C 2015 10-K

Citigroup Inc (C) SEC Quarterly Report (10-Q) for Q1 2016

C Q2 2016 10-Q
C 2015 10-K C Q2 2016 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM

10-Q

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF

THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2016

Commission file number 1-9924

Citigroup Inc.

(Exact name of registrant as specified in its charter)

Delaware

(State or other jurisdiction of incorporation or organization)

52-1568099

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

388 Greenwich Street, New York, NY

(Address of principal executive offices)

10013

(Zip code)

(212) 559-1000

(Registrant's telephone number, including area code)



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 and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted 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 and post 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, or a smaller reporting company. See the definitions of "large accelerated filer," "accelerated filer" and "smaller reporting company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer  x

Accelerated filer  o

Non-accelerated filer  o

 (Do not check if a smaller reporting company)

Smaller reporting company  o

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

Number of shares of Citigroup Inc. common stock outstanding on March 31, 2016: 2,934,929,136


Available on the web at www.citigroup.com




CITIGROUP'S FIRST QUARTER

2016

-FORM

10-Q

OVERVIEW

2

MANAGEMENT'S DISCUSSION AND

  ANALYSIS OF FINANCIAL CONDITION AND

  RESULTS OF OPERATIONS

4

Executive Summary

4

Summary of Selected Financial Data

7

SEGMENT AND BUSINESS-INCOME (LOSS)

  AND REVENUES

9

SEGMENT BALANCE SHEET

11

CITICORP

12

Global Consumer Banking (GCB)

13

North America GCB

15

Latin America GCB

17

Asia GCB

19

Institutional Clients Group

21

Corporate/Other

25

CITI HOLDINGS

26

OFF-BALANCE SHEET

  ARRANGEMENTS

28

CAPITAL RESOURCES

29

Managing Global Risk Table of Contents

46

MANAGING GLOBAL RISK

47

INCOME TAXES

85

DISCLOSURE CONTROLS AND

  PROCEDURES

86

DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT

86

FORWARD-LOOKING STATEMENTS

87

FINANCIAL STATEMENTS AND NOTES

  TABLE OF CONTENTS

89

CONSOLIDATED FINANCIAL STATEMENTS

90

NOTES TO CONSOLIDATED FINANCIAL

  STATEMENTS

99

UNREGISTERED SALES OF EQUITY, PURCHASES OF EQUITY SECURITIES, DIVIDENDS

218



1



OVERVIEW



This Quarterly Report on Form 10-Q should be read in conjunction with Citigroup's Annual Report on Form 10-K for the year ended December 31, 2015 filed with the U.S. Securities and Exchange Commission (SEC) on February 26, 2016 (2015 Annual Report on Form 10-K). 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, proxy statements, as well as other filings with the SEC, are available free of charge through Citi's website by clicking on the "Investors" page and selecting "All SEC Filings." The SEC's website also contains current reports, information statements, and other information regarding Citi at www.sec.gov .

Certain reclassifications, including a realignment of certain businesses, have been made to the prior periods' financial statements to conform to the current period's presentation. For additional information on certain recent reclassifications, see Notes 1 and 3 to the Consolidated Financial Statements and Citi's Current Report on Form 8-K furnished to the SEC on April 11, 2016.

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




2



Citigroup is managed pursuant to the following segments:

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

(1)

For reporting purposes, Asia GCB includes the results of operations of EMEA GCB for all periods presented.

(2)

North Americ a includes the U.S., Canada and Puerto Rico, Latin America includes Mexico and Asia includes Japan.


3



MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS



EXECUTIVE SUMMARY


Citi's first quarter of 2016 results of operations reflected a challenging macro environment characterized by market volatility and continued uncertainties. While these issues somewhat abated during the latter part of the quarter, the overall environment during the quarter drove year-over-year revenue declines in Citi's market sensitive businesses, primarily its markets and investment banking businesses in the Institutional Clients Group (ICG) as well as its wealth management business in Asia Global Consumer Banking (GCB) . Due in part to this environment, Citi announced additional repositioning actions during the quarter, incurring a charge of roughly $400 million in Citicorp to further streamline operations and reduce capacity in certain areas while maintaining its client-facing capabilities.

As described further in this Executive Summary, despite the challenging environment during the quarter, Citi showed continued progress in several areas. In North America GCB, Citi's ongoing investments in Citi-branded cards drove growth in average loans and purchase sales, and the accrual and transaction businesses in ICG - treasury and trade solutions, corporate lending, private bank and securities services - exhibited continued growth in the aggregate. In Citicorp, loans increased 5% and deposits increased 6% while Citi's overall balance sheet decreased by 1% (each excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation)). Citi utilized approximately $1.6 billion in deferred tax assets (DTAs) (for additional information, see "Income Taxes" below), which contributed to a net increase of $6 billion of regulatory capital during the quarter and Citi's Common Equity Tier 1 Capital ratio, on a fully implemented basis, of 12.3% as of March 31, 2016. In addition, despite the higher repositioning charge during the quarter, Citigroup's expenses declined by 3% overall.

As noted above, while the macro and market environment somewhat stabilized during the latter part of the first quarter of 2016, Citi expects the operating environment to continue to be challenging, as many risks and uncertainties remain. For a more detailed discussion of these risks and uncertainties, see each respective business' results of operations, "Managing Global Risk" and "Forward-Looking Statements" below as well as the "Risk Factors" section in Citi's 2015 Annual Report on Form 10-K.


First Quarter 2016 Summary Results


Citigroup

Citigroup reported net income of $3.5 billion, or $1.10 per share, compared to $4.8 billion, or $1.51 per share, in the prior-year period. Results in the first quarter of 2015 included negative $73 million (negative $47 million after-tax) of CVA/DVA.

Excluding the impact of CVA/DVA in the prior-year period (for information on Citi's adoption in the first quarter of 2016 of a new accounting standard relating to the reporting


of CVA/DVA, see Notes 1 and 22 to the Consolidated Financial Statements), Citigroup also reported net income of $3.5 billion in the first quarter of 2016, or $1.10 per share, compared to $4.8 billion, or $1.52 per share, in the prior-year period. (Citi's results of operations excluding the impact of CVA/DVA are non-GAAP financial measures.) The 27% decrease from the prior-year period was primarily driven by lower revenues and a higher cost of credit, partially offset by lower expenses.

Citi's revenues were $17.6 billion in the first quarter of 2016, a decrease of 11% from the prior-year period. Excluding CVA/DVA in the first quarter of 2015, revenues were also down 11% from the prior-year period, as Citicorp revenues decreased 9% and Citi Holdings revenues decreased 31%. Excluding CVA/DVA in the first quarter of 2015 and the impact of FX translation (which lowered revenues by approximately $600 million in the first quarter of 2016 compared to the prior- year period), Citigroup revenues decreased 9% from the prior-year period, driven by a 6% decrease in Citicorp revenues and a 29% decrease in Citi Holdings' revenues. (Citi's results of operations excluding the impact of FX translation are non-GAAP financial measures.)


Expenses

Citigroup expenses decreased 3% versus the prior-year period as lower expenses in Citi Holdings, lower legal and related expenses and the impact of FX translation were partially offset by the higher repositioning costs and ongoing investments in Citicorp. Citigroup expenses in the first quarter of 2016 included legal and related expenses of $166 million, compared to $388 million in the prior-year period and $491 million of repositioning costs, compared to $16 million in the prior-year period. FX translation lowered expenses by approximately $377 million in the first quarter of 2016 compared to the prior-year period.

Citicorp expenses increased 2% driven by the higher repositioning costs, which Citi expects will yield expense savings in future periods, and ongoing investments in the franchise, partially offset by efficiency savings and the impact of FX translation. Citicorp expenses in the first quarter of 2016 included legal and related expenses of $226 million, compared to $317 million in the prior-year period, and $394 million of repositioning costs, compared to $4 million in the prior-year period.

Citi Holdings' expenses were $828 million, down 40% from the prior-year period, primarily driven by the ongoing decline in Citi Holdings assets as well as lower legal and related expenses, partially offset by higher repositioning costs.


Credit Costs

Citi's total provisions for credit losses and for benefits and claims of $2.0 billion increased 7% from the prior-year period, as a net loan loss reserve build was partially offset by lower net credit losses.

Net credit losses of $1.7 billion declined 12% versus the prior-year period. Consumer net credit losses declined 23% to



4



$1.5 billion, mostly reflecting continued improvements in North America Citi-branded cards in Citicorp as well as the improvement in the North America mortgage portfolio and ongoing divestiture activity within Citi Holdings. Corporate net credit losses increased $218 million to $211 million, primarily related to the continued deterioration in the energy and energy-related portfolio (for additional information, see " Institutional Clients Group " and "Credit Risk-Corporate Credit" below).

The net build of allowance for loan losses and unfunded lending commitments was $233 million in the first quarter of 2016, compared to a $239 million release in the prior-year period. Citicorp's net reserve build was $266 million, compared to a net loan loss reserve release of $62 million in the prior-year period. The build in the first quarter of 2016 was primarily driven by net loan loss reserve builds in ICG, including approximately $260 million for energy and energy-related exposures. Outside of the energy-related sectors, Citi's credit quality largely remained stable during the quarter. The allowance for loan losses attributable to energy and energy-related loans in ICG represented 4.2% of funded exposures as of the first quarter of 2016.

Citi Holdings' net reserve release decreased $144 million from the prior-year period to $33 million, primarily reflecting the impact of asset sales.

For additional information on Citi's consumer and corporate credit costs and allowance for loan losses, see "Credit Risk" below.


Capital

As noted above, Citi continued to grow its regulatory capital during the first quarter of 2016, even as it returned approximately $1.5 billion of capital to its shareholders in the form of common stock repurchases and dividends. Citigroup's Tier 1 Capital and Common Equity Tier 1 Capital ratios, on a fully implemented basis, were 13.8% and 12.3% as of March 31, 2016, respectively, compared to 12.1% and 11.1% as of March 31, 2015 (all based on the Basel III Advanced Approaches for determining risk-weighted assets). Citigroup's Supplementary Leverage ratio as of March 31, 2016, on a fully implemented basis, was 7.4%, compared to 6.4% as of March 31, 2015. For additional information on Citi's capital ratios and related components, including the impact of Citi's DTAs on its capital ratios, see "Capital Resources" below.


Citicorp

Citicorp net income decreased 32% from the prior-year period to $3.2 billion. CVA/DVA, recorded in ICG , was negative $69 million (negative $44 million after-tax) in first quarter of 2015 (for a summary of CVA/DVA by business within ICG , see " Institutional Clients Group " below). Excluding CVA/DVA in the first quarter of 2015, Citicorp's net income also decreased 32% from the prior-year period, primarily driven by the lower revenues, higher expenses and higher cost of credit.

Citicorp revenues decreased 9% from the prior-year period to $16.1 billion. Excluding CVA/DVA in the first quarter of 2015, Citicorp revenues also decreased 9% from the prior-year period, reflecting a 12% decrease in ICG revenues and a 6% decrease in GCB revenues. As referenced above,

excluding CVA/DVA in the prior-year period and the impact of FX translation, Citicorp's revenues decreased 6%, mostly driven by the decline in revenues in Citi's market sensitive businesses and the impact of continued investments in Citi-branded cards, each as referred to above.

GCB revenues of $7.8 billion decreased 6% versus the prior-year period. Excluding the impact of FX translation, GCB revenues decreased 3%, as decreases in North America GCB and Asia GCB were partially offset by an increase in Latin America GCB . North America GCB revenues decreased 4% to $4.9 billion, as lower revenues in Citi-branded cards and retail banking were partially offset by higher revenues in Citi retail services. Citi-branded cards revenues of $1.9 billion were down 6% versus the prior-year period, reflecting continued increased acquisition and rewards costs as investments in business growth continued, partially offset by the impact of growth in average loans and purchase sales. Citi retail services revenues of $1.7 billion increased 3% versus the prior-year period, primarily driven by gains on the sale of two small cards portfolios. Retail banking revenues decreased 8% from the prior-year period to $1.3 billion. Excluding the previously-disclosed $110 million gain on the sale of branches in Texas in the prior-year period, retail banking revenues were largely unchanged as continued growth in loans and checking deposits as well as improved deposit spreads were offset by lower mortgage gain on sale revenues.

North America GCB average deposits of $181 billion were largely unchanged year-over-year and average retail banking loans of $53 billion grew 11%. Average branded card loans of $65 billion increased 1%, while branded card purchase sales of $46 billion increased 12% versus the prior-year period. Average retail services loans of $44 billion were largely unchanged, while retail services purchase sales of $17 billion increased 2% versus the prior-year period. For additional information on the results of operations of North America GCB for the first quarter of 2016, see " Global Consumer Banking - North America GCB " below.

International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes EMEA GCB for reporting purposes)) decreased 11% versus the prior-year period to $2.9 billion. Excluding the impact of FX translation, international GCB revenues decreased 2% versus the prior-year period. Latin America GCB revenues increased 2% versus the prior-year period , as the impact of growth in retail banking loans, deposits and card purchase sales was partially offset by continued declines in card balances. Asia GCB revenues declined 4% versus the prior-year period, driven by lower investment sales revenues reflecting the weak market sentiment as well as continued regulatory pressure in cards, partially offset by volume growth. For additional information on the results of operations of Latin America GCB and Asia GCB for the first quarter of 2016, including the impact of FX translation, see " Global Consumer Banking " below. Year-over-year, international GCB average deposits of $115 billion increased 5%, average retail loans of $87 billion increased 1%, investment sales of $12 billion decreased 38%, average card loans of $23 billion increased 2% and card purchase sales of $22 billion increased 4%, all excluding the impact of FX translation.



5



ICG revenues were $8.0 billion in the first quarter of 2016, down 11% from the prior-year period. Excluding CVA/DVA in the first quarter of 2015, ICG revenues decreased 12% driven by a 15% decrease in Markets and securities services revenues and a 9% decrease in Banking revenues.

Banking revenues of $4.0 billion (excluding CVA/DVA in the first quarter of 2015 and the impact of mark-to-market gains on hedges related to accrual loans within corporate lending (see below)) decreased 6%, compared to the prior-year period, driven by lower industry-wide investment banking activity partially offset by growth in treasury and trade solutions and the private bank. Investment banking revenues of $875 million decreased 27% versus the prior-year period. Advisory revenues decreased 23% to $227 million versus strong performance in the prior-year period. Debt underwriting revenues decreased 22% to $530 million and equity underwriting revenues decreased 49% to $118 million, largely driven by the industry-wide slowdown in activity levels during the quarter.

Private bank revenues (excluding CVA/DVA in the first quarter of 2015) increased 5% to $746 million from the prior- year period, primarily driven by higher loan and deposit balances. Corporate lending revenues decreased 26% to $389 million, including $66 million of mark-to-market losses on hedges related to accrual loans, compared to a $52 million gain in the prior-year period. Excluding the impact of FX translation and the mark-to-market impact of loan hedges, corporate lending revenues decreased 2% versus the prior-year period, primarily driven by the absence of positive mark-to-market adjustments, partially offset by continued growth in average loans. Treasury and trade solutions revenues of $2.0 billion increased 3% from the prior-year period. Excluding the impact of FX translation, treasury and trade solutions revenues increased 8%, as continued growth in transaction volumes and increased spreads were partially offset by lower trade revenues.

Markets and securities services revenues of $4.1 billion (excluding CVA/DVA in the first quarter of 2015) decreased 15% from the prior-year period. Fixed income markets revenues of $3.1 billion (excluding CVA/DVA in the first quarter of 2015) decreased 11% from the prior-year period, reflecting lower activity levels and a less favorable environment in securitized products and commodities, partially offset by growth in rates and currencies. Equity markets revenues of $706 million (excluding CVA/DVA in the first quarter of 2015) decreased 19% versus the prior-year period, reflecting the impact of lower volumes in cash equities as well as weaker performance in derivatives. Securities services revenues of $562 million increased 3% versus the prior-year period, largely reflecting a gain on sale, partially offset by the impact of FX translation. For additional information on the results of operations of ICG for the first quarter of 2016, see " Institutional Clients Group " below.

Corporate/Other revenues were $274 million, up 29% from the prior-year period, mostly reflecting higher investment income. For additional information on the results of operations of Corporate/Other for the first quarter of 2016, see " Corporate/Other " below.

Citicorp end-of-period loans increased 4% to $573 billion from the prior-year period, driven by a 6% increase in corporate loans and a 1% increase in consumer loans. Excluding the impact of FX translation, Citicorp loans grew 5%, with 7% growth in corporate loans and 2% growth in consumer loans.


Citi Holdings

Citi Holdings' net income was $346 million in the first quarter of 2016, compared to net income of $149 million in the prior-year period. CVA/DVA was negative $4 million (negative $3 million after-tax) in the first quarter of 2015. Excluding the impact of CVA/DVA in the prior-year period, Citi Holdings' net income was $346 million, compared to $152 million in the prior-year period, primarily reflecting lower expenses and lower credit costs, partially offset by lower revenues.

Citi Holdings' revenues were $1.5 billion down 31% from the prior-year period. Excluding CVA/DVA in the first quarter of 2015, Citi Holdings' revenues also decreased 31% from the prior-year period, primarily driven by the overall wind-down of the portfolio, partially offset by a net gain on asset sales. For additional information on the results of operations of Citi Holdings for the first quarter of 2016, see "Citi Holdings" below.

At the end of the current quarter, Citi Holdings' assets were $73 billion, 44% below the prior-year period, and represented approximately 4% of Citi's total GAAP assets. Citi Holdings' risk-weighted assets were $130 billion as of March 31, 2016, a decrease of 29% from the prior-year period, and represented 11% of Citi's risk-weighted assets under Basel III (based on the Advanced Approaches for determining risk-weighted assets).




6



RESULTS OF OPERATIONS

SUMMARY OF SELECTED FINANCIAL DATA-PAGE 1

Citigroup Inc. and Consolidated Subsidiaries

First Quarter

In millions of dollars, except per-share amounts and ratios

2016

2015

% Change

Net interest revenue

$

11,227


$

11,572


(3

)%

Non-interest revenue

6,328


8,164


(22

)

Revenues, net of interest expense

$

17,555


$

19,736


(11

)%

Operating expenses

10,523


10,884


(3

)

Provisions for credit losses and for benefits and claims

2,045


1,915


7


Income from continuing operations before income taxes

$

4,987


$

6,937


(28

)%

Income taxes

1,479


2,120


(30

)

Income from continuing operations

$

3,508


$

4,817


(27

)%

Income (loss) from discontinued operations, net of taxes (1)

(2

)

(5

)

60

 %

Net income before attribution of noncontrolling interests

$

3,506


$

4,812


(27

)%

Net income attributable to noncontrolling interests

5


42


(88

)

Citigroup's net income

$

3,501


$

4,770


(27

)

Less:



Preferred dividends-Basic

$

210


$

128


64

 %

Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS

40


62


(35

)

Income allocated to unrestricted common shareholders for basic and diluted EPS

$

3,251


$

4,580


(29

)%

Earnings per share



Basic



Income from continuing operations

$

1.11


$

1.51


(26

)%

Net income

1.10


1.51


(27

)

Diluted



Income from continuing operations

$

1.11


$

1.51


(26

)%

Net income

1.10


1.51


(27

)

Dividends declared per common share

0.05


0.01


NM



Statement continues on the next page, including notes to the table.


7



SUMMARY OF SELECTED FINANCIAL DATA-PAGE 2

Citigroup Inc. and Consolidated Subsidiaries

First Quarter

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

2016

2015

% Change

At March 31:

Total assets

$

1,800,967


$

1,831,801


(2

)%

Total deposits

934,591


899,647


4


Long-term debt

207,835


210,522


(1

)

Citigroup common stockholders' equity

209,769


202,652


4


Total Citigroup stockholders' equity

227,522


214,620


6


Direct staff (in thousands)

225


239


(6

)

Performance metrics



Return on average assets

0.79

%

1.04

%



Return on average common stockholders' equity (2)

6.4


9.4




Return on average total stockholders' equity (2)

6.3


9.1




Efficiency ratio (Total operating expenses/Total revenues)

60


55




Basel III ratios-full implementation

Common Equity Tier 1 Capital (3)

12.34

%

11.06

%

Tier 1 Capital (3)

13.81


12.07


Total Capital (3)

15.71


13.38


Supplementary Leverage ratio (4)

7.44


6.44


Citigroup common stockholders' equity to assets

11.65

%

11.06

%

Total Citigroup stockholders' equity to assets

12.63


11.72


Dividend payout ratio (5)

4.5


0.7


Book value per common share

$

71.47


$

66.79


7

 %

Ratio of earnings to fixed charges and preferred stock dividends

2.54x


3.13x


(1)

See Note 2 to the Consolidated Financial Statements for additional information on Citi's discontinued operations.

(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)

Citi's regulatory capital ratios reflect full implementation of the U.S. Basel III rules. Risk-weighted assets are based on the Basel III Advanced Approaches for determining total risk-weighted assets.

(4)

Citi's Supplementary Leverage ratio reflects full implementation of the U.S. Basel III rules.

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




8



SEGMENT AND BUSINESS-INCOME (LOSS) AND REVENUES

The following tables show the income (loss) and revenues for Citigroup on a segment and business view:

CITIGROUP INCOME

First Quarter

In millions of dollars

2016

2015

% Change

Income (loss) from continuing operations

CITICORP

Global Consumer Banking

North America

$

860


$

1,153


(25

)%

Latin America

156


220


(29

)

Asia (1)

215


339


(37

)

Total

$

1,231


$

1,712


(28

)%

Institutional Clients Group





North America

$

584


$

1,027


(43

)%

EMEA

399


935


(57

)

Latin America

337


375


(10

)

Asia

639


637


-


Total

$

1,959


$

2,974


(34

)%

Corporate/Other

$

(29

)

$

(19

)

(53

)%

Total Citicorp

$

3,161


$

4,667


(32

)%

Citi Holdings

$

347


$

150


NM


Income from continuing operations

$

3,508


$

4,817


(27

)%

Discontinued operations

$

(2

)

$

(5

)

60

 %

Net income attributable to noncontrolling interests

5


42


(88

)%

Citigroup's net income

$

3,501


$

4,770


(27

)%


(1)

For reporting purposes, Asia GCB includes the results of operations of EMEA GCB for all periods presented.


NM Not meaningful


9



CITIGROUP REVENUES

First Quarter

In millions of dollars

2016

2015

% Change

CITICORP

Global Consumer Banking

North America

$

4,874


$

5,060


(4

)%

Latin America

1,241


1,432


(13

)

Asia (1)

1,655


1,810


(9

)

Total

$

7,770


$

8,302


(6

)%

Institutional Clients Group





North America

$

3,046


$

3,391


(10

)%

EMEA

2,207


2,900


(24

)

Latin America

975


991


(2

)

Asia

1,808


1,795


1


Total

$

8,036


$

9,077


(11

)%

Corporate/Other

$

274


$

212


29

 %

Total Citicorp

$

16,080


$

17,591


(9

)%

Citi Holdings

$

1,475


$

2,145


(31

)%

Total Citigroup Net Revenues

$

17,555


$

19,736


(11

)%

(1)

For reporting purposes, Asia GCB includes the results of operations of EMEA GCB for all periods presented.





10



SEGMENT BALANCE SHEET

(1)

In millions of dollars

Global

Consumer

Banking

Institutional

Clients

Group

Corporate/Other

and

consolidating

eliminations (2)

Subtotal

Citicorp

Citi

Holdings

Citigroup

Parent

company-

issued

long-term

debt and

stockholders'

equity (3)

Total

Citigroup

consolidated

Assets

Cash and deposits with banks

$

10,788


$

63,444


$

82,736


$

156,968


$

1,321


$

-


$

158,289


Federal funds sold and securities borrowed or purchased under agreements to resell

125


224,134


-


224,259


834


-


225,093


Trading account assets

5,962


264,092


403


270,457


3,290


-


273,747


Investments

8,413


115,561


223,881


347,855


5,397


-


353,252


Loans, net of unearned income and


allowance for loan losses

265,100


297,874


-


562,974


43,138


-


606,112


Other assets

41,744


83,365


45,422


170,531


13,943


-


184,474


Liquidity assets (4)

52,897


243,928


(301,779

)

(4,954

)

4,954


-


-


Total assets

$

385,029


$

1,292,398


$

50,663


$

1,728,090


$

72,877


$

-


$

1,800,967


Liabilities and equity

Total deposits

$

302,672


$

607,111


$

15,569


$

925,352


$

9,239


$

-


$

934,591


Federal funds purchased and securities loaned or sold under agreements to repurchase

3,631


153,552


-


157,183


25


-


157,208


Trading account liabilities

9


134,688


695


135,392


754


-


136,146


Short-term borrowings

225


20,626


32


20,883


10


-


20,893


Long-term debt

1,591


33,458


19,582


54,631


4,065


149,139


207,835


Other liabilities

15,261


79,430


15,684


110,375


5,158


-


115,533


Net inter-segment funding (lending) (3)

61,640


263,533


(2,138

)

323,035


53,626


(376,661

)

-


Total liabilities

$

385,029


$

1,292,398


$

49,424


$

1,726,851


$

72,877


$

(227,522

)

$

1,572,206


Total equity

-


-


1,239


1,239


-


227,522


228,761


Total liabilities and equity

$

385,029


$

1,292,398


$

50,663


$

1,728,090


$

72,877


$

-


$

1,800,967



(1)

The supplemental information presented in the table above reflects Citigroup's consolidated GAAP balance sheet by reporting segment as of March 31, 2016 . The respective segment information depicts the assets and liabilities managed by each segment as of such date. While this presentation is not defined by GAAP, Citi believes that these non-GAAP financial measures enhance investors' understanding of the balance sheet components managed by the underlying business segments, as well as the beneficial inter-relationships of the asset and liability dynamics of the balance sheet components among Citi's business segments.

