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2015
ANNUAL
REPORT

Table of contents

  • Page 1
    2015 ANNUAL REPORT

  • Page 2
    ... them buy securities such as stocks and bonds. We work with companies to optimize their daily operations, whether they need working capital, to make payroll or export their goods overseas. By lending to companies large and small, we help them grow, creating jobs and real economic value at home and...

  • Page 3
    ... Net Revenues Citigroup Net Revenues Citicorp Net Income Citi Holdings Net Income (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 Ratios - Full...

  • Page 4
    ... earnings. We did that by focusing and reallocating our finite resources while directing targeted investments to select businesses, product offerings, markets, client and customer segments and infrastructure where we saw a clear pathway to future growth. Our second goal was to bring Citi Holdings...

  • Page 5
    ... mobile banking solution. In our Institutional Clients Group, we intend to build on our market share gains by continuing to focus on a comparatively smaller number of multi-national corporations, financial institutions, asset managers, hedge funds, private equity firms and public sector entities...

  • Page 6
    ...Citigroup Investor Relations website. Tangible Book Value (TBV) per share is a non-GAAP financial measure. For a additional information, please refer to Slide 40 of the Fourth Quarter 2015 Earnings Review available on the Citigroup Investor Relations website. 2 3 10th Annual Global Community Day...

  • Page 7
    ... developed to demonstrate our value to society. Michael L. Corbat Chief Executive Officer, Citigroup Inc. engaged in service activities to benefit their local communities. In the days leading up to and including Global Community Day, Citi colleagues, alumni, clients, family and friends worked...

  • Page 8
    ... Cards and Citi Retail Services. Citi Branded Cards Citi Branded Cards provides payment and credit solutions to consumers and small businesses, with more than 48.2 million accounts globally. In 2015, the business generated annual purchase sales of $283.9 billion and had an average loan portfolio...

  • Page 9
    ...In 2015, Citi Retail Services saw purchase sales of $80 billion and an average loan portfolio totaling $43 billion. Citi Bike In 2015, Citi Bike® riders in New York took a record 10 million trips, a 23 percent increase over 2014. The multi-year, Citi-funded expansion of the program by its operator...

  • Page 10
    Global Consumer Banking Retail Banking Citibank meets the full range of consumer banking needs, including checking and savings accounts, loans, wealth management advice and small business services. Our Smart Banking branch design and experience, tailored offerings and world-class service continue to...

  • Page 11
    ...rst large bank awarded Preferred Lender Program status by the Small Business Administration for the Export Working Capital Program, geared toward borrowers that are exporting goods and services and creating U.S. jobs. At more than 300 Citi Smart Banking branches around the world, Citi offers state...

  • Page 12
    ... loan globally in 2015; and lead dealer manager for General Electric Company on a $36 billion debt exchange offer, the largest corporate debt exchange in history. Corporate and Investment Banking Citi's Corporate and Investment Banking franchises provide comprehensive relationship coverage service...

  • Page 13
    ...nancing to construct Mexico City's new international airport. The Citi-led transaction is one of the largest emerging markets privately financed infrastructure financings. Citi Community Capital closed a financing deal for the New England Center and Home for Veterans to support the modernization...

  • Page 14
    ..., currencies, sectors and products, 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...

  • Page 15
    ...Trading, according to the survey. • PWM/The Banker named Citi Best Private Bank for Customer Service, an accolade that demonstrated Citi's continued commitment to helping our clients build, protect and preserve their wealth legacy through tailored advice. Family Wealth Report also recognized Citi...

  • Page 16
    ... for our global headquarters at 388 Greenwich Street in New York City. Environmental and social risk management remains a key priority and policy, and standards will continually evolve in response to emerging risks and new product development. Citi for Cities Around the world, local governments are...

  • Page 17
    ... agreement between Citi and Facebook, the project will provide 100 percent of the power for the foreseeable future for Facebook's newest data center in Fort Worth, Texas. Citi has been named to the Dow Jones Sustainability and FTSE4Good indices, which have tracked globally recognized corporate...

  • Page 18
    ... to work with government leaders to provide long-term financing for this project. The result is better hospitals, schools and opportunities for the Ghanaian people. For over 200 years, Citi's job has been to believe in people and help make their ideas a reality. citi.com/progress © 2015 Citibank...

  • Page 19
    ...THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2015 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) 388 Greenwich Street, New York, NY (Address of...

  • Page 20
    ... Issuer Purchases of Equity Securities ...6. Selected Financial Data ...7. Management's Discussion and Analysis of Financial Condition and Results of Operations ... 15. Exhibits and Financial Statement Schedules 134, 156-157 307-308 10-11 * For additional information regarding Citigroup's Directors...

  • Page 21
    CITIGROUP'S 2015 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 SEGMENT BALANCE SHEET CITICORP Global Consumer Banking (GCB)...

  • Page 22
    ... company, whose businesses provide consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, trade and securities services and wealth management. Citi...

  • Page 23
    ...-based financial advisors - Residential real estate - Asset management in Latin America • Citi-branded cards in all regions • Citi retail services in North America • Markets and securities services - Investment banking - Treasury and trade solutions - Corporate lending - Private bank - Fixed...

  • Page 24
    ... ratio. Loan and deposit growth in Citicorp each grew by 5% while Citi's overall balance sheet decreased by 3% (each excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation)). Citi also ended 2015 with a Common Equity Tier 1 Capital ratio...

  • Page 25
    ..., primarily reflecting lower net releases related to the North America mortgage portfolio. For additional information on Citi's consumer and corporate credit costs and allowance for loan losses, see "Credit Risk" below. Capital Citi continued to grow its regulatory capital during 2015, even as it...

  • Page 26
    ...grew 7%. Average card loans of $107 billion decreased 2%, while purchase sales of $263 billion increased 4% versus the prior year. For additional information on the results of operations of North America GCB for 2015, see "Global Consumer Banking- North America GCB" below. International GCB revenues...

  • Page 27
    ... year. Fixed income markets revenues of $11.3 billion, excluding CVA/DVA, decreased 7% from the prior year, as growth in rates and currencies was more than offset by a slowdown in spread products, reflecting the volatile trading environment during the year. Equity markets revenues of $3.1 billion...

  • Page 28
    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 2015 $46,630 29,724 $76,354 43,615 7,913 $24,826 7,440 $17,386 (54) $17,332 90 $17,242 $ 769 2014 $47,993 29,226 $77,219 55,051 7,...

  • Page 29
    ... Equity Tier 1 Capital (3) Tier 1 Capital (3) Total Capital (3) Supplementary Leverage ratio (4) Citigroup common stockholders' equity to assets Total Citigroup stockholders' equity to assets Dividend payout ratio (5) Book value per common share Ratio of earnings to fixed charges and preferred stock...

  • Page 30
    ... income (loss) and revenues for Citigroup on a segment and business view: CITIGROUP INCOME In millions of dollars 2015 2014 2013 % Change 2015 vs. 2014 % Change 2014 vs. 2013 Income (loss) from continuing operations CITICORP Global Consumer Banking North America Latin America Asia (1) Total...

  • Page 31
    ... (7)% (1)% 16% 1% Institutional Clients Group North America EMEA Latin America Asia Total Corporate/Other Total Citicorp Citi Holdings Total Citigroup net revenues (1) For reporting purposes, Asia GCB includes the results of operations of EMEA GCB for all periods presented. NM Not meaningful 13

  • Page 32
    ... Assets Cash and deposits with banks Federal funds sold and securities borrowed or purchased under agreements to resell Trading account assets Investments Loans, net of unearned income and allowance for loan losses Other assets Liquidity assets (4) Total assets Liabilities and equity Total deposits...

  • Page 33
    ... taxes Income taxes Income from continuing operations Income (loss) from discontinued operations, net of taxes Noncontrolling interests Net income Balance sheet data (in billions of dollars) Total end-of-period (EOP) assets Average assets Return on average assets Efficiency ratio Total EOP loans...

  • Page 34
    ... of dollars) Average assets Return on average assets Efficiency ratio Total EOP assets Average deposits Net credit losses as a percentage of average loans Revenue by business Retail banking Cards (1) Total Income from continuing operations by business Retail banking Cards (1) Total 2015 $ 26...

  • Page 35
    ... $ 6,562 (416) $ 6,146 (6)% (1)% (8)% (3)% -% 9% (6)% (3)% (1)% 1% 1% 2% (11)% (11)% 4% 7% (1) Includes both Citi-branded cards and Citi retail services. (2) Reflects the impact of FX translation into U.S. dollars at the 2015 average exchange rates for all periods presented. NM Not meaningful 17

  • Page 36
    ... taxes Income from continuing operations Noncontrolling interests Net income Balance Sheet data (in 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...

  • Page 37
    ... in average loans). The higher contractual partner payments resulted from the business sharing the benefits of higher yields and lower net credit losses with its retail partners. Purchase sales were unchanged as the continued impact of lower fuel prices was offset by volume growth. North America GCB...

  • Page 38
    ... taxes Income from continuing operations Noncontrolling interests Net income Balance Sheet data (in 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...

  • Page 39
    ... banking revenues reflected volume growth, including an increase in average loans (4%) and average deposits (5%), partially offset by a decline in investment sales (15%). Cards revenues decreased 2%, primarily due to higher payment rates in Mexico resulting from the business' focus on higher credit...

  • Page 40
    ... taxes Income from continuing operations Noncontrolling interests Net income Balance Sheet data (in 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...

