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2014 Annual Report

Table of contents

  • Page 1
    2014 Annual Report

  • Page 2
    ... Loss Citigroup Net Income Diluted EPS - Net Income Diluted EPS - Income from Continuing Operations Citicorp Assets Citi Holdings Assets Citigroup Assets Deposits Citigroup Stockholders' Equity Basel III Common Equity Tier 1 Capital Ratio Basel III Tier 1 Capital Ratio1 Basel III Total Capital Ratio...

  • Page 3
    ...consumer, commercial and institutional bank, a trusted partner of choice for multinationals and globally-minded customers who do business in every time zone. When I took over as CEO, my overarching goal was - and remains - to build on this progress, to position our firm to realize the full value of...

  • Page 4
    ... the low interest rate environment, Treasury and Trade Solutions grew revenues as well, as did the Private Bank. While our Markets businesses were impacted by lower client activity toward the end of the year, we will continue to take steps to make sure these businesses are sized correctly for the...

  • Page 5
    ... Earnings Review available on the Citigroup Investor Relations website. Citigroup's estimated Basel III Common Equity Tier 1 Capital ratio at December 31, 2013 reï¬,ects an adjustment to include, on a pro forma basis, approximately $56 billion of additional operational risk-weighted assets related...

  • Page 6
    ... businesses. On March 11, we received the welcome news that the Federal Reserve raised no objection to our 2015 capital plan. That means that, beginning in the second quarter of this year, we will raise our quarterly dividend from one penny per share to five cents and will begin a common stock buy...

  • Page 7
    ... million clients in 35 countries. The Global Consumer Bank (GCB) operates four geographical business lines - Branded Cards, Retail Services1, Retail Banking and Commercial Banking - in Citi's four regions: Asia; Europe, the Middle East and Africa (EMEA); Latin America; and North America. Generating...

  • Page 8
    ... its product portfolio. The number of product variations was reduced by 50%, and globally common products were introduced. Following launches in Hong Kong, Malaysia, Mexico, Singapore and the U.S., we introduced the Citi PrestigeSM card - Citi's first credit card to offer afï¬,uent customers...

  • Page 9
    ...and commercial credit card products - both private label and co-branded - to national and regional retailers and their clients across North America. The business serves 88 million accounts for a number of iconic brands, including Best Buy, ExxonMobil, Macy's, Sears, Shell and The Home Depot. In 2014...

  • Page 10
    ... position in retail banking, consumer credit, corporate and investment banking, securities brokerage, transaction services, wealth management, bank insurance, and mutual and pension funds. Global Finance honored Citi Banamex with five awards, including Best Consumer Internet Bank, Best Corporate...

  • Page 11
    ..., and deliver products and services. Citi also provides financing and support to governments at all levels to help them not only conduct day-to-day operations but also to build sustainable infrastructure, housing, transportation, schools and other vital public works for the future. Over the past...

  • Page 12
    ... Services and Online Cash Management globally by Global Finance magazine. • Citi was named Best Global Flow House and Best Global Emerging Market Investment Bank by Euromoney as well as Top FX Bank, Best Investment Bank in Central & Eastern Europe and Best Investment Bank in Latin America...

  • Page 13
    ... including equities, commodities, credit, futures, foreign exchange (FX), emerging markets, G10 rates, municipals, prime finance and securitized markets. Our Investor Services and Direct Custody and Clearing businesses provide customized solutions that support the diverse investment and transaction...

  • Page 14
    ... and tailored solutions to its clients. Offerings include cash management, payments, receivables, liquidity management and investment services, working capital solutions, commercial and prepaid card programs, and trade finance. Because delivering the best possible client experience is the key...

  • Page 15
    ... financial decision making while utilizing technology and behavioral insights to lower the cost of delivery and increasing impact. 2014 Global Community Day Highlights 70,000 Citi colleagues, alumni, family and friends volunteered on 1,200 service projects in 93 countries and 479 cities In the...

  • Page 16
    ... Finance: In 2014, three years ahead of plan, Citi reached its 10-year goal to invest $50 billion in activities that reduce the impacts of climate change and create environmental solutions that benefit people and communities. • Environmental and Social Risk Management: We collaborate with clients...

  • Page 17
    ... with two treatment plants to follow. For over 200 years, Citi's job has been to believe in people and help make their ideas a reality. citi.com/progress © 2014 Citibank, N.A. Equal Opportunity Lender. Citi and Citi and Arc Design are registered service marks of Citigroup Inc. The World's Citi is...

  • Page 18
    ...EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2014 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...

  • Page 19
    ... Securities ...6. Selected Financial Data ...7. Management's Discussion and Analysis of Financial Condition and Results of Operations ... 15. Exhibits and Financial Statement Schedules ...138, 164, 303-304 9-10 * For additional information regarding Citigroup's Directors, see "Corporate Governance...

  • Page 20
    CITIGROUP'S 2014 ANNUAL REPORT ON FORM 10-K OVERVIEW MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS Executive Summary Summary of Selected Financial Data SEGMENT AND BUSINESS-INCOME (LOSS) AND REVENUES CITICORP Global Consumer Banking (GCB) North America GCB ...

  • Page 21
    ...and credit, corporate and investment banking, securities brokerage, trade and securities services and wealth management. Citi has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. At December 31, 2014, Citi had approximately 241,000 full-time...

  • Page 22
    ... - Corporate lending - Private Bank • Markets and securities services commercial banking and branch-based financial advisors - Residential real estate - Asset management in Latin America • Citi-branded cards in all of the regions • Citi retail services in North America - Fixed income markets...

  • Page 23
    ...non-deductible legal and related expenses incurred during the year (for additional information, see Note 9 to the Consolidated Financial Statements), partially offset by increased revenues in Citi Holdings and a decline in net credit losses. (Citi's results of operations excluding the impacts of CVA...

  • Page 24
    ... the impact of the mortgage settlement in 2014, decreased 53% to $958 million, primarily due to lower releases related to the North America mortgage portfolio (which also had lower net credit losses). Citigroup's total allowance for loan losses was $16.0 billion at year end, or 2.50% of total loans...

  • Page 25
    ... in 2013. For additional information on the results of operations of EMEA GCB, Latin America GCB and Asia GCB for 2014, see "Global Consumer Banking" below. Year-over-year, international GCB average deposits increased 2%, average retail loans increased 7%, investment sales increased 8%, average card...

  • Page 26
    RESULTS OF OPERATIONS SUMMARY OF SELECTED FINANCIAL DATA-PAGE 1 In millions of dollars, except per-share amounts and ratios Citigroup Inc. and Consolidated Subsidiaries 2014 $47,993 28,889 $76,882 55,051 7,467 $14,364 6,864 $ 7,500 (2) $ 7,498 185 $ 7,313 $ 511 2013 $ 46,793 29,626 $ 76,419 48,408 ...

  • Page 27
    ...-sale (Other liabilities) at December 31, 2014 as a result of the agreement to sell Citi's retail banking business in Japan. See "Asia GCB" below and Note 2 to the Consolidated Financial Statements. (3) The return on average common stockholders' equity is calculated using net income less preferred...

  • Page 28
    ... income (loss) and revenues for Citigroup on a segment and business view: CITIGROUP INCOME In millions of dollars 2014 2013 2012 % Change 2014 vs. 2013 % Change 2013 vs. 2012 Income (loss) from continuing operations CITICORP Global Consumer Banking North America EMEA Latin America Asia Total...

  • Page 29
    CITIGROUP REVENUES In millions of dollars 2014 2013 2012 % Change 2014 vs. 2013 % Change 2013 vs. 2012 CITICORP Global Consumer Banking North America EMEA Latin America Asia Total $ 19,645 1,358 9,204 7,546 $ 37,753 $ 12,345 9,513 4,237 7,172 $ 33,267 $ 47 $ 71,067 $ 5,815 $ 76,882 $ 19,776...

  • Page 30
    ... 100 years, and offers services in over 160 countries and jurisdictions. Citi believes this global network provides a strong foundation for servicing the broad financial services needs of its large multinational clients and for meeting the needs of retail, private banking, commercial, public sector...

  • Page 31
    ... 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 2014 $ 28...

  • Page 32
    ...)% (9)% 2% 4% (2)% (2)% (3)% (2)% 10% 11% (11)% (12)% (1) Includes both Citi-branded cards and Citi retail services. (2) Reflects the impact of foreign exchange (FX) translation into U.S. dollars at the fourth quarter of 2014 average exchange rates for all periods presented. NM Not meaningful 15

  • Page 33
    ...billions 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 Citi retail services Total Income from continuing operations by business Retail banking Citi-branded...

  • Page 34
    ...12% increase in average loans driven by the Best Buy acquisition, partially offset by continued declines in fee revenues primarily reflecting higher yields and improving credit and the resulting increase in contractual partner payments. Citi retail services revenues also benefited from lower funding...

  • Page 35
    ... 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 (loss) from continuing operations by business Retail banking Citi-branded cards Total Foreign...

  • Page 36
    ... higher investment fees due to increased sales of higher spread investment products. Retail banking revenues increased 2%, primarily due to increases in investment sales (3%), average deposits (5%) and average retail loans (11%), partially offset by the impact of the sales of the consumer operations...

  • Page 37
    ... 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 38
    ... 5% as average loans increased 12%, investment sales increased 13% and average deposits increased 2%. Cards revenues increased 10% as average loans increased 10% and purchase sales increased 12%, excluding the impact of Credicard's results. Expenses increased 3% due to increased volume-related costs...