(2)

Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within the Corporate/Other segment.

(3)

The total stockholders' equity and the majority of long-term debt of Citigroup reside in the Citigroup parent company Consolidated Balance Sheet. Citigroup allocates stockholders' equity and long-term debt to its businesses through inter-segment allocations as shown above.

(4)

Represents the attribution of Citigroup's liquidity assets (primarily consisting of cash and available-for-sale securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.




11



CITICORP

Citicorp is Citigroup's global bank for consumers and businesses and represents Citi's core franchises. Citicorp is focused on providing best-in-class products and services to customers and leveraging Citigroup's unparalleled global network, including many of the world's emerging economies. Citicorp is physically present in approximately 100 countries, many for over 100 years, and offers services in over 160 countries and jurisdictions. Citi believes this global network provides a strong foundation for servicing the broad financial services needs of its large multinational clients and for meeting the needs of retail, private banking, commercial, public sector and institutional clients around the world.

Citicorp consists of the following operating businesses: Global Consumer Banking (which consists of consumer banking businesses in North America, EMEA, Latin America and Asia ) and Institutional Clients Group (which includes Banking and Markets and securities services ). Citicorp also includes Corporate/Other . At March 31, 2016, Citicorp had approximately $1.7 trillion of assets and $925 billion of deposits, representing approximately 96% of Citi's total assets and 99% of Citi's total deposits.

As previously announced, Citi's consumer businesses in Argentina, Brazil and Colombia, which previously were reported as part of Latin America GCB , are reported as part of Citi Holdings for all periods as of the first quarter of 2016. In addition, Citi's consumer businesses in Venezuela and remaining indirect investment in Banco de Chile, also previously reported as part of Latin America GCB , are reported as part of ICG for all periods as of the first quarter of 2016. For additional information, see "Citicorp" in Citi's 2015 Annual Report on Form 10-K.


First Quarter

In millions of dollars except as otherwise noted

2016

2015

% Change

Net interest revenue

$

10,630


$

10,313


3

 %

Non-interest revenue

5,450


7,278


(25

)

Total revenues, net of interest expense

$

16,080


$

17,591


(9

)%

Provisions for credit losses and for benefits and claims





Net credit losses

$

1,581


$

1,488


6

 %

Credit reserve build (release)

193


(30

)

NM


Provision for loan losses

$

1,774


$

1,458


22

 %

Provision for benefits and claims

28


28


-


Provision for unfunded lending commitments

73


(32

)

NM


Total provisions for credit losses and for benefits and claims

$

1,875


$

1,454


29

 %

Total operating expenses

$

9,695


$

9,499


2

 %

Income from continuing operations before taxes

$

4,510


$

6,638


(32

)%

Income taxes

1,349


1,971


(32

)

Income from continuing operations

$

3,161


$

4,667


(32

)%

Income (loss) from discontinued operations, net of taxes

(2

)

(5

)

60


Noncontrolling interests

4


41


(90

)

Net income

$

3,155


$

4,621


(32

)%

Balance sheet data (in billions of dollars)





Total end-of-period (EOP) assets

$

1,728


$

1,702


2

 %

Average assets

1,700


1,719


(1

)

Return on average assets

0.75

%

1.09

%



Efficiency ratio

60

%

54

%



Total EOP loans

$

573


$

554


4


Total EOP deposits

$

925


$

884


5


NM Not meaningful


12



GLOBAL CONSUMER BANKING

Global Consumer Banking (GCB) consists of Citigroup's four geographical consumer banking businesses that provide traditional banking services to retail customers through retail banking, including commercial banking, and Citi-branded cards and Citi retail services (for additional information on these businesses, see "Citigroup Segments" above). GCB is a focused on its priority markets of the U.S., Mexico and Asia with 2,703 branches in 19 countries as of March 31, 2016. At March 31, 2016, GCB had approximately $385 billion of assets and $303 billion of deposits.

GCB 's overall strategy is to leverage Citi's global footprint and seek to be the preeminent bank for the emerging affluent and affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies.


First Quarter

In millions of dollars except as otherwise noted

2016

2015

% Change

Net interest revenue

$

6,406


$

6,461


(1

)%

Non-interest revenue

1,364


1,841


(26

)

Total revenues, net of interest expense

$

7,770


$

8,302


(6

)%

Total operating expenses

$

4,408


$

4,305


2

 %

Net credit losses

$

1,370


$

1,489


(8

)%

Credit reserve build (release)

85


(149

)

NM


Provision (release) for unfunded lending commitments

2


-


NM


Provision for benefits and claims

28


28


-


Provisions for credit losses and for benefits and claims

$

1,485


$

1,368


9

 %

Income from continuing operations before taxes

$

1,877


$

2,629


(29

)%

Income taxes

646


917


(30

)

Income from continuing operations

$

1,231


$

1,712


(28

)%

Noncontrolling interests

2


(4

)

NM


Net income

$

1,229


$

1,716


(28

)%

Balance Sheet data (in billions of dollars)





Average assets

$

378


$

380


(1

)%

Return on average assets

1.31

%

1.83

%



Efficiency ratio

57

%

52

%



Total EOP assets

$

385


$

374


3


Average deposits

296


298


(1

)

Net credit losses as a percentage of average loans

2.03

%

2.21

%



Revenue by business





Retail banking

$

3,216


$

3,538


(9

)%

Cards (1)

4,554


4,764


(4

)

Total

$

7,770


$

8,302


(6

)%

Income from continuing operations by business





Retail banking

$

317


$

579


(45

)%

Cards (1)

914


1,133


(19

)

Total

$

1,231


$

1,712


(28

)%

Table continues on next page.



13



Foreign currency (FX) translation impact



Total revenue-as reported

$

7,770


$

8,302


(6

)%

Impact of FX translation (2)

-


(295

)



Total revenues-ex-FX (3)

$

7,770


$

8,007


(3

)%

Total operating expenses-as reported

$

4,408


$

4,305


2

 %

Impact of FX translation (2)

-


(142

)



Total operating expenses-ex-FX (3)

$

4,408


$

4,163


6

 %

Total provisions for LLR & PBC-as reported

$

1,485


$

1,368


9

 %

Impact of FX translation (2)

-


(64

)



Total provisions for LLR & PBC-ex-FX (3)

$

1,485


$

1,304


14

 %

Net income-as reported

$

1,229


$

1,716


(28

)%

Impact of FX translation (2)

-


(61

)



Net income-ex-FX (3)

$

1,229


$

1,655


(26

)%

(1)

Includes both Citi-branded cards and Citi retail services.

(2)

Reflects the impact of FX translation into U.S. dollars at the first quarter of 2016 average exchange rates for all periods presented.

(3)

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

NM Not meaningful



14



NORTH AMERICA GCB

North America GCB provides traditional retail banking, including commercial banking, and its Citi-branded cards and Citi retail services card products to retail customers and small to mid-size businesses, as applicable, in the U.S. North America GCB 's U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines and Hilton Worldwide) within Citi-branded cards as well as its co-brand and private label relationships within Citi retail services.

As of March 31, 2016, North America GCB 's 729 retail bank branches are concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of March 31, 2016, North America GCB had approximately 10.8 million retail banking customer accounts, $53.5 billion of retail banking loans and $183.7 billion of deposits. In addition, North America GCB had approximately 111.9 million Citi-branded and Citi retail services credit card accounts, with $107.4 billion in outstanding card loan balances.


First Quarter

% Change

In millions of dollars, except as otherwise noted

2016

2015

Net interest revenue

$

4,442


$

4,336


2

 %

Non-interest revenue

432


724


(40

)

Total revenues, net of interest expense

$

4,874


$

5,060


(4

)%

Total operating expenses

$

2,506


$

2,341


7

 %

Net credit losses

$

932


$

960


(3

)%

Credit reserve build (release)

79


(99

)

NM


Provision for unfunded lending commitments

1


1


-


Provisions for benefits and claims

9


10


(10

)

Provisions for credit losses and for benefits and claims

$

1,021


$

872


17

 %

Income from continuing operations before taxes

$

1,347


$

1,847


(27

)%

Income taxes

487


694


(30

)

Income from continuing operations

$

860


$

1,153


(25

)%

Noncontrolling interests

-


1


(100

)

Net income

$

860


$

1,152


(25

)%

Balance Sheet data (in billions of dollars)





Average assets

$

212


$

208


2

 %

Return on average assets

1.63

%

2.25

%



Efficiency ratio

51

%

46

%



Average deposits

$

180.6


$

180.4


-


Net credit losses as a percentage of average loans

2.32

%

2.50

%



Revenue by business





Retail banking

$

1,307


$

1,414


(8

)%

Citi-branded cards

1,880


2,009


(6

)

Citi retail services

1,687


1,637


3


Total

$

4,874


$

5,060


(4

)%

Income from continuing operations by business





Retail banking

$

98


$

210


(53

)%

Citi-branded cards

366


539


(32

)

Citi retail services

396


404


(2

)

Total

$

860


$

1,153


(25

)%


NM Not meaningful




15



1Q16 vs. 1Q15

Net income decreased by 25% due to lower revenues, higher expenses and a net loan loss reserve build, partially offset by lower net credit losses.

Revenues decreased 4%, reflecting lower revenues in retail banking and Citi-branded cards, partially offset by higher revenues in Citi retail services.

Retail banking revenues decreased 8%. Excluding the previously-disclosed $110 million gain on sale of branches in Texas in the prior-year period, revenues were largely unchanged as continued growth in average loans (11%), average checking deposits (6%) and deposit spreads were offset by lower mortgage gain on sale revenues largely reflecting lower mortgage refinance activity and lower margins. Consistent with GCB 's strategy, North America GCB closed or sold 51 branches during the current quarter (a 7% decline from year-end 2015).

Cards revenues decreased 2%. In Citi-branded cards, revenues decreased 6%, primarily reflecting the continued increased acquisition and rewards costs as well as the continued impact of high customer payment rates. The continued investment spending in Citi-branded cards has resulted, in part, in growth in average active accounts (4%), average loans (1%) and purchase sales (12%).

Citi retail services revenues increased 3% due to gains on sales of two small cards portfolios, partially offset by higher contractual partner payments. Purchase sales increased 2% while average loans were largely unchanged, despite the impact of the card portfolio sales.

Expenses increased 7%, primarily due to higher repositioning charges and the continued investment spending (including marketing, among other areas), higher volume-related expenses and higher regulatory and compliance costs, partially offset by ongoing cost reduction initiatives, including as a result of the branch rationalization strategy.

Provisions increased 17%, largely due to a net loan loss reserve build (approximately $80 million), compared to a loan loss reserve release in the prior-year period, partially offset by lower net credit losses (3%). The decline in net credit losses was primarily due to Citi-branded cards (down 8% to $455 million). The net loan loss reserve build was driven by energy and energy-related exposures in the commercial banking portfolio within retail banking. (For additional information on Citi's energy and energy-related exposures within commercial banking within GCB , see "Credit Risk-Commercial Credit"

below.)

North America GCB continues to expect to make additional investments in its U.S. cards businesses during the remainder of 2016, including investments in connection with Citi's planned acquisition of the Costco portfolio, the closing of which is currently expected to occur in June 2016, as well as the impact of renewing certain important partnership programs in a competitive environment (see also "Risk Factors-Operational Risks" in Citi's 2015 Annual Report on Form 10-K). While North America GCB believes these investments are necessary for the growth of its U.S. cards businesses, they will continue to reduce the pretax earnings of the businesses during the remainder of 2016.






16



LATIN AMERICA GCB

Latin America GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses in Mexico through Banco Nacional de Mexico, or Banamex, Mexico's second-largest bank.

At March 31, 2016, Latin America GCB had 1,493 retail branches, with approximately 27.9 million retail banking customer accounts, $20.1 billion in retail banking loans and $28.3 billion in deposits. In addition, the business had approximately 5.6 million Citi-branded card accounts with $5.3 billion in outstanding loan balances. As discussed above, Citi's consumer businesses in Argentina, Brazil and Colombia are reported as part of Citi Holdings for all periods as of the first quarter of 2016.


First Quarter

% Change

In millions of dollars, except as otherwise noted

2016

2015

Net interest revenue

$

863


$

990


(13

)%

Non-interest revenue

378


442


(14

)

Total revenues, net of interest expense

$

1,241


$

1,432


(13

)%

Total operating expenses

$

720


$

797


(10

)%

Net credit losses

$

278


$

356


(22

)%

Credit reserve build (release)

17


(8

)

NM


Provision (release) for unfunded lending commitments

1


(3

)

NM


Provision for benefits and claims

19


18


6


Provisions for credit losses and for benefits and claims (LLR & PBC)

$

315


$

363


(13

)%

Income from continuing operations before taxes

$

206


$

272


(24

)%

Income taxes

50


52


(4

)

Income from continuing operations

$

156


$

220


(29

)%

Noncontrolling interests

1


-


100


Net income

$

155


$

220


(30

)%

Balance Sheet data (in billions of dollars)





Average assets

$

50


$

57


(12

)%

Return on average assets

1.25

%

1.57

%



Efficiency ratio

58

%

56

%



Average deposits

$

27.8


$

29.3


(5

)

Net credit losses as a percentage of average loans

4.53

%

5.25

%



Revenue by business





Retail banking

$

868


$

972


(11

)%

Citi-branded cards

373


460


(19

)

Total

$

1,241


$

1,432


(13

)%

Income from continuing operations by business





Retail banking

$

99


$

148


(33

)%

Citi-branded cards

57


72


(21

)

Total

$

156


$

220


(29

)%

FX translation impact





Total revenues-as reported

$

1,241


$

1,432


(13

)%

Impact of FX translation (1)

-


(217

)



Total revenues-ex-FX (2)

$

1,241


$

1,215


2

 %

Total operating expenses-as reported

$

720


$

797


(10

)%

Impact of FX translation (1)

-


(87

)



Total operating expenses-ex-FX (2)

$

720


$

710


1

 %

Provisions for LLR & PBC-as reported

$

315


$

363


(13

)%

Impact of FX translation (1)

-


(56

)



Provisions for LLR & PBC-ex-FX (2)

$

315


$

307


3

 %

Net income-as reported

$

155


$

220


(30

)%

Impact of FX translation (1)

-


(57

)



Net income-ex-FX (2)

$

155


$

163


(5

)%


17



(1)

Reflects the impact of FX translation into U.S. dollars at the first quarter of 2016 average exchange rates for all periods presented.

(2)

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

NM Not Meaningful


The discussion of the results of operations for Latin America GCB below excludes the impact of FX translation for all periods presented. Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a reconciliation of certain of these metrics to the reported results, see the table above.


1Q16 vs. 1Q15

Net income decreased 5% as higher expenses and a net loan loss reserve build were partially offset by higher revenues and lower net credit losses.

Revenues increased 2%, primarily due to volume growth in retail banking and cards purchase sales, partially offset by lower revenues from business divestitures as well as continued declines in card balances. Revenues were also impacted by continued slow economic growth in Mexico.

Retail banking revenues increased 5%, primarily due to the volume growth, including an increase in average loans (9%), average deposits (11%) and deposit spreads, partially offset by a decline in loan spreads. Cards revenues decreased 4%, driven by continued higher payment rates resulting from the business' focus on higher credit quality customers which also drove a decline in average loans (3%). These declines were partially offset by growth in purchase sales (7%). Latin America GCB expects the cards payment rates and revenues to continue to remain under pressure during the remainder of 2016.

Expenses increased 1%, primarily due to higher technology investments, volume-related costs, higher repositioning charges and higher compensation expense, partially offset by lower legal and related costs, the impact of business divestitures and ongoing efficiency savings.

Provisions increased 3% as a net loan loss reserve build was partially offset by lower net credit losses. Net credit losses decreased 8%, largely reflecting lower net credit losses incurred in the cards portfolio due the focus on higher credit quality customers. The net loan loss reserve build increased $27 million, primarily due to lower releases related to the commercial banking portfolio and cards.






18



ASIA GCB

Asia GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses, as applicable. As of March 31, 2016, Citi's most significant revenues in the region were from Singapore, Hong Kong, Korea, India, Australia, Taiwan, Indonesia, Malaysia, Thailand and the Philippines. In addition, for reporting purposes, Asia GCB includes the results of operations of EMEA GCB, which provides traditional retail banking and Citi-branded card products to retail customers, primarily in Poland, Russia and the United Arab Emirates.

At March 31, 2016, on a combined basis, the businesses had 481 retail branches, approximately 17.2 million retail banking customer accounts, $68.7 billion in retail banking loans and $90.7 billion in deposits. In addition, the businesses had approximately 16.6 million Citi-branded card accounts with $17.6 billion in outstanding loan balances.


First Quarter

% Change

In millions of dollars, except as otherwise noted (1)

2016

2015

Net interest revenue

$

1,101


$

1,135


(3

)%

Non-interest revenue

554


675


(18

)

Total revenues, net of interest expense

$

1,655


$

1,810


(9

)%

Total operating expenses

$

1,182


$

1,167


1

 %

Net credit losses

$

160


$

173


(8

)%

Credit reserve build (release)

(11

)

(42

)

74


Provision (release) for unfunded lending commitments

-


2


(100

)

Provisions for credit losses

$

149


$

133


12

 %

Income from continuing operations before taxes

$

324


$

510


(36

)%

Income taxes

109


171


(36

)

Income from continuing operations

$

215


$

339


(37

)%

Noncontrolling interests

1


(5

)

NM


Net income

$

214


$

344


(38

)%

Balance Sheet data (in billions of dollars)







Average assets

$

116


$

115


1

 %

Return on average assets

0.74

%

1.21

%



Efficiency ratio

71

%

64

%

Average deposits

$

87.2


$

88.2


(1

)

Net credit losses as a percentage of average loans

0.76

%

0.78

%



Revenue by business

Retail banking

$

1,041


$

1,152


(10

)%

Citi-branded cards

614


658


(7

)

Total

$

1,655


$

1,810


(9

)%

Income from continuing operations by business







Retail banking

$

120


$

221


(46

)%

Citi-branded cards

95


118


(19

)

Total

$

215


$

339


(37

)%


19



FX translation impact




Total revenues-as reported

$

1,655


$

1,810


(9

)%

Impact of FX translation (2)

-


(78

)



Total revenues-ex-FX (3)

$

1,655


$

1,732


(4

)%

Total operating expenses-as reported

$

1,182


$

1,167


1

 %

Impact of FX translation (2)

-


(55

)



Total operating expenses-ex-FX (3)

$

1,182


$

1,112


6

 %

Provisions for loan losses-as reported

$

149


$

133


12

 %

Impact of FX translation (2)

-


(8

)



Provisions for loan losses-ex-FX (3)

$

149


$

125


19

 %

Net income-as reported

$

214


$

344


(38

)%

Impact of FX translation (2)

-


(4

)



Net income-ex-FX (3)

$

214


$

340


(37

)%


(1)

For reporting purposes, Asia GCB includes the results of operations of EMEA GCB for all periods presented.

(2)

Reflects the impact of FX translation into U.S. dollars at the first quarter of 2016 average exchange rates for all periods presented.

(3)

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

NM

Not meaningful


The discussion of the results of operations for Asia GCB below excludes the impact of FX translation for all periods presented. Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a reconciliation of certain of these metrics to the reported results, see the table above.


1Q16 vs. 1Q15

Net income decreased 37% due to lower revenues, higher expenses and higher cost of credit.

Revenues decreased 4%, primarily due to a slowdown in investment sales within the wealth management business reflecting lower customer transaction activity as well as the continued, albeit abating, impact of regulatory changes in cards, partially offset by volume growth.

Retail banking revenues decreased 6%, mainly due to the decline in investment sales revenue, particularly in Singapore, Hong Kong, China, India and Taiwan, reflecting the weaker customer sentiment due to slower economic growth and market volatility during the current quarter. This decline in revenues was partially offset by growth in deposit products (3% increase in average deposits).

Cards revenues decreased 2%, primarily due to spread compression reflecting the ongoing impact of regulatory changes, particularly in Singapore, Taiwan, Malaysia, Indonesia, Hong Kong and Australia. Although cards purchase sales growth slowed during the current quarter (3%) due to the market environment, stabilizing payment rates contributed to continued growth in average loans (4%).

Expenses increased 6%, primarily due to repositioning charges in the current quarter, higher investment spending and compensation expense, partially offset by efficiency savings.

Provisions increased 19%, primarily due to a higher net loan loss reserve release in the prior-year period. Overall credit quality remained stable across the region.






20


INSTITUTIONAL CLIENTS GROUP


Institutional Clients Group (ICG) provides corporate, institutional, public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.

ICG revenue is generated primarily from fees and spreads associated with these activities. ICG earns fee income for assisting clients in clearing transactions, providing brokerage and investment banking services and other such activities. Revenue generated from these activities is recorded in Commissions and fees and Investment banking . 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 . Other primarily includes mark-to-market gains and losses on credit derivatives, gains and losses on available-for-sale (AFS) securities and other non-recurring gains and losses. Interest income earned on inventory and loans held less interest paid to customers on deposits is recorded as Net interest revenue . Revenue is also generated from transaction processing and assets under custody and administration.

ICG 's international presence is supported by trading floors in approximately 80 countries and a proprietary network in over 95 countries and jurisdictions. At March 31, 2016, ICG had approximately $1.3 trillion of assets and $607 billion of deposits, while two of its businesses, securities services and issuer services, managed approximately $14.8 trillion of assets under custody compared to $15.5 trillion at the end of the prior-year period. The decline in assets under custody from the prior-year period was primarily due to the impact of FX translation and a decline in market volumes.

First Quarter

% Change

In millions of dollars, except as otherwise noted

2016

2015

Commissions and fees

$

1,003


$

997


1

 %

Administration and other fiduciary fees

597


613


(3

)%

Investment banking

740


1,134


(35

)%

Principal transactions

1,574


2,197


(28

)%

Other (1)

(8

)

257


NM


Total non-interest revenue

$

3,906


$

5,198


(25

)%

Net interest revenue (including dividends)

4,130


3,879


6

 %

Total revenues, net of interest expense

$

8,036


$

9,077


(11

)%

Total operating expenses

$

4,869


$

4,652


5

 %

Net credit losses

$

211


$

(1

)

NM


Credit reserve build

108


119


(9

)%

Provision (release) for unfunded lending commitments

71


(32

)

NM


Provisions for credit losses

$

390


$

86


NM


Income from continuing operations before taxes

$

2,777


$

4,339


(36

)%

Income taxes

818


1,365


(40

)%

Income from continuing operations

$

1,959


$

2,974


(34

)%

Noncontrolling interests

10


35


(71

)%

Net income

$

1,949


$

2,939


(34

)%

Average assets (in billions of dollars)

$

1,271


$

1,279


(1

)%

Return on average assets

0.62

%

0.93

%



Efficiency ratio

61

%

51

%



Revenues by region



North America

$

3,046


$

3,391


(10

)%

EMEA

2,207


2,900


(24

)%

Latin America

975


991


(2

)%

Asia

1,808


1,795


1

 %

Total

8,036


9,077


(11

)%


21


Income from continuing operations by region



North America

$

584


$

1,027


(43

)%

EMEA

399


935


(57

)%

Latin America

337


375


(10

)%

Asia

639


637


-

 %

Total

1,959


2,974


(34

)%

Average loans by region  (in billions of dollars)



North America

$

129


$

117


10

 %

EMEA

63


60


5

 %

Latin America

43


40


8

 %

Asia

60


62


(3

)%

Total

$

295


$

279


6

 %

EOP deposits by business (in billions of dollars)

Treasury and trade solutions

$

415


$

386


8

 %

All other ICG  businesses

192


185


4

 %

Total

$

607


$

571


6

 %


(1)

First quarter of 2016 includes a charge of approximately $180 million reflecting the write down of virtually all of Citi's net investment in Venezuela as a result of changes in the exchange rate during the quarter (see "Country Risk" below).

NM Not Meaningful


22


ICG Revenue Details-Excluding CVA/DVA and Gain/(Loss) on Loan Hedges (1)

First Quarter

% Change

In millions of dollars

2016

2015

Investment banking revenue details

Advisory

$

227


$

295


(23

)%

Equity underwriting

118


231


(49

)

Debt underwriting

530


676


(22

)

Total investment banking

$

875


$

1,202


(27

)%

Treasury and trade solutions

1,951


1,890


3


Corporate lending-excluding gain (loss) on loan hedges (2)

455


476


(4

)

Private bank

746


709


5


Total banking revenues (ex-CVA/DVA and gain (loss) on loan

  hedges) (1)

$

4,027


$

4,277


(6

)%

Corporate lending-gain/(loss) on loan hedges (2)

$

(66

)

$

52


NM


Total banking revenues (ex-CVA/DVA and including gain

  (loss) on loan hedges) (1)

$

3,961


$

4,329


(9

)%

Fixed income markets

$

3,085


$

3,484


(11

)%

Equity markets

706


867


(19

)

Securities services

562


543


3


Other (3)

(278

)

(77

)

NM


Total Markets and securities services  (ex-CVA/DVA) (1)

$

4,075


$

4,817


(15

)%

Total ICG  (ex-CVA/DVA)

$

8,036


$

9,146


(12

)%

CVA/DVA (excluded as applicable in lines above)

-


(69

)

100

 %

     Fixed income markets

-


(75

)

100

 %

     Equity markets

-


3


(100

)

     Private bank

-


3


(100

)

Total revenues, net of interest expense

$

8,036


$

9,077


(11

)%


(1)

Excludes CVA/DVA in the first quarter of 2015, consistent with previous presentations. For additional information, see Notes 1 and 22 to the Consolidated Financial Statements.

