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2013
Annual Report

Table of contents

  • Page 1
    2013 Annual Report

  • Page 2
    ...- Income from Continuing Operations Citicorp Assets Citi Holdings Assets Citigroup Assets Deposits Citigroup Stockholders' Equity Tier 1 Common Ratio1 Tier 1 Capital Ratio1 Book Value per Share Common Shares Outstanding (millions) Market Capitalization Direct Staff (thousands) Totals may not sum due...

  • Page 3
    ... out the agenda I've set for our firm for 2014 and beyond. 2013 was a busy year for the firm and for me personally. I traveled some 200,000 miles visiting 53 cities, met with two clients each day on average, spoke with regulators in nearly every country I visited, had dozens of interactions with...

  • Page 4
    ... values that have served this company so well for more than 200 years. 2013 Revenues: $72 billion By Region By Business NA 44% EMEA 16% LATAM 19% ASIA 21% GCB 53% S&B 32% CTS 15% NA - North America EMEA - Europe, Middle East atd Africa LATAM - Latit America Regiotal results exclude Corporate...

  • Page 5
    ... risk-weighted assets as of 4Q'13. Citigroup's estimated Basel III Tier 1 Common ratio and estimated Supplementary Leverage Ratio are non-GAAP financial measures. For additional information, see the "Capital Resources" section of Citi's 2013 Annual Report on Form 10-K. Tangible Book Value Per Share...

  • Page 6
    ...our people to best serve our clients. And we'll look to save time and money by consolidating our operations in every city and country where we come to work, minimizing costly fragmentation. Much of the resources we save will be reinvested in our businesses where the greatest returns can be generated...

  • Page 7
    ... lines are Credit Cards, Retail Banking, Mortgages and Commercial Banking, which together generate nearly half their revenues outside North America. As of December 31, 2013, these businesses held $332 billion in deposits, had $302 billion in loans and managed $168 billion in assets. GCB operates...

  • Page 8
    ... than cash payments. • Global Finance magazine named Citi Best Consumer Internet Bank in 13 countries, Best Consumer Internet Bank in Asia Pacific and Best in Mobile Banking in Asia. • In Mexico, Banamex started a testing program to launch an innovative technology that guides clients through...

  • Page 9
    ... Thomas Jewelers. Purchase sales were $75 billion during the year, with a loan portfolio totaling $46 billion. By the end of 2013, Citi surpassed its three-year commitment with the Small Business Administration to lend $24 billion to America's small businesses. Citi's Global Client advertising as...

  • Page 10
    ... Private Client as Outstanding Wealth Management Service for the Afï¬,uent. Bank Investment Consultant named 10 Citigold Financial Advisors among the top advisors of 2013. The Citi Mortgage business, which provides loans for home purchase and refinance transactions, originated $58 billion in new...

  • Page 11
    ... Banking Citi's Corporate and Investment Banking franchises provide comprehensive relationship coverage service to ensure the best possible service and responsiveness to our clients. With our strong presence in many nations, we use our country, sector and product expertise to deliver Citi's global...

  • Page 12
    ...Best Equity House in North America and India. Citi VelocitySM e for Education initiative donated a percentage of two months of institutional client FX transaction volumes executed through the Citi Velocity platform to six education-related nonprofits around the world. Private Banker International...

  • Page 13
    ...-trade analysis tools. In 2013, Derivatives Week named Citi Global Derivatives House of the Year, and The Banker named Citi the Most Innovative Bank for Prime Brokerage, Equities, IPOs, Equity-Linked Products and Risk Management. Risk magazine recognized Citi as Client Clearing Service of the Year...

  • Page 14
    ..., 2013 saw the rollout of Interactive Solutions, a new product that allows users to visualize the breadth of TTS client transaction data by mapping the global supply chains of corporate clients, overlaid with Citi's internal risk ratings and available credit facilities. The result is a structural...

  • Page 15
    ... North America indices and the first time Citi was named a sector leader. And for the 11th consecutive year, Citi was included as a component of the FTSE4Good Index, which objectively measures the performance of companies that meet globally recognized corporate responsibility standards. Financial...

  • Page 16
    ... Developing business opportunities with our clients to address critical environmental issues. We support solutions that address climate change, water scarcity, declining biodiversity, human rights and other important challenges. • Citi and the U.S. Overseas Private Investment Corporation announced...

  • Page 17
    ...,j drive,jpassionjandjajhopejj thatjsomeonejwilljbelievejj injyou.jWhatjifjajbankjmadejj thatjitsjjob?jWherejpeoplej comejtogetherjtojcreatejj orjbuildjsomething,jwe'rej therejtojhelpjmakejitjreal.jj Forjoverj200jyears. Aroundjthejworld. THE WORLD'S CITI. IT'S WHEREVER YOU ARE...

  • Page 18
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  • Page 19
    ...For the fiscal year ended December 31, 2013 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) 399 Park Avenue, New York, NY (Address of principal executive offices) 52-1568099...

  • Page 20
    ... ...11. Executive Compensation ...12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters ...13. Certain Relationships and Related Transactions and Director Independence ...14. Principal Accountant Fees and Services ...Part IV 319-320, 322* ** 1. Business...

  • Page 21
    CITIGROUP'S 2013 ANNUAL REPORT ON FORM 10-K OVERVIEW MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Executive Summary Five-Year Summary of Selected Financial Data SEGMENT AND BUSINESS-INCOME (LOSS) AND REVENUES CITICORP Global Consumer Banking North America ...

  • Page 22
    ... range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services and wealth management. Citi has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions...

  • Page 23
    ... income and equity research - Private Bank • Transaction Services and branch-based financial advisors - Residential real estate - Asset management in Latin America • Citi-branded cards - Treasury and trade solutions - Securities and fund services in North America, EMEA, Latin America and Asia...

  • Page 24
    ... finance business in Brazil (Credicard), recorded in Corporate/Other (see Note 2 to the Consolidated Financial Statements). Citigroup's 2012 results included a pretax loss of $4.6 billion ($2.9 billion after-tax) related to the sale of minority investments (for additional information, see "Corporate...

  • Page 25
    ...of which related to the North America mortgage portfolio. $2.6 billion of the $2.8 billion net reserve release related to Consumer lending, with the remainder applicable to Corporate. Citigroup's total allowance for loan losses was $19.6 billion at year-end 2013, or 2.98% of total loans, compared to...

  • Page 26
    ... information on the results of operations of North America RCB for 2013, see "Global Consumer Banking-North America Regional Consumer Banking" below. Year-over-year, international GCB average deposits declined 2%, while average retail loans increased 6%, investment sales increased 15%, average card...

  • Page 27
    ... asset marks and the lower repurchase reserve builds, partially offset by lower consumer revenues and gains on asset sales. Citi Holdings assets declined 25% year-over-year to $117 billion as of year-end 2013, and represented approximately 6% of total Citi's GAAP assets and 19% of its estimated risk...

  • Page 28
    ... Citigroup's net income (loss) Less: Preferred dividends-Basic Impact of the conversion price reset related to the $12.5 billion convertible preferred stock private issuance-Basic Preferred stock Series H discount accretion-Basic Impact of the public and private preferred stock exchange offers...

  • Page 29
    ... value per common share (3) Ratio of earnings to fixed charges and preferred stock dividends $ $ $ $ $ (1) Discontinued operations for 2009-2013 include the sale of Credicard. Discontinued operations in 2012 include a carve-out of Citi's liquid strategies business within Citi Capital Advisors...

  • Page 30
    ... income (loss) and revenues for Citigroup on a segment and business view: CITIGROUP INCOME In millions of dollars 2013 2012 2011 % Change 2013 vs. 2012 % Change 2012 vs. 2011 Income (loss) from continuing operations CITICORP Global Consumer Banking North America EMEA Latin America Asia Total...

  • Page 31
    CITIGROUP REVENUES In millions of dollars 2013 2012 2011 % Change 2013 vs. 2012 % Change 2012 vs. 2011 CITICORP Global Consumer Banking North America EMEA Latin America Asia Total $ 19,778 1,449 9,318 7,624 $ 38,169 $ 9,045 6,462 2,840 4,671 $ 23,018 $ 2,502 3,533 1,822 2,703 $ 10,560 $ 33,...

  • Page 32
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  • Page 33
    ... operating businesses: Global Consumer Banking (which consists of Regional Consumer Banking in North America, EMEA, Latin America and Asia) and Institutional Clients Group (which includes Securities and Banking and Transaction Services). Citicorp also includes Corporate/Other. At December 31, 2013...

  • Page 34
    ... of dollars) Average assets Return on average assets Efficiency ratio Total EOP assets Average deposits Net credit losses as a percentage of average loans Revenue by business Retail banking Cards (1) Total Income from continuing operations by business Retail banking Cards (1) Total 2013 $ 28...

  • Page 35
    ...) $ 7,559 (2)% (2)% (3)% (2)% 10% 11% (11)% (11)% 3% 4% 3% 5% -% 2% 4% 5% (1) Includes both Citi-branded cards and Citi retail services. (2) Reflects the impact of foreign exchange (FX) translation into U.S. dollars at 2013 average exchange rates for all periods presented. NM Not meaningful 17

  • Page 36
    ... ratio Average deposits Net credit losses as a percentage of average loans Revenue by business Retail banking Citi-branded cards Citi retail services Total Income from continuing operations by business Retail banking Citi-branded cards Citi retail services Total NM Not meaningful 2013 $ 16,659...

  • Page 37
    ...2012), primarily related to cards, as well as reserve builds for new loans originated in the Best Buy portfolio during the latter part of 2013, which are expected to continue into 2014. Net income increased 18%, mainly driven by higher mortgage revenues in retail banking and a decline in net credit...

  • Page 38
    ...) Average assets Return on average assets Efficiency ratio Average deposits Net credit losses as a percentage of average loans Revenue by business Retail banking Citi-branded cards Total Income (loss) from continuing operations by business Retail banking Citi-branded cards Total Foreign Currency (FX...

  • Page 39
    ...higher volume-related expenses and continued investment spending on new internal operating platforms. Provisions declined 49% due to a 35% decrease in net credit losses largely resulting from the sales in Turkey and Romania and a net credit recovery in the second quarter 2013. Net credit losses also...

  • Page 40
    ... of dollars) Average assets Return on average assets Efficiency ratio Average deposits Net credit losses as a percentage of average loans Revenue by business Retail banking Citi-branded cards Total Income from continuing operations by business Retail banking Citi-branded cards Total Foreign Currency...

  • Page 41
    ... the financial and operating conditions of these companies and decreases in the value of Citi's collateral securing its loans. Citi's outstanding loans to the top three homebuilders totaled $251 million at year-end 2013. Citi continues to monitor the performance of its Mexico homebuilder clients, as...

  • Page 42
    ... of dollars) Average assets Return on average assets Efficiency ratio Average deposits Net credit losses as a percentage of average loans Revenue by business Retail banking Citi-branded cards Total Income from continuing operations by business Retail banking Citi-branded cards Total Foreign Currency...

  • Page 43
    ...to slow the growth of consumer credit in that market, thus impacting volume growth, lending rates and fees. Non-interest revenue increased 6%, reflecting growth in cards purchase sales, partially offset by a decrease in revenue from foreign exchange products. Despite the continued spread compression...