  • Page 41
    ...deposit products (5% increase in average deposits) and higher insurance fee revenues. Citi expects investment sales revenues could continue to be challenged in 2016, depending upon overall consumer sentiment, economic growth and the capital markets environment in the region. Cards revenues decreased...

  • Page 42
    ... products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services...

  • Page 43
    ... including gain (loss) on loan hedges) Fixed income markets Equity markets Securities services Other Total Markets and securities services (ex-CVA/DVA) Total ICG (ex-CVA/DVA) CVA/DVA (excluded as applicable in lines above) (2) Fixed income markets Equity markets Private bank Total revenues, net of...

  • Page 44
    ... loans, are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above. 2015 vs. 2014 Within Markets and securities services: • Fixed income markets revenues decreased 7%, driven by North America, primarily due to a volatile trading environment...

  • Page 45
    ... credit costs. • Revenues decreased 1%, reflecting lower revenues in Markets and securities services (decrease of 8%), partially offset by higher revenues in Banking (increase of 7%, or 5% excluding the gains/(losses) on hedges on accrual loans). Within Banking: • Investment banking revenues...

  • Page 46
    ... Citi records this dividend) will be based on the number of shares of Federal Reserve System capital stock it holds at any given time as well as the quarter-to-quarter operational activities impacting the result of operations of Corporate/Other, based on year-end amounts, Citi estimates this change...

  • Page 47
    ... (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 on average assets Efficiency ratio Total EOP assets Total EOP loans Total EOP deposits 2015...

  • Page 48
    ...The net reserve release decreased 55%. Excluding the impact of the mortgage settlement, the net reserve release decreased 53%, primarily due to lower net releases related to the North America mortgage portfolio, partially offset by lower losses on asset sales. Payment Protection Insurance (PPI) The...

  • Page 49
    ... 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 50
    ... information about long-term debt obligations, see "Managing Global Risk-Liquidity Risk" below and Note 18 to the Consolidated Financial Statements. (2) Contractual obligations related to interest payments on long-term debt for 2016-2020 are calculated by applying the December 31, 2015 weighted...

  • Page 51
    ...absorb credit, market, and operational losses. Citi primarily generates capital through earnings from its operating businesses. Citi may augment its capital through issuances of common stock, noncumulative perpetual preferred stock and equity issued through awards under employee benefit plans, among...

  • Page 52
    ... across certain global banking organizations and a year-end spot foreign exchange rate, whereas method 2 uses fixed measures of systemic importance and application of an average foreign exchange rate over a three-year period. Generally, the surcharge derived under method 2 will result in a higher...

  • Page 53
    ...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 attributable to Citi...

  • Page 54
    ...dividend payments and common stock repurchases. As part of CCAR, the Federal Reserve Board assesses whether Citi has sufficient capital to continue operations throughout times of economic and financial market stress and whether Citi has robust, forward-looking capital planning processes that account...

  • Page 55
    ... assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citi as of December 31, 2015 and December 31, 2014. Citigroup Capital Components and Ratios...

  • Page 56
    ...) Less: Defined benefit pension plan net assets (4) Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards (4)(8) Less: Permitted ownership interests in covered funds (12) Less: Deductions applied to Common Equity Tier 1 Capital due to insufficient...

  • Page 57
    ... presentation. (2) Issuance costs of $147 million and $124 million related to preferred stock outstanding at December 31, 2015 and December 31, 2014, respectively, are excluded from common stockholders' equity and netted against preferred stock in accordance with Federal Reserve Board regulatory...

  • Page 58
    ...Net decrease in defined benefit pension plan net assets Net change in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards Net change in permitted ownership interests in covered funds Net decrease in regulatory capital deduction applied to Common Equity...

  • Page 59
    ... the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation. (2) Retail exposures decreased during the three months ended December 31, 2015 primarily due to reductions in loans, divestitures within the Citi Holdings portfolio, and the impact of FX...

  • Page 60
    ... of the impact of stressful economic and financial market conditions under several scenarios on Citibank's regulatory capital. This program serves to inform the Office of the Comptroller of the Currency (OCC) how Citibank's regulatory capital ratios might change during a hypothetical set of...

  • Page 61
    ... the impact that a change in Citigroup's or Citibank's financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets, or Total Leverage Exposure...

  • Page 62
    ...forth the capital tiers, total risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios, assuming full implementation under the U.S. Basel III rules, for Citi as of December 31, 2015 and December 31, 2014. Citigroup Capital...

  • Page 63
    ... Equity Tier 1 Capital Ratio Citi's Common Equity Tier 1 Capital ratio was 12.07% at December 31, 2015, compared to 11.67% at September 30, 2015 and 10.57% at December 31, 2014 (all based on application of the Advanced Approaches for determining total risk-weighted assets). The quarter-over-quarter...

  • Page 64
    ... pension plan net assets Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general business credit carry-forwards (6) Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments, and MSRs (6)(7) Total Common Equity Tier 1 Capital...

  • Page 65
    ... DTLs Net decrease in defined benefit pension plan net assets Net increase in deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general business credit carry-forwards Net decrease in excess over 10%/15% limitations for other DTAs, certain common stock investments and...

  • Page 66
    ...086,099 $ 76,785 $1,162,884 In millions of dollars Credit Risk Market Risk Operational Risk Total Risk-Weighted Assets Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at December 31, 2014 (1) Advanced Approaches Citi Citicorp Holdings Total $ 752,247 $127,377 $ 879,624 95,824...

  • Page 67
    ... the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation. (2) Retail exposures decreased during the three months ended December 31, 2015 primarily due to reductions in loans, divestitures within the Citi Holdings portfolio, and the impact of FX...

  • Page 68
    ... perpetual preferred stock issuance, as well as an overall reduction in Total Leverage Exposure resulting from reduced on-balance sheet assets and derivative exposures, partially offset by a $1.8 billion return of capital to common shareholders in the form of share repurchases and dividends. The...

  • Page 69
    .... Nevertheless, the ultimate impact to Citi's market risk-weighted assets and potentially its risk-based capital ratios is uncertain and is subject to several factors including, but not limited to, the U.S. banking agencies' implementation of a final rule, potential changes in the scale and scope of...

  • Page 70
    ...common equity less goodwill and other intangible assets (other than MSRs). Other companies may calculate TCE in a different manner. TCE and tangible book value per share are non-GAAP financial measures. Citi believes these capital metrics provide useful information, as they are used by investors and...

  • Page 71
    ... Plan on July 1, 2015 and the industry has not yet received a formal response from the regulators. Citi's Ability to Return Capital to Shareholders Substantially Depends on the CCAR Process and the Results of Regulatory Stress Tests. In addition to Board of Directors' approval, any decision by Citi...

  • Page 72
    ...the regulatory capital framework applicable to Citi (see "Capital Resources-Regulatory Capital Standards Developments" above); (iii) financial transaction taxes and/or other types of increased fees on financial institutions; (iv) international versions of the Volcker Rule and bank structural reforms...

  • Page 73
    ... Financial 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, insurance companies, investment banks, government and central banks and other financial...

  • Page 74
    ... financial markets, governmental fiscal and monetary policies, regulatory changes or negative investor perceptions of Citi's creditworthiness. In addition, Citi's cost and ability to obtain deposits, secured funding and long-term unsecured funding are directly related to its credit spreads. Changes...

  • Page 75
    ...through its Global Consumer Banking, credit card and securities services businesses, Citi obtains and stores an extensive amount of personal and client-specific information for its retail, corporate and governmental customers and clients and must accurately record and reflect their extensive account...

  • Page 76
    ..., such as processing customer credit card transactions, uploading content on customer-facing websites, and developing software for new products and services. These relationships allow for the storage and processing of customer information by third-party hosting of or access to Citi websites, which...

  • Page 77
    ... by changes in interest rates and foreign exchange rates. For additional information on Citi's DTAs, including the FTCs, see "Significant Accounting Policies and Significant Estimates-Income Taxes" below and Note 9 to the Consolidated Financial Statements. Citi's Interpretation or Application of...

  • Page 78
    ...it records and reports its financial condition and results of operations generally and/or with respect to particular businesses. For additional information on the key areas for which assumptions and estimates are used in preparing Citi's financial statements, see "Significant Accounting Policies and...

  • Page 79
    ... The Volcker Rule required Citi to develop an extensive global compliance regime, including developing and maintaining detailed trading and permitted activity mandates for businesses, submitting extensive trading information to regulatory agencies, conducting independent testing and audit, training...

  • Page 80
    ... vendors utilized by Citi, that could harm consumers, investors or the markets, such as failures to safeguard consumers' and investors' personal information, failures to identify and manage conflicts of interest and improperly creating, selling and marketing products and services. In addition to...

  • Page 81
    ... Risk of Investment Portfolios-Impact on AOCI Changes in Foreign Exchange Rates-Impacts on AOCI and Capital Interest Revenue/Expense and Net Interest Margin Additional Interest Rate Details Market Risk of Trading Portfolios Factor Sensitivities Value at Risk Stress Testing OPERATIONAL RISK COUNTRY...

  • Page 82
    ... fulfill its risk governance responsibilities. The CEOs of each region and business report to the Citigroup CEO. The Head of Operations and Technology and the Head of Productivity, who are considered part of the first line of defense, also report to the Citigroup CEO. Businesses at Citi organize and...

  • Page 83
    ..., or COSO, Internal Control-Integrated Framework. Finance is led by Citi's Chief Financial Officer (CFO), who reports directly to the Citigroup CEO. The CFO chairs or co-chairs several management committees that serve as key governance and oversight forums for business activities. In addition...

