBWM United States Personal

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

forecasted revenues and operating expenses by reporting

unit 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 ICG

Banking and PBWM United States Personal 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 assumptions used

in the discounted cash flow analyses

134

• certain forecasted macroeconomic assumptions used

to inform the forecasted income by reporting unit

• forecasted revenues and operating expenses by

reporting unit.

We compared the Company’s historical forecasts to

actual results at a consolidated level to assess the

Company’s ability to accurately forecast key metrics such

as revenues and operating expenses. We also compared

prior year actuals to the expected trends for revenues and

operating expenses at the reporting unit level to assess the

Company’s ability to achieve their forecasts. We

compared the Company’s fourth quarter 2022 forecasts to

actual fourth quarter 2022 results at the reporting unit

level 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

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 multiple

assumptions using publicly available data for

comparable entities and comparing it to the

Company’s assumption utilized in the discounted

cash flow analysis

• developing an independent estimate of the fair value

of ICG Banking and PBWM United States Personal

Banking reporting units using the income and market

multiple approaches and comparing the results to the

Company’s fair value estimate

• assessing the reasonableness of the market

capitalization reconciliation.

/s/ KPMG LLP

We have served as the Company’s auditor since 1969.

New York, New York

February 24, 2023

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FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS

CONSOLIDATED FINANCIAL STATEMENTS

Consolidated Statement of Income—

For the Years Ended December 31, 2022, 2021 and 2020 138

Consolidated Statement of Comprehensive Income—

For the Years Ended December 31, 2022, 2021 and 2020 139

Consolidated Balance Sheet—December 31, 2022 and 2021 140

Consolidated Statement of Changes in Stockholders’ Equity

—For the Years Ended December 31, 2022, 2021 and 2020 142

Consolidated Statement of Cash Flows—

For the Years Ended December 31, 2022, 2021 and 2020 144

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Note 1—Summary of Significant Accounting Policies 146

Note 2—Discontinued Operations, Significant Disposals and

Other Business Exits 160

Note 3—Operating Segments 163

Note 4—Interest Revenue and Expense 165

Note 5—Commissions and Fees; Administration and Other

Fiduciary Fees 166

Note 6—Principal Transactions 169

Note 7—Incentive Plans 170

Note 8—Retirement Benefits 173

Note 9—Income Taxes 185

Note 10—Earnings per Share 189

Note 11—Securities Borrowed, Loaned and

Subject to Repurchase Agreements 190

Note 12—Brokerage Receivables and Brokerage Payables 194

Note 13—Investments 195

Note 14—Loans 205

Note 15—Allowance for Credit Losses 222

Note 16—Goodwill and Intangible Assets 227

Note 17—Deposits 230

Note 18—Debt 231

Note 19—Regulatory Capital 233

Note 20—Changes in Accumulated Other Comprehensive

Income (Loss) (AOCI) 234

Note 21—Preferred Stock 237

Note 22—Securitizations and Variable Interest Entities 238

Note 23—Derivatives 251

Note 24—Concentrations of Credit Risk 266

Note 25—Fair Value Measurement 267

Note 26—Fair Value Elections 286

Note 27—Pledged Assets, Restricted Cash, Collateral,

Guarantees and Commitments 290

Note 28—Leases

297

Note 29—Contingencies 298

Note 30—Condensed Consolidating Financial Statements 305

137

CONSOLIDATED FINANCIAL STATEMENTS

CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries

Years ended December 31,

In millions of dollars, except per share amounts

2022 2021 2020

Revenues

Interest revenue $ 74,408 $ 50,475 $ 58,089

Interest expense 25,740 7,981 13,338

Net interest income $ 48,668 $ 42,494 $ 44,751

Commissions and fees $ 9,175 $ 13,672 $ 11,385

Principal transactions 14,159 10,154 13,885

Administration and other fiduciary fees 3,784 3,943 3,472

Realized gains on sales of investments, net 67 665 1,756

Impairment losses on investments:

Impairment losses on investments and other assets (499) (206) (165)

Provision for credit losses on AFS debt securities

(1)

5 (3) (3)

Net impairment losses recognized in earnings $ (494) $ (209) $ (168)

Other revenue $ (21) $ 1,165 $ 420

Total non-interest revenues $ 26,670 $ 29,390 $ 30,750

Total revenues, net of interest expense $ 75,338 $ 71,884 $ 75,501

Provisions for credit losses and for benefits and claims

Provision for credit losses on loans $ 4,745 $ (3,103) $ 15,922

Provision for credit losses on held-to-maturity (HTM) debt securities 33 (3) 7

Provision for credit losses on other assets 76 — 7

Policyholder benefits and claims 94 116 113

Provision for credit losses on unfunded lending commitments 291 (788) 1,446

Total provisions for credit losses and for benefits and claims

(2)

$ 5,239 $ (3,778) $ 17,495

Operating expenses

Compensation and benefits $ 26,655 $ 25,134 $ 22,214

Premises and equipment 2,320 2,314 2,333

Technology/communication 8,587 7,828 7,383

Advertising and marketing 1,556 1,490 1,217

Other operating 12,174 11,427 11,227

Total operating expenses $ 51,292 $ 48,193 $ 44,374

Income from continuing operations before income taxes $ 18,807 $ 27,469 $ 13,632

Provision for income taxes 3,642 5,451 2,525

Income from continuing operations $ 15,165 $ 22,018 $ 11,107

Discontinued operations

Income (loss) from discontinued operations $ (272) $ 7 $ (20)

Benefit for income taxes (41) — —

Income (loss) from discontinued operations, net of taxes $ (231) $ 7 $ (20)

Net income before attribution of noncontrolling interests $ 14,934 $ 22,025 $ 11,087

Noncontrolling interests 89 73 40

Citigroup’s net income $ 14,845 $ 21,952 $ 11,047

Basic earnings per share

(3)

Income from continuing operations $ 7.16 $ 10.21 $ 4.75

Loss from discontinued operations, net of taxes (0.12) — (0.01)

Net income $ 7.04 $ 10.21 $ 4.74

Weighted average common shares outstanding (in millions) 1,946.7 2,033.0 2,085.8

Diluted earnings per share

(3)

Income from continuing operations $ 7.11 $ 10.14 $ 4.73

Loss from discontinued operations, net of taxes (0.12) — (0.01)

Net income $ 7.00 $ 10.14 $ 4.72

Adjusted weighted average diluted common shares outstanding

(in millions)

1,964.3 2,049.4 2,099.0

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(1) In accordance with ASC 326, which requires the provision for credit losses on AFS securities to be included in revenue.

(2) This total excludes the provision for credit losses on AFS securities, which is disclosed separately above.

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

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

CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME Citigroup Inc. and Subsidiaries

Years ended December 31,

In millions of dollars

2022 2021 2020

Citigroup’s net income $ 14,845 $ 21,952 $ 11,047

Add: Citigroup’s other comprehensive income (loss)

(1)

Net change in unrealized gains and losses on debt securities, net of taxes

(2)

$ (5,384) $ (3,934) $ 3,585

Net change in debt valuation adjustment (DVA), net of taxes

(3)

2,029 232 (475)

Net change in cash flow hedges, net of taxes (2,623) (1,492) 1,470

Benefit plans liability adjustment, net of taxes

(4)

97 1,012 (55)

Net change in CTA, net of taxes and hedges (2,471) (2,525) (250)

Net change in excluded component of fair value hedges, net of taxes 55 — (15)

Citigroup’s total other comprehensive income (loss) $ (8,297) $ (6,707) $ 4,260

Citigroup’s total comprehensive income $ 6,548 $ 15,245 $ 15,307

Add: Other comprehensive income (loss) attributable to noncontrolling interests $ (58) $ (99) $ 26

Add: Net income attributable to noncontrolling interests 89 73 40

Total comprehensive income $ 6,579 $ 15,219 $ 15,373

(1) See Note 20.

(2) See Note 1.

(3) See Note 25.

(4) See Note 8.

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

2022 2021

Assets

Cash and due from banks (including segregated cash and other deposits) $ 30,577 $ 27,515

Deposits with banks, net of allowance 311,448 234,518

Securities borrowed and purchased under agreements to resell (including $239,527 and $216,466 as of

December 31, 2022 and 2021, respectively, at fair value), net of allowance 365,401 327,288

Brokerage receivables, net of allowance 54,192 54,340

Trading account assets (including $133,535 and $133,828 pledged to creditors at December 31, 2022 and

2021, respectively) 334,114 331,945

Investments:

Available-for-sale debt securities (including $10,933 and $9,226 pledged to creditors as of

December 31, 2022 and 2021, respectively), net of allowance 249,679 288,522

Held-to-maturity debt securities (fair value of which is $243,648 and $216,038 as of December 31,

2022 and 2021, respectively) (includes $— and $1,460 pledged to creditors as of December 31, 2022

and 2021, respectively), net of allowance 268,863 216,963

Equity securities (including $895 and $1,032 as of December 31, 2022 and 2021, respectively, at fair

value) 8,040 7,337

Total investments $ 526,582 $ 512,822

Loans:

Consumer (including $237 and $12 as of December 31, 2022 and 2021, respectively, at fair value) 368,067 376,534

Corporate (including $5,123 and $6,070 as of December 31, 2022 and 2021, respectively, at fair value) 289,154 291,233

Loans, net of unearned income $ 657,221 $ 667,767

Allowance for credit losses on loans (ACLL) (16,974) (16,455)

Total loans, net $ 640,247 $ 651,312

Goodwill 19,691 21,299

Intangible assets (including MSRs of $665 and $404 as of December 31, 2022 and 2021,

respectively, at fair value) 4,428 4,495

Premises and equipment, net of depreciation and amortization 26,253 24,328

Other assets (including $10,658 and $12,342 as of December 31, 2022 and 2021, respectively,

at fair value), net of allowance 103,743 101,551

Total assets $ 2,416,676 $ 2,291,413

Statement continues on the next page.

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CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries

(Continued)

December 31,

In millions of dollars, except shares and per share amounts

2022 2021

Liabilities

Deposits (including $1,875 and $1,666 as of December 31, 2022 and 2021, respectively, at fair value) $ 1,365,954 $ 1,317,230

Securities loaned and sold under agreements to repurchase (including $70,886 and $56,694 as of

December 31, 2022 and 2021, respectively, at fair value) 202,444 191,285

Brokerage payables (including $4,439 and $3,575 as of December 31, 2022 and 2021, respectively,

at fair value) 69,218 61,430

Trading account liabilities 170,647 161,529

Short-term borrowings (including $6,222 and $7,358 as of December 31, 2022 and 2021, respectively,

at fair value) 47,096 27,973

Long-term debt (including $105,995 and $82,609 as of December 31, 2022 and 2021, respectively,

at fair value) 271,606 254,374

Other liabilities 87,873 74,920

Total liabilities $ 2,214,838 $ 2,088,741

Stockholders’ equity

Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 759,800 as of December

31, 2022 and 759,800 as of December 31, 2021, at aggregate liquidation value $ 18,995 $ 18,995

Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,669,424 as of

December 31, 2022 and 3,099,651,835 as of December 31, 2021 31 31

Additional paid-in capital 108,458 108,003

Retained earnings 194,734 184,948

Treasury stock, at cost: 1,162,682,999 shares as of December 31, 2022 and 1,115,296,641 shares as of

December 31, 2021 (73,967) (71,240)

Accumulated other comprehensive income (loss) (AOCI) (47,062) (38,765)

Total Citigroup stockholders’ equity $ 201,189 $ 201,972

Noncontrolling interests 649 700

Total equity $ 201,838 $ 202,672

Total liabilities and equity $ 2,416,676 $ 2,291,413

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

2022 2021 2020 2022 2021 2020

Preferred stock at aggregate liquidation value

Balance, beginning of year $ 18,995 $ 19,480 $ 17,980 760 779 719

Issuance of new preferred stock — 3,300 3,000 — 132 120

Redemption of preferred stock — (3,785) (1,500) — (151) (60)

Balance, end of year $ 18,995 $ 18,995 $ 19,480 760 760 779

Common stock and additional paid-in capital (APIC)

Balance, beginning of year $ 108,034 $ 107,877 $ 107,871 3,099,652 3,099,633 3,099,603

Employee benefit plans 455 85 5 17 19 30

Preferred stock issuance costs (new issuances, net of

reclassifications to retained earnings for redemptions) — 25 (4) — — —

Other — 47 5 — — —

Balance, end of year $ 108,489 $ 108,034 $ 107,877 3,099,669 3,099,652 3,099,633

Retained earnings

Balance, beginning of year $ 184,948 $ 168,272 $ 165,369

Adjustments to opening balance, net of taxes

(1)

Financial instruments—credit losses (CECL adoption) — — (3,076)

Variable post-charge-off third-party collection costs — — 330

Adjusted balance, beginning of year $ 184,948 $ 168,272 $ 162,623

Citigroup’s net income 14,845 21,952 11,047

Common dividends

(2)

(4,028) (4,196) (4,299)

Preferred dividends (1,032) (1,040) (1,095)

Other (primarily reclassifications from APIC for preferred

issuance costs on redemptions) 1 (40) (4)

Balance, end of year $ 194,734 $ 184,948 $ 168,272

Treasury stock, at cost

Balance, beginning of year $ (71,240) $ (64,129) $ (61,660) (1,115,297) (1,017,544) (985,480)

Employee benefit plans

(3)

523 489 456 8,190 7,745 8,676

Treasury stock acquired

(4)

(3,250) (7,600) (2,925) (55,576) (105,498) (40,740)

Balance, end of year $ (73,967) $ (71,240) $ (64,129) (1,162,683) (1,115,297) (1,017,544)

Citigroup’s accumulated other comprehensive income (loss)

Balance, beginning of year $ (38,765) $ (32,058) $ (36,318)

Citigroup’s total other comprehensive income (loss) (8,297) (6,707) 4,260

Balance, end of year $ (47,062) $ (38,765) $ (32,058)

Total Citigroup common stockholders’ equity $ 182,194 $ 182,977 $ 179,962 1,936,986 1,984,355 2,082,089

Total Citigroup stockholders’ equity $ 201,189 $ 201,972 $ 199,442

Noncontrolling interests

Balance, beginning of year $ 700 $ 758 $ 704

Transactions between Citigroup and the noncontrolling-interest

shareholders (34) (10) (4)

Net income attributable to noncontrolling-interest shareholders 89 73 40

Distributions paid to noncontrolling-interest shareholders (51) (10) (2)

Other comprehensive income (loss) attributable to

noncontrolling-interest shareholders (58) (99) 26

Other 3 (12) (6)

Net change in noncontrolling interests $ (51) $ (58) $ 54

Balance, end of year $ 649 $ 700 $ 758

Total equity $ 201,838 $ 202,672 $ 200,200

(1) See Note 1 for additional details.

(2) Common dividends declared were $0.51 per share in the first, second, third and fourth quarters of 2022, 2021 and 2020.

142

(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 program.

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

2022 2021 2020

Cash flows from operating activities of continuing operations

Net income before attribution of noncontrolling interests $ 14,934 $ 22,025 $ 11,087

Net income attributable to noncontrolling interests 89 73 40

Citigroup’s net income $ 14,845 $ 21,952 $ 11,047

Income (loss) from discontinued operations, net of taxes (231) 7 (20)

Income from continuing operations—excluding noncontrolling interests $ 15,076 $ 21,945 $ 11,067

Adjustments to reconcile net income to net cash provided by (used in) operating activities

of continuing operations

Net loss (gain) on sale of significant disposals

(1)

(762) 700 —

Depreciation and amortization 4,262 3,964 3,937

Deferred income taxes (1,141) 1,413 (2,333)

Provisions for credit losses on loans and unfunded lending commitments 5,036 (3,891) 17,368

Realized gains from sales of investments (67) (665) (1,756)

Impairment losses on investments and other assets 499 206 165

Goodwill impairment 535 — —

Change in trading account assets (2,273) 43,059 (98,997)

Change in trading account liabilities 9,118 (6,498) 48,133

Change in brokerage receivables net of brokerage payables 7,936 1,412 (3,066)

Change in loans held-for-sale (HFS) 4,421 (3,809) 1,202

Change in other assets (4,992) (2,139) (1,012)

Change in other liabilities 5,343 6,839 558

Other, net

(2)

(17,922) (15,446) 1,246

Total adjustments $ 9,993 $ 25,145 $ (34,555)

Net cash provided by (used in) operating activities of continuing operations

(2)

$ 25,069 $ 47,090 $ (23,488)

Cash flows from investing activities of continuing operations

Change in securities borrowed and purchased under agreements to resell $ (38,113) $ (32,576) $ (43,390)

Change in loans (16,591) (1,173) 14,249

Proceeds from sales and securitizations of loans 4,709 2,918 1,495

Proceeds from divestitures

(1)

5,741 — —

Available-for-sale (AFS) debt securities

(3)

Purchases of investments

(2)

(218,747) (205,980) (306,801)

Proceeds from sales of investments 79,687 125,895 144,035

Proceeds from maturities of investments 140,934 120,936 110,941

Held-to-maturity (HTM) debt securities

(3)

Purchases of investments (42,903) (136,450) (25,586)

Proceeds from maturities of investments 12,188 21,164 15,215

Capital expenditures on premises and equipment and capitalized software (5,632) (4,119) (3,446)

Proceeds from sales of premises and equipment, subsidiaries and affiliates

and repossessed assets 63 190 50

Other, net

(2)

(791) (1,551) 793

Net cash used in investing activities of continuing operations

(2)

$ (79,455) $ (110,746) $ (92,445)

Cash flows from financing activities of continuing operations

Dividends paid $ (5,003) $ (5,198) $ (5,352)

Issuance of preferred stock — 3,300 2,995

Redemption of preferred stock — (3,785) (1,500)

Treasury stock acquired (3,250) (7,601) (2,925)

Stock tendered for payment of withholding taxes (344) (337) (411)

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CONSOLIDATED STATEMENT OF CASH FLOWS

(Continued)

Citigroup Inc. and Subsidiaries

Years ended December 31,

In millions of dollars

2022 2021 2020

Change in securities loaned and sold under agreements to repurchase $ 11,159 $ (8,240) $ 33,186

Issuance of long-term debt 104,748 70,658 76,458

Payments and redemptions of long-term debt (57,085) (74,950) (63,402)

Change in deposits 68,415 44,966 210,081

Change in short-term borrowings

19,123

(1,541) (15,535)

Net cash provided by financing activities of continuing operations $ 137,763 $ 17,272 $ 233,595

Effect of exchange rate changes on cash and due from banks $ (3,385) $ (1,198) $ (1,966)

Change in cash, due from banks and deposits with banks 79,992 (47,582) 115,696

Cash, due from banks and deposits with banks at beginning of year 262,033 309,615 193,919

Cash, due from banks and deposits with banks at end of year $ 342,025 $ 262,033 $ 309,615

Cash and due from banks (including segregated cash and other deposits) $ 30,577 $ 27,515 $ 26,349

Deposits with banks, net of allowance 311,448 234,518 283,266

Cash, due from banks and deposits with banks at end of year $ 342,025 $ 262,033 $ 309,615

Supplemental disclosure of cash flow information for continuing operations

Cash paid during the year for income taxes $ 3,733 $ 4,028 $ 4,797

Cash paid during the year for interest 22,615 7,143 12,094

Non-cash investing activities

(1)(4)

Transfer of investment securities from AFS to HTM $ 21,688 $ — $ —

Decrease in net loans associated with divestitures reclassified to HFS 16,956 9,945 —

Decrease in goodwill associated with divestitures reclassified to HFS 876 — —

Transfers to loans HFS (Other assets) from loans 5,582 7,414 2,614

Non-cash financing activities

(1)

Decrease in long-term debt associated with divestitures reclassified to HFS $ — $ 479 $ —

Decrease in deposits associated with divestitures reclassified to HFS 19,691 8,407 —

(1) See Note 2 for further information on significant disposals.

(2) See “Statement of Cash Flows” in Note 1.

(3) Citi has revised the Consolidated Statement of Cash Flows to present purchases of investments, sales of investments and proceeds from maturities of investments

separately between AFS debt securities and HTM debt securities. Citi had no sales of HTM debt securities during the periods presented.

(4) 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 28 for more information and balances as of December 31, 2022 and 2021, respectively.

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 and updates have been made to

the prior periods’ financial statements and notes to conform to

the current period’s presentation.

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 in which 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 22, 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 indirect

wholly owned subsidiary of Citigroup. Citibank’s principal

offerings include investment banking, commercial banking,

cash management, trade finance and e-commerce; private

banking products and services; consumer finance, credit cards,

and mortgage lending; and retail 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 22 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) (AOCI), a component of

stockholders’ equity, net of any related hedge and tax effects,

until realized upon sale or substantial liquidation of the foreign

entity, at which point such amounts 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” (HTM) 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” (AFS)

are carried at fair value with changes in fair value

reported in Accumulated other comprehensive income

(loss), a component of stockholders’ equity, net of

applicable income taxes and hedges. Interest income on

such securities is included in Interest revenue.

146

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.

Investment securities not measured at fair value through

earnings include (i) debt securities held in HTM or AFS, (ii)

equity securities accounted for under the Measurement

Alternative or equity method, (iii) Federal Reserve Bank and

Federal Home Loan Bank stock and (iv) certain exchange

memberships. These securities are subject to evaluation for

impairment as described in Note 15 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

25.

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 less impairment (if any), 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.

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 26, 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 26).

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, except when included in a hedging relationship.

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 and debt

host contract are carried at fair value under the fair value

option, as described in Note 26.

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

23.

The Company uses a number of techniques to determine

the fair value of trading assets and liabilities, which are

described in Note 25.

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 26, the Company has elected to apply fair

value accounting to a number of securities borrowing and

lending transactions. Fees received or paid for all securities

borrowing and lending transactions are recorded in Interest

revenue or Interest expense at the contractually specified rate.

Where the conditions of ASC 210-20-45-1, Balance

Sheet—Offsetting: Right of Setoff Conditions, are met,

securities borrowing and lending transactions are presented net

on the Consolidated Balance Sheet.

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 25, 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 26,

the Company has elected to apply fair value accounting to

certain portions of such transactions, with changes in fair

value reported in earnings. Any transactions for which fair

value accounting has not been 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

147

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 25, 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 26, 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 the 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 Personal Banking and Wealth Management and Legacy

Franchises businesses (except Mexico SBMM loans).

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, with the exception of

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

notification that the borrower has filed for bankruptcy or

in accordance with Citi’s charge-off policy, whichever is

earlier.

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Corporate Loans

Corporate loans represent loans and leases managed by

Institutional Clients Group (ICG) and the Mexico SBMM

component of Legacy Franchises. 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 carried at the lower of

amortized cost 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 HFS.

Gains and losses on loans HFS are generally presented in

Other revenue. Gains on sales of fully or partially charged-off

loans are presented as gross credit recoveries in the Provision

for credit losses up to the amount of prior charge-offs.

Allowances for Credit Losses (ACL)

Commencing January 1, 2020, Citi adopted ASC 326,

Financial Instruments—Credit Losses, using the

methodologies described 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 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 under the prior probable

incurred loss model.

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.

Citi considers a multitude of global macroeconomic

variables for the base, upside and downside probability-

weighted macroeconomic scenario forecasts it uses to estimate

the ACL. Citi’s forecasts of the U.S. unemployment rate and

U.S. real GDP growth rate represent the key macroeconomic

variables that most significantly affect its estimate of the ACL.

Under the base macroeconomic forecast as of 4Q22, U.S. real

GDP growth is expected to decline during 2023, and the

unemployment rate is expected to increase modestly over the

forecast horizon, broadly returning to pre-pandemic levels.

The macroeconomic scenario weights are estimated using

a statistical model, which, among other factors, takes into

consideration key macroeconomic drivers of the ACL, severity

of the scenario and other macroeconomic uncertainties and

risks. Citi evaluates scenario weights on a quarterly basis.

Citi’s downside scenario incorporates more adverse

macroeconomic assumptions than the base scenario. For

example, compared to the base scenario, Citi’s downside

scenario reflects a more severe recession, including an

elevated average U.S. unemployment rate of 6.9% over the

eight-quarter R&S period, with a peak difference of 2.9% in

the second quarter of 2024. The downside scenario also

reflects a year-over-year U.S. real GDP contraction in 2023 of

2.4%, with a peak quarter-over-quarter difference of 3.3% in

the second quarter of 2023.

149

The following are the main factors and interpretations that

Citi considers when estimating the ACL under the CECL

methodology:

• 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 (generally 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, home equity lines of credit

(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 enterprise scenario group that are approved by

senior management. Analysis is performed and

documented to determine the necessary qualitative

management adjustment (QMA) to capture idiosyncratic

events and model uncertainty.