(2)

Hedges on accrual loans reflect the mark-to-market on credit derivatives used to economically hedge the corporate loan accrual portfolio. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection.

(3)

First quarter of 2016 includes a charge of approximately $180 million reflecting the write down of virtually all of Citi's net investment in Venezuela as a result of changes in the exchange rate during the quarter (see "Country Risk" below).

NM Not meaningful


The discussion of the results of operations for ICG below excludes the impact of CVA/DVA for the first quarter of 2015. Presentations of the results of operations, excluding the impact of CVA/DVA and the impact of gains/(losses) on hedges on accrual loans, are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.



23


1Q16 vs. 1Q15

Net income decreased 35%, primarily driven by lower revenues, higher expenses and higher credit costs.


Revenues decreased 12%, reflecting lower revenues in Markets and securities services (decrease of 15%) and lower revenues in Banking (decrease of 9%, decrease of 6% excluding the gains/(losses) on hedges on accrual loans), particularly the market-sensitive businesses of fixed income and equity markets and investment banking. Citi expects revenues in ICG , particularly in its Markets and securities services businesses, will likely continue to reflect the overall market environment.


Within Banking :


Investment banking revenues decreased 27%, largely reflecting an industry-wide slowdown in activity levels, particularly in North America . Advisory revenues decreased 23%, reflecting strong performance in the prior-year period and lower market activity. Equity underwriting revenues decreased 49% driven by the lower market activity and a decline in wallet share resulting from continued share fragmentation. Debt underwriting revenues decreased 22%, primarily due to a 21% decline in market activity.

Treasury and trade solutions revenues increased 3%. Excluding the impact of FX translation, revenues increased 8% as continued growth in deposit balances in EMEA , Asia and Latin America and improved spreads, particularly in North America , were partially offset by continued declines in trade balances and spreads, particularly Asia and EMEA . End-of-period deposit balances increased 8% (also 8% excluding the impact of FX translation), while average trade loans decreased 2% (unchanged excluding the impact of FX translation), as the business maintained origination volumes while reducing lower spread assets and increasing asset sales to optimize returns.

Corporate lending revenues decreased 26%. Excluding the impact of gains/(losses) on hedges on accrual loans, revenues decreased 4%. Excluding the impact of FX translation and gains/(losses) on hedges on accrual loans, revenues decreased 2% as the absence of positive mark-to-market adjustments compared to the prior-year period was partially offset by continued growth in average loan balances.

Private bank revenues increased 5%, reflecting strength in North America and EMEA , primarily due to growth in loan volumes and deposit balances, partially offset by lower capital markets activity, particularly in Asia .


Within Markets and securities services :


Fixed income markets revenues decreased 11%, driven by EMEA , primarily due to lower activity levels and a less favorable environment due to macroeconomic uncertainty. The decrease in revenues resulted from a decline in spread products revenues (credit markets and securitized markets, partially offset by municipals), as well as lower commodities revenues. This decline was partially offset by continued strength in rates and currencies revenues (increase of 5%), particularly during the latter part of the current quarter, due to higher revenues in overall G10 products, partially offset by local markets.

Equity markets revenues decreased 19%, driven by North America , EMEA and Asia , primarily reflecting the impact of lower volumes in cash equities as well as weaker trading performance in derivatives, partially offset by strength in prime finance.

Securities services revenues increased 3%, primarily reflecting a modest gain on sale of a private equity fund services business, partially offset by the impact of FX translation.


Expenses increased 5% as higher legal and related costs and repositioning charges, investment spending and regulatory and compliance costs were partially offset by lower compensation expense and the impact of FX translation.

Provisions increased $304 million to $390 million, primarily reflecting net credit losses of $211 million (negative $1 million in the prior-year period) and a net loan loss reserve build of $179 million ($87 million in the period-year period). This higher cost of credit included approximately $115 million of net credit losses and an approximately $260 million net loan loss reserve build related to energy and energy-related exposures, largely due to continued low oil prices in the current quarter as well as the impact of regulatory guidance. (For additional information on Citi's corporate energy and energy-related exposures, see "Credit Risk-Corporate Credit" below.)

Cost of credit in ICG during the remainder of 2016 will largely depend on the price of oil and other commodity prices, any additional potential impact of regulatory guidance as well as macroeconomic conditions. To the extent oil prices remain low, or deteriorate further, ICG expects to incur additional loan loss reserve builds and net credit losses in its corporate energy and energy-related portfolios, which would likely be significant, and Citi's corporate non-accrual loans would be negatively impacted. Such events as well as macroeconomic conditions would also negatively impact Citi's other corporate credit portfolios.






24



CORPORATE/OTHER

Corporate/Other includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses, Corporate Treasury and discontinued operations. At March 31, 2016, Corporate/Other had $51 billion of assets, or 3% of Citigroup's total assets.


First Quarter

%

Change

In millions of dollars

2016

2015

Net interest revenue

$

94


$

(27

)

NM


Non-interest revenue

180


239


(25

)

Total revenues, net of interest expense

$

274


$

212


29

 %

Total operating expenses

$

418


$

542


(23

)%

Provisions for loan losses and for benefits and claims

-


-


-

 %

Loss from continuing operations before taxes

$

(144

)

$

(330

)

56

 %

Income taxes (benefits)

(115

)

(311

)

63

 %

Income (loss) from continuing operations

$

(29

)

$

(19

)

(53

)%

Income (loss) from discontinued operations, net of taxes

(2

)

(5

)

60

 %

Net income (loss) before attribution of noncontrolling interests

$

(31

)

$

(24

)

(29

)%

Noncontrolling interests

(8

)

10


NM


Net income (loss)

$

(23

)

$

(34

)

32

 %

NM Not meaningful


1Q16 vs. 1Q15

The net loss was $23 million, compared to a net loss of $34 million in the prior-year period, largely reflecting lower expenses and higher revenues.

Revenues increased 29%, primarily due to higher investment income.

Expenses decreased 23%, largely driven by lower legal and related expenses and the impact of FX translation, partially offset by higher repositioning charges and higher regulatory and compliance costs.







25



CITI HOLDINGS

Citi Holdings contains the remaining businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses. Consistent with this determination, as of the first quarter of 2016, Citi's consumer businesses in Argentina, Brazil and Colombia are reported as part of Citi Holdings for all periods.

As of March 31, 2016, Citi Holdings assets were approximately $73 billion, a decrease of 44% year-over-year and 10% from December 31, 2015. The decline in assets of $8 billion from December 31, 2015 primarily consisted of divestitures and run-off. As of March 31, 2016, Citi had signed agreements to reduce Citi Holdings GAAP assets by an additional $10 billion, the significant majority of which are expected to be completed during the remainder of 2016, subject to regulatory approvals and other closing conditions.

Also as of March 31, 2016, consumer assets in Citi Holdings were approximately $62 billion, or approximately 85% of Citi Holdings assets. Of the consumer assets, approximately $36 billion, or 58%, consisted of North America mortgages (residential first mortgages and home equity loans). As of March 31, 2016, Citi Holdings represented approximately 4% of Citi's GAAP assets and 11% of its risk-weighted assets under Basel III (based on the Advanced Approaches for determining risk-weighted assets).

First Quarter

% Change

In millions of dollars, except as otherwise noted

2016

2015

Net interest revenue

$

597


$

1,259


(53

)%

Non-interest revenue

878


886


(1

)

Total revenues, net of interest expense

$

1,475


$

2,145


(31

)%

Provisions for credit losses and for benefits and claims



Net credit losses

$

143


$

469


(70

)%

Credit reserve release

(31

)

(172

)

82


Provision for loan losses

$

112


$

297


(62

)%

Provision for benefits and claims

60


169


(64

)

Release for unfunded lending commitments

(2

)

(5

)

60


Total provisions for credit losses and for benefits and claims

$

170


$

461


(63

)%

Total operating expenses

$

828


$

1,385


(40

)%

Income from continuing operations before taxes

$

477


$

299


60

 %

Income taxes

130


149


(13

)

Income from continuing operations

$

347


$

150


NM


Noncontrolling interests

1


1


-

 %

Net income

$

346


$

149


NM


Total revenues, net of interest expense (excluding CVA/DVA) (1)







Total revenues-as reported

$

1,475


$

2,145


(31

)%

     CVA/DVA

-


(4

)

100


Total revenues-excluding CVA/DVA (1)

$

1,475


$

2,149


(31

)%

Balance sheet data (in billions of dollars)

Average assets

$

78


$

134


(42

)%

Return on average assets

1.78

%

0.45

%

Efficiency ratio

56

%

65

%

Total EOP assets

$

73


$

130


(44

)%

Total EOP loans

45


67


(32

)

Total EOP deposits

9


16


(42

)


(1)

Excludes CVA/DVA in the first quarter of 2015, consistent with previous presentations. For additional information, see Notes 1 and 22 to the Consolidated Financial Statements.

NM Not meaningful



26



The discussion of the results of operations for Citi Holdings below excludes the impact of CVA/DVA for the first quarter of 2015. Presentations of the results of operations, excluding the impact of CVA/DVA, are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.


1Q16 vs. 1Q15

Net income was $346 million, compared to $152 million in the prior-year period, primarily due to lower expenses and lower net credit losses, partially offset by lower revenues and a lower net loan loss reserve release. Given the significant asset sales and declines in overall Citi Holdings' assets to date, as well as the higher level of net gains from asset sales in the current quarter (see below), Citi Holdings does not expect to generate the same level of net income as in the current quarter and expects to largely "break even" during the remainder of 2016.

Revenues decreased 31%, primarily driven by the overall wind-down of the portfolio, partially offset by higher net gains on asset sales in the current quarter.

Expenses declined 40%, primarily due to the ongoing decline in assets and lower legal and related costs, partially offset by higher repositioning costs.

Provisions decreased 63%, driven by lower net credit losses, partially offset by a lower net loss reserve release. Net credit losses declined 70%, primarily due to overall lower asset levels as well as continued improvements in North America mortgages. The net reserve release decreased 81% to $33 million, primarily due to the impact of asset sales.





27



OFF-BALANCE SHEET ARRANGEMENTS


The table below shows where a discussion of Citi's various off-balance sheet arrangements may be found in this Form 10-Q. For additional information on Citi's off-balance sheet arrangements, see "Off-Balance Sheet Arrangements" and Notes 1, 22 and 27 to the Consolidated Financial Statements in Citigroup's 2015 Annual Report on Form 10-K.


Types of Off-Balance Sheet Arrangements Disclosures in this Form  10-Q

Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEs

See Note 20 to the Consolidated Financial Statements.

Letters of credit, and lending and other commitments

See Note 24 to the Consolidated Financial Statements.

Guarantees

See Note 24 to the Consolidated Financial Statements.



28



CAPITAL RESOURCES

Overview

Capital is used principally to support assets in Citi's businesses and to absorb credit, market, and operational losses. Citi primarily generates capital through earnings from its operating businesses. Citi may augment its capital through issuances of common stock, noncumulative perpetual preferred stock and equity issued through awards under employee benefit plans, among other issuances. During the first quarter of 2016, Citi continued to raise capital through a noncumulative perpetual preferred stock issuance amounting to approximately $1.0 billion, resulting in a total of approximately $17.8 billion outstanding as of March 31, 2016 . In addition, during the first quarter of 2016, Citi returned a total of approximately $1.5 billion of capital to common shareholders in the form of share repurchases (approximately 31 million common shares) and dividends.

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 corporate and asset dispositions.


Capital Management

Citigroup'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. For additional information regarding Citi's capital management, see "Capital Resources-Capital Management" in Citigroup's 2015 Annual Report on Form 10-K.


Capital Planning and Stress Testing

Citi is subject to an annual assessment by the Federal Reserve Board as to whether Citi 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 additional information regarding Citi's capital planning and stress testing, see "Capital Resources-Current Regulatory Capital Standards- Capital Planning and Stress Testing" and "Risk Factors-Regulatory Risks" in Citigroup's 2015 Annual Report on Form 10-K.


Current Regulatory Capital Standards

Citi is subject to regulatory capital standards issued by the Federal Reserve Board which constitute the U.S. Basel III rules. These rules establish an integrated capital adequacy framework, encompassing both risk-based capital ratios and leverage ratios. For additional information regarding the risk-based capital ratios, Tier 1 Leverage ratio, and Supplementary Leverage ratio, see "Capital Resources-Current Regulatory Capital Standards" in Citigroup's 2015 Annual Report on Form 10-K.


GSIB Surcharge

The Federal Reserve Board also adopted a rule which imposes a risk-based capital surcharge upon U.S. bank holding companies that are identified as global systemically

important bank holding companies (GSIBs), including Citi. GSIB surcharges under the rule initially range from 1.0% to 4.5% of total risk-weighted assets. Citi's initial GSIB surcharge effective January 1, 2016 is 3.5%. However, Citi's efforts in addressing quantitative measures of its systemic importance have resulted in a reduction of Citi's estimated GSIB surcharge to 3%, effective January 1, 2017. For additional information regarding the identification of a GSIB and the methodology for annually determining the GSIB surcharge, see "Capital Resources-Current Regulatory Capital Standards-GSIB Surcharge" in Citigroup's 2015 Annual Report on Form 10-K.


Transition Provisions

The U.S. Basel III rules contain several differing, largely multi-year transition provisions (i.e., "phase-ins" and "phase-outs"). Citi considers all of these transition provisions as being fully implemented on January 1, 2019 (full implementation). For additional information regarding the transition provisions under the U.S. Basel III rules, including with respect to the GSIB surcharge, see "Capital Resources-Current Regulatory Capital Standards-Transition Provisions" in Citigroup's 2015 Annual Report on Form 10-K.




















29



Citigroup's Capital Resources Under Current Regulatory Standards

During 2015 and thereafter, Citi is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6% and 8%, respectively. Citi's effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2016, inclusive of the 25% phase-in of both the 2.5% Capital Conservation Buffer and 3.5% GSIB surcharge (all of which is to be composed of Common Equity Tier 1 Capital), are 6%, 7.5%, and 9.5%, respectively. Citi's effective and stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2015 were equivalent at 4.5%, 6%, and 8%, respectively.

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%, a Total Capital ratio of at least 10%, and not be subject to a Federal Reserve Board directive to maintain higher capital levels.

The following table sets forth the capital tiers, total risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citi as of March 31, 2016 and December 31, 2015 .



Citigroup Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)

March 31, 2016

December 31, 2015

In millions of dollars, except ratios

Advanced Approaches

Standardized Approach

Advanced Approaches

Standardized Approach

Common Equity Tier 1 Capital

$

169,924


$

169,924


$

173,862


$

173,862


Tier 1 Capital

178,091


178,091


176,420


176,420


Total Capital (Tier 1 Capital + Tier 2 Capital) (1)

201,658


214,472


198,746


211,115


Total Risk-Weighted Assets

1,210,107


1,148,945


1,190,853


1,138,711


Common Equity Tier 1 Capital ratio (2)

14.04

%

14.79

%

14.60

%

15.27

%

Tier 1 Capital ratio (2)

14.72


15.50


14.81


15.49


Total Capital ratio (2)

16.66


18.67


16.69


18.54


In millions of dollars, except ratios

March 31, 2016

December 31, 2015

Quarterly Adjusted Average Total Assets (3)

$

1,724,940


$

1,732,933


Total Leverage Exposure (4)

2,305,454


2,326,072


Tier 1 Leverage ratio

10.32

%

10.18

%

Supplementary Leverage ratio

7.72


7.58



(1)

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

(2)

As of March 31, 2016 and December 31, 2015 , Citi's reportable Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.

(3)

Tier 1 Leverage ratio denominator.

(4)

Supplementary Leverage ratio denominator.


As indicated in the table above, Citigroup's capital ratios at March 31, 2016 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citi was also "well capitalized" under current federal bank regulatory agency definitions as of March 31, 2016 .






30



Components of Citigroup Capital Under Current Regulatory Standards

(Basel III Advanced Approaches with Transition Arrangements)

In millions of dollars

March 31,
2016

December 31, 2015

Common Equity Tier 1 Capital

Citigroup common stockholders' equity (1)

$

209,947


$

205,286


Add: Qualifying noncontrolling interests

297


369


Regulatory Capital Adjustments and Deductions:

Less: Net unrealized gains (losses) on securities AFS, net of tax (2)(3)

451


(544

)

Less: Defined benefit plans liability adjustment, net of tax (3)

(2,232

)

(3,070

)

Less: Accumulated net unrealized losses on cash flow hedges, net of tax (4)

(300

)

(617

)

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

   attributable to own creditworthiness, net of tax (3)(5)

337


176


Less: Intangible assets:

   Goodwill, net of related deferred tax liabilities (DTLs) (6)

21,935


21,980


Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related

   DTLs (3)

1,999


1,434


Less: Defined benefit pension plan net assets (3)

522


318


Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general

   business credit carry-forwards (3)(7)

14,048


9,464


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

  and MSRs (3)(7)(8)

3,560


2,652


Total Common Equity Tier 1 Capital

$

169,924


$

173,862


Additional Tier 1 Capital

Qualifying perpetual preferred stock (1)

$

17,575


$

16,571


Qualifying trust preferred securities (9)

1,366


1,707


Qualifying noncontrolling interests

18


12


Regulatory Capital Adjustment and Deductions:

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

   attributable to own creditworthiness, net of tax (3)(5)

225


265


Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries (10)

228


229


Less: Defined benefit pension plan net assets (3)

348


476


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

   business credit carry-forwards (3)(7)

9,366


14,195


Less: Permitted ownership interests in covered funds (11)

625


567


Total Additional Tier 1 Capital

$

8,167


$

2,558


Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)

$

178,091


$

176,420


Tier 2 Capital

Qualifying subordinated debt (12)

$

22,664


$

21,370


Qualifying trust preferred securities (9)

337


-


Qualifying noncontrolling interests

25


17


Excess of eligible credit reserves over expected credit losses (13)

766


1,163


Regulatory Capital Adjustment and Deduction:

Add: Unrealized gains on AFS equity exposures includable in Tier 2 Capital

3


5


Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries (10)

228


229


Total Tier 2 Capital

$

23,567


$

22,326


Total Capital (Tier 1 Capital + Tier 2 Capital)

$

201,658


$

198,746



31



Citigroup Risk-Weighted Assets Under Current Regulatory Standards

(Basel III Advanced Approaches with Transition Arrangements)

In millions of dollars

March 31,
2016

December 31, 2015

Credit Risk (14)

$

807,758


$

791,036


Market Risk

77,349


74,817


Operational Risk

325,000


325,000


Total Risk-Weighted Assets

$

1,210,107


$

1,190,853



(1)

Issuance costs of $178 million and $147 million related to preferred stock outstanding at March 31, 2016 and December 31, 2015 , respectively, are excluded from common stockholders' equity and netted against preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.

(2)

In addition, includes the net amount of unamortized loss on HTM securities. This amount relates to securities that were previously transferred from AFS to HTM, and non-credit related factors such as changes in interest rates and liquidity spreads for HTM securities with other-than-temporary impairment.

(3)

The transition arrangements for significant regulatory capital adjustments and deductions impacting Common Equity Tier 1 Capital and/or Additional Tier 1 Capital are set forth in the chart entitled "Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions", as presented in Citigroup's 2015 Annual Report on Form 10-K.

(4)

Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in AOCI that relate to the hedging of items not recognized at fair value on the balance sheet.

(5)

The cumulative impact of changes in Citigroup's own creditworthiness in valuing liabilities for which the fair value option has been elected and own-credit valuation adjustments on derivatives are excluded from Common Equity Tier 1 Capital, in accordance with the U.S. Basel III rules.

(6)

Includes goodwill "embedded" in the valuation of significant common stock investments in unconsolidated financial institutions.

(7)

Of Citi's approximately $46.3 billion of net DTAs at March 31, 2016 , approximately $21.0 billion of such assets were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $25.3 billion of such assets were excluded in arriving at regulatory capital. Comprising the excluded net DTAs was an aggregate of approximately $27.0 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences, of which $17.6 billion were deducted from Common Equity Tier 1 Capital and $9.4 billion were deducted from Additional Tier 1 Capital. Serving to reduce the approximately $27.0 billion of aggregate excluded net DTAs was approximately $1.7 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital.

(8)

Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At March 31, 2016 and December 31, 2015, the deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation.

(9)

Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules, as well as non-grandfathered trust preferred securities which are eligible for inclusion in Tier 1 Capital during 2015 in an amount up to 25% of the aggregate outstanding principal amounts of such issuances as of January 1, 2014. The remaining 75% of non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital during 2015 in accordance with the transition arrangements for non-qualifying capital instruments under the U.S. Basel III rules. As of December 31, 2015, however, the entire amount of non-grandfathered trust preferred securities was included within Tier 1 Capital, as the amounts outstanding did not exceed the respective threshold for exclusion from Tier 1 Capital. Effective January 1, 2016, non-grandfathered trust preferred securities are not eligible for inclusion in Tier 1 Capital, but are eligible for inclusion in Tier 2 Capital subject to full phase-out by January 1, 2022. During 2016, non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital in an amount up to 60% of the aggregate outstanding principal amounts of such issuances as of January 1, 2014.

(10)

50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.

(11)

Effective July 2015, banking entities are required to be in compliance with the so-called "Volcker Rule" of the Dodd-Frank Act that prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the "Volcker Rule" to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013.

(12)

Under the transition arrangements of the U.S. Basel III rules, non-qualifying subordinated debt issuances which consist of those with a fixed-to-floating rate step-up feature where the call/step-up date has not passed are eligible for inclusion in Tier 2 Capital during 2015 up to 25% of the aggregate outstanding principal amounts of such issuances as of January 1, 2014. Effective January 1, 2016, non-qualifying subordinated debt issuances are not eligible for inclusion in Tier 2 Capital.

(13)

Advanced Approaches banking organizations are permitted to include in Tier 2 Capital eligible credit reserves that exceed expected credit losses to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets.

(14)

Under the U.S. Basel III rules, credit risk-weighted assets during the transition period reflect the effects of transitional arrangements related to regulatory capital adjustments and deductions and, as a result, will differ from credit risk-weighted assets derived under full implementation of the rules.


32



Citigroup Capital Rollforward Under Current Regulatory Standards

(Basel III Advanced Approaches with Transition Arrangements)

In millions of dollars

Three Months Ended 
 March 31, 2016

Common Equity Tier 1 Capital

Balance, beginning of period

$

173,862


Net income

3,501


Common and preferred dividends declared

(359

)

Net increase in treasury stock

(547

)

Net decrease in common stock and additional paid-in capital (1)

(667

)

Net increase in foreign currency translation adjustment net of hedges, net of tax

654


Net increase in unrealized gains on securities AFS, net of tax (2)

1,039


Net increase in defined benefit plans liability adjustment, net of tax (2)

(1,303

)

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

    own creditworthiness, net of tax

32


Net decrease in goodwill, net of related deferred tax liabilities (DTLs)

45


Net increase in identifiable intangible assets other than mortgage servicing rights (MSRs),

    net of related DTLs

(565

)

Net increase in defined benefit pension plan net assets

(204

)

Net increase in deferred tax assets (DTAs) arising from net operating loss, foreign

    tax credit and general business credit carry-forwards

(4,584

)

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

    investments and MSRs

(908

)

Other

(72

)

Net decrease in Common Equity Tier 1 Capital

$

(3,938

)

Common Equity Tier 1 Capital Balance, end of period

$

169,924


Additional Tier 1 Capital

Balance, beginning of period

$

2,558


Net increase in qualifying perpetual preferred stock (3)

1,004


Net decrease in qualifying trust preferred securities

(341

)

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

    own creditworthiness, net of tax

40


Net decrease in defined benefit pension plan net assets

128


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

    business credit carry-forwards

4,829


Net increase in permitted ownership interests in covered funds

(58

)

Other

7


Net increase in Additional Tier 1 Capital

$

5,609


Tier 1 Capital Balance, end of period

$

178,091


Tier 2 Capital

Balance, beginning of period

$

22,326


Net increase in qualifying subordinated debt

1,294


Net increase in qualifying trust preferred securities

337


Net decrease in excess of eligible credit reserves over expected credit losses

(397

)

Other

7


Net increase in Tier 2 Capital

$

1,241


Tier 2 Capital Balance, end of period

$

23,567


Total Capital (Tier 1 Capital + Tier 2 Capital)

$

201,658



(1)

Issuance costs of $31 million related to preferred stock issued during the three months ended March 31, 2016 are excluded from common stockholders' equity and netted against preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.

(2)

Presented net of the impact of transition arrangements related to unrealized gains (losses) on securities AFS and defined benefit plans liability adjustment under the U.S. Basel III rules.

(3)

Citi issued approximately $1.0 billion of qualifying perpetual preferred stock during the three months ended March 31, 2016 , which was partially offset by the netting of issuance costs of $31 million.