  • Page 84
    ... audit plan and methodology approved by the Audit Committee of the Citigroup Board of Directors. Internal Audit also provides independent assurance to the Citigroup Board of Directors, the Audit Committee of the Board, senior management and regulators regarding the effectiveness of Citi's governance...

  • Page 85
    ... information on Citi's credit risk management, see Note 15 to the Consolidated Financial Statements. Overview Citi's North America consumer mortgage portfolio consists of both residential first mortgages and home equity loans. At December 31, 2015, Citi's North America consumer mortgage portfolio...

  • Page 86
    ... of total balances, since they were acquired only incidentally as part of prior portfolio and business purchases. For additional information on Citi's North America consumer mortgage portfolio, see Note 15 to the Consolidated Financial Statements. North America Consumer Mortgage Quarterly Credit...

  • Page 87
    ... recorded at fair value. Totals may not sum due to rounding. (1) Decrease in 4Q'15 primarily reflects the transfer of CFNA residential first mortgages to held-for-sale and classification as Other assets at year-end 2015. Net credit losses in the North America residential first mortgage portfolio...

  • Page 88
    ...31, 2014, based on the dollar amount of ending net receivables of loans in foreclosure inventory, excluding loans that are guaranteed by U.S. government agencies and loans subject to LTSCs. North America Consumer Mortgage Quarterly Credit Trends-Net Credit Losses and Delinquencies-Home Equity Loans...

  • Page 89
    ... December 31, 2014). The following chart indicates the FICO and combined loan-to-value (CLTV) characteristics of Citi's Revolving HELOCs portfolio and the year in which they reset: North America Home Equity Lines of Credit Amortization-Citigroup Total ENR by Reset Year In billions of dollars as of...

  • Page 90
    ... 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 91
    ... or LTV data are unavailable. (3) Represents combined loan-to-value (CLTV) for both residential first mortgages and home equity loans. CLTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data. (4) New York, New Jersey, Connecticut...

  • Page 92
    ... and fees on credit cards. (2) The ratios of 90+ days past due and 30-89 days past due are calculated based on EOP loans, net of unearned income. (3) The 90+ days past due balances for North America-Citi-branded and North America-Citi retail services are generally still accruing interest. Citigroup...

  • Page 93
    ... Citi Holdings (3) Total Ratio International Ratio North America Ratio Other (5) Total Citigroup Ratio $ 148.1 49.5 25.0 73.6 $ 133.2 64.0 43.4 8.2 17.6 $ 61.6 5.0 56.6 - $ 342.9 (1) Average loans include interest and fees on credit cards. (2) The ratios of net credit losses are calculated based...

  • Page 94
    ... 5 years In millions of dollars at year end 2015 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...

  • Page 95
    ... which value Citi's global network. Citi aims to establish relationships with these clients that encompass multiple products, consistent with client needs, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory. Corporate Credit Portfolio The...

  • Page 96
    ... loans. For additional information on energy and energy-related reserving actions in ICG, see "Institutional Clients Group" above. Exposure to Banks, Broker-Dealers and Finance Companies As of December 31, 2015, Citi's total corporate credit exposure to banks, broker-dealers and finance companies...

  • Page 97
    ... dollars at December 31, 2015 Over 5 years Total Corporate loan In U.S. offices Commercial and industrial loans $ 19,921 Financial institutions 17,620 Mortgage and real estate 18,187 Lease financing 862 Installment, revolving credit, other 16,157 In offices outside the U.S. 90,365 Total corporate...

  • Page 98
    ... CONSUMER AND CORPORATE CREDIT DETAILS Loans Outstanding December 31, 2011 In millions of dollars 2015 2014 2013 2012 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...

  • Page 99
    ... losses at end of period Allowance for loan losses as a percentage of total loans (11) Allowance for unfunded lending commitments (10)(12) Total allowance for loan losses and unfunded lending commitments Net consumer credit losses As a percentage of average consumer loans Net corporate credit losses...

  • Page 100
    ... of various U.S. loan portfolios, approximately $240 million related to the sale of the Egg Banking PLC credit card business, approximately $72 million related to the transfer of the Citi Belgium business to held-for-sale and approximately $290 million related to FX translation. (10) 2015 includes...

  • Page 101
    ...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 102
    ... addition, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage loan is 90 days or more past due. • North America Citi-branded cards and Citi retail services are not included because, under industry standards, credit card loans accrue...

  • Page 103
    ... of 2015 primarily related to Citi's North America energy and energy-related corporate credit exposure. For additional information, see "Corporate Credit Details" above. (3) 2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans, held-for-sale...

  • Page 104
    ...ASU 2014-14 in the fourth quarter of 2014, which requires certain government guaranteed mortgage loans to be recognized as separate other receivables upon foreclosure. Prior periods have not been restated. (2) The allowance for loan losses includes the allowance for Citi's credit card portfolios and...

  • Page 105
    ... $366 2015 total $1,710 880 $ 830 The following table presents Citi's loans modified in TDRs. In millions of dollars Dec. 31, 2015 Dec. 31, 2014 In millions of dollars Corporate renegotiated loans (1) In U.S. offices Commercial and industrial (2) Mortgage and real estate (3) Loans to financial...

  • Page 106
    ...30, 2015 $ 90.4 142.0 61.1 103.0 2.4 $398.9 Available cash U.S. sovereign U.S. agency/agency MBS Foreign government debt(2) Other investment grade Total Note: Amounts set forth in the table above are as of period end and may increase or decrease intra-period in the ordinary course of business. For...

  • Page 107
    ....8 Global Consumer Banking North America Latin America Asia (1) Total Institutional Clients Group Corporate lending Treasury and trade solutions (TTS) Private bank, markets and securities services and other Total Total Citicorp Total Citi Holdings Total Citigroup loans (EOP) Total Citigroup loans...

  • Page 108
    ... rules, deposits are assigned liquidity values based on expected behavior under stress, determined by the type of deposit and the type of client. Generally, the LCR rules prioritize transactional and operating accounts of consumers (including retail and commercial banking deposits) and corporations...

  • Page 109
    ... periods presented: 2015 Issuances 2014 Issuances 2013 Issuances In billions of dollars Maturities Maturities Maturities Parent Benchmark debt: Senior debt Subordinated debt Trust preferred Customer-related debt: Structured debt Non-structured debt Local country and other Total parent Bank FHLB...

  • Page 110
    ...GSIB surcharge rule, for a total estimated current requirement of 9% of RWA for Citi and (ii) 4.5% of the GSIB's total leverage exposure. As proposed, external TLAC would generally include (i) Common Equity Tier 1 Capital and Additional Tier 1 Capital issued directly by the bank holding company plus...

  • Page 111
    ..., and stipulating financing tenor. The weighted average maturity of Citi's secured funding of less liquid securities inventory was greater than 110 days as of December 31, 2015. Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity...

  • Page 112
    ...: Liquidity Coverage Ratio (LCR) In addition to internal measures that Citi has developed for a 30-day stress scenario, Citi also monitors its liquidity by reference to the LCR, as calculated pursuant to the U.S. LCR rules. Generally, the LCR is designed to ensure that banks maintain an adequate...

  • Page 113
    ... corporate customers and markets counterparties could re-evaluate their business relationships with Citi and limit transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi's funding and liquidity, as well as the results of operations...

  • Page 114
    ... existing clients, tailoring levels of secured lending, and adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities...

  • Page 115
    ... that businesses and/or Citi Treasury make no additional changes in balances or positioning in response to the unanticipated rate changes. In order to manage changes in interest rates effectively, Citi may modify pricing on new customer loans and deposits, purchase fixed rate securities, issue...

  • Page 116
    ... revenue U.S. dollar (1) All other currencies Total As a percentage of average interest-earning assets Estimated initial impact to AOCI (after-tax) (2) Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) (3) (1) Certain trading-oriented businesses within Citi have accrual-accounted...

  • Page 117
    ..., lessens the impact of foreign currency movements on Citi's Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further impact the actual impact of changes in foreign exchange rates on Citi's capital as compared to an...

  • Page 118
    ... and accounted for at fair value with changes recorded in Principal transactions. Citi's net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest earning assets. Citi's NIM was 2.92% in the fourth quarter of 2015, a slight decrease...

  • Page 119
    ... of dollars, except rates 2015 $ 133,790 Average volume 2014 2013 $ 161,359 $ 144,904 $ 2015 727 $ Interest revenue 2014 2013 959 $ 1,026 2015 0.54% % Average rate 2014 2013 0.59% 0.71% Assets Deposits with banks (5) Federal funds sold and securities borrowed or purchased under agreements to...

  • Page 120
    ... Equity, and Net Interest Revenue (1)(2)(3)(4) In millions of dollars, except rates 2015 Average volume 2014 2013 2015 Interest expense 2014 2013 2015 % Average rate 2014 2013 Liabilities Deposits In U.S. offices (5) In offices outside the U.S. (6) Total Federal funds purchased and securities...

  • Page 121
    ...: Average Net rate change $ (78) $ (232) 2014 vs. 2013 Increase (decrease) due to change in: Average Net rate change $ (176) $ (67) In millions of dollars Average volume $ (154) Average volume $ 109 Deposits with banks (4) Federal funds sold and securities borrowed or purchased under agreements...

  • Page 122
    ... presentation. Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change. Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements...

  • Page 123
    ... product lists and a new product approval process for complex products. The following chart of total daily trading-related revenue (loss) captures trading volatility and shows the number of days in which revenues for Citi's trading businesses fell within particular ranges. Trading-related revenues...