• The portion of the forecast that reflects the enterprise

scenario group’s 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 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 and

corporate loans is eight quarters.

• The ACL incorporates provisions for accrued interest on

products that are not subject to a non-accrual and timely

write-off policy (e.g., credit cards, etc.).

• The reserves for TDRs are calculated using a method that

considers discounted cash flows and 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 multiple macroeconomic scenarios and associated

probabilities to estimate the ECL. 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: certain portfolio characteristics and

concentrations; collateral coverage; model limitations;

idiosyncratic events; and other relevant criteria under banking

supervisory guidance for the ACL. 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. Citi's qualitative component declined year-over-

year, primarily driven by the incorporation of multiple

macroeconomic scenarios in the quantitative component and

releases of COVID-19–related uncertainty reserves as the

portfolio continues to normalize toward pre-pandemic levels

and as these risks are captured in the quantitative component

of the ACL. See “Accounting Changes” below for information

about how the calculation of the quantitative component of the

ACL changed in 2022.

150

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.

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 at 90 days past due. As

such, only the principal balance is subject to the CECL reserve

methodology and interest does not attract a further reserve.

Deferred origination costs and fees related to new credit card

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 for consumer loans only if they are

classified as TDR loan exposures.

For credit 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 or bankruptcy.

As such, the entire customer balance up until write-off,

including accrued interest and fees, is subject to the CECL

reserve methodology.

Corporate Loans, HTM Securities and Other assets

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, HTM debt

securities and Other assets. 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, was largely due to more

precise contractual maturities that resulted 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 within Consumer loans.

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.

151

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

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, ACLL is 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 at 90

days past due. 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 the 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 as 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 PBWM) 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 Portfolios of Performing

Exposures

Risk management and finance representatives who cover

business areas with delinquency-managed portfolios

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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.

Risk management and finance representatives who cover

business areas with classifiably managed portfolios present

their recommended reserve balances based on 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. 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 (excluding 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.

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.

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. Credit card

contract-related intangibles include fixed and unconditional

costs incurred to renew or extend the contract with a card

partner. In estimating the useful life of a credit card contract-

related intangible, the Company considers the probability of

contract renewal or extension to determine the period that the

asset is expected to contribute future cash flows. 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.

Premises and Equipment

Premises and equipment includes lease right-of-use assets,

property and equipment (including purchased and developed

software), net of depreciation and amortization. Substantially

all lease right-of-use assets are amortized on a straight-line

basis over the lease term, and substantially all property and

equipment is depreciated or amortized on a straight-line basis

over the useful life of the asset.

Other Assets and Other Liabilities

Other assets include, among other items, loans HFS, deferred

tax assets, equity method investments, interest and fees

receivable, repossessed assets, other receivables, and assets

from businesses classified as HFS that are reclassified from

other balance sheet line items. Other liabilities include, among

other items, accrued expenses, lease liabilities, deferred tax

liabilities, reserves for legal claims and legal fee accruals,

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taxes, unfunded lending commitments, repositioning reserves,

other payables, and liabilities from businesses classified as

HFS that are reclassified from other balance sheet line items.

Legal fee accruals are recognized as incurred.

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 debt that is in a fair value hedging relationship.

Premiums, discounts and issuance costs on long-term debt

accounted for at amortized cost are amortized over the

contractual term using the effective interest method.

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 22 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, purchased options and commodities, 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 23 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

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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. Benefits earned during the year are reported in

Compensation and benefits expenses and all other components

of the net annual benefit cost are reported in Other operating

expenses in the Consolidated Statement of Income. See Note

Stock-Based Compensation

The Company recognizes compensation expense related to

stock 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.

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 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 for a description of the Company’s

revenue recognition policies for Commissions and fees, and

Note 6 for details of Principal transactions revenue.

Earnings per Share

Earnings per share (EPS) is calculated using the two-class

method. Under the two-class method, all earnings (distributed

and undistributed) are allocated to common stock and

participating securities. Undistributed earnings are calculated

after deducting preferred stock dividends, any issuance cost

incurred at the time of issuance of redeemed preferred stock

and dividends paid and accrued to common stocks and RSU/

DSA share awards. Citi grants restricted and deferred share

awards under its shares-based compensation programs, which

entitle recipients to receive nonforfeitable dividends during the

vesting period on a basis equivalent to dividends paid to

holders of the Company’s common stock. These unvested

awards meet the definition of participating securities based on

their respective rights to receive nonforfeitable dividends, and

they are treated as a separate class of securities and are not

included in computing basic EPS.

Diluted EPS incorporates the potential impact of

contingently issuable shares, stock options and awards which

require future service as a condition of delivery of the

underlying common stock. Anti-dilutive options and warrants

are disregarded in the EPS calculations. Diluted EPS is

calculated under both the two-class and treasury stock

methods, and the more dilutive amount is reported.

Participating securities are not included as incremental shares

in computing diluted EPS.

Use of Estimates

Management must make estimates and assumptions that affect

the Consolidated Financial Statements and the related Notes.

Such estimates are used in connection with certain fair value

measurements. See Note 25 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, 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 Equivalents and Restricted Cash Flows

Cash equivalents are defined as those amounts included in

Cash and due from banks and Deposits with banks. Certain

cash balances are restricted by regulatory or contractual

requirements. See Note 27 for additional information on

restricted cash.

155

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.

ACCOUNTING CHANGES

Reference Rate Reform

On December 21, 2022, the Financial Accounting Standards

Board (FASB) issued ASU No. 2022-06, Reference Rate

Reform (Topic 848): Deferral of the Sunset Date of Topic 848,

which extends the period of time preparers can utilize the

reference rate reform relief guidance. In 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. In

2021, the U.K. Financial Conduct Authority (FCA) delayed

the intended cessation date of certain tenors of USD LIBOR to

June 30, 2023. To ensure the relief in Topic 848 covers the

period of time during which a significant number of

modifications may take place, the ASU defers the sunset date

of Topic 848 from December 31, 2022 to December 31, 2024.

The extension allows Citi to transition its remaining contracts

and maintain hedge accounting. The ASU was adopted by Citi

upon issuance and did not impact financial results in 2022.

Voluntary Change in Goodwill Impairment Assessment

Date

During 2022, the Company voluntarily changed its annual

goodwill impairment assessment date from July 1 to October

1. See Note 16 for additional information.

Multiple Macroeconomic Scenarios-Based ACL Approach

During the second quarter of 2022, Citi refined its ACL

methodology to utilize multiple macroeconomic scenarios to

estimate its allowance for credit losses. The ACL was

previously estimated using a combination of a single base-case

forecast scenario as part of its quantitative component and a

component of its qualitative management adjustment that

reflects economic uncertainty from downside macroeconomic

scenarios. As a result of this change, Citi now explicitly

incorporates multiple macroeconomic scenarios—base,

upside, and downside—and associated probabilities in the

quantitative component when estimating its ACL, while still

retaining certain of its qualitative management adjustments.

This refinement represents a “change in accounting

estimate” under ASC Topic 250, Accounting Changes and

Error Corrections, with prospective application beginning in

the period of change. This change in accounting estimate

resulted in a decrease of approximately $0.3 billion in the

allowance for credit losses in the second quarter of 2022,

partially offsetting an increase of $0.8 billion in the allowance

for credit losses due to the increased macroeconomic

uncertainty and other factors in the second quarter of 2022.

Accounting for Deposit Insurance Expenses

During the fourth quarter of 2021, Citi changed its

presentation of the deposit insurance costs paid to the Federal

Deposit Insurance Corporation (FDIC) and similar foreign

regulators. These costs were previously presented within

Interest expense and, as a result of this change, are now

presented within Other operating expenses. Citi concluded

that this presentation was preferable in Citi’s circumstances, as

it better reflected the nature of these deposit insurance costs in

that these costs do not directly represent interest payments to

creditors, but are similar in nature to other payments to

regulatory agencies that are accounted for as operating

expenses.

This change in income statement presentation represents a

“change in accounting principle” under ASC Topic 250,

Accounting Changes and Error Corrections, with

retrospective application to the earliest period presented. This

change in accounting principle resulted in a reclassification of

$1,207 million, $1,203 million and $781 million of deposit

insurance expenses from Interest expense to Other operating

expenses, for the years ended December 31, 2021, 2020 and

2019, respectively. This change had no impact on Citi’s net

income or the total deposit insurance expense incurred by Citi.

Accounting for Financial Instruments—Credit Losses

Overview

In June 2016, the FASB issued ASU No. 2016-13, Financial

Instruments—Credit Losses (Topic 326). The ASU introduced

a new credit loss methodology, the 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, HTM 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 lifetime expected 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

quality of Citi’s portfolios. At the January 1, 2020 date of

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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.

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

required 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 were 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 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 effected by a change in accounting principle.

157

Statement of Cash Flows

In the fourth quarter of 2022, Citi identified that certain 2021

and 2020 cash flows related to purchases of short-term

negotiable certificates of deposit (NCD) and maturities of

long-term NCDs were misclassified between purchases and

maturities of AFS securities within investing activities and

cash flows from operating activities, based on its accounting

policy during those periods. As such, Citi revised its 2021 and

2020 cash flows within its 2022 Consolidated Statement of

Cash Flows, as follows:

2021 2020

In millions of dollars

As reported Revision As revised As reported Revision As revised

Other, net $ (1,287) $ (16,115) $ (17,402) $ 4,113 $ (2,897) $ 1,216

Impact to cash from (used in) operating activities (16,115) (2,897)

AFS purchases (222,095) 16,115 (205,980) (307,771) 970 (306,801)

AFS maturities 120,936 — 120,936 109,014 1,927 110,941

Impact to cash from (used in) investing activities 16,115 2,897

After the revision, there were ($2) billion and

($30) million of net NCD cash flows presented within

operating activities for 2021 and 2020, respectively. Citi

evaluated the effect of the revision, both qualitatively and

quantitatively, and concluded that the impact of the revision

was not material.

Subsequently, in the fourth quarter of 2022, Citi

voluntarily changed its policy to instead present all short-term

NCD cash flows in cash flows from investing activities within

Other, net. Although immaterial, Citi has adjusted both 2021

and 2020 cash flows within the 2022 Consolidated Statement

of Cash Flows in accordance with this change in presentation.

After considering the impact of the revision described above,

the impact of the change in presentation resulted in immaterial

increases in cash flows from operating activities and

corresponding decreases in cash flows from investing

activities of $2 billion and $30 million in 2021 and 2020,

respectively.

158

FUTURE ACCOUNTING CHANGES

TDRs and Vintage Disclosures

In March 2022, the FASB issued ASU No. 2022-02, Financial

Instruments—Credit Losses (Topic 326): Troubled Debt

Restructurings and Vintage Disclosures. Citi adopted the ASU

on January 1, 2023. The ASU eliminates the accounting and

disclosure requirements for TDRs, including the requirement

to measure the ACLL for TDRs using a discounted cash flow

(DCF) approach. Citi adopted the guidance on the recognition

and measurement of TDRs under the modified retrospective

approach. Upon adoption, Citi discontinued the use of a DCF

approach for consumer loans formerly considered TDRs.

Beginning January 1, 2023, Citi measured the ACLL for all

consumer loans under approaches that do not incorporate

discounting, primarily utilizing models that consider the

borrowers’ probability of default, loss given default and

exposure at default. This change resulted in a decrease to the

ACLL and deferred tax assets of approximately $350 million

and $100 million, respectively, and an increase to retained

earnings and other assets of approximately $300 million and

$50 million, respectively, on January 1, 2023. The ACLL for

corporate loans was unaffected because the measurement

approach used for corporate loans is not in the scope of this

ASU.

The ASU also requires disclosure of modifications of

loans to borrowers experiencing financial difficulty if the

modification involves principal forgiveness, an interest rate

reduction, an other-than-insignificant payment delay, a term

extension or a combination of those types of modifications. In

addition, the ASU requires the disclosure of current-period

gross write-offs by year of loan origination (vintage). The

amendments related to disclosures are required to be applied

prospectively beginning as of the date of adoption. Citi will

present the new disclosures for periods beginning on and after

January 1, 2023.

Fair Value Hedging—Portfolio Layer Method

In March 2022, the FASB issued ASU No. 2022-01,

Derivatives and Hedging (Topic 815): Fair Value Hedging—

Portfolio Layer Method, intended to better align hedge

accounting with an organization’s risk management strategies.

Specifically, the guidance expands the current single-layer

method to allow multiple hedge layers of a single closed

portfolio of qualifying assets, which include both prepayable

and non-prepayable assets. Upon the adoption of the guidance,

entities may elect to reclassify securities held-to-maturity to

the available-for-sale category provided that the reclassified

securities are designated in a portfolio hedge. Coincident with

the adoption of this ASU, on January 1, 2023, Citi transferred

HTM mortgage-backed securities with an amortized cost and

fair value of approximately $3.3 billion and $3.4 billion,

respectively, into AFS as permitted under the guidance, and

hedged them under the portfolio layer method.

Fair Value Measurement of Equity Securities Subject to

Contractual Sale Restrictions

In June 2022, the FASB issued ASU No. 2022-3, Fair Value

Measurement (Topic 820): Fair Value Measurement of Equity

Securities Subject to Contractual Sale Restrictions. The ASU

was issued to address diversity in practice whereby certain

entities included the impact of contractual restrictions when

valuing equity securities, and it clarifies that a contractual

restriction on the sale of an equity security should not be

considered part of the unit of account of the equity security

and, therefore, should not be considered in measuring fair

value. The ASU also includes requirements for entities to

disclose the fair value of equity securities subject to

contractual sale restrictions, the nature and remaining duration

of the restrictions and the circumstances that could cause a

lapse in the restrictions.

The ASU is to be adopted on a prospective basis and will

be effective for Citi on January 1, 2024, although early

adoption is permitted. Adoption of the accounting standard is

not expected to have an impact on Citi’s operating results or

financial position, as the Company excludes such restrictions

when valuing equity securities.

Long-Duration Insurance Contracts

In August 2018, the FASB issued ASU No. 2018-12,

Financial Services—Insurance: Targeted Improvements to the

Accounting for Long-Duration Contracts, which changes the

existing recognition, measurement, presentation and

disclosures for long-duration contracts issued by an insurance

entity. Specifically, the guidance (i) improves the timeliness of

recognizing changes in the liability for future policy benefits

and prescribes the rate used to discount future cash flows for

long-duration insurance contracts, (ii) simplifies and improves

the accounting for certain market-based options or guarantees

associated with deposit (or account balance) contracts, (iii)

simplifies the amortization of deferred acquisition costs and

(iv) introduces additional quantitative and qualitative

disclosures. Citi has certain insurance subsidiaries, primarily

in Mexico, that issue long-duration insurance contracts such as

traditional life insurance policies and life-contingent annuity

contracts that are impacted by the requirements of ASU

2018-12.

The effective date of ASU 2018-12 was deferred for all

insurance entities by ASU 2019-09, Finance Services—

Insurance: Effective Date (issued in October 2019) and by

ASU 2020-11, Financial Services—Insurance: Effective Date

and Early Application (issued in November 2020). Citi

adopted the targeted improvements in ASU 2018-12 on

January 1, 2023. There was no material impact to Citi’s

financial position upon adoption, and Citi expects no material

impact to its results of operations as a result of adopting the

amendments.

159

2. DISCONTINUED OPERATIONS, SIGNIFICANT

DISPOSALS AND OTHER BUSINESS EXITS

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

2022 2021 2020

Total revenues, net of interest expense $ (260) $ — $ —

Income (loss) from discontinued

operations $ (272) $ 7 $ (20)

Benefit for income taxes (41) — —

Income (loss) from discontinued

operations, net of taxes $ (231) $ 7 $ (20)

During 2022, the Company settled certain liabilities

related to its legacy consumer operation in the U.K. (the

legacy operation), including an indemnification liability

related to its sale of the Egg Banking business in 2011, which

led to the substantial liquidation of the legacy operation. As a

result, a CTA loss (net of hedges) in AOCI of approximately

$400 million pretax ($345 million after-tax) related to the

legacy operation was released to earnings in 2022. Out of the

total CTA release, a $260 million pretax loss ($221 million

after-tax loss) was attributable to the Egg Banking business

noted above, reported in Discontinued operations and,

therefore, the corresponding CTA release was also reported in

Discontinued operations during 2022. The remaining CTA

release of a $140 million pretax loss ($124 million after-tax

loss) related to Legacy Holdings Assets was reported as part of

Continuing operations within Legacy Franchises.

While the legacy operation was divested in multiple sales

over the years, each transaction did not result in substantial

liquidation given that Citi retained certain liabilities noted

above, which were gradually settled over time until reaching

the point of substantial liquidation during 2022, triggering the

release of the CTA loss to earnings.

Cash flows from Discontinued operations were not

material for any period presented.

160

Significant Disposals

As of December 31, 2022, Citi had entered into sale

agreements for nine consumer banking businesses within

Legacy Franchises. Australia closed in the second quarter of

2022, the Philippines closed in the third quarter of 2022, and

Bahrain, Malaysia and Thailand each closed in the fourth

quarter of 2022. Entry of sale agreements for the other four

consumer banking businesses has resulted in the

reclassification to HFS on the Consolidated Balance Sheet of

approximately $20 billion in assets within Other assets,

including approximately $12 billion of loans (net of allowance

of $164 million), and approximately $17 billion in liabilities

within Other liabilities, including approximately $16 billion in

deposits. Of the nine sale agreements, the five below were

identified as significant disposals as of December 31, 2022.

The Taiwan and India sales have yet to close and are subject to

regulatory approvals and other closing conditions, as are the

potential sales of the Poland and Mexico consumer banking

businesses.

December 31, 2022

In millions of dollars

Assets Liabilities

Consumer

banking

business in

Sale

agreement

date

Expected

Cash

and

deposits

with

banks Loans

(1)

Goodwill

Other

assets,

advances

to/from

subsidiaries

Other

assets

Total

assets Deposits

Long-

term

debt

Other

liabilities

Total

liabilities

Australia

(2)

8/9/21

closed

6/1/2022 $ — $ — $ — $ — $ — $ — $ — $ — $ — $ —

Philippines

(3)

12/23/21

closed

8/1/2022 — — — — — — — — — —

Thailand

(4)

1/14/22

closed

11/1/2022 $ — $ — $ — $ — $ — $ — $ — $ — $ — $ —

Taiwan

(5)

1/28/22

second

half 2023 123 7,865 202 4,758 198 13,146 10,049 — 237 10,286

India

(5)

3/30/22

first half

2023 25 3,423 329 1,924 114 5,815 5,266 — 204 5,470

Income (loss) before taxes

(6)

In millions of dollars

2022 2021 2020

Australia

(2)

$ 193 $ 306 $ 181

Philippines

(3)

72 145 42

Thailand

(4)

122 139 93

Taiwan 140 282 311

India 194 213 117

(1) Loans, net of allowance as of December 31, 2022 includes $64 million and $37 million for Taiwan and India, respectively.

(2) On June 1, 2022, Citi completed the sale of its Australia consumer banking business, which was part of Legacy Franchises. The business had approximately

$9.4 billion in assets, including $9.3 billion of loans (net of allowance of $140 million) and excluding goodwill. The total amount of liabilities was $7.3 billion

including $6.8 billion in deposits. The transaction generated a pretax loss on sale of approximately $760 million ($640 million after-tax), subject to closing

adjustments, recorded in Other revenue. The loss on sale primarily reflected the impact of an approximate pretax $620 million CTA loss (net of hedges)

($470 million after-tax) already reflected in the AOCI component of equity. The sale closed on June 1, 2022, and the CTA-related balance was removed from

AOCI, resulting in a neutral CTA impact to Citi’s CET1 Capital. The income before taxes shown in the above table for Australia reflects Citi’s ownership through

June 1, 2022.

(3) On August 1, 2022, Citi completed the sale of its Philippines consumer banking business, which was part of Legacy Franchises. The business had approximately

$1.8 billion in assets, including $1.2 billion of loans (net of allowance of $80 million) and excluding goodwill. The total amount of liabilities was $1.3 billion,

including $1.2 billion in deposits. The sale resulted in a pretax gain on sale of approximately $618 million ($290 million after-tax), subject to closing adjustments,

recorded in Other revenue. The income before taxes shown in the above table for the Philippines reflects Citi’s ownership through August 1, 2022.

(4) On November 1, 2022, Citi completed the sale of its Thailand consumer banking business, which was part of Legacy Franchises. The business had approximately

$2.7 billion in assets, including $2.4 billion of loans (net of allowance of $67 million) and excluding goodwill. The total amount of liabilities was $1.0 billion,

including $0.8 billion in deposits. The sale resulted in a pretax gain on sale of approximately $209 million ($115 million after-tax), subject to closing adjustments,

recorded in Other revenue. The income before taxes shown in the above table for Thailand reflects Citi’s ownership through November 1, 2022.

(5) These sales are expected to result in an after-tax gain upon closing.

(6) Income before taxes for the period in which the individually significant component was classified as HFS for all prior periods presented. For Australia, excludes

the pretax loss on sale. For the Philippines and Thailand, excludes the pretax gain on sale.

Citi did not have any other significant disposals as of

December 31, 2022.

For a description of the Company’s significant disposal

transactions in prior periods and financial impact, see Note 2

to the Consolidated Financial Statements in Citi’s 2021 Form

10-K.

161

Other Business Exits

Wind-Down of Korea Consumer Banking Business

On October 25, 2021, Citi disclosed its decision to wind down

and close its Korea consumer banking business, which is

reported in the Legacy Franchises operating segment. In

connection with the announcement, Citibank Korea Inc. (CKI)

commenced a voluntary early termination program (Korea

VERP). Due to the voluntary nature of this termination

program, no liabilities for termination benefits are recorded

until CKI makes formal offers to employees that are then

irrevocably accepted by those employees. Related charges are

recorded as Compensation and benefits.

During the first quarter of 2022, Citi recorded an

additional pretax charge of $31 million, composed of gross

charges connected to the Korea VERP.

The following table summarizes the reserve charges

related to the Korea VERP and other initiatives reported in the

Legacy Franchises operating segment and Corporate/Other:

In millions of dollars

Employee

termination costs

Total Citigroup (pretax)

Original charges in fourth quarter 2021 $ 1,052

Utilization (1)

Foreign exchange 3

Balance at December 31, 2021 $ 1,054

Additional charges in first quarter 2022 $ 31

Utilization (347)

Foreign exchange (24)

Balance at March 31, 2022 $ 714

Additional charges (releases) $ (3)

Utilization (670)

Foreign exchange (41)

Balance at June 30, 2022 $ —

Additional charges (releases) $ —

Utilization —

Foreign exchange —

Balance at September 30, 2022 $ —

The total estimated cash charges for the wind-down are

$1.1 billion, most of which were recognized in 2021.

See Note 8 for details on the pension impact of the Korea

wind-down.

Wind-Down of Russia Consumer and Institutional Banking

Businesses

On August 25, 2022, Citi announced its decision to wind

down its consumer banking and local commercial banking

operations in Russia. As part of the wind-down, Citi is also

actively pursuing sales of certain Russian consumer banking

portfolios.

On October 14, 2022, Citi disclosed that it will be ending

nearly all of the institutional banking services it offers in

Russia by the end of the first quarter of 2023. Going forward,

Citi’s only operations in Russia will be those necessary to

fulfill its remaining legal and regulatory obligations.

On December 12, 2022, Citi completed the sale of a

portfolio of ruble-denominated personal installment loans,

totaling approximately $240 million in outstanding loan

balances, to Uralsib, a Russian commercial bank, resulting in a

pretax net loss of approximately $12 million. The net loss on

sale of the loan portfolio included a $32 million adjustment to

record the loans at lower of cost or fair value recognized in

Other revenue. In addition, the sale of the loans resulted in a

release in the allowance for credit losses on loans of

approximately $20 million recognized in the Provision for

credit losses on loans.

In connection with the portfolio sale, Citi also entered into

a referral agreement to transfer to Uralsib a portfolio of ruble-

denominated credit card loans, subject to customer consents.

The outstanding card loans balance was approximately

$219 million as of the fourth quarter of 2022. Citi will refer

credit card customers, who at the customers’ sole discretion

will be eligible to refinance their outstanding card loan

balances with Uralsib.

During 2022, Citi recorded a pretax charge of

approximately $28 million as Compensation and benefits

composed of severance costs reported in the Legacy

Franchises operating segment and Institutional Clients Group.

In connection with the wind-down plans of the Russia

consumer and institutional banking businesses, Citi expects to

incur approximately $190 million in costs, primarily through

2024, largely driven by restructuring, vendor termination fees

and other related charges. These costs do not include the

impact of any potential portfolio sales.