33



Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards

(Basel III Advanced Approaches with Transition Arrangements)

In millions of dollars

Three Months Ended 
 March 31, 2016

 Total Risk-Weighted Assets, beginning of period

$

1,190,853


Changes in Credit Risk-Weighted Assets

Net decrease in retail exposures (1)

(7,914

)

Net increase in wholesale exposures (2)

2,389


Net increase in repo-style transactions (3)

3,853


Net increase in securitization exposures

1,686


Net increase in equity exposures

591


Net increase in over-the-counter (OTC) derivatives (4)

7,538


Net increase in derivatives CVA (5)

10,920


Net decrease in other exposures (6)

(2,669

)

Net increase in supervisory 6% multiplier (7)

328


Net increase in Credit Risk-Weighted Assets

$

16,722


Changes in Market Risk-Weighted Assets

Net increase in risk levels (8)

$

5,304


Net decrease due to model and methodology updates (9)

(2,772

)

Net increase in Market Risk-Weighted Assets

$

2,532


Net change in Operational Risk-Weighted Assets

$

-


Total Risk-Weighted Assets, end of period

$

1,210,107



(1)

Retail exposures decreased during the three months ended March 31, 2016 primarily due to reductions in cards exposures attributable to seasonal holiday spending repayments, residential mortgage sales and runoffs, and divestitures within the Citi Holdings portfolio, partially offset by an increase in other retail exposures.

(2)

Wholesale exposures increased during the three months ended March 31, 2016 primarily due to an increase in loans held for sale and the impact of FX translation, partially offset by a decrease in commitments.

(3)

Repo-style transactions increased during the three month ended March 31, 2016 primarily driven by market related movements and model enhancements.

(4)

OTC derivatives increased during the three months ended March 31, 2016 primarily driven by an increase in exposures and volatility, as well as model enhancements.

(5)

Derivatives CVA increased during the three months ended March 31, 2016 primarily driven by increased volatility and model enhancements.

(6)

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

(7)

Supervisory 6% multiplier does not apply to derivatives CVA.

(8)

Risk levels increased during the three months ended March 31, 2016 primarily due to an increase in exposure levels subject to Value at Risk and Stressed Value at Risk as well as an increase in assets subject to standard specific risk charges, partially offset by a reduction in positions subject to securitization charges and the ongoing assessment regarding the applicability of the market risk capital rules to certain securitization positions.

(9)

Risk-weighted assets declined during the three months ended March 31, 2016 due to updated model volatility inputs. 



34



Capital Resources of Citigroup's Subsidiary U.S. Depository Institutions Under Current Regulatory Standards

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

During 2016, Citi's primary subsidiary U.S. depository institution, Citibank, is subject to effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios, inclusive of the 25% phase-in of the 2.5% Capital Conservation Buffer, of 5.125%, 6.625% and

8.625%, respectively. Citibank's effective and stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2015 were equivalent at 4.5%, 6%, and 8%, respectively.

The following table sets forth the capital tiers, total risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citibank, Citi's primary subsidiary U.S. depository institution, as of March 31, 2016 and December 31, 2015 .


Citibank Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)

March 31, 2016

December 31, 2015

In millions of dollars, except ratios

Advanced Approaches

Standardized Approach

Advanced Approaches

Standardized Approach

Common Equity Tier 1 Capital

$

128,899


$

128,899


$

127,323


$

127,323


Tier 1 Capital

128,899


128,899


127,323


127,323


Total Capital (Tier 1 Capital + Tier 2 Capital) (1)

140,163


151,413


138,762


149,749


Total Risk-Weighted Assets

920,220


1,007,790


898,769


999,014


Common Equity Tier 1 Capital ratio (2)(3)

14.01

%

12.79

%

14.17

%

12.74

%

Tier 1 Capital ratio (2)(3)

14.01


12.79


14.17


12.74


Total Capital ratio (2)(3)

15.23


15.02


15.44


14.99


In millions of dollars, except ratios

March 31, 2016

December 31, 2015

Quarterly Adjusted Average Total Assets (4)

$

1,305,264


$

1,298,560


Total Leverage Exposure (5)

1,841,046


1,838,941


Tier 1 Leverage ratio (3)

9.88

%

9.80

%

Supplementary Leverage ratio

7.00


6.92



(1)

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

(2)

As of March 31, 2016 and December 31, 2015, Citibank's reportable Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Standardized Approach framework.

(3)

Beginning January 1, 2015, Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital, and Tier 1 Leverage ratios of 6.5%, 8%, 10% and 5%, 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. For additional information, see "Capital Resources-Current Regulatory Capital Standards-Prompt Corrective Action Framework" in Citigroup's 2015 Annual Report on Form 10-K.

(4)

Tier 1 Leverage ratio denominator.

(5)

Supplementary Leverage ratio denominator.


As indicated in the table above, Citibank's capital ratios at March 31, 2016 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also "well capitalized" as of

March 31, 2016 under the revised PCA regulations which became effective January 1, 2015.




35



Impact of Changes on Citigroup and Citibank Capital Ratios Under Current Regulatory Capital Standards

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

Advanced Approaches and Standardized Approach risk-weighted assets, quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), under current regulatory capital standards (reflecting Basel III

Transition Arrangements), as of March 31, 2016 . 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.



Impact of Changes on Citigroup and Citibank Risk-Based Capital Ratios (Basel III Transition Arrangements)

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

1.2

0.8

1.2

0.8

1.4

Standardized Approach

0.9

1.3

0.9

1.4

0.9

1.6

Citibank

Advanced Approaches

1.1

1.5

1.1

1.5

1.1

1.7

Standardized Approach

1.0

1.3

1.0

1.3

1.0

1.5


Impact of Changes on Citigroup and Citibank Leverage Ratios (Basel III Transition Arrangements)

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

0.6

0.6

0.4

0.3

Citibank

0.8

0.8

0.5

0.4


Citigroup Broker-Dealer Subsidiaries

At March 31, 2016 , 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 approximately $7.0 billion, which exceeded the minimum requirement by approximately $5.6 billion.

Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom's Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total capital of $17.8 billion at March 31, 2016, 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 broker-dealer subsidiaries were in compliance with

their capital requirements at March 31, 2016 .














36



Basel III (Full Implementation)


Citigroup's Capital Resources Under Basel III

(Full Implementation)

Citi currently estimates that its effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratio requirements under the U.S. Basel III rules, on a fully implemented basis, inclusive of the 2.5% Capital Conservation Buffer and the Countercyclical Capital Buffer at its current level of 0%, as well as assuming a 3% GSIB surcharge, may be 10%, 11.5% and 13.5%, respectively.

Further, under the U.S. Basel III rules, Citi must also comply with a 4% minimum Tier 1 Leverage ratio requirement and an effective 5% minimum Supplementary Leverage ratio requirement.

The following table sets forth the capital tiers, total risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios, assuming full implementation under the U.S. Basel III rules, for Citi as of March 31, 2016 and

December 31, 2015 .

Citigroup Capital Components and Ratios Under Basel III (Full Implementation)

March 31, 2016

December 31, 2015

In millions of dollars, except ratios

Advanced Approaches

Standardized Approach

Advanced Approaches

Standardized Approach

Common Equity Tier 1 Capital

$

153,023


$

153,023


$

146,865


$

146,865


Tier 1 Capital

171,142


171,142


164,036


164,036


Total Capital (Tier 1 Capital + Tier 2 Capital) (1)

194,721


207,805


186,097


198,655


Total Risk-Weighted Assets

1,239,575


1,177,015


1,216,277


1,162,884


Common Equity Tier 1 Capital ratio (2)(3)

12.34

%

13.00

%

12.07

%

12.63

%

Tier 1 Capital ratio (2)(3)

13.81


14.54


13.49


14.11


Total Capital ratio (2)(3)

15.71


17.66


15.30


17.08


In millions of dollars, except ratios

March 31, 2016

December 31, 2015

Quarterly Adjusted Average Total Assets (4)

$

1,719,913


$

1,724,710


Total Leverage Exposure (5)

2,300,427


2,317,849


Tier 1 Leverage ratio (3)

9.95

%

9.51

%

Supplementary Leverage ratio (3)

7.44


7.08



(1)

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

(2)

As of March 31, 2016 and December 31, 2015 , Citi's Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.

(3)

Citi's Basel III capital ratios and related components, on a fully implemented basis, are non-GAAP financial measures.

(4)

Tier 1 Leverage ratio denominator.


(5)

Supplementary Leverage ratio denominator.



37



Common Equity Tier 1 Capital Ratio

Citi's Common Equity Tier 1 Capital ratio was 12.3% at March 31, 2016 , compared to 12.1% at December 31, 2015 (all based on application of the Advanced Approaches for determining total risk-weighted assets). The quarter-over-quarter increase in the ratio was largely attributable to quarterly net income of $3.5 billion, beneficial net movements in AOCI, and the favorable effects attributable to DTA utilization of approximately $1.6 billion, offset in part by an increase in risk-weighted assets as well as the return of approximately $1.5 billion of capital to common

shareholders.

Components of Citigroup Capital Under Basel III (Advanced Approaches with Full Implementation)

In millions of dollars

March 31,
2016

December 31, 2015

Common Equity Tier 1 Capital

Citigroup common stockholders' equity (1)

$

209,947


$

205,286


Add: Qualifying noncontrolling interests

143


145


Regulatory Capital Adjustments and Deductions:

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

(300

)

(617

)

Less: Cumulative unrealized net gain related to changes in fair value of

   financial liabilities attributable to own creditworthiness, net of tax (3)

562


441


Less: Intangible assets:

  Goodwill, net of related deferred tax liabilities (DTLs) (4)

21,935


21,980


    Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs

3,332


3,586


Less: Defined benefit pension plan net assets

870


794


Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general

   business credit carry-forwards (5)

23,414


23,659


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

  and MSRs (5)(6)

7,254


8,723


Total Common Equity Tier 1 Capital

$

153,023


$

146,865


Additional Tier 1 Capital

Qualifying perpetual preferred stock (1)

$

17,575


$

16,571


Qualifying trust preferred securities (7)

1,366


1,365


Qualifying noncontrolling interests

31


31


Regulatory Capital Deductions:

Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries (8)

228


229


Less: Permitted ownership interests in covered funds (9)

625


567


Total Additional Tier 1 Capital

$

18,119


$

17,171


Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)

$

171,142


$

164,036


Tier 2 Capital

Qualifying subordinated debt (10)

$

22,664


$

20,744


Qualifying trust preferred securities (11)

337


342


Qualifying noncontrolling interests

40


41


Excess of eligible credit reserves over expected credit losses (12)

766


1,163


Regulatory Capital Deduction:

Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries (8)

228


229


Total Tier 2 Capital

$

23,579


$

22,061


Total Capital (Tier 1 Capital + Tier 2 Capital) (13)

$

194,721


$

186,097



(1)

Issuance costs of $178 million and $147 million related to preferred stock outstanding at March 31, 2016 and December 31, 2015 , respectively, are excluded from common stockholders' equity and netted against preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.



38



(2)

Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in AOCI that relate to the hedging of items not recognized at fair value on the balance sheet.

(3)

The cumulative impact of changes in Citigroup's own creditworthiness in valuing liabilities for which the fair value option has been elected and own-credit valuation adjustments on derivatives are excluded from Common Equity Tier 1 Capital, in accordance with the U.S. Basel III rules.

(4)

Includes goodwill "embedded" in the valuation of significant common stock investments in unconsolidated financial institutions.

(5)

Of Citi's approximately $46.3 billion of net DTAs at March 31, 2016 , approximately $17.3 billion of such assets were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $29.0 billion of such assets were excluded in arriving at Common Equity Tier 1 Capital. Comprising the excluded net DTAs was an aggregate of approximately $30.7 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences that were deducted from Common Equity Tier 1 Capital. Serving to reduce the approximately $30.7 billion of aggregate excluded net DTAs was approximately $1.7 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital.

(6)

Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At March 31, 2016 and December 31, 2015, the deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation.

(7)

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

(8)

50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.

(9)

Effective July 2015, banking entities are required to be in compliance with the "Volcker Rule" of the Dodd-Frank Act that prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the "Volcker Rule" to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013.

(10)

Non-qualifying subordinated debt issuances which consist of those with a fixed-to-floating rate step-up feature where the call/step-up date has not passed are excluded from Tier 2 Capital.

(11)

Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.

(12)

Advanced Approaches banking organizations are permitted to include in Tier 2 Capital eligible credit reserves that exceed expected credit losses to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets.

(13)

Total Capital as calculated under Advanced Approaches, which differs from the Standardized Approach in the treatment of the amount of eligible credit reserves includable in Tier 2 Capital.










39



Citigroup Capital Rollforward Under Basel III (Advanced Approaches with Full Implementation)

In millions of dollars

Three Months Ended 
 March 31, 2016

Common Equity Tier 1 Capital

Balance, beginning of period

$

146,865


Net income

3,501


Common and preferred dividends declared

(359

)

Net increase in treasury stock

(547

)

Net decrease in common stock and additional paid-in capital (1)

(667

)

Net increase in foreign currency translation adjustment net of hedges, net of tax

654


Net increase in unrealized gains on securities AFS, net of tax

2,034


Net increase in defined benefit plans liability adjustment, net of tax

(465

)

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

    own creditworthiness, net of tax

72


Net decrease in goodwill, net of related deferred tax liabilities (DTLs)

45


Net decrease in identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs

254


Net increase in defined benefit pension plan net assets

(76

)

Net decrease in deferred tax assets (DTAs) arising from net operating loss, foreign

    tax credit and general business credit carry-forwards

245


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

    investments and MSRs

1,469


Other

(2

)

Net increase in Common Equity Tier 1 Capital

$

6,158


Common Equity Tier 1 Capital Balance, end of period

$

153,023


Additional Tier 1 Capital

Balance, beginning of period

$

17,171


Net increase in qualifying perpetual preferred stock (2)

1,004


Net increase in qualifying trust preferred securities

1


Net increase in permitted ownership interests in covered funds

(58

)

Other

1


Net increase in Additional Tier 1 Capital

$

948


Tier 1 Capital Balance, end of period

$

171,142


Tier 2 Capital

Balance, beginning of period

$

22,061


Net increase in qualifying subordinated debt

1,920


Net decrease in excess of eligible credit reserves over expected credit losses

(397

)

Other

(5

)

Net increase in Tier 2 Capital

$

1,518


Tier 2 Capital Balance, end of period

$

23,579


Total Capital (Tier 1 Capital + Tier 2 Capital)

$

194,721



(1)

Issuance costs of $31 million related to preferred stock issued during the three months ended March 31, 2016 are excluded from common stockholders' equity and netted against preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.

(2)

Citi issued approximately $1.0 billion of qualifying perpetual preferred stock during the three months ended March 31, 2016 , which was partially offset by the netting of issuance costs of $31 million.










40



Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at March 31, 2016

Advanced Approaches

Standardized Approach

In millions of dollars

Citicorp

Citi Holdings

Total

Citicorp

Citi Holdings

Total

Credit Risk

$

757,485


$

79,741


$

837,226


$

1,026,201


$

73,147


$

1,099,348


Market Risk

75,864


1,485


77,349


76,140


1,527


77,667


Operational Risk

275,921


49,079


325,000


-


-


-


Total Risk-Weighted Assets

$

1,109,270


$

130,305


$

1,239,575


$

1,102,341


$

74,674


$

1,177,015



Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at December 31, 2015

Advanced Approaches

Standardized Approach

In millions of dollars

Citicorp

Citi Holdings

Total

Citicorp

Citi Holdings

Total

Credit Risk

$

731,515


$

84,945


$

816,460


$

1,008,951


$

78,748


$

1,087,699


Market Risk

70,701


4,116


74,817


71,015


4,170


75,185


Operational Risk

275,921


49,079


325,000


-


-


-


Total Risk-Weighted Assets

$

1,078,137


$

138,140


$

1,216,277


$

1,079,966


$

82,918


$

1,162,884



Total risk-weighted assets under both the Basel III Advanced Approaches and the Standardized Approach increased from year-end 2015 primarily due to an increase in credit risk-weighted assets resulting from higher derivative exposures and the impact of FX translation, partially offset by a reduction in cards exposures as well as the ongoing decline in Citi Holdings assets. In addition, further contributing to the increase in credit risk-weighted assets under the Advanced Approaches were infrastructure enhancements related to OTC derivatives and derivatives CVA.



















































41



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

In millions of dollars

Three Months Ended 
 March 31, 2016

 Total Risk-Weighted Assets, beginning of period

$

1,216,277


Changes in Credit Risk-Weighted Assets

Net decrease in retail exposures (1)

(7,914

)

Net increase in wholesale exposures (2)

2,389


Net increase in repo-style transactions (3)

3,853


Net increase in securitization exposures

1,686


Net increase in equity exposures

894


Net increase in over-the-counter (OTC) derivatives (4)

7,538


Net increase in derivatives CVA (5)

10,920


Net increase in other exposures (6)

843


Net increase in supervisory 6% multiplier (7)

557


Net increase in Credit Risk-Weighted Assets

$

20,766


Changes in Market Risk-Weighted Assets

Net increase in risk levels (8)

$

5,304


Net decrease due to model and methodology updates (9)

(2,772

)

Net increase in Market Risk-Weighted Assets

$

2,532


Net change in Operational Risk-Weighted Assets

$

-


Total Risk-Weighted Assets, end of period

$

1,239,575



(1)

Retail exposures decreased during the three months ended March 31, 2016 primarily due to reductions in qualifying revolving (cards) exposures attributable to seasonal holiday spending repayments, residential mortgage sales and runoffs, and divestitures within the Citi Holdings portfolio, partially offset by an increase in other retail exposures.

(2)

Wholesale exposures increased during the three months ended March 31, 2016 primarily due to an increase in loans held for sale and the impact of FX translation, partially offset by a decrease in commitments.

(3)

Repo-style transactions increased during the three month ended March 31, 2016 primarily driven by market related movements and model enhancements.

(4)

OTC derivatives increased during the three months ended March 31, 2016 primarily driven by an increase in exposures and volatility, as well as model enhancements.

(5)

Derivatives CVA increased during the three months ended March 31, 2016 primarily driven by increased volatility and model enhancements.

(6)

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

(7)

Supervisory 6% multiplier does not apply to derivatives CVA.

(8)

Risk levels increased during the three months ended March 31, 2016 primarily due to an increase in exposure levels subject to Value at Risk and Stressed Value at Risk as well as an increase in assets subject to standard specific risk charges, partially offset by a reduction in positions subject to securitization charges and the ongoing assessment regarding the applicability of the market risk capital rules to certain securitization positions.

(9)

Risk-weighted assets declined during the three months ended March 31, 2016 due to updated model volatility inputs. 



42



Supplementary Leverage Ratio

Citigroup's Supplementary Leverage ratio was 7.4% for the first quarter of 2016, compared to 7.1% for the fourth quarter of 2015. The growth in the ratio quarter-over-quarter was principally driven by an increase in Tier 1 Capital attributable largely to quarterly net income of $3.5 billion, favorable net changes in AOCI components, the beneficial effects associated with approximately $1.6 billion of DTA utilization, as well as an overall reduction in Total Leverage Exposure resulting from a net decrease in

on-balance sheet assets and reductions in certain derivative

and other off-balance sheet exposures, partially offset by the return of approximately $1.5 billion of capital to common shareholders.

The following table sets forth Citi's Supplementary Leverage ratio and related components, assuming full implementation under the U.S. Basel III rules, for the three

months ended March 31, 2016 and December 31, 2015.




Citigroup Basel III Supplementary Leverage Ratio and Related Components (Full Implementation)

In millions of dollars, except ratios

March 31, 2016

December 31, 2015

Tier 1 Capital

$

171,142


$

164,036


Total Leverage Exposure (TLE)

On-balance sheet assets (1)

$

1,777,571


$

1,784,248


Certain off-balance sheet exposures: (2)

   Potential future exposure (PFE) on derivative contracts

203,694


206,128


   Effective notional of sold credit derivatives, net (3)

70,973


76,923


   Counterparty credit risk for repo-style transactions (4)

26,381


25,939


   Unconditionally cancellable commitments

57,306


58,699


   Other off-balance sheet exposures

222,160


225,450


Total of certain off-balance sheet exposures

$

580,514


$

593,139


Less: Tier 1 Capital deductions

57,658


59,538


Total Leverage Exposure

$

2,300,427


$

2,317,849


Supplementary Leverage ratio

7.44

%

7.08

%


(1)

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

(2)

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

(3)

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


(4)

Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions.


Citibank's Supplementary Leverage ratio, assuming full implementation under the U.S. Basel III rules, was 6.9% for the first quarter of 2016, compared to 6.7% for the fourth quarter of 2015. The growth in the ratio quarter-over-quarter was principally driven by Tier 1 Capital benefits resulting from quarterly net income, favorable movements in certain AOCI components, and DTA utilization, partially offset by cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup.





43



Regulatory Capital Standards Developments

For additional information regarding other recent regulatory capital standards developments, see "Capital Resources-Regulatory Capital Standards Developments" in Citigroup's 2015 Annual Report on Form 10-K.

Standardized Measurement Approach for Operational Risk

In March 2016, the Basel Committee on Banking Supervision (Basel Committee) issued a consultative document which proposes revisions to the operational risk capital framework applicable to the Advanced Approaches for calculating risk-weighted assets. The consultative document introduces the Standardized Measurement Approach (SMA).

Operational risk capital is derived under the SMA through the combination of two components, a so-called "Business Indicator Component" and a "Loss Component". The Business Indicator Component, primarily reflective of various income statement elements (i.e., a modified gross income indicator), is calculated as the sum of the three year average of its components. The Loss Component reflects the operational loss exposure of a banking organization that can be inferred from internal loss experience, and is based on a 10 year average. Moreover, the Loss Component distinguishes between, and weighs more heavily, loss events above €10 million and €100 million. The Loss Component is translated into an Internal Loss Multiplier which modifies the Business Indicator Component in deriving a banking organization's operational risk capital requirement. The Internal Loss Multiplier was calibrated by the Basel Committee such that a banking organization with operational losses on par with the industry average will have a multiplier of approximately 1 (i.e., an operational risk capital requirement substantially equal to its Business Indicator Component).   

Prior to finalizing the proposal, the Basel Committee will be conducting a comprehensive quantitative impact study so as to assist with assessing the final design and calibration of the operational risk capital framework. If the U.S. banking agencies were to adopt the Basel Committee's proposal unchanged, Citi's operational risk-weighted assets could increase significantly.


Reducing Variation in Credit Risk-Weighted Assets - Constraints on the Use of Internal Model Approaches

In March 2016, the Basel Committee issued a consultative document which proposes to revise the internal ratings-based approaches (IRB) in order to reduce complexity and excessive variability between banking organizations in the derivation of credit risk-weighted assets. The proposal revises the IRB approaches, in part, by prohibiting the use of such approaches for certain so-called "low default" exposures, including those to banks and other financial institutions, as well as large corporations. Moreover, the proposal also prohibits the use of the IRB approaches for

equity exposures in the banking book.

Additionally, in order to ensure a minimum level of conservatism, simplicity and comparability for other exposures where the IRB approaches would still be permissible, the proposal establishes floors by exposure type regarding the estimation of certain model parameters used in the derivation of credit risk-weighted assets, and also provides greater specification as to permissible parameter estimation practices under the IRB approaches.

Further, the proposal indicates the Basel Committee is considering whether to impose an aggregate capital floor which would be calibrated in the range of 60% - 90% of total risk-weighted assets as calculated under the Basel Committee's standardized approaches.

The U.S. banking agencies may revise the Advanced Approaches under the U.S. Basel III rules in the future, based on any revisions adopted by the Basel Committee.


Revisions to the Basel III Leverage Ratio Framework

In April 2016, the Basel Committee issued a consultative document which proposes certain revisions as to the design and calibration of the Basel III leverage ratio (similar to the U.S. Basel III Supplementary Leverage ratio). Among the proposed revisions are those with respect to the exposure measure (i.e., the denominator of the ratio) in relation to the treatment of derivative exposures, provisions, and off-balance sheet exposures.

Additionally, the proposal also requests feedback from market participants as to the form in which any higher Basel III leverage ratio requirement may be imposed on banking organizations identified as GSIBs.





44



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

Tangible common equity (TCE), as currently defined by Citi, represents common equity less goodwill and other intangible assets (other than MSRs). Other companies may calculate TCE in a different manner. TCE and tangible book



value per share are non-GAAP financial measures.








In millions of dollars or shares, except per share amounts

March 31,
2016

December 31, 2015

Total Citigroup stockholders' equity

$

227,522


$

221,857


Less: Preferred stock

17,753


16,718


Common equity

$

209,769


$

205,139


Less:

    Goodwill

22,575


22,349


    Intangible assets (other than MSRs)

3,493


3,721


    Goodwill and intangible assets (other than MSRs) related to assets held-for-sale

30


68


Tangible common equity (TCE)

$

183,671


$

179,001


Common shares outstanding (CSO)

2,934.9


2,953.3


Tangible book value per share (TCE/CSO)

$

62.58


$

60.61


Book value per share (Common equity/CSO)

$

71.47


$

69.46







45



Managing Global Risk Table of Contents


MANAGING GLOBAL RISK

47


CREDIT RISK (1)

48


  Consumer Credit

48


  Corporate Credit

54


  Commercial Credit -GCB  Commercial Banking Exposure to the Energy and Energy-Related Sector

56


  Additional Consumer and Corporate Credit Details

57


 Loans Outstanding

57


       Details of Credit Loss Experience

58


       Allowance for Loan Losses

60


       Non-Accrual Loans and Assets and Renegotiated Loans

61


LIQUIDITY RISK

66


       High-Quality Liquid Assets (HQLA)

66


       Loans

66


       Deposits

67


       Long-Term Debt

67


       Secured Funding Transactions and Short-Term Borrowings

69


       Liquidity Coverage Ratio (LCR)

70


       Credit Ratings

71


MARKET RISK (1)

73


  Market Risk of Non-Trading Portfolios (including Interest Rate and FX Rate Exposures and Net Interest Margin)

73


  Market Risk of Trading Portfolios (including Value at Risk)

80


COUNTRY RISK

82



(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.