  • Page 39
    ... 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 40
    ... year performance, particularly in the first half of 2013. Citi expects investment sales revenues will continue to reflect the overall capital markets environment in the region, including seasonal trends. Average retail deposits increased 1% (2% excluding Korea) and average retail loans increased...

  • Page 41
    ...services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts...

  • Page 42
    ... the cost of credit protection. (2) 2014 includes the impact of a one-time pretax charge of $430 million related to the implementation of funding valuation adjustments (FVA) on derivatives in the third quarter of 2014. For additional information, see Note 25 to the Consolidated Financial Statements...

  • Page 43
    ...loans, revenues increased 15%, primarily due to continued growth in average loan balances and lower funding costs. (For information on Citi's corporate credit exposure to the energy sector, see "Managing Global Risk-Credit Risk-Corporate Credit Details" below.) •฀ Private bank revenues increased...

  • Page 44
    ..., could negatively impact the results of operations of EMEA ICG. For additional information on Citi's exposures in these countries, see "Managing Global Risk-Country and Cross-Border Risk" below. 2013 vs. 2012 Within Markets and securities services: •฀ Fixed income markets revenues decreased...

  • Page 45
    ..., or 18% of Citigroup's total assets, consisting primarily of Citi's liquidity portfolio (approximately $80 billion of cash and cash equivalents and $197 billion of liquid investment securities). For additional information, see "Balance Sheet Review" and "Managing Global Risk-Market Risk-Funding and...

  • Page 46
    ...Income taxes (benefits) Loss from continuing operations Noncontrolling interests Citi Holdings net loss Total revenues, net of interest expense (excluding CVA/DVA) Total revenues-as reported CVA/DVA(1) Total revenues-excluding CVA/DVA Balance sheet data (in billions of dollars) Average assets Return...

  • Page 47
    ... lower losses on asset sales. Excluding the impact of the mortgage settlement, the net reserve release decreased 53%. Loan loss reserves related to the North America mortgage portfolio were utilized to nearly fully offset net credit losses in the portfolio in 2014. 2013 vs. 2012 Expenses increased...

  • Page 48
    ... increased from the prior-year period, as increased market volatility, particularly in rates and currencies within Markets and securities services within ICG, increased the carrying value of Citi's derivatives positions. Average trading account assets were $309 billion in the fourth quarter of 2014...

  • Page 49
    ... private bank, contributing to the revenue growth in that business. Citi Holdings loans decreased 21% year-over-year, mainly due to continued runoff and asset sales in the North America mortgage portfolio as well as the sales of the Greece and Spain consumer operations in the third quarter of 2014...

  • Page 50
    ... Cash and deposits with banks $ 17,192 Federal funds sold and securities borrowed or purchased under agreements to resell 5,317 Trading account assets 7,328 Investments 26,395 Loans, net of unearned income and allowance for loan losses 287,934 Other assets 51,885 Total assets Liabilities and equity...

  • Page 51
    ... arrangements offer investors access to specific cash flows and risks created through the securitization process. Securitization arrangements also assist Citi and Citi's customers in monetizing their financial assets and securing financing at more favorable rates than Citi or the customers could...

  • Page 52
    ...interest payments (2) Operating and capital lease obligations Purchase obligations (3) Other liabilities (4) 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 53
    ... principally to support assets in Citi's businesses and to absorb credit, market and operational losses. Citi primarily generates capital through earnings from its operating businesses. Citi may augment its capital through issuances of common stock, noncumulative perpetual preferred stock and equity...

  • Page 54
    ... 31, 2014, Citi estimates its GSIB surcharge under the Federal Reserve Board's proposal would be 4%, compared to at least 2% under the Basel Committee requirements. For additional information regarding the Federal Reserve Board's proposed rule, see "Regulatory Capital Standards Developments" below...

  • Page 55
    ... from net operating loss, foreign tax credit and general business credit carry-forwards and defined benefit pension plan net assets; and the phase-in of the Common Equity Tier 1 Capital adjustment for cumulative unrealized net gains (losses) related to changes in fair value of financial liabilities...

  • Page 56
    ...a bank holding company must have a Tier 1 Capital ratio of at least 6%, a Total Capital ratio of at least 10%, and not be subject to a Federal Reserve Board directive to maintain higher capital levels. The following table sets forth the capital tiers, risk-weighted assets, quarterly adjusted average...

  • Page 57
    ... assets other than mortgage servicing rights (MSRs), net of related DTLs (4) Less: Defined benefit pension plan net assets (4) Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general business credit carry-forwards (4)(8) Less: Excess over 10%/15% limitations...

  • Page 58
    ...) In millions of dollars Credit Risk (15) Market Risk Operational Risk (16) Total Risk-Weighted Assets December 31, 2014 $ 862,031 100,481 312,500 $1,275,012 December 31, 2013 (14) $ 834,082 112,154 231,500 $1,177,736 (1) Pro forma presentation of regulatory capital components and tiers based...

  • Page 59
    ... than mortgage servicing rights (MSRs), net of related DTLs Net decrease 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 carry-forwards Net change in excess over 10%/15% limitations...

  • Page 60
    ... to derivatives CVA. (8) Market risk-weighted assets risk levels decreased from year-end 2013 driven by movement in securitization positions from trading book to banking book, as well as reductions in inventory positions. (9) During the first quarter of 2014, Citi increased operational risk-weighted...

  • Page 61
    ... 31, 2013, Citibank, N.A.'s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III 2014 Standardized Approach (Basel I credit risk and Basel II.5 market risk capital rules), whereas the reportable Total Capital ratio was the lower derived under...

  • Page 62
    ... the impact that a change in Citigroup's or Citibank, N.A.'s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, or quarterly adjusted average total assets. Accordingly...

  • Page 63
    ... Leverage ratio requirement. The following table sets forth the capital tiers, risk-weighted assets, quarterly adjusted average total assets and capital ratios under the Final Basel III Rules for Citi, assuming full implementation, as of December 31, 2014 and December 31, 2013. Citigroup Capital...

  • Page 64
    ...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 (5) Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments, and MSRs (5)(6) Total Common Equity Tier...

  • Page 65
    ... than mortgage servicing rights (MSRs), net of related DTLs Net decrease 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 carry-forwards Net change in excess over 10%/15% limitations...

  • Page 66
    ... last six months of 2014, reflecting an evaluation of ongoing events in the banking industry. Total risk-weighted assets under the Basel III Advanced Approaches increased from year-end 2013 largely due to the previously mentioned increases in operational risk-weighted assets throughout 2014 as well...

  • Page 67
    ... to derivatives CVA. (7) Market risk-weighted assets risk levels decreased from year-end 2013 driven by movement in securitization positions from trading book to banking book, as well as reductions in inventory positions. (8) During the first quarter of 2014, Citi increased operational risk-weighted...

  • Page 68
    ... Leverage ratio represents end of period Tier 1 Capital to Total Leverage Exposure, with the latter defined as the sum of the daily average of on-balance sheet assets for the quarter and the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter...

  • Page 69
    ... benefits resulting from preferred stock issuances and a decrease in goodwill were offset by a decrease in Accumulated other comprehensive income (loss), with Total Leverage Exposure also remaining substantially unchanged. The growth in the ratio from the fourth quarter of 2013 was principally...

  • Page 70
    ... as the Financial Stability Board's total lossabsorbing capacity, or TLAC, consultative document, see "Risk Factors- Regulatory Risks" and "Managing Global Risk-Market Risk-Funding and Liquidity Risk" below. Tangible Common Equity, Tangible Book Value Per Share and Book Value Per Share Tangible...

  • Page 71
    ... impact Citi's individual businesses, overall strategy and results of operations as well as realization of its deferred tax assets (DTAs). For example, several jurisdictions, including in Asia, Latin America and Europe, continue to enact fee and rate limits on debit and credit card transactions...

  • Page 72
    ..., N.A., and to demonstrate how Citibank, N.A. is adequately protected from the risks presented by non-bank affiliates. These plans, which require substantial effort, time and cost across all of Citi's businesses and geographies, are subject to review by the Federal Reserve Board and the FDIC. In...

  • Page 73
    .../or replacing existing non-TLAC eligible funding with TLAC-eligible funding. This could increase Citi's costs of funds, alter its current funding and liquidity planning and management and/or negatively impact its revenues and results of operations. In addition, the requirement to pre-position TLAC...

  • Page 74
    ... to Citi's results of operations and the competitive position of its derivatives businesses. In addition, numerous aspects of the new derivatives regime require extensive compliance systems and processes to be maintained, including electronic recordkeeping, real-time public transaction reporting and...

  • Page 75
    ... country's economic situation were to deteriorate below a certain level, U.S. regulators can and have imposed mandatory loan loss and other reserve requirements on Citi, which could negatively impact its cost of credit and earnings, perhaps significantly (see, e.g., "Managing Global Risk-Country...

  • Page 76
    ... Statements). Citi also routinely executes a high volume of securities, trading, derivative and foreign exchange transactions with counterparties in the financial services industry, including banks, other financial institutions, insurance companies, investment banks and government and central banks...

  • Page 77
    ... and limit the trading of certain contracts or market instruments with Citi in response to ratings downgrades. Changes in customer and counterparty behavior could impact not only Citi's funding and liquidity but also the results of operations of certain Citi businesses. For additional information on...