162

3. OPERATING SEGMENTS

Effective January 1, 2022, Citi changed its management

structure resulting in changes in its operating segments and

reporting units to reflect how the CEO, who is the chief

operating decision maker, manages the Company, including

allocating resources and measuring performance. Citi

reorganized its reporting into three operating segments:

Institutional Clients Group (ICG), Personal Banking and

Wealth Management (PBWM) and Legacy Franchises, with

Corporate/Other including activities not assigned to a specific

operating segment, as well as discontinued operations. The

prior-period balances reflect reclassifications to conform the

presentation in those periods to the current operating segment

structure. Citi’s consolidated results were not impacted by the

changes discussed above and remain unchanged for all periods

presented.

ICG consists of Services, Markets and Banking, providing

corporate, institutional and public sector clients around the

world with a full range of wholesale banking products and

services.

PBWM consists of U.S. Personal Banking and Global

Wealth Management (Global Wealth), providing traditional

banking services and credit cards to retail and small business

customers in the U.S., and financial services to clients from

affluent to ultra-high-net-worth through banking, lending,

mortgages, investment, custody and trust product offerings in

20 countries, including the U.S., Mexico and the four wealth

management centers: Singapore, Hong Kong, the UAE and

London.

Legacy Franchises consists of Asia Consumer and

Mexico Consumer/SBMM businesses that Citi intends to exit,

and its remaining Legacy Holdings Assets.

Corporate/Other includes activities not assigned to the

operating segments, including certain unallocated costs of

global functions, other corporate expenses and net treasury

results, offsets to certain line-item reclassifications and

eliminations, and unallocated taxes, as well as discontinued

operations.

Revenues and expenses directly associated with each

respective business segment or component are included in

determining respective operating results. Other revenues and

expenses that are not directly attributable to a particular

business segment or component are generally allocated from

Corporate/Other based on respective net revenues, non-

interest expenses or other relevant measures.

As a result of revenues and expenses from transactions

with other operating segments or component being treated as

transactions with external parties for purposes of segment

disclosures, the Company includes intersegment eliminations

within Corporate/Other to reconcile the business segment

results to Citi’s consolidated results.

The accounting policies of these operating segments are

the same as those disclosed in Note 1.

163

The following table presents certain information regarding the Company’s continuing operations by operating segment and Corporate/

Other:

In millions of

dollars, except

identifiable assets,

average loans and

average deposits in

billions

ICG PBWM Legacy Franchises Corporate/Other Total Citi

2022 2021 2020 2022 2021 2020 2022 2021 2020 2022 2021 2020 2022 2021 2020

Net interest

income

$ 17,911

$ 14,999

$ 15,750

$ 22,656

$ 20,646

$ 22,326

$ 5,691 $ 6,250 $ 6,973 $ 2,410 $ 599 $ (298)

$ 48,668

$ 42,494

$ 44,751

Non-interest

revenue 23,295 24,837 25,343 1,561 2,681 2,814 2,781 2,001 2,481 (967) (129) 112 26,670 29,390 30,750

Total revenues,

net of interest

expense

(1)

$ 41,206

$ 39,836

$ 41,093

$ 24,217

$ 23,327

$ 25,140

$ 8,472 $ 8,251 $ 9,454 $ 1,443 $ 470 $ (186)

$ 75,338

$ 71,884

$ 75,501

Operating expense 26,299 23,949 22,336 16,258 14,610 13,599 7,782 8,259 6,890 953 1,375 1,549 51,292 48,193 44,374

Provisions for

credit losses 911 (2,490) 4,869 3,754 (1,224) 9,885 571 (62) 2,739 3 (2) 2 5,239 (3,778) 17,495

Income (loss)

from continuing

operations before

taxes

$ 13,996

$ 18,377

$ 13,888

$ 4,205 $ 9,941 $ 1,656 $ 119 $ 54 $ (175) $ 487 $ (903) $ (1,737)

$ 18,807

$ 27,469

$ 13,632

Provision

(benefits) for

income taxes 3,258 4,069 3,077 886 2,207 334 128 63 (33) (630) (888) (853) 3,642 5,451 2,525

Income (loss)

from continuing

operations

$ 10,738

$ 14,308

$ 10,811

$ 3,319 $ 7,734 $ 1,322 $ (9) $ (9) $ (142) $ 1,117 $ (15) $ (884)

$ 15,165

$ 22,018

$ 11,107

Identifiable assets

at December 31

(2)

$ 1,730 $ 1,613 $ 1,592 $ 494 $ 464 $ 453 $ 97 $ 125 $ 131 $ 96 $ 89 $ 84 $ 2,417 $ 2,291 $ 2,260

Average loans 291 287 298 321 307 304 41 74 83 — — — 653 668 685

Average deposits 830 828 780 435 417 358 52 82 81 16 8 11 1,333 1,335 1,230

(1) Includes total Citi revenues, net of interest expense (excluding Corporate/Other), in North America of $34.4 billion, $34.4 billion and $37.1 billion; in EMEA of

$14.9 billion, $13.4 billion and $13.4 billion; in Latin America of $9.9 billion, $9.2 billion and $9.4 billion; and in Asia of $14.7 billion, $14.4 billion and

$15.8 billion in 2022, 2021 and 2020, respectively. These regional numbers exclude Corporate/Other, which largely reflects U.S. activities.

(2) Includes total Citi identifiable assets (excluding Corporate/Other), in North America of $776 billion, $709 billion and $741 billion; in EMEA of $773 billion,

$742 billion and $684 billion; in Latin America of $184 billion, $179 billion and $180 billion; and in Asia of $588 billion, $572 billion and $572 billion in 2022,

2021 and 2020, respectively. These regional numbers exclude Corporate/Other, which largely reflects U.S. activities. The Company’s long-lived assets for the

periods presented are not considered to be significant in relation to its total assets. The majority of Citi’s long-lived assets are located in the U.S.

164

4. INTEREST REVENUE AND EXPENSE

Interest revenue and Interest expense consisted of the following:

In millions of dollars

2022 2021 2020

Interest revenue

Consumer loans $ 28,391 $ 26,408 $ 27,763

Corporate loans 12,851 9,032 12,422

Loan interest, including fees $ 41,242 $ 35,440 $ 40,185

Deposits with banks 4,515 577 928

Securities borrowed and purchased under agreements to resell 7,154 1,052 2,283

Investments, including dividends 11,214 7,388 7,989

Trading account assets

(1)

7,418 5,365 6,125

Other interest-bearing assets

(2)

2,865 653 579

Total interest revenue $ 74,408 $ 50,475 $ 58,089

Interest expense

Deposits $ 11,559 $ 2,896 $ 5,334

Securities loaned and sold under agreements to repurchase 4,455 1,012 2,077

Trading account liabilities

(1)

1,437 482 628

Short-term borrowings and other interest-bearing liabilities

(3)

2,488 121 630

Long-term debt 5,801 3,470 4,669

Total interest expense $ 25,740 $ 7,981 $ 13,338

Net interest income $ 48,668 $ 42,494 $ 44,751

Provision (benefit) for credit losses on loans 4,745 (3,103) 15,922

Net interest income after provision for credit losses on loans $ 43,923 $ 45,597 $ 28,829

(1) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral

positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(2) Includes assets from businesses held-for-sale (see Note 2) and Brokerage receivables.

(3) Includes liabilities from businesses held-for-sale (see Note 2) and Brokerage payables.

165

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. 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 and determinable. The Company recognized

$538 million, $639 million and $495 million of revenue

related to such variable consideration for the years ended

December 31, 2022, 2021 and 2020, 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, which, to the extent that the increase in net credit losses

reduces Citi’s liability for the partners’ share for a given

program year, would generally result in lower payments to

partners in total for that year and vice versa. Further, in some

instances, other partner payments are based on program sales

and new account acquisitions. 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 fixed and determinable. The Company recognized

$201 million, $260 million and $290 million of revenue

related to such variable consideration for the years ended

December 31, 2022, 2021 and 2020, 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.

166

The following table presents Commissions and fees revenue:

2022 2021 2020

In millions of

dollars

ICG PBWM LF Total ICG PBWM LF Total ICG PBWM LF Total

Investment

banking $ 3,084 $ — $ — $ 3,084 $ 6,007 $ — $ — $ 6,007 $ 4,483 $ — $ — $ 4,483

Brokerage

commissions 1,570 767 209 2,546 1,770 1,035 431 3,236 1,700 874 386 2,960

Credit and bank

card income

Interchange

fees 1,207 9,452 846 11,505 817 8,119 885 9,821 704 6,526 774 8,004

Card-related

loan fees 44 256 289 589 27 292 376 695 22 241 386 649

Card rewards

and partner

payments

(1)

(625) (11,133) (578) (12,336) (405) (9,296) (534) (10,235) (380) (7,688) (605) (8,673)

Deposit-related

fees

(2)

1,061 157 56 1,274 1,034 196 101 1,331 936 255 143 1,334

Transactional

service fees 1,057 17 95 1,169 968 22 108 1,098 857 20 97 974

Corporate

finance

(3)

454 4 — 458 705 4 — 709 453 4 — 457

Insurance

distribution

revenue — 217 129 346 — 309 164 473 — 318 185 503

Insurance

premiums — 4 87 91 — 10 84 94 — 6 119 125

Loan servicing 39 48 16 103 43 38 17 98 80 28 29 137

Other 20 185 141 346 20 186 139 345 15 300 117 432

Total

commissions

and fees

(4)

$ 7,911 $ (26) $ 1,290 $ 9,175 $ 10,986 $ 915 $ 1,771 $ 13,672 $ 8,870 $ 884 $ 1,631 $ 11,385

(1) Citi’s consumer credit card programs have certain partner sharing agreements that vary by partner. These agreements are subject to contractually based

performance thresholds that, if met, would require Citi to make ongoing payments to the partner. The threshold is based on the profitability of a program and is

generally calculated based on predefined program revenues less predefined program expenses. In most of Citi’s partner sharing agreements, program expenses

include net credit losses and, to the extent that an increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would

generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales

and new account acquisitions.

(2) Includes overdraft fees of $59 million (prior to the elimination of overdraft fees in June 2022), $107 million and $100 million for the years ended December 31,

2022, 2021 and 2020, respectively. Overdraft fees are accounted for under ASC 310. Citi eliminated overdraft fees, returned item fees and overdraft protection

fees beginning in June 2022.

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

(4) Commissions and fees include $(11,008) million, $(8,516) million and $(7,160) million not accounted for under ASC 606, Revenue from Contracts with

Customers, for the years ended December 31, 2022, 2021 and 2020, respectively. Amounts reported in Commissions and fees accounted for under other guidance

primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.

LF Legacy Franchises

167

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,

safekeeps, 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 assets 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:

2022 2021 2020

In millions of dollars

ICG PBWM LF Total ICG PBWM LF Total ICG PBWM LF Total

Custody fees

(1)

$ 1,781 $ 87 $ 9 $ 1,877 $ 1,793 $ 91 $ 14 $ 1,898 $ 1,557 $ 80 $ 20 $ 1,657

Fiduciary fees 284 752 314 1,350 250 778 436 1,464 234 623 417 1,274

Guarantee fees 508 43 6 557 528 45 8 581 495 38 8 541

Total administration and other

fiduciary fees

(2)

$ 2,573 $ 882 $ 329 $ 3,784 $ 2,571 $ 914 $ 458 $ 3,943 $ 2,286 $ 741 $ 445 $ 3,472

(1) ICG in 2020 includes $38 million related to Corporate/Other.

(2) Administration and other fiduciary fees include $557 million, $581 million and $541 million for the years ended December 31, 2022, 2021 and 2020, respectively,

that are not accounted for under ASC 606, Revenue from Contracts with Customers. These generally include guarantee fees.

LF Legacy Franchises

168

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 (as

such, the trading desks can be periodically reorganized and

thus the risk categories). Not included in the table below is the

impact of net interest income related to trading activities,

which is an integral part of trading activities’ profitability (see

Note 4 for information about net interest income related to

trading activities). Principal transactions include CVA (credit

valuation adjustments) and FVA (funding valuation

adjustments) on over-the-counter derivatives, and gains

(losses) on certain economic hedges on loans in ICG. These

adjustments are discussed further in Note 25.

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

2022 2021 2020

Interest rate risks

(1)

$ 3,940 $ 1,993 $ 4,668

Foreign exchange risks

(2)

6,593 4,668 4,923

Equity risks

(3)

1,858 2,197 1,431

Commodity and other risks

(4)

1,801 1,123 1,140

Credit products and risks

(5)

(33) 173 1,723

Total $ 14,159 $ 10,154 $ 13,885

(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.

169

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.

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. $75,000

(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 15%–60% of their awards in the form of deferred

stock or deferred cash stock units. Discretionary annual

incentive awards to certain 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).

For incentive awards granted in 2022, Citigroup changed

the annual deferred compensation structure from granting

deferred cash awards for certain regulated employees to

deferred stock awards. Certain employees located in countries

that have regulations or tax advantages for offering deferred

cash or deferred cash stock units received those types of

awards as a part of their annual incentive compensation rather

than deferred stock.

Subject to certain exceptions (principally, for retirement-

eligible employees), continuous employment within Citigroup

is required to vest in deferred annual incentive awards. Post

employment vesting by retirement-eligible employees and

participants who meet other conditions is generally

conditioned upon their compliance with certain restrictions

during the remaining vesting period.

Generally, the deferred awards vest in equal annual

installments over three- or four-year periods. Vested stock

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 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).

Stock awards, deferred cash stock units and deferred cash

awards are subject to one or more cancellation and clawback

provisions that apply in certain circumstances, including gross

misconduct.

Outstanding (Unvested) Stock Awards

A summary of the status of unvested stock awards granted as

discretionary annual incentive or sign-on and replacement

awards is presented below:

Unvested stock awards Shares

Weighted-

average grant

date fair

value per share

Unvested at December 31, 2021 31,644,684 $ 66.22

Granted

(1)

25,729,643 65.07

Canceled (2,007,260) 65.94

Vested

(2)

(13,458,860) 67.17

Unvested at December 31, 2022 41,908,207 $ 65.23

(1) The weighted-average fair value of the shares granted during 2021 and

2020 was $62.10 and $76.68, respectively.

(2) The weighted-average fair value of the shares vesting during 2022 was

approximately $64.13 per share on the vesting date, compared to $67.17

on the grant date.

Total unrecognized compensation cost related to unvested

stock awards was $862 million at December 31, 2022. The

cost is expected to be recognized over a weighted-average

period of 1.7 years.

Performance Share Units

Executive officers were awarded performance share units

(PSUs) every February from 2019 to 2022, for performance in

the year prior to the award date based on two performance

metrics. For PSUs awarded in 2019 and 2020, those metrics

were return on tangible common equity and earnings per

share. For PSUs awards in 2021 and 2022, the metrics were

return on tangible common equity and tangible book value per

share. In each year, the metrics were equally weighted.

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 against

performance goals and/or 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. The reported financial

metrics during the performance period are adjusted to reflect

an equitable adjustment as required under the applicable award

agreements for unusual and non-recurring items, including

divestitures, as well as accounting rule and tax law changes.

For all award years, the value of each PSU is equal to the

value of one share of Citi common stock. Dividend

equivalents are accrued and paid on the number of earned

PSUs after the end of the performance period.

170

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. The award is

settled solely in cash after the end of each performance period.

The value of the award, subject to the performance goals and

taking into account any mandatory equitable adjustments as

per the terms of the award agreement, 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 2022 2021 2020

Expected volatility 37.01 % 40.88 % 22.26 %

Expected dividend yield 2.96 4.21 2.82

A summary of the performance share unit activity for

2022 is presented below:

Performance share units Units

Weighted-

average grant

date fair

value per unit

Outstanding, beginning of year 1,274,273 $ 77.67

Granted

(1)

531,824 71.04

Canceled (62,875) 72.83

Payments

(2)

(461,087) 72.83

Outstanding, end of year 1,282,135 $ 76.90

(1)

The weighted-average grant date fair value per unit awarded in 2021 and

2020 was $78.55 and $83.45, respectively.

(2) The value of the payments was approximately $32 million.

Transformation Program

In order to provide an incentive for select employees to

effectively execute Citi’s transformation program, in August

2021 the Personnel and Compensation (P&C) Committee of

Citigroup’s Board of Directors, the predecessor of the

Compensation, Performance Management and Culture (CPC)

Committee of Citigroup’s Board of Directors, approved a

program for them to earn additional compensation based on

the achievement of Citi’s transformation goals from August

2021 through December 2024 and satisfaction of other

conditions. Performance under the program is divided into

three consecutive periods, ending on December 31, 2022,

2023 and 2024. The awards are subject to variable accounting,

pursuant to which the associated value of the award will

fluctuate with the attainment of the performance conditions for

each tranche and changes to Citigroup’s stock price for the

third tranche. Payment for each period will be in cash, in a

lump sum, with the third payment indexed to changes in the

value of Citi’s common stock from the service inception date

through the payment date. Earnings generally will be based on

collective performance with respect to Citi’s transformation

goals and will be evaluated and approved by the CPC

Committee on an annual basis.

Payments in the event of any category of employment

termination or change in job title or employment status are

subject to Citi’s discretion. Cancellation and clawback are

provided for in the event of misconduct and certain other

circumstances. The program applies to senior leaders, other

than the CEO, critical to helping deliver a successful

transformation with the value varying based on individual

compensation levels.

Stock Option Program

All outstanding options were fully vested at December 31,

2020 and exercised during 2021, with none outstanding at

December 31, 2022 and 2021.

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 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 granted or are expected

to be granted to retirement-eligible employees, the charge to

income is accelerated based on when the applicable conditions

for 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, Citi recognizes the expense each year equal

to the grant date fair value of the awards that it estimates will

be granted in the following year.

Recipients of Citigroup stock awards generally do not

have any stockholder rights until shares are delivered upon

vesting or exercise. Recipients of deferred stock awards and

deferred cash stock unit awards, however, may, except as

prohibited by applicable regulatory guidance, be entitled to

receive or accrue dividend-equivalent payments during the

vesting period. Recipients of stock payment awards and other

stock awards subject to a sale-restriction period are generally

entitled to vote the shares in their award and receive dividends

on such shares during the sale-restriction 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 CPC Committee (or its

predecessor), which is composed entirely of independent non-

employee directors.

On December 31, 2022, approximately 48.0 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.

171

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 2018 to 2021, and for

the first quarter of 2022, 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.

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

2022 2021 2020

Charges for estimated awards to

retirement-eligible employees $ 742 $ 807 $ 748

Amortization of deferred cash awards,

deferred cash stock units and

performance stock units 463 384 201

Immediately vested stock award

expense

(1)

101 99 95

Amortization of restricted and

deferred stock awards

(2)

533 395 420

Other variable incentive

compensation 304 435 627

Total $ 2,143 $ 2,120 $ 2,091

(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 employees.

172

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, 2022. 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. Benefits earned

during the year are reported in Compensation and benefits

expenses and all other components of the net annual benefit

cost are reported in Other operating expenses in the

Consolidated Statement of Income:

Pension plans Postretirement benefit plans

U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans

In millions of dollars

2022 2021 2020 2022 2021 2020 2022 2021 2020 2022 2021 2020

Service cost $ — $ — $ — $ 116 $ 149 $ 147 $ — $ — $ — $ 2 $ 6 $ 7

Interest cost on benefit obligation 442 351 378 329 268 246 16 13 17 90 96 93

Expected return on assets (612) (683) (824) (263) (253) (245) (11) (13) (17) (69) (84) (77)

Amortization of unrecognized:

Prior service cost (benefit) 2 2 2 (7) (6) 5 (9) (9) (2) (8) (9) (9)

Net actuarial loss (gain) 162 228 233 58 62 70 (9) (3) — 6 13 20

Curtailment loss (gain)

(1)

— — — (22) 1 (8) — — — — — —

Settlement loss (gain)

(1)

— — — (15) 10 (1) — — — — — —

Total net (benefit) expense $ (6) $ (102) $ (211) $ 196 $ 231 $ 214 $ (13) $ (12) $ (2) $ 21 $ 22 $ 34

(1) Curtailment and settlement relate to divestiture activities. Total net expense for non-U.S. plans includes a $36 million net benefit related to the wind-down of

Citi’s consumer banking business in Korea.

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 2022 or 2021.

The following table summarizes the Company’s actual

contributions for the years ended December 31, 2022 and

2021, as well as expected Company contributions for 2023.

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

2023 2022 2021 2023 2022 2021 2023 2022 2021 2023 2022 2021

Contributions made by the Company $ — $ — $ — $ 71 $ 158 $ 104 $ — $ — $ — $ 4 $ 4 $ 3

Benefits paid directly by (reimbursements to)

the Company

(3)

57 55 56 39 336 51 5 14 22 5 5 5

(1) Amounts reported for 2023 are expected amounts.

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

(3) 2022 benefit payments have increased due to the wind-down of Citi’s consumer banking business in Korea. See Note 2 for additional information.

173

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

pension and postretirement plans:

Pension plans Postretirement benefit plans

U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans

In millions of dollars

2022 2021 2022 2021 2022 2021 2022 2021

Change in benefit obligation

Benefit obligation at beginning of year $ 12,766 $ 13,815 $ 8,001 $ 8,629 $ 501 $ 559 $ 1,169 $ 1,390

Service cost — — 116 149 — — 2 6

Interest cost on benefit obligation 442 351 329 268 16 13 90 96

Plan amendments — — — 6 — — — —

Actuarial (gain)

(2)

(2,522) (447) (1,168) (344) (95) (28) (100) (110)

Benefits paid, net of participants’ contributions (945) (953) (397) (345) (47) (43) (72) (78)

Divestitures — — (22) — — — — —

Settlement

(4)

— — (364) (124) — — — —

Curtailment

(4)

— — (35) (30) — — — —

Foreign exchange impact and other — — (85) (208) — — (76) (135)

Benefit obligation at year end $ 9,741 $ 12,766 $ 6,375 $ 8,001 $ 375 $ 501 $ 1,013 $ 1,169

Change in plan assets

Plan assets at fair value at beginning of year $ 12,977 $ 13,309 $ 7,614 $ 7,831 $ 319 $ 331 $ 1,043 $ 1,146

Actual return on assets

(2)

(1,942) 565 (1,212) 217 (33) 9 (75) 97

Company contributions, net of reimbursements 55 56 495 155 14 22 9 8

Benefits paid, net of participants’ contributions (945) (953) (397) (345) (47) (43) (72) (78)

Divestitures — — (11) — — — — —

Settlement

(4)

— — (364) (124) — — — —

Foreign exchange impact and other — — (39) (120) — — (50) (130)

Plan assets at fair value at year end $ 10,145 $ 12,977 $ 6,086 $ 7,614 $ 253 $ 319 $ 855 $ 1,043

Funded status of the plans

Qualified plans

(5)

$ 949 $ 894 $ (289) $ (387) $ (122) $ (182) $ (158) $ (126)

Nonqualified plans

(3)

(545) (683) — — — — — —

Funded status of the plans at year end $ 404 $ 211 $ (289) $ (387) $ (122) $ (182) $ (158) $ (126)

Net amount recognized at year end

Qualified plans

Benefit asset $ 949 $ 894 $ 799 $ 963 $ — $ — $ 28 $ 165

Benefit liability — — (1,088) (1,350) (122) (182) (186) (291)

Qualified plans $ 949 $ 894 $ (289) $ (387) $ (122) $ (182) $ (158) $ (126)

Nonqualified plans (545) (683) — — — — — —

Net amount recognized on the balance sheet $ 404 $ 211 $ (289) $ (387) $ (122) $ (182) $ (158) $ (126)

Amounts recognized in AOCI at year end

(1)

Net transition obligation $ — $ — $ — $ — $ — $ — $ — $ —

Prior service (cost) benefit (6) (8) 7 5 82 92 36 47

Net actuarial (loss) gain (6,445) (6,575) (1,671) (1,400) 120 77 (206) (182)

Net amount recognized in equity (pretax) $ (6,451) $ (6,583) $ (1,664) $ (1,395) $ 202 $ 169 $ (170) $ (135)

Accumulated benefit obligation at year end $ 9,740 $ 12,765 $ 6,051 $ 7,559 $ 375 $ 501 $ 1,013 $ 1,169

(1) The framework for the Company’s pension oversight process includes monitoring of potential settlement charges for all plans. Settlement accounting is triggered

when either the sum of all settlements (including lump sum payments) for the year is greater than service plus interest costs or if more than 10% of the plan’s

projected benefit obligation will be settled. Because some of Citi’s Significant Plans are frozen and have no material service cost, settlement accounting may apply

in the future.