46



MANAGING GLOBAL RISK


For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi's risk management process has been designed to monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi's mission and value proposition, the key principles that guide it, and Citi's risk appetite.

For more information on Citi's management of global risk, including its three lines of defense, see "Managing Global Risk" in Citi's 2015 Annual Report on Form 10-K.






47



CREDIT RISK


For additional information on credit risk, including Citi's credit risk management, measurement and stress testing, see "Credit Risk" and "Risk Factors" in Citi's 2015 Annual Report on Form 10-K.


CONSUMER CREDIT


North America Consumer Mortgage Lending


Overview

Citi's North America consumer mortgage portfolio consists of both residential first mortgages and home equity loans. At March 31, 2016 , Citi's North America consumer mortgage portfolio was $78.7 billion (compared to $79.7 billion at December 31, 2015), of which the residential first mortgage portfolio was $56.8 billion (compared to $56.9 billion at December 31, 2015), and the home equity loan portfolio was $21.9 billion (compared to $22.8 billion at December 31, 2015). At March 31, 2016 , $17.6 billion of residential first mortgages were recorded in Citi Holdings, with the remaining $39.2 billion recorded in Citicorp. At March 31, 2016 , $18.2 billion of home equity loans was recorded in Citi Holdings, with the remaining $3.7 billion recorded in Citicorp.

For additional information on Citi's North America consumer mortgage portfolio, see Note 14 to the Consolidated Financial Statements and "Credit Risk- North America Consumer Mortgage Lending" in Citi's 2015 Annual Report on Form 10-K.


North America Consumer Mortgage Quarterly Credit Trends-Net Credit Losses and Delinquencies-Residential First Mortgages

The following charts detail the quarterly credit trends for Citi's residential first mortgage portfolio in North America .

North America Residential First Mortgage - EOP Loans

In billions of dollars

North America Residential First Mortgage - Net Credit Losses

In millions of dollars

Note: CMI refers to loans originated by CitiMortgage. CFNA refers to loans originated by CitiFinancial. Totals may not sum due to rounding.

(1)

Decrease in 4Q'15 EOP loans primarily reflects the transfer of CFNA residential first mortgages to held-for-sale and classification as Other assets at year-end 2015. This transfer did not impact net credit losses in 4Q'15.

(2)

Decrease in 1Q'16 net credit losses primarily reflects the transfer of CFNA residential first mortgage to held-for-sale and classification as Other assets at year-end 2015.

(3)

Year-over-year change in the S&P/Case-Shiller U.S. National Home Price Index.

(4)

Year-over-year change as of January 2016.


North America Residential First Mortgage Delinquencies-Citi Holdings

In billions of dollars

Note: Days past due excludes (i) U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies because the potential loss predominantly resides with the U.S. agencies, and (ii) loans recorded at fair value. Totals may not sum due to rounding.

(1)

Decrease in 4Q'15 delinquencies primarily reflects the transfer of CFNA residential first mortgages to held-for-sale and classification as Other assets at year-end 2015.


Net credit losses in the North America residential first mortgage portfolio significantly improved during the first quarter of 2016 primarily due to the transfer of the CitiFinancial loans to held-for-sale at year-end 2015 as well as improvements in the home price index (HPI).

Overall improvement in delinquencies during the quarter was largely driven by asset sales and continued overall improvement in economic performance. Credit performance from quarter to quarter could continue to be impacted by the amount of delinquent loan sales or transfers to held-for-sale, as well as overall trends in HPI and interest rates.




48



North America Residential First Mortgages-State Delinquency Trends

The following tables set forth the six U.S. states and/or regions with the highest concentration of Citi's residential first mortgages.


In billions of dollars

March 31, 2016

December 31, 2015

State (1)

ENR (2)

ENR

Distribution

90+DPD

%

%

LTV >

100% (3)

Refreshed

FICO

ENR (2)

ENR

Distribution

90+DPD

%

%

LTV >

100% (3)

Refreshed

FICO

CA

$

19.6


38

%

0.3

%

1

%

754


$

19.2


37

%

0.2

%

1

%

754


NY/NJ/CT (4)

13.0


25


0.7


1


752


12.7


25


0.8


1


751


VA/MD

2.2


4


1.2


4


719


2.2


4


1.2


2


719


IL (4)

2.2


4


1.0


5


736


2.2


4


1.0


3


735


FL (4)

2.2


4


0.9


3


725


2.2


4


1.1


4


723


TX

1.9


4


0.9


-


713


1.9


4


1.0


-


711


Other

10.7


21


1.2


2


711


11.0


21


1.3


2


710


Total

$

51.8


100

%

0.7

%

1

%

740


$

51.5


100

%

0.7

%

1

%

738



Note: Totals may not sum due to rounding.

(1)

Certain of the states are included as part of a region based on Citi's view of similar HPI within the region.

(2)

Ending net receivables. Excludes loans in Canada and Puerto Rico, loans guaranteed by U.S. government agencies, loans recorded at fair value and loans subject to long term standby commitments (LTSCs). Excludes balances for which FICO or LTV data are unavailable.

(3)

LTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data.

(4)

New York, New Jersey, Connecticut, Florida and Illinois are judicial states.

Foreclosures

A substantial majority of Citi's foreclosure inventory consists of residential first mortgages. At March 31, 2016 , Citi's foreclosure inventory included approximately $0.1 billion, or 0.2%, of the total residential first mortgage portfolio, unchanged from December 31, 2015, based on the dollar amount of ending net receivables of loans in foreclosure inventory, excluding loans that are guaranteed by U.S. government agencies and loans subject to LTSCs.


North America Consumer Mortgage Quarterly Credit Trends-Net Credit Losses and Delinquencies-Home Equity Loans

Citi's home equity loan portfolio consists of both fixed-rate home equity loans and loans extended under home equity lines of credit. Fixed-rate home equity loans are fully amortizing. Home equity lines of credit allow for amounts to be drawn for a period of time with the payment of interest only and then, at the end of the draw period, the then-outstanding amount is converted to an amortizing loan (the interest-only payment feature during the revolving period is standard for this product across the industry). After conversion, the home equity loans typically have a 20-year amortization period. As of March 31, 2016, Citi's home equity loan portfolio of $21.9 billion consisted of $6.1 billion of fixed-rate home equity loans and $15.8 billion of loans extended under home equity lines of credit (Revolving HELOCs).



Revolving HELOCs

As noted above, as of March 31, 2016 , Citi had $15.8 billion of Revolving HELOCs, of which $4.6 billion had commenced amortization (compared to $4.2 billion at December 31, 2015) and $11.2 billion were still within their revolving period and have not commenced amortization, or "reset," (compared to $12.3 billion at December 31, 2015). The following chart indicates the FICO and combined loan-to-value (CLTV) characteristics of Citi's Revolving HELOCs portfolio and the year in which they reset:

North America Home Equity Lines of Credit Amortization – Citigroup

Total ENR by Reset Year

In billions of dollars as of March 31, 2016

Note: Totals may not sum due to rounding.


Approximately 29% of Citi's total Revolving HELOCs portfolio had commenced amortization as of March 31, 2016 (compared to 25% as of December 31, 2015). Of the remaining Revolving HELOCs portfolio, approximately 62% will commence amortization during the remainder of 2016–2017. Before commencing amortization, Revolving HELOC



49



borrowers are required to pay only interest on their loans. Upon amortization, these borrowers will be required to pay both interest, usually at a variable rate, and principal that amortizes typically over 20 years, rather than the typical 30-year amortization. As a result, Citi's customers with Revolving HELOCs that reset could experience "payment shock" due to the higher required payments on the loans.

While it is not certain what ultimate impact this payment shock could have on Citi's delinquency rates and net credit losses, Citi currently estimates that the monthly loan payment for its Revolving HELOCs that reset during the remainder of 2016–2017 could increase on average by approximately $370, or 165%. Increases in interest rates could further increase these payments given the variable nature of the interest rates on these loans post-reset. Of the Revolving HELOCs that will commence amortization during the remainder of 2016–2017, approximately $0.7 billion, or 9%, of the loans have a CLTV greater than 100% as of March 31, 2016 . Borrowers' high loan-to-value positions, as well as the cost and availability of refinancing options, could limit borrowers' ability to refinance their Revolving HELOCs as these loans begin to reset.

Approximately 6.7% of the Revolving HELOCs that have begun amortization as of March 31, 2016 were 30+ days past due, compared to 3.5% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 6.7% and 3.2%, respectively, as of December 31, 2015. As newly amortizing loans continue to season, the delinquency rate of the amortizing Revolving HELOC portfolio and total home equity loan portfolio is expected to continue to increase. Delinquencies on newly amortizing loans have tended to peak between four and six months after reset. Resets to date have generally occurred during a period of historically low interest rates, improving HPI and a favorable economic environment, which Citi believes has likely reduced the overall "payment shock" to the borrower.

Citi continues to monitor this reset risk closely and will continue to consider any potential impact in determining its allowance for loan loss reserves. In addition, management continues to review and take additional actions to offset potential reset risk, such as a borrower outreach program to provide reset risk education and proactively working with high-risk borrowers through a specialized single point of contact unit. For further information on reset risk, see "Risk Factors-Credit and Market Risks" in Citi's 2015 Annual Report on Form 10-K.

Net Credit Losses and Delinquencies

The following charts detail the quarterly credit trends for Citi's home equity loan portfolio in North America :

North America Home Equity - EOP Loans

In billions of dollars


North America Home Equity - Net Credit Losses

In millions of dollars


Note: Totals may not sum due to rounding.



North America Home Equity Loan Delinquencies - Citi Holdings

In billions of dollars

Note: Totals may not sum due to rounding.




50



As evidenced by the tables above, net credit losses in the North America home equity loan portfolio continued to improve during the first quarter of 2016, largely driven by the continued improvement in HPI.

Given the limited market in which to sell delinquent home equity loans to date, as well as the relatively smaller number of home equity loan modifications and modification programs (see Note 14 to the Consolidated Financial Statements), Citi's

ability to reduce delinquencies or net credit losses in its home equity loan portfolio in Citi Holdings, whether pursuant to deterioration of the underlying credit performance of these loans, the reset of the Revolving HELOCs (as discussed above) or otherwise, is more limited as compared to residential first mortgages.




North America Home Equity Loans-State Delinquency Trends

The following tables set forth the six U.S. states and/or regions with the highest concentration of Citi's home equity loans:

In billions of dollars

March 31, 2016

December 31, 2015

State (1)

ENR (2)

ENR

Distribution

90+DPD

%

%

CLTV >

100% (3)

Refreshed

FICO

ENR (2)

ENR

Distribution

90+DPD

%

%

CLTV >

100% (3)

Refreshed

FICO

CA

$

6.0


29

%

1.8

%

5

%

731


$

6.2


29

%

1.7

%

6

%

731


NY/NJ/CT (4)

5.8


28


2.5


9


725


6.0


28


2.5


8


725


FL (4)

1.4


7


1.9


21


715


1.5


7


2.0


24


715


VA/MD

1.2


6


1.9


26


714


1.3


6


2.0


23


715


IL (4)

0.9


4


1.6


33


722


0.9


4


1.6


29


722


IN/OH/MI (4)

0.5


3


2.0


29


703


0.5


3


1.9


24


703


Other

4.9


24


1.8


13


712


5.1


24


1.7


12


712


Total

$

20.6


100

%

2.0

%

12

%

722


$

21.5


100

%

2.0

%

12

%

722



Note: Totals may not sum due to rounding.

(1)

Certain of the states are included as part of a region based on Citi's view of similar HPI within the region.

(2)

Ending net receivables. Excludes loans in Canada and Puerto Rico and loans subject to LTSCs. Excludes balances for which FICO or LTV data are unavailable.

(3)

Represents combined loan-to-value (CLTV) for both residential first mortgages and home equity loans. CLTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data.

(4)

New York, New Jersey, Connecticut, Indiana, Ohio, Florida and Illinois are judicial states.    





51



ADDITIONAL CONSUMER CREDIT DETAILS


Consumer Loan Delinquency Amounts and Ratios

EOP

loans (1)

90+ days past due (2)

30–89 days past due (2)

In millions of dollars,
except EOP loan amounts in billions

March 31,
2016

March 31,
2016

December 31,
2015

March 31,
2015

March 31,
2016

December 31,
2015

March 31,
2015

Citicorp (3)(4)

Total

$

272.6


$

2,022


$

2,119


$

2,132


$

2,360


$

2,418


$

2,414


Ratio

0.74

%

0.77

%

0.79

%

0.87

%

0.88

%

0.90

%

Retail banking

Total

$

142.3


$

498


$

523


$

540


$

793


$

739


$

791


Ratio

0.35

%

0.37

%

0.39

%

0.56

%

0.53

%

0.57

%

North America

53.5


152


165


123


198


221


203


Ratio

0.29

%

0.32

%

0.26

%

0.38

%

0.43

%

0.43

%

Latin America

20.1


172


185


238


256


184


229


Ratio

0.86

%

0.92

%

1.13

%

1.27

%

0.92

%

1.09

%

Asia (5)

68.7


174


173


179


339


334


359


Ratio

0.25

%

0.25

%

0.25

%

0.49

%

0.49

%

0.50

%

Cards

Total

$

130.3


$

1,524


$

1,596


$

1,592


$

1,567


$

1,679


$

1,623


Ratio

1.17

%

1.17

%

1.23

%

1.20

%

1.23

%

1.25

%

North America-Citi-branded

64.9


530


538


569


492


523


497


Ratio

0.82

%

0.80

%

0.90

%

0.76

%

0.78

%

0.78

%

North America-Citi retail services

42.5


665


705


629


688


773


673


Ratio

1.56

%

1.53

%

1.48

%

1.62

%

1.68

%

1.59

%

Latin America

5.3


149


173


203


152


157


204


Ratio

2.81

%

3.20

%

3.33

%

2.87

%

2.91

%

3.34

%

Asia (5)

17.6


180


180


191


235


226


249


Ratio

1.02

%

1.02

%

1.07

%

1.34

%

1.28

%

1.40

%

Citi Holdings (6)(7)

Total

$

45.0


$

896


$

927


$

1,801


$

929


$

1,036


$

1,431


Ratio

2.08

%

1.99

%

2.80

%

2.16

%

2.23

%

2.23

%

International

6.4


145


157


194


161


179


234


Ratio

2.27

%

1.91

%

1.90

%

2.52

%

2.18

%

2.29

%

North America

38.6


751


770


1,607


768


857


1,197


Ratio

2.05

%

2.01

%

2.97

%

2.09

%

2.24

%

2.21

%

Other (8)

0.3


Total Citigroup

$

317.9


$

2,918


$

3,046


$

3,933


$

3,289


$

3,454


$

3,845


Ratio

0.93

%

0.94

%

1.18

%

1.05

%

1.07

%

1.15

%

(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 balances for North America-Citi-branded and North America-Citi retail services are generally still accruing interest. Citigroup's policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.

(4)

The 90+ days and 30–89 days past due and related ratios for Citicorp North America exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $456 million ($1.1 billion), $491 million ($1.1 billion) and $534 million ($1.1 billion) at March 31, 2016, December 31, 2015 and March 31, 2015, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $86 million, $87 million and $111 million at March 31, 2016, December 31, 2015 and March 31, 2015, respectively.

(5)

For reporting purposes, Asia GCB includes the results of operations of EMEA GCB for all periods presented.

(6)

The 90+ days and 30–89 days past due and related ratios for Citi Holdings North America exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past


52



due (and EOP loans) for each period were $1.3 billion ($1.9 billion), $1.5 billion ($2.2 billion) and $1.8 billion ($2.5 billion) at March 31, 2016, December 31, 2015 and March 31, 2015, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.2 billion, $0.2 billion and $0.2 billion at March 31, 2016, December 31, 2015 and March 31, 2015, respectively.

(7)

The March 31, 2016, December 31, 2015 and March 31, 2015 loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $9 million, $11 million and $12 million, respectively, of loans that are carried at fair value.

(8)

Represents loans classified as Consumer loans on the Consolidated Balance Sheet that are not included in the Citi Holdings consumer credit metrics.



Consumer Loan Net Credit Losses and Ratios

Average

loans (1)

Net credit losses (2)(3)

In millions of dollars, except average loan amounts in billions

1Q16

1Q16

4Q15

1Q15

Citicorp

Total

$

271.2


$

1,370


$

1,405


$

1,489


Ratio

2.03

%

2.04

%

2.21

%

Retail banking

Total

$

139.9


$

220


$

295


$

255


Ratio

0.63

%

0.83

%

0.73

%

North America

52.9


24


42


35


Ratio

0.18

%

0.32

%

0.30

%

Latin America

19.5


134


159


150


Ratio

2.76

%

3.09

%

2.88

%

Asia (4)

67.5


62


94


70


Ratio

0.37

%

0.54

%

0.39

%

Cards

Total

$

131.3


$

1,150


$

1,110


$

1,234


Ratio

3.52

%

3.35

%

3.78

%

North America-Citi-branded

64.7


455


454


492


Ratio

2.83

%

2.79

%

3.11

%

North America-Retail services

44.0


453


418


433


Ratio

4.14

%

3.76

%

4.00

%

Latin America

5.2


144


148


206


Ratio

11.14

%

10.68

%

13.05

%

Asia (4)

17.4


98


90


103


Ratio

2.27

%

2.06

%

2.32

%

Citi Holdings (3)

Total

$

46.1


$

143


$

263


$

475


Ratio

1.25

%

1.81

%

2.35

%

International

6.7


78


122


112


Ratio

4.68

%

5.83

%

3.52

%

North America

39.4


65


141


363


Ratio

0.66

%

1.13

%

2.14

%

Other (5)

-


-


-


-


Total Citigroup

$

317.3


$

1,513


$

1,668


$

1,964


Ratio

1.92

%

2.00

%

2.24

%

(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)

As a result of the entry into an agreement to sell OneMain Financial (OneMain), OneMain was classified as held-for-sale (HFS) beginning March 31, 2015. As a result of HFS accounting treatment, approximately $74 million of net credit losses (NCLs) were recorded as a reduction in revenue ( Other revenue ) during the fourth quarter of 2015. Accordingly, these NCLs are not included in this table. Loans HFS are excluded from this table as they are recorded in Other assets .

(4)

For reporting purposes, Asia GCB includes the results of operations of EMEA GCB for all periods presented.

(5)

Represents NCLs on loans classified as Consumer loans on the Consolidated Balance Sheet that are not included in the Citi Holdings consumer credit metrics.




53



CORPORATE CREDIT

Consistent with its overall strategy, Citi's corporate clients are typically large, multi-national corporations which value Citi's global network. Citi aims to establish relationships with these clients that encompass multiple products, consistent with client needs, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory.


Corporate Credit Portfolio

The following table sets forth Citi's corporate credit portfolio within ICG (excluding private bank), before consideration of collateral or hedges, by remaining tenor for the periods indicated:


At March 31, 2016

At December 31, 2015

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

Direct outstandings (on-balance sheet) (1)

$

104


$

103


$

24


$

231


$

98


$

97


$

25


$

220


Unfunded lending commitments (off-balance sheet) (2)

103


225


23


351


99


231


26


356


Total exposure

$

207


$

328


$

47


$

582


$

197


$

328


$

51


$

576



(1)

Includes drawn loans, overdrafts, bankers' acceptances and leases.

(2)

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


Portfolio Mix-Geography, Counterparty and Industry

Citi's corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage by region based on Citi's internal management geography:

March 31,
2016

December 31,
2015

North America

56

%

56

%

EMEA

25


25


Asia

12


12


Latin America

7


7


Total

100

%

100

%


The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived primarily through the use of validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of





the obligor and factors that affect the loss-given-default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are

considered investment grade, while those below are considered non-investment grade.

Citigroup also has incorporated climate risk assessment and reporting criteria for certain obligors, as necessary. Factors evaluated include consideration of climate risk to an

obligor's business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.

The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:

Total Exposure

March 31,
2016

December 31,
2015

AAA/AA/A

48

%

48

%

BBB

35


35


BB/B

15


15


CCC or below

2


2


Unrated

-


-


Total

100

%

100

%


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



54



Citi's corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi's total corporate credit portfolio by industry:

Total Exposure

March 31,
2016

December 31,
2015

Transportation and industrial

21

%

20

%

Consumer retail and health

16


16


Power, chemicals, commodities and metals and mining

12


11


Technology, media and telecom

11


12


Energy (1)

8


9


Banks/broker-dealers/finance companies

7


7


Real estate

6


6


Hedge funds

5


5


Insurance and special

  purpose entities

5


5


Public sector

5


5


Other industries

4


4


Total

100

%

100

%


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

(1) In addition to this exposure, Citi has energy-related exposure within the "Public sector" (e.g., energy-related state-owned entities) and "Transportation and industrial" sector (e.g., off-shore drilling entities) included in the table above. As of March 31, 2016, Citi's total exposure to these energy-related entities remained largely consistent with the prior quarter, at approximately $6 billion, of which approximately $4 billion consisted of direct outstanding funded loans.


Exposure to the Energy and Energy-Related Sector

As of March 31, 2016, Citi's total corporate credit exposure to the energy and energy-related sector (see footnote 1 to the table above) was approximately $57 billion, with approximately $22 billion of direct outstanding funded loans, or 4% of Citi's total outstanding loans. This compared to approximately $58 billion of total corporate credit exposure and $21 billion of direct outstanding funded loans as of December 31, 2015. In addition, as of March 31, 2016, approximately 72% of Citi's total corporate credit energy and energy-related exposure was in the United States, United Kingdom and Canada (unchanged when compared to December 31, 2015). Also as of March 31, 2016, approximately 73% of Citi's total energy and energy-related exposures were rated investment grade compared to approximately 80% as of December 31, 2015. While the portfolio did experience ratings downgrades during the quarter due to the sustained low oil prices as well as the impact of regulatory guidance, this was partially offset by paydowns and other improvements in the overall underlying portfolio.

During the first quarter of 2016, Citi built additional energy and energy-related loan loss reserves of approximately $260 million, and incurred approximately $115 million of net credit losses in the portfolio. As of March 31, 2016, Citi held loan loss reserves against its

funded energy and energy-related loans equal to approximately 4.2% of these loans, with a funded reserve ratio of over 10% on the non-investment grade portion of the portfolio.

For information on Citi's energy and energy-related exposures within GCB 's commercial banking business within retail banking, see "Commercial Credit- GCB Commercial Banking Exposure to the Energy and Energy-Related Sector" below.


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. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Other revenue on the Consolidated Statement of Income.

At March 31, 2016 and December 31, 2015 , $36.6 billion and $34.5 billion, respectively, of the corporate credit portfolio was economically hedged. Citigroup's expected loss model used in the calculation of its loan loss reserve 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 corporate credit portfolio exposures with the following risk rating distribution:


Rating of Hedged Exposure

March 31,
2016

December 31,
2015

AAA/AA/A

19

%

21

%

BBB

53


48


BB/B

25


27


CCC or below

3


4


Total

100

%

100

%


The credit protection was economically hedging underlying corporate credit portfolio exposures with the following industry distribution:




55



Industry of Hedged Exposure

March 31,
2016

December 31,
2015

Transportation and industrial

28

%

28

%

Consumer retail and health

18


17


Technology, media and telecom

16


16


Energy

13


13


Power, chemicals, commodities and metals and mining


11


12


Insurance and special purpose entities

5


5


Public Sector

4


4


Banks/broker-dealers

4


4


Other industries

1


1


Total

100

%

100

%




COMMERCIAL CREDIT


GCB Commercial Banking Exposure to the Energy and Energy-Related Sector

In addition to the total corporate credit exposure to the energy and energy-related sector described above, Citi's commercial banking business, reported within GCB retail banking, had total credit exposure to the energy and energy-related sector of approximately $2.1 billion at March 31, 2016, with approximately $1.4 billion of direct outstanding funded loans, or 4% of the total outstanding commercial banking loans. This compared to approximately $2.4 billion of total credit exposure and $1.6 billion of direct outstanding funded energy and energy-related loans as of December 31, 2015. In addition, as of March 31, 2016, approximately 88% of commercial banking's total credit exposure to the energy and energy-related sector was in the U.S. (compared to approximately 85% at December 31, 2015). Approximately 29% of commercial banking's total energy and energy-related exposure was rated investment grade at March 31, 2016 (compared to approximately 52% as of December 31, 2015).

During the first quarter of 2016, Citi built additional energy and energy-related loan loss reserves by approximately $80 million, and did not incur any net credit losses on this commercial banking portfolio. As of March 31, 2016, Citi held loan loss reserves against its funded energy and energy-related commercial banking loans equal to approximately 9.6% of these loans.




56



ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS


Loans Outstanding

1st Qtr.

4th Qtr.

3rd Qtr.

2nd Qtr.

1st Qtr.