  • Page 78
    ... to, or trading in products linked to, rates or benchmarks. These rates and benchmarks may relate to foreign exchange rates (such as the WM/Reuters fix), interest rates (such as the London Inter-Bank Offered Rate (LIBOR) or ISDAFIX), or other prices. Like other banks with operations in the...

  • Page 79
    ...stress test minimum capital requirements. These parameter and other alterations could further increase the level of capital Citi must meet as part of the stress tests, thus potentially impacting levels of capital returns to shareholders. Further, because it is not clear how the Federal Reserve Board...

  • Page 80
    ...Other Technological Risks Which Could Result in the Disclosure of Confidential Client or Customer Information, Damage to Citi's Reputation, Additional Costs to Citi, Regulatory Penalties and Financial Losses. A significant portion of Citi's operations relies heavily on the secure processing, storage...

  • Page 81
    ... 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 Global Consumer Banking (NA GCB), Citi maintains numerous co-branding and private label relationships...

  • Page 82
    ... position, the successful execution of its overall strategy and its results of operations could be negatively impacted. Incorrect Assumptions or Estimates in Citi's Financial Statements Could Cause Significant Unexpected Losses in the Future, and Changes to Financial Accounting and Reporting...

  • Page 83
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  • Page 84
    ... Consumer Loan Details Corporate Credit Details MARKET RISK (1) Market Risk Management Funding and Liquidity Risk Overview High Quality Liquid Assets Deposits Long-Term Debt Secured Funding Transactions and Short-Term Borrowings Liquidity Management, Stress Testing and Measurement Credit Ratings 68...

  • Page 85
    .... Each of the Business, Regional, Legal Entity and Product Chief Risk Officers reports to Citi's Chief Risk Officer, who has a direct reporting line to the Risk Management Committee of the Citigroup Board of Directors and a dual reporting line to both Citi's Chief Executive Officer and the Head of...

  • Page 86
    ... Management Organization Global Commercial Global Consumer Institutional Clients Group Private Bank Business Chief Risk Officers Asia Fundamental Credit Risk Market and Real Estate Risk, Treasury, Model Validation & Systemic Risk Product Chief Risk Officers Chief Risk Officer Regions / Legal...

  • Page 87
    .... Members include senior Risk, Legal, Compliance, Bank Regulatory, Operations and Technology and Operational Risk executives, supported by other specialists, including fair lending. A member of Citibank, N.A. senior management also participates in the CPAC process. •฀ Investment Products Risk...

  • Page 88
    ...manages adherence to its compliance risk appetite through the execution of its compliance program, which includes customer onboarding processes, product development processes, transaction monitoring processes, conduct risk program, ethics program, and new products, services, and complex transactions...

  • Page 89
    ... Board, business management, operating committees and Citi's regulators to foster effective global governance. Compliance provides regular reports on emerging risks and other issues and their implications for Citi, as well as compliance program performance, to the Citigroup and Citibank, N.A. Boards...

  • Page 90
    ...-wide level. Citi's credit risk management also includes processes and policies with respect to problem recognition, including "watch lists," portfolio review, updated risk ratings and classification triggers. With respect to Citi's settlement and clearing activities, intra-day client usage of lines...

  • Page 91
    ... of dollars 2014 2013 2012 2011 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 Cards Commercial...

  • Page 92
    ... 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 93
    ...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 94
    ..., 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. Non-Accrual Loans •฀ North America Citi-branded cards and Citi retail services are not included because under industry standards, credit card...

  • Page 95
    ...guaranteed mortgage loans to be recognized as separate other receivables upon foreclosure. Prior periods have not been restated. For additional information, see Note 1 of the Consolidated Financial Statements. (2) The allowance for loan losses includes the allowance for Citi's credit card portfolios...

  • Page 96
    ... 2014 Dec. 31, 2013 In millions of dollars Corporate renegotiated loans (1) In U.S. offices Commercial and industrial (2) Mortgage and real estate (3) Loans to financial institutions Other In offices outside the U.S. Commercial and industrial (2) Mortgage and real estate (3) Other Total Corporate...

  • Page 97
    ... and transferred to held-for-sale, including $0.9 billion during the fourth quarter of 2014. Citi's FHA/VA portfolio consists of loans to low-to-moderate-income borrowers with lower FICO (Fair Isaac Corporation) scores and generally higher loan-to-value ratios (LTVs). Credit losses on FHA loans are...

  • Page 98
    ... $58 million in CitiMortgage. (4) Increase in 4Q'14 CitiFinancial residential first mortgage loss driven by portfolio seasoning and loss mitigation activities. (5) Year-over-year change in the S&P/Case-Shiller U.S. National Home Price Index. (6) Year-over-year change as of October 2014. 81

  • Page 99
    ... and (ii) loans recorded at fair value. Totals may not sum due to rounding. Credit performance (net credit losses and delinquencies) of the residential first mortgage portfolio continued to improve during 2014, although the home price index (HPI), which varies from market to market (as indicated in...

  • Page 100
    ... guaranteed by U.S. government agencies, loans recorded at fair value and loans subject to LTSCs. Excludes balances for which FICO or LTV data are unavailable. (3) LTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data. (4) New...

  • Page 101
    North America Consumer Mortgage Quarterly Credit Trends-Net Credit Losses and Delinquencies-Home Equity Loans Citi's home equity loan portfolio consists of both fixed-rate home equity loans and loans extended under home equity lines of credit. Fixed-rate home equity loans are fully amortizing. Home ...

  • Page 102
    ... further information on reset risk, see "Risk Factors-Credit and Market Risks" above. Net Credit Losses and Delinquencies The following charts detail the quarterly credit trends for Citi's home equity loan portfolio in North America. North America Home Equity - EOP Loans In billions of dollars Citi...

  • Page 103
    ... 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, 2014 and December 31, 2013. In billions of dollars...

  • Page 104
    ... Citigroup's policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier. (4) The 90+ days and 30-89 days past due and related ratios for Citicorp North America exclude U.S. mortgage loans that are guaranteed...

  • Page 105
    ... North America Ratio Other (3) Total Citigroup Ratio $155.6 46.4 5.7 29.8 73.7 $142.2 66.4 43.2 2.4 11.6 18.6 $ 82.9 4.0 78.9 - $380.7 (1) Average loans include interest and fees on credit cards. (2) The ratios of net credit losses are calculated based on average loans, net of unearned income...

  • Page 106
    ... of dollars at year end 2014 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 107
    ... encompass multiple products, consistent with client needs, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory. For additional information on corporate credit risk management, see "Country and Cross-Border Risk-Emerging Markets Exposures" below...

  • Page 108
    ... the allocation of Citi's total corporate credit portfolio by industry: December 31, 2014 Transportation and industrial Consumer retail and health Power, chemicals, commodities and metals and mining Energy (1) Technology, media and telecom Banks/broker-dealers Real estate Public sector Insurance and...

  • Page 109
    ... but within 5 years Over 5 years In millions of dollars at December 31, 2014 Total Corporate loan portfolio maturities In U.S. offices Commercial and industrial loans $ 17,348 Financial institutions 17,950 Mortgage and real estate 16,102 Lease financing 870 Installment, revolving credit, other 14...

  • Page 110
    ... bank subsidiaries, and (iii) stockholders' equity. These sources may be supplemented by short-term borrowings, primarily in the form of secured funding transactions. As referenced above, Citigroup works to ensure that the structural tenor of these funding sources is sufficiently long in relation...

  • Page 111
    ... and residential mortgagebacked securities from the definition of HQLA, partially offset by an increase in credit card securitizations and Federal Home Loan Banks (FHLB) advances, each in Citibank, N.A. The following table shows further detail of the composition of Citi's HQLA by type of asset as...

  • Page 112
    ... under stress, the type of deposit and the type of client. Generally, the final U.S. LCR rules prioritize operating accounts of consumers (including retail and commercial banking deposits) and corporations, while assigning lower liquidity values to non-operating balances of financial institutions...

  • Page 113
    ...and any regulatory changes or requirements. For additional information on regulatory changes and requirements impacting Citi's overall funding and liquidity, see "Total Loss-Absorbing Capacity" and "Liquidity Management, Stress Testing and Measurement" below and "Risk Factors" above. Long-Term Debt...

  • Page 114
    ... dollars Maturities 2014 $38.3 18.9 5.0 2.1 7.5 2.4 2.4 $20.6 8.0 8.9 3.7 $58.9 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...

  • Page 115
    ... from the FHLB and other market participants (see Note 18 to the Consolidated Financial Statements for further information on Citigroup's and its affiliates' outstanding short-term borrowings). The following table contains the year-end, average and maximum month-end amounts for the following...

  • Page 116
    ... changes in key funding sources, market triggers (such as credit ratings), potential uses of funding and political and economic conditions in certain countries. These conditions include standard and stressed market conditions as well as Company-specific events. A wide range of liquidity stress tests...

  • Page 117
    ... well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank, N.A. is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and...

  • Page 118
    ...existing clients, tailoring levels of secured lending, and adjusting the size of select trading books and collateralized borrowings from Citi's significant bank subsidiaries. Mitigating actions available to Citibank, N.A. include, but are not limited to, selling or financing highly liquid government...

  • Page 119
    ... of Interest Rate Risk In order to manage changes in interest rates effectively, Citi may modify pricing on new customer loans and deposits, purchase fixed rate securities, issue debt that is either fixed or floating or enter into derivative transactions that have the opposite risk exposures. Citi...