  • Page 44
    ... sales and trading, foreign exchange, prime brokerage, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG's international presence is supported by trading floors in 75 countries...

  • Page 45
    ...investment and commercial banking services and products for corporations, governments, institutional and public sector entities and high-net-worth individuals. S&B transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products...

  • Page 46
    ... to the prior-year period. Citi's position serving corporate clients for markets products also contributed to the strength and diversity of client flows. •฀ Equity markets revenues increased 1%, due to improved derivatives performance as well as the absence of proprietary trading losses in 2011...

  • Page 47
    ... regions. •฀ Private Bank revenues increased 8%, driven by growth in client assets as a result of client acquisition and development efforts in Citi's targeted client segments. Deposit volumes, investment assets under management and loans all increased, while pricing and product mix optimization...

  • Page 48
    ... cash management and trade finance services for corporations, financial institutions and public sector entities worldwide. Securities and Fund Services provides securities services to investors, such as global asset managers, custody and clearing services to intermediaries, such as broker-dealers...

  • Page 49
    ... Services in future periods. Average deposits and other customer liabilities increased 8%, primarily as a result of client activity in Latin America, EMEA and North America (for additional information on Citi's deposits, see "Managing Global Risk- Market Risk-Funding and Liquidity" below). 2012 vs...

  • Page 50
    ...of Citigroup's total assets, consisting primarily of Citi's liquidity portfolio (approximately $117 billion of cash and cash equivalents and $143 billion of liquid available-for-sale securities). For additional information, see "Balance Sheet Review" and "Managing Global Risk-Market Risk-Funding and...

  • Page 51
    ... reserve builds were $470 million in 2013, compared to $700 million in 2012 (for additional information on Citi's repurchase reserve, see "Managing Global Risk-Credit Risk-Citigroup Residential Mortgages-Representations and Warranties Repurchase Reserve" below). Net interest revenues increased 22...

  • Page 52
    ... billion related to the North America mortgage portfolio, partially offset by losses on asset sales. Loan loss reserves related to the North America mortgage portfolio were utilized to offset a substantial portion of the North America mortgage portfolio net credit losses during 2013. 2012 vs. 2011...

  • Page 53
    ... a $62 million reserve increase in the fourth quarter of 2013 ($30 million of which was recorded in Citi Holdings and $32 million of which was recorded in Corporate/Other for discontinued operations). The increase for the full year 2013 compared to an increase of $266 million during 2012. While the...

  • Page 54
    ... line items of Citi's Consolidated Balance Sheet. For additional information on Citigroup's liquidity resources, including its deposits, short-term and long-term debt and secured financing transactions, see "Managing Global Risk-Market Risk-Funding and Liquidity" below. EOP 4Q13 vs. 3Q13 Increase...

  • Page 55
    ...third quarter of 2013. For further information on Citi's loan portfolios, see generally "Managing Global Risk-Market Risk-Funding and Liquidity" below and Note 15 to the Consolidated Financial Statements. Other Assets Other assets consist of brokerage receivables, goodwill, intangibles and mortgage...

  • Page 56
    .... Federal Funds Purchased and Securities Loaned or Sold Under Agreements to Repurchase (Repos) For further information on Citi's long-term and short-term debt borrowings, see "Managing Global Risk-Market Risk-Funding and Liquidity" below and Note 18 to the Consolidated Financial Statements. Other...

  • Page 57
    ...,102 Assets Cash and deposits with banks $ 17,787 Federal funds sold and securities borrowed or purchased under agreements to resell 5,050 Trading account assets 6,279 Investments 30,403 Loans, net of unearned income and allowance for loan losses 291,531 Other assets 53,495 Total assets Liabilities...

  • Page 58
    ... of business purposes. The securitization arrangements offer investors access to specific cash flows and risks created through the securitization process. The securitization arrangements also assist Citi and Citi's customers in monetizing their financial assets at more favorable rates than Citi or...

  • Page 59
    ...-interest payments (2) Operating and capital lease obligations Purchase obligations Other liabilities (3) Total (1) For additional information about long-term debt obligations, see "Managing Global Risk-Market Risk-Funding and Liquidity" below and Note 18 to the Consolidated Financial Statements...

  • Page 60
    ... its trust preferred securities in contemplation of such future phase out (see "Managing Global Risk-Market Risk-Funding and Liquidity- Long-Term Debt" below). Further, changes in regulatory and accounting standards as well as the impact of future events on Citi's business results, such as corporate...

  • Page 61
    ... 1, 2013. (2) Risk-weighted assets for purposes of the Tier 1 Common, Tier 1 Capital and Total Capital ratios are calculated based on Basel I credit risk and market risk capital rules. As indicated in the table above, Citigroup was "well capitalized" under current federal bank regulatory agency...

  • Page 62
    ..., net of applicable bilateral netting agreements, of approximately $61 billion for interest rate, commodity, equity, foreign exchange and credit derivative contracts as of December 31, 2013, compared with approximately $62 billion as of December 31, 2012. Credit risk-weighted assets also include...

  • Page 63
    ... in qualifying trust preferred securities Net increase in qualifying perpetual preferred stock (2) Net change in qualifying noncontrolling interests Net increase in Tier 1 Capital Balance, end of period Tier 2 Capital Balance, beginning of period Net increase in allowance for credit losses eligible...

  • Page 64
    ... Changes in Credit Risk-Weighted Assets Net decrease in cash and due from banks Net decrease in investment securities Net increase in loans and leases, net Net change in federal funds sold and securities purchased under agreements to resell Net decrease in over-the-counter derivatives Net increase...

  • Page 65
    ... of Citigroup's and Citibank, N.A.'s capital ratios to changes of $100 million in Tier 1 Common Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in risk-weighted assets or quarterly adjusted average total assets (denominator) as of December 31, 2013. This information...

  • Page 66
    ... related DTL Less: Defined benefit pension plan net assets Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general business credit carry-forwards (7) Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments, and MSRs (7)(8) Total...

  • Page 67
    ...177,000 In millions of dollars Credit Risk Market Risk Operational Risk (2)(3) Total (1) Calculated based on the Final Basel III Rules, and with full implementation assumed. (2) Given that operational risk is measured based not only upon Citi's historical loss experience but also is reflective of...

  • Page 68
    ... related DTL Net increase in defined benefit pension plan net assets Net decrease in deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general business credit carryforwards Net change in excess over 10%/15% limitations for other DTAs, certain common stock investments...

  • Page 69
    ... capital standards. Regulatory Capital Standards Developments Basel III Overview Basel II.5 In June 2012, the U.S. banking agencies released final (revised) market risk capital rules (Basel II.5), which became effective on January 1, 2013. Subsequently, in December 2013, the Federal Reserve Board...

  • Page 70
    ... of Total Capital. Advanced Approaches banking organizations such as Citi and Citibank, N.A. are required, however, to participate in, and must receive Federal Reserve Board and OCC approval to exit a parallel run period with respect to the calculation of Advanced Approaches risk-weighted assets...

  • Page 71
    ... those to foreign sovereign governments and banks, corporate and securitization exposures, and counterparty credit risk on derivative contracts. Total risk-weighted assets under the Standardized Approach exclude risk-weighted assets arising from operational risk, require more limited approaches in...

  • Page 72
    ...the release of the Final Basel III Rules, the U.S. banking agencies also issued a notice of proposed rulemaking which would amend the Final Basel III Rules to impose on the eight largest U.S. bank holding companies (currently identified as G-SIBs by the Financial Stability Board, which includes Citi...

  • Page 73
    ... and their affiliates) from engaging in short-term proprietary trading, the Final Volcker Rule also imposes limitations on the extent to which banking entities are permitted to invest in certain "covered funds" (e.g., hedge funds and private equity funds) and requires that such investments be fully...

  • Page 74
    ... Capital Requirements Applicable to Citi and the Ultimate Impact of These Requirements on Citi's Businesses, Products and Results of Operations. Although the U.S. banking agencies issued final Basel III rules applicable to Citigroup and its depository institution subsidiaries, including Citibank...

  • Page 75
    ...capital planning and management remains challenging. It is also not possible to determine what the overall impact of these extensive regulatory capital changes will be on Citi's competitive position (among both domestic and international peers), businesses, product offerings or results of operations...

  • Page 76
    ... possible that Citi could lose market share in its derivatives business or client relationships in jurisdictions where foreign bank competitors can operate without the same constraints. While the implementation and effectiveness of individual derivatives reforms may not in every case be significant...

  • Page 77
    ... or Reorganize Its Businesses or Change Its Capital or Funding Structure in Ways That Could Negatively Impact Its Operations or Strategy. Title I of the Dodd-Frank Act requires Citi to prepare and submit annually a plan for the orderly resolution of Citigroup (the bank holding company) and its...

  • Page 78
    ...U.S. and global financial markets, economic conditions and Citi's businesses and results of operations. The credit rating agencies have also expressed concerns about these issues and have taken actions to downgrade and/or place the long-term sovereign credit rating of the U.S. government on negative...

  • Page 79
    ... foreign exchange controls that limit its ability to convert local currency into U.S. dollars and/or transfer funds outside the country. In such cases, Citi could be exposed to a risk of loss in the event that the local currency devalues as compared to the U.S. dollar (see "Managing Global Risk...

  • Page 80
    ... to limit short-term funding risks, including further increases in the liquidity requirements applicable to securities financing transactions (SFTs), such as requiring larger liquidity buffers for firms with large amounts of SFTs, and/or mandatory margin or haircut requirements on SFTs. As a result...

  • Page 81
    ... customer and counterparty behavior could impact not only Citi's funding and liquidity but also the results of operations of certain Citi businesses. For additional information on the potential impact of a reduction in Citi's or Citibank, N.A.'s credit ratings, see "Managing Global Risk-Market Risk...

  • Page 82
    ... rates and increased loan loss reserves and net credit losses in future periods, which could be significant and would negatively impact its results of operations. For additional information on Citi's Revolving HELOCs portfolio, see "Managing Global Risk-Credit Risk-North America Consumer Mortgage...

  • Page 83
    ... limit Citi's ability to return capital to shareholders and address perceptions about Citi in the market. Because it is not clear how the Federal Reserve Board's proprietary stress test models and qualitative assessment may differ from the modeling techniques and capital planning practices employed...

  • Page 84
    ... Negative Impact on the Results of Operations or Financial Condition of Those Businesses. Through its U.S. Citi-branded cards and Citi retail services credit card businesses within North America Regional Consumer Banking (NA RCB), Citi maintains numerous co-branding relationships with third-party...

  • Page 85
    ... technological risks. Citi outsources certain functions, such as processing customer credit card transactions, uploading content on customer-facing websites, and developing software for new products and services. These relationships allow for the storage and processing of customer information, by...

  • Page 86
    ... its financial or contractual obligations. Market risk encompasses funding risk, liquidity risk and price risk. Price risk losses arise from fluctuations in the market value of trading and non-trading positions resulting from changes in interest rates, credit spreads, foreign exchange rates, equity...

  • Page 87
    ... line of defense: Citi's Internal Audit function independently provides assurance, based on a risk-based audit plan approved by the Board of Directors, that processes are reliable, and governance and controls are effective. The Chief Risk Officer, with oversight from the Risk Management and Finance...