In millions of dollars

2016

2015

2015

2015

2015

Consumer loans






In U.S. offices






Mortgage and real estate (1)

$

79,128


$

80,281


$

89,155


$

90,715


$

92,005


Installment, revolving credit, and other

3,504


3,480


4,999


4,956


4,861


Cards

106,892


112,800


107,244


107,096


105,378


Commercial and industrial

6,793


6,407


6,437


6,493


6,532



$

196,317


$

202,968


$

207,835


$

209,260


$

208,776


In offices outside the U.S.

Mortgage and real estate (1)

$

47,831


$

47,062


$

47,295


$

50,704


$

50,970


Installment, revolving credit, and other

28,778


29,480


29,702


30,958


31,396


Cards

26,312


27,342


26,865


28,662


28,681


Commercial and industrial

17,697


17,741


17,841


18,863


18,082


Lease financing

139


362


368


424


479



$

120,757


$

121,987


$

122,071


$

129,611


$

129,608


Total consumer loans

$

317,074


$

324,955


$

329,906


$

338,871


$

338,384


Unearned income (2)

826


830


(687

)

(677

)

(651

)

Consumer loans, net of unearned income

$

317,900


$

325,785


$

329,219


$

338,194


$

337,733


Corporate loans






In U.S. offices






Commercial and industrial

$

44,104


$

41,147


$

40,435


$

40,697


$

37,537


Loans to financial institutions

36,865


36,396


38,034


37,360


36,054


Mortgage and real estate (1)

38,697


37,565


37,019


34,680


33,145


Installment, revolving credit, and other

33,273


33,374


32,129


31,882


29,267


Lease financing

1,597


1,780


1,718


1,707


1,755



$

154,536


$

150,262


$

149,335


$

146,326


$

137,758


In offices outside the U.S.






Commercial and industrial

$

85,491


$

82,358


$

85,628


$

87,274


$

85,336


Loans to financial institutions

28,652


28,704


28,090


29,675


32,210


Mortgage and real estate (1)

5,769


5,106


6,602


5,948


6,311


Installment, revolving credit, and other

21,583


20,853


19,352


20,214


19,687


Lease financing

280


303


329


378


389


Governments and official institutions

5,303


4,911


4,503


4,714


2,174



$

147,078


$

142,235


$

144,504


$

148,203


$

146,107


Total corporate loans

$

301,614


$

292,497


$

293,839


$

294,529


$

283,865


Unearned income (3)

(690

)

(665

)

(614

)

(605

)

(544

)

Corporate loans, net of unearned income

$

300,924


$

291,832


$

293,225


$

293,924


$

283,321


Total loans-net of unearned income

$

618,824


$

617,617


$

622,444


$

632,118


$

621,054


Allowance for loan losses-on drawn exposures

(12,712

)

(12,626

)

(13,626

)

(14,075

)

(14,598

)

Total loans-net of unearned income 
and allowance for credit losses

$

606,112


$

604,991


$

608,818


$

618,043


$

606,456


Allowance for loan losses as a percentage of total loans-
net of unearned income
(4)

2.07

%

2.06

%

2.21

%

2.25

%

2.38

%

Allowance for consumer loan losses as a percentage of
total consumer loans-net of unearned income
(4)

3.09

%

3.02

%

3.35

%

3.45

%

3.57

%

Allowance for corporate loan losses as a percentage of
total corporate loans-net of unearned income
(4)

0.98

%

0.97

%

0.90

%

0.84

%

0.92

%

(1)

Loans secured primarily by real estate.

(2)

Unearned income on consumer loans primarily represents unamortized origination fees, costs, premiums and discounts. Prior to December 31, 2015, these items were more than offset by prepaid interest on loans outstanding issued by OneMain Financial. The sale of OneMain Financial was completed on November 16, 2015.

(3)

Unearned income on corporate loans primarily represents interest received in advance but not yet earned on loans originated on a discount basis.

(4)

All periods exclude loans that are carried at fair value.


57



Details of Credit Loss Experience

1st Qtr.

4th Qtr.

3rd Qtr.

2nd Qtr.

1st Qtr.

In millions of dollars

2016

2015

2015

2015

2015

Allowance for loan losses at beginning of period

$

12,626


$

13,626


$

14,075


$

14,598


$

15,994


Provision for loan losses

Consumer

$

1,570


$

1,684


$

1,338


$

1,559


$

1,647


Corporate

316


572


244


(44

)

108


$

1,886


$

2,256


$

1,582


$

1,515


$

1,755


Gross credit losses

Consumer

In U.S. offices

$

1,230


$

1,267


$

1,244


$

1,393


$

1,596


In offices outside the U.S. 

689


794


746


816


836


Corporate

In U.S. offices

190


75


30


5


11


In offices outside the U.S. 

34


44


48


121


15


$

2,143


$

2,180


$

2,068


$

2,335


$

2,458


Credit recoveries (1)

Consumer

In U.S. offices

$

256


$

229


$

222


$

228


$

296


In offices outside the U.S. 

150


164


155


168


172


Corporate

In U.S. offices

4


9


11


4


12


In offices outside the U.S. 

9


16


17


15


21


$

419


$

418


$

405


$

415


$

501


Net credit losses

In U.S. offices

$

1,160


$

1,104


$

1,041


$

1,166


$

1,299


In offices outside the U.S. 

564


658


622


754


658


Total

$

1,724


$

1,762


$

1,663


$

1,920


$

1,957


Other-net (2)(3)(4)(5)(6)(7)(8)

$

(76

)

$

(1,494

)

$

(368

)

(118

)

$

(1,194

)

Allowance for loan losses at end of period

$

12,712


$

12,626


$

13,626


$

14,075


$

14,598


Allowance for loan losses as a percentage of total loans (9)

2.07

%

2.06

%

2.21

%

2.25

%

2.38

 %

Allowance for unfunded lending commitments (5)(10)

$

1,473


$

1,402


$

1,036


$

973


$

1,023


Total allowance for loan losses and unfunded lending commitments

$

14,185


$

14,028


$

14,662


$

15,048


$

15,621


Net consumer credit losses

$

1,513


$

1,668


$

1,613


$

1,813


$

1,964


As a percentage of average consumer loans

1.90

%

2.00

%

1.93

%

2.15

%

2.24

 %

Net corporate credit losses

$

211


$

94


$

50


$

107


$

(7

)

As a percentage of average corporate loans

0.29

%

0.13

%

0.07

%

0.15

%

(0.01

)%

Allowance for loan losses at end of period (11)

Citicorp

$

10,544


$

10,331


$

10,213


$

10,368


$

10,662


Citi Holdings

2,168


2,295


3,413


3,707


3,936


Total Citigroup

$

12,712


$

12,626


$

13,626


$

14,075


$

14,598


Allowance by type

Consumer

$

9,807


$

9,835


$

11,030


$

11,669


$

12,052


Corporate

2,905


2,791


2,596


2,406


2,546


Total Citigroup

$

12,712


$

12,626


$

13,626


$

14,075


$

14,598


(1)

Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.

(2)

Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.

(3)

The first quarter of 2016 includes a reduction of approximately $148 million related to the sale or transfers to held-for-sale (HFS) of various loan portfolios, including a reduction of $29 million related to the transfers of a real estate loan portfolio to HFS. Additionally, the first quarter includes an increase of approximately $63 million related to FX translation.


58



(4)

The fourth quarter of 2015 includes a reduction of approximately $1.1 billion related to the sale or transfers to HFS of various loan portfolios, including a reduction of $1.1 billion related to the transfers of a real estate loan portfolio to HFS. Additionally, the fourth quarter includes a reduction of approximately $35 million related to FX translation.

(5)

The fourth quarter of 2015 includes a reclassification of $271 million of Allowance for loan losses to allowance for unfunded lending commitments, included in the Other line item. This reclassification reflects the re-attribution of $271 million in allowance for credit losses between the funded and unfunded portions of the corporate credit portfolios and does not reflect a change in the underlying credit performance of these portfolios.

(6)

The third quarter of 2015 includes a reduction of approximately $110 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of $14 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the third quarter includes a reduction of approximately $255 million related to FX translation.

(7)

The second quarter of 2015 includes a reduction of approximately $88 million related to the sale or transfers to held-for-sale (HFS) of various loan portfolios, including a reduction of $34 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the second quarter of 2015 includes a reduction of approximately $39 million related to FX translation.

(8)

The first quarter of 2015 includes a reduction of approximately $1.0 billion related to the sale or transfers to HFS of various loan portfolios, including a reduction of $281 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the first quarter of 2015 includes a reduction of approximately $145 million related to FX translation.

(9)

March 31, 2016, December 31, 2015, September 30, 2015, June 30, 2015 and March 31, 2015 exclude $4.8 billion, $5.0 billion, $5.5 billion, $6.5 billion and $6.6 billion, respectively, of loans which are carried at fair value.

(10)

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

(11)

Allowance for loan losses represents management's best estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and troubled debt restructurings. See "Significant Accounting Policies and Significant Estimates" and Note 1 to the Consolidated Financial Statements in Citi's 2015 Annual Report on Form 10-K. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.


59



Allowance for Loan Losses

The following tables detail information on Citi's allowance for loan losses, loans and coverage ratios:

March 31, 2016

In billions of dollars

Allowance for

loan losses

Loans, net of

unearned income

Allowance as a

percentage of loans (1)

North America  cards (2)

$

4.5


$

107.5


4.2

%

North America  mortgages (3)

1.6


78.7


2.0


North America  other

0.6


13.3


4.5


International cards

1.5


25.6


5.9


International other (4)

1.6


92.8


1.7


Total consumer

$

9.8


$

317.9


3.1

%

Total corporate

2.9


300.9


1.0


Total Citigroup

$

12.7


$

618.8


2.1

%

(1)

Allowance as a percentage of loans excludes loans that are carried at fair value.

(2)

Includes both Citi-branded cards and Citi retail services. The $4.5 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.

(3)

Of the $1.6 billion , approximately $1.5 billion was allocated to North America mortgages in Citi Holdings. Of the $1.6 billion , approximately $0.5 billion and $1.1 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $78.7 billion in loans, approximately $72.0 billion and $6.7 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 15 to the Consolidated Financial Statements.

(4)

Includes mortgages and other retail loans.


December 31, 2015

In billions of dollars

Allowance for

loan losses

Loans, net of

unearned income

Allowance as a

percentage of loans (1)

North America  cards (2)

$

4.5


$

113.4


4.0

%

North America  mortgages (3)

1.7


79.6


2.1


North America  other

0.5


13.0


3.8


International cards

1.6


26.7


6.0


International other (4)

1.5


93.1


1.6


Total consumer

$

9.8


$

325.8


3.0

%

Total corporate

2.8


291.8


1.0


Total Citigroup

$

12.6


$

617.6


2.1

%

(1)

Allowance as a percentage of loans excludes loans that are carried at fair value.

(2)

Includes both Citi-branded cards and Citi retail services. The $4.5 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.

(3)

Of the $1.7 billion, approximately $1.6 billion was allocated to North America mortgages in Citi Holdings. Of the $1.7 billion, approximately $0.6 billion and $1.1 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $79.6 billion in loans, approximately $72.3 billion and $7.1 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 15 to the Consolidated Financial Statements.

(4)

Includes mortgages and other retail loans.


60



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 (commercial market) 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. Payments received on corporate non-accrual loans are generally applied to loan principal and not reflected as interest income. Approximately 46% and 45% of Citi's corporate non-accrual loans were performing at March 31, 2016 and December 31, 2015, respectively.

Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments.

Mortgage loans in regulated bank entities discharged through Chapter 7 bankruptcy, other than FHA insured loans, are classified as non-accrual. Non-bank mortgage loans discharged through Chapter 7 bankruptcy are classified as non-accrual at 90 days or more past due. In addition, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage loan is 90 days or more past due.

North America Citi-branded cards and Citi retail services are not included because, under industry standards, credit card loans accrue interest until such loans are charged off, which typically occurs at 180 days 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.




61



Non-Accrual Loans and Assets

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.

As set forth in the tables below, Citi's corporate non-accrual loans within Citicorp increased during the first quarter of 2016 by 47% or approximately $730 million, with approximately $500 million of such increase related to energy and energy-related exposures (for additional information on these exposures, see "Corporate Credit" above). Approximately two-thirds of the total additions to corporate non-accrual loans during the quarter remained performing as of March 31, 2016.


Mar. 31,

Dec. 31,

Sept. 30,

Jun. 30,

Mar. 31,

In millions of dollars

2016

2015

2015

2015

2015

Citicorp

$

3,718


$

2,991


$

2,921


$

2,684


$

2,674


Citi Holdings

2,210


2,263


3,486


3,800


4,080


Total non-accrual loans

$

5,928


$

5,254


$

6,407


$

6,484


$

6,754


Corporate non-accrual loans (1)(2)






North America

$

1,331


$

818


$

833


$

467


$

347


EMEA

469


347


386


385


305


Latin America

410


303


230


226


379


Asia

117


128


129


145


151


Total corporate non-accrual loans

$

2,327


$

1,596


$

1,578


$

1,223


$

1,182


Citicorp

$

2,275


$

1,543


$

1,525


$

1,168


$

1,129


Citi Holdings

52


53


53


55


53


Total corporate non-accrual loans

$

2,327


$

1,596


$

1,578


$

1,223


$

1,182


Consumer non-accrual loans (1)(3)

North America

$

2,519


$

2,515


$

3,622


$

3,928


$

4,184


Latin America

817


874


935


1,032


1,084


Asia (4)

265


269


272


301


304


Total consumer non-accrual loans

$

3,601


$

3,658


$

4,829


$

5,261


$

5,572


Citicorp

$

1,443


$

1,448


$

1,396


$

1,516


$

1,545


Citi Holdings

2,158


2,210


3,433


3,745


4,027


Total consumer non-accrual loans          

$

3,601


$

3,658


$

4,829


$

5,261


$

5,572



(1)

Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $236 million at March 31, 2016 , $250 million at December 31, 2015 , $320 million at September 30, 2015 , $343 million at June 30, 2015 and $ 398 million at March 31, 2015 .

(2)

The increase in corporate non-accrual loans during the third quarter of 2015 primarily related to Citi's North America energy and energy-related corporate credit exposure. For additional information, see "Credit Risk-Corporate Credit" in Citi's 2015 Annual Report on Form 10-K.

(3) The December 31, 2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans , held-for-sale (HFS) (included within Other assets ).

(4) For reporting purposes, Asia GCB includes the results of operations of EMEA GCB for all periods presented.



62



The changes in Citigroup's non-accrual loans were as follows:

Three months ended

Three months ended

March 31, 2016

March 31, 2015

In millions of dollars

Corporate

Consumer

Total

Corporate

Consumer

Total

Non-accrual loans at beginning of period

$

1,596


$

3,658


$

5,254


$

1,202


$

5,905


$

7,107


Additions

1,047


914


1,961


196


1,856


2,052


Sales and transfers to held-for-sale

(8

)

(162

)

(170

)

(36

)

(614

)

(650

)

Returned to performing

(15

)

(141

)

(156

)

(11

)

(326

)

(337

)

Paydowns/settlements

(98

)

(245

)

(343

)

(139

)

(307

)

(446

)

Charge-offs

(140

)

(436

)

(576

)

(18

)

(871

)

(889

)

Other

(55

)

13


(42

)

(12

)

(71

)

(83

)

Ending balance

$

2,327


$

3,601


$

5,928


$

1,182


$

5,572


$

6,754




63



The table below summarizes Citigroup's other real estate owned (OREO) assets as of the periods indicated. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:

Mar. 31,

Dec. 31,

Sept. 30,

Jun. 30,

Mar. 31,

In millions of dollars

2016

2015

2015

2015

2015

OREO

Citicorp

$

74


$

70


$

83


$

85


$

102


Citi Holdings

131


139


144


161


172


Total OREO

$

205


$

209


$

227


$

246


$

274


North America

$

159


$

166


$

177


$

190


$

220


EMEA

1


1


1


1


1


Latin America

35


38


44


50


48


Asia

10


4


5


5


5


Total OREO

$

205


$

209


$

227


$

246


$

274


Non-accrual assets-Total Citigroup






Corporate non-accrual loans

$

2,327


$

1,596


$

1,578


$

1,223


$

1,182


Consumer non-accrual loans

3,601


3,658


4,829


5,261


5,572


Non-accrual loans (NAL)

$

5,928


$

5,254


$

6,407


$

6,484


$

6,754


OREO

$

205


$

209


$

227


$

246


$

274


Non-accrual assets (NAA)

$

6,133


$

5,463


$

6,634


$

6,730


$

7,028


NAL as a percentage of total loans

0.96

%

0.85

%

1.03

%

1.03

%

1.09

%

NAA as a percentage of total assets

0.34


0.32


0.37


0.37


0.38


Allowance for loan losses as a percentage of NAL (1)

214


240


213


217


216



Mar. 31,

Dec. 31,

Sept. 30,

Jun. 30,

Mar. 31,

Non-accrual assets-Total Citicorp

2016

2015

2015

2015

2015

Non-accrual loans (NAL)

$

3,718


$

2,991


$

2,921


$

2,684


$

2,674


OREO

74


70


83


85


102


Non-accrual assets (NAA)

$

3,792


$

3,061


$

3,004


$

2,769


$

2,776


NAA as a percentage of total assets

0.22

%

0.19

%

0.18

%

0.16

%

0.16

%

Allowance for loan losses as a percentage of NAL (1)

284


345


350


386


399


Non-accrual assets-Total Citi Holdings






Non-accrual loans (NAL) (2)

$

2,210


$

2,263


$

3,486


$

3,800


$

4,080


OREO

131


139


144


161


172


Non-accrual assets (NAA)

$

2,341


$

2,402


$

3,630


$

3,961


$

4,252


NAA as a percentage of total assets

3.21

%

2.97

%

3.10

%

3.19

%

3.27

%

Allowance for loan losses as a percentage of NAL (1)

98


101


98


98


96



(1)

The allowance for loan losses includes the allowance for Citi's credit card portfolios and purchased distressed loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios) and purchased distressed loans as these continue to accrue interest until charge-off.

(2)

The December 31, 2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans , held-for-sale (HFS) (included within Other assets ).




64



Renegotiated Loans

The following table presents Citi's loans modified in TDRs.

In millions of dollars

Mar. 31, 2016

Dec. 31, 2015

Corporate renegotiated loans (1)

In U.S. offices

Commercial and industrial (2)

$

20


$

25


Mortgage and real estate (3)

105


104


Loans to financial institutions

2


5


Other

264


273


$

391


$

407


In offices outside the U.S.

Commercial and industrial (2)

$

199


$

111


Mortgage and real estate (3)

34


33


Other

39


45


$

272


$

189


Total corporate renegotiated loans

$

663


$

596


Consumer renegotiated loans (4)(5)(6)(7)

In U.S. offices

Mortgage and real estate (8)

$

6,633


$

7,058


Cards

1,349


1,396


Installment and other

74


79


$

8,056


$

8,533


In offices outside the U.S.

Mortgage and real estate

$

524


$

474


Cards

549


555


Installment and other

494


514


$

1,567


$

1,543


Total consumer renegotiated loans

$

9,623


$

10,076


(1)

Includes $355 million and $258 million of non-accrual loans included in the non-accrual assets table above at March 31, 2016 and December 31, 2015, respectively. The remaining loans are accruing interest.

(2)

In addition to modifications reflected as TDRs at March 31, 2016 , Citi also modified $263 million commercial loans risk rated "Substandard Non-Performing" or worse (asset category defined by banking regulators) all within offices in the U.S. These modifications were not considered TDRs because the modifications did not involve a concession (a required element of a TDR for accounting purposes).

(3)

In addition to modifications reflected as TDRs at March 31, 2016 , Citi also modified $13 million of commercial real estate loans risk rated "Substandard Non-Performing" or worse (asset category defined by banking regulators) in offices inside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession (a required element of a TDR for accounting purposes).

(4)

Includes $1,772 million and $1,852 million of non-accrual loans included in the non-accrual assets table above at March 31, 2016 and December 31, 2015 , respectively. The remaining loans are accruing interest.

(5)

Includes $95 million and $53 million of commercial real estate loans at March 31, 2016 and December 31, 2015 , respectively.

(6)

Includes $70 million and $128 million of other commercial loans at March 31, 2016 and December 31, 2015 , respectively.

(7)

Smaller-balance homogeneous loans were derived from Citi's risk management systems.

(8)

Reduction in the first quarter of 2016 includes $251 million related to TDRs sold or transferred to held-for-sale.




65



LIQUIDITY RISK


For additional information on funding and liquidity at Citigroup, including its objectives, management and measurement, see "Liquidity Risk" and "Risk Factors" in Citi's 2015 Annual Report on Form 10-K.






High-Quality Liquid Assets (HQLA)

Citibank

Non-Bank and Other (1)

Total

In billions of dollars

Mar. 31, 2016

Dec. 31, 2015

Mar. 31, 2015

Mar. 31, 2016

Dec. 31, 2015

Mar. 31, 2015

Mar. 31, 2016

Dec. 31, 2015

Mar. 31, 2015

Available cash

$

74.2


$

52.4


$

76.1


$

24.5


$

16.9


$

18.3


$

98.7


$

69.3


$

94.5


U.S. sovereign

117.6


110.1


115.4


22.6


32.4


20.0


140.3


142.4


135.4


U.S. agency/agency MBS

68.9


63.8


56.0


0.5


1.0


1.2


69.4


64.9


57.3


Foreign government debt (2)

86.8


84.8


96.9


19.6


14.9


13.4


106.4


99.7


110.3


Other investment grade

1.1


1.0


1.2


1.6


1.2


1.9


2.7


2.2


3.1


Total HQLA (EOP)

$

348.7


$

312.1


$

345.6


$

68.8


$

66.4


$

54.9


$

417.5


$

378.5


$

400.5


Total HQLA (AVG)

$

335.1


$

325.8


-


$

65.0


$

63.4


-


$

400.1


$

389.2


-



Note: Except as indicated, amounts set forth in the table above are as of period end and may increase or decrease intra-period in the ordinary course of business. For securities, the amounts represent the liquidity value that potentially could be realized, and thus exclude any securities that are encumbered, as well as the haircuts that would be required for securities financing transactions. The Federal Reserve Board has proposed requiring disclosure of HQLA, the Liquidity Coverage Ratio and related components on an average basis each quarter, as compared to end-of-period (for additional information, see "Liquidity Coverage Ratio (LCR)" below). Citi has presented in this Form 10-Q the average information on these metrics currently available, which includes average total HQLA, average LCR and average net outflows under the LCR for the periods 1Q'16 and 4Q'15; 1Q'15 and other component information is not currently available.

(1)

"Non-Bank and Other" includes the parent holding company (Citigroup), Citi's broker-dealer subsidiaries and other non-bank subsidiaries that are consolidated into Citigroup as well as Banamex and Citibank (Switzerland) AG. Banamex and Citibank (Switzerland) AG account for approximately $8 billion of the "Non-Bank and Other" HQLA balance as of March 31, 2016.

(2)

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 India, Korea, Mexico, Poland and Singapore.


As set forth in the table above, Citi's total HQLA increased sequentially on both an end-of-period and average basis, driven primarily by increases in deposit balances.

Citi's HQLA as set forth above does not include Citi's available borrowing capacity from the Federal Home Loan Banks (FHLB) of which Citi is a member, which was approximately $37 billion as of March 31, 2016 (compared to $36 billion as of December 31, 2015 and $38 billion as of March 31, 2015) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi's borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.

In general, Citi's liquidity is fungible across legal entities within its bank group. Citi's bank subsidiaries, including Citibank, can lend to the Citi parent and broker-dealer entities in accordance with Section 23A of the Federal Reserve Act. As of March 31, 2016, the capacity available for lending to these

entities under Section 23A was approximately $14 billion, compared to $17 billion as of both December 31, 2015 and March 31, 2015, subject to certain eligible non-cash collateral requirements.


Loans

The table below sets forth the end-of-period loans, by business and/or segment, and the total average loans for each of the periods indicated:

In billions of dollars

Mar. 31, 2016

Dec. 31, 2015

Mar. 31, 2015

Global Consumer Banking

North America

$

160.9


$

165.5


$

154.0


Latin America

25.4


25.5


27.2


Asia (1)

86.3


86.0


89.6


Total

$

272.6


$

277.0


$

270.8


Institutional Clients Group

Corporate lending

119.6


114.9


110.5


Treasury and trade solutions (TTS)

73.0


71.4


74.8


Private bank, markets and securities services and other

108.2


105.3


97.8


Total

$

300.8


$

291.6


$

283.1


Total Citicorp

573.4


568.6


553.9


Total Citi Holdings

45.4


49.0


67.2


Total Citigroup loans (EOP)

$

618.8


$

617.6


$

621.1


Total Citigroup loans (AVG)

$

612.2


$

625.1


$

634.8



(1)

For reporting purposes, includes EMEA GCB for all periods presented.



66



End-of-period loans remained relatively unchanged both year-over-year and quarter-over-quarter. Excluding the impact of FX translation, Citigroup's end-of-period loans increased 1% year-over-year and remained relatively unchanged sequentially, as growth in Citicorp offset continued reductions in Citi Holdings.