  • Page 124
    ... of positions to changes in market prices) of various asset In millions of dollars 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...

  • Page 125
    ... 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 and commissions, intraday trading profit and loss, and changes in reserves. Based on...

  • Page 126
    ...by the banking regulators under Basel III, represents the daily mark-to-market revenue movement attributable to the trading position from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, intra-day trading profit and loss on new and...

  • Page 127
    ...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 128
    ... businesses' operational risk, historical operational risk losses and the control environment is reported by each major business segment and functional area. The information is summarized and reported to senior management, as well as to the Audit Committee of Citi's Board of Directors. Operational...

  • Page 129
    ... 30, 2015 and December 31, 2014, respectively); no single country accounted for more than $4 billion of this amount. For information on private bank loans, see the narrative to the table below. (4) Aggregate of Trading account assets, Investment securities, Corporate loans and GCB loans, based on...

  • Page 130
    ... large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies. Commercial banking generally serves small- and middlemarket enterprises operating in GCB's geographic markets, focused on clients that value Citi's global...

  • Page 131
    ... 31, 2014. The sequential increase in U.S. dollar-denominated assets was largely due to the Argentine government's loosening of foreign exchange controls toward the end of 2015, as referenced above. (For additional information on Citi's exposures related to Argentina, see "Emerging Markets Exposures...

  • Page 132
    ... composed of cash on deposit with the Central Bank of Venezuela, corporate and consumer loans, and government bonds. A significant portion of these assets was funded with local deposits. On February 17, 2016, the Venezuelan government announced changes to its foreign exchange controls. Based on the...

  • Page 133
    ... 31, 2014. These assets were primarily composed of corporate and consumer loans, Russian government debt securities, and cash on deposit with the Central Bank of Russia. The large majority of these assets were funded by local deposits. (For additional information on Citi's exposures related to...

  • Page 134
    ... well as local country assets. Cross-border claims on third parties include cross-border loans, securities, deposits with banks and other monetary assets, as well as net revaluation gains on foreign exchange and derivative products. (4) Commitments (not included in total outstanding) include legally...

  • Page 135
    ... detect, address and remediate issues, test controls for design and operating effectiveness, and track remediation efforts. Engage with the Citigroup Board, business management, operating committees and Citi's regulators to foster effective global governance. Compliance provides regular reports on...

  • Page 136
    ...-related efforts. Citi's reputation is a vital asset in building trust with its stakeholders, and Citi is diligent in communicating its corporate values, including the importance of protecting Citi's reputation, to its employees, customers and investors. The responsibility for maintaining Citi...

  • Page 137
    .... Citigroup holds its investments, trading assets and liabilities, and resale and repurchase agreements on the Consolidated Balance Sheet to meet customer needs and to manage liquidity needs, interest rate risks and private equity investing. When available, Citi generally uses quoted market prices...

  • Page 138
    ...to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account during this review. Changes in these estimates could have a direct impact on Citi's credit costs and the allowance in any period. For a further description of the loan loss reserve and...

  • Page 139
    ... test used discount rates that Citi believes adequately reflected the risk and uncertainty in the financial markets in the internally generated cash flow projections. The DCF method employs a capital asset pricing model in estimating the discount rate. Citi continues to value the remaining reporting...

  • Page 140
    ... assured, Citi believes that the realization of the recognized net DTAs of $47.8 billion at December 31, 2015 is more-likely-than-not based upon management's expectations as to future taxable income in the jurisdictions in which the DTAs arise as well as available tax planning strategies (as defined...

  • Page 141
    ...Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC's rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management...

  • Page 142
    ... the policies or procedures may deteriorate. In addition, given Citi's large size, complex operations and global footprint, lapses or deficiencies in internal controls may occur from time to time. Citi management assessed the effectiveness of Citigroup's internal control over financial reporting as...

  • Page 143
    ... 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 144
    ... with the standards of the Public Company Accounting Oversight Board (United States), the consolidated balance sheet of Citigroup as of December 31, 2015 and 2014, and the related consolidated statements of income, comprehensive income, changes in stockholders' equity and cash flows for each of the...

  • Page 145
    ... REGISTERED PUBLIC ACCOUNTING FIRM- CONSOLIDATED FINANCIAL STATEMENTS In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of Citigroup as of December 31, 2015 and 2014, and the results of its operations and its cash...

  • Page 146
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  • Page 147
    ...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 and Liabilities Note 14 - Investments Note...

  • Page 148
    ...impairment (losses) recognized in earnings Insurance premiums Other revenue Total non-interest revenues Total revenues, net of interest expense Provisions for credit losses and for benefits and claims Provision for loan losses Policyholder benefits and claims Provision (release) for unfunded lending...

  • Page 149
    ... and losses on investment securities, net of taxes Net change in cash flow hedges, net of taxes Benefit plans liability adjustment, net of taxes (1) Net change in foreign currency translation adjustment, net of taxes and hedges Citigroup's total other comprehensive income (loss) Total comprehensive...

  • Page 150
    ... segregated cash and other deposits) Deposits with banks Federal funds sold and securities borrowed or purchased under agreements to resell (including $137,964 and $144,191 as of December 31, 2015 and December 31, 2014, respectively, at fair value) Brokerage receivables Trading account assets...

  • Page 151
    ... paid-in capital Retained earnings Treasury stock, at cost: December 31, 2015-146,203,311 shares and December 31, 2014-58,119,993 shares Accumulated other comprehensive income (loss) Total Citigroup stockholders' equity Noncontrolling interest Total equity Total liabilities and equity $ 16,718...

  • Page 152
    ... (2) Preferred dividends Tax benefit Other Balance, end of period Treasury stock, at cost Balance, beginning of year Employee benefit plans (3) Treasury stock acquired (4) Balance, end of period Citigroup's accumulated other comprehensive income (loss) Balance, beginning of year Citigroup's total...

  • Page 153
    ...present value of future profits Additions to deferred policy acquisition costs Depreciation and amortization Deferred tax provision Provision for loan losses Realized gains from sales of investments Net impairment losses on investments, goodwill and intangible assets Change in trading account assets...

  • Page 154
    ... at end of period Supplemental disclosure of cash flow information for continuing 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 Decrease in net loans associated...

  • Page 155
    ...) is a commercial bank and wholly owned subsidiary of Citigroup. Citibank's principal offerings include: consumer finance, mortgage lending and retail banking (including commercial banking) products and services; investment banking, cash management and trade finance; and private banking products and...

  • Page 156
    ...in Interest revenue. • Fixed income securities and marketable equity securities classified as "available-for-sale" are carried at fair value with changes in fair value reported in Accumulated other comprehensive income (loss), a component of Stockholders' equity, net of applicable income taxes and...

  • Page 157
    ... Global Consumer Banking (GCB) 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 and other unsecured...

  • Page 158
    ...-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 159
    ... components of the Allowance for loan losses, management may incorporate guarantor support. The financial wherewithal of the guarantor is evaluated, as applicable, based on net worth, cash flow statements and personal or company financial statements which are updated and reviewed at least annually...

  • Page 160
    ... entire change in present value is recorded in the Provision for loan losses. Statistically calculated losses inherent in the classifiably managed portfolio for performing and de minimis non-performing exposures. The calculation is based on: (i) Citi's internal system of credit-risk ratings, which...

  • Page 161
    ... to service the loans. Mortgage servicing rights are accounted for at fair value, with changes in value recorded in Other revenue in the Company's Consolidated Statement of Income. Additional information on the Company's MSRs can be found in Note 22 to the Consolidated Financial Statements. Goodwill...

  • Page 162
    ... directly or through the use of derivative financial products, including interest-rate swaps, futures, forwards, and purchased options, as well as foreign-exchange contracts. These end-user derivatives are carried at fair value in Other assets, Other liabilities, Trading account assets and Trading...

  • Page 163
    ... one-to-four-family mortgage loans to be held for sale and MSRs. See Note 23 to the Consolidated Financial Statements for a further discussion of the Company's hedging and derivative activities. Employee Benefits Expense Employee benefits expense includes current service costs of pension and other...

  • Page 164
    ... transactions, charges for operational support and the borrowing and lending of funds, and are entered into in the ordinary course of business. ACCOUNTING CHANGES Debt Issuance Costs Earnings per share (EPS) is computed after deducting preferred stock dividends. The Company has granted restricted...

  • Page 165
    ... the Company's financial statements. Disclosures for Investments in Certain Entities That Calculate Net Asset Value (NAV) per Share The FASB issued ASU No. 2014-08, Presentation of Financial Statements (Topic 810) and Property, Plant, and Equipment (Topic 360), Reporting Discontinued Operations and...

  • Page 166
    ...) to be measured at fair value with changes in fair value recognized in net income, thus eliminating eligibility for the current available-for-sale category. However, Federal Reserve Bank and Federal Home Loan Bank stock as well as exchange seats will continue to be presented at cost. As a practical...

  • Page 167
    ... of taxes (1) Total revenues include gain or loss on sale, if applicable. Citi sold its liquid strategies business within Citi Capital Advisors (CCA) pursuant to two separate transactions in 2013 and reported them as Discontinued operations. Residual costs from the disposals resulted in income and...

  • Page 168
    ...cards business, which was part of Citi Holdings, including $1,350 million of consumer loans (net of allowance), approximately 720,000 customer accounts and 840 employees. The transaction generated a pretax gain on sale of $180 million, recorded in Other revenue ($155 million after-tax). Income (loss...