(2) Actuarial gain was primarily due to the increase in global discount rates partially offset by lower than expected asset returns.

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

(4) Curtailment and settlement relate to divestiture activities.

(5) The U.S. qualified plan was fully funded as of January 1, 2022 and no minimum funding was required for 2022. The plan is also expected to be fully funded as of

January 1, 2023 with no expected minimum funding requirement for 2023.

174

The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans:

In millions of dollars

2022 2021 2020

Beginning of year balance, net of tax

(1)(2)

$ (5,852) $ (6,864) $ (6,809)

Actuarial assumptions changes and plan experience 3,923 963 (1,464)

Net asset gain (loss) due to difference between actual and expected returns (4,225) (148) 1,076

Net amortization 198 280 318

Prior service credit (cost) — (7) 108

Curtailment/settlement gain (loss)

(3)

(37) 11 (8)

Foreign exchange impact and other 172 153 (108)

Change in deferred taxes, net 66 (240) 23

Change, net of tax $ 97 $ 1,012 $ (55)

End of year balance, net of tax

(1)(2)

$ (5,755) $ (5,852) $ (6,864)

(1) See Note 20 for further discussion of net AOCI balance.

(2) Includes net-of-tax amounts for certain profit-sharing plans outside the U.S.

(3) Curtailment and settlement relate to divestiture activities.

At December 31, 2022 and 2021, 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

2022 2021 2022 2021 2022 2021 2022 2021

Projected benefit obligation $ 545 $ 683 $ 3,463 $ 3,966 $ 545 $ 683 $ 3,315 $ 3,809

Accumulated benefit obligation 545 683 3,179 3,574 545 682 3,088 3,477

Fair value of plan assets — — 2,374 2,616 — — 2,252 2,486

(1) As of December 31, 2022 and 2021, only the 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.

175

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

2022 2021

Discount rate

U.S. plans

Qualified pension 5.50%

2.80%

Nonqualified pension 5.55 2.80

Postretirement 5.60 2.75

Non-U.S. pension plans

Range

(1)

1.75 to 25.20 -0.10 to 11.95

Weighted average 6.66 3.96

Non-U.S. postretirement plans

Range 3.25 to 10.60 1.05 to 10.00

Weighted average 9.80 8.28

Future compensation increase rate

(2)

Non-U.S. pension plans

Range 1.30 to 23.11 1.30 to 11.25

Weighted average 3.76 3.10

Expected return on assets

U.S. plans

Qualified pension 5.70 5.00

Postretirement

(3)

5.70/3.00 5.00/1.50

Non-U.S. pension plans

Range 1.00 to 11.50 0.00 to 11.50

Weighted average 6.05 3.69

Non-U.S. postretirement plans

Range 8.70 to 9.10 6.00 to 8.00

Weighted average 8.70 7.99

(1) In 2021, due to historically low global interest rates, there were negative

discount rates for plans with relatively short duration in certain major

markets, such as the Eurozone and Switzerland.

(2) Not material for U.S. plans.

(3) For the years ended 2022 and 2021, the expected return on assets for the

VEBA Trust was 3.00% and 1.50%, respectively.

During the year

2022 2021 2020

Discount rate

U.S. plans

Qualified

pension

2.80%/3.80%/

4.80%/5.65%

2.45%/3.10%/

2.75%/2.80%

3.25%/3.20%/

2.60%/2.55%

Nonqualified

pension

2.80/3.85/

4.80/5.60

2.35/3.00/

2.70/2.75

3.25/3.25/

2.55/2.50

Postretirement

2.75/3.85/

4.75/5.65

2.20/2.85/

2.60/2.65

3.15/3.20/

2.45/2.35

Non-U.S. pension plans

(1)

Range

(2)

-0.10 to 11.95 -0.25 to 11.15 -0.10 to 11.30

Weighted

average 3.96 3.14 3.65

Non-U.S. postretirement plans

(1)

Range 1.05 to 11.25 0.80 to 9.80 0.90 to 9.75

Weighted

average 8.28 7.42 7.76

Future compensation increase rate

(3)

Non-U.S. pension plans

(1)

Range 1.30 to 11.25 1.20 to 11.25 1.50 to 11.50

Weighted

average 3.10 3.10 3.17

Expected return on assets

U.S. plans

Qualified

pension

(4)

5.00

5.80/5.60/

5.60/5.00 6.70

Postretirement

(4)

5.00/1.50

5.80/5.60/

5.00/1.50 6.70/3.00

Non-U.S. pension plans

(1)

Range 0.00 to 11.50 0.00 to 11.50 0.00 to 11.50

Weighted

average 3.69 3.39 3.95

Non-U.S. postretirement plans

(1)

Range 6.00 to 8.00 5.95 to 8.00 6.20 to 8.00

Weighted

average 7.99 7.99 7.99

(1) Reflects rates utilized to determine the quarterly expense for Significant

non-U.S. pension and postretirement plans.

(2) In 2021, due to historically low global interest rates, there were negative

discount rates for plans with relatively short duration in certain 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 adjusted from 5.00% to 5.70% effective January 1, 2023 to

reflect a significant change in economic market conditions. The

expected return on assets for the U.S. pension and postretirement plans

changed from 6.70% to 5.80% effective as of January 1, 2021, reduced

to 5.60% effective April 1, 2021 and further reduced to 5.00% effective

October 1, 2021.

176

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 a

hypothetical bond portfolio of U.S. high-quality corporate

bonds that match each plan’s projected cash flows. The

discount rates for the non-U.S. pension and postretirement

plans are selected by reference to each plan’s specific cash

flows and a market-based yield curve developed from the

available local high-quality corporate bonds. However, where

developed corporate bond markets do not exist, the discount

rates are selected by reference to local government bonds with

an estimated premium added to reflect the additional risk for

corporate bonds in certain countries. Where available, the

resulting plan yields by jurisdiction are compared with

published, high-quality corporate bond indices for

reasonableness.

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 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 2022, 2021 and

2020 for the U.S. pension and postretirement plans:

U.S. plans

(During the year) 2022 2021 2020

Expected return on assets

U.S. pension and

postretirement trust 5.00%

5.80%/5.60%/

5.60%/5.00% 6.70%

VEBA Trust

(2)

1.50 1.50 3.00

Actual return on assets

(1)

U.S. pension and

postretirement trust (15.52) 5.14 12.84

VEBA Trust 1.40 1.52 2.11

(1) Actual return on assets is presented net of fees.

(2) The expected return on assets for the VEBA Trust was adjusted from

1.50% to 3.00% effective January 1, 2023 to reflect significant change in

economic condition.

Sensitivities of Certain Key Assumptions

The following tables summarize the effect on pension

expense:

Discount rate

One-percentage-point increase

In millions of dollars

2022 2021 2020

U.S. plans $ 27 $ 35 $ 34

Non-U.S. plans (5) (4) (16)

One-percentage-point decrease

In millions of dollars

2022 2021 2020

U.S. plans $ (34) $ (49) $ (52)

Non-U.S. plans 15 25 25

The U.S. Qualified Pension Plan was frozen in 2008, and

as a result, most of the prospective service costs have 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 discount rate would decrease 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.

The following tables summarize the effect on pension

expense:

Expected return on assets

One-percentage-point increase

In millions of dollars

2022 2021 2020

U.S. plans $ (123) $ (124) $ (123)

Non-U.S. plans (60) (70) (66)

One-percentage-point decrease

In millions of dollars

2022 2021 2020

U.S. plans $ 123 $ 124 $ 123

Non-U.S. plans 60 70 66

177

Health Care Cost Trend Rate

Assumed health care cost trend rates were as follows:

2022 2021

Health care cost increase rate for

U.S. plans

Following year 7.00% 6.25%

Ultimate rate to which cost increase is

assumed to decline 5.00 5.00

Year in which the ultimate rate is

reached 2031 2027

Health care cost increase rate for

non-U.S. plans (weighted average)

Following year 7.05% 6.92%

Ultimate rate to which cost increase is

assumed to decline 7.05 6.92

Year in which the ultimate rate

is reached 2023 2022

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 2022 2021 2020

U.S. plans 4.50% 1.80% 1.45%

Non-U.S. plans 1.73 1.61 1.60

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)

2023 2022 2021 2022 2021

Equity securities

(2)

0–22% 7 % 7 % 7 % 7 %

Debt securities

(3)

55–114 71 72 71 72

Real estate 0–4 3 2 3 2

Private equity 0–5 7 6 7 6

Other investments 0–23 12 13 12 13

Total 100 % 100 % 100 % 100 %

(1) Target asset allocations are set by investment strategy, whereas pension and postretirement assets as of December 31, 2022 and 2021 are based on the underlying

investment product. For example, the private equity investment strategy may include underlying investments in real estate within the target asset allocation;

however, within pension and postretirement assets, the underlying investment in real estate is reflected in the real estate category and 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 2022 and 2021.

(3) The VEBA Trust for postretirement benefits is primarily invested in cash equivalents and debt securities in 2022 and 2021 and is not reflected in the table above.

178

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)

2023 2022 2021 2022 2021

Equity securities 0–100% 0–63% 0–100% 19 % 16 %

Debt securities 0–100 0–100 0–100 73 76

Real estate 0–15 0–15 0–14 1 1

Other investments 0–100 0–100 0–100 7 7

Total 100 % 100 %

Non-U.S. postretirement plans

Target asset

allocation

Actual range

at December 31,

Weighted-average

at December 31,

Asset category

(1)

2023 2022 2021 2022 2021

Equity securities 0–46% 0–48% 0–42% 47 % 41 %

Debt securities 50–100 45–100 53–100 49 53

Other investments 0–4 0–7 0–6 4 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.

179

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 25. 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, 2022

Asset categories Level 1 Level 2 Level 3 Total

U.S. equities $ 233 $ — $ — $ 233

Non-U.S. equities 346 — — 346

Mutual funds and other registered investment companies 243 — — 243

Commingled funds — 818 — 818

Debt securities 929 4,638 5,567

Annuity contracts — — 3 3

Derivatives 2 34 — 36

Other investments — — 4 4

Total investments $ 1,753 $ 5,490 $ 7 $ 7,250

Cash and short-term investments $ 39 $ 563 $ — $ 602

Other investment liabilities (10) (45) — (55)

Net investments at fair value $ 1,782 $ 6,008 $ 7 $ 7,797

Other investment receivables redeemed at NAV $ 21

Securities valued at NAV 2,580

Total net assets $ 10,398

(1) The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2022, 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.

U.S. pension and postretirement benefit plans

(1)

In millions of dollars

Fair value measurement at December 31, 2021

Asset categories Level 1 Level 2 Level 3 Total

U.S. equities $ 358 $ — $ — $ 358

Non-U.S. equities 460 — — 460

Mutual funds and other registered investment companies 297 — — 297

Commingled funds — 1,143 — 1,143

Debt securities 1,657 5,770 — 7,427

Annuity contracts — — 4 4

Derivatives 2 17 — 19

Other investments 13 — 25 38

Total investments $ 2,787 $ 6,930 $ 29 $ 9,746

Cash and short-term investments $ 25 $ 627 $ — $ 652

Other investment liabilities (7) (17) — (24)

Net investments at fair value $ 2,805 $ 7,540 $ 29 $ 10,374

Other investment liabilities redeemed at NAV $ (29)

Securities valued at NAV 2,951

Total net assets $ 13,296

(1) The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2021, 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.

180

Non-U.S. pension and postretirement benefit plans

In millions of dollars

Fair value measurement at December 31, 2022

Asset categories Level 1 Level 2 Level 3 Total

U.S. equities $ 121 $ 10 $ — $ 131

Non-U.S. equities 718 19 — 737

Mutual funds and other registered investment companies 2,416 296 — 2,712

Commingled funds 13 — — 13

Debt securities 2,959 980 — 3,939

Real estate — 2 2 4

Annuity contracts — — 2 2

Derivatives — 1,490 — 1,490

Other investments — — 258 258

Total investments $ 6,227 $ 2,797 $ 262 $ 9,286

Cash and short-term investments $ 69 $ 6 $ — $ 75

Other investment liabilities — (2,436) — (2,436)

Net investments at fair value $ 6,296 $ 367 $ 262 $ 6,925

Securities valued at NAV $ 16

Total net assets $ 6,941

Non-U.S. pension and postretirement benefit plans

In millions of dollars

Fair value measurement at December 31, 2021

Asset categories Level 1 Level 2 Level 3 Total

U.S. equities $ 127 $ 19 $ — $ 146

Non-U.S. equities 713 92 — 805

Mutual funds and other registered investment companies 2,888 66 — 2,954

Commingled funds 21 — — 21

Debt securities 4,263 1,341 — 5,604

Real estate — 3 2 5

Annuity contracts — — 2 2

Derivatives — 239 — 239

Other investments — — 318 318

Total investments $ 8,012 $ 1,760 $ 322 $ 10,094

Cash and short-term investments $ 117 $ 5 $ — $ 122

Other investment liabilities — (1,578) — (1,578)

Net investments at fair value $ 8,129 $ 187 $ 322 $ 8,638

Securities valued at NAV $ 19

Total net assets $ 8,657

181

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, 2021 Realized (losses) Unrealized gains

Purchases,

sales and

issuances

Transfers in and/

or out of Level 3

Ending Level 3

fair value at

Dec. 31, 2022

Annuity contracts $ 4 $ — $ — $ (1) $ — $ 3

Other investments 25 (3) 2 (20) — 4

Total investments $ 29 $ (3) $ 2 $ (21) $ — $ 7

In millions of dollars

U.S. pension and postretirement benefit plans

Asset categories

Beginning Level 3

fair value at

Dec. 31, 2020 Realized (losses) Unrealized gains

Purchases,

sales and

issuances

Transfers in and/

or out of Level 3

Ending Level 3

fair value at

Dec. 31, 2021

Annuity contracts $ 1 $ — $ — $ 3 $ — $ 4

Other investments 57 (6) 2 (28) — 25

Total investments $ 58 $ (6) $ 2 $ (25) $ — $ 29

In millions of dollars

Non-U.S. pension and postretirement benefit plans

Asset categories

Beginning Level 3

fair value at

Dec. 31, 2021 Unrealized gains

Purchases, sales and

issuances

Transfers in and/

or out of Level 3

Ending Level 3

fair value at

Dec. 31, 2022

Real estate $ 2 $ — $ — $ — $ 2

Annuity contracts 2 — — — 2

Other investments 318 — (60) — 258

Total investments $ 322 $ — $ (60) $ — $ 262

In millions of dollars

Non-U.S. pension and postretirement benefit plans

Asset categories

Beginning Level 3

fair value at

Dec. 31, 2020 Unrealized gains

Purchases, sales and

issuances

Transfers in and/

or out of Level 3

Ending Level 3

fair value at

Dec. 31, 2021

Real estate $ 2 $ — $ — $ — $ 2

Annuity contracts 5 — (3) — 2

Other investments 312 4 2 — 318

Total investments $ 319 $ 4 $ (1) $ — $ 322

182

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

2023 $ 964 $ 536 $ 55 $ 72

2024 964 518 46 76

2025 969 489 43 79

2026 942 499 40 83

2027 921 508 38 87

2028–2032 4,038 2,623 150 494

183

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 on the Company’s Consolidated Balance

Sheet:

In millions of dollars

2022 2021

Funded status of the plan at year end $ (48) $ (41)

Net amount recognized in AOCI (pretax) $ (16) $ (15)

The following table summarizes the net expense

recognized in the Consolidated Statement of Income for the

Company’s U.S. post employment plans:

In millions of dollars

2022 2021 2020

Net expense $ 11 $ 10 $ 9

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 2022 and 2021, 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

2022 2021 2020

Company contributions $ 471 $ 436 $ 414

Non-U.S. plans

In millions of dollars

2022 2021 2020

Company contributions $ 399 $ 364 $ 304

184

9. INCOME TAXES

Income Tax Provision

Details of the Company’s income tax provision are presented

below:

In millions of dollars

2022 2021 2020

Current

Federal $ 407 $ 522 $ 305

Non-U.S. 4,106 3,288 4,113

State 270 228 440

Total current income taxes $ 4,783 $ 4,038 $ 4,858

Deferred

Federal $ (807) $ 1,059 $ (1,430)

Non-U.S. 353 8 (690)

State (687) 346 (213)

Total deferred income taxes $ (1,141) $ 1,413 $ (2,333)

Provision for income tax on

continuing operations before

noncontrolling interests

(1)

$ 3,642 $ 5,451 $ 2,525

Provision (benefit) for income taxes

on:

Discontinued operations $ (41) $ — $ —

Gains (losses) included in AOCI, but

excluded from net income (1,573) (1,684) 1,520

Employee stock plans (8) (6) (4)

Opening adjustment to Retained

earnings

(2)

— — (911)

(1) Includes the tax on realized investment gains and impairment losses

resulting in a provision (benefit) of $14 million and $(137) million in

2022, $169 million and $(57) million in 2021 and $454 million and

$(14) million in 2020, respectively.

(2) 2020 reflects the tax effect of ASU 2016-13 for current expected credit

losses (CECL).

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:

2022 2021 2020

Federal statutory rate 21.0 % 21.0 % 21.0 %

State income taxes, net of federal

benefit 2.0 2.1 1.3

Non-U.S. income tax rate differential 4.3 1.6 3.5

Tax audit resolutions (3.2) (0.4) 0.3

Nondeductible FDIC premiums 1.0 0.6 1.3

Tax advantaged investments (3.0) (2.3) (4.4)

Valuation allowance releases

(1)

(2.3) (1.7) (4.4)

Other, net (0.4) (1.1) (0.1)

Effective income tax rate 19.4 % 19.8 % 18.5 %

(1) See “Deferred Tax Assets” below for a description of the components.

As presented in the table above, Citi’s effective tax rate

for 2022 was 19.4%, compared to 19.8% in 2021.

Deferred Income Taxes

Deferred income taxes at December 31 related to the

following:

In millions of dollars

2022 2021

Deferred tax assets

Credit loss deduction $ 5,162 $ 5,330

Deferred compensation and employee

benefits 2,059 2,335

U.S. tax on non-U.S. earnings 1,191 1,138

Investment and loan basis differences 5,149 2,970

Tax credit and net operating loss carry-

forwards 14,623 15,620

Fixed assets and leases 3,551 3,064

Other deferred tax assets 4,055 3,549

Gross deferred tax assets $ 35,790 $ 34,006

Valuation allowance $ 2,438 $ 4,194

Deferred tax assets after valuation

allowance $ 33,352 $ 29,812

Deferred tax liabilities

Intangibles and leases $ (2,271) $ (2,446)

Non-U.S. withholding taxes (1,142) (987)

Debt issuances (595) (126)

Other deferred tax liabilities (1,672) (1,464)

Gross deferred tax liabilities $ (5,680) $ (5,023)

Net deferred tax assets $ 27,672 $ 24,789

185

Unrecognized Tax Benefits

The following is a rollforward of the Company’s unrecognized

tax benefits:

In millions of dollars

2022 2021 2020

Total unrecognized tax benefits at

January 1 $ 1,296 $ 861 $ 721

Increases for current year’s tax

positions 55 97 51

Increases for prior years’ tax positions 168 515 217

Decreases for prior years’ tax positions (119) (107) (74)

Amounts of decreases relating to

settlements (50) (64) (40)

Reductions due to lapse of statutes of

limitation (26) (2) (13)

Foreign exchange, acquisitions and

dispositions (13) (4) (1)

Total unrecognized tax benefits at

December 31 $ 1,311 $ 1,296 $ 861

The portions of the total unrecognized tax benefits at

December 31, 2022, 2021 and 2020 that, if recognized, would

affect Citi’s tax expense are $1.0 billion, $1.0 billion and $0.7

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.

2022 2021 2020

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 $ 214 $ 164 $ 118 $ 96 $ 100 $ 82

Total interest and penalties in the Consolidated Statement of Income 27 16 32 24 14 10

Total interest and penalties on the Consolidated Balance Sheet at December 31

(1)

234 176 214 164 118 96

(1) Includes $3 million, $3 million and $4 million for non-U.S. penalties in 2022, 2021 and 2020, respectively. Also includes $0 million, $0 million and $1 million for

state penalties in 2022, 2021 and 2020, respectively.

As of December 31, 2022, 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 $500 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 2017

New York State and City 2009

United Kingdom 2016

India 2021

Singapore 2021

Hong Kong 2016

Ireland 2018

186

Non-U.S. Earnings

Non-U.S. pretax earnings approximated $16.2 billion in 2022,

$12.9 billion in 2021 and $13.8 billion in 2020. 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, 2022, $5.9 billion of basis differences of

non-U.S. entities was indefinitely invested. At the existing tax

rates (including withholding taxes), additional taxes (net of

U.S. FTCs and valuation allowances) of $2.4 billion would

have to be provided if such assertions were reversed.

Deferred Tax Assets

As of December 31, 2022, Citi had a valuation allowance of

$2.4 billion, composed of valuation allowances of $0.9 billion

on its branch basket FTC carry-forwards, $1.0 billion on its

U.S. residual DTA related to its non-U.S. branches, $0.4

billion on local non-U.S. DTAs and $0.1 billion on state net

operating loss carry-forwards. There was a decrease of

$1.8 billion from the December 31, 2021 balance of

$4.2 billion. The amount of Citi’s valuation allowances (VA)

may change in future years.

In 2022, Citi’s VA for carry-forward FTCs in its branch

basket decreased by $0.8 billion, primarily due to carry-

forward expirations.

The level of branch pretax income, the local branch tax

rate and the allocations of overall domestic losses (ODL) and

expenses for U.S. tax purposes to the branch basket are the

main factors in determining the branch VA. There was no

branch basket VA release in 2022.

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 VA that is

needed against such FTCs. The remaining VA for the general

basket of $0.8 billion was released, primarily due to increases

in interest rates and prior-year audit adjustments.

The non-U.S. local VA decreased by $0.2 billion.

The following table summarizes Citi’s DTAs:

In billions of dollars

Jurisdiction/component

(1)

DTAs balance

December 31,

2022

DTAs balance

December 31,

2021

U.S. federal

(2)

Net operating losses (NOLs)

(3)

$ 3.3 $ 3.2

Foreign tax credits (FTCs) 1.9 2.8

General business credits (GBCs) 5.2 4.5

Future tax deductions and credits 10.1 8.4

Total U.S. federal $ 20.5 $ 18.9

State and local

New York NOLs $ 1.9 $ 1.2

Other state NOLs 0.2 0.2

Future tax deductions 2.2 1.8

Total state and local $ 4.3 $ 3.2

Non-U.S.

NOLs $ 0.7 $ 0.5

Future tax deductions 2.2 2.2

Total non-U.S. $ 2.9 $ 2.7

Total $ 27.7 $ 24.8

(1) All amounts are net of valuation allowances.

(2) Included in the net U.S. federal DTAs of $20.5 billion as of December

31, 2022 were deferred tax liabilities of $3.3 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.

187

The following table summarizes the amounts of tax carry-

forwards and their expiration dates:

In billions of dollars

Year of expiration

December

31, 2022

December

31, 2021

U.S. tax return general basket foreign

tax credit carry-forwards

(1)

2022 $ — $ 0.5

2023 — 0.4

2025 0.8 1.5

2027 1.1 1.1

Total U.S. tax return general basket

foreign tax credit carry-forwards $ 1.9 $ 3.5

U.S. tax return branch basket foreign

tax credit carry-forwards

(1)

2022 $ — $ 1.0

2028 0.7 0.6

2029 0.2 0.2

Total U.S. tax return branch basket

foreign tax credit carry-forwards $ 0.9 $ 1.8

U.S. tax return general business credit

carry-forwards

2032 $ 0.4 $ 0.4

2033 0.3 0.3

2034 0.2 0.2

2035 0.2 0.2

2036 0.2 0.2

2037 0.5 0.5

2038 0.5 0.5

2039 0.7 0.7

2040 0.7 0.7

2041 0.8 0.8

2042 0.7 —

Total U.S. tax return general business

credit carry-forwards $ 5.2 $ 4.5

U.S. subsidiary separate federal NOL

carry-forwards

2027 $ 0.1 $ 0.1

2028 0.1 0.1

2030 0.3 0.3

2033 1.6 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 5.3 4.6

Total U.S. subsidiary separate federal

NOL carry-forwards

(2)

$ 15.8 $ 15.1

New York State NOL carry-forwards

(2)

2034 $ 11.5 $ 6.6

New York City NOL carry-forwards

(2)

2034 $ 10.3 $ 7.2

Non-U.S. NOL carry-forwards

(1)

Various $ 1.1 $ 1.1

(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 $27.7 billion at December 31, 2022 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 because 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, ODL that Citi has incurred of

approximately $8 billion as of December 31, 2022 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 support the realization of the FTC carry-

forwards after VA. As noted in the tables above, Citi’s FTC

carry-forwards were $1.9 billion ($2.8 billion before VA) as of

December 31, 2022, compared to $2.8 billion ($5.3 billion

before VA) as of December 31, 2021. Citi believes that it will

more-likely-than-not generate sufficient U.S. taxable income

within the 10-year carry-forward period to be able to utilize

the net FTCs after the VA, after considering any FTCs

produced in the tax return for such period, which must be used

prior to any carry-forward utilization.