  • Page 120
    ... Estimated annualized impact to net interest revenue U.S. dollar (1) All other currencies Total As a % of average interest-earning assets Estimated initial impact to OCI (after-tax) (2) Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) (3) (1) Certain trading-oriented businesses...

  • Page 121
    ... work to minimize the effect of changes in foreign exchange rates on its Common Equity Tier 1 Capital ratio. Specifically, as currency movements change the value of Citi's net investments in foreign-currency-denominated capital, these movements also change the value of Citi's risk-weighted assets...

  • Page 122
    ... are classified 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...

  • Page 123
    ... Average rate 2013 2012 0.71% 0.80% In millions of dollars, except rates 2014 $ 161,359 2014 959 2014 0.59% 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...

  • Page 124
    ... Equity, and Net Interest Revenue (1)(2)(3)(4) Taxable Equivalent Basis Average volume 2013 2012 Interest expense 2013 2012 % Average rate 2013 2012 In millions of dollars, except rates 2014 2014 2014 Liabilities Deposits In U.S. offices (5) In offices outside the U.S. (6) Total Federal funds...

  • Page 125
    ...(67) 2013 vs. 2012 Increase (decrease) due to change in: Average Net rate change $ (136) $ (235) In millions of dollars Average volume $ 109 Average volume $ (99) Deposits with banks (4) Federal funds sold and securities borrowed or purchased under agreements to resell In U.S. offices In offices...

  • Page 126
    ... (544) 2013 vs. 2012 Increase (decrease) due to change in: Average Net rate change $ (630) (1,000) $(1,630) $ (383) (1,071) $(1,454) In millions of dollars Average volume $ 168 (147) $ 21 Average volume $ 247 (71) $ 176 Deposits In U.S. offices In offices outside the U.S. (4) Total Federal funds...

  • Page 127
    ... Value at risk (VAR) •฀ Stress testing •฀ Factor sensitivity Each trading portfolio across Citi's business segments has its own market risk limit framework encompassing these measures and other controls, including trading mandates, permitted product lists and a new product approval process...

  • Page 128
    ... positions to changes in market prices) of various asset classes/risk types (such as interest rate, credit spread, foreign exchange, equity and commodity risks). Citi's VAR includes positions which are measured at fair value; it does not include investment securities classified as available-for-sale...

  • Page 129
    ...excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio. In millions of dollars Total-all market risk factors, including general and specific risk Average-during year High-during year Low-during year Dec. 31, 2014 $122 $109 159...

  • Page 130
    ... day and re-priced the following day). Buy-and-hold profit and loss represents the daily markto-market profit and loss attributable to price movements in covered positions from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, fees...

  • Page 131
    ...used in several reports reviewed by senior management and also to calculate internal risk capital for trading market risk. In general, changes in market factors are defined over a one-year horizon. However, for the purpose of calculating internal risk capital, changes in a very limited number of the...

  • Page 132
    ... 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 activities are developed, processes are designed, modified...

  • Page 133
    .../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. Certain of the events described above could result in mandatory loan loss and other reserve requirements imposed by U.S. regulators due...

  • Page 134
    ... trading account assets will vary as it maintains inventory consistent with customer needs. (2) Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost. (3) Reflects funded loans, net of unearned income...

  • Page 135
    ... markets are typically large, multinational corporations that value Citi's global network. Citi aims to establish relationships with these clients that encompass multiple products, consistent with client needs, including cash management and trade services, foreign exchange, lending, capital markets...

  • Page 136
    ...฀fair฀value,฀is฀ permitted, but only under a legally binding netting agreement with the same specific counterparty, and does not include the benefit of margin received or hedges. •฀ The฀netting฀of฀long฀and฀short฀positions฀for฀AFS฀securities฀and฀trading฀ portfolios...

  • Page 137
    ... claims on third parties includes cross-border loans, securities, deposits with banks and other monetary assets, as well as net revaluation gains on foreign exchange and derivative products. (4) Commitments (not included in total outstanding) include legally binding cross-border letters of credit...

  • Page 138
    ...$520 million at September 30, 2014 and $920 million at December 31, 2013. (For additional information on Citi's exposures related to Argentina, see "Emerging Market Exposures" above, which sets forth Citi's trading account assets, investment securities, ICG loans and GCB loans in Argentina, based on...

  • Page 139
    ..., the Venezuelan government operates three separate official foreign exchange rates: •฀ the฀preferential฀foreign฀exchange฀rate฀offered฀by฀the฀National฀Center฀for฀ Foreign Trade (CENCOEX), fixed at 6.3 bolivars to one U.S. dollar; •฀ the฀SICAD฀I฀rate,฀which฀was...

  • Page 140
    ...majority of these third-party assets were funded with local deposit liabilities. For additional information on Citi's exposures related to Russia, see "Emerging Market Exposures" above, which sets forth Citi's trading account assets, investment securities, ICG loans and GCB loans in Russia, based on...

  • Page 141
    ...loaned positions that are collateralized with cash, are carried at fair value. Citigroup holds its investments, trading assets and liabilities, and resale and repurchase agreements on the Consolidated Balance Sheet to meet customer needs and to manage liquidity needs, interest rate risks and private...

  • Page 142
    ... the income approach (discounted cash flow (DCF) method). In applying these methodologies, Citi utilizes a number of factors, including actual operating results, future business plans, economic projections, and market data. Citi prepares a formal three-year plan for its businesses on an annual basis...

  • Page 143
    ... 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 144
    ... is recorded, processed, summarized and reported within the time periods specified in the SEC's rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO...

  • Page 145
    ...Framework (2013). Based on this assessment, management believes that, as of December 31, 2014, 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, 2014 that...

  • Page 146
    ... this Form 10-K, including but not limited to statements included within the Management's Discussion and Analysis of Financial Condition and Results of Operations, are "forward-looking statements" within the meaning of the U.S. Private Securities Litigation Reform Act of 1995. In addition, Citigroup...

  • Page 147
    ... of the Public Company Accounting Oversight Board (United States), the consolidated balance sheets of Citigroup as of December 31, 2014 and 2013, and the related consolidated statements of income, comprehensive income, changes in stockholders' equity and cash flows for each of the years in the...

  • Page 148
    ..., 2014 and 2013, 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, 2014. These consolidated financial statements are the responsibility of the Company's management...

  • Page 149
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  • Page 150
    ... 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 151
    ... and claims Provision (release) for unfunded lending commitments Total provisions for credit losses and for benefits and claims Operating expenses (1) Compensation and benefits Premises and equipment Technology/communication Advertising and marketing Other operating Total operating expenses Income...

  • Page 152
    ...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 comprehensive income (loss) Other comprehensive income (loss...

  • Page 153
    ... segregated cash and other deposits) Deposits with banks Federal funds sold and securities borrowed or purchased under agreements to resell (including $144,191 and $144,083 as of December 31, 2014 and December 31, 2013, respectively, at fair value) Brokerage receivables Trading account assets...

  • Page 154
    ... 2013, respectively, at fair value) Total deposits Federal funds purchased and securities loaned or sold under agreements to repurchase (including $36,725 and $54,147 as of December 31, 2014 and December 31, 2013, respectively, at fair value) Brokerage payables Trading account liabilities Short-term...

  • Page 155
    ... shares and T-DEC for TARP repayment Other Balance, end of period Retained earnings Adjusted balance, beginning of period Citigroup's net income Common dividends (1) Preferred dividends Tax benefit Other Balance, end of period Treasury stock, at cost Balance, beginning of year Employee benefit plans...

  • Page 156
    ...in loans held-for-sale Change in other assets Change in other liabilities Other, net Total adjustments Net cash provided by (used in) operating activities of continuing operations Cash flows from investing activities of continuing operations Change in deposits with banks Change in federal funds sold...

  • Page 157
    ... operations Cash paid during the year for income taxes Cash paid during the year for interest Non-cash investing activities Change in loans due to consolidation/deconsolidation of VIEs Transfers to loans held-for-sale from loans Transfers to OREO and other repossessed assets Non-cash financing...

  • Page 158
    ...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 and trade finance; and private banking products and services...

  • Page 159
    ... 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 include debt and marketable equity securities, derivatives in a receivable position, residual interests...

  • Page 160
    ... 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...

  • Page 161
    ... managed primarily by the Global Consumer Banking businesses and Citi Holdings. Consumer non-accrual and re-aging policies As a general rule, interest accrual ceases for installment and real estate (both open- and closed-end) loans when payments are 90 days contractually past due. For credit cards...

  • Page 162
    ...-for-sale loans are accounted for at the lower of cost or market value, with any write-downs or subsequent recoveries charged to Other revenue. The related cash flows are classified in the Consolidated Statement of Cash Flows in the cash flows from operating activities category on the line Change in...

  • Page 163
    ... Audit Committee of the Board of Directors. Citi's Chief Risk Officer and 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...

  • Page 164
    ... loans. Mortgage servicing rights are accounted for at fair value, with changes in value recorded in Other revenue in the Company's Consolidated Statement of Income. Additional information on the Company's MSRs can be found in Note 22 to the Consolidated Financial Statements. Citigroup Residential...

  • Page 165
    ... the fair value of the reporting unit recovers. Additional information on Citi's goodwill impairment testing can be found in Note 17 to the Consolidated Financial Statements. Intangible assets, including core deposit intangibles, present value of future profits, purchased credit card relationships...

  • Page 166
    ... impact earnings. To the extent these derivatives are not effective, changes in their fair values are immediately included in Other revenue. Citigroup's cash flow hedges primarily include hedges of floatingrate debt and floating-rate assets, including loans and securities purchased under agreement...