  • Page 88
    ... Credit Market and Real Estate Risk, Treasury & Model Validation Product Chief Risk Officers Chief Risk Officer Regions / Legal Entities EMEA Mexico & Latin America Citi Holdings Citibank, N.A. & Japan Global Risk Management Systemic Risk Chief Administrative Office Policies and Processes...

  • Page 89
    ... management actions. •฀฀ ICG Risk Management Committee: reviews the risk profile of the Institutional Clients Group, discusses pertinent risk issues in trading, global transaction services, structuring and lending businesses and reviews strategic risk decisions for consistency with Citi's risk...

  • Page 90
    ...developing risk management and mitigation strategies. In addition to Citi's ongoing, internal stress testing described above, Citi is also required to perform stress testing on a periodic basis for a number of regulatory exercises, including the Federal Reserve Board's Comprehensive Capital Analysis...

  • Page 91
    ... Market Risk Management Funding and Liquidity Risk Overview High-Quality Liquid Assets Deposits Long-Term Debt Secured Financing Transactions and Short-Term Borrowings Liquidity Management, Measurement and Stress Testing Credit Ratings Country Risk Cross-Border Risk (1) For additional information...

  • Page 92
    ... capital markets derivative transactions; •฀฀ structured finance; and •฀฀ repurchase agreements and reverse repurchase transactions. Credit risk also arises from settlement and clearing activities, when Citi transfers an asset in advance of receiving its counter-value or advances funds...

  • Page 93
    ...In millions of dollars 2013 2012 2011 2010 2009 Consumer loans In U.S. offices Mortgage and real estate (1) Installment, revolving credit, and other Cards Commercial and industrial Lease financing In offices outside the U.S. Mortgage and real estate (1) Installment, revolving credit, and other...

  • Page 94
    ... Commercial & industrial, and other In U.S. offices In offices outside the U.S. Loans to financial institutions In U.S. offices In offices outside the U.S. Mortgage and real estate In U.S. offices In offices outside the U.S. Net credit losses In U.S. offices (1)(2) In offices outside the U.S. Total...

  • Page 95
    ...cards (2) North America mortgages (3)(4) North America other International cards International other (5) Total Consumer Total Corporate Total Citigroup (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...

  • Page 96
    ..., 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...

  • Page 97
    ... of home equity loans where the related residential first mortgage was 90 days or more past due. The vast majority of these loans were current at the time of reclassification. The reclassification reflected regulatory guidance issued on January 31, 2012. The reclassification had no impact on Citi...

  • Page 98
    ... status of home equity loans where the related residential first mortgage was 90 days or more past due. For additional information on each of these items, see footnote 2 to the "Non-Accrual Loans" table above. (2) The allowance for loan losses includes the allowance for Citi's credit card portfolios...

  • Page 99
    ... 2013 total $ 3,159 1,467 $ 1,692 The following table presents Citi's loans modified in TDRs. In millions of dollars Dec. 31, 2013 Dec. 31, 2012 In millions of dollars Corporate renegotiated loans (1) In U.S. offices Commercial and industrial (2) Mortgage and real estate (3) Loans to financial...

  • Page 100
    ..., 2013, the residential first mortgage portfolio also had $0.8 billion of loans subject to long-term standby commitments (LTSCs) with U.S. government-sponsored entities (GSEs) for which Citi has limited exposure to credit losses, compared to $1.0 billion at December 31, 2012. Citi's home equity loan...

  • Page 101
    ...CitiMortgage business, and (ii) approximately $15 million of charge-offs related to a change in the estimate of net credit losses related to collateral dependent loans to borrowers that have gone through Chapter 7 bankruptcy. (4) Year-over-year change in the S&P/Case-Shiller U.S. National Home Price...

  • Page 102
    ... mortgages during the year. For additional information on Citi's residential first mortgage loan modifications, see Note 15 to the Consolidated Financial Statements. Citi's ability to reduce delinquencies or net credit losses in its residential first mortgage portfolio pursuant to asset sales...

  • Page 103
    ... with Citi's sale of mortgage servicing rights (MSRs) announced in January 2014, Citi and Fannie Mae substantially resolved pending and future compensatory fee claims related to Citi's servicing of the loans sold in the transaction (for additional information, see "Mortgage Servicing Rights...

  • Page 104
    ... on certain FICO and combined loan-to-value (CLTV) characteristics of the portfolio) and the year in which they reset: North America Home Equity Lines of Credit Amortization-Citigroup Total Ending Net Receivables (ENR) by Reset Year In billions of dollars as of December 31, 2013 FICO 660+,CLTV>100...

  • Page 105
    ...charge-offs related to a change in the estimate of net credit losses related to collateral dependent loans to borrowers that have gone through Chapter 7 bankruptcy. 34 4Q'12 1Q'13 2Q'13 3Q'13 4Q'13 North America Home Equity Loan Delinquencies-Citi Holdings In billions of dollars Days Past Due...

  • Page 106
    ... limited as compared to residential first mortgages. North America Home Equity Loans-State Delinquency Trends The following tables set forth, for total Citigroup, the six states and/or regions with the highest concentration of Citi's home equity loans as of December 31, 2013 and December 31, 2012...

  • Page 107
    ...In managing this risk, Citi economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities classified as trading account assets. Citi's MSRs totaled...

  • Page 108
    ... and warranty repurchase claims on a pool of residential first mortgage loans that were, in each case, originated between 2000 and 2012. The change in estimate in the repurchase reserve during 2013 primarily resulted from GSE loan documentation requests received prior to the respective agreements...

  • Page 109
    ... the quarterly periods presented: In millions of dollars December 31, 2013 $22 September 30, 2013 $46 June 30, 2013 $220 March 31, 2013 $190 Three Months Ended December 31, 2012 $157 GSEs and others In addition to the amounts set forth in the table above, Citi recorded make-whole payments of...

  • Page 110
    ... 31, 2013, 2012 and 2011, respectively. (5) The 90+ days and 30-89 days past due and related ratios for North America Citi Holdings exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. agencies. The...

  • Page 111
    ... interest and fees on credit cards. (2) The ratios of net credit losses are calculated based on average loans, net of unearned income. (3) 2012 includes approximately $635 million of incremental charge-offs related to OCC guidance issued in the third quarter of 2012, which required mortgage loans to...

  • Page 112
    ... of dollars at year end 2013 Total U.S. Consumer mortgage loan portfolio Residential first mortgages Home equity loans Total Fixed/variable pricing of U.S. Consumer mortgage loans with maturities due after one year Loans at fixed interest rates Loans at floating or adjustable interest rates Total...

  • Page 113
    ... 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. For corporate clients and investment banking activities across Citi, the credit process...

  • Page 114
    ... to outright asset sales. The purpose of these transactions is to transfer credit risk to third parties. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected in Principal transactions on the Consolidated Statement of Income. At December 31, 2013 and...

  • Page 115
    ... but within 5 years Over 5 years In millions of dollars at December 31, 2013 Total Corporate loan portfolio maturities In U.S. offices Commercial and industrial loans $ 16,186 Financial institutions 12,424 Mortgage and real estate 14,563 Lease financing 816 Installment, revolving credit, other 17...

  • Page 116
    ... by short-term borrowings, primarily in the form of secured financing transactions. As referenced above, Citigroup works to ensure that the structural tenor of these funding sources is sufficiently long in relation to the tenor of its asset base. The goal of Citi's asset/liability management is...

  • Page 117
    ... above, Citigroup's liquidity resources at December 31, 2013 increased from both September 30, 2013 and December 31, 2012. At the end of 2012, Citi had purposefully decreased its liquidity resources, primarily through long-term debt reductions and a one-time cash outflow on deposits related to the...

  • Page 118
    ...'s Markets businesses, while deposits increased in the Private Bank. Corporate/Other deposits also increased year-over-year as Citi issued tenored time deposits to further diversify its funding sources. Average deposits increased 3% year-over-year and 4% quarter-over-quarter, despite the transfer of...

  • Page 119
    ....5 Parent Benchmark Debt: Senior debt Subordinated debt Trust preferred Customer-Related Debt: Structured debt Non-Structured debt Local Country and Other (1) (2) Bank FHLB Borrowings Securitizations (3) Local Country and Other (2) Total long-term debt Note: Amounts represent the current value of...

  • Page 120
    ...$ 221.1 Parent Benchmark Debt: Senior debt Subordinated debt Trust preferred Customer-Related Debt: Structured debt Non-Structured debt Local Country and Other Bank FHLB borrowings Securitizations Local Country and Other Total long-term debt Secured Financing Transactions and Short-Term Borrowings...

  • Page 121
    ... of dollars Amounts outstanding at year end Average outstanding during the year (3)(4) Maximum month-end outstanding Weighted-average interest rate During the year (3)(4)(5) At year end (6) (1) (2) (3) (4) (5) (6) Federal funds purchased and securities sold under agreements to repurchase 2013 2012...

  • Page 122
    ... agency mortgage-backed securities and foreign sovereign debt; and a certain amount of highly rated investment-grade credits. While the vast majority of Citi's liquidity pool at December 31, 2013 consisted of long positions, Citi utilizes derivatives to manage its interest rate and currency risks...

  • Page 123
    ...certain corporate customers and trading counterparties could re-evaluate their business relationships with Citi and limit the trading of 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...

  • Page 124
    ... could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank, N.A. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or...

  • Page 125
    ... below. Price Risk-Non-Trading Portfolios Mitigation and Hedging of Interest Rate Risk In order to manage changes in interest rates effectively, Citi may modify pricing on new customer loans and deposits, enter into transactions with other institutions or enter into derivative transactions that...

  • Page 126
    ...-to-market positions. The U.S. dollar interest rate exposure associated with these businesses was $(256) million for a 100 basis point instantaneous increase in interest rates as of December 31, 2013. (3) Includes the effect of changes in interest rates on OCI related to investment securities, cash...

  • Page 127
    ... due to changes in foreign currency translation (bps) (2) (1) (2) (1) FX spot rate change is a weighted average based upon Citi's quarterly average GAAP capital exposure to foreign countries. The effect of Citi's business model and management strategies on changes in foreign exchange rates are...

  • Page 128
    ... as Long-term debt and accounted for at fair value with changes recorded in Principal transactions. (3) Interest revenue, expense, rates and volumes exclude Credicard (Discontinued operations) for all periods presented. See Note 2 to the Consolidated Financial Statements. Citi's net interest...

  • Page 129
    ... 2012 2011 0.80% 1.03% In millions of dollars, except rates 2013 $ 144,904 2013 $ 1,026 2013 0.71% Assets Deposits with banks (5) Federal funds sold and securities borrowed or purchased under agreements to resell (6) In U.S. offices In offices outside the U.S. (5) Total Trading account assets...

  • Page 130
    ... 2012 2011 In millions of dollars, except rates 2013 2013 2013 Liabilities Deposits In U.S. offices (5) In offices outside the U.S. (6) Total Federal funds purchased and securities loaned or sold under agreements to repurchase (7) In U.S. offices In offices outside the U.S. (6) Total Trading...

  • Page 131
    ...2012 vs. 2011 Increase (decrease) due to change in: Average Net rate change $ (367) $ (481) In millions of dollars Deposits with banks (4) Federal funds sold and securities borrowed or purchased under agreements to resell In U.S. offices In offices outside the U.S. (4) Total Trading account assets...