188

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

2022 2021 2020

Earnings per common share

Income from continuing operations before attribution of noncontrolling interests $ 15,165 $ 22,018 $ 11,107

Less: Noncontrolling interests from continuing operations 89 73 40

Net income from continuing operations (for EPS purposes) $ 15,076 $ 21,945 $ 11,067

Loss from discontinued operations, net of taxes (231) 7 (20)

Citigroup’s net income $ 14,845 $ 21,952 $ 11,047

Less: Preferred dividends

(1)

1,032 1,040 1,095

Net income available to common shareholders $ 13,813 $ 20,912 $ 9,952

Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares

with rights to dividends, applicable to basic EPS 113 154 73

Net income allocated to common shareholders for basic EPS $ 13,700 $ 20,758 $ 9,879

Weighted-average common shares outstanding applicable to basic EPS (in millions) 1,946.7 2,033.0 2,085.8

Basic earnings per share

(2)

Income from continuing operations $ 7.16 $ 10.21 $ 4.75

Discontinued operations (0.12) — (0.01)

Net income per share—basic $ 7.04 $ 10.21 $ 4.74

Diluted earnings per share

Net income allocated to common shareholders for basic EPS $ 13,700 $ 20,758 $ 9,879

Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends

that are forfeitable 41 31 30

Net income allocated to common shareholders for diluted EPS $ 13,741 $ 20,789 $ 9,909

Weighted-average common shares outstanding applicable to basic EPS (in millions) $ 1,946.7 $ 2,033.0 $ 2,085.8

Effect of dilutive securities

Options

(3)

— — 0.1

Other employee plans 17.6 16.4 13.1

Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)

(4)

1,964.3 2,049.4 2,099.0

Diluted earnings per share

(2)

Income from continuing operations $ 7.11 $ 10.14 $ 4.73

Discontinued operations (0.12) — (0.01)

Net income per share—diluted $ 7.00 $ 10.14 $ 4.72

(1) See Note 21 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 2022 and 2021, there were no weighted-average options outstanding. 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.

(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.

189

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

2022 2021

Securities purchased under

agreements to resell $ 291,272 $ 236,252

Deposits paid for securities

borrowed 74,165 91,042

Total, net

(1)

$ 365,437 $ 327,294

Allowance for credit losses on

securities purchased and

borrowed

(2)

(36) (6)

Total, net of allowance $ 365,401 $ 327,288

Securities loaned and sold under agreements to

repurchase, at their respective carrying values, consisted of

the following:

December 31,

In millions of dollars

2022 2021

Securities sold under agreements

to repurchase $ 183,827 $ 174,255

Deposits received for securities

loaned 18,617 17,030

Total, net

(1)

$ 202,444 $ 191,285

(1) The above tables do not include securities-for-securities lending

transactions of $4.4 billion and $3.6 billion at December 31, 2022 and

2021, respectively, where the Company acts as lender and receives

securities that can be sold or pledged as collateral. In these transactions,

the Company recognizes the securities received at fair value within

Other assets and the obligation to return those securities as a liability

within Brokerage payables.

(2) See Note 15 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 the Company elected

the fair value option, as described in Notes 25 and 26. 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 26. With

respect to securities loaned, the Company receives cash

collateral in an amount generally in excess of the market value

of the securities loaned. The Company monitors the market

value of securities borrowed and securities loaned on a daily

basis and posts or obtains additional collateral in order to

maintain contractual margin protection.

190

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, 2022

In millions of dollars

Gross amounts

of recognized

assets

Gross amounts

offset on the

Consolidated

Balance Sheet

(1)

Net amounts of

assets included on

the Consolidated

Balance Sheet

Amounts

not offset on the

Consolidated Balance

Sheet but eligible for

offsetting upon

counterparty default

(2)

Net

amounts

(3)

Securities purchased under agreements to

resell $ 403,663 $ 112,391 $ 291,272 $ 204,077 $ 87,195

Deposits paid for securities borrowed 88,817 14,652 74,165 13,844 60,321

Total $ 492,480 $ 127,043 $ 365,437 $ 217,921 $ 147,516

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 $ 296,218 $ 112,391 $ 183,827 $ 71,635 $ 112,192

Deposits received for securities loaned 33,269 14,652 18,617 2,542 16,075

Total $ 329,487 $ 127,043 $ 202,444 $ 74,177 $ 128,267

As of December 31, 2021

In millions of dollars

Gross amounts

of recognized

assets

Gross amounts

offset on the

Consolidated

Balance Sheet

(1)

Net amounts of

assets included on

the Consolidated

Balance Sheet

Amounts

not offset on the

Consolidated Balance

Sheet but eligible for

offsetting upon

counterparty default

(2)

Net

amounts

(3)

Securities purchased under agreements to

resell $ 367,594 $ 131,342 $ 236,252 $ 205,349 $ 30,903

Deposits paid for securities borrowed 107,041 15,999 91,042 17,326 73,716

Total $ 474,635 $ 147,341 $ 327,294 $ 222,675 $ 104,619

191

In millions of dollars

Gross amounts

of recognized

liabilities

Gross amounts

offset on the

Consolidated

Balance Sheet

(1)

Net amounts of

liabilities included on

the Consolidated

Balance Sheet

Amounts

not offset on the

Consolidated Balance

Sheet but eligible for

offsetting upon

counterparty default

(2)

Net

amounts

(3)

Securities sold under agreements to

repurchase $ 305,597 $ 131,342 $ 174,255 $ 85,184 $ 89,071

Deposits received for securities loaned 33,029 15,999 17,030 2,868 14,162

Total $ 338,626 $ 147,341 $ 191,285 $ 88,052 $ 103,233

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

(2) Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for

offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.

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

enforceability of the offsetting right.

The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements

by remaining contractual maturity:

As of December 31, 2022

In millions of dollars

Open and

overnight Up to 30 days 31–90 days

Greater than

90 days Total

Securities sold under agreements to repurchase $ 138,710 $ 86,819 $ 25,119 $ 45,570 $ 296,218

Deposits received for securities loaned 25,388 267 2,121 5,493 33,269

Total $ 164,098 $ 87,086 $ 27,240 $ 51,063 $ 329,487

As of December 31, 2021

In millions of dollars

Open and

overnight Up to 30 days 31–90 days

Greater than

90 days Total

Securities sold under agreements to repurchase $ 127,679 $ 93,257 $ 32,908 $ 51,753 $ 305,597

Deposits received for securities loaned 23,387 6 1,392 8,244 33,029

Total $ 151,066 $ 93,263 $ 34,300 $ 59,997 $ 338,626

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, 2022

In millions of dollars

Repurchase

agreements

Securities lending

agreements Total

U.S. Treasury and federal agency securities $ 99,979 $ 106 $ 100,085

State and municipal securities 1,911 — 1,911

Foreign government securities 123,826 13 123,839

Corporate bonds 14,308 45 14,353

Equity securities 9,749 33,096 42,845

Mortgage-backed securities 36,225 — 36,225

Asset-backed securities 1,755 — 1,755

Other 8,465 9 8,474

Total $ 296,218 $ 33,269 $ 329,487

192

As of December 31, 2021

In millions of dollars

Repurchase

agreements

Securities lending

agreements Total

U.S. Treasury and federal agency securities $ 85,861 $ 90 $ 85,951

State and municipal securities 1,053 — 1,053

Foreign government securities 133,352 212 133,564

Corporate bonds 20,398 152 20,550

Equity securities 25,653 32,517 58,170

Mortgage-backed securities 33,573 — 33,573

Asset-backed securities 1,681 — 1,681

Other 4,026 58 4,084

Total $ 305,597 $ 33,029 $ 338,626

193

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

2022 2021

Receivables from customers $ 15,462 $ 26,403

Receivables from brokers,

dealers and clearing

organizations 38,730 27,937

Total brokerage receivables

(1)

$ 54,192 $ 54,340

Payables to customers $ 55,747 $ 52,158

Payables to brokers, dealers and

clearing organizations 13,471 9,272

Total brokerage payables

(1)

$ 69,218 $ 61,430

(1) Includes brokerage receivables and payables recorded by Citi broker-

dealer entities that are accounted for in accordance with the AICPA

Accounting Guide for Brokers and Dealers in Securities as codified in

ASC 940-320.

194

13. INVESTMENTS

The following table presents Citi’s investments by category:

December 31,

In millions of dollars

2022 2021

Debt securities available-for-sale (AFS) $ 249,679 $ 288,522

Debt securities held-to-maturity (HTM)

(1)

268,863 216,963

Marketable equity securities carried at fair value

(2)

429 543

Non-marketable equity securities carried at fair value

(2)(5)

466 489

Non-marketable equity securities measured using the measurement alternative

(3)

1,676 1,413

Non-marketable equity securities carried at cost

(4)

5,469 4,892

Total investments

(6)

$ 526,582 $ 512,822

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

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

(3) Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See “Non-Marketable Equity

Securities Not Carried at Fair Value” below.

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

(5) Includes $27 million and $145 million of investments in funds for which the fair values are estimated using the net asset value of the Company’s ownership

interest in the funds at December 31, 2022 and 2021, respectively.

(6) Not included in the balances above is approximately $2 billion of accrued interest receivable at December 31, 2022, which is included in Other assets on the

Consolidated Balance Sheet. The Company does not recognize an allowance for credit losses on accrued interest receivable for AFS and HTM debt securities,

consistent with its non-accrual policy, which results in timely write-off of accrued interest. The Company did not reverse through interest income any accrued

interest receivables for the years ended December 31, 2022 and 2021.

The following table presents interest and dividend income on investments:

In millions of dollars

2022 2021 2020

Taxable interest $ 10,643 $ 6,975 $ 7,554

Interest exempt from U.S. federal income tax 348 279 301

Dividend income 223 134 134

Total interest and dividend income on investments $ 11,214 $ 7,388 $ 7,989

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

In millions of dollars

2022 2021 2020

Gross realized investment gains $ 323 $ 860 $ 1,895

Gross realized investment losses (256) (195) (139)

Net realized gains on sales of investments $ 67 $ 665 $ 1,756

195

Debt Securities Available-for-Sale

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

December 31, 2022 December 31, 2021

In millions of dollars

Amortized

cost

Gross

unrealized

gains

Gross

unrealized

losses

Allowance

for credit

losses

Fair

value

Amortized

cost

Gross

unrealized

gains

Gross

unrealized

losses

Allowance

for credit

losses

Fair

value

Debt securities AFS

Mortgage-backed

securities

(1)

U.S. government-

sponsored agency

guaranteed

(2)

$ 12,009 $ 8 $ 755 $ — $ 11,262 $ 33,064 $ 453 $ 301 $ — $ 33,216

Residential 488 — 3 — 485 380 1 1 — 380

Commercial 2 — — — 2 25 — — — 25

Total mortgage-backed

securities $ 12,499 $ 8 $ 758 $ — $ 11,749 $ 33,469 $ 454 $ 302 $ — $ 33,621

U.S. Treasury and

federal agency

securities

U.S. Treasury $ 94,732 $ 50 $ 2,492 $ — $ 92,290 $ 122,669 $ 615 $ 844 $ — $ 122,440

Agency obligations — — — — — — — — — —

Total U.S. Treasury

and federal agency

securities $ 94,732 $ 50 $ 2,492 $ — $ 92,290 $ 122,669 $ 615 $ 844 $ — $ 122,440

State and municipal

(2)

$ 2,363 $ 19 $ 159 $ — $ 2,223 $ 2,643 $ 79 $ 101 $ — $ 2,621

Foreign government 135,648 569 2,940 — 133,277 119,426 337 1,023 — 118,740

Corporate 5,146 19 246 3 4,916 5,972 33 77 8 5,920

Asset-backed

securities

(1)

1,022 12 4 — 1,030 304 — 1 — 303

Other debt securities 4,198 1 5 — 4,194 4,880 1 4 — 4,877

Total debt securities

AFS $ 255,608 $ 678 $ 6,604 $ 3 $ 249,679 $ 289,363 $ 1,519 $ 2,352 $ 8 $ 288,522

(1) The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. The Company’s maximum

exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. See Note 22 for mortgage- and asset-

backed securitizations in which the Company has other involvement.

(2) In 2022, Citibank transferred $21.5 billion of agency residential mortgage-backed securities and $165 million of municipal bonds from AFS classification to HTM

classification in accordance with ASC 320. At the time of transfer, the securities and bonds were in an unrealized loss position of $2.3 billion and $12 million,

respectively. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities and bonds.

At December 31, 2022, the amortized cost of AFS fixed

income securities for those in a loss position exceeded their

fair value by $6,604 million. Of the $6,604 million,

$3,997 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, 73% were rated investment

grade; and $2,607 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, 99% were rated

investment grade. Of the $2,607 million, $1,491 million

represents U.S. Treasury and federal agency securities.

196

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, 2022

Debt securities AFS

Mortgage-backed securities

U.S. government-sponsored agency guaranteed $ 7,908 $ 412 $ 3,290 $ 343 $ 11,198 $ 755

Residential 158 3 1 — 159 3

Commercial 1 — 1 — 2 —

Total mortgage-backed securities $ 8,067 $ 415 $ 3,292 $ 343 $ 11,359 $ 758

U.S. Treasury and federal agency securities

U.S. Treasury $ 40,701 $ 1,001 $ 34,692 $ 1,491 $ 75,393 $ 2,492

Agency obligations — — — — — —

Total U.S. Treasury and federal agency securities $ 40,701 $ 1,001 $ 34,692 $ 1,491 $ 75,393 $ 2,492

State and municipal $ 896 $ 31 $ 707 $ 128 $ 1,603 $ 159

Foreign government 82,900 2,332 14,220 608 97,120 2,940

Corporate 3,082 209 784 37 3,866 246

Asset-backed securities 708 4 — — 708 4

Other debt securities 2,213 5 — — 2,213 5

Total debt securities AFS $ 138,567 $ 3,997 $ 53,695 $ 2,607 $ 192,262 $ 6,604

December 31, 2021

Debt securities AFS

Mortgage-backed securities

U.S. government-sponsored agency guaranteed $ 17,039 $ 270 $ 698 $ 31 $ 17,737 $ 301

Residential 96 1 1 — 97 1

Commercial — — — — — —

Total mortgage-backed securities $ 17,135 $ 271 $ 699 $ 31 $ 17,834 $ 302

U.S. Treasury and federal agency securities

U.S. Treasury $ 56,448 $ 713 $ 6,310 $ 131 $ 62,758 $ 844

Agency obligations — — — — — —

Total U.S. Treasury and federal agency securities $ 56,448 $ 713 $ 6,310 $ 131 $ 62,758 $ 844

State and municipal $ 229 $ 3 $ 874 $ 98 $ 1,103 $ 101

Foreign government 64,319 826 9,924 197 74,243 1,023

Corporate 2,655 77 22 — 2,677 77

Asset-backed securities 108 1 — — 108 1

Other debt securities 3,439 4 — — 3,439 4

Total debt securities AFS $ 144,333 $ 1,895 $ 17,829 $ 457 $ 162,162 $ 2,352

197

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

December 31,

2022 2021

In millions of dollars

Amortized

cost

Fair

value

Weighted

average

yield

(1)

Amortized

cost

Fair

value

Weighted

average

yield

(1)

Mortgage-backed securities

(2)

Due within 1 year $ 42 $ 44 2.02 % $ 188 $ 189 0.79 %

After 1 but within 5 years 523 513 2.31 211 211 1.07

After 5 but within 10 years 468 440 3.46 523 559 3.41

After 10 years 11,466 10,752 3.46 32,547 32,662 2.73

Total $ 12,499 $ 11,749 3.41 % $ 33,469 $ 33,621 2.72 %

U.S. Treasury and federal agency securities

Due within 1 year $ 25,935 $ 25,829 2.81 % $ 34,321 $ 34,448 1.05 %

After 1 but within 5 years 68,455 66,166 1.17 87,987 87,633 0.81

After 5 but within 10 years 342 295 2.53 361 359 1.42

After 10 years — — — — — —

Total $ 94,732 $ 92,290 1.62 % $ 122,669 $ 122,440 0.87 %

State and municipal

Due within 1 year $ 19 $ 18 1.79 % $ 40 $ 40 2.09 %

After 1 but within 5 years 94 92 3.07 121 124 3.16

After 5 but within 10 years 305 302 3.55 156 161 3.18

After 10 years 1,945 1,811 3.51 2,326 2,296 3.15

Total $ 2,363 $ 2,223 3.49 % $ 2,643 $ 2,621 3.14 %

Foreign government

Due within 1 year $ 64,795 $ 64,479 4.25 % $ 49,263 $ 49,223 2.53 %

After 1 but within 5 years 67,935 66,150 4.80 64,555 63,961 3.14

After 5 but within 10 years 2,491 2,250 2.86 3,736 3,656 1.72

After 10 years 427 398 3.80 1,872 1,900 1.52

Total $ 135,648 $ 133,277 4.50 % $ 119,426 $ 118,740 2.82 %

All other

(3)

Due within 1 year $ 4,452 $ 4,441 1.52 % $ 5,175 $ 5,180 0.94 %

After 1 but within 5 years 5,162 4,988 4.82 5,177 5,149 1.91

After 5 but within 10 years 695 693 11.35 750 750 2.08

After 10 years 57 18 3.81 54 21 4.28

Total $ 10,366 $ 10,140 3.83 % $ 11,156 $ 11,100 1.48 %

Total debt securities AFS $ 255,608 $ 249,679 3.34 % $ 289,363 $ 288,522 1.94 %

(1) Weighted average yields are weighted based on the amortized cost of each security. The average yield considers the contractual coupon, amortization of premiums

and accretion of discounts and excludes the effects of any related hedging derivatives.

(2) 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.

(3) Includes corporate, asset-backed and other debt securities.

198

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, 2022

Debt securities HTM

Mortgage-backed securities

(2)

U.S. government-sponsored agency guaranteed

(3)

$ 90,063 $ 58 $ 10,033 $ 80,088

Non-U.S. residential 445 — — 445

Commercial 1,114 5 1 1,118

Total mortgage-backed securities $ 91,622 $ 63 $ 10,034 $ 81,651

U.S. Treasury securities $ 134,961 $ — $ 13,722 $ 121,239

State and municipal

(4)

9,237 34 764 8,507

Foreign government 2,075 — 93 1,982

Asset-backed securities

(2)

30,968 4 703 30,269

Total debt securities HTM, net $ 268,863 $ 101 $ 25,316 $ 243,648

December 31, 2021

Debt securities HTM

Mortgage-backed securities

(2)

U.S. government-sponsored agency guaranteed $ 63,885 $ 1,076 $ 925 $ 64,036

Non-U.S. residential 736 3 — 739

Commercial 1,070 4 2 1,072

Total mortgage-backed securities $ 65,691 $ 1,083 $ 927 $ 65,847

U.S. Treasury securities $ 111,819 $ 30 $ 1,632 $ 110,217

State and municipal 8,923 589 12 9,500

Foreign government 1,651 4 36 1,619

Asset-backed securities

(2)

28,879 8 32 28,855

Total debt securities HTM, net $ 216,963 $ 1,714 $ 2,639 $ 216,038

(1) Amortized cost is reported net of ACL of $120 million and $87 million at December 31, 2022 and December 31, 2021, respectively.

(2) The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss

from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. See Note 22 for mortgage- and asset-backed securitizations

in which the Company has other involvement.

(3) In 2022, Citibank transferred $21.5 billion of agency residential mortgage-backed securities and $165 million of municipal bonds from AFS classification to HTM

classification in accordance with ASC 320. At the time of transfer, the securities and bonds were in an unrealized loss position of $2.3 billion and $12 million,

respectively. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities and bonds.

The Company has the positive intent and ability to hold

these securities to maturity or, where applicable, until the

exercise of any issuer call option, 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

debt 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.

199

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

December 31,

2022 2021

In millions of dollars

Amortized

cost

(1)

Fair value

Weighted

average yield

(2)

Amortized

cost

(1)

Fair value

Weighted

average yield

(2)

Mortgage-backed securities

Due within 1 year $ 27 $ 27 2.93 % $ 152 $ 151 1.70 %

After 1 but within 5 years 520 505 3.84 684 725 3.01

After 5 but within 10 years 1,496 1,374 2.74 1,655 1,739 2.74

After 10 years 89,579 79,745 2.89 63,200 63,232 2.55

Total $ 91,622 $ 81,651 2.90 % $ 65,691 $ 65,847 2.56 %

U.S. Treasury securities

Due within 1 year $ 3,148 $ 3,017 0.18 % $ — $ — — %

After 1 but within 5 years 86,617 79,104 1.04 65,498 64,516 0.69

After 5 but within 10 years 45,196 39,118 1.16 46,321 45,701 1.15

After 10 years — — — — — —

Total $ 134,961 $ 121,239 1.06 % $ 111,819 $ 110,217 0.88 %

State and municipal

Due within 1 year $ 22 $ 21 2.73 % $ 51 $ 50 3.82 %

After 1 but within 5 years 102 100 2.99 166 170 2.82

After 5 but within 10 years 1,002 967 3.16 908 951 3.23

After 10 years 8,111 7,419 3.32 7,798 8,329 2.65

Total $ 9,237 $ 8,507 3.30 % $ 8,923 $ 9,500 2.72 %

Foreign government

Due within 1 year $ 143 $ 139 10.83 % $ 292 $ 291 7.86 %

After 1 but within 5 years 1,932 1,843 9.94 1,359 1,328 6.30

After 5 but within 10 years — — — — — —

After 10 years — — — — — —

Total $ 2,075 $ 1,982 10.00 % $ 1,651 $ 1,619 6.58 %

All other

(3)

Due within 1 year $ — $ — — % $ — $ — — %

After 1 but within 5 years — — — — — —

After 5 but within 10 years 11,751 11,583 2.81 11,520 11,515 2.78

After 10 years 19,217 18,686 1.53 17,359 17,340 1.34

Total $ 30,968 $ 30,269 2.02 % $ 28,879 $ 28,855 1.92 %

Total debt securities HTM $ 268,863 $ 243,648 1.94 % $ 216,963 $ 216,038 1.65 %

(1) Amortized cost is reported net of ACL of $120 million and $87 million at December 31, 2022 and 2021, respectively.

(2) Weighted average yields are weighted based on the amortized cost of each security. The average yield considers the contractual coupon, amortization of premiums

and accretion of discounts and excludes the effects of any related hedging derivatives.

(3) Includes corporate and asset-backed securities.

HTM Debt Securities Delinquency and Non-Accrual

Details

Citi did not have any HTM debt securities that were

delinquent or on non-accrual status at December 31, 2022 and

2021.

There were no purchased credit-deteriorated HTM debt

securities held by the Company as of December 31, 2022 and

2021.

200

Evaluating Investments for Impairment

AFS Debt Securities

Overview—AFS Debt Securities

The Company conducts periodic reviews of all AFS debt

securities with unrealized losses to evaluate whether the

impairment resulted from expected credit losses or from other

factors and to evaluate the Company’s intent to sell such

securities.

An AFS debt security is impaired when the current fair

value of an individual AFS debt security is less than its

amortized cost basis.

The Company recognizes the entire difference between

amortized cost basis and fair value in earnings for impaired

AFS debt securities that Citi has an intent to sell or for which

Citi believes it will more-likely-than-not be required to sell

prior to recovery of the amortized cost basis. However, for

those AFS debt securities that the Company does not intend to

sell and is not likely to be required to sell, only the credit-

related impairment is recognized in earnings by recording an

allowance for credit losses. Any remaining fair value decline

for such securities is recorded in AOCI. The Company does

not consider the length of time that the fair value of a security

is below its amortized cost when determining if a credit loss

exists.

For AFS debt securities, credit losses exist where Citi

does not expect to receive contractual principal and interest

cash flows sufficient to recover the entire amortized cost basis

of a security. The allowance for credit losses is limited to the

amount by which the AFS debt security’s amortized cost basis

exceeds its fair value. The allowance is increased or decreased

if credit conditions subsequently worsen or improve. Reversals

of credit losses are recognized in earnings.