  • Page 169
    ... taxes. Citi Holdings is composed of businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses. The accounting policies of these reportable segments are the same as those disclosed in Note 1 to the Consolidated Financial Statements. Revenues...

  • Page 170
    ..., 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 (2) Total interest revenue Interest expense Deposits (3) Federal funds purchased and securities loaned or...

  • Page 171
    ... cards and bank cards Trade and securities services Other consumer (1) Corporate finance (2) Checking-related Loan servicing Other Total commissions and fees (1) Primarily consists of fees for investment fund administration and management, third-party collections, commercial demand deposit accounts...

  • Page 172
    ...Global Consumer Banking Institutional Clients Group Corporate/Other Subtotal Citicorp Citi Holdings Total Citigroup Interest rate risks (1) Foreign exchange risks (2) Equity risks (3) Commodity and other risks (4) Credit products and risks (5) Total (1) Includes revenues from government securities...

  • Page 173
    ... 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 174
    ... a broader group of executives on February 18, 2014 and February 18, 2015, for performance in 2013 and 2014, respectively. PSUs will be earned only to the extent that Citigroup attains specified performance goals relating to Citigroup's return on assets and relative total shareholder return against...

  • Page 175
    ... areas of sales, operational excellence and customer satisfaction. Participation in these plans is generally limited to employees who are not eligible for discretionary annual incentive awards. Summary Except for awards subject to variable accounting, the total expense recognized for stock awards...

  • Page 176
    ... expense, relating to certain of the above incentive compensation programs, recorded during 2015, 2014 and 2013: In millions of dollars 2015 $ 541 2014 $ 525 2013 $ 468 Charges for estimated awards to retirement-eligible employees Amortization of deferred cash awards, deferred cash stock units...

  • Page 177
    ...return on plan assets Amortization of unrecognized Prior service (benefit) cost Net actuarial loss Curtailment loss (gain) (1) Settlement loss (gain) (1) Special termination benefits (1) Net qualified plans (benefit) expense Nonqualified plans expense Cumulative effect of change in accounting policy...

  • Page 178
    ... Income The following tables summarize the funded status and amounts recognized in the Consolidated Balance Sheet for the Company's pension and postretirement plans. Net Amount Recognized U.S. plans 2014 Pension plans Non-U.S. plans 2015 2014 Postretirement benefit plans U.S. plans Non-U.S. plans...

  • Page 179
    ... U.S. plans Non-U.S. plans 2015 2014 2015 2014 Change in plan assets Qualified plans Plan assets at fair value at beginning of year Actual return on plan assets Company contributions Plan participants' contributions Divestitures Settlements Benefits paid, net of government subsidy Foreign exchange...

  • Page 180
    ...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 (cost) credit Curtailment/settlement gain (5) Foreign exchange impact and other Change in deferred taxes, net Change...

  • Page 181
    ... process, the net periodic (benefit) expense for the Significant Plans is calculated at each respective quarter end based on the preceding quarter-end rates (as shown below for the U.S. pension and postretirement plans). The actual assumptions for the non-U.S. pension and postretirement plans relate...

  • Page 182
    ... its U.S. pension and postretirement plans using a "building block" approach, which focuses on ranges of anticipated rates of return for each asset class. A weighted average range of nominal rates is then determined based on target allocations to each asset class. Market performance over a number of...

  • Page 183
    ... gain/loss amortization period was changed to the life expectancy for inactive participants. As a result, pension expense for the U.S. qualified pension plan is driven more by interest costs than service costs, and an increase in the discount rate would increase pension expense, while a decrease in...

  • Page 184
    ..., 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 2015 and 2014. Third-party investment managers and advisers provide their services to Citigroup's U.S. pension and postretirement plans. Assets are...

  • Page 185
    ... equity Non-U.S. equity Mutual funds Debt securities U.S. Treasuries U.S. agency U.S. corporate bonds Non-U.S. government debt Non-U.S. corporate bonds State and municipal debt Asset-backed securities Mortgage-backed securities Annuity contracts Derivatives Other investments Total investments Cash...

  • Page 186
    ... contracts Derivatives Other investments Total investments Cash and short-term investments Other investment liabilities Net investments at fair value Other investment receivables valued at NAV Securities valued at NAV Total net assets U.S. pension and postretirement benefit plans (1) Fair value...

  • Page 187
    ... securities Annuity contracts Other investments Total investments Cash and short-term investments Other investment liabilities Net investments at fair value Other investment receivables valued at NAV Securities valued at NAV Total net assets Non-U.S. pension and postretirement benefit plans Fair...

  • Page 188
    ... contracts Derivatives Other investments Total investments Cash and short-term investments Other investment liabilities Net investments at fair value Other investment receivables valued at NAV Securities valued at NAV Total net assets Non-U.S. pension and postretirement benefit plans Fair value...

  • Page 189
    ... contracts Other investments Total investments Beginning Level 3 fair value at Dec. 31, 2014 (1) $ 59 161 $ 220 Realized gains (losses) $- (1) $ (1) Unrealized gains (losses) $ (4) (9) $(13) U.S. pension and postretirement benefit plans Ending Level 3 Purchases, Transfers in fair value at sales...

  • Page 190
    ... risk capital analysis and stress testing. The assets of the Company's pension plans are diversified to limit the impact of any individual investment. The U.S. qualified pension plan is diversified across multiple asset classes, with publicly traded fixed income, hedge funds, publicly traded equity...

  • Page 191
    ... 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. The following table summarizes the components of net expense recognized in the Consolidated Statement of Income for...

  • Page 192
    ... by the Company is the Citi Retirement Savings Plan in the U.S. (formerly known as the Citigroup 401(k) Plan). Under the Citi Retirement Savings Plan, eligible U.S. employees received matching contributions of up to 6% of their eligible compensation for 2015 and 2014, subject to statutory limits...

  • Page 193
    ...) for income taxes on discontinued operations (29) Income tax expense (benefit) reported in stockholders' equity related to: FX translation (906) Investment securities (498) Employee stock plans (35) Cash flow hedges 176 Benefit plans (24) - Retained earnings (2) Income taxes before non-controlling...

  • Page 194
    ... tax assets Credit loss deduction Deferred compensation and employee benefits Repositioning 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 tax assets...

  • Page 195
    ... Citi's 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 NOLs Other state NOLs Future tax deductions Total...

  • Page 196
    .... Citi's forecasted taxable income, which will continue to be subject to overall 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...

  • Page 197
    ... (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 dividends, applicable to...

  • Page 198
    ... and lending agreements is recorded at the amount of cash advanced or received. The remaining portion is recorded at fair value as the Company elected the fair value option for certain securities borrowed and loaned portfolios, as described in Note 26 to the Consolidated Financial Statements. With...

  • Page 199
    ... regimes may exist. For example, this may be the case for certain sovereigns, municipalities, central banks and U.S. pension plans. The following tables present the gross and net resale and repurchase agreements and securities borrowing and lending agreements and the related offsetting amount...

  • Page 200
    ...572 3,862 $188,040 Securities lending agreements $ - - 789 1,085 12,484 - - 299 $14,657 In millions of dollars U.S Treasury and federal agency State and municipal Foreign government Corporate bonds Equity securities Mortgage-backed securities Asset-backed securities Other Total Total $ 67,005 403...

  • Page 201
    ... have to sell or purchase the financial instruments at prevailing market prices. Credit risk is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transaction and replaces the broker, dealer or customer in question. The Company seeks to protect itself from...

  • Page 202
    ... of cost or fair value, and consist of the following: In millions of dollars 2015 December 31, 2014 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 U.S. Treasury...

  • Page 203
    ... losses for non-marketable equity securities carried at fair value are recognized in earnings. (3) Primarily consists of 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...

  • Page 204
    ...securities is recorded in earnings as OTTI. Non-credit-related impairment is recognized in AOCI if the Company does not plan to sell and is not likely to be required to sell the security. For other debt securities with OTTI, the entire impairment is recognized in the Consolidated Statement of Income...

  • Page 205
    ... Foreign government Corporate Asset-backed securities Other debt securities Marketable equity securities AFS Total securities AFS December 31, 2014 Securities AFS Mortgage-backed securities U.S. government-sponsored agency guaranteed Prime Non-U.S. residential Commercial Total mortgage-backed...

  • Page 206
    The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates: December 31, 2015 Fair Amortized value cost $ 114 1,411 1,751 42,995 $ 44 931 1,362 42,163 $ 2014 Fair value 44 935 1,387 42,642 In millions of dollars Amortized cost $ 114 1,408 1,...

  • Page 207
    ...dollars Amortized cost basis (1) Carrying value (2) Fair value December 31, 2015 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 208
    ... Fair unrecognized value losses Total Gross unrecognized losses In millions of dollars Fair value December 31, 2015 Debt securities held-to-maturity Mortgage-backed securities State and municipal Foreign government Asset-backed securities Total debt securities held-to-maturity December 31, 2014...

  • Page 209
    ... presents the carrying value and fair value of HTM debt securities by contractual maturity dates: 2015 Fair value $ - 172 663 18,818 December 31, 2014 Carrying value Fair value $ - - 863 9,846 $ - - 869 10,303 In millions of dollars Carrying value $ - 172 660 18,701 Mortgage-backed securities...

  • Page 210
    ..., for those securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings and any non-credit-related impairment is recorded in AOCI. For debt securities, credit impairment exists where management does not...

  • Page 211
    ...cost basis, the Company recognizes the estimated credit loss in earnings. State and Municipal Securities The process for identifying credit impairments in Citigroup's AFS and HTM state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. Citigroup...