  • Page 132
    ... 137 Deposits In U.S. offices In offices outside the U.S. (4) Total Federal funds purchased and securities loaned or sold under agreements to repurchase In U.S. offices In offices outside the U.S. (4) Total Trading account liabilities In U.S. offices In offices outside the U.S. (4) Total Short-term...

  • Page 133
    ...a new product approval process for complex products. All trading positions are marked to market, with the results reflected in earnings. The following histogram of total daily trading-related revenue (loss) captures trading volatility and shows the number of days in which revenues for Citi's trading...

  • Page 134
    ... second-order sensitivities of positions to changes in market prices) of various asset classes/ risk types (such as interest rate, foreign exchange, equity and commodity risks). Citi's VAR includes all positions, which are measured at fair value; it does not include investment securities classified...

  • Page 135
    ... the organization (trading desk level, ICG business segment and Citigroup) and the฀results฀are฀shared฀with฀the฀U.S.฀banking฀regulators. Significant฀VAR฀model฀and฀assumption฀changes฀must฀be฀independently฀ validated within Citi's risk management organization. This...

  • Page 136
    ... position from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, intra-day trading profit and loss on new and terminated trades, as well as changes in reserves. Therefore it is not comparable to the trading-related revenue presented...

  • Page 137
    ... of Citi's Board of Directors. Operational risk is measured and assessed through risk capital (see "Managing Global Risk-Risk Capital" above). Projected operational risk losses under stress scenarios are also required as part of the Federal Reserve Board's CCAR process. As new products and business...

  • Page 138
    ... risk exposures. For additional information, see "Managing Global Risk" above. As part of this risk management process, Citi has a dedicated country risk unit that assesses and manages its country risk exposures. Citi's independent risk management, working with input from the businesses and finance...

  • Page 139
    ... on a net basis. Citi's trading account assets will vary as it maintains inventory consistent with customer needs. Investment securities include securities available for sale, recorded at fair market value, and securities held to maturity, recorded at historical cost. Reflects funded loans, net of...

  • Page 140
    ...-฀Mexico,฀Korea,฀Singapore,฀Hong฀Kong฀and฀India- comprised approximately 28% of GCB's total loans. Within the emerging markets, 28% of Citi's GCB loans were mortgages, 27% were commercial markets loans, 23% were personal loans, and 22% were credit cards loans, each as of year-end 2013...

  • Page 141
    ... as the financial institutions and corporations domiciled in these countries, are important clients in the global Citi franchise. Citi fully expects to maintain its presence in these markets to service all of its global customers. As such, Citi's exposures in these countries may vary over time based...

  • Page 142
    ..."Retail, Small Business and Citi Private Bank" below. Citi has exposures to obligors located within the GIIPS that are not included in the table above because Citi's internal risk management systems determine that the client relationship, taken as a whole, is not in the GIIPS (e.g., a funded loan to...

  • Page 143
    ...activities฀for฀clients฀ in฀its฀trading฀portfolios.฀Citi฀also฀purchases฀credit฀protection,฀through฀CDS,฀ to hedge its own credit exposure to these underlying entities that arises from loans to these entities or derivative transactions with these entities. Citi฀buys฀and...

  • Page 144
    ...,฀2013),฀most฀of฀which฀was฀ in cash, against all secured financing transactions. Consistent with Citi's risk management systems, secured financing transactions are included in the counterparty derivative mark-to-market exposure at their net credit exposure value, which is typically small...

  • Page 145
    ...in฀Spain,฀principally฀ related to offshore exposures related to held-to-maturity securitized retail assets฀(primarily฀mortgage-backed฀securities)฀(see฀"Retail,฀Small฀Business฀ and Citi Private Bank" above) and government bonds. However, as of December 31, 2013, Citi's estimated...

  • Page 146
    ...currency into non-local currency and/or the transfer of funds outside the country, among other risks, thereby impacting the ability of Citigroup and its customers to transact business across borders. Examples of cross-border risk include actions taken by foreign governments such as exchange controls...

  • Page 147
    ...cross-border loans, securities, deposits with banks, investments in affiliates and other monetary assets, as well as net revaluation gains on foreign exchange and derivative products. (4) Commitments (not included in total outstanding) include legally binding cross-border letters of credit and other...

  • Page 148
    ...and Venezuela Developments Citi operates in several countries with strict foreign exchange controls that limit฀its฀ability฀to฀convert฀local฀currency฀into฀U.S.฀dollars฀and/or฀transfer฀ funds outside the country. In such cases, Citi could be exposed to a risk of loss฀in฀the...

  • Page 149
    ... 31, 2013, composed primarily of cash, loans and debt securities. In January 2014, the Venezuelan government announced that the exchange rate to be applied to foreign currency transactions related to foreign฀investment฀and฀various฀other฀operations฀will฀be฀the฀SICAD฀rate฀ going...

  • Page 150
    ... financial investments, such as derivatives, on the basis of the net open risk position, the liquidity reserve is adjusted to take into account the size of the position. Citi uses the relevant benchmark curve for the currency of the derivative (e.g., the London Interbank Offered Rate for U.S. dollar...

  • Page 151
    ... management activities. Through these contracts, Citi either purchases or writes protection on either a singlename or portfolio basis. Citi primarily uses credit derivatives to help mitigate credit risk in its corporate loan portfolio and other cash positions, and to facilitate client transactions...

  • Page 152
    The following tables summarize the key characteristics of Citi's credit derivatives portfolio by counterparty and derivative form as of December 31, 2013 and 2012: Fair values December 31, 2013 In millions of dollars Receivable (1) $24,992 8,840 138 6,447 $40,417 $40,233 184 $40,417 $12,062 15,216 ...

  • Page 153
    ... other Total by instrument By rating Investment grade Non-investment grade Not rated Total by rating By maturity Within 1 year From 1 to 5 years After 5 years Total by maturity Note: Fair values shown in table above are prior to application of any netting agreements, cash collateral, and market or...

  • Page 154
    ...rates, currency rates and option volatilities. Where a model is internally developed and used to price a significant product, it is subject to validation and testing by Citi's separate model verification group. Such models are often based on a discounted cash flow analysis. In addition, items valued...

  • Page 155
    ... orderly debt servicing, among other things, are all taken into account during this review. Changes in these estimates could have a direct impact on Citi's credit costs in any period and could result in a change in the allowance. Changes to the allowance are recorded in the Provision for loan losses...

  • Page 156
    ...reporting unit structure in 2012, although selected names were changed and certain underlying businesses were transferred between certain reporting units in the third quarter of 2013. Specifically, assets were transferred from the legacy Brokerage Asset Management reporting unit to the Special Asset...

  • Page 157
    ... used discount rates that Citi believes adequately reflected the risk and uncertainty in the financial markets generally and specifically in the internally generated cash flow projections. The DCF method employs a capital asset pricing model in estimating the discount rate. Citi continues to value...

  • Page 158
    ... sale or restructuring of certain businesses can produce significant U.S. taxable income within the relevant carry-forward periods. Based upon the foregoing discussion, Citi believes the U.S. federal and New York state and city net operating loss carry-forward period of 20 years provides enough time...

  • Page 159
    ...SEC's rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO) as appropriate to allow for timely decisions regarding...

  • Page 160
    ... on this assessment, management believes that, as of December 31, 2013, Citi's internal control over financial reporting was effective. In addition, there were no changes in Citi's internal control over financial reporting during the fiscal quarter ended December 31, 2013 that materially affected...

  • Page 161
    ... government credit rating on Citi's businesses, results of operations, capital, funding and liquidity; • risks arising from Citi's extensive operations outside of the U.S., including in the emerging markets, including foreign exchange controls, limitations on foreign investments, sociopolitical...

  • Page 162
    ... rates, loan loss reserves and net credit losses as Citi's revolving home equity lines of credit begin to "reset"; • results from the Comprehensive Capital Analysis and Review (CCAR) process and evolving supervisory stress tests and the potential impacts on Citi's ability to return capital...

  • Page 163
    ...balance sheets of Citigroup as of December 31, 2013 and 2012, and the related consolidated statements of income, comprehensive income, changes in stockholders' equity and cash flows for each of the years in the threeyear period ended December 31, 2013, and our report dated March 3, 2014 expressed an...

  • Page 164
    ..., 2013 and 2012, and the related consolidated statements of income, comprehensive income, changes in stockholders' equity and cash flows for each of the years in the three-year period ended December 31, 2013. These consolidated financial statements are the responsibility of the Company's management...

  • Page 165
    ... Transactions Note 7 - Incentive Plans Note 8 - Retirement Benefits Note 9 - Income Taxes Note 10 - Earnings per Share Note 11 - Federal Funds, Securities Borrowed, Loaned and Subject to Repurchase Agreements Note 12 - Brokerage Receivables and Brokerage Payables Note 13 - Trading Account Assets...

  • Page 166
    ... recognition of a $1,181 million impairment charge related to Citi's investment in Akbank. The remaining MSSB interest was sold during 2013. See Note 14 to the Consolidated Financial Statements. (2) Other revenue for 2012 includes a $1,344 million loss related to the sale of a 14% interest in MSSB...

  • Page 167
    ... income (loss) Net change in unrealized gains and losses on investment securities, net of taxes Net change in cash flow hedges, net of taxes Benefit plans liability adjustment, net of taxes (1) Net change in foreign currency translation adjustment, net of taxes and hedges Citigroup's total other...

  • Page 168
    ... segregated cash and other deposits) Deposits with banks Federal funds sold and securities borrowed or purchased under agreements to resell (including $141,481 and $160,589 as of December 31, 2013 and December 31, 2012, respectively, at fair value) Brokerage receivables Trading account assets...

  • Page 169
    ...2012, respectively, at fair value) Total deposits Federal funds purchased and securities loaned or sold under agreements to repurchase (including $51,545 and $116,689 as of December 31, 2013 and December 31, 2012, respectively, at fair value) Brokerage payables Trading account liabilities Short-term...

  • Page 170
    ... primarily consists of open market purchases under Citi's Board of Directors-approved common stock repurchase program. 2013 and other periods also include treasury stock related to (i) activity on employee stock option program exercises where the employee delivers existing shares to cover the option...

  • Page 171
    ...Deferred tax provision (benefit) Provision for credit losses Realized gains from sales of investments Net impairment losses recognized in earnings Change in trading account assets Change in trading account liabilities Change in federal funds sold and securities borrowed or purchased under agreements...

  • Page 172
    ...sale from loans Transfers to OREO and other repossessed assets Transfers to trading account assets from investments (held-to-maturity) Non-cash financing activities Increase in short-term borrowings due to consolidation of a commercial paper conduit The Notes to the Consolidated Financial Statements...

  • Page 173
    ...Foreign Currency Translation Citibank, N.A. is a commercial bank and wholly owned subsidiary of Citigroup Inc. Citibank's principal offerings include: Consumer finance, mortgage lending, and retail banking products and services; investment banking, commercial banking, cash management, trade finance...

  • Page 174
    ... Other revenue. Investment Securities The Company uses a number of valuation techniques for investments carried at fair value, which are described in Note 25 to the Consolidated Financial Statements. Realized gains and losses on sales of investments are included in earnings. Trading Account Assets...