The Company’s review for impairment of AFS debt

securities generally entails:

• identification and evaluation of impaired investments;

• consideration of evidential matter, including an evaluation

of factors or triggers that could cause individual positions

to qualify as credit impaired and those that would not

support credit impairment; and

• documentation of the results of these analyses, as required

under business policies.

The sections below describe the Company’s process for

identifying expected credit impairments for debt security types

that have the most significant unrealized losses as of

December 31, 2022.

Agency 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, disregarding 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 prior to recovery of value, the full impairment

is recognized in earnings. For AFS state and municipal bonds

where Citi has no intent to sell and it is not more-likely-than-

not that the Company will be required to sell, Citi records an

allowance for expected credit losses for the amount it expects

not to collect, capped at the difference between the bond’s

amortized cost basis and fair value.

Equity Method Investments

Management assesses equity method investments that have

fair values that are less than their respective carrying values

for other-than-temporary impairment (OTTI). Fair value is

measured as price multiplied by quantity if the investee has

publicly listed securities. If the investee is not publicly listed,

other methods are used (see Note 25).

For impaired equity method investments that Citi plans to

sell prior to recovery of value or would more-likely-than-not

be required to sell, with no expectation that the fair value will

recover prior to the expected sale date, the full impairment is

recognized as OTTI in Other revenue regardless of severity

and duration. The measurement of the OTTI does not include

partial projected recoveries subsequent to the balance sheet

date.

For impaired equity method investments that management

does not plan to sell and is not more-likely-than-not to be

required to sell prior to recovery of value, the evaluation of

whether an impairment is other-than-temporary is based on

(i) whether and when an equity method investment will

recover in value and (ii) whether the investor has the intent

and ability to hold that investment for a period of time

sufficient to recover the value. The determination of whether

the impairment is considered other-than-temporary considers

the following indicators:

• the cause of the impairment and the financial condition

and near-term prospects of the issuer, including any

specific events that may influence the operations of the

issuer;

• the intent and ability to hold the investment for a period of

time sufficient to allow for any anticipated recovery in

market value; and

• the length of time and extent to which fair value has been

less than the carrying value.

201

Recognition and Measurement of Impairment

The following table presents total impairment on AFS investments recognized in earnings:

Year ended

In millions of dollars

2022 2021 2020

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 360 181 109

Total impairment losses recognized in earnings $ 360 $ 181 $ 109

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, 2022 and 2021:

Allowance for Credit Losses on AFS Debt Securities

Year ended December 31, 2022

In millions of dollars

Mortgage-

backed

U.S. Treasury

and federal

agency

State and

municipal

Foreign

government Corporate Total AFS

Allowance for credit losses at beginning of year $ — $ — $ — $ — $ 8 $ 8

Gross write-offs — — — — — —

Gross recoveries — — — — 5 5

Net credit losses (NCLs) $ — $ — $ — $ — $ 5 $ 5

NCLs $ — $ — $ — $ — $ (5) $ (5)

Credit losses on securities without previous credit losses — — — — 2 2

Net reserve builds (releases) on securities with previous

credit losses — — — — (2) (2)

Total provision for credit losses $ — $ — $ — $ — $ (5) $ (5)

Initial allowance on newly purchased credit-deteriorated

securities during the year — — — — — —

Allowance for credit losses at end of year $ — $ — $ — $ — $ 3 $ 3

Year ended December 31, 2021

In millions of dollars

Mortgage-

backed

U.S. Treasury

and federal

agency

State and

municipal

Foreign

government Corporate Total AFS

Allowance for credit losses at beginning of year $ — $ — $ — $ — $ 5 $ 5

Gross write-offs — — — — — —

Gross recoveries — — — — — —

Net credit losses (NCLs) $ — $ — $ — $ — $ — $ —

NCLs $ — $ — $ — $ — $ — $ —

Credit losses on securities without previous credit losses — — — — 3 3

Net reserve builds (releases) on securities with previous

credit losses — — — — — —

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 $ — $ — $ — $ — $ 8 $ 8

202

Year ended December 31, 2020

In millions of dollars

Mortgage-

backed

U.S. Treasury

and federal

agency

State and

municipal

Foreign

government Corporate Total AFS

Allowance for credit losses at beginning of year $ — $ — $ — $ — $ — $ —

Gross write-offs — — — — — —

Gross recoveries — — — — 2 2

Net credit losses (NCLs) $ — $ — $ — $ — $ 2 $ 2

NCLs $ — $ — $ — $ — $ (2) $ (2)

Credit losses on securities without previous credit losses — — — 3 5 8

Net reserve builds (releases) on securities with previous

credit losses — — — (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

203

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, 2022 and 2021:

In millions of dollars

December 31,

2022

December 31,

2021

Measurement alternative:

Carrying value $ 1,676 $ 1,413

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

2022 2021

Measurement alternative

(1)

Impairment losses $ 139 $ 25

Downward changes for

observable prices 3 —

Upward changes for observable

prices 177 406

(1) See Note 25 for additional information on these nonrecurring fair value

measurements.

Life-to-date amounts

on securities still held

In millions of dollars

December 31, 2022

Measurement alternative:

Impairment losses $ 219

Downward changes for observable prices 6

Upward changes for observable prices 867

A similar impairment analysis is performed for non-

marketable equity securities carried at cost. For the years

ended December 31, 2022 and 2021, there was no impairment

loss recognized in earnings for non-marketable equity

securities carried at cost.

204

14. LOANS

Citigroup loans are reported in two categories: corporate and

consumer. These categories are classified primarily according

to the operating segment and component that manage the loans

in addition to the nature of the obligor, with corporate loans

generally made for corporate institutional and public sector

clients around the world and consumer loans to retail and

small business customers.

Corporate Loans

Corporate loans represent loans and leases managed by ICG

and the Mexico SBMM component of Legacy Franchises. The

following table presents information by corporate loan type:

In millions of dollars

December 31,

2022

December 31,

2021

In North America offices

(1)

Commercial and industrial $ 56,176 $ 48,364

Financial institutions 43,399 49,804

Mortgage and real estate

(2)

17,829 15,965

Installment and other 23,767 20,143

Lease financing 308 415

Total $ 141,479 $ 134,691

In offices outside North America

(1)

Commercial and industrial $ 93,967 $ 102,735

Financial institutions 21,931 22,158

Mortgage and real estate

(2)

4,179 4,374

Installment and other 23,347 22,812

Lease financing 46 40

Governments and official

institutions 4,205 4,423

Total $ 147,675 $ 156,542

Corporate loans, net of

unearned income

(3)(4)(5)

$ 289,154 $ 291,233

(1) North America includes the U.S., Canada and Puerto Rico. Mexico is

included in offices outside North America. The classification between

offices in North America and outside North America is based on the

domicile of the booking unit. The difference between the domicile of the

booking unit and the domicile of the managing unit is not material.

(2) Loans secured primarily by real estate.

(3) Corporate loans are net of unearned income of $($797) million and

($770) million at December 31, 2022 and 2021, respectively. Unearned

income on corporate loans primarily represents interest received in

advance, but not yet earned, on loans originated on a discounted basis.

(4) Not included in the balances above is approximately $2 billion of

accrued interest receivable at December 31, 2022, which is included in

Other assets on the Consolidated Balance Sheet.

(5) Accrued interest receivable considered to be uncollectible is reversed

through interest income. Amounts reversed were not material for the

years ended December 31, 2022 and 2021, respectively.

The Company sold and/or reclassified to held-for-sale

$5.0 billion and $5.9 billion of corporate loans during the

years ended December 31, 2022 and 2021, respectively. The

Company did not have significant purchases of corporate loans

classified as held-for-investment for the years ended

December 31, 2022 or 2021.

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 $0.4 billion of lease

financing receivables, as of December 31, 2022, 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, 2022 was not material.

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 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 collectibility 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.

205

Corporate Loan Delinquencies and Non-Accrual Details at December 31, 2022

In millions of dollars

30–89 days

past due

and accruing

(1)

≥ 90 days

past due and

accruing

(1)

Total past due

and accruing

Total

non-accrual

(2)

Total

current

(3)

Total

loans

(4)

Commercial and industrial $ 763 $ 594 $ 1,357 $ 860 $ 145,586 $ 147,803

Financial institutions 233 102 335 152 64,420 64,907

Mortgage and real estate 30 12 42 33 21,874 21,949

Lease financing — 1 1 10 343 354

Other 145 18 163 67 48,788 49,018

Loans at fair value 5,123

Total $ 1,171 $ 727 $ 1,898 $ 1,122 $ 281,011 $ 289,154

Corporate Loan Delinquencies and Non-Accrual Details at December 31, 2021

In millions of dollars

30–89 days

past due

and accruing

(1)

≥ 90 days

past due and

accruing

(1)

Total past due

and accruing

Total

non-accrual

(2)

Total

current

(3)

Total

loans

(4)

Commercial and industrial $ 1,072 $ 239 $ 1,311 $ 1,263 $ 144,430 $ 147,004

Financial institutions 320 166 486 2 71,279 71,767

Mortgage and real estate 1 1 2 136 20,153 20,291

Lease financing — — — 14 441 455

Other 77 19 96 138 45,412 45,646

Loans at fair value 6,070

Total $ 1,470 $ 425 $ 1,895 $ 1,553 $ 281,715 $ 291,233

(1) Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is

contractually due but unpaid.

(2) Non-accrual loans generally include those loans that are 90 days or more past due or those loans for which Citi believes, based on actual experience and a forward-

looking assessment of the collectability of the loan in full, that the payment of interest and/or principal is doubtful.

(3) Loans less than 30 days past due are presented as current.

(4) The Total loans column includes loans at fair value, which are not included in the various delinquency columns, and therefore the tables’ total rows will not cross-

foot.

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, doubtful and loss will have risk ratings within the

non-investment-grade categories.

206

Corporate Loans Credit Quality Indicators

Recorded investment in loans

(1)

Term loans by year of origination

Revolving line

of credit

arrangements

(2)

December 31,

2022

In millions of dollars

2022 2021 2020 2019 2018 Prior

Investment grade

(3)

Commercial and industrial

(4)

$ 50,086 $ 5,716 $ 2,454 $ 2,348 $ 1,129 $ 1,776 $ 38,359 $ 101,868

Financial institutions

(4)

13,547 3,174 813 593 284 713 37,463 56,587

Mortgage and real estate 7,321 3,876 3,379 1,205 577 775 152 17,285

Other

(5)

12,257 1,171 494 148 688 3,496 26,807 45,061

Total investment grade $ 83,211 $ 13,937 $ 7,140 $ 4,294 $ 2,678 $ 6,760 $ 102,781 $ 220,801

Non-investment grade

(3)

Accrual

Commercial and industrial

(4)

$ 21,877 $ 3,114 $ 1,371 $ 800 $ 661 $ 402 $ 16,850 $ 45,075

Financial institutions

(4)

5,110 626 247 65 36 11 2,073 8,168

Mortgage and real estate 1,081 989 470 556 562 501 472 4,631

Other

(5)

1,938 360 466 107 7 64 1,292 4,234

Non-accrual

Commercial and industrial

(4)

80 31 90 53 44 83 479 860

Financial institutions 41 35 — — — — 76 152

Mortgage and real estate 2 11 — — 2 18 — 33

Other

(5)

7 26 1 8 10 9 16 77

Total non-investment grade $ 30,136 $ 5,192 $ 2,645 $ 1,589 $ 1,322 $ 1,088 $ 21,258 $ 63,230

Loans at fair value

(6)

$ 5,123

Corporate loans, net of unearned

income $ 113,347 $ 19,129 $ 9,785 $ 5,883 $ 4,000 $ 7,848 $ 124,039 $ 289,154

207

Recorded investment in loans

(1)

Term loans by year of origination

Revolving line

of credit

arrangements

(2)

December 31,

2021

In millions of dollars

2021 2020 2019 2018 2017 Prior

Investment grade

(3)

Commercial and industrial

(4)

$ 42,422 $ 5,529 $ 4,642 $ 3,757 $ 2,911 $ 8,392 $ 30,588 $ 98,241

Financial institutions

(4)

12,862 1,678 1,183 1,038 419 1,354 43,630 62,164

Mortgage and real estate 2,423 3,660 3,332 2,015 1,212 1,288 141 14,071

Other

(5)

9,037 3,099 1,160 2,789 330 4,601 18,727 39,743

Total investment grade $ 66,744 $ 13,966 $ 10,317 $ 9,599 $ 4,872 $ 15,635 $ 93,086 $ 214,219

Non-investment grade

(3)

Accrual

Commercial and industrial

(4)

$ 16,783 $ 2,281 $ 2,343 $ 2,024 $ 1,412 $ 3,981 $ 18,676 $ 47,500

Financial institutions

(4)

4,325 347 567 101 71 511 3,679 9,601

Mortgage and real estate 1,275 869 1,228 1,018 493 586 615 6,084

Other

(5)

1,339 349 554 364 119 245 3,236 6,206

Non-accrual

Commercial and industrial

(4)

53 119 64 104 94 117 712 1,263

Financial institutions — — — — — — 2 2

Mortgage and real estate 11 8 2 49 10 25 31 136

Other

(5)

19 5 19 19 — 90 — 152

Total non-investment grade $ 23,805 $ 3,978 $ 4,777 $ 3,679 $ 2,199 $ 5,555 $ 26,951 $ 70,944

Loans at fair value

(6)

6,070

Corporate loans, net of unearned

income $ 90,549 $ 17,944 $ 15,094 $ 13,278 $ 7,071 $ 21,190 $ 120,037 $ 291,233

(1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.

(2) There were no significant revolving line of credit arrangements that converted to term loans during the 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) Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.

Collateral-dependent loans and leases, where repayment is

expected to be provided solely by the sale of the underlying

collateral with 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.

208

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, 2022

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 $ 860 $ 1,440 $ 268 $ 1,210 $ 56

Financial institutions 152 205 51 115 —

Mortgage and real estate 33 33 4 85 4

Lease financing 10 10 — 12 —

Other 67 89 — 111 6

Total non-accrual corporate loans $ 1,122 $ 1,777 $ 323 $ 1,533 $ 66

At and for the year ended December 31, 2021

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 $ 1,263 $ 1,858 $ 198 $ 1,839 $ 37

Financial institutions 2 55 — 4 —

Mortgage and real estate 136 285 10 163 —

Lease financing 14 14 — 21 —

Other 138 165 4 134 17

Total non-accrual corporate loans $ 1,553 $ 2,377 $ 212 $ 2,161 $ 54

December 31, 2022 December 31, 2021

In millions of dollars

Recorded

investment

(1)

Related specific

allowance

Recorded

investment

(1)

Related specific

allowance

Non-accrual corporate loans with specific allowances

Commercial and industrial $ 583 $ 268 $ 637 $ 198

Financial institutions 149 51 — —

Mortgage and real estate 33 4 29 10

Other — — 37 4

Total non-accrual corporate loans with specific allowances $ 765 $ 323 $ 703 $ 212

Non-accrual corporate loans without specific allowances

Commercial and industrial $ 277 $ 626

Financial institutions 3 2

Mortgage and real estate — 107

Lease financing 10 14

Other 67 101

Total non-accrual corporate loans without specific

allowances $ 357 N/A $ 850 N/A

(1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.

(2) Average carrying value represents the average recorded investment balance and does not include related specific allowances.

(3) Interest income recognized for the year ended December 31, 2020 was $35 million.

N/A Not applicable

209

Corporate Troubled Debt Restructurings

For the year ended December 31, 2022

In millions of dollars

Carrying value of

TDRs modified

during the year

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 $ 61 $ — $ — $ 61

Mortgage and real estate 2 1 — 1

Other 30 — 30

Total $ 93 $ 1 $ — $ 92

For the year ended December 31, 2021

(1)

In millions of dollars

Carrying value of

TDRs modified

during the year

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 $ 82 $ — $ — $ 82

Mortgage and real estate 4 — — 4

Other 6 — 6

Total $ 92 $ — $ — $ 92

(1) The 2021 table does 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, 2022

TDR loans that re-defaulted

in 2022 within one year of

modification

TDR balances at

December 31, 2021

TDR loans that re-defaulted

in 2020 within one year of

modification

Commercial and industrial $ 85 $ — $ 236 $ —

Mortgage and real estate 13 — 20 —

Other 12 — 28 —

Total

(1)

$ 110 $ — $ 284 $ —

(1) The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.

210

Consumer Loans

Consumer loans represent loans and leases managed primarily

by PBWM and Legacy Franchises (except Mexico SBMM).

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.

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.

The tables below present details about these loans,

including the following loan categories:

• Residential first mortgages and Home equity loans in

North America offices primarily represent secured

mortgage lending to customers of Retail banking and

Global Wealth (primarily Private bank and Citigold).

• Credit cards in North America offices primarily represent

unsecured credit card lending to customers of Branded

cards and Retail services.

• Personal, small business and other loans in North America

are primarily composed of classifiably managed loans to

customers of Global Wealth (mostly within the Private

bank) who are typically high credit quality borrowers that

historically experienced minimal delinquencies and credit

losses. Loans to these borrowers are generally well

collateralized in the form of liquid securities and other

forms of collateral.

• Residential mortgage loans in offices outside North

America primarily represent secured mortgage lending to

customers of Global Wealth (primarily Private bank and

Citigold) as well as customers of Legacy Franchises.

• Credit cards in offices outside North America primarily

represent unsecured credit card lending to customers of

Legacy Franchises, primarily in Asia and Mexico.

• Personal, small business and other loans in offices outside

North America are primarily composed of secured and

unsecured loans to customers of PBWM and Legacy

Franchises. A significant portion of PBWM loans is

classifiably managed and represents loans to high credit

quality Private bank customers who historically

experienced minimal delinquencies and credit losses.

Loans to these borrowers are generally well collateralized

in the form of liquid securities and other forms of

collateral.

211

The following tables provide Citi’s consumer loans by type:

Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2022

In millions of dollars

Total

current

(1)(2)

30–89

days past

due

(3)

≥ 90 days

past

due

(3)

Past due

government

guaranteed

(6)

Total

loans

Non-

accrual

loans for

which

there is no

ACLL

Non-

accrual

loans for

which

there is an

ACLL

Total

non-

accrual

90 days

past due

and accruing

In North America offices

(7)

Residential first mortgages

(8)

$ 95,023 $ 421 $ 316 $ 279 $ 96,039 $ 86 $ 434 $ 520 $ 163

Home equity loans

(9)(10)

4,407 38 135 — 4,580 51 151 202 —

Credit cards 147,717 1,511 1,415 — 150,643 — — — 1,415

Personal, small business and

other

(11)

37,635 88 22 7 37,752 3 23 26 11

Total $ 284,782 $ 2,058 $ 1,888 $ 286 $ 289,014 $ 140 $ 608 $ 748 $ 1,589

In offices outside North America

(7)

Residential mortgages

(8)

$ 27,946 $ 62 $ 106 $ — $ 28,114 $ — $ 305 $ 305 $ 13

Credit cards 12,659 147 149 — 12,955 — 127 127 56

Personal, small business and

other

(11)

37,869 105 10 — 37,984 — 137 137 —

Total $ 78,474 $ 314 $ 265 $ — $ 79,053 $ — $ 569 $ 569 $ 69

Total Citigroup

(12)(13)

$ 363,256 $ 2,372 $ 2,153 $ 286 $ 368,067 $ 140 $ 1,177 $ 1,317 $ 1,658

Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2021

In millions of dollars

Total

current

(1)(2)

30–89

days past

due

(3)(4)(5)

≥ 90 days

past

due

(3)(4)(5)

Past due

government

guaranteed

(5)(6)

Total

loans

Non-

accrual

loans for

which

there is no

ACLL

Non-

accrual

loans for

which

there is an

ACLL

Total

non-

accrual

90 days

past due

and accruing

In North America offices

(7)

Residential first mortgages

(8)

$ 82,087 $ 381 $ 499 $ 394 $ 83,361 $ 134 $ 559 $ 693 $ 282

Home equity loans

(9)(10)

5,546 43 156 — 5,745 64 221 285 —

Credit cards 132,050 947 871 — 133,868 — — — 871

Personal, small business and

other

(14)

40,533 126 16 38 40,713 2 70 72 30

Total $ 260,216 $ 1,497 $ 1,542 $ 432 $ 263,687 $ 200 $ 850 $ 1,050 $ 1,183

In offices outside North America

(7)

Residential mortgages

(8)

$ 37,566 $ 165 $ 158 $ — $ 37,889 $ — $ 409 $ 409 $ 10

Credit cards 17,428 192 188 — 17,808 — 140 140 133

Personal, small business and

other

(14)

56,930 145 75 — 57,150 — 227 227 —

Total $ 111,924 $ 502 $ 421 $ — $ 112,847 $ — $ 776 $ 776 $ 143

Total Citigroup

(13)

$ 372,140 $ 1,999 $ 1,963 $ 432 $ 376,534 $ 200 $ 1,626 $ 1,826 $ 1,326

(1) Loans less than 30 days past due are presented as current.

(2) Includes $237 million and $12 million at December 31, 2022 and 2021, respectively, of residential first mortgages recorded at fair value.

(3) Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes $31.5 billion and $17.8 billion of classifiably managed Private bank loans in North

America and outside North America, respectively, at December 31, 2022. Excludes $35.3 billion and $24.5 billion of classifiably managed Private bank loans in

North America and outside North America, respectively, at December 31, 2021.

(4) Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification. Most

modified loans in North America would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain

of which may be renewed).

(5) Conformed to be consistent with the current period’s delineation between delinquency-managed and classifiably managed loans.

(6) Consists of loans that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and $0.1 billion and 90 days or more

past due of $0.2 billion and $0.3 billion at December 31, 2022 and 2021, respectively.

(7) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

(8) Includes approximately $0.1 billion and $0.0 billion of residential first mortgage loans in process of foreclosure in North America and outside North America,

respectively, and $19.8 billion of residential mortgages outside North America related to the Global Wealth business at December 31, 2022. Includes

212

approximately $0.1 billion and $0.1 billion of residential first mortgage loans in process of foreclosure in North America and outside North America, respectively,

and $19.8 billion of residential mortgages outside North America related to the Global Wealth business at December 31, 2021.

(9) Includes approximately $0.1 billion and $0.1 billion at December 31, 2022 and 2021, respectively, of home equity loans in process of foreclosure in North

America.

(10) Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.

(11) Includes loans related to the Global Wealth business: $34.0 billion in North America, approximately $31.5 billion of which are classifiably managed, and as of

December 31, 2022 approximately 98% were rated investment grade; and $26.6 billion outside North America, approximately $17.8 billion of which are

classifiably managed, and as of December 31, 2022 approximately 94% were rated investment grade. The classifiably managed portion of these loans is shown as

“current” because the delinquency status is not applicable, since these loans are primarily evaluated for credit risk based on their internal risk classification.

(12) Not included in the balances above is approximately $1 billion of accrued interest receivable at December 31, 2022, which is included in Other assets on the

Consolidated Balance Sheet, except for credit card loans (which include accrued interest and fees). When a loan becomes non-accrual or, if not subject to a non-

accrual policy, is charged-off per the Company’s charge-off policy, any accrued interest receivable is also reversed against the interest income. During the years

ended December 31, 2022 and 2021, the Company reversed accrued interest of approximately $0.6 billion and $0.8 billion, respectively, primarily related to credit

card loans.

(13) Consumer loans were net of unearned income of $712 million and $629 million at December 31, 2022 and 2021, respectively. Unearned income on consumer

loans primarily represents unamortized origination fees and costs, premiums and discounts.

(14) Includes loans related to the Global Wealth business: $37.9 billion in North America, approximately $35.3 billion of which are classifiably managed, and as of

December 31, 2021 approximately 95% were rated investment grade; and $34.6 billion outside North America, approximately $24.5 billion of which are

classifiably managed, and as of December 31, 2021 approximately 94% were rated investment grade. The classifiably managed portion of these loans is shown as

“current” because the delinquency status is not applicable, since these loans are primarily evaluated for credit risk based on their internal risk classification.

Interest Income Recognized for Non-Accrual Consumer Loans

For the years ended December 31,

In millions of dollars

2022 2021

In North America offices

(1)

Residential first mortgages $ 12 $ 13

Home equity loans 5 7

Credit cards — —

Personal, small business and other 2 —

Total $ 19 $ 20

In offices outside North America

(1)

Residential mortgages $ 4 $ 1

Credit cards — —

Personal, small business and other 4 —

Total $ 8 $ 1

Total Citigroup $ 27 $ 21

(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, 2022 and 2021, the Company sold and/or reclassified to HFS $582 million and $1,473 million

of consumer loans, respectively. Loans held by a business for sale are not included in the above. The Company did not have

significant purchases of consumer loans classified as held-for-investment during the years ended December 31, 2022 and 2021. See

Note 2 for additional information regarding Citigroup’s businesses for sale.