  • Page 212
    ... Measurement of OTTI The total OTTI recognized in earnings are as follows: OTTI on Investments and Other Assets In millions of dollars AFS (1) HTM Year ended December 31, 2015 Other Assets Total Impairment losses related to securities that the Company does not intend to sell nor will likely be...

  • Page 213
    ...of dollars Dec. 31, 2014 balance $ 295 - 171 118 149 $ 733 $ 670 - 133 $ 803 AFS debt securities Mortgage-backed securities State and municipal Foreign government securities Corporate All other debt securities Total OTTI credit losses recognized for AFS debt securities HTM debt securities Mortgage...

  • Page 214
    ...in funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV per share of the Company's ownership interest in the funds, where it is not probable that the Company will sell an investment at a price other...

  • Page 215
    ... by the close of business on the loan's next due date. As a general policy, residential first mortgages, home equity loans and installment loans are classified as non-accrual when loan payments are 90 days contractually past due. Credit cards and unsecured revolving loans generally accrue interest...

  • Page 216
    ... 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 Credit cards Installment and other Commercial market loans Total Total GCB and Citi...

  • Page 217
    ... 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 Credit cards Installment and other Commercial market loans Total Total GCB and Citi...

  • Page 218
    ... Loans Loan to Value (LTV) Ratios LTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data. The following tables provide details on the LTV ratios attributable to Citi's U.S. consumer mortgage portfolios. LTV ratios are updated...

  • Page 219
    ...Residential first mortgages Home equity loans Credit cards Installment and other Individual installment and other Commercial market loans Total (1) (2) (3) (4) (5) (6) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and...

  • Page 220
    ... $- North America Residential first mortgages Home equity loans Credit cards Installment and other revolving Commercial markets (6) Total (8) International Residential first mortgages Credit cards Installment and other revolving Commercial markets (6) Total (8) In millions of dollars except number...

  • Page 221
    ... as 90 days past due. In millions of dollars 2015 $ 420 38 187 8 9 $ 662 $ 22 141 88 28 $ 279 2014 $ 715 72 194 95 9 $1,085 $ 24 217 104 105 North America Residential first mortgages Home equity loans Credit cards Installment and other revolving Commercial markets Total International Residential...

  • Page 222
    ... corporate loans classified as held-for-investment for the years ended December 31, 2015 or 2014. Delinquency Status Citi generally does not manage corporate loans on a delinquency basis. Corporate loans are identified as impaired and placed on a cash (nonaccrual) basis when it is determined, based...

  • Page 223
    ... 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 224
    ...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 Impaired collateral-dependent loans and leases, where...

  • Page 225
    ...360 Interest income recognized (3) $ 7 - 4 - - $ 11 Non-accrual corporate loans Commercial and industrial Financial institutions Mortgage and real estate Lease financing Other Total non-accrual corporate loans At and for the year ended December 31, 2014 In millions of dollars Recorded investment...

  • Page 226
    ... for classifiably managed commercial markets loans, where default is defined as 90 days past due. TDR loans in payment default during the year ended December 31, 2015 $- 1 - - $ 1 TDR loans in payment default during the year ended December 31, 2014 $- - - - $- In millions of dollars TDR balances...

  • Page 227
    ...$46 million in 2015 and 2014, 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 228
    ... of period Gross credit losses Gross recoveries(1) Net credit losses (NCLs) NCLs Net reserve builds (releases) Net specific reserve releases Total provision for loan losses Other, net (2)(3) Allowance for loan losses at end of period Allowance for credit losses on unfunded lending commitments at...

  • Page 229
    ... accordance with ASC 310-30 Loans held at fair value Total loans, net of unearned income $ $ $ $ $281,066 1,792 5 4,971 $287,834 $319,301 10,203 245 34 $329,783 Allowance for Credit Losses and Investment in Loans at December 31, 2014 In millions of dollars Corporate $ 2,584 (427) 139 288 (133...

  • Page 230
    ... to the sales of the Latin America Retirement Services and Japan cards businesses completed during the year, and agreements to sell certain businesses in Citi Holdings as of December 31, 2015. See Note 2 to the Consolidated Financial Statements. (3) Goodwill allocation associated with the transfers...

  • Page 231
    ...(1) Intangible assets (excluding MSRs) Mortgage servicing rights (MSRs) (2) Total intangible assets (1) Includes contract-related intangible assets. (2) For additional information on Citi's MSRs, including the rollforward from 2014 to 2015, see Note 22 to the Consolidated Financial Statements. 213

  • Page 232
    ...of future profits Indefinite-lived intangible assets Other Intangible assets (excluding MSRs) Mortgage servicing rights (MSRs) (1) Total intangible assets (1) For additional information on Citi's MSRs, including the rollforward from 2014 to 2015, see Note 22 to the Consolidated Financial Statements...

  • Page 233
    ...335 In millions of dollars Maturities 2015 2014 Commercial paper Citibank, N.A. Non-bank and other (1) Total commercial paper Other borrowings (2) Total (1) Includes parent holding company (Citigroup Inc.), Citi's broker-dealer subsidiaries and other non-bank subsidiaries that are consolidated...

  • Page 234
    ... Capital III and Citigroup Capital XVIII and quarterly for Citigroup Capital XIII. (1) Represents the notional value received by investors from the trusts at the time of issuance. (2) In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities...

  • Page 235
    ... risk-based capital and leverage 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 $13.5 billion and $8.9 billion in dividends from Citibank...

  • Page 236
    ... the U.S. dollar, and changes in related tax effects and hedges for the year ended December 31, 2013. (4) During 2014, $137 million ($84 million net of tax) was reclassified to reflect the allocation of FX translation between net unrealized gains (losses) on investment securities to foreign currency...

  • Page 237
    ... After-tax $ (16,896) (2,237) 1,048 1,281 (2,329) $ (2,237) $ (19,133) 1,697 336 (1,170) (4,946) $ (4,083) $ (23,216) (964) 292 43 (5,499) $ (6,128) $(29,344) Balance, December 31, 2012 Change in net unrealized gains (losses) on investment securities Cash flow hedges Benefit plans Foreign currency...

  • Page 238
    ...after-tax (1) Interest rate contracts Foreign 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) Cumulative effect of change in accounting policy...

  • Page 239
    ...dividend rate is 6.3% payable quarterly on February 12, May 12, August 12 and November 12, beginning May 12, 2016, in each case when, as and if declared by the Citi Board of Directors. During 2015, Citi distributed $769 million in dividends on its outstanding preferred stock. Based on its preferred...

  • Page 240
    ...for its own debt issuances. This results in less expensive financing costs than unsecured debt. The SPE may also enter into derivative contracts in order to convert the yield or currency of the underlying assets to match the needs of the SPE investors or to limit or change the credit risk of the SPE...

  • Page 241
    ... U.S. agency-sponsored Non-agency-sponsored Citi-administered asset-backed commercial paper conduits (ABCP) Collateralized loan obligations (CLOs) Asset-based financing Municipal securities tender option bond trusts (TOBs) Municipal investments Client intermediation Investment funds (5) Other Total...

  • Page 242
    ... 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 243
    ... 31, 2015 Loan / equity commitments $ 3,886 - 2,338 102 - $ 6,326 December 31, 2014 Loan / equity commitments $2,266 - 2,225 124 23 $4,638 In millions of dollars Asset-based financing Municipal securities tender option bond trusts (TOBs) Municipal investments Investment funds Other Total funding...

  • Page 244
    ... 31, 2015 and 2.8 years as of December 31, 2014. Master Trust Liabilities (at Par Value) In billions of dollars Proceeds from new securitizations Pay down of maturing notes Managed Loans After securitization of credit card receivables, the Company continues to maintain credit card customer account...

  • Page 245
    ...future cash flows from the trusts and also provides servicing for a limited number of ICG securitizations. The Company securitizes mortgage loans generally through either a government-sponsored agency, such as Ginnie Mae, Fannie Mae or Freddie Mac (U.S. agency-sponsored mortgages), or private-label...

  • Page 246
    ..., 2015 and 2014. (1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests' position in the capital structure of the securitization. (2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans...

  • Page 247
    ... and the loss of future servicing fees. These transactions create an intangible asset referred to as mortgage servicing rights (MSRs), which are recorded at fair value on Citi's Consolidated Balance Sheet. The fair value of Citi's capitalized MSRs was $1.8 billion at December 31, 2015 and 2014. Of...

  • Page 248
    ...December 31, 2015, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $428 million (including $132 million related to resecuritization transactions executed in 2015), which has been recorded in Trading account assets. Of...

  • Page 249
    ... one of several named dealers in the commercial paper issued by the conduits and earns a market-based fee for providing such services. Along with third-party dealers, the Company makes a market in the commercial paper and may from time to time fund commercial paper pending sale to a third party. On...

  • Page 250
    ... fair value to adverse changes of 10% and 20% are set forth in the tables below: Discount rate In millions of dollars The following table summarizes selected cash flow information related to asset-based financings: In billions of dollars 2015 $ - - 2014 $0.5 0.3 2013 $0.5 1.0 Proceeds from new...

  • Page 251
    ... of low-income housing, facilitate lending in new or underserved markets, or finance the construction or operation of renewable municipal energy facilities. The Company generally invests in these partnerships as a limited partner and earns a return primarily through the receipt of tax credits and...

  • Page 252
    ... 31, 2015 and 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 and infrastructure. The Company earns...