  • Page 167
    ...variable accounting, pursuant to which the associated compensation expense fluctuates with changes in Citigroup's stock price. See Note 7 to the Consolidated Financial Statements. Income Taxes Employee benefits expense includes current service costs of pension and other postretirement benefit plans...

  • Page 168
    ... 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. Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related...

  • Page 169
    ... and financial results, such as a disposal of a major geographic area, a major line of business or a major equity method investment, may be presented as discontinued operations. Additionally, the ASU requires expanded disclosures about discontinued operations that will provide more information about...

  • Page 170
    ... ASU for its entire LIHTC portfolio. These investments are currently accounted for under the equity method, which results in losses (due to amortization of the investment) being recognized in Other revenue and tax credits and benefits being recognized in the Income tax expense line. In contrast, the...

  • Page 171
    ... recognition of credit losses for loans, held-to-maturity securities and other receivables at the time the financial asset is originated or acquired and adjusted each period for changes in expected credit losses. For available-for-sale securities where fair value is less than cost, impairment would...

  • Page 172
    ...of taxes (1) Total revenues include gain or loss on sale, if applicable. Cash Flows from Discontinued Operations In millions of dollars 2014 $- - - $- 2013 $ 197 (207) - $ (10) 2012 $ (205) 195 16 $ 6 Summarized financial information for Discontinued operations for the operations related to CCA...

  • Page 173
    ... gain or loss on sale, if applicable. Cash flows from Discontinued operations related to Egg were not material for all periods presented. Audit of Citi German Consumer Tax Group On December 25, 2014, Citi entered into an agreement to sell its Japan retail banking business that will be reported as...

  • Page 174
    ... billion of assets under management, $2.2 billion of customer deposits, 45 branches, 48 ATMs and 938 employees, with the buyer assuming the related current pension commitments at closing. The transaction generated a pretax gain on sale of $243 million ($131 million after-tax). Income before taxes...

  • Page 175
    ...of the management structure within ICG and did not have an impact on any total segment-level information. In addition, during the first quarter of 2014, reclassifications were made related to Citi's re-allocation of certain administrative, operations and technology costs among Citi's businesses, the...

  • Page 176
    ... revenue Loan interest, including fees Deposits with banks Federal funds sold and securities borrowed or purchased under agreements to resell Investments, including dividends Trading account assets (1) Other interest Total interest revenue Interest expense Deposits (2) Federal funds purchased...

  • Page 177
    ... Credit cards and bank cards Trade and securities services Other consumer (1) Checking-related Corporate finance (2) Loan servicing Other Total commissions and fees (1) Primarily consists of fees for investment fund administration and management, third-party collections, commercial demand deposit...

  • Page 178
    ... Clients Group Corporate/Other Subtotal Citicorp Citi Holdings Total Citigroup Interest rate contracts (1) Foreign exchange contracts (2) Equity contracts (3) Commodity and other contracts (4) Credit products and derivatives (5) Total (1) Includes revenues from government securities and corporate...

  • Page 179
    ... quarter of the year based upon the previous year's performance. Awards valued at less than U.S. $100,000 (or the local currency equivalent) are generally paid entirely in the form of an immediate cash bonus. Pursuant to Citigroup policy and/or regulatory requirements, certain employees and officers...

  • Page 180
    ...awards that is subject to variable accounting will fluctuate with changes in Citigroup's common stock price. Performance Share Units Stock Option Programs Certain executive officers were awarded a target number of performance share units (PSUs) on February 19, 2013, for performance in 2012, and to...

  • Page 181
    Information with respect to stock option activity under Citigroup's stock option programs for the years ended December 31, 2014, 2013 and 2012 is as follows: 2014 Weightedaverage exercise price $ 50.72 40.80 242.43 40.82 $ 48.00 Intrinsic value per share $ 1.39 - - 11.37 $ 6.11 Weightedaverage ...

  • Page 182
    ... of dollars 2014 $ 525 2013 $ 468 2012 $ 444 Citigroup has various incentive plans globally that are used to motivate and reward performance primarily in the areas of sales, operational excellence and customer satisfaction. Participation in these plans is generally limited to employees who...

  • Page 183
    ... on plan assets Amortization of unrecognized Prior service (benefit) cost Net actuarial loss Curtailment loss (1) Settlement (gain) loss (1) Special termination benefits (1) Net qualified plans (benefit) expense Nonqualified plans expense Cumulative effect of change in accounting policy (2) Total...

  • Page 184
    .... In addition, management has the ability to change its funding practices. For the U.S. pension plans, there were no required minimum cash contributions for 2014 or 2013. The following table summarizes the actual Company contributions for the years ended December 31, 2014 and 2013, as well as...

  • Page 185
    ...2013 2014 2013 Change in plan assets Qualified plans Plan assets at fair value at beginning of year Cumulative effect of change in accounting policy (1) Actual return on plan assets Company contributions Plan participants' contributions Divestitures Settlements Benefits paid Foreign exchange impact...

  • Page 186
    ... effect of change in accounting policy (3) Actuarial assumptions changes and plan experience (4) Net asset gain (loss) due to difference between actual and expected returns Net amortizations Prior service credit Curtailment/settlement loss (5) Foreign exchange impact and other Change in deferred...

  • Page 187
    ... the year 2014 2013 The Company utilizes a number of assumptions to determine plan obligations and expense. Changes in one or a combination of these assumptions will have an impact on the Company's pension and postretirement PBO, funded status and benefit expense. Changes in the plans' funded...

  • Page 188
    ...reduces the Company's annual pension expense. The expected return on assets is deducted from the sum of service cost, interest cost and other components of pension expense to arrive at the net pension (benefit) expense. Net pension (benefit) expense for the U.S. pension plans for 2014, 2013 and 2012...

  • Page 189
    ...-point change in assumed health care cost-trend rates would have the following effects: Onepercentagepoint increase 2014 2013 $ 2 40 $ 1 24 Onepercentagepoint decrease 2014 2013 $ (1) (34) $ (1) (19) In millions of dollars Effect on benefits earned and interest cost for U.S. postretirement plans...

  • Page 190
    ... 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 2014 and 2013. Third-party investment managers...

  • Page 191
    ... 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 192
    ... 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 193
    ... 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 investment liabilities Total net assets In millions of dollars Non-U.S. pension and postretirement benefit plans...

  • Page 194
    ... Total assets In millions of dollars Asset categories Equity securities Non-U.S. equity 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 Beginning Level 3 fair value...

  • Page 195
    ... a total return that, when combined with the Company's contributions to the funds, will maintain the funds' ability to meet all required benefit obligations. Risk is controlled through diversification of asset types and investments in domestic and international equities, fixed-income securities and...

  • Page 196
    ...risk฀capital฀analysis฀and฀stress฀testing. The Company expects to pay the following estimated benefit payments in future years: In millions of dollars U.S. plans $ 835 860 868 882 900 4,731 Pension plans Non-U.S. plans $ 368 339 366 383 413 2,452 Postretirement benefit plans U.S. plans...

  • Page 197
    ... income (loss) as of December 31, 2014 and 2013 were $24 million and $46 million, respectively. Effective January 1, 2014, the Company made changes to its postemployment plans that limit the period for which future disabled employees are eligible for continued company subsidized medical benefits...

  • Page 198
    ... 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 Retained earnings...

  • Page 199
    ...,983 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 assets and leases Other deferred...

  • Page 200
    ...31, 2014 and 2013, 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 (FTCs) (3) General business credits (GBCs) Future tax deductions and credits Total U.S. federal State and local New York...

  • Page 201
    ... market and global economic conditions, incorporates geographic business forecasts and taxable income adjustments to those forecasts (e.g., U.S. tax-exempt income, loan loss reserves deductible for U.S. tax reporting in subsequent years), and actions intended to optimize its U.S. taxable earnings...

  • Page 202
    ... 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 carry-forwards and any NOL that would be created by the reversal of the future net deductions that have not yet...

  • Page 203
    ... (for EPS purposes) Income (loss) from discontinued operations, net of taxes Citigroup's net income Less: Preferred dividends (1) Net income available to common shareholders Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to...

  • Page 204
    ... 2014 $ 334 147,204 25,900 $ 2013 910 175,691 26,911 Federal funds purchased Securities sold under agreements to repurchase Deposits received for securities loaned Total $173,438 $203,512 The resale and repurchase agreements represent collateralized financing transactions. The Company executes...

  • Page 205
    ... Securities sold under agreements to repurchase Deposits received for securities loaned Total (1) Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45. (2) The total of this column for each period excludes Federal funds...

  • Page 206
    ... cost or fair value, and consist of the following at December 31, 2014 and 2013: In millions of dollars 2014 2013 Trading account assets Mortgage-backed securities (1) U.S. government-sponsored agency guaranteed Prime Alt-A Subprime Non-U.S. residential Commercial Total mortgage-backed securities...

  • Page 207
    ...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, 2014, 2013 and 2012: In millions of dollars 2014...

  • Page 208
    ... (1) losses (1) Fair value Amortized cost Gross Gross unrealized unrealized gains (1) losses (1) 2013 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...

  • Page 209
    ...federal agency securities State and municipal Foreign government Corporate Asset-backed securities Marketable equity securities AFS Total securities AFS December 31, 2013 Securities AFS Mortgage-backed securities U.S. government-sponsored agency guaranteed Prime Non-U.S. residential Commercial Total...