Excluding the impact of FX translation, Citicorp loans increased 5% year-over-year. GCB loans grew 2% year-over-year, driven by 4% growth in North America , including 2% growth in Citi-branded cards. International GCB loans remained relatively unchanged, as reductions in mortgages was offset by continued growth in personal loans and cards. ICG loans increased 7% year-over-year. Within ICG , corporate loans increased 10% driven by both new business and the funding of transaction-related commitments to target market clients. While treasury and trade solutions loans declined 1%, private bank, markets and securities services loans grew 11% year-over-year driven by continued opportunities to support client activities.

Citi Holdings loans decreased 32% year-over-year driven by $18 billion of reductions in North America mortgages, including transfers to held-for-sale (see Note 14 to the Consolidated Financial Statements).


Deposits

The table below sets forth the end-of-period deposits, by business and/or segment, and the total average deposits for each of the periods indicated:

In billions of dollars

Mar. 31, 2016

Dec. 31, 2015

Mar. 31, 2015

Global Consumer Banking

North America

$

183.7


$

181.6


$

181.6


Latin America

28.3


28.7


29.0


Asia (1)

90.7


87.6


89.5


Total

$

302.7


$

297.9


$

300.1


Institutional Clients Group

Treasury and trade solutions (TTS)

415.0


392.1


386.5


Banking ex-TTS

114.6


118.8


104.4


Markets and securities services

77.5


76.7


80.5


Total

$

607.1


$

587.7


$

571.3


Corporate/Other

15.6


12.0


12.3


Total Citicorp

$

925.4


$

897.6


$

883.7


Total Citi Holdings

9.2


10.3


15.9


Total Citigroup deposits (EOP)

$

934.6


$

907.9


$

899.6


Total Citigroup deposits (AVG)

$

911.7


$

908.8


$

899.5


(1)

For reporting purposes, includes EMEA GCB for all periods presented.


End-of-period deposits increased 4% year-over-year and 3% quarter-over-quarter. Excluding the impact of FX translation, Citigroup's end-of-period deposits increased 5% year-over-year and 2% sequentially, despite continued reductions in Citi Holdings deposits.

Excluding the impact of FX translation, Citicorp deposits grew 6% year-over-year. Within Citicorp, GCB deposits

increased 2% year-over-year, driven by 4% growth in international deposits. ICG deposits increased 7% year-over-year, driven by increased operating flows from new and existing clients within treasury and trade solutions.

The decline in Citi Holdings deposits from the prior-year period was primarily driven by the now-complete transfer of Morgan Stanley Smith Barney (MSSB) deposits to Morgan Stanley.


Long-Term Debt

The weighted-average maturities of unsecured long-term debt issued by Citigroup and its affiliates (including Citibank) with a remaining life greater than one year (excluding remaining trust preferred securities outstanding) was approximately 7.0 years as of March 31, 2016 , a slight increase from both the prior-year period and sequentially, due primarily to the issuance of longer-dated debt securities during the first quarter of 2016 including in response to proposed total loss-absorbing capacity, or TLAC, requirements (for additional information on TLAC, see "Liquidity Risk- Long-Term Debt- Total Loss Absorbing Capacity (TLAC)" and "Risk Factors- Liquidity Risks" in Citi's 2015 Annual Report on Form 10-K).

Citi's long-term debt outstanding at the parent includes 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 supplements benchmark debt issuance as a source of funding for Citi's parent entities. Citi's long-term debt at the bank also includes FHLB advances and securitizations.



67



Long-Term Debt Outstanding

The following table sets forth Citi's total long-term debt outstanding for the periods indicated:

In billions of dollars

Mar. 31, 2016

Dec. 31, 2015

Mar. 31, 2015

Parent







Benchmark debt:

Senior debt

$

94.0


$

90.3


$

96.7


Subordinated debt

29.4


26.9


25.5


Trust preferred

1.7


1.7


1.7


Customer-related debt:




Structured debt

23.6


21.8


21.9


Non-structured debt

3.3


3.0


5.0


Local country and other (1)

4.1


2.4


1.0


Total parent

$

156.1


$

146.1


$

151.8


Bank







FHLB borrowings

$

17.1


$

17.8


$

16.3


Securitizations (2)

28.7


30.9


35.2


Local country and other (1)

6.0


6.5


7.2


Total bank

$

51.7


$

55.2


$

58.7


Total long-term debt

$

207.8


$

201.3


$

210.5


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

(1)

Local country debt includes debt issued by Citi's affiliates in support of their local operations.

(2)

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


Citi's total long-term debt outstanding decreased year-over-year but increased sequentially. Year-over-year, long-term debt decreased primarily due to continued reductions in securitizations at the bank entities, partially offset by issuances at the parent. Sequentially, long-term debt increased primarily due to the issuance of senior and subordinated debt at the parent during the first quarter of 2016, partially offset by continued declines in securitizations at the bank entities.

As part of its liability management, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such repurchases help reduce Citi's overall funding costs and assist it in meeting regulatory changes and requirements. During the first quarter of 2016, Citi repurchased an aggregate of approximately $0.5 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:

1Q16

4Q15

1Q15

In billions of dollars

Maturities

Issuances

Maturities

Issuances

Maturities

Issuances

Parent













Benchmark debt:

Senior debt

$

4.3


$

5.2


$

12.8


$

5.2


$

5.1


$

6.1


Subordinated debt

-


1.5


0.9


1.5


0.4


1.0


Trust preferred

-


-


-


-


-


-


Customer-related debt:



Structured debt

2.2


3.2


2.3


0.8


2.5


2.8


Non-structured debt

0.2


-


0.7


0.2


0.4


-


Local country and other

-


1.8


-


0.1


0.2


1.2


Total parent

$

6.8


$

11.7


$

16.7


$

7.8


$

8.6


$

11.1


Bank













FHLB borrowings

$

1.7


$

1.0


$

-


$

0.5


$

3.5


$

-


Securitizations

2.3


-


1.2


-


2.8


-


Local country and other

0.7


0.7


1.3


0.7


0.5


0.6


Total bank

$

4.7


$

1.7


$

2.5


$

1.2


$

6.9


$

0.6


Total

$

11.5


$

13.4


$

19.2


$

9.0


$

15.5


$

11.7




68



The table below shows Citi's aggregate long-term debt maturities (including repurchases and redemptions) during the first quarter of 2016, as well as its aggregate expected annual long-term debt maturities as of March 31, 2016 :

Maturities

1Q16

In billions of dollars

2016

2017

2018

2019

2020

2021

Thereafter

Total

Parent



















Benchmark debt:


Senior debt

$

4.3


$

7.6


$

14.5


$

18.2


$

13.5


$

7.0


$

5.9


$

27.3


$

94.0


Subordinated debt

-


1.5


2.4


1.1


1.4


-


-


23.0


29.4


Trust preferred

-


-


-


-


-


-


-


1.7


1.7


Customer-related debt:


Structured debt

2.2


3.6


3.2


2.5


1.9


2.2


1.4


8.8


23.6


Non-structured debt

0.2


0.4


0.5


0.6


0.2


0.2


0.1


1.2


3.3


Local country and other

-


1.8


0.3


0.2


0.2


0.1


0.1


1.5


4.1


Total parent

$

6.8


$

14.9


$

21.0


$

22.6


$

17.1


$

9.6


$

7.5


$

63.4


$

156.1


Bank



















FHLB borrowings

$

1.7


$

7.8


$

8.8


$

0.5


$

-


$

-


$

-


$

-


$

17.1


Securitizations

2.3


9.4


5.3


8.4


1.9


0.1


2.5


1.0


28.7


Local country and other

0.7


1.6


1.9


0.4


0.6


0.9


0.2


0.3


6.0


Total bank

$

4.7


$

18.8


$

15.9


$

9.4


$

2.5


$

1.1


$

2.6


$

1.4


$

51.7


Total long-term debt

$

11.5


$

33.7


$

37.0


$

31.9


$

19.6


$

10.7


$

10.2


$

64.8


$

207.8



Secured Funding Transactions and Short-Term Borrowings

Citi supplements its primary sources of funding with short-term borrowings. Short-term borrowings generally include (i) secured funding transactions (securities loaned or sold under agreements to repurchase, or repos) and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants. See Note 17 to the Consolidated Financial Statements for further information on Citigroup's and its affiliates' outstanding short-term borrowings. Citi has purposefully reduced its commercial paper and other short-term borrowings, including FHLB borrowings, as it continued to grow its high-quality deposits.


Secured Funding

Secured funding is primarily accessed through Citi's broker-dealer subsidiaries to fund efficiently both secured lending activity and a portion of 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 is typically collateralized by foreign 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 $157 billion as of March 31, 2016 declined 10% from the prior-year period and increased 7% sequentially. Excluding the impact of FX translation, secured funding decreased 11% from the prior-year period and increased 6% sequentially, both driven by normal business activity. Average balances for secured funding were



approximately $163 billion for the quarter ended March 31, 2016.

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 Citi's matched book liabilities 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 stipulating financing tenor. The weighted average maturity of Citi's secured funding of less liquid securities inventory was greater than 110 days as of March 31, 2016.

Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. Additionally, 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.




69



Liquidity Coverage Ratio (LCR)

In addition to internal measures that Citi has developed for a 30-day stress scenario, Citi also monitors its liquidity by reference to the LCR, as calculated pursuant to the U.S. LCR rules.

Generally, the LCR is designed to ensure that banks maintain an adequate level of HQLA to meet liquidity needs under an acute 30-day stress scenario. The LCR is calculated by dividing HQLA by estimated net outflows over a stressed 30-day period, with the net outflows determined by applying prescribed outflow factors to various categories of liabilities, such as deposits, unsecured and secured wholesale borrowings, unused lending commitments and derivatives-related exposures, partially offset by inflows from assets maturing within 30 days. Banks are required to calculate an add-on to address potential maturity mismatches between contractual cash outflows and inflows within the 30-day period in determining the total amount of net outflows. The minimum LCR requirement is 90% effective January 2016, increasing to 100% in January 2017.

In November 2015, the Federal Reserve Board issued proposed rules which would require additional disclosures relating to the LCR of large financial institutions, including Citi. Among other things, the proposed rules would require Citi to disclose its average HQLA, LCR and inflows and outflows each quarter, as compared to end-of-period amounts as Citi previously disclosed. In addition, the proposed rules would require disclosure of Citi's calculation of the maturity mismatch add-on as well as other qualitative disclosures. The comment period on the proposed rules ended on February 2, 2016 and, while the Board proposed a July 1, 2016 effective date for these disclosures, final rules have not yet been implemented.

The table below sets forth the components of Citi's LCR calculation and HQLA in excess of net outflows as of the periods indicated:

In billions of dollars

Mar. 31, 2016

Dec. 31, 2015

Mar. 31, 2015

HQLA

$

400.1


$

389.2


$

400.5


Net outflows

333.3


344.4


361.0


LCR

120

%

113

%

111

%

HQLA in excess of net outflows

$

66.8


$

44.8


$

39.5


Note: Amounts for 1Q'16 and 4Q'15 set forth in the table above are presented on an average basis; amounts for 1Q'15 are presented end-of-period (see the discussion preceding the table above). Accordingly, data in 1Q'16 and 4Q'15 is not directly comparable to data in 1Q'15.

As set forth in the table above, Citi's LCR increased sequentially driven both by the increase in HQLA as discussed above, as well as lower net outflows due to a lengthening in the maturity of both deposits and repos.


Net Stable Funding Ratio (NSFR)

On April 26, 2016, the FDIC and the OCC issued a proposed rule to implement the Basel III NSFR requirement, and the Federal Reserve Board is expected to consider a proposed NSFR rule in early May 2016.

Based on the FDIC and OCC proposal, the U.S. proposed NSFR is largely consistent with the Basel Committee's final NSFR rules (for additional information, see "Liquidity Risk- Liquidity Monitoring and Measurement" in Citi's 2015 Annual Report on Form 10-K). In general, the NSFR assesses the availability of a bank's stable funding against a required level. A bank's available stable funding would include portions of equity, deposits and long-term debt, while its required stable funding would be based on the liquidity characteristics of its assets, derivatives and commitments. Standardized weightings would be required to be applied to the various asset and liabilities classes. The ratio of available stable funding to required stable funding would be required to be greater than 100%. The proposal would require full implementation of the NSFR beginning January 1, 2018. Citi continues to review this recently-issued proposal.
















70



Credit Ratings

The table below sets forth the ratings for Citigroup and Citibank as of March 31, 2016 . While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Inc. (CGMI) were A/A-1 at Standard & Poor's and A+/F1 at Fitch as of March 31, 2016 . The long-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were BBB+/A-2 at Standard & Poor's and A/F1 at Fitch as of March 31, 2016.


Citigroup Inc.

Citibank, N.A.

Senior

debt

Commercial

paper

Outlook

Long-

term

Short-

term

Outlook

Fitch Ratings (Fitch)

A

F1

Stable

A+

F1

Stable

Moody's Investors Service (Moody's)

Baa1

P-2

Stable

A1

P-1

Stable

Standard & Poor's (S&P)

BBB+

A-2

Stable

A

A-1

Watch Positive


Potential Impacts of Ratings Downgrades

Ratings downgrades by Moody's, Fitch or S&P could negatively impact Citigroup's and/or Citibank's funding and liquidity due to reduced funding capacity, including derivatives 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, and judgments and uncertainties. Uncertainties include potential ratings limitations that certain entities may have with respect to permissible counterparties, as well as general subjective counterparty behavior. For example, certain corporate customers and markets counterparties could re-evaluate their business relationships with Citi and limit transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi's funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see "Risk Factors- Liquidity Risks" in Citi's 2015 Annual Report on Form 10-K.


Citigroup Inc. and Citibank-Potential Derivative Triggers

As of March 31, 2016 , 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 $0.8 billion, compared to $0.6 billion as of December 31, 2015. Other funding sources, such as securities financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.

As of March 31, 2016 , 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 by approximately $1.3 billion, unchanged from December 31, 2015, due to derivative triggers.

In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, across all three major rating agencies, could result in aggregate cash obligations and collateral requirements of approximately $2.1 billion, compared to $1.9 billion as of December 31, 2015 (see also Note 21 to the Consolidated Financial Statements). As set forth under "High-Quality Liquid Assets" above, the liquidity resources of Citibank were approximately $335 billion and the liquidity resources of Citi's non-bank and other entities were approximately $65 billion, for a total of approximately $400 billion as of March 31, 2016 . These liquidity resources are available in part as a contingency for the potential events described above.



71



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 from 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 one-notch downgrade of Citibank's senior debt/long-term rating by S&P could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of March 31, 2016 , Citibank had liquidity commitments of approximately $10.0 billion to consolidated asset-backed commercial paper conduits, unchanged from December 31, 2015 (as referenced in Note 20 to the Consolidated Financial Statements).

In addition to the above-referenced liquidity resources of certain Citibank and Banamex 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.



72



MARKET RISK


Market risk emanates from both Citi's trading and non-trading portfolios. Trading portfolios comprise all assets and liabilities marked-to-market, with results reflected in earnings. Non-trading portfolios include all other assets and liabilities.

For additional information, see "Market Risk" and "Risk Factors" in Citi's 2015 Annual Report on Form 10-K.


Market Risk of Non-Trading Portfolios

For additional information on Citi's net interest revenue (for interest rate exposure purposes), interest rate risk and interest rate risk measurement, see "Market Risk of Non-Trading Portfolios" in Citi's 2015 Annual Report on Form 10-K.


The following table sets forth the estimated impact to Citi's net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point increase in interest rates.

In millions of dollars (unless otherwise noted)

Mar. 31, 2016

Dec. 31, 2015

Mar. 31, 2015

Estimated annualized impact to net interest revenue

U.S. dollar (1)

$

1,362


$

1,419


$

1,263


All other currencies

587


635


611


Total

$

1,949


$

2,054


$

1,874


As a percentage of average interest-earning assets

0.13

%

0.13

%

0.12

%

Estimated initial impact to AOCI (after-tax) (2)

$

(4,950

)

$

(4,837

)

$

(3,931

)

Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) (3)

(57

)

(57

)

(45

)

(1)

Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the estimated impact to net interest revenue in the table since these exposures are managed economically in combination with mark-to-market positions. The U.S. dollar interest rate exposure associated with these businesses was $(240) million for a 100 basis point instantaneous increase in interest rates as of March 31, 2016 .

(2)

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

(3)

The estimated initial impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi's deferred tax asset position and is based on only the estimated initial AOCI impact above.

The sequential decrease in the estimated impact to net interest revenue primarily reflected changes in the balance sheet composition, including changes in the deposit mix, partially offset by an increasing capital base. The sequential increase in the estimated impact to AOCI primarily reflected changes in the composition of Citi Treasury's investment and interest rate derivatives portfolio.

In the event of an unanticipated parallel instantaneous 100 basis point increase in interest rates, Citi expects the negative impact to AOCI would be offset in stockholders' equity through the combination of expected incremental net interest revenue and the expected recovery of the impact on AOCI through accretion of Citi's investment portfolio over a period of time. As of March 31, 2016, Citi expects that the negative

$5.0 billion impact to AOCI in such a scenario could potentially be offset over approximately 28 months.

The following table sets forth the estimated impact to Citi's net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis) under four different changes in interest rate scenarios for the U.S. dollar and Citi's other currencies. While Citi also monitors the impact of a parallel decrease in interest rates, a 100 basis point decrease in short-term interest rates is not meaningful, as it would imply negative interest rates in many of Citi's markets.




In millions of dollars (unless otherwise noted)

Scenario 1

Scenario 2

Scenario 3

Scenario 4

Overnight rate change (bps)

100


100


-


-


10-year rate change (bps)

100


-


100


(100

)

Estimated annualized impact to net interest revenue

U.S. dollar

$

1,362


$

1,363


$

121


$

(211

)

All other currencies

587


544


33


(34

)

Total

$

1,949


$

1,907


$

154


$

(245

)

Estimated initial impact to AOCI (after-tax) (1)

$

(4,950

)

$

(3,018

)

$

(2,269

)

$

1,896


Estimated initial impact to Common Equity Tier 1 Capital ratio (bps) (2)

(57

)

(34

)

(27

)

22


Note: Each scenario in the table above 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.

(2)

The estimated initial impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi's deferred tax asset position and is based on only the estimated AOCI impact above.


73



As shown in the table above, the magnitude of the impact to Citi's net interest revenue and AOCI is greater under scenario 2 as compared to scenario 3. This is because the combination of changes to Citi's investment portfolio, partially offset by changes related to Citi's pension liabilities, results in a net position that is more sensitive to rates at shorter and intermediate term maturities.

Over the past year, a number of central banks, including the European Central Bank, the Bank of Japan and the Swiss National Bank, have implemented negative interest rates, and additional governmental entities could do so in the future. While negative interest rates can adversely impact net interest revenue (as well as net interest margin), Citi has, to date, been able to partially offset the impact of negative rates in these jurisdictions through a combination of business and Citi Treasury interest rate risk mitigation activities, including applying negative rates to client accounts (for additional information on Citi Treasury's ongoing interest rate mitigation activities, see "Market Risk-Market Risk of Non-Trading Portfolios" in Citi's 2015 Annual Reporting on Form 10-K).


Changes in Foreign Exchange Rates-Impacts on AOCI and Capital

As of March 31, 2016, 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 $1.5 billion, or 0.82% of TCE, as a result of changes to Citi's foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the Euro and the Japanese Yen.

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

The effect of Citi's ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi's TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 18 to the Consolidated Financial Statements.














For the quarter ended

In millions of dollars (unless otherwise noted)

Mar. 31, 2016

Dec. 31, 2015

Mar. 31, 2015

Change in FX spot rate (1)

2.1

%

(1.1

)%

(4.5

)%

Change in TCE due to FX translation, net of hedges

$

396


$

(696

)

$

(1,763

)

As a percentage of TCE

0.2

%

(0.4

)%

(1.0

)%

Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due

  to changes in FX translation, net of hedges (bps)

(1

)

-


-



(1)

FX spot rate change is a weighted average based upon Citi's quarterly average GAAP capital exposure to foreign countries.





74



Interest Revenue/Expense and Net Interest Margin

1st Qtr.

4th Qtr.

1st Qtr.

Change

In millions of dollars, except as otherwise noted

2016

2015

2015

1Q16 vs. 1Q15

Interest revenue (1)

$

14,286


$

14,491


$

14,724


(3

)%

Interest expense

2,940


2,900


3,028


(3

)

Net interest revenue (1)(2)

$

11,346


$

11,591


$

11,696


(3

)%

Interest revenue-average rate

3.68

%

3.66

%

3.67

%

1


bps

Interest expense-average rate

0.99


0.96


0.96


3


bps

Net interest margin

2.92


2.92


2.92


-


bps

Interest-rate benchmarks

Two-year U.S. Treasury note-average rate

0.84

%

0.84

%

0.60

%

24


bps

10-year U.S. Treasury note-average rate

1.91


2.19


1.97


(6

)

bps

10-year vs. two-year spread

107


bps

135


bps

137


bps



Note: All interest expense amounts include FDIC deposit insurance assessments.

(1)

Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $119 million, $126 million, and $124 million for the three months ended March 31, 2016, December 31, 2015 and March 31, 2015, respectively.

(2)

Excludes expenses associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value.



Citi's net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest earning assets. Citi's NIM was 2.92% in the first quarter of 2016, unchanged sequentially as the sale of higher-yielding assets in OneMain Financial in the fourth quarter of 2015 was offset by the impact of higher interest rates.

As noted in the tables above, Citi's interest expense includes the impact of FDIC deposit insurance assessments. As previously disclosed, as part of the Dodd-Frank Act, the FDIC is required to ensure that its deposit insurance fund reserve ratio reaches 1.35% by September 30, 2020. In March

2016, the FDIC issued a final rule that imposes on insured depository institutions with at least $10 billion in assets, which includes Citibank, a surcharge of 4.5 basis points per annum until the fund reaches the required ratio, which the FDIC estimates would take approximately two years. The FDIC has stated it expects that surcharges will commence in the second half of 2016. Based on its current assessment base, Citi estimates the net impact to Citibank would be approximately $500 million over the two-year period.




75



Additional Interest Rate Details

Average Balances and Interest Rates-Assets (1)(2)(3)(4)

Average volume

Interest revenue

% Average rate

1st Qtr.

4th Qtr.

1st Qtr.

1st Qtr.

4th Qtr.

1st Qtr.

1st Qtr.

4th Qtr.

1st Qtr.

In millions of dollars, except rates

2016

2015

2015

2016

2015

2015

2016

2015

2015

Assets

Deposits with banks (5)

$

117,765


$

121,995


$

139,173


$

219


$

189


$

183


0.75

%

0.61

%

0.53

%

Federal funds sold and securities borrowed or purchased under agreements to resell (6)






In U.S. offices

$

150,044


$

150,326


$

151,077


$

374


$

308


$

283


1.00

%

0.81

%

0.76

%

In offices outside the U.S. (5)

78,571


76,087


90,102


273


246


359


1.40

%

1.28

%

1.62

%

Total

$

228,615


$

226,413


$

241,179


$

647


$

554


$

642


1.14

%

0.97

%

1.08

%

Trading account assets (7)(8)






In U.S. offices

$

104,982


$

108,349


$

116,950


$

953


$

1,018


$

918


3.65

%

3.73

%

3.18

%

In offices outside the U.S. (5)

99,118


95,566


111,309


518


447


516


2.10

%

1.86

%

1.88

%

Total

$

204,100


$

203,915


$

228,259


$

1,471


$

1,465


$

1,434


2.90

%

2.85

%

2.55

%

Investments






In U.S. offices






Taxable

$

228,980


$

219,533


$

213,431


$

1,000


$

958


$

940


1.76

%

1.73

%

1.79

%

Exempt from U.S. income tax

19,400


19,833


20,740


169


160


83


3.50

%

3.20

%

1.62

%

In offices outside the U.S. (5)

103,763


104,633


102,168


754


782


769


2.92

%

2.97

%

3.05

%

Total

$

352,143


$

343,999


$

336,339


$

1,923


$

1,900


$

1,792


2.20

%

2.19

%

2.16

%

Loans (net of unearned income) (9)






In U.S. offices

$

350,107


$

357,454


$

357,951


$

5,873


$

5,950


$

6,368


6.75

%

6.60

%

7.21

%

In offices outside the U.S. (5)

262,133


267,493


276,914


3,901


4,025


4,195


5.99

%

5.97

%

6.14

%

Total

$

612,240


$

624,947


$

634,865


$

9,774


$

9,975


$

10,563


6.42

%

6.33

%

6.75

%

Other interest-earning assets (10)

$

47,765


$

51,623


$

45,501


$

252


$

408


$

110


2.12

%

3.14

%

0.98

%

Total interest-earning assets

$

1,562,628


$

1,572,892


$

1,625,316


$

14,286


$

14,491


$

14,724


3.68

%

3.66

%

3.67

%

Non-interest-earning assets (7)

$

214,943


$

211,356


$

227,808


Total assets from discontinued operations

-


-


-


Total assets

$

1,777,571


$

1,784,248


$

1,853,124


(1)

Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $119 million, $126 million, and $124 million for the three months ended March 31, 2016, December 31, 2015 and March 31, 2015, 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)

Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations . See Note  2 to the Consolidated Financial Statements.

(5)

Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(6)

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.

(7)

The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities .

(8)

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

(9)

Includes cash-basis loans.

(10)

Includes brokerage receivables.


76



Average Balances and Interest Rates-Liabilities and Equity, and Net Interest Revenue (1)(2)(3)(4)

Average volume

Interest expense

% Average rate

1st Qtr.

4th Qtr.

1st Qtr.

1st Qtr.