  • Page 175
    ...Financial Statements, the Company uses a discounted cash flow technique to determine the fair value of repo and reverse repo transactions. Loans are reported at their outstanding principal balances net of any unearned income and unamortized deferred fees and costs except that credit card receivable...

  • Page 176
    ... real estate (both open- and closed-end) loans when payments are 90 days contractually past due. For credit cards and unsecured revolving loans, however, Citi generally accrues interest until payments are 180 days past due. As a result of OCC guidance issued in the first quarter of 2012, home equity...

  • Page 177
    ... to Other revenue. The related cash flows are classified in the Consolidated Statement of Cash Flows in the cash flows from operating activities category on the line Change in loans held-for-sale. Allowance for Loan Losses Allowance for loan losses represents management's best estimate of probable...

  • Page 178
    ... Chief Financial Officer review the adequacy of the credit loss reserves each quarter with representatives from the risk management and finance staffs for each applicable business area. Applicable business areas include those having classifiably managed portfolios, where internal credit-risk ratings...

  • Page 179
    ... cash flows, the entire change in present value is recorded in the Provision for loan losses. Statistically calculated losses inherent in the classifiably managed portfolio for performing and de minimis non-performing exposures. The calculation is based on: (i) Citi's internal system of credit-risk...

  • Page 180
    ... Consolidated Statement of Income) and is updated quarterly. Any change in estimate is recorded in Other revenue. Goodwill Intangible Assets Intangible assets-including core deposit intangibles, present value of future profits, purchased credit card relationships, other customer relationships, and...

  • Page 181
    ... directly or through the use of derivative financial products, including interest-rate swaps, futures, forwards, and purchased options, as well as foreign-exchange contracts. These end-user derivatives are carried at fair value in Other assets, Other liabilities, Trading account assets and Trading...

  • Page 182
    ...fair value, with changes in value included in Principal transactions or Other revenue. Citigroup often uses economic hedges when qualifying for hedge accounting would be too complex or operationally burdensome; examples are hedges of the credit risk component of commercial loans and loan commitments...

  • Page 183
    ...affiliates. These transactions, which are primarily short-term in nature, include cash accounts, collateralized financing transactions, margin accounts, derivative trading, charges for operational support and the borrowing and lending of funds, and are entered into in the ordinary course of business...

  • Page 184
    ... 17, 2013. By introducing a new benchmark interest rate eligible for hedging under ASC 815, this ASU improves the Company's ability to manage interest rate risk by allowing the designation of hedging derivatives that are more closely aligned with the interest rate risk profile of certain assets and...

  • Page 185
    ... levels of the fair value hierarchy. The ASU became effective for Citigroup on January 1, 2012. As a result of implementing the prohibition on valuation adjustments where the size of the Company's position is a characteristic, the Company released reserves of approximately $125 million, increasing...

  • Page 186
    ...a Net Operating Loss Carry-forward, a Similar Tax Loss, or a Tax Credit Carry-forward Exists In January 2014, the FASB issued ASU 2014-04, Receivables-Troubled Debt Restructurings by Creditors (Subtopic 310-40): Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon...

  • Page 187
    ... proposed guidance developed by the FASB with the goal of improving financial reporting about expected credit losses on loans, securities and other financial assets held by banks, financial institutions, and other public and private organizations. The exposure draft proposes a new accounting model...

  • Page 188
    ...of taxes (1) Total revenues include gain or loss on sale, if applicable. Cash Flows from Discontinued Operations In millions of dollars 2013 $ 197 (207) - $ (10) 2012 $(205) 195 16 $ 6 2011 $ 28 (44) - $(16) Summarized financial information for Discontinued operations for the operations related...

  • Page 189
    ...its credit card business. The sale closed in April 2011. An after-tax gain on sale of $126 million was recognized upon closing. Egg operations had total assets and total liabilities of approximately $2.7 billion and $39 million, respectively, at the time of sale. Summarized financial information for...

  • Page 190
    ...businesses: North America, EMEA, Latin America and Asia. The Company's ICG segment is composed of Securities and Banking and Transaction Services and provides corporate, institutional, public sector and high-net-worth clients in approximately 100 countries with a broad range of banking and financial...

  • Page 191
    ... Investments, including dividends Trading account assets (1) Other interest Total interest revenue Interest expense Deposits (2) Federal funds purchased and securities loaned or sold under agreements to repurchase Trading account liabilities (1) Short-term borrowings Long-term debt Total interest...

  • Page 192
    ... Transaction services Other Consumer (1) Checking-related Loan servicing Corporate finance (2) Other Total commissions and fees (1) Primarily consists of fees for investment fund administration and management, third-party collections, commercial demand deposit accounts and certain credit card...

  • Page 193
    ...Holdings Total Citigroup Interest rate contracts (1) Foreign exchange contracts (2) Equity contracts (3) Commodity and other contracts (4) Credit derivatives (5) Total (1) Includes revenues from government securities and corporate debt, municipal securities, preferred stock, mortgage securities and...

  • Page 194
    ... of any pretax loss by a participant's business in the calendar year preceding the scheduled vesting date. For CAP awards made in February 2013 and later, a minimum reduction of 20% applies for the first dollar of loss. The annual incentive award structure and terms and conditions described above...

  • Page 195
    ... by prior employers that were forfeited when the employees joined Citigroup. As such, the vesting schedules and terms and conditions of these awards generally are structured to match the vesting schedules and terms and conditions of the forfeited awards. The expense recognized in 2013 and 2012 for...

  • Page 196
    ... to certain of its executive officers. The options have six-year terms and vest in three equal annual installments beginning on February 14, 2012. The exercise price of the options is $49.10, which was the closing price of a share of Citigroup common stock on the grant date. On any exercise of the...

  • Page 197
    ... in October 2012. Information with respect to stock option activity under Citigroup stock option programs for the years ended December 31, 2013, 2012 and 2011 is as follows: 2013 Weightedaverage exercise price $ 51.20 - 212.35 528.40 40.81 $ 50.72 Intrinsic value per share $ - - - - 9.54 $1.39...

  • Page 198
    ...to be recognized over a weighted-average period of 0.1 years. Valuations and related assumptions for Citigroup option programs are presented below. Citigroup uses a lattice-type model to value stock options. For options granted during 2013 N/A N/A N/A N/A N/A N/A 2012 N/A N/A N/A N/A N/A N/A 2011...

  • Page 199
    ... assets Amortization of unrecognized Net transition obligation Prior service cost (benefit) Net actuarial loss Curtailment loss Settlement (gain) loss Special termination benefits Net qualified (benefit) expense Nonqualified plans expense Cumulative effect of change in accounting policy (1) Total...

  • Page 200
    ... change its funding practices. For the U.S. pension plans, there were no required minimum cash contributions for 2013 or 2012. The following table summarizes the actual Company contributions for the years ended December 31, 2013 and 2012, as well as estimated expected Company contributions for 2014...

  • Page 201
    ... at year end (1) See Note 1 to the Consolidated Financial Statements for additional information on the change in accounting policy. (2) These plans are unfunded. (3) The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act (ERISA) funding rules as...

  • Page 202
    ... (loss) related to pension and post-retirement benefit plans for the years ended December 31, 2013, 2012 and 2011: In millions of dollars Balance, January 1, net of tax (1) Cumulative effect of change in accounting policy Actuarial assumptions changes and plan experience (2) Net asset gain (loss...

  • Page 203
    ... 2014. The 2012 rates shown above were utilized to calculate the December 31, 2012 benefit obligations and the expense for the full year 2013. (3) Since the U.S. qualified pension plan was frozen, a compensation increase rate applies only to certain small groups of grandfathered employees accruing...

  • Page 204
    ... do not exist, the discount rates are selected by reference to local government bond rates with a premium added to reflect the additional risk for corporate bonds in certain countries. Expected Rate of Return The Company determines its assumptions for the expected rate of return on plan assets for...

  • Page 205
    ... equities with an underlying investment in real estate are classified in the real estate asset category, not private equity. (2) Equity securities in the U.S. pension and postretirement plans do not include any Citigroup common stock at the end of 2013 and 2012. Third-party investment managers...

  • Page 206
    ... U.S. agency U.S. corporate bonds Non-U.S. government debt Non-U.S. corporate bonds State and municipal debt Hedge funds Asset-backed securities Mortgage-backed securities Annuity contracts Private equity Derivatives Other investments Total investments at fair value Cash and short-term investments...

  • Page 207
    ... U.S. agency U.S. corporate bonds Non-U.S. government debt Non-U.S. corporate bonds State and municipal debt Hedge funds Asset-backed securities Mortgage-backed securities Annuity contracts Private equity Derivatives Other investments Total investments at fair value Cash and short-term investments...

  • Page 208
    ...-U.S. equity Mutual funds Commingled funds Debt securities U.S. corporate bonds Non-U.S. government debt Non-U.S. corporate bonds Hedge funds Mortgage-backed securities Annuity contracts Derivatives Other investments Total investments at fair value Cash and short-term investments Total assets Other...

  • Page 209
    ... U.S. equity Non-U.S. equity Debt securities U.S. corporate bonds Non-U.S. government debt Hedge funds Annuity contracts Private equity Other investments Total investments Other investment receivables Total assets Beginning Level 3 fair value at Dec. 31, 2011 $ 51 19 Realized gains (losses...

  • Page 210
    ...Non-U.S. equity Mutual funds Debt securities Non-U.S. government bonds Non-U.S. corporate bonds Hedge funds Annuity contracts Other investments Total investments Cash and short-term investments Total assets Investment Strategy Significant Concentrations of Risk in Plan Assets The Company's global...

  • Page 211
    ..., country and plan, the following elements are common to the Company's monitoring and risk management process: Estimated Future Benefit Payments •฀ periodic฀asset/liability฀management฀studies฀and฀strategic฀asset฀ allocation reviews; •฀ periodic monitoring of funding levels and...

  • Page 212
    ... Plans Early Retiree Reinsurance Program The Company sponsors U.S. postemployment plans that provide income continuation and health and welfare benefits to certain eligible U.S. employees on long-term disability. As of December 31, 2013 and 2012, the plans' funded status recognized in the Company...

  • Page 213
    ...discontinued operations Provision (benefit) for income taxes on cumulative effect of accounting changes Income tax expense (benefit) reported in stockholders' equity related to: Foreign currency translation Investment securities Employee stock plans Cash flow hedges Benefit Plans Income taxes before...

  • Page 214
    ... $55,781 - $55,781 2013 2012 2011 Deferred tax assets Credit loss deduction Deferred compensation and employee benefits Restructuring and settlement reserves Unremitted foreign earnings Investment and loan basis differences Cash flow hedges Tax credit and net operating loss carry-forwards Fixed...

  • Page 215
    ... Singapore Hong Kong Ireland Tax year 2009 2008 2005 2012 2009 2009 2007 2007 2010 Deferred Tax Assets As of December 31, 2013 and 2012, Citi had no valuation allowance on its DTAs. In billions of dollars Jurisdiction/component U.S. federal (1) Net operating losses (NOLs) (2) Foreign tax credits...

  • Page 216
    ...dates as of December 31, 2013: In billions of dollars Amount December 31, 2013 December 31, 2012 Year of expiration U.S. tax return foreign tax credit carry-forwards 2016 2017 2018 2019 2020 2021 2022 2023 (1) Total U.S. tax return foreign tax credit carry-forwards U.S. tax return general business...