  • Page 253
    ... rate, foreign exchange and other market/credit risks or for their own trading purposes. Citigroup also manages its derivative risk positions through offsetting trade activities, controls focused on price verification, and daily reporting of positions to senior managers. • Hedging: Citigroup...

  • Page 254
    ... a counterparty, in the form of cash and/or securities, may from time to time be segregated in an account at a third-party custodian pursuant to a tri-party account control agreement. Information pertaining to Citigroup's derivative activity, based on notional amounts is presented in the table below...

  • Page 255
    ... December 31, 2015 and December 31, 2014, respectively. Previous presentations of foreign exchange derivative notional contracts did not include spot contracts. There was no impact to the Consolidated Financial Statements related to this updated presentation. (5) Credit derivatives are arrangements...

  • Page 256
    ... Exchange traded Foreign exchange contracts Over-the-counter Cleared Exchange traded Equity contracts Over-the-counter Exchange traded Commodity and other contracts Over-the-counter Cleared Credit derivatives (4) Total derivatives instruments not designated as ASC 815 hedges Total derivatives Cash...

  • Page 257
    ... Exchange traded Foreign exchange contracts Over-the-counter Cleared Exchange traded Equity contracts Over-the-counter Exchange traded Commodity and other contracts Over-the-counter Cleared Credit derivatives (4) Total derivatives instruments not designated as ASC 815 hedges Total derivatives Cash...

  • Page 258
    ...also recorded in Other revenue. In millions of dollars Accounting for Derivative Hedging Gains (losses) included in Other revenue 2015 2014 2013 $117 (39) 476 $554 $(227) 14 (150) $(363) $ 208 (41) (594) $(427) Interest rate contracts Foreign exchange Credit derivatives Total Citigroup Citigroup...

  • Page 259
    ...value of fixed-rate assets due to changes in benchmark interest rates, including availablefor-sale debt securities and loans. The hedging instruments used are receive-variable, pay-fixed interest rate swaps. These fair value hedging relationships use either regression or dollar-offset ratio analysis...

  • Page 260
    ... 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 to offset the change in fair value...

  • Page 261
    ... used are foreign exchange cross-currency swaps and forward contracts. These cash flow hedge relationships use dollar-offset ratio analysis to determine whether the hedging relationships are highly effective at inception and on an ongoing basis. Hedging Total Return Citigroup generally manages the...

  • Page 262
    ... account within Accumulated other comprehensive income (loss), related to the effective portion of the net investment hedges, is $2,475 million, $2,890 million and $2,370 million for the years ended December 31, 2015 2014 and 2013, respectively. Credit Derivatives Citi is a market maker and trades...

  • Page 263
    .../counterparty Banks Broker-dealers Non-financial Insurance and other financial institutions Total by industry/counterparty By instrument Credit default swaps and options Total return swaps and other Total by instrument By rating Investment grade Non-investment grade Total by rating By maturity...

  • Page 264
    ... anything below is considered non-investment grade. Citi's internal ratings are in line with the related external rating system. Citigroup evaluates the payment/performance risk of the credit derivatives for which it stands as a protection seller based on the credit rating assigned to the underlying...

  • Page 265
    ...transfer of the Company's liquid government bonds, convertible bonds, or publicly traded corporate equity securities from the trading portfolio and are executed with thirdparty financial institutions. The accompanying derivatives are typically total return swaps. The derivatives are cash settled and...

  • Page 266
    ... credit exposure. Although Citigroup's portfolio of financial instruments is broadly diversified along industry, product, and geographic lines, material transactions are completed with other financial institutions, particularly in the securities trading, derivatives and foreign exchange businesses...

  • Page 267
    ... fair value hierarchy is to recognize transfers into and out of each level as of the end of the reporting period. Determination of Fair Value The Company may also apply a price-based methodology, which utilizes, where available, quoted prices or other market information obtained from recent trading...

  • Page 268
    ... to take into account the size of the position. Credit valuation adjustments (CVA) and, effective in the third quarter of 2014, funding valuation adjustments (FVA), are applied to over-thecounter (OTC) derivative instruments in which the base valuation generally discounts expected cash flows using...

  • Page 269
    ... the fair value hierarchy. Examples include government securities and exchange-traded equity securities. For bonds and secondary market loans traded over the counter, the Company generally determines fair value utilizing valuation techniques, including discounted cash flows, price-based and internal...

  • Page 270
    ... available-for-sale debt and marketable equity securities whose fair values are generally determined by utilizing similar procedures described for trading securities above or, in some cases, using vendor pricing as the primary source. Also included in investments are nonpublic investments in private...

  • Page 271
    ...for-sale or trading investments. The securities classified as trading and available-for-sale are recorded at fair value with changes in fair value reported in current earnings and AOCI, respectively. For these purposes, Citi defines Alt-A mortgage securities as non-agency residential mortgage-backed...

  • Page 272
    ... Foreign exchange contracts Equity contracts Commodity contracts Credit derivatives Total trading derivatives Cash collateral paid (3) Netting agreements Netting of cash collateral received Total trading derivatives Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed...

  • Page 273
    ... securities loaned or sold under agreements to repurchase Trading account liabilities Securities sold, not yet purchased Other trading liabilities Total trading liabilities Trading derivatives Interest rate contracts Foreign exchange contracts Equity contracts Commodity contracts Credit derivatives...

  • Page 274
    ... Foreign exchange contracts Equity contracts Commodity contracts Credit derivatives Total trading derivatives Cash collateral paid (3) Netting agreements Netting of cash collateral received (4)(8) Total trading derivatives Investments Mortgage-backed securities U.S. government-sponsored agency...

  • Page 275
    ... Level 2, primarily related to foreign government securities not traded with sufficient frequency to constitute an active market and Citi refining its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. In 2014, the Company transferred assets of approximately...

  • Page 276
    ... under agreements to resell Trading non-derivative assets Trading mortgage-backed securities U.S. government-sponsored agency guaranteed Residential Commercial Total trading mortgagebacked securities U.S. Treasury and federal agency securities State and municipal Foreign government Corporate Equity...

  • Page 277
    ... revenue on the Consolidated Statement of Income. (3) Represents the amount of total gains or losses for the period, included in earnings (and Accumulated other comprehensive income (loss) for changes in fair value of available-for-sale investments), attributable to the change in fair value relating...

  • Page 278
    ... (4) Interest rate contracts $ 839 Foreign exchange contracts 695 Equity contracts (858) Commodity contracts (1,393) Credit derivatives (274) Total trading derivatives, net (4) Investments Mortgage-backed securities U.S. government-sponsored agency guaranteed Residential Commercial Total investment...

  • Page 279
    ... revenue on the Consolidated Statement of Income. (3) Represents the amount of total gains or losses for the period, included in earnings (and Accumulated other comprehensive income (loss) for changes in fair value of available-for-sale investments), attributable to the change in fair value relating...

  • Page 280
    ...foreign government, corporate and other debt securities Equity securities (5) Asset-backed securities Non-marketable equity $1,337 $1,287 1,377 $3,761 1,719 $3,499 $3,075 $ 633 473 Model-based Price-based Yield analysis Price-based Cash flow Model-based Price-based Comparables analysis Price-based...

  • Page 281
    ...Model-based Loans Mortgage servicing rights Liabilities Interest-bearing deposits $ 750 892 524 $1,690 Price-based Model-based Cash flow Cash flow Recovery rate Redemption rate Interest rate Yield Price Credit spread Yield WAL Equity-IR correlation Forward price Commodity correlation Commodity...

  • Page 282
    ... Price-based Cash flow Price-based Cash flow Price-based Price-based Comparables analysis Interest rate Price Yield Price Credit spread Price (5) Yield WAL Price Discount to price EBITDA multiples PE ratio Price-to-book ratio Interest rate (IR) log-normal volatility Mean reversion Foreign exchange...

  • Page 283
    ...2014 (in millions) Methodology Input Low (2)(3) High (2)(3) Weighted average (4) Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross) (6) Loans $ 74 Model-based Cash flow Model-based Price-based Yield analysis Cash flow Mortgage servicing...

  • Page 284
    ..., including equity and credit baskets, foreign-exchange options, CDOs backed by loans or bonds, mortgages, subprime mortgages and many other instruments. For almost all of these instruments, correlations are not observable in the market and must be calculated using historical information. Estimating...

  • Page 285
    ... securities; however, the range of price inputs varies depending on the nature of the position, the number of shares outstanding and other factors. Mean Reversion A number of financial instruments require an estimate of the rate at which the interest rate reverts to its long term average. Changes...

  • Page 286
    ...: Fair Value (1) As of December 31, 2015 (In millions of dollars) Loans held-for-sale Other real estate owned Loans (3) $ 3,486 $ 90 2 $ 157 87 Methodology Price-based Price-based Recovery analysis Price-based Input Price Discount to price (4) Appraised Value Recovery rate Discount to price...

  • Page 287
    ... to assets that were still held: In millions of dollars Year ended December 31, 2015 $ (79) (17) (142) $(238) Loans held-for-sale Other real estate owned Loans (1) Total nonrecurring fair value gains (losses) (1) Represents loans held for investment whose carrying amount is based on the fair value...

  • Page 288
    ... fund amounts exclude certain insurance contracts. Also, as required, the disclosure excludes the effect of taxes, any premium or discount that could result from offering for sale at one time the entire holdings of a particular instrument, excess fair value associated with deposits with no fixed...

  • Page 289
    ...period based on changes in a wide range of factors, including interest rates, credit quality and market perceptions of value, and as existing assets and liabilities run off and new transactions are entered into. The estimated fair values of loans reflect changes in credit status since the loans were...