4th Qtr.

1st Qtr.

1st Qtr.

4th Qtr.

1st Qtr.

In millions of dollars, except rates

2016

2015

2015

2016

2015

2015

2016

2015

2015

Liabilities

Deposits

In U.S. offices (5)

$

277,648


$

270,156


$

281,518


$

316


$

294


$

356


0.46

%

0.43

%

0.51

%

In offices outside the U.S. (6)

424,055


426,288


416,878


888


929


970


0.84

%

0.86

%

0.94

%

Total

$

701,703


$

696,444


$

698,396


$

1,204


$

1,223


$

1,326


0.69

%

0.70

%

0.77

%

Federal funds purchased and securities loaned or sold under agreements to repurchase (7)







In U.S. offices

$

103,523


$

102,429


$

106,394


$

260


$

198


$

163


1.01

%

0.77

%

0.62

%

In offices outside the U.S. (6)

59,392


60,861


70,720


242


218


213


1.64

%

1.42

%

1.22

%

Total

$

162,915


$

163,290


$

177,114


$

502


$

416


$

376


1.24

%

1.01

%

0.86

%

Trading account liabilities (8)(9)







In U.S. offices

$

23,636


$

24,627


$

28,040


$

52


$

32


$

23


0.88

%

0.52

%

0.33

%

In offices outside the U.S. (6)

41,676


38,575


45,159


36


26


24


0.35

%

0.27

%

0.22

%

Total

$

65,312


$

63,202


$

73,199


$

88


$

58


$

47


0.54

%

0.36

%

0.26

%

Short-term borrowings (10)







In U.S. offices

$

56,834


$

62,123


$

72,060


$

29


$

40


$

21


0.21

%

0.26

%

0.12

%

In offices outside the U.S. (6)

22,642


27,856


57,078


71


46


98


1.26

%

0.66

%

0.70

%

Total

$

79,476


$

89,979


$

129,138


$

100


$

86


$

119


0.51

%

0.38

%

0.37

%

Long-term debt (11)







In U.S. offices

$

172,429


$

177,836


$

191,555


$

995


$

1,062


$

1,110


2.32

%

2.37

%

2.35

%

In offices outside the U.S. (6)

6,854


8,111


7,007


51


55


50


2.99

%

2.69

%

2.89

%

Total

$

179,283


$

185,947


$

198,562


$

1,046


$

1,117


$

1,160


2.35

%

2.38

%

2.37

%

Total interest-bearing liabilities

$

1,188,689


$

1,198,862


$

1,276,409


$

2,940


$

2,900


$

3,028


0.99

%

0.96

%

0.96

%

Demand deposits in U.S. offices

$

31,336


$

28,025


$

24,018


Other non-interest-bearing liabilities (8)

332,065


334,132


339,129


Total liabilities from discontinued operations

-


-


-


Total liabilities

$

1,552,090


$

1,561,019


$

1,639,556


Citigroup stockholders' equity (12)

$

224,320


$

222,006


$

212,133


Noncontrolling interest

1,161


1,223


1,435


Total equity (12)

$

225,481


$

223,229


$

213,568


Total liabilities and stockholders' equity

$

1,777,571


$

1,784,248


$

1,853,124


Net interest revenue as a percentage of average interest-earning assets (13)

In U.S. offices

$

853,513


$

925,159


$

942,923


$

6,986


$

7,152


$

7,004


3.29

%

3.07

%

3.01

%

In offices outside the U.S. (6)

709,115


647,733


682,393


4,360


4,439


4,692


2.47


2.72


2.79


Total

$

1,562,628


$

1,572,892


$

1,625,316


$

11,346


$

11,591


$

11,696


2.92

%

2.92

%

2.92

%

(1)

Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $119 million, $126 million, and $124 million for the three months ended March 31, 2016, December 31, 2015 and March 31, 2015, respectively.

(2)

Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.

(3)

Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.

(4)

Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations . See Note  2 to the Consolidated Financial Statements.

(5)

Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts, and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.

(6)

Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(7)

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.


77



(8)

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 .

(9)

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.

(10)

Includes brokerage payables.

(11)

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

(12)

Includes stockholders' equity from discontinued operations.

(13)

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


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

1st Qtr. 2016 vs. 4th Qtr. 2015

1st Qtr. 2016 vs. 1st Qtr. 2015

Increase (decrease)

due to change in:

Increase (decrease)

due to change in:

In millions of dollars

Average

volume

Average

rate

Net

change

Average

volume

Average

rate

Net

change

Deposits with banks (4)

$

(7

)

$

37


$

30


$

(31

)

$

67


$

36


Federal funds sold and securities borrowed or

  purchased under agreements to resell

In U.S. offices

$

(1

)

$

67


$

66


$

(2

)

$

93


$

91


In offices outside the U.S. (4)

8


19


27


(43

)

(43

)

(86

)

Total

$

7


$

86


$

93


$

(45

)

$

50


$

5


Trading account assets (5)

In U.S. offices

$

(31

)

$

(34

)

$

(65

)

$

(100

)

$

135


$

35


In offices outside the U.S. (4)

17


54


71


(60

)

62


2


Total

$

(14

)

$

20


$

6


$

(160

)

$

197


$

37


Investments (1)

In U.S. offices

$

42


$

9


$

51


$

64


$

82


$

146


In offices outside the U.S. (4)

(6

)

(22

)

(28

)

12


(27

)

(15

)

Total

$

36


$

(13

)

$

23


$

76


$

55


$

131


Loans (net of unearned income) (6)

In U.S. offices

$

(123

)

$

46


$

(77

)

$

(137

)

$

(358

)

$

(495

)

In offices outside the U.S. (4)

(80

)

(44

)

(124

)

(221

)

(73

)

(294

)

Total

$

(203

)

$

2


$

(201

)

$

(358

)

$

(431

)

$

(789

)

Other interest-earning assets (7)

$

(29

)

$

(128

)

$

(157

)

$

6


$

136


$

142


Total interest revenue

$

(210

)

$

4


$

(206

)

$

(512

)

$

74


$

(438

)

(1)

The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation.

(2)

Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.

(3)

Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations . See Note  2 to the Consolidated Financial Statements.

(4)

Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(5)

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.

(6)

Includes cash-basis loans.

(7)

Includes brokerage receivables.


78



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

1st Qtr. 2016 vs. 4th Qtr. 2015

1st Qtr. 2016 vs. 1st Qtr. 2015

Increase (decrease)

due to change in:

Increase (decrease)

due to change in:

In millions of dollars

Average

volume

Average

rate

Net

change

Average

volume

Average

rate

Net

change

Deposits

In U.S. offices

$

8


$

14


$

22


$

(5

)

$

(35

)

$

(40

)

In offices outside the U.S. (4)

(5

)

(36

)

(41

)

16


(98

)

(82

)

Total

$

3


$

(22

)

$

(19

)

$

11


$

(133

)

$

(122

)

Federal funds purchased and securities loaned or sold under agreements to repurchase

In U.S. offices

$

2


$

60


$

62


$

(5

)

$

102


$

97


In offices outside the U.S. (4)

(5

)

29


24


(38

)

67


29


Total

$

(3

)

$

89


$

86


$

(43

)

$

169


$

126


Trading account liabilities (5)

In U.S. offices

$

(1

)

$

21


$

20


$

(4

)

$

33


$

29


In offices outside the U.S. (4)

2


8


10


(2

)

14


12


Total

$

1


$

29


$

30


$

(6

)

$

47


$

41


Short-term borrowings (6)

In U.S. offices

$

(3

)

$

(8

)

$

(11

)

$

(5

)

$

13


$

8


In offices outside the U.S. (4)

(10

)

35


25


(80

)

53


(27

)

Total

$

(13

)

$

27


$

14


$

(85

)

$

66


$

(19

)

Long-term debt

In U.S. offices

$

(32

)

$

(35

)

$

(67

)

$

(110

)

$

(5

)

$

(115

)

In offices outside the U.S. (4)

(9

)

5


(4

)

(1

)

2


1


Total

$

(41

)

$

(30

)

$

(71

)

$

(111

)

$

(3

)

$

(114

)

Total interest expense

$

(53

)

$

93


$

40


$

(234

)

$

146


$

(88

)

Net interest revenue

$

(157

)

$

(89

)

$

(246

)

$

(278

)

$

(72

)

$

(350

)

(1)

The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation.

(2)

Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.

(3)

Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations . See Note  2 to the Consolidated Financial Statements.

(4)

Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.

(5)

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.

(6)

Includes brokerage payables.



79


Market Risk of Trading Portfolios

For additional information on Citi's market risk of trading portfolios, see "Market Risk-Market Risk of Trading Portfolios" in Citi's 2015 Annual Report on Form 10-K.



Value at Risk

As of March 31, 2016, Citi estimates that the conservative features of its VAR calibration contribute an approximate 22% add-on (compared to 17% at December 31, 2015) to what would be a VAR estimated under the assumption of stable and perfectly normal distributed markets. The increase is largely reflective of market volatility during the first quarter of 2016.

As set forth in the table below, Citi's average Trading VAR and average Trading and Credit Portfolio VAR as of March 31, 2016 were largely unchanged sequentially as changes in interest rate exposure were mostly offset by changes in foreign exchange exposure in the markets sequentially and securities services businesses within ICG

Trading VAR as of March 31, 2016 decreased sequentially due to a change of risk profile in equity markets within ICG , as well as an increase in diversification benefit across businesses. Trading and Credit Portfolio VAR as of March 31, 2016 also decreased sequentially, although the decrease from Trading VAR was partially offset by an increase in CVA exposure.




First Quarter

Fourth Quarter

First Quarter

In millions of dollars

March 31, 2016

2016 Average

Dec. 31, 2015

2015 Average

March 31, 2015

2015 Average

Interest rate

$

37


$

41


$

37


$

35


$

63


$

60


Credit spread

62


64


56


64


71


$

75


Covariance adjustment (1)

(29

)

(27

)

(25

)

(25

)

(34

)

(33

)

Fully diversified interest rate and credit spread

$

70


$

78


$

68


$

74


$

100


$

102


Foreign exchange

25


29


27


35


29


31


Equity

9


15


17


15


25


16


Commodity

17


14


17


16


22


24


Covariance adjustment (1)

(62

)

(56

)

(53

)

(61

)

(69

)

(66

)

Total trading VAR-all market risk factors, including general and specific risk (excluding credit portfolios) (2)

$

59


$

80


$

76


$

79


$

107


$

107


Specific risk-only component (3)

$

7


$

7


$

11


$

7


$

8


$

6


Total trading VAR-general market risk factors only (excluding credit portfolios) (2)

$

52


$

73


$

65


$

72


$

99


$

101


Incremental impact of the credit portfolio (4)

$

29


$

28


$

22


$

28


$

30


$

24


Total trading and credit portfolio VAR

$

88


$

108


$

98


$

107


$

137


$

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 individual risk type. The benefit reflects the fact that the risks within each 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 individual 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 and Citi Holdings, with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.

(3)

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

(4)

The credit portfolio is composed of mark-to-market positions associated with non-trading business units including Citi Treasury, the CVA relating to derivative counterparties and all associated CVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges to the loan portfolio, fair value option loans and hedges to the leveraged finance pipeline within capital markets origination in ICG .



80


The table below provides the range of market factor VARs associated with Citi's total trading VAR, inclusive of specific risk:

First Quarter

Fourth Quarter

First Quarter

2016

2015

2015

In millions of dollars

Low

High

Low

High

Low

High

Interest rate

$

29


$

64


$

28


$

54


$

39


$

84


Credit spread

56


69


56


74


66


94


Fully diversified interest rate and credit spread

$

66


$

97


$

65


$

93


$

86


$

127


Foreign exchange

24


40


23


52


20


43


Equity

9


24


12


23


9


26


Commodity

10


18


14


20


18


37


Total trading

$

59


$

106


$

70


$

104


$

85


$

140


Total trading and credit portfolio

85


131


93


133


108


158


Note: No covariance adjustment can be inferred from the above table as the high and low for each market factor will be from different close of business dates.


The following table provides the VAR for ICG , excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio:

In millions of dollars

Mar. 31, 2016

Total-all market risk factors, including general and specific risk

$

56


Average-during quarter

$

75


High-during quarter

99


Low-during quarter

56



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 exceeded the Regulatory VAR. Given the conservative calibration of Citi's VAR model (as a result of taking the greater of short- and long-term volatilities and fat-tail scaling of volatilities), Citi would expect fewer exceptions under normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.

As of March 31, 2016, there were no back-testing exceptions observed for Citi's Regulatory VAR for the prior 12 months.









81



COUNTRY RISK


For additional information on country risk at Citi, see "Country Risk" and "Risk Factors" in Citi's 2015 Annual Report on Form 10-K.


Emerging Markets Exposures

Citi generally defines emerging markets as countries in Latin America , Asia (other than Japan, Australia and New Zealand), Central and Eastern Europe, the Middle East and Africa.

The following table presents Citicorp's principal emerging markets assets as of March 31, 2016. For

purposes of the table below, loan amounts are 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. Trading account assets and investment securities are generally categorized below based on the domicile of the issuer of the security or the underlying reference entity (for additional information on the assets included in the table, see the footnotes to the table below).



As of March 31, 2016

As of Dec. 31, 2015

As of Mar. 31, 2015

GCB NCL Rate (4)

In billions of dollars

Trading account assets (1)

Investment securities (2)

Corporate loans (3)

GCB  loans (4)

Aggregate (5)

Aggregate (5)

Aggregate (5)

1Q'16

4Q'15

1Q'15

Mexico

$

5.4


$

16.9


$

7.1


$

25.4


$

54.8


$

54.5


$

57.9


4.5

%

4.7

 %

5.3

%

Korea

1.1


9.6


3.0


19.8


33.5


33.5


37.3


0.4


0.4


0.6


India

2.5


8.6


9.6


6.2


27.0


26.6


25.5


0.7


0.8


0.7


Singapore

0.2


6.5


5.1


13.4


25.1


24.4


25.5


0.3


0.3


0.2


Brazil (4)

3.6


3.7


14.6


2.1


23.9


21.8


21.6


7.4


12.6


6.3


Hong Kong

0.7


5.3


7.3


10.4


23.7


24.6


23.7


0.3


0.7


0.4


China

2.7


2.5


8.1


4.7


17.9


17.5


17.4


0.5


0.9


1.0


Taiwan

0.9


1.6


3.7


7.8


14.0


13.1


13.0


0.4


0.4


0.2


Poland

1.6


5.4


2.8


1.6


11.4


9.0


8.6


0.7


(1.3

)

0.5


Malaysia

1.0


0.7


1.9


4.9


8.5


6.9


7.1


0.7


0.7


0.7


Thailand

0.7


1.5


0.8


1.9


4.9


4.2


4.5


2.8


3.2


2.8


Colombia (4)

0.2


0.4


2.5


1.7


4.7


4.4


4.2


3.5


3.5


3.5


UAE

(0.2

)

-


3.3


1.3


4.5


4.0


3.6


4.0


3.2


2.2


Russia

0.5


0.5


2.5


0.9


4.3


4.0


5.7


3.1


3.1


3.0


Indonesia

0.3


1.0


1.6


1.2


4.2


3.7


4.4


3.0


7.8


2.2


Turkey

(0.2

)

0.4


3.7


-


3.9


3.2


3.9


-


-


-


Argentina (4)(6)

0.4


0.4


1.5


0.7


3.0


3.2


3.1


0.7


0.8


1.1


Philippines

0.5


0.4


0.6


1.1


2.5


2.1


2.5


3.6


3.6


4.6


South Africa

(0.2

)

0.7


1.4


-


1.9


1.9


3.2


-


-


-


Hungary

0.4


0.8


0.6


-


1.8


1.5


1.6


-


-


-



Note: Aggregate may not cross-foot due to rounding. Prior periods have been reclassified to conform to current period presentation.

(1)

Trading account assets are shown on a net basis and include derivative exposures where the underlying reference entity is located in that country. Does not include counterparty credit exposures.

(2)

Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost. Does not include investments accounted for under the equity method.

(3)

Corporate loans reflect funded loans within ICG , excluding the private bank, net of unearned income. In addition to the funded loans disclosed in the table above, through its ICG businesses (excluding the private bank), Citi had unfunded commitments to corporate customers in the emerging markets of approximately $34 billion as of March 31, 2016 (compared to $35 billion as of each of the quarters ended December 31, 2015 and March 31, 2015); no single country accounted for more than $4 billion of this amount. For information on ICG private bank loans, see the narrative to the table below.

(4)

As previously announced, effective in the first quarter of 2016, Citi's consumer businesses in Argentina, Brazil and Colombia, which previously were reported as part of Latin America GCB , are reported as part of Citi Holdings, reflecting Citi's intention to exit these businesses. For purposes of the table above only, GCB loans and GCB NCL rate continue to reflect these exposures.

(5)

Aggregate of Trading account assets, Investment securities, Corporate loans and GCB loans , based on the methodologies described above.

(6)

For additional information on Citi's exposures in Argentina, see below.



82



Emerging Markets Trading Account Assets and Investment Securities

In the ordinary course of business, Citi holds securities in its trading accounts and investment accounts, including those above. Trading account assets are marked to market daily, with asset levels varying as Citi maintains inventory consistent with customer needs. Investment securities are recorded at either fair value or historical cost, based on the underlying accounting treatment, and are predominantly held as part of the local entity asset and liability management program or to comply with local regulatory requirements. In the markets in the table above, approximately 99% of Citi's investment securities were related to sovereign issuers as of March 31, 2016.


Emerging Markets Consumer Lending

GCB 's strategy within the emerging markets is consistent with GCB 's overall strategy, which is to leverage its global footprint to serve its target clients. The retail bank seeks to be the preeminent bank for the emerging affluent and affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies. Commercial banking generally serves small- and middle-market enterprises operating in GCB 's geographic markets, focused on clients that value Citi's global capabilities. Overall, Citi believes that its customers are more resilient than the overall market under a wide range of economic conditions. Citi's consumer business has a well-established risk appetite framework across geographies and products that reflects the business strategy and activities and establishes boundaries around the key risks that arise from the strategy and activities.

As of March 31, 2016, GCB had approximately $101 billion of consumer loans outstanding to borrowers in the emerging markets, or approximately 37% of GCB 's total loans, largely unchanged from December 31, 2015 and compared to $106 billion (39%) as of March 31, 2015. Of the approximate $101 billion as of March 31, 2016, the five largest emerging markets – Mexico, Korea, Singapore, Hong Kong and Taiwan – comprised approximately 28% of GCB 's total loans. Within the emerging markets, 33% of Citi's GCB loans were mortgages, 23% were commercial banking loans, 25% were personal loans and 19% were credit card loans, each as of March 31, 2016.

Overall consumer credit quality remained generally stable in the first quarter of 2016, as net credit losses in the emerging markets were 1.7% of average loans, compared to 1.8% and 1.9% in the fourth quarter of 2015 and first quarter of 2015, respectively, consistent with Citi's target market strategy and risk appetite framework.









Emerging Markets Corporate Lending

Consistent with ICG 's overall strategy, Citi's corporate clients in the emerging markets are typically large, multinational corporations that value Citi's global network. Citi aims to establish relationships with these clients that encompass multiple products, consistent with client needs, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory. Citi believes that its target corporate segment is more resilient under a wide range of economic conditions, and that its relationship-based approach to client service enables it to effectively manage the risks inherent in such relationships. Citi has a well-established risk appetite framework around its corporate lending activities, including risk-based limits and approval authorities and portfolio concentration boundaries. For additional information on Citi's corporate lending, see "Credit Risk-Corporate Credit" above.

As of March 31, 2016, corporate loans (excluding the private bank) were approximately $99 billion in the emerging markets, representing approximately 43% of total corporate loans outstanding, compared to $98 billion (44%) and $102 billion (46%) as of December 31, 2015 and March 31, 2015, respectively. No single emerging markets country accounted for more than 6% of Citi's corporate loans as of the end of the first quarter of 2016.

As of March 31, 2016, over 70% of Citi's emerging markets corporate credit portfolio (excluding the private bank), including loans and unfunded lending commitments, was rated investment grade. The majority of the remainder was rated BB or B according to Citi's internal risk measurement system and methodology.

The private bank, which is part of ICG and primarily serves high-net-worth individuals, had approximately $17 billion of loans in the emerging markets as of March 31, 2016, representing approximately 25% of the business's total loans outstanding, unchanged from December 31, 2015 and compared to $18 billion (28%) as of March 31, 2015. Private bank loans are typically secured by liquid collateral or real estate and, consistent with the rest of the ICG loan portfolio, the business has a well-established risk appetite framework around its lending activities, including risk-based limits and approval authorities and portfolio concentration boundaries.

Overall ICG net credit losses in the emerging markets were 0.1% of average loans in the first quarter of 2016, compared to 0.2% and 0.0% in the fourth quarter of 2015 and first quarter of 2015, respectively. The ratio of non-accrual ICG loans to total loans in the emerging markets increased slightly to 0.6% as of March 31, 2016, compared to 0.4% and 0.5% as of December 31, 2015 and March 31, 2015, respectively.






83



Argentina

For additional information relating to Citi's exposures in Argentina, see "Country Risk-Argentina" in Citi's 2015 Annual Report on Form 10-K.

As of March 31, 2016, Citi's net investment in its Argentine operations was approximately $756 million, compared to $747 million at December 31, 2015.

At March 31, 2016, Citi had cumulative translation losses related to its investment in Argentina, net of

qualifying net investment hedges, of approximately $1.95 billion (pretax), which were recorded in stockholders' equity. This compared to $1.88 billion (pretax) as of December 31, 2015. The cumulative translation losses would not be reclassified into earnings unless realized upon sale or liquidation of substantially all of Citibank's Argentine

operations.

As noted above, Citi hedges currency risk in its net investment in Argentina to the extent possible and prudent. As of March 31, 2016, Citi's total hedges against its net investment in Argentina were approximately $627 million (compared to $821 million as of December 31, 2015). The $627 million in total hedges at quarter-end consisted entirely of foreign currency forwards that were recorded as net investment hedges under ASC 815 (compared to $567 million at December 31, 2015); Citi did not maintain any non-qualifying hedges on its net investment as of March 31, 2016.

As of March 31, 2016, Citi had total third-party assets of approximately $3.8 billion in Citi Argentina (compared to $4.4 billion at December 31, 2015), primarily composed of corporate and consumer loans and cash on deposit with and short-term paper issued by the Central Bank of Argentina. A significant portion of these assets was funded with local deposits. Included in the total assets were U.S.-dollar denominated assets of approximately $545 million, compared to approximately $918 million at December 31, 2015. The sequential decrease in U.S.-dollar-denominated assets was largely due to the Argentine government's loosening of foreign exchange controls toward the end of 2015.

In addition to these foreign exchange and other economic risks, as widely reported, Argentina has been engaged in litigation in the U.S. with certain "holdout" bond investors who did not accept restructured bonds in the restructuring of Argentine debt after Argentina defaulted on its sovereign obligations in 2001. On April 22, 2016, Argentina made the final settlement payments to the pertinent investors and the U.S. district court lifted the injunction against Argentina, effectively ending the "holdout" litigation. Citi Argentina believes it should be able to resolve its pending disputes with the Argentine government, including Citi's suspension from certain capital markets activities.

Venezuela

For historical information on foreign exchange controls in Venezuela as well as Citi's exposures in Venezuela, see "Country Risk-Venezuela" in Citi's 2015 Annual Report on Form 10-K.

On March 10, 2016, new foreign exchange control rules went into effect in Venezuela establishing two types of foreign exchange rates: a floating exchange rate (the DICOM rate), which will be the default exchange rate, and a protected exchange rate (the DIPRO rate), to which Citi will not have access. The new rules eliminated the SICAD rate that Citi previously used to remeasure its net bolivar-denominated monetary assets. 

While there continues to be uncertainty regarding certain aspects of Venezuela's new foreign exchange rules, Citi adopted the DICOM rate in remeasuring bolivar-denominated revenues, expenses and net monetary assets effective in the first quarter of 2016. As a result, Citi incurred a charge to earnings of approximately $180 million in the quarter, recorded in ICG , which reflected the write down of virtually all of Citi's net investment in Venezuela.






84



INCOME TAXES


Deferred Tax Assets

For additional information on Citi's deferred tax assets (DTAs), see "Risk Factors-Operational Risks," "Significant Accounting Policies and Significant Estimates-Income Taxes" and Note 9 to the Consolidated Financial Statements in Citi's 2015 Annual Report on Form 10-K.

At March 31, 2016, Citigroup had recorded net DTAs of approximately $46.3 billion, a decrease of $1.6 billion from December 31, 2015. The decrease in DTAs was driven primarily by gains in Other comprehensive income and the continued generation of U.S. taxable earnings in Citicorp.

The following table summarizes Citi's net DTAs balance as of the periods presented. Of Citi's net DTAs as of March 31, 2016, those arising from net operating losses, foreign tax credit and general business credit carry-forwards are 100% deducted in calculating Citi's regulatory capital, while DTAs arising from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see "Capital Resources" above). Approximately $17.3 billion of the net DTAs was not deducted in calculating regulatory capital pursuant to full Basel III implementation standards as of March 31, 2016. Citigroup continually seeks to improve the regulatory capital benefits of its DTAs through tax planning actions, including third-party transactions, as appropriate.

Jurisdiction/Component

DTAs balance

In billions of dollars

March 31,
2016

December 31, 2015

Total U.S.

$

43.9


$