  • Page 217
    Based upon the foregoing discussion, Citi believes the U.S. federal and New York state and city NOL carry-forward period of 20 years provides enough time to fully utilize the DTAs pertaining to the existing NOL carryforwards and any NOL that would be created by the reversal of the future net ...

  • Page 218
    ... preferred stock dividends. (3) Pursuant to the terms of Citi's previously outstanding Tangible Dividend Enhanced Common Stock Securities (T-DECs), on December 17, 2012, the Company delivered 96,337,772 shares of Citigroup common stock for the final settlement of the prepaid stock purchase contract...

  • Page 219
    ...dollars 2013 $ 910 175,691 26,911 $ 2012 1,005 182,330 27,901 Federal funds purchased Securities sold under agreements to repurchase Deposits received for securities loaned Total $203,512 $211,236 The resale and repurchase agreements represent collateralized financing transactions. The Company...

  • Page 220
    ... resell Deposits paid for securities borrowed Total In millions of dollars Gross amounts of recognized liabilities $231,731 27,901 $259,632 Net amounts (4) $77,649 12,322 $89,971 Securities sold under agreements to repurchase Deposits received for securities loaned Total (1) Includes financial...

  • Page 221
    ... RECEIVABLES AND BROKERAGE PAYABLES 13. TRADING ACCOUNT ASSETS AND LIABILITIES The Company has receivables and payables for financial instruments sold to and purchased from brokers, dealers and customers, which arise in the ordinary course of business. The Company is exposed to risk of loss...

  • Page 222
    ...shares issued by the Federal Reserve Bank, Federal Home Loan Banks, foreign central banks and various clearing houses of which Citigroup is a member. The following table presents interest and dividends on investments for the years ended December 31, 2013, 2012 and 2011: In millions of dollars 2013...

  • Page 223
    ... losses (1) 2012 Fair value In millions of dollars Debt securities AFS Mortgage-backed securities (2) U.S. government-sponsored agency guaranteed Prime Alt-A Subprime Non-U.S. residential Commercial Total mortgage-backed securities U.S. Treasury and federal agency securities U.S. Treasury Agency...

  • Page 224
    ... value losses Total Gross unrealized losses In millions of dollars Fair value December 31, 2013 Securities AFS Mortgage-backed securities U.S. government-sponsored agency guaranteed Prime Non-U.S. residential Commercial Total mortgage-backed securities U.S. Treasury and federal agency securities...

  • Page 225
    ... dates as of December 31, 2013 and 2012: 2013 In millions of dollars 2012 Amortized cost $ 10 365 1,992 51,598 Fair value $ 10 374 2,124 52,963 Amortized cost $ 87 346 2,898 49,723 Fair value $ 87 354 2,932 49,282 Mortgage-backed securities (1) Due within 1 year After 1 but within 5 years...

  • Page 226
    ...losses In millions of dollars Amortized cost (1) Carrying value (2) Fair value December 31, 2013 Debt securities held-to-maturity Mortgage-backed securities (3) Prime Alt-A Subprime Non-U.S. residential Commercial Total mortgage-backed securities State and municipal Foreign government Corporate...

  • Page 227
    ... value losses Total Gross unrecognized losses In millions of dollars Fair value December 31, 2013 Debt securities held-to-maturity Mortgage-backed securities State and municipal Foreign government Asset-backed securities Total debt securities held-to-maturity December 31, 2012 Debt securities...

  • Page 228
    ... credit-related losses, only the credit loss component of the impairment is recognized in earnings, while the remainder of the impairment is recognized in AOCI. For securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date...

  • Page 229
    ... 31, 2012, Citi held a 20% equity interest in Akbank, which it purchased in January 2007, accounted for as an equity method investment. As a result of its decision to sell its share holdings in Akbank, in the first quarter of 2012 Citi recorded an impairment charge related to its total investment in...

  • Page 230
    ... and a $0.880 billion loan). At the closing of the transaction on June 28, 2013, the loan to MSSB was repaid and the MSSB interests and preferred stock were settled, with no significant gains or losses recorded at the time of settlement. In addition, MSSB made a dividend payment to Citi on June 28...

  • Page 231
    ... in the respective quarter, which was recorded in Other revenue. See "MSSB" above for further discussion. OTTI on Investments and Other Assets In millions of dollars AFS (1) HTM Year ended December 31, 2012 Other Assets (2) Total Impairment losses related to securities that the Company does not...

  • Page 232
    ...securities HTM debt securities Mortgage-backed securities (1) Corporate All other debt securities Total OTTI credit losses recognized for HTM debt securities (1) Primarily consists of Alt-A securities. Investments in Alternative Investment Funds That Calculate Net Asset Value per Share The Company...

  • Page 233
    ... ended December 31, 2013, Citi acquired approximately $7 billion of loans related to the acquisition of Best Buy's U.S. credit card portfolio. The Company did not have significant purchases of Consumer loans during the year ended December 31, 2012. Citigroup has established a risk management process...

  • Page 234
    ... market loans Total In offices outside North America Residential first mortgages Home equity loans (5) Credit cards Installment and other Commercial market loans Total Total GCB and Citi Holdings Other Total Citigroup (1) (2) (3) (4) (5) $ $ 413 $ 5,880 - $ 5,880 $ 5,271 Loans less than 30 days...

  • Page 235
    ...mortgages Home equity loans Total In millions of dollars Residential first mortgages Home equity loans Credit cards Installment and other Total (1) Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. governmentsponsored entities and loans recorded at fair value...

  • Page 236
    ...68 308 248 21 $ 1,520 Mortgage and real estate Residential first mortgages Home equity loans Credit cards Installment and other Individual installment and other Commercial market loans Total (8) (1) (2) (3) (4) (5) (6) (7) (8) Recorded investment in a loan includes net deferred loan fees and costs...

  • Page 237
    ... Deferred recorded investment (1)(2) principal (3) $4,160 349 826 381 39 $5,755 $ 161 2 613 351 104 $1,231 $ 68 1 - - - $ 69 $- - - - 2 $ 2 North America Residential first mortgages Home equity loans Credit cards Installment and other revolving Commercial markets (6) Total International Residential...

  • Page 238
    ...millions of dollars Year ended December 31, 2013 $1,532 180 204 91 3 $2,010 $ 61 - 222 105 15 Year ended December 31, 2012 $1,323 126 508 130 - $2,087 $ 74 - 199 106 5 North America Residential first mortgages Home equity loans Credit cards Installment and other revolving Commercial markets Total...

  • Page 239
    ... following table presents information by Corporate loan type as of December 31, 2013 and 2012: In millions of dollars December 31, 2013 December 31, 2012 Corporate In U.S. offices Commercial and industrial Financial institutions Mortgage and real estate (1) Installment, revolving credit and other...

  • Page 240
    ...,793 In millions of dollars Commercial and industrial Financial institutions Mortgage and real estate Leases Other Loans at fair value Total (1) Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is...

  • Page 241
    ... Mortgage and real estate Leases Other Non-accrual Commercial and industrial Financial institutions Mortgage and real estate Leases Other Total non-investment grade Private Banking loans managed on a delinquency basis (2) Loans at fair value Corporate loans, net of unearned income Corporate loans...

  • Page 242
    ...carrying value (2) $ 967 378 585 189 64 $2,183 Interest income recognized (3) $ 30 9 3 - 1 $ 43 Non-accrual Corporate loans Commercial and industrial Financial institutions Mortgage and real estate Lease financing Other Total non-accrual Corporate loans At and for the year ended December 31, 2012...

  • Page 243
    ...loans in payment default during the year ended December 31, 2012 $ 94 - - - $ 94 In millions of dollars TDR balances at December 31, 2013 $197 14 161 422 $794 TDR balances at December 31, 2012 $275 17 131 450 $873 Commercial and industrial Loans to financial institutions Mortgage and real estate...

  • Page 244
    ...269 million in 2013 and 2012, respectively, of purchased loans accounted for under the level-yield method. No purchased loans were accounted for under the cost-recovery method. These balances represent the fair value of these loans at their acquisition date. The related total expected cash flows for...

  • Page 245
    ...for credit losses on unfunded lending commitments at end of year (4) Total allowance for loans, leases, and unfunded lending commitments (1) 2012 includes approximately $635 million of incremental charge-offs related to OCC guidance issued in the third quarter of 2012, which required mortgage loans...

  • Page 246
    ... quality in accordance with ASC 310-30 Loans held at fair value Total loans, net of unearned income $ $ $ $265,230 2,222 117 4,072 $271,641 Allowance for Credit Losses and Investment in Loans at December 31, 2012 In millions of dollars Corporate $ 2,879 (640) 417 223 2 (138) 33 2,776 2,429...

  • Page 247
    ... of the Citi retail services business from Citi Holdings-Local Consumer Lending to Citicorp-North America Regional Consumer Banking during the first quarter of 2012. (3) Primarily related to the Sale of Brazil Credicard. See Note 2 to the Consolidated Financial Statements. Goodwill impairment...

  • Page 248
    ...Citi Holdings-Cards (2) Citi Holdings-Other (1) Latin America Retirement Services: fair value as a percentage of allocated book value reflects the reorganization under the new reporting unit structure as of July 1, 2013. This reporting unit was formerly known as Brokerage Asset Management. (2) Citi...

  • Page 249
    ...of dollars Purchased credit card relationships Core deposit intangibles Other customer relationships Present value of future profits Indefinite-lived intangible assets Other (1) Intangible assets (excluding MSRs) Mortgage servicing rights (MSRs) Total intangible assets (1) Includes contract-related...

  • Page 250
    ... short-term requirements. (1) Parent holding company, Citigroup Inc. (2) Includes notes that are subordinated within certain countries, regions or subsidiaries. (3) In issuing trust preferred securities, Citi formed statutory business trusts under the laws of the State of Delaware. The trusts exist...

  • Page 251
    ... Capital XIII Citigroup Capital XVII Citigroup Capital XVIII Adam Capital Trust III Adam Statutory Trust III Adam Statutory Trust IV Adam Statutory Trust V Total obligated (1) Represents the notional value received by investors from the trusts at the time of issuance. In each case, the coupon rate...

  • Page 252
    19. REGULATORY CAPITAL AND CITIGROUP INC. PARENT COMPANY INFORMATION Banking Subsidiaries-Constraints on Dividends Citigroup is subject to risk-based capital and leverage guidelines issued by the Federal Reserve Board. Citi's U.S. insured depository institution subsidiaries, including Citibank, ...

  • Page 253
    ... of dollars Assets Cash and due from banks Trading account assets Investments Advances to subsidiaries Investments in subsidiaries Other assets (1) Total assets Liabilities Federal funds purchased and securities loaned or sold under agreements to repurchase Trading account liabilities Short-term...

  • Page 254
    ... activities Net cash provided by investing activities of continuing operations Cash flows from financing activities of continuing operations Dividends paid Issuance of preferred stock Proceeds (repayments) from issuance of long-term debt-third-party, net Net change in short-term borrowings and...

  • Page 255
    ... charges and the loss related to Akbank, included within the foreign currency translation adjustment, during the six months ended June 30, 2012 was $667 million. See Note 14 to the Consolidated Financial Statements. (6) On December 20, 2013, the sale of Credicard was completed. The total impact to...