213

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.

For Citi’s $80.5 billion and $114.3 billion in the consumer

loan portfolio outside of the U.S. as of December 31, 2022 and

2021, respectively, various country-specific or regional credit

risk metrics and acquisition and behavior scoring models are

leveraged as one of the factors to evaluate the credit quality of

customers (for additional information on loans outside of the

U.S., see “Consumer Loans and Ratios Outside of North

America” below). As a result, details of relevant credit quality

indicators for those loans are not comparable to the below

FICO score distribution for the U.S. portfolio.

FICO score distribution—U.S. portfolio

(1)(2)

December 31, 2022

In millions of dollars

Less than

680

to 760

Greater

than 760

Classifiably

managed

(3)

FICO not

available

(4)

Total

loans

Residential first mortgages

2022 $ 691 $ 7,530 $ 12,928

2021 639 5,933 12,672

2020 431 4,621 10,936

2019 321 2,505 5,445

2018 302 1,072 1,899

Prior 2,020 6,551 12,649

Total residential first mortgages $ 4,404 $ 28,212 $ 56,529 $ 6,894 $ 96,039

Home equity line of credit (pre-reset) $ 552 $ 1,536 $ 1,876

Home equity line of credit (post-reset) 62 65 40

Home equity term loans 106 151 117

2022 — — —

2021 — 1 1

2020 1 2 2

2019 1 2 2

2018 1 2 1

Prior 103 144 111

Total home equity loans $ 720 $ 1,752 $ 2,033 $ 75 $ 4,580

Credit cards $ 27,901 $ 58,213 $ 60,896

Revolving loans converted to term loans

(5)

766 354 54

Total credit cards

(6)

$ 28,667 $ 58,567 $ 60,950 $ 1,914 $ 150,098

Personal, small business and other

2022 $ 247 $ 546 $ 800

2021 96 170 210

2020 15 20 30

2019 21 23 28

2018 10 10 9

Prior 126 190 144

Total personal, small business and other

(7)(8)

$ 515 $ 959 $ 1,221 $ 31,478 2,639 $ 36,812

Total $ 34,306 $ 89,490 $ 120,733 $ 31,478 $ 11,522 $ 287,529

214

FICO score distribution—U.S. portfolio

(1)(2)

December 31, 2021

In millions of dollars

Less than

680

to 760

Greater

than 760

Classifiably

managed

(3)

FICO not

available

(4)

Total

loans

Residential first mortgages

2021 $ 626 $ 6,729 $ 12,349

2020 508 5,102 12,153

2019 373 3,074 6,167

2018 394 1,180 2,216

2017 343 1,455 2,568

Prior 2,053 6,540 12,586

Total residential first mortgages $ 4,297 $ 24,080 $ 48,039 $ 6,945 $ 83,361

Home equity line of credit (pre-reset) $ 659 $ 1,795 $ 2,506

Home equity line of credit (post-reset) 75 72 37

Home equity term loans 168 210 156

2021 — 1 1

2020 — 3 2

2019 1 2 2

2018 1 2 1

2017 1 2 2

Prior 165 201 149

Total home equity loans $ 902 $ 2,077 $ 2,699 $ 67 $ 5,745

Credit cards $ 22,342 $ 52,481 $ 55,076

Revolving loans converted to term loans

(5)

773 426 61

Total credit cards

(6)

$ 23,115 $ 52,907 $ 55,137 $ 2,192 $ 133,351

Personal, small business and other

2021 $ 59 $ 201 $ 319

2020 22 41 64

2019 42 53 68

2018 34 35 37

2017 7 8 9

Prior 120 179 143

Total personal, small business and other

(7)(8)

$ 284 $ 517 $ 640 $ 35,324 $ 3,041 $ 39,806

Total $ 28,598 $ 79,581 $ 106,515 $ 35,324 $ 12,245 $ 262,263

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

(2) FICO scores are updated on either a monthly or quarterly basis. For updates that are made only quarterly, certain current-period loans by year of origination are

greater than those disclosed in the prior periods. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become

available.

(3) These personal, small business and other loans without a FICO score available include $31.5 billion and $35.3 billion of Private bank loans as of December 31,

2022 and 2021, respectively, which are classifiably managed within Global Wealth and are primarily evaluated for credit risk based on their internal risk ratings.

As of December 31, 2022 and 2021, approximately 98% and 95% of these loans, respectively, were rated investment grade.

(4) FICO scores not available related to loans guaranteed by government-sponsored enterprises for which FICO scores are generally not utilized.

(5) Not included in the tables above are $75 million and $313 million of revolving credit card loans outside of the U.S. that were converted to term loans as of

December 31, 2022 and 2021, respectively.

(6) Excludes $545 million and $517 million of balances related to Canada for December 31, 2022 and 2021, respectively.

(7) Excludes $940 million and $907 million of balances related to Canada for December 31, 2022 and 2021, respectively.

(8) Includes approximately $67 million and $74 million of personal revolving loans that were converted to term loans for December 31, 2022 and 2021, respectively.

215

Loan to Value (LTV) Ratios—U.S. Consumer Mortgages

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 by year of

origination. LTV ratios are updated monthly using the most

recent Core Logic Home Price Index data available for

substantially all of the portfolio applied at the Metropolitan

Statistical Area level, if available, or the state level if not. The

remainder of the portfolio is updated in a similar manner using

the Federal Housing Finance Agency indices.

LTV distribution—U.S. portfolio December 31, 2022

In millions of dollars

Less than

or equal

to 80%

> 80% but less

than or equal

to 100%

Greater

than

100%

LTV not

available

(1)

Total

Residential first mortgages

2022 $ 15,644 $ 6,497 $ 40

2021 19,104 1,227 33

2020 16,935 267 1

2019 8,789 140 23

2018 3,598 74 9

Prior 22,367 132 74

Total residential first mortgages $ 86,437 $ 8,337 $ 180 $ 1,085 $ 96,039

Home equity loans (pre-reset) $ 3,677 $ 36 $ 56

Home equity loans (post-reset) 627 12 27

Total home equity loans $ 4,304 $ 48 $ 83 $ 145 $ 4,580

Total $ 90,741 $ 8,385 $ 263 $ 1,230 $ 100,619

LTV distribution—U.S. portfolio December 31, 2021

In millions of dollars

Less than

or equal

to 80%

> 80% but less

than or equal

to 100%

Greater

than

100%

LTV not

available

(1)

Total

Residential first mortgages

2021 $ 18,107 $ 2,723 $ 34

2020 18,715 446 —

2019 10,047 269 29

2018 4,117 136 11

2017 4,804 103 4

Prior 22,161 128 14

Total residential first mortgages $ 77,951 $ 3,805 $ 92 $ 1,513 $ 83,361

Home equity loans (pre-reset) $ 2,637 $ 46 $ 69

Home equity loans (post-reset) 2,751 52 32

Total home equity loans $ 5,388 $ 98 $ 101 $ 158 $ 5,745

Total $ 83,339 $ 3,903 $ 193 $ 1,671 $ 89,106

(1) Residential first mortgages with no LTV information available are primarily due to government-guaranteed loans that do not require LTV information for credit

risk assessment and fair value loans.

216

Loan-to-Value (LTV) Ratios—Outside of U.S. Consumer Mortgages

The following tables provide details on the LTV ratios for Citi’s consumer mortgage portfolio outside of the U.S. by year of

origination:

LTV distribution—outside of U.S. portfolio

(1)

December 31, 2022

In millions of dollars

Less than

or equal

to 80%

> 80% but less

than or equal

to 100%

Greater

than

100%

LTV not

available Total

Residential mortgages

2022 $ 3,106 $ 975 $ 294

2021 4,144 964 273

2020 3,293 502 25

2019 3,048 92 1

2018 2,074 48 —

Prior 9,201 36 7

Total $ 24,866 $ 2,617 $ 600 $ 31 $ 28,114

LTV distribution—outside of U.S. portfolio

(1)

December 31, 2021

In millions of dollars

Less than

or equal

to 80%

> 80% but less

than or equal to

100%

Greater

than

100%

LTV not

available Total

Residential mortgages

2021 $ 6,334 $ 989 $ —

2020 5,996 292 —

2019 5,293 116 1

2018 3,729 32 —

2017 2,739 38 —

Prior 12,190 102 14

Total $ 36,281 $ 1,569 $ 15 $ 24 $ 37,889

(1) Mortgage portfolios outside of the U.S. are primarily in Global Wealth. As of December 31, 2022 and 2021, mortgage portfolios outside of the U.S. have an

average LTV of approximately 51% and 46%, respectively.

217

Consumer Loans and Ratios Outside of North America

Delinquency-managed loans and ratios

In millions of dollars at December 31, 2022

Total

loans outside

of North

America

(1)

Classifiably

managed

loans

(2)

Delinquency-

managed

loans

30–89

days past

due ratio

≥ 90 days

past

due ratio

4Q22 NCL

ratio

Residential mortgages

(3)

$ 28,114 $ — $ 28,114 0.22 % 0.38 % 0.10 %

Credit cards 12,955 — 12,955 1.13 1.15 3.18

Personal, small business and other

(4)

37,984 17,762 20,222 0.52 0.05 0.76

Total $ 79,053 $ 17,762 $ 61,291 0.51 % 0.43 % 0.91 %

Delinquency-managed loans and ratios

In millions of dollars at December 31, 2021

Total

loans outside

of North

America

(1)

Classifiably

managed

loans

(2)

Delinquency-

managed

loans

30–89

days past

due ratio

≥ 90 days

past

due ratio

4Q21 NCL

ratio

Residential mortgages

(3)

$ 37,889 $ — $ 37,889 0.44 % 0.42 % 0.08 %

Credit cards 17,808 — 17,808 1.08 1.06 3.06

Personal, small business and other

(4)

57,150 24,482 32,668 0.44 0.23 0.72

Total $ 112,847 $ 24,482 $ 88,365 0.57 % 0.48 % 0.88 %

(1) Mexico is included in offices outside of North America.

(2) Classifiably managed loans are primarily evaluated for credit risk based on their internal risk classification. As of December 31, 2022 and 2021, approximately

94% and 94% of these loans, respectively, were rated investment grade.

(3) Includes $19.8 billion and $19.8 billion as of December 31, 2022 and 2021, respectively, of residential mortgages related to the Global Wealth business.

(4) Includes $26.6 billion and $34.6 billion as of December 31, 2022 and 2021, respectively, of loans related to the Global Wealth business.

218

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, 2022

In millions of dollars

Recorded

investment

(1)(2)

Unpaid

principal

balance

specific

allowance

(3)

Average

carrying

value

(5)

Interest

income

recognized

(6)

Mortgage and real estate

Residential first mortgages $ 1,305 $ 1,430 $ 58 $ 1,283 $ 115

Home equity loans 254 322 — 261 10

Credit cards 1,255 1,256 491 1,246 62

Personal, small business and other 107 108 47 120 18

Total $ 2,921 $ 3,116 $ 596 $ 2,910 $ 205

At and for the year ended December 31, 2021

In millions of dollars

Recorded

investment

(1)(2)

Unpaid

principal

balance

specific

allowance

(3)(4)

Average

carrying

value

(5)

Interest

income

recognized

(6)

Mortgage and real estate

Residential first mortgages $ 1,521 $ 1,595 $ 87 $ 1,564 $ 88

Home equity loans 191 344 (1) 336 9

Credit cards 1,582 1,609 594 1,795 116

Personal, small business and other 454 461 133 505 52

Total $ 3,748 $ 4,009 $ 813 $ 4,200 $ 265

(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, 2022, $152 million of residential first mortgages and $73 million of home equity loans do not have a specific allowance. For December 31,

2021, $190 million of residential first mortgages and $94 million of home equity loans do not have a specific allowance because they are accounted for based on

collateral value, and that value is in excess of the outstanding loan balance.

(3) Included in the Allowance for credit losses on loans.

(4) The negative allowance on home equity loans resulted from expected recoveries on previously written-off accounts.

(5) Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.

(6) Includes amounts recognized on both an accrual and cash basis.

219

Consumer Troubled Debt Restructurings

For the year ended December 31, 2022

In millions of dollars, except number of

loans modified

Number of

loans modified

Post-

modification

recorded

investment

(2)(3)

Deferred

principal

(4)

Contingent

principal

forgiveness

(5)

Principal

forgiveness

(6)

Average

interest rate

reduction

In North America offices

(7)

Residential first mortgages 1,133 $ 263 $ — $ — $ — — %

Home equity loans 451 40 — — — —

Credit cards 176,252 775 — — — 18

Personal, small business and other 575 7 — — — 5

Total

(8)

178,411 $ 1,085 $ — $ — $ —

In offices outside North America

(7)

Residential mortgages 683 $ 21 $ — $ — $ — — %

Credit cards 16,006 68 — — 1 25

Personal, small business and other 2,432 29 — — 1 8

Total

(8)

19,121 $ 118 $ — $ — $ 2

For the year ended December 31, 2021

(1)

In millions of dollars, except number of

loans modified

Number of

loans modified

Post-

modification

recorded

investment

(2)(9)

Deferred

principal

(4)

Contingent

principal

forgiveness

(5)

Principal

forgiveness

(6)

Average

interest rate

reduction

In North America offices

(7)

Residential first mortgages 1,335 $ 230 $ — $ — $ — 1 %

Home equity loans 191 19 — — — —

Credit cards 165,098 794 — — — 18

Personal, small business and other 1,000 13 — — — 3

Total

(8)

167,624 $ 1,056 $ — $ — $ —

In offices outside North America

(7)

Residential mortgages 1,975 $ 86 $ — $ — $ — — %

Credit cards 74,202 339 — — 13 13

Personal, small business and other 28,208 202 — — 7 10

Total

(8)

104,385 $ 627 $ — $ — $ 20

(1) The 2021 table does 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 $5 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the

year ended December 31, 2022. These amounts include $3.8 million of residential first mortgages that were newly classified as TDRs during 2022, based on

previously received OCC guidance. The remaining amounts were already classified as TDRs before being discharged in Chapter 7 bankruptcy.

(4) Represents the 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 the portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.

(6) Represents the portion of contractual loan principal that was forgiven at the time of permanent modification.

(7) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

(8) The above tables reflect activity for restructured loans that were considered TDRs during the year.

(9) Post-modification balances in North America include $15 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the

year ended December 31, 2021. These amounts include $5 million of residential first mortgages that were newly classified as TDRs during 2021, based on

previously received OCC guidance. The remaining amounts were already classified as TDRs before being discharged in Chapter 7 bankruptcy.

220

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

2022 2021

In North America offices

(1)

Residential first mortgages $ 35 $ 57

Home equity loans 4 8

Credit cards 250 252

Personal, small business and other 1 4

Total $ 290 $ 321

In offices outside North America

(1)

Residential mortgages $ 10 $ 38

Credit cards 12 152

Personal, small business and other 3 96

Total $ 25 $ 286

(1) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

Purchased Credit-Deteriorated Assets

Years ended December 31,

2022 2021

In millions of dollars

Credit

cards Mortgages

(1)

Installment

and other

Credit

cards Mortgages

(1)

Installment

and other

Purchase price $ — $ 23 $ — $ — $ 23 $ —

Allowance for credit

losses at acquisition date — — — — — —

Discount or premium

attributable to non-credit

factors — — — — — —

Par value (amortized

cost basis) $ — $ 23 $ — $ — $ 23 $ —

(1) Includes loans sold to agencies that were bought back at par due to repurchase agreements.

221

15. ALLOWANCE FOR CREDIT LOSSES

In millions of dollars

2022 2021 2020

Allowance for credit losses on loans (ACLL) at beginning of year $ 16,455 $ 24,956 $ 12,783

Adjustments to opening balance

(1)

Financial instruments—credit losses (CECL) adoption — — 4,201

Variable post-charge-off third-party collection costs — — (443)

Adjusted ACLL at beginning of year $ 16,455 $ 24,956 $ 16,541

Gross credit losses on loans $ (5,156) $ (6,720) $ (9,263)

Gross recoveries on loans 1,367 1,825 1,652

Net credit losses on loans (NCLs) $ (3,789) $ (4,895) $ (7,611)

Replenishment of NCLs $ 3,789 $ 4,895 $ 7,611

Net reserve builds (releases) for loans 937 (7,283) 7,635

Net specific reserve builds (releases) for loans 19 (715) 676

Total provision for credit losses on loans (PCLL) $ 4,745 $ (3,103) $ 15,922

Initial allowance for credit losses on newly purchased credit-deteriorated assets

during the period — — 4

Other, net (see table below) (437) (503) 100

ACLL at end of year $ 16,974 $ 16,455 $ 24,956

Allowance for credit losses on unfunded lending commitments (ACLUC)

at beginning of year

(2)

$ 1,871 $ 2,655 $ 1,456

Adjustment to opening balance for CECL adoption

(1)

— — (194)

Provision (release) for credit losses on unfunded lending commitments 291 (788) 1,446

Other, net

(3)

(11) 4 (53)

ACLUC at end of year

(2)

$ 2,151 $ 1,871 $ 2,655

Total allowance for credit losses on loans, leases and unfunded lending commitments $ 19,125 $ 18,326 $ 27,611

Other, net details

In millions of dollars

2022 2021 2020

Sales or transfers of various consumer loan portfolios to HFS

(4)

Reclass of Thailand, India, Malaysia, Taiwan, Indonesia, Bahrain and Vietnam consumer

ACLL to HFS $ (350) $ — $ —

Reclass of Australia consumer ACLL to HFS — (280) —

Reclass of the Philippines consumer ACLL to HFS — (90) —

Transfer of real estate loan portfolios — — (4)

Reclasses of consumer ACLL to HFS

(4)

$ (350) $ (370) $ (4)

FX translation and other (87) (133) 104

Other, net $ (437) $ (503) $ 100

(1) See “Accounting Changes” in Note 1.

(2) Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.

(3) See below for ACL on HTM debt securities and Other assets. 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.

(4) See Note 2.

222

Allowance for Credit Losses on Loans and End-of-Period Loans at December 31, 2022

In millions of dollars

Corporate Consumer Total

ACLL at beginning of year $ 2,415 $ 14,040 $ 16,455

Gross credit losses on loans (278) (4,878) (5,156)

Gross recoveries on loans 100 1,267 1,367

Replenishment of NCLs 178 3,611 3,789

Net reserve builds (releases) 374 563 937

Net specific reserve builds (releases) 65 (46) 19

Initial allowance for credit losses on newly purchased credit-deteriorated assets

during the year — — —

Other 1 (438) (437)

Ending balance $ 2,855 $ 14,119 $ 16,974

ACLL

Collectively evaluated $ 2,532 $ 13,521 $ 16,053

Individually evaluated 323 596 919

Purchased credit deteriorated — 2 2

Total ACLL $ 2,855 $ 14,119 $ 16,974

Loans, net of unearned income

Collectively evaluated $ 282,909 $ 364,795 $ 647,704

Individually evaluated 1,122 2,921 4,043

Purchased credit deteriorated — 114 114

Held at fair value 5,123 237 5,360

Total loans, net of unearned income $ 289,154 $ 368,067 $ 657,221

2022 Changes in the ACL

The total allowance for credit losses on loans, leases and

unfunded lending commitments as of December 31, 2022 was

$19,125 million, an increase from $18,326 million at

December 31, 2021. The increase in the allowance for credit

losses on loans, leases and unfunded lending commitments

was primarily driven by U.S. Cards loan growth and a

deterioration in macroeconomic assumptions.

Consumer ACLL

Citi’s total consumer allowance for credit losses on loans

(ACLL) as of December 31, 2022 was $14,119 million, an

increase from $14,040 million at December 31, 2021. The

increase in the ACLL balance was primarily driven by U.S.

Cards loan growth and a deterioration in macroeconomic

assumptions, partially offset by the reduction in reserves

related to COVID-19 uncertainty.

Corporate ACLL

Citi’s total corporate ACLL as of December 31, 2022 was

$2,855 million, an increase from $2,415 million at

December 31, 2021. The increase in the ACLL balance was

primarily driven by a deterioration in macroeconomic

assumptions, partially offset by the release of a COVID-19–

related uncertainty reserve.

ACLUC

As of December 31, 2022, Citi’s total allowance for credit

losses on unfunded lending commitments (ACLUC), included

in Other liabilities, was $2,151 million, an increase from

$1,871 million at December 31, 2021. The increase in the

ACLUC balance was primarily driven by a deterioration in

macroeconomic assumptions.

223

Allowance for Credit Losses on Loans and End-of-Period Loans at December 31, 2021

In millions of dollars

Corporate Consumer Total

ACLL at beginning of year $ 4,776 $ 20,180 $ 24,956

Gross credit losses on loans (500) (6,220) (6,720)

Gross recoveries on loans 114 1,711 1,825

Replenishment of NCLs 386 4,509 4,895

Net reserve builds (releases) (2,075) (5,208) (7,283)

Net specific reserve builds (releases) (255) (460) (715)

Initial allowance for credit losses on newly purchased credit-deteriorated assets

during the year — — —

Other (31) (472) (503)

Ending balance $ 2,415 $ 14,040 $ 16,455

ACLL

Collectively evaluated $ 2,203 $ 13,227 $ 15,430

Individually evaluated 212 813 1,025

Purchased credit deteriorated — — —

Total ACLL $ 2,415 $ 14,040 $ 16,455

Loans, net of unearned income

Collectively evaluated $ 283,610 $ 372,655 $ 656,265

Individually evaluated 1,553 3,748 5,301

Purchased credit deteriorated — 119 119

Held at fair value 6,070 12 6,082

Total loans, net of unearned income $ 291,233 $ 376,534 $ 667,767

Allowance for Credit Losses on Loans at December 31, 2020

In millions of dollars

Corporate Consumer Total

ACLL at beginning of year $ 2,727 $ 10,056 $ 12,783

Adjustments to opening balance:

Financial instruments—credit losses (CECL)

(1)

(816) 5,017 4,201

Variable post-charge-off third-party collection costs

(1)

— (443) (443)

Adjusted ACLL at beginning of year 1,911 14,630 16,541

Gross credit losses on loans (976) (8,287) (9,263)

Gross recoveries on loans 76 1,576 1,652

Replenishment of NCLs 900 6,711 7,611

Net reserve builds (releases) 2,551 5,084 7,635

Net specific reserve builds (releases) 249 427 676

Initial allowance for credit losses on newly purchased credit-deteriorated assets

during the year — 4 4

Other 65 35 100

Ending balance $ 4,776 $ 20,180 $ 24,956

(1) See “Accounting Changes” in Note 1 for additional details.

224

Allowance for Credit Losses on HTM Debt Securities

Year ended December 31, 2022

In millions of dollars

Mortgage-

backed

State and

municipal

Foreign

government

Asset-

backed

All other

debt

securities Total HTM

Allowance for credit losses on HTM debt securities at

beginning of year $ 6 $ 75 $ 4 $ 2 $ — $ 87

Gross credit losses — — — — — —

Gross recoveries — — — — — —

Net credit losses (NCLs) $ — $ — $ — $ — $ — $ —

Replenishment of NCLs $ — $ — $ — $ — $ — $ —

Net reserve builds (releases) (5) 37 — 1 — 33

Net specific reserve builds (releases) — — — — — —

Total provision for credit losses on HTM debt

securities $ (5) $ 37 $ — $ 1 $ — $ 33

Other, net $ — $ 1 $ (1) $ — $ — $ —

Allowance for credit losses on HTM debt securities at

end of year $ 1 $ 113 $ 3 $ 3 $ — $ 120

Year ended December 31, 2021

In millions of dollars

Mortgage-

backed

State and

municipal

Foreign

government

Asset-

backed

All other

debt

securities Total HTM

Allowance for credit losses on HTM debt securities at

beginning of year $ 3 $ 74 $ 6 $ 3 $ — $ 86

Gross credit losses — — — — — —

Gross recoveries 3 — — — — 3

Net credit losses (NCLs) $ 3 $ — $ — $ — $ — $ 3

Replenishment of NCLs $ (3) $ — $ — $ — $ — $ (3)

Net reserve builds (releases) 7 1 (2) (2) — 4

Net specific reserve builds (releases) (4) — — — — (4)

Total provision for credit losses on HTM debt securities $ — $ 1 $ (2) $ (2) $ — $ (3)

Other, net $ — $ — $ — $ 1 $ — $ 1

Allowance for credit losses on HTM debt securities at

end of year $ 6 $ 75 $ 4 $ 2 $ — $ 87

Year ended December 31, 2020

In millions of dollars

Mortgage-

backed

State and

municipal

Foreign

government

Asset-

backed

All other

debt

securities 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

Gross credit losses — — — — — —

Gross recoveries — — — — — —

Net credit losses (NCLs) $ — $ — $ — $ — $ — $ —

Replenishment of 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

Allowance for credit losses on HTM debt securities at

end of year $ 3 $ 74 $ 6 $ 3 $ — $ 86

225

Allowance for Credit Losses on Other Assets

Year ended December 31, 2022

In millions of dollars

Deposits

with banks

Securities borrowed

and purchased

under agreements

to resell

Brokerage

receivables

All other

assets

(1)

Total

Allowance for credit losses on other assets at beginning of year $ 21 $ 6 $ — $ 26 $ 53

Gross credit losses — — — (24) (24)

Gross recoveries — — — 3 3

Net credit losses (NCLs) $ — $ — $ — $ (21) $ (21)

Replenishment of NCLs $ — $ — $ — $ 21 $ 21

Net reserve builds (releases) 30 14 — 11 55

Total provision for credit losses $ 30 $ 14 $ — $ 32 $ 76

Other, net

(2)

$ — $ 16 $ — $ (1) $ 15

Allowance for credit losses on other assets at end of year $ 51 $ 36 $ — $ 36 $ 123

(1) Primarily accounts receivable.