  • Page 210
    ... $ 2014 Fair value 44 935 1,387 42,642 Amortized cost $ 87 346 2,898 49,723 $ 2013 Fair value 87 354 2,932 49,282 In millions of dollars Mortgage-backed securities (1) Due within 1 year After 1 but within 5 years After 5 but within 10 years After 10 years (2) Total U.S. Treasury and federal agency...

  • Page 211
    ...dollars Amortized cost basis (1) Carrying value (2) Fair value December 31, 2014 Debt securities held-to-maturity Mortgage-backed securities (3) U.S. government agency guaranteed Prime Alt-A Subprime Non-U.S. residential Commercial Total mortgage-backed securities State and municipal (4) Foreign...

  • Page 212
    ... months Gross Fair unrecognized value losses 12 months or longer Gross Fair unrecognized value losses Total Gross unrecognized losses In millions of dollars Fair value December 31, 2014 Debt securities held-to-maturity Mortgage-backed securities State and municipal Foreign government Asset-backed...

  • Page 213
    ... of the security. For securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer. For securities transferred to HTM...

  • Page 214
    ...an equity investment in Turkey (Akbank), is recorded within marketable equity securities available-for-sale. The revaluation of the Turkish lira was hedged, so the change in the value of the currency related to Akbank investment did not have a significant impact on earnings during the year. Mortgage...

  • Page 215
    ... earnings for the year ended December 31, 2013: OTTI on Investments and Other Assets In millions of dollars AFS (1) HTM Year ended December 31, 2013 Other Assets (2) Total Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell: Total...

  • Page 216
    ...monthly, quarterly, annually Generally quarterly - - - In millions of dollars 2014 $ 8 796 166 Fair value 2013 $ 751 794 294 $1,839 Unfunded commitments 2014 2013 $ - 205 24 $229 $ - 170 36 $206 Redemption notice period 10-95 days - - - Hedge funds Private equity funds (1)(2) Real estate funds...

  • Page 217
    ...Consumer Banking businesses in Citicorp and in Citi Holdings. The following table provides information by loan type for the periods indicated: In millions of dollars 2014 2013 Consumer loans In U.S. offices Mortgage and real estate (1) Installment, revolving credit, and other Cards Commercial and...

  • Page 218
    ...days past due and accruing $ 2,759 - 1,273 3 15 $ 4,050 $ - - 322 - - In millions of dollars In North America offices Residential first mortgages Home equity loans (5) Credit cards Installment and other Commercial market loans Total In offices outside North America Residential first mortgages Home...

  • Page 219
    ...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 220
    ... the year ended December 31, 2013 Related Average Interest income specific allowance (3) carrying value (4) recognized (5)(6)(7) $ 2,309 427 1,178 536 183 $ 4,633 $17,616 2,116 3,720 1,094 404 $24,950 $ 790 81 234 153 22 $ 1,280 Mortgage and real estate Residential first mortgages Home equity loans...

  • Page 221
    ... and for the year ended December 31, 2013 Contingent Average principal Principal interest rate forgiveness (4) forgiveness (5) reduction $ 25 - - - - $ 25 158 92 - - - $250 $ 2 - 10 7 - 1% - 13 7 - 1% 1 14 7 - North America Residential first mortgages Home equity loans Credit cards Installment and...

  • Page 222
    ... as 90 days past due. In millions of dollars Years ended December 31, 2014 2013 $ 715 72 194 95 9 $1,085 $ 24 - 217 104 105 $1,532 183 204 91 3 $2,013 $ 54 - 198 104 15 North America Residential first mortgages Home equity loans Credit cards Installment and other revolving Commercial markets Total...

  • Page 223
    ... table presents information by corporate loan type as of December 31, 2014 and December 31, 2013: In millions of dollars December 31, 2014 December 31, 2013 Corporate In U.S. offices Commercial and industrial Financial institutions Mortgage and real estate (1) Installment, revolving credit and...

  • Page 224
    ... than 30 days past due are presented as current. (4) Total loans include loans at fair value, which are not included in the various delinquency columns. Citigroup has a risk management process to monitor, evaluate and manage the principal risks associated with its corporate loan portfolio. As part...

  • Page 225
    ... Mortgage and real estate Leases Other Non-accrual Commercial and industrial Financial institutions Mortgage and real estate Leases Other Total non-investment grade Private bank loans managed on a delinquency basis (2) Loans at fair value Corporate loans, net of unearned income Corporate loans...

  • Page 226
    ... 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, 2013 In millions of dollars Recorded investment (1) $ 769 365 515 189 70 $ 1,908 Unpaid principal balance...

  • Page 227
    ... involving changes in the amount or timing of interest payments may involve a below-market interest rate. The following table presents total corporate loans modified in a TDR at December 31, 2014 and 2013, as well as those TDRs that defaulted during the three months ended December 31, 2014 and 2013...

  • Page 228
    ...405 million in 2014 and 2013, 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 229
    ...220 million related to foreign currency translation. 2012 includes reductions of approximately $875 million related to the sale or transfer to held-for-sale of various U.S. loan portfolios. (5) Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded...

  • Page 230
    ... quality in accordance with ASC 310-30 Loans held at fair value Total loans, net of unearned income $ $ $ $267,271 1,485 51 5,858 $274,665 Allowance for Credit Losses and Investment in Loans at December 31, 2013 In millions of dollars Corporate $ 2,776 (369) 168 201 (199) (1) 8 2,584 2,232...

  • Page 231
    ... Financial Statements. (2) Other changes in Goodwill primarily reflect foreign exchange effects on non-dollar-denominated goodwill and purchase accounting adjustments. (3) Primarily related to the sale of the Spain consumer operations and the agreement to sell the Japan retail banking business...

  • Page 232
    ...2014 and the fair value as a percentage of allocated book value as of the annual impairment test. In millions of dollars Reporting Unit (1) Fair Value as a % of allocated book value 260% 178 264 214 404 200 193 Goodwill $ 6,756 332 4,704 1,602 3,481 6,675 42 North America Global Consumer Banking...

  • Page 233
    ... 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) (2) Total intangible assets (1) Includes contract...

  • Page 234
    ..., 2014 and December 31, 2013, collateralized short-term advances from the Federal Home Loan Banks were $11.2 billion. Citigroup Inc. (1) Senior debt Subordinated debt (2) Trust preferred securities Bank (3) Senior debt Subordinated debt (2) Broker-dealer (4) Senior debt Subordinated debt (2) Total...

  • Page 235
    ... 4,878 56,646 $65,499 Total $ 65,146 8,422 149,512 $223,080 Bank Broker-dealer Citigroup Inc. Total The following table summarizes the Company's outstanding trust preferred securities at December 31, 2014: Junior subordinated debentures owned by trust Common shares issued to parent 6,003 1,000 50...

  • Page 236
    ... ratio requirements, as well as policy statements of the federal regulatory agencies that indicate that banking organizations should generally pay dividends out of current operating earnings. Citigroup received $8.9 billion and $12.2 billion in dividends from Citibank, N.A. during 2014 and 2013...

  • Page 237
    ... (loss) Parent company's comprehensive income Citigroup Inc. Parent Company Only Balance Sheet Years ended December 31, 2014 2013 $ 125 604 830 77,951 211,353 110,908 $ 233 184 1,032 83,110 203,739 106,170 In millions of dollars Assets Cash and due from banks Trading account assets Investments...

  • Page 238
    ... the parent holding company Citigroup Inc., excluding consolidated subsidiaries. Citigroup Funding Inc. (CFI) was previously a first-tier subsidiary of Citigroup Inc., issuing commercial paper, medium-term notes and structured equity-linked and credit-linked notes. The debt of CFI was guaranteed by...

  • Page 239
    ... Pudong Development Bank (SPDB). (6) The after-tax impact due to impairment charges and the loss related to Akbank included within the foreign currency translation adjustment, during 2012 was $667 million (see Note 14 to the Consolidated Financial Statements). (7) On December 20, 2013, the sale of...

  • Page 240
    ... exchange contracts Subtotal, pretax Tax effect Amortization of cash flow hedges, after-tax (2) Amortization of unrecognized Prior service cost (benefit) Net actuarial loss Curtailment/settlement impact (3) Subtotal, pretax Tax effect Amortization of benefit plans, after-tax (3) Foreign currency...

  • Page 241
    ... of unrecognized Prior service cost (benefit) Net actuarial loss Curtailment/settlement impact (3) Cumulative effect of change in accounting policy (3) Subtotal, pretax Tax effect Amortization of benefit plans, after-tax (3) Foreign currency translation adjustment Total amounts reclassified out...

  • Page 242
    ... by the Citi Board of Directors. (8) Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until November 15...

  • Page 243
    ... equity investments, guarantees, liquidity agreements and certain derivative contracts. In various other transactions, the Company may: (i) act as a derivative counterparty (for example, interest rate swap, cross-currency swap, or purchaser of credit protection under a credit default swap or total...

  • Page 244
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  • Page 245
    ... (CLOs) Asset-based financing Municipal securities tender option bond trusts (TOBs) Municipal investments Client intermediation Investment funds (5) Trust preferred securities Other Total Citi Holdings Credit card securitizations Mortgage securitizations U.S. agency-sponsored Non-agency-sponsored...

  • Page 246
    ... (CLOs) Asset-based financing Municipal securities tender option bond trusts (TOBs) Municipal investments Client intermediation Investment funds (5) Trust preferred securities Other Total Citi Holdings Credit card securitizations Mortgage securitizations U.S. agency-sponsored Non-agency-sponsored...