  • Page 256
    ... In millions of dollars Realized (gains) losses on sales of investments OTTI gross impairment losses Subtotal Tax effect Net realized (gains) losses on investment securities (1) Interest rate contracts Foreign exchange contracts Subtotal Tax effect Amortization of cash flow hedges (2) Amortization...

  • Page 257
    ... the Citi Board of Directors. On February 12, 2014, Citi issued $480 million of Series L Preferred Stock as depository shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. The dividend rate is 6.875%, payable quarterly on...

  • Page 258
    ...not limited to, debt and equity investments, guarantees, liquidity agreements and certain derivative contracts. In various other transactions, the Company may: (i) act as a derivative counterparty (for example, interest rate swap, cross-currency swap, or purchaser of credit protection under a credit...

  • Page 259
    ... debt obligations (CDOs) Collateralized loan obligations (CLOs) Asset-based financing Municipal securities tender option bond trusts (TOBs) Municipal investments Client intermediation Investment funds (7) Trust preferred securities Other Total Citi Holdings Credit card securitizations Mortgage...

  • Page 260
    ... debt obligations (CDOs) Collateralized loan obligations (CLOs) Asset-based financing Municipal securities tender option bond trusts (TOBs) Municipal investments Client intermediation Investment funds (6) Trust preferred securities Other Total Citi Holdings Credit card securitizations Mortgage...

  • Page 261
    ...length terms; •฀ certain positions in mortgage-backed and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, where the Company has no other involvement with the related securitization entity deemed to be significant (for more information...

  • Page 262
    ...10.4 91.9 1.3 December 31, 2012 Citi Holdings Citigroup $ 0.2 - - 11.0 0.2 $11.4 $ - 2.6 0.1 $ 2.7 $ 0.5 0.5 10.7 111.8 0.7 Citicorp Cash Trading account assets Investments Total loans, net Other Total assets Short-term borrowings Long-term debt Other liabilities Total liabilities $ 0.2 1.0 10.4 83...

  • Page 263
    ...issued securities Retained by Citigroup as trust-issued securities Retained by Citigroup via non-certificated interests (1) Total ownership interests in principal amount of trust credit card receivables (1) As part of its liquidity and funding strategy, during the first quarter of 2013, the Company...

  • Page 264
    ... of credit card receivables, the Company continues to maintain credit card customer account relationships and provides servicing for receivables transferred to the trusts. As a result, the Company considers the securitized credit card receivables to be part of the business it manages. As Citigroup...

  • Page 265
    ... to 25.7 years (1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests' position in the capital structure of the securitization. (2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans...

  • Page 266
    ... date, nor do they represent credit losses expected on retained interests in mortgage securitizations. NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees. In millions of dollars at December 31, 2013 Carrying value of retained interests Discount rates...

  • Page 267
    ... net credit losses are not meaningful due to U.S. agency guarantees. Mortgage Securitizations-Citi Holdings The following table summarizes selected cash flow information related to Citi Holdings mortgage securitizations for the years ended December 31, 2013, 2012 and 2011: 2013 U.S. agencysponsored...

  • Page 268
    .... (2) Citi Holdings held no subordinated interests in mortgage securitizations as of December 31, 2013. NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees. In millions of dollars at December 31, 2013 Carrying value of retained interests Discount rates...

  • Page 269
    ... risk, the Company economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities classified as Trading account assets. The Company receives fees...

  • Page 270
    ... primarily by AAA-rated government agencies that support export and development financing programs. In addition to the transaction-specific credit enhancements, the conduits, other than the government guaranteed loan conduit, have obtained a letter of credit from the Company, which is equal...

  • Page 271
    ... debt securities to the Company or third parties. Risk is then passed on to the CDO investors in the form of funded notes or purchased credit protection through derivative instruments. Any cash raised from investors is invested in a portfolio of collateral securities or investment contracts...

  • Page 272
    ....9% to 51.6% 1.9% to 2.1% Type Commercial and other real estate Corporate loans Hedge funds and equities Airplanes, ships and other assets Total In millions of dollars Carrying value of retained interests Discount rates Adverse change of 10% Adverse change of 20% December 31, 2013 CDOs CLOs $19...

  • Page 273
    ...flows received on retained interest and other net cash flows Type Commercial and other real estate Corporate loans Airplanes, ships and other assets Total At December 31, 2013 and 2012, the key assumption used to value retained interests, and the sensitivity of the fair value to adverse changes of...

  • Page 274
    ...third-party investors, typically tax-exempt money market funds. Non-customer TOB trusts are trusts through which the Company finances its own investments in municipal securities. In such trusts, the Company holds the Residuals, and third-party investors, typically tax-exempt money market funds, hold...

  • Page 275
    ... losses or residual returns, or both. Trust Preferred Securities The Company has raised financing through the issuance of trust preferred securities. In these transactions, the Company forms a statutory business trust and owns all of the voting equity shares of the trust. The trust issues preferred...

  • Page 276
    ... interest rate, foreign exchange and other market/credit risks or for their own trading purposes. As part of this process, Citigroup considers the customers' suitability for the risk involved and the business purpose for the transaction. Citigroup also manages its derivative risk positions through...

  • Page 277
    Exposure to credit risk on derivatives is impacted by market volatility, which may impair the ability of clients to satisfy their obligations to the Company. Credit limits are established and closely monitored for customers engaged in derivatives transactions. Citi considers the level of legal ...

  • Page 278
    ... These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company has entered into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and...

  • Page 279
    ... of dollars at December 31, 2013 Derivatives instruments designated as ASC 815 (SFAS 133) hedges Over-the-counter Cleared Exchange traded Interest rate contracts Over-the-counter Cleared Exchange traded Foreign exchange contracts Over-the-counter Cleared Exchange traded Credit Derivatives Total...

  • Page 280
    (1) The trading derivatives fair values are presented in Note 13 to the Consolidated Financial Statements. (2) Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities. (3) ...

  • Page 281
    ...910 (1) The trading derivatives fair values are presented in Note 13 to the Consolidated Financial Statements. (2) Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities...

  • Page 282
    ... also recorded in Other revenue. Gains (losses) included in Other revenue Year ended December 31, 2013 2012 2011 $(376) 221 (595) $(750) $ (427) 182 (1,022) $(1,267) $1,192 224 115 $1,531 In millions of dollars Interest rate contracts Foreign exchange Credit derivatives Total Citigroup Accounting...

  • Page 283
    ... securities and the forward contracts for the portion of the relationship hedged, the amount of hedge ineffectiveness is not significant. Hedging of benchmark interest rate risk Citigroup hedges exposure to changes in the fair value of outstanding fixed-rate issued debt and certificates of deposit...

  • Page 284
    ...Hedging of foreign exchange risk Citigroup locks in the functional currency equivalent cash flows of longterm debt and short-term borrowings that are denominated in a currency other than the functional currency of the issuing entity. Depending on the risk management objectives, these types of hedges...

  • Page 285
    ...Year ended December 31, 2013 2012 2011 $ 749 34 14 $ 797 $(700) (176) $(876) $ (322) 143 - $ (179) $ (837) (180) $(1,017) $(1,827) 81 - $(1,746) $(1,227) (257) $(1,484) Effective portion of cash flow hedges included in AOCI Interest rate contracts Foreign exchange contracts Credit derivatives Total...

  • Page 286
    ... risk in its Corporate and Consumer loan portfolios and other cash positions, and to facilitate client transactions. The range of credit derivatives sold includes credit default swaps, total return swaps, credit options and credit-linked notes. A credit default swap is a contract in which, for a fee...

  • Page 287
    ... Company actively monitors open credit-risk exposures and manages this exposure by using a variety of strategies, including purchased credit derivatives, cash collateral or direct holdings of the referenced assets. This risk mitigation activity is not captured in the table above. Credit-Risk-Related...

  • Page 288
    ..., country or individual creditor and monitors this exposure on a continuous basis. At December 31, 2013, Citigroup's most significant concentration of credit risk was with the U.S. government and its agencies. The Company's exposure, which primarily results from trading assets and investments issued...

  • Page 289
    ... recognize transfers into and out of each level as of the end of the reporting period. Determination of Fair Value The Company may also apply a price-based methodology, which utilizes, where available, quoted prices or other market information obtained from recent trading activity in positions with...

  • Page 290
    ... net open risk position, consistent with market participant assumptions and in accordance with the unit of account. Valuation Process for Fair Value Measurements Price verification procedures and related internal control procedures are governed by the Citigroup Pricing and Price Verification Policy...

  • Page 291
    ...by utilizing similar procedures described for trading securities above or, in some cases, using consensus pricing as the primary source. Also included in investments are nonpublic investments in private equity and real estate entities held by the S&B business. Determining the fair value of nonpublic...

  • Page 292
    ... Equity contracts Commodity contracts Credit derivatives Total trading derivatives Cash collateral paid (3) Netting agreements Netting of cash collateral received Total trading derivatives Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed Residential Commercial Total...

  • Page 293
    ... funds purchased and securities loaned or sold under agreements to repurchase Trading account liabilities Securities sold, not yet purchased Trading derivatives Interest rate contracts Foreign exchange contracts Equity contracts Commodity contracts Credit derivatives Total trading derivatives Cash...

  • Page 294
    ... Equity contracts Commodity contracts Credit derivatives Total trading derivatives Cash collateral paid (3) Netting agreements Netting of cash collateral received Total trading derivatives Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed Residential Commercial Total...

  • Page 295
    ... purchased Trading account derivatives Interest rate contracts Foreign exchange contracts Equity contracts Commodity contracts Credit derivatives Total trading derivatives Cash collateral received (6) Netting agreements Netting of cash collateral paid Total trading derivatives Short-term borrowings...

  • Page 296
    ..., 2013 Unrealized gains (losses) still held (3) Assets Federal funds sold and securities borrowed or purchased under agreements to resell Trading non-derivative assets Trading mortgage-backed securities U.S. government-sponsored agency guaranteed Residential Commercial Total trading mortgagebacked...

  • Page 297
    ... Dec. 31, Principal into out of 2012 transactions Other (1)(2) Level 3 Level 3 Purchases Issuances Sales Settlements Dec. 31, 2013 Unrealized gains (losses) still held (3) Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed $ Residential Commercial Total investment...

  • Page 298
    ... rate contracts 726 Foreign exchange contracts (562) Equity contracts (1,737) Commodity contracts (934) Credit derivatives 1,728 $ (779) Total trading derivatives, net (4) Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed $ 679 Residential 8 Commercial - Total...

  • Page 299
    ... Mortgage servicing rights Other financial assets measured on a recurring basis 2,245 Liabilities Interest-bearing deposits $ 431 Federal funds purchased and securities loaned or sold under agreements to repurchase 1,061 Trading account liabilities Securities sold, not yet purchased 412 Short-term...

  • Page 300
    ... and pricing became observable, these positions were transferred to Level 2. •฀฀ Transfers of Long-term debt in the amounts of $2.5 billion from Level 2 to Level 3 and $2.7 billion from Level 3 to Level 2 were the result of Citi's conforming and refining the application of the fair value level...

  • Page 301
    ... Assets Federal funds sold and securities borrowed or purchased under agreements to resell Mortgage-backed securities State and municipal, foreign government, corporate and other debt securities Equity securities (5) $3,299 $2,869 1,241 Model-based Price-based Yield analysis Interest rate Price...