(2) Includes $30 million of ACL transferred from ICG loans ACL during the second quarter of 2022 for securities borrowed and purchased under agreements to

resell.

Year ended December 31, 2021

In millions of dollars

Deposits

with banks

Securities borrowed

and purchased under

agreements

to resell

Brokerage

receivables

All other

assets

(1)

Total

Allowance for credit losses on other assets at beginning of year $ 20 $ 10 $ — $ 25 $ 55

Gross credit losses — — — (2) (2)

Gross recoveries — — — — —

Net credit losses (NCLs) $ — $ — $ — $ (2) $ (2)

Replenishment of NCLs $ — $ — $ — $ 2 $ 2

Net reserve builds (releases) 2 (4) — — (2)

Total provision for credit losses $ 2 $ (4) $ — $ 2 $ —

Other, net $ (1) $ — $ — $ 1 $ —

Allowance for credit losses on other assets at end of year $ 21 $ 6 $ — $ 26 $ 53

(1) Primarily accounts receivable.

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 on other assets at

beginning of year $ — $ — $ — $ — $ — $ —

Adjustment to opening balance for CECL adoption 6 14 2 1 3 26

Gross credit losses — — — — — —

Gross recoveries — — — — — —

Net credit losses (NCLs) $ — $ — $ — $ — $ — $ —

Replenishment of 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.

226

16. GOODWILL AND INTANGIBLE ASSETS

Goodwill

The changes in Goodwill were as follows:

In millions of dollars

Institutional

Clients Group

Personal Banking

and Wealth

Management

Legacy

Franchises Total

Balance at December 31, 2019 $ 9,482 $ 10,015 $ 2,629 $ 22,126

Foreign exchange translation (1) 7 30 36

Balance at December 31, 2020 $ 9,481 $ 10,022 $ 2,659 $ 22,162

Foreign exchange translation (266) (296) 179 (383)

Divestitures

(1)

— (9) (471) (480)

Balance at December 31, 2021 $ 9,215 $ 9,717 $ 2,367 $ 21,299

Foreign exchange translation (229) 24 5 (200)

Divestitures

(1)

— — (873) (873)

Impairment of goodwill

(2)

— — (535) (535)

Balance at December 31, 2022 $ 8,986 $ 9,741 $ 964 $ 19,691

(1) Represents goodwill allocated to the Asia Consumer banking exit markets upon the signing of the respective sales agreements: in 2021, related to the Australia

and Philippines consumer banking businesses, which were reclassified as HFS during 2021; in 2022, related to the India, Taiwan, Thailand, Malaysia, Indonesia,

Bahrain and Vietnam consumer banking businesses, which were reclassified as HFS during 2022. See Note 2.

(2) Goodwill impairment of $535 million (approximately $489 million after-tax) was incurred in the Asia Consumer reporting unit of Legacy Franchises in the first

quarter of 2022, due to the re-segmentation and change of reporting units as well as the sequence of the signing of sale agreements.

As discussed in Note 3, effective January 1, 2022, as part

of its strategic refresh, Citi made changes to its management

structure, which resulted in changes in its operating segments

and reporting units to reflect how the CEO, who is the chief

operating decision maker, manages the Company, including

allocating resources and measuring performance. Goodwill

balances were reallocated across the new reporting units based

on their relative fair values using the valuation performed as of

the effective date of the reorganization. Further, the goodwill

balances associated with certain Asia Consumer businesses

within the Legacy Franchises operating segment were

reclassified to HFS as of March 31, 2022 upon the signing of

the respective sale agreements. See Note 2 for a discussion of

Citi’s divestiture activities.

The reorganization of Citi’s reporting structure and the

announced sales of businesses within a reporting unit were

identified as triggering events for purposes of goodwill

impairment testing. Consistent with the requirements of ASC

350, interim goodwill impairment tests were performed that

resulted in an impairment of $535 million to the Asia

Consumer reporting unit within the Legacy Franchises

operating segment, due to the implementation of Citi’s revised

operating segments and reporting units, as well as the timing

of mutual execution of sale agreements for Asia consumer

banking businesses. This impairment was recorded in the first

quarter of 2022 as an operating expense. There were no

additional impairment charges incurred as a result of any of

the other interim goodwill impairment tests performed during

2022.

For the interim impairment tests performed in the first

quarter of 2022, the valuation of reporting units used either the

market approach, income approach, or a combination of both.

Under the market approach, Citi estimated fair value by

comparing the business to similar businesses or guideline

companies whose securities are actively traded in public

markets. Under the income approach, Citi used a discounted

cash flow (DCF) model in which cash flows anticipated over

several periods, plus a terminal value at the end of that time

horizon, are discounted to their present value using an

appropriate rate that is commensurate with the risk inherent

within the reporting unit.

The key assumptions used to determine the fair value of

Citi’s reporting units consisted primarily of significant

unobservable inputs (Level 3 fair value inputs), including

discount rates, estimated cash flows, growth rates, earnings

multiples and/or transaction multiples of similar businesses or

guideline public companies, and bids from buyers. The DCF

method employs a capital asset pricing model in estimating the

discount rate based on several factors, including market

interest rates, and includes adjustments for market risk and

company-specific risk. Estimated cash flows are based on

internally developed estimates and the growth rates are based

on industry knowledge and historical performance.

Citi had historically performed its annual goodwill

impairment test as of July 1 each year. During the quarter

ended September 30, 2022, the Company voluntarily changed

its annual impairment assessment date from July 1 to October

1. Based on interim impairment tests performed within the

period between the previous annual test on July 1, 2021 and

the annual test to be performed on October 1, 2022, no more

than 12 months have elapsed between goodwill impairment

tests of any of Citi’s reporting units. The change in

measurement date represents a change in method of applying

an accounting principle. This change is preferable because it

better aligns the Company’s goodwill impairment testing

procedures with its annual planning process and with its fiscal

year-end. Citi continues to monitor each reporting unit for

triggering events for purposes of goodwill impairment testing.

227

The change in accounting principle did not result in any delay,

acceleration or avoidance of an impairment charge.

Citi performed its annual goodwill impairment test as of

October 1, 2022, which resulted in no impairment of any of

Citi’s reporting units. While the inherent risk of uncertainty is

embedded in the key assumptions used in the valuations, the

economic and business environments continue to evolve as

management implements its strategic refresh. If management’s

future estimate of key economic and market assumptions were

to differ from its current assumptions, Citi could potentially

experience material goodwill impairment charges in the future.

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 and Note 3 for a description of

Citi’s operating segments.

228

Intangible Assets

The components of intangible assets were as follows:

December 31, 2022 December 31, 2021

In millions of dollars

Gross

carrying

amount

Accumulated

amortization

Net

carrying

amount

Gross

carrying

amount

Accumulated

amortization

Net

carrying

amount

Purchased credit card relationships $ 5,513 $ 4,426 $ 1,087 $ 5,579 $ 4,348 $ 1,231

Credit card contract-related intangibles

(1)

3,903 1,518 2,385 3,912 1,372 2,540

Core deposit intangibles 37 37 — 39 39 —

Other customer relationships 373 283 90 429 305 124

Present value of future profits 32 31 1 31 29 2

Indefinite-lived intangible assets 192 — 192 183 — 183

Other 28 20 8 37 26 11

Intangible assets (excluding MSRs) $ 10,078 $ 6,315 $ 3,763 $ 10,210 $ 6,119 $ 4,091

Mortgage servicing rights (MSRs)

(2)

665 — 665 404 — 404

Total intangible assets $ 10,743 $ 6,315 $ 4,428 $ 10,614 $ 6,119 $ 4,495

(1) Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which

represented 97% of the aggregate net carrying amount as of December 31, 2022.

(2) See Note 22 for additional information on Citi’s MSRs.

Intangible assets amortization expense was $352 million,

$360 million and $419 million for 2022, 2021 and 2020,

respectively. Intangible assets amortization expense is

estimated to be $373 million in 2023, $381 million in 2024,

$388 million in 2025, $348 million in 2026 and $341 million

in 2027.

The changes in intangible assets were as follows:

Net carrying

amount at

Acquisitions/

renewals/

divestitures

Net carrying

amount at

In millions of dollars

December 31,

2021 Amortization Impairments

FX translation

and other

December 31,

2022

Purchased credit card relationships

(1)

$ 1,231 $ 3 $ (140) $ — $ (7) $ 1,087

Credit card contract-related intangibles

(2)

2,540 — (154) — (1) 2,385

Core deposit intangibles — — — — — —

Other customer relationships 124 10 (24) — (20) 90

Present value of future profits 2 — (1) — — 1

Indefinite-lived intangible assets 183 — — — 9 192

Other 11 33 (33) — (3) 8

Intangible assets (excluding MSRs) $ 4,091 $ 46 $ (352) $ — $ (22) $ 3,763

Mortgage servicing rights (MSRs)

(3)

404 665

Total intangible assets $ 4,495 $ 4,428

(1) Reflects intangibles for the value of purchased cardholder relationships, which are discrete from partner contract-related intangibles, and includes credit card

accounts primarily in the Costco, Macy’s and Sears portfolios.

(2) Primarily reflects contract-related intangibles associated with the extension or renewal of existing credit card program agreements with American Airlines, The

Home Depot, Costco and AT&T, which represent 97% and 97% of the aggregate net carrying amount at December 31, 2022 and 2021, respectively.

(3) See Note 22 for additional information on Citi’s MSRs, including the rollforward from 2021 to 2022.

229

17. DEPOSITS

December 31,

In millions of dollars

2022 2021

Non-interest-bearing deposits in U.S. offices $ 122,655 $ 158,552

Interest-bearing deposits in U.S. offices (including $903 and $879 as of December 31, 2022 and 2021,

respectively, at fair value) 607,470 543,283

Total deposits in U.S. offices $ 730,125 $ 701,835

Non-interest-bearing deposits in offices outside the U.S. $ 95,182 $ 97,270

Interest-bearing deposits in offices outside the U.S. (including $972 and $787 as of December 31, 2022

and 2021, respectively, at fair value) 540,647 518,125

Total deposits in offices outside the U.S. $ 635,829 $ 615,395

Total deposits $ 1,365,954 $ 1,317,230

At December 31, 2022 and 2021, time deposits in denominations that met or exceeded the insured limit were as follows:

December 31,

In millions of dollars

2022 2021

U.S. offices

(1)

$ 63,420 $ 9,153

Offices outside the U.S.

(2)

150,921 77,698

Total $ 214,341 $ 86,851

(1) Represents time deposits in U.S. offices in denominations that met or exceeded $250,000.

(2) Represents all time deposits outside U.S. offices as these deposits typically exceed the insured limit.

At December 31, 2022, the maturities of time deposits were as follows:

In millions of dollars

U.S. Outside U.S. Total

2023 $ 84,321 $ 149,604 $ 233,925

2024 5,751 1,018 6,769

2025 300 264 564

2026 386 26 412

2027 122 6 128

After 5 years 439 3 442

Total $ 91,319 $ 150,921 $ 242,240

230

18. DEBT

Short-Term Borrowings

December 31,

2022 2021

In millions of dollars

Balance

Weighted

average

coupon Balance

Weighted

average

coupon

Commercial paper

Bank

(1)

$ 11,185 $ 9,026

Broker-dealer and

other

(2)

14,345 6,992

Total commercial

paper $ 25,530 4.29 % $ 16,018 0.22 %

Other borrowings

(3)

21,566 4.23 11,955 0.91

Total $ 47,096 $ 27,973

(1) Represents Citibank entities as well as other bank entities.

(2) Represents broker-dealer and other non-bank subsidiaries that are

consolidated into Citigroup Inc., the parent holding company.

(3) Includes borrowings from Federal Home Loan Banks and other market

participants. At December 31, 2022 and 2021, collateralized short-term

advances from Federal Home Loan Banks were $12.0 billion and $0.0

billion, respectively.

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 2022 2021

Citigroup Inc.

(2)

Senior debt 3.38 % 2023–2098 $ 141,893 $ 137,651

Subordinated debt

(3)

4.77 2023–2046 22,758 25,560

Trust preferred

securities 10.53 2036–2040 1,606 1,734

Bank

(4)

Senior debt 3.98 2023–2039 21,113 23,567

Broker-dealer

(5)

Senior debt 3.95 2023–2070 84,236 65,862

Total 3.72 % $ 271,606 $ 254,374

Senior debt $ 247,242 $ 227,080

Subordinated debt

(3)

22,758 25,560

Trust preferred

securities 1,606 1,734

Total $ 271,606 $ 254,374

(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, 2022 and 2021, collateralized long-term advances from

Federal Home Loan Banks were $7.3 billion and $5.3 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.

Balances primarily relates to senior debt.

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, 2022, the Company’s

overall weighted average interest rate for long-term debt,

excluding structured notes accounted for at fair value, was

3.72% on a contractual basis and 4.10% including the effects

of derivative contracts.

231

Aggregate annual maturities of long-term debt obligations (based on final maturity dates) including trust preferred securities are as

follows:

In millions of dollars

2023 2024 2025 2026 2027 Thereafter Total

Citigroup Inc. $ 6,887 $ 12,321 $ 19,124 $ 27,913 $ 12,601 $ 87,411 $ 166,257

Bank 7,029 8,152 1,867 197 788 3,080 21,113

Broker-dealer 18,543 20,043 11,758 4,680 7,383 21,829 84,236

Total $ 32,459 $ 40,516 $ 32,749 $ 32,790 $ 20,772 $ 112,320 $ 271,606

The following table summarizes Citi’s outstanding trust preferred securities at December 31, 2022:

Junior subordinated debentures owned by trust

Trust

Issuance

date

Securities

issued

Liquidation

value

(1)

Coupon

rate

(2)

Common

issued

to parent

Notional

amount Maturity

Redeemable

by issuer

beginning

In millions of dollars, except securities and share amounts

Citigroup Capital III Dec. 1996 194,053 $ 194 7.625 % 6,003 $ 200 Dec. 1, 2036 Not redeemable

Citigroup Capital XIII Oct. 2010 89,840,000 2,246

3 mo LIBOR

+ 637 bps 1,000 2,246 Oct. 30, 2040 Oct. 30, 2015

Total obligated $ 2,440 $ 2,446

Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and quarterly for

Citigroup Capital XIII.

(1) Represents the notional value received by outside investors from the trusts at the time of issuance. This differs from Citi’s balance sheet carrying value due

primarily to unamortized discount and issuance costs.

(2) In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.

232

19. 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 presents 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,

2022

December 31,

2021

Well-

capitalized

minimum

December 31,

2022

December 31,

2021

CET1 Capital $ 148,930 $ 149,305 $ 149,593 $ 148,548

Tier 1 Capital 169,145 169,568 151,720 150,679

Total Capital

(Tier 1 Capital + Tier 2

Capital)—Standardized Approach 197,543 203,838 172,647 175,427

Total Capital

(Tier 1 Capital + Tier 2

Capital)—Advanced Approaches 188,839 194,006 165,131 166,921

Total risk-weighted assets—Standardized

Approach 1,142,985 1,219,175 982,914 1,066,015

Total risk-weighted assets—Advanced

Approaches 1,221,538 1,209,374 1,003,747 1,017,774

Quarterly adjusted average total assets

(1)

2,395,863 2,351,434 1,738,744 1,716,596

Total Leverage Exposure

(2)

2,906,773 2,957,764 2,189,541 2,236,839

CET1 Capital ratio

(3)

4.5 % N/A 13.03 % 12.25 % 6.5 % 14.90 % 13.93 %

Tier 1 Capital ratio

(3)

6.0 6.0 % 14.80 13.91 8.0 15.12 14.13

Total Capital ratio

(3)

8.0 10.0 15.46 16.04 10.0 16.45 16.40

Tier 1 Leverage ratio 4.0 N/A 7.06 7.21 5.0 8.73 8.78

Supplementary Leverage ratio 3.0 N/A 5.82 5.73 6.0 6.93 6.74

(1) Tier 1 Leverage ratio denominator.

(2) Supplementary Leverage ratio denominator.

(3) Citi’s binding CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach as of December 31, 2022 and 2021, whereas Citi’s

binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for both periods presented. Citibank’s binding CET1 Capital and

Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of December 31, 2022, and were derived under the Basel III

Standardized Approach as of December 31, 2021. Citibank’s binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for

both periods presented.

N/A Not applicable

As indicated in the table above, Citigroup and Citibank

were “well capitalized” under the current federal bank

regulatory agencies definitions as of December 31, 2022 and

2021.

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 $8.5 billion

and $6.2 billion in dividends indirectly from Citibank through

its holding company during 2022 and 2021, respectively.

233

20. 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)

on debt

securities

Debt

valuation

adjustment

(DVA)

(1)

Cash

flow

hedges

(2)

Benefit

plans

(3)

CTA, net of

hedges

(4)(5)

Excluded

component

of fair

value

hedges

Accumulated

other

comprehensive

income (loss)

Balance, December 31, 2019 $ (265) $ (944) $ 123 $ (6,809) $ (28,391) $ (32) $ (36,318)

Other comprehensive income before

reclassifications 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, December 31, 2020 $ 3,320 $ (1,419) $ 1,593 $ (6,864) $ (28,641) $ (47) $ (32,058)

Other comprehensive income before

reclassifications (3,556) 121 (679) 797 (2,537) (11) (5,865)

Increase (decrease) due to amounts

reclassified from AOCI (378) 111 (813) 215 12 11 (842)

Change, net of taxes

$ (3,934) $ 232 $ (1,492) $ 1,012 $ (2,525) $ — $ (6,707)

Balance, December 31, 2021 $ (614) $ (1,187) $ 101 $ (5,852) $ (31,166) $ (47) $ (38,765)

Other comprehensive income before

reclassifications (5,599) 2,047 (2,718) (19) (2,855) 49 (9,095)

Increase (decrease) due to amounts

reclassified from AOCI 215 (18) 95 116 384 6 798

Change, net of taxes $ (5,384) $ 2,029 $ (2,623) $ 97 $ (2,471) $ 55 $ (8,297)

Balance, December 31, 2022 $ (5,998) $ 842 $ (2,522) $ (5,755) $ (33,637) $ 8 $ (47,062)

(1) Reflects the after-tax valuation of Citi’s fair value option liabilities. See “Market Valuation Adjustments” in Note 25.

(2) Primarily driven by Citi’s pay floating/receive fixed interest rate swap programs that hedge certain floating rates on assets.

(3) Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial

valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.

(4) Primarily reflects the movements in (by order of impact) the Indian rupee, South Korean won, Euro, Chinese yuan, Russian ruble, Japanese yen and British pound

sterling against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2022. Primarily reflects the movements in (by order

of impact) the Mexican peso, Euro, South Korean won, Chilean peso and Japanese yen against the U.S. dollar and changes in related tax effects and hedges for the

year ended December 31, 2021. 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. 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) December 31, 2022 reflects a reduction from an approximate $470 million (after-tax) ($620 million pretax) CTA loss (net of hedges) recorded in June 2022,

associated with the closing of Citi’s sale of its consumer banking business in Australia (see Note 2). The reduction from AOCI had a neutral impact on Citi’s

CET1 Capital.

234

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, 2019 $ (42,772) $ 6,454 $ (36,318)

Change in net unrealized gains (losses) on 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)

CTA (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)

Change in net unrealized gains (losses) on debt securities (5,301) 1,367 (3,934)

Debt valuation adjustment (DVA) 296 (64) 232

Cash flow hedges (1,969) 477 (1,492)

Benefit plans 1,252 (240) 1,012

CTA (2,671) 146 (2,525)

Excluded component of fair value hedges 2 (2) —

Change $ (8,391) $ 1,684 $ (6,707)

Balance, December 31, 2021 $ (45,383) $ 6,618 $ (38,765)

Change in net unrealized gains (losses) on debt securities (7,178) 1,794 (5,384)

Debt valuation adjustment (DVA) 2,685 (656) 2,029

Cash flow hedges (3,477) 854 (2,623)

Benefit plans 31 66 97

CTA (2,004) (467) (2,471)

Excluded component of fair value hedges 73 (18) 55

Change $ (9,870) $ 1,573 $ (8,297)

Balance, December 31, 2022 $ (55,253) $ 8,191 $ (47,062)

(1) Income tax effects of these items are released from AOCI contemporaneously with the related gross pretax amount.

235

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

2022 2021 2020

Realized (gains) losses on sales of investments $ (67) $ (665) $ (1,756)

Gross impairment losses 360 181 109

Subtotal, pretax $ 293 $ (484) $ (1,647)

Tax effect (78) 106 395

Net realized (gains) losses on investments, after-tax

(1)

$ 215 $ (378) $ (1,252)

Realized DVA (gains) losses on fair value option liabilities, pretax $ (25) $ 144 $ 20

Tax effect 7 (33) (5)

Net realized DVA, after-tax $ (18) $ 111 $ 15

Interest rate contracts $ 125 $ (1,075) $ (734)

Foreign exchange contracts 4 4 4

Subtotal, pretax $ 129 $ (1,071) $ (730)

Tax effect (34) 258 173

Amortization of cash flow hedges, after-tax

(2)

$ 95 $ (813) $ (557)

Amortization of unrecognized:

Prior service cost (benefit) $ (23) $ (23) $ (5)

Net actuarial loss 221 302 322

Curtailment/settlement impact

(3)

(37) 11 (8)

Subtotal, pretax $ 161 $ 290 $ 309

Tax effect (45) (75) (77)

Amortization of benefit plans, after-tax

(3)

$ 116 $ 215 $ 232

Excluded component of fair value hedges, pretax $ 9 $ 15 $ —

Tax effect (3) (4) —

Excluded component of fair value hedges, after-tax $ 6 $ 11 $ —

CTA, pretax $ 438 $ 19 $ —

Tax effect (54) (7) —

CTA, after-tax

(4)

$ 384 $ 12 $ —

Total amounts reclassified out of AOCI, pretax $ 1,005 $ (1,087) $ (2,048)

Total tax effect (207) 245 486

Total amounts reclassified out of AOCI, after-tax $ 798 $ (842) $ (1,562)

(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 for additional details.

(2) See Note 23 for additional details.

(3) See Note 8 for additional details.

(4) The pretax amount is reclassified to Discontinued operations and Other revenue in the Consolidated Statement of Income, and results primarily from the

substantial liquidation of a legacy U.K. consumer operation and divestitures of certain legacy foreign operations. See Note 2 for additional details.

236

21. 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,

2022

December 31,

2021

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 P

(7)

April 24, 2015 May 15, 2025 5.950 1,000 2,000,000 2,000 2,000

Series T

(8)

April 25, 2016 August 15, 2026 6.250 1,000 1,500,000 1,500 1,500

Series U

(9)

September 12, 2019 September 12, 2024 5.000 1,000 1,500,000 1,500 1,500

Series V

(10)

January 23, 2020 January 30, 2025 4.700 1,000 1,500,000 1,500 1,500

Series W

(11)

December 10, 2020 December 10, 2025 4.000 1,000 1,500,000 1,500 1,500

Series X

(12)

February 18, 2021 February 18, 2026 3.875 1,000 2,300,000 2,300 2,300

Series Y

(13)

October 20, 2021 October 20, 2026 4.150 1,000 1,000,000 1,000 1,000

$ 18,995 $ 18,995

(1) Issued as depositary shares, each representing a 1/25