  • Page 247
    ... The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., security or loan) and the Company's standard accounting policies for the asset type and line of business. The asset balances for unconsolidated VIEs where the...

  • Page 248
    ...except where the Company has provided a guarantee to the investors or is the counterparty to certain derivative In billions of dollars transactions involving the VIE. Thus, the Company's maximum legal exposure to loss related to consolidated VIEs is significantly less than the carrying value of the...

  • Page 249
    ...amount of trust credit card receivables Credit Card Securitizations-Citicorp The following table summarizes selected cash flow information related to Citicorp's credit card securitizations for the years ended December 31, 2014, 2013 and 2012: In billions of dollars Credit Card Securitizations-Citi...

  • Page 250
    ... in future cash flows from the trusts and also provides servicing for a limited number of ICG securitizations. ICG and Citi Holdings do not retain servicing for their mortgage securitizations. The Company securitizes mortgage loans generally through either a government-sponsored agency, such...

  • Page 251
    ... selected cash flow information related to Citicorp mortgage securitizations for the years ended December 31, 2014, 2013 and 2012: 2014 U.S. agencysponsored mortgages $27.4 0.4 0.1 Non-agencysponsored mortgages $11.8 - - 2013 Agency- and non-agencysponsored mortgages $72.5 0.4 0.1 2012 Agency- and...

  • Page 252
    ...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, 2014 Carrying value of retained interests Discount rates Adverse change of 10% Adverse change of 20% Constant...

  • Page 253
    ...Not meaningful. Anticipated 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, 2014, 2013 and 2012...

  • Page 254
    ... in mortgage securitizations as of December 31, 2014 and 2013. NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees. In millions of dollars at December 31, 2014 Carrying value of retained interests Discount rates Adverse change of 10% Adverse change of...

  • Page 255
    ... mortgage-backed securities and purchased securities classified as Trading account assets. The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees for the years ended December 31, 2014, 2013 and 2012 were as follows: In millions of dollars...

  • Page 256
    ... income, costs and fees are relatively stable as a percentage of the conduit's size. The conduits administered by the Company do not generally invest in liquid securities that are formally rated by third parties. The assets are privately negotiated and structured transactions that are generally...

  • Page 257
    ... 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. The...

  • Page 258
    ... same credit approvals as all other loans originated or purchased by the Company. Financings in the form of debt securities or derivatives are, in most circumstances, reported in Trading account assets and accounted for at fair value through earnings. The Company generally does not have the power to...

  • Page 259
    ...890 Type Commercial and other real estate Corporate loans Airplanes, ships and other assets Total The following table summarizes selected cash flow information related to asset-based financings for the years ended December 31, 2014, 2013 and 2012: In billions of dollars 2014 $0.1 2013 $0.2 2012...

  • Page 260
    ...bond value at the inception of the transaction, no reimbursement agreement was executed. The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled...

  • Page 261
    ... transactions for the year ended December 31, 2014 totaled approximately $2.0 billion. Investment Funds The Company is the investment manager for certain investment funds and retirement funds that invest in various asset classes including private equity, hedge funds, real estate, fixed income...

  • Page 262
    ... relating to interest rate, foreign currency, commodity and other market/credit risks for the following reasons: •฀ Trading Purposes: Citigroup trades derivatives as an active market maker. Citigroup offers its customers derivatives in connection with their risk management actions to transfer...

  • Page 263
    ... cash and/or securities, may from time to time be segregated in an account at a third-party custodian pursuant to a tri-party account control agreement. Information pertaining to Citigroup's derivative activity, based on notional amounts, as of December 31, 2014 and December 31, 2013, is presented...

  • Page 264
    ... overall risk. The following tables present the gross and net fair values of the Company's derivative transactions, and the related offsetting amounts permitted under ASC 210-20-45 and ASC 815-10-45, as of December 31, 2014 and December 31, 2013. Under ASC 210-20-45, gross positive fair values are...

  • Page 265
    ...776 (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 266
    ...011 (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 267
    .... As a general rule, hedge accounting is permitted where the Company is exposed to a particular risk, such as interest-rate or foreign-exchange risk, that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or...

  • Page 268
    ... employed is generally a forward foreign-exchange contract. In this hedge, the change in fair value of the hedged available-for-sale security attributable to the portion of foreign exchange risk hedged is reported in earnings, and not Accumulated other comprehensive income (loss)-which serves...

  • Page 269
    ...fair value hedges Interest rate contracts Foreign exchange contracts (2) Commodity hedges (2) Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges $ $ (1) Amounts are included in Other revenue on the Consolidated Statement of Income. The accrued interest income...

  • Page 270
    ... earnings Interest rate contracts Foreign exchange contracts Total effective portion of cash flow hedges reclassified from AOCI to earnings (1) (1) Included primarily in Other revenue and Net interest revenue on the Consolidated Income Statement. For cash flow hedges, the changes in the fair value...

  • Page 271
    ... Citi also uses credit derivatives to help mitigate credit risk in its corporate and consumer loan portfolios and other cash positions, and to facilitate client transactions. Citi monitors its counterparty credit risk in credit derivative contracts. As of December 31, 2014 and 2013, approximately 98...

  • Page 272
    The following tables summarize the key characteristics of Citi's credit derivatives portfolio by counterparty and derivative form as of December 31, 2014 and December 31, 2013: Fair values In millions of dollars at December 31, 2014 Receivable (1) $24,828 8,093 91 10,784 $43,796 $42,930 866 $43,796...

  • Page 273
    ... existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates. The fair value (excluding CVA) of all derivative instruments with credit-risk-related contingent features that were in a net liability position at December 31, 2014 and December 31, 2013...

  • Page 274
    ... industry, product, and geographic lines, material transactions are completed with other financial institutions, particularly in the securities trading, derivatives and foreign exchange businesses. In connection with the Company's efforts to maintain a diversified portfolio, the Company limits its...

  • Page 275
    ... certain portfolios of financial investments, such as derivatives, on the basis of the net open risk position, the liquidity adjustment is adjusted to take into account the size of the position. For assets and liabilities carried at fair value, the Company measures such value using the procedures...

  • Page 276
    ... with this policy. For fair value measurements of substantially all assets and liabilities held by the Company, individual business units are responsible for valuing the trading account assets and liabilities, and Product Control within Finance performs independent price verification procedures to...

  • Page 277
    ...-dated positions are classified฀within฀Level฀3฀of฀the฀fair฀value฀hierarchy. Trading account assets and liabilities-trading securities and trading loans When available, the Company generally uses quoted market prices in active markets to determine the fair value of trading securities...

  • Page 278
    ... company, initial public offerings, equity issuances or other observable transactions. As discussed in Note 14 to the Consolidated Financial Statements, the Company uses net asset value to value certain of these investments. Private฀equity฀securities฀are฀generally฀classified฀as฀Level...

  • Page 279
    ...guaranteed Residential Commercial Total trading mortgage-backed securities U.S. Treasury and federal agency securities State and municipal Foreign government Corporate Equity securities Asset-backed securities Other trading assets Total trading non-derivative assets Trading derivatives Interest rate...

  • Page 280
    ... from Level 1 to Level 2, primarily related to foreign government securities not traded in active markets and Citi refining its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. During the year ended December 31, 2014, the Company transferred assets of...

  • Page 281
    ...guaranteed Residential Commercial Total trading mortgage-backed securities U.S. Treasury and federal agency securities State and municipal Foreign government Corporate Equity securities Asset-backed securities Other trading assets Total trading non-derivative assets Trading derivatives Interest rate...

  • Page 282
    ... deposits Federal funds purchased and securities loaned or sold under agreements to repurchase Trading account liabilities Securities sold, not yet purchased Trading account derivatives Interest rate contracts Foreign exchange contracts Equity contracts Commodity contracts Credit derivatives Total...

  • Page 283
    ... Sales Settlements Dec. 31, 2014 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...

  • Page 284
    ... Mortgage-backed securities U.S. government-sponsored agency guaranteed $ 187 Residential 102 Commercial - Total investment mortgagebacked securities $ 289 U.S. Treasury and federal agency securities $ 8 State and municipal 1,643 Foreign government 344 Corporate 285 Equity securities 815 Asset...

  • Page 285
    ... Foreign exchange contracts Equity contracts Commodity contracts Credit derivatives Total trading derivatives, net (4) Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed Residential Commercial Total investment mortgagebacked securities U.S. Treasury and federal agency...

  • Page 286
    ...losses) still held (3) $ (122) 553 (5) $ (41) Loans $ 4,931 Mortgage servicing rights 1,942 Other financial assets measured on a recurring basis 2,452 Liabilities Interest-bearing deposits $ 786 Federal funds purchased and securities loaned or sold under agreements to repurchase 841 Trading account...

  • Page 287
    ... Fair Value (1) As of December 31, 2014 (in millions) Methodology Input Low (2)(3) High (2)(3) Weighted Average (4) Assets Federal funds sold and securities borrowed or purchased under agreements to resell Mortgage-backed securities State and municipal, foreign government, corporate...

  • Page 288
    ... Price-based Cash flow Model-based Price-based Yield analysis Cash flow Loans Mortgage servicing rights Liabilities Interest-bearing deposits $1,095 832 740 441 $1,750 Redemption rate Forward Price Fund NAV Yield Price Credit spread Yield WAL Equity-IR correlation Commodity correlation Commodity...