  • Page 302
    ... analysis Model-based Loans Mortgage servicing rights Liabilities Interest-bearing deposits $2,153 1,422 549 $2,625 Price-based Model-based Yield analysis Cash flow EBITDA multiples PE ratio Price-to-book Ratio Price Fund NAV Discount to price Price Yield Credit spread Yield WAL Equity...

  • Page 303
    ... High (2)(3) Assets Federal funds sold and securities borrowed or purchased under agreements to resell Trading and investment securities Mortgage-backed securities $ 4,786 $ 4,402 1,148 Cash flow Price-based Yield analysis Interest rate Price Yield Prepayment period Price Yield Credit spread...

  • Page 304
    ... funds purchased and securities loaned or sold under agreements to repurchase Trading account liabilities Securities sold, not yet purchased Short-term borrowings and long-term debt $ 841 $ 265 75 $ 5,067 1,112 649 Internal model Internal model Price-based Internal model Price-based Yield analysis...

  • Page 305
    ... unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. The effect of prepayments is more pronounced for residential mortgage-backed securities. An increase in prepayments-in speed or magnitude-generally creates losses for...

  • Page 306
    ... significant losses since issuance, such as certain assetbacked securities, are at the lower end of the range, whereas most investment grade corporate bonds will fall in the middle to the higher end of the range. For certain structured debt instruments with embedded derivatives, the price input...

  • Page 307
    ... was recorded during the six and twelve months then ended, respectively: In millions of dollars Fair value $ 3,483 138 4,713 $ 8,334 Level 2 $ 2,165 15 3,947 $ 6,127 Level 3 $ 1,318 123 766 $ 2,207 December 31, 2013 Loans held-for-sale Other real estate owned Loans (1) Total assets at fair value...

  • Page 308
    ... change in fair value relating to assets that are still held at December 31, 2013 and December 31, 2012: In millions of dollars Year ended December 31, 2013 $ - (6) (761) $(767) Loans held-for-sale Other real estate owned Loans (1) Total nonrecurring fair value gains (losses) (1) Represents loans...

  • Page 309
    ... Liabilities Deposits Federal funds purchased and securities loaned or sold under agreements to repurchase Long-term debt (4) Other financial liabilities (5) $178.7 0.1 38.3 96.8 (1) The carrying value of loans is net of the Allowance for loan losses of $19.6 billion for December 31, 2013 and...

  • Page 310
    ...of dollars Changes in fair value gains (losses) for the years ended December 31, 2013 2012 Assets Federal funds sold and securities borrowed or purchased under agreements to resell Selected portfolios of securities purchased under agreements to resell and securities borrowed Trading account assets...

  • Page 311
    ...the contractual interest rates and reported as Interest revenue on Trading account assets or loan interest depending on the balance sheet classifications of the credit products. The changes in fair value for the years ended December 31, 2013 and 2012 due to instrument-specific credit risk totaled to...

  • Page 312
    ...Interest revenue in the Company's Consolidated Statement of Income. Information about these mortgage loans is included in the table below. The change in fair value of these loans due to instrument-specific credit risk was a loss of $156 and $107 million for the years ended December 31, 2013 and 2012...

  • Page 313
    ...form. The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument at December 31, 2013 and 2012: In billions of dollars Interest rate linked Foreign exchange linked Equity linked Commodity linked Credit linked Total...

  • Page 314
    ...295 234,797 123,178 $545,270 Investment securities Loans Trading account assets Total 2014 2015 2016 2017 2018 Thereafter Total $ 1,557 1,192 1,018 826 681 5,489 $10,763 Guarantees In addition, included in Cash and due from banks at December 31, 2013 and 2012 were $8.8 billion and $13.4 billion...

  • Page 315
    ... with contract terms. They are also issued to support a customer's obligation to supply specified products, commodities, or maintenance or warranty services to a third party. Futures and over-the-counter derivatives clearing Citi provides clearing services for clients executing exchange traded...

  • Page 316
    ... contingent liability related to both bank card and private-label merchant processing services is estimated to be the total volume of credit card transactions that meet the requirements to be valid charge-back transactions at any given time. At December 31, 2013 and December 31, 2012, this maximum...

  • Page 317
    ... historical loss experience. At December 31, 2013 and December 31, 2012, the actual and estimated losses incurred and the carrying value of Citi's obligations related to these programs were immaterial. Other Representation and Warranty Indemnifications In the normal course of business, Citi provides...

  • Page 318
    ...guarantees Derivative instruments deemed to be guarantees Loans sold with recourse Securities lending indemnifications Credit card merchant processing Custody indemnifications and other Total $243.7 In billions of dollars at December 31, 2012 Maximum potential amount of future payments Investment...

  • Page 319
    ...four-family residential properties are essentially home equity lines of credit. A home equity line of credit is a loan secured by a primary residence or second home to the extent of the excess of fair market value over the debt outstanding for the first mortgage. Commercial real estate, construction...

  • Page 320
    ..., are subject to regulation by various U.S., state and foreign securities, banking, commodity futures, consumer protection and other regulators. In connection with formal and informal inquiries by these regulators, Citigroup and such affiliates and subsidiaries receive numerous requests, subpoenas...

  • Page 321
    ...marketed by Citigroup, including securities issued by other public companies, collateralized debt obligations (CDOs), mortgage-backed securities (MBS), auction rate securities (ARS), investment funds, and other structured or leveraged instruments, which have suffered losses as a result of the credit...

  • Page 322
    ... credit crisis. These business activities include, but are not limited to, Citigroup's sponsorship, packaging, issuance, marketing, trading, servicing and underwriting of CDOs and MBS, and its origination, sale or other transfer, servicing, and foreclosure of residential mortgages. Mortgage-Related...

  • Page 323
    In connection with the Residential Mortgage-Backed Securities Working Group industry-wide investigation, the Department of Justice has issued subpoenas seeking information and testimony relating to Citigroup's issuance, sponsoring, and underwriting of MBS. Citigroup also has received a grand jury ...

  • Page 324
    ... investment funds managed and marketed by certain Citigroup affiliates that suffered substantial losses during the credit crisis. In addition to the SEC inquiry, on June 11, 2012, the New York Attorney General served a subpoena on a Citigroup affiliate seeking documents and information concerning...

  • Page 325
    ... claims. Additional information relating to this action is publicly available in court filings under the docket number 13 Civ. 3063 (S.D.N.Y.) (Schofield, J.). Terra Firma Litigation In December 2009, the general partners of two related private equity funds filed a complaint in New York state court...

  • Page 326
    ...a dominant position in order to control the financial information on CDS." On July 2, 2013, the EC issued to Citigroup, CGMI, Citigroup Global Markets Ltd., Citicorp North America Inc., and Citibank, N.A., as well as Markit, ISDA, and 12 other investment bank dealer groups, a Statement of Objections...

  • Page 327
    ...yen London interbank offered rate (LIBOR). The JFSA issued a business improvement order and suspended CGMJ's trading in derivatives related to yen LIBOR and Euroyen and yen TIBOR from January 10 to January 23, 2012. On the same day, the JFSA also took administrative action against Citibank Japan Ltd...

  • Page 328
    ... other things, that defendants have engaged in conspiracies to set the price of interchange and merchant discount fees on credit and debit card transactions and to restrain trade through various Visa and MasterCard rules governing merchant conduct, all in violation of Section 1 of the Sherman Act...

  • Page 329
    ... focus on add-on products and the actions regulators have taken in relation to other credit card issuers, one or more regulators may order that Citi pay additional restitution to customers and/or impose penalties or other relief arising from Citi's marketing, distribution, or servicing of add-on...

  • Page 330
    ...de Mexico (Banamex), a Citi subsidiary in Mexico, in February 2014. For additional information, see Citi's Form 8-K filed with the U.S. Securities and Exchange Commission on February 28, 2014. The fraud increased fourth quarter of 2013 operating expenses in Transaction Services by an estimated $400...

  • Page 331
    ... year end except ratios Average interest rate 0.68% 0.57 1.06 0.82% Average interest rate 0.71% 0.84 1.24 1.01% Average interest rate 0.78% 0.91 1.47 1.15% Banks Other demand deposits Other time and savings deposits (2) Total (1) Interest rates and amounts include the effects of risk management...

  • Page 332
    ...the Federal Reserve Board. These financial activities include underwriting and dealing in securities, insurance underwriting and brokerage and making investments in non-financial companies for a limited period of time (as long as Citi does not manage the non-financial company's day-to-day activities...

  • Page 333
    ... of 2013 in its related quarterly reports on Form 10-Q. During the fourth quarter of 2013, Citibank Bahrain processed one domestic check transaction involving Future Bank, an Office of Foreign Assets Control (OFAC) Designated Bank. This transaction resulted in no revenues or net profit to Citi. In...

  • Page 334
    ..., private equity funds, securities processing companies, mutual fund companies, insurance companies, automobile financing companies, and internet-based financial services companies. Citigroup competes for clients and capital (including deposits and funding in the short- and long-term debt markets...

  • Page 335
    ... 2013 common stock repurchase program (2013 Repurchase Program) that was approved by Citigroup's Board of Directors and announced on April 25, 2013, which was part of the planned capital actions included by Citi in its 2013 Comprehensive Capital and Analysis Review. Shares repurchased under the 2013...

  • Page 336
    ...and the S&P Financial Index, and that all dividends were reinvested. Comparison of Five-Year Cumulative Total Return For the years ended Citigroup S&P 500 Index S&P Financial Index 250 200 150 100 50 0 2008 DATE 31-Dec-2008 31-Dec-2009 31-Dec-2010 30-Dec-2011 31-Dec-2012 31-Dec-2013 CITI 100.00 49...

  • Page 337
    ... Officer CEO, Europe, Middle East and Africa Co-President; CEO, Institutional Clients Group Chief Financial Officer Head of Franchise Risk and Strategy Head of Human Resources and Talent CEO, Citibank, N.A. Co-President; CEO, Global Consumer Banking; Chairman, Mexico CEO, North America Controller...

  • Page 338
    ... name" by securities dealers and others for the benefit of individual owners who may vote the shares. Transfer Agent Stockholder address changes and inquiries regarding stock transfers, dividend replacement, 1099-DIV reporting and lost securities for common and preferred stock should be directed to...

  • Page 339
    ... the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities indicated on the 3rd day of March, 2014. Citigroup's Principal Executive Officer and a Director: John C. Gerspach Michael L. Corbat...

  • Page 340
    ... Chairman Citigroup Inc. Gary M. Reiner Former President Federal Reserve Bank of Philadelphia Joan E. Spero Co-Founder and Partner Atrevida Partners, LLC Franz B. Humer Operating Partner General Atlantic LLC Judith Rodin Chief Executive Officer, Retired Pacific Investment Management Company...

  • Page 341
    ... name" by securities dealers and others for the benefit of individual owners who may vote the shares. Transfer Agent Stockholder address changes and inquiries regarding stock transfers, dividend replacement, 1099-DIV reporting and lost securities for common and preferred stock should be directed to...

  • Page 342
    www.citigroup.com © 2014 Citigroup Inc. 1124924 CIT24022 03/14 Take a closer look at Citi with the digital Annual Report: citi.com/annualreport