  • Page 289
    Fair Value (1) As of December 31, 2013 (in millions) Methodology Input Low (2)(3) High (2)(3) Weighted Average (4) Assets Federal funds sold and securities borrowed or purchased under agreements to resell Mortgage-backed securities State and municipal, foreign government, corporate and other ...

  • Page 290
    ...-based Federal funds purchased and securities loaned or sold under agreements to repurchase Trading account liabilities Securities sold, not yet purchased $ 902 $ 289 $ 273 Model-based Model-based Price-based Interest rate Credit spread Credit-IR correlation Price IR lognormal volatility Equity...

  • Page 291
    ...between changes in the value of a portfolio to changes in volatility also depends on changes in interest rates and the level of the underlying index. Generally, long option positions (assets) benefit from increases in volatility, whereas short option positions (liabilities) will suffer losses. Some...

  • Page 292
    ... of the security representing its credit quality. Credit spread reflects the market perception of changes in prepayment, delinquency and recovery rates, therefore capturing the impact of other variables on the fair value. Changes in credit spread affect the fair value of securities differently...

  • Page 293
    ..., including primarily real-estate secured loans. 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 on a nonrecurring...

  • Page 294
    ... in earnings, attributable to the change in fair value relating to assets that are still held at December 31, 2014 and December 31, 2013: In millions of dollars Year ended December 31, 2014 $ 34 (16) (533) $(515) Loans held-for-sale Other real estate owned Loans (1) Total nonrecurring fair value...

  • Page 295
    ...-term debt not carried at fair value. For loans not accounted for at fair value, cash flows are discounted at quoted secondary market rates or estimated market rates if available. Otherwise, sales of comparable loan portfolios or current market origination rates for loans with similar terms and risk...

  • Page 296
    ... borrowed Trading account assets Investments Loans Certain corporate loans (1) Certain consumer loans (1) Total loans Other assets MSRs Certain mortgage loans held for sale (2) Total other assets Total assets Liabilities Interest-bearing deposits Federal funds purchased and securities loaned or...

  • Page 297
    .... Changes in fair value of funded and unfunded credit products are classified in Principal transactions in the Company's Consolidated Statement of Income. Related interest revenue is measured based on the contractual interest rates and reported as Interest revenue on Trading account assets or loan...

  • Page 298
    ...the Company's Consolidated Statement of Income. Citigroup also elects the fair value option for certain non-marketable equity securities whose risk is managed with derivative instruments that are accounted for at fair value through earnings. These securities are classified as Trading account assets...

  • Page 299
    ... provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument at December 31, 2014 and 2013: In billions of dollars Interest rate linked Foreign exchange linked Equity linked Commodity linked Credit linked Total December 31, 2014 $10...

  • Page 300
    ... of dollars 2014 $173,015 214,530 111,832 $499,377 2013 $183,071 228,513 118,832 $530,416 Investment securities Loans Trading account assets Total 2015 2016 2017 2018 2019 Thereafter Total $ 1,415 1,192 964 771 679 4,994 $10,015 Guarantees In addition, included in Cash and due from banks at...

  • Page 301
    ... of dollars) In billions of dollars at December 31, 2014 except carrying value in millions Financial standby letters of credit Performance guarantees Derivative instruments considered to be guarantees Loans sold with recourse Securities lending indemnifications (1) Credit card merchant processing...

  • Page 302
    ...to the lending agreement and collateral held is insufficient to cover the market value of the security. Credit card merchant processing Credit card merchant processing guarantees represent the Company's indirect obligations in connection with: (i) providing transaction processing services to various...

  • Page 303
    ... claims and other liabilities relating to a book of long-term care (LTC) business (for the entire term of the LTC policies) that is fully reinsured by another insurance company. The reinsurer has funded two trusts with securities whose fair value (approximately $6.2 billion at December 31, 2014...

  • Page 304
    ...guarantees Derivative instruments deemed to be guarantees Loans sold with recourse Securities lending indemnifications Credit card merchant processing Custody indemnifications and other Total $315.6 In billions of dollars at December 31, 2013 Maximum potential amount of future payments Investment...

  • Page 305
    ... One- to four-family residential mortgages Revolving open-end loans secured by one- to four-family residential properties Commercial real estate, construction and land development Credit card lines Commercial and other consumer loan commitments Other commitments and contingencies Total $675,090...

  • Page 306
    ... of the Department of Justice, the Financial Crimes Enforcement Network of the United States Department of the Treasury, and the Federal Bureau of Investigation relating to Citigroup and its customers. Because of the global scope of Citigroup's operations, and its presence in countries around the...

  • Page 307
    ...have a material adverse effect on Citigroup's consolidated results of operations or cash flows in particular quarterly or annual periods. Commodities Financing Contracts Beginning in May 2014, Citigroup became aware of reports of potential fraud relating to the financing of physical metal stored at...

  • Page 308
    ... for information from the Securities and Exchange Commission (SEC), FINRA, state attorneys general, the Department of Justice and subdivisions thereof, the Office of the Special Inspector General for the Troubled Asset Relief Program, bank regulators, and other government agencies and authorities...

  • Page 309
    ... investors filed an action in the United States District Court for the Southern District of New York, captioned FIXED INCOME SHARES: SERIES M ET AL. V. CITIBANK, N.A., alleging similar claims relating to 27 MBS trusts sponsored by UBS, Lehman Brothers, American Home Mortgage, Goldman Sachs, Country...

  • Page 310
    ... Claim Form was served on March 10, 2014, and discovery is ongoing. A trial is scheduled to begin in 2016. Additional information concerning this action is publicly available in court filings under the claim number Terra Firma Investments (GP) 2 Ltd. & Ors v Citigroup Global Markets Ltd. & Ors (2014...

  • Page 311
    ...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 312
    ... to New York. Additional information concerning these actions is publicly available in court filings under the docket numbers 13 Civ. 7789, 13 Civ. 7953, and 14 Civ. 1364 (S.D.N.Y.) (Schofield, J.). Additionally, Citigroup and Citibank, N.A., as well as numerous other foreign exchange dealers, are...

  • Page 313
    ... that claim to represent certain groups of merchants, allege, among other things, that defendants have engaged in conspiracies to set the price of interchange and merchant discount fees on credit and debit card transactions and to restrain trade through various Visa and MasterCard rules governing...

  • Page 314
    ...a result of a fraud discovered in a Petróleos Mexicanos (Pemex) supplier program involving Oceanografía SA de CV (OSA), a Mexican oil services company and a key supplier to Pemex. During the first quarter of 2014, Citigroup incurred approximately $165 million of incremental credit costs related to...

  • Page 315
    ... amount, leaving Citibank, N.A. as the sole remaining defendant. Additional information concerning this matter is publicly available in court filings under docket number 03 Civ. 3748 (S.D.N.Y.) (Batts, J.). Settlement Payments Payments required in settlement agreements described above have...

  • Page 316
    ... Consolidated Financial Statements is unaudited due to the Company's individual quarterly results not being subject to an audit. (1) Due to averaging of shares, quarterly earnings per share may not add up to the totals reported for the full year. [End of Consolidated Financial Statements and Notes...

  • Page 317
    ... common stockholders' equity (1) Return on average total stockholders' equity (2) Total average equity to average assets (3) Dividends payout ratio (4) 0.39% 3.4 3.5 11.1 1.8 2013 0.73% 7.0 6.9 10.5 0.9 2012 0.39% 4.1 4.1 9.7 1.6 (1) Based on Citigroup's net income less preferred stock dividends as...

  • Page 318
    ... at account opening and obligations to monitor client transactions and report suspicious activities. Securities and Commodities Regulation Citi conducts securities underwriting, brokerage and dealing activities in the U.S. through Citigroup Global Markets Inc. (CGMI), its primary broker-dealer, and...

  • Page 319
    ...fully occupied by Citi. Citigroup Global Markets Holdings Inc.'s principal offices are located at 388 and 390 Greenwich Street in New York City, with both buildings subject to long term-leases and fully occupied by Citi. Citigroup's principal executive offices in EMEA are located at 25 and 33 Canada...

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    ... an annual regulatory review of the results of the Comprehensive Capital Analysis and Review (CCAR) process required by the Federal Reserve Board and the supervisory stress tests required under the Dodd-Frank Act. See "Risk FactorsBusiness and Operational Risks" above. For information on the...

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    ... stock, the S&P 500 Index 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 2009 DATE 31-Dec-2009 31-Dec-2010 30-Dec-2011 31-Dec-2012 31-Dec-2013...

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    ...year career at Bank of America, where she was President, Bank of America Home Loans, a Global Technology & Operations Executive, and President, Consumer Products, among other roles. CITIGROUP BOARD OF DIRECTORS Michael L. Corbat Gary M. Reiner Joan E. Spero James S. Turley Chief Executive Officer...

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    ... Financial Officer Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities indicated on the 25th day of February, 2015. Citigroup's Principal Executive Officer and a Director...

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    [email protected], or by writing to: Citi Document Services 540 Crosspoint Parkway Getzville, NY 14068 Stockholder Inquiries Information about Citi, including quarterly earnings releases and filings with the U.S. Securities and Exchange Commission, can be accessed via its website at www.citigroup.com...

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    www.citigroup.com © 2015 Citigroup Inc. 1254964 CIT24023 03/15 Take a closer look at Citi with the digital Annual Report: citi.com/annualreport