  • Page 290
    ... ended December 31, 2015 2014 In millions of dollars Assets Federal funds sold and securities borrowed or purchased under agreements to resell selected portfolios of securities purchased under agreements to resell and securities borrowed Trading account assets Investments Loans Certain corporate...

  • Page 291
    ... 2014, respectively. Changes in the 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...

  • Page 292
    ... fair values of these mortgage loans are reported in Other revenue in the Company's Consolidated Statement of Income. There was no net change in fair value during the years ended December 31, 2015 and 2014 due to instrument-specific credit risk. Related interest income continues to be measured based...

  • Page 293
    ...their legal form. The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument: In billions of dollars Interest rate linked Foreign exchange linked Equity linked Commodity linked Credit linked Total December 31, 2015...

  • Page 294
    ...millions of dollars 2015 $210,604 203,568 97,205 $511,377 2014 $173,015 214,530 111,832 $499,377 Investment securities Loans Trading account assets Total 2016 2017 2018 2019 2020 Thereafter Total $1,238 1,002 778 698 567 4,483 $8,766 In addition, included in Cash and due from banks at December...

  • Page 295
    ...Carrying value (in millions of dollars) 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 (1) Custody indemnifications and other Total $ 242...

  • Page 296
    ... related to both bank card and private-label merchant processing services is estimated to be the total volume of credit card transactions that meet the requirements to be valid charge-back transactions at any given time. At December 31, 2015 and 2014, this maximum potential exposure was estimated...

  • Page 297
    ... clearing services for clients executing exchange-traded futures and over-the-counter (OTC) derivatives contracts with central counterparties (CCPs). Based on all relevant facts and circumstances, Citi has concluded that it acts as an agent for accounting purposes in its role as clearing member...

  • Page 298
    ... of dollars at December 31, 2015 Financial standby letters of credit Performance guarantees Derivative instruments deemed to be guarantees Loans sold with recourse Securities lending indemnifications Credit card merchant processing Custody indemnifications and other Total In billions of dollars at...

  • Page 299
    ... are agreements that provide funding to a borrower with higher levels of debt (measured by the ratio of debt capital to equity capital of the borrower) than is generally considered normal for other companies. This type of financing is commonly employed in corporate acquisitions, management buy-outs...

  • Page 300
    ...of Citigroup are banks, registered broker-dealers, futures commission merchants, investment advisers or other regulated entities and, in those capacities, are subject to regulation by various U.S., state and foreign securities, banking, commodity futures, consumer protection and other regulators. In...

  • Page 301
    ... filings under docket number 03 Civ. 3748 (S.D.N.Y.) (Batts, J.). Commodities Financing Contracts Beginning in May 2014, Citigroup became aware of reports of potential fraud relating to the financing of physical metal stored at the Qingdao and Penglai ports in China. Citibank and Citigroup Global...

  • Page 302
    ... types of proceedings, claims asserted by: (i) individual investors and purported classes of investors in Citigroup's common and preferred stock and debt, alleging violations of the federal securities laws, foreign laws, state securities and fraud law, and the Employee Retirement Income Security...

  • Page 303
    ... action is publicly available in court filings under the docket number 14-cv-9373 (S.D.N.Y.) (Furman, J.). On November 24, 2015, largely the same group of investors filed another action in the New York State Supreme Court, captioned FIXED INCOME SHARES: SERIES M, ET AL. V. CITIBANK N.A., related to...

  • Page 304
    ...hearing on December 17, 2015 and entered an order approving the settlement on January 28, 2016. Additional information concerning this action is publicly available in court filings under the docket number 12-cv-7717 (S.D.N.Y.) (Woods, J.). Auction Rate Securities-Related Litigation and Other Matters...

  • Page 305
    ... position in order to control the financial information on CDS." On July 2, 2013, the EC issued to Citigroup, CGMI, CGML, Citicorp North America Inc. and Citibank, as well as Markit, ISDA, and 12 other investment bank dealer groups, a statement of objections alleging that Citi and the other dealers...

  • Page 306
    ...of New York against Citigroup, as well as numerous other foreign exchange dealers. The plaintiff seeks to represent a putative class of participants, beneficiaries, and named fiduciaries of qualified Employee Retirement Income Security Act (ERISA) plans for whom a defendant provided foreign exchange...

  • Page 307
    ... in foreign exchange markets. On January 26, 2016, the court granted Citigroup's motion to dismiss the complaint. Additional information concerning this action is publicly available in court filings under the docket number 652339/2015 (N.Y. Sup. Ct.). Interbank Offered Rates-Related Litigation...

  • Page 308
    ... associations that claim to represent certain groups of merchants, allege, among other things, that defendants have engaged in conspiracies to set the price of interchange and merchant discount fees on credit and debit card transactions and to restrain trade through various Visa and MasterCard rules...

  • Page 309
    ... to inspect Citigroup's books and records. On May 5, 2015, Citigroup answered a similar complaint filed by Key West Municipal Firefighters & Police Officers' Retirement Trust Fund. Additional information concerning these actions is publicly available in court filings under the docket numbers C.A. No...

  • Page 310
    ... information relating to these actions is publicly available in court filings under the docket number: 15-MD-2673 (S.D.N.Y.) (Gardephe, J.). Settlement Payments Payments required in settlement agreements described above have been made or are covered by existing litigation accruals. Citibank...

  • Page 311
    ... with SEC Regulation S-X Rule 3-10, "Financial Statements of Guarantors and Issuers of Guaranteed Securities Registered or Being Registered." These Condensed Consolidating Financial Statements schedules are presented for purposes of additional analysis, but should be considered in relation to the...

  • Page 312
    ... Total revenues, net of interest expense Provisions for credit losses and for benefits and claims Operating expenses Compensation and benefits Compensation and benefits-intercompany Other operating Other operating-intercompany Total operating expenses Income (loss) before income taxes and equity...

  • Page 313
    ... Total revenues, net of interest expense Provisions for credit losses and for benefits and claims Operating expenses Compensation and benefits Compensation and benefits-intercompany Other operating Other operating-intercompany Total operating expenses Income (loss) before income taxes and equity...

  • Page 314
    ... Total revenues, net of interest expense Provisions for credit losses and for benefits and claims Operating expenses Compensation and benefits Compensation and benefits-intercompany Other operating Other operating-intercompany Total operating expenses Income (loss) before income taxes and equity...

  • Page 315
    ...from banks-intercompany Federal funds sold and resale agreements Federal funds sold and resale agreements-intercompany Trading account assets Trading account assets-intercompany Investments Loans, net of unearned income Loans, net of unearned income-intercompany Allowance for loan losses Total loans...

  • Page 316
    ...from banks-intercompany Federal funds sold and resale agreements Federal funds sold and resale agreements-intercompany Trading account assets Trading account assets-intercompany Investments Loans, net of unearned income Loans, net of unearned income-intercompany Allowance for loan losses Total loans...

  • Page 317
    ... from banks at beginning of period Cash and due from banks at end of period Supplemental disclosure of cash flow information for continuing operations Cash paid during the year for income taxes Cash paid during the year for interest Non-cash investing activities Decrease in net loans associated with...

  • Page 318
    ... 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 activities Decrease in deposits associated...

  • Page 319
    ... 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 320
    ... of Citi's bolivar-denominated assets and liabilities due to changes in the exchange rate is recorded in earnings. At the expected minimum new SIMADI rate of 202 bolivars per U.S. dollar, Citi estimates that it will incur an approximate $172 million foreign currency loss in the first quarter of...

  • Page 321
    ... the 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 sum to the totals reported for the full year. [End of Consolidated Financial Statements and Notes...

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    FINANCIAL DATA SUPPLEMENT RATIOS 2015 Citigroup's net income to average assets Return on average common stockholders' equity (1) Return on average total stockholders' equity (2) Total average equity to average assets (3) Dividend payout ratio (4) 0.95% 8.1 7.9 11.9 3.0 2014 0.39% 3.4 3.5 11.1 1.8 ...

  • Page 323
    ... a variety of financial services and advisory companies. Citi competes for clients and capital (including deposits and funding in the short- and long-term debt markets) with some of these competitors globally and with others on a regional or product basis. Citi's competitive position depends on many...

  • Page 324
    ... its related quarterly reports on Form 10-Q. In addition to Citi's prior disclosures, a subsidiary of Citi, Banco Nacional de México (Banamex), identified that it inadvertently processed five domestic funds transfers to the Embassy of Iran in Mexico during the third quarter of 2015. The total value...

  • Page 325
    ..., DIVIDENDS Unregistered Sales of Equity Securities None. Equity Security Repurchases The following table summarizes Citi's equity security repurchases, which consisted entirely of common stock repurchases, during the three months ended December 31, 2015: Approximate dollar value of shares that...

  • Page 326
    ...and table assume that $100 was invested on December 31, 2010 in Citi's common 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 200 150 100 50...

  • Page 327
    ... reporting operations, financial planning and analysis, treasury, tax, strategy and M&A, investor relations and regional/product finance professionals and administrative staff) that applies worldwide. The Code of Ethics for Financial Professionals applies to Citi's principal executive officer...

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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 26th day of February, 2016. Citigroup's Principal Executive Officer and a Director...

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    ... Services 540 Crosspoint Parkway Getzville, NY 14068 Stockholder Inquiries Information about Citi, including quarterly earnings releases and filings with the U.S. Securities and Exchange Commission, can be accessed via Citi's website at www.citigroup.com. Stockholder inquiries can also be directed...

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    www.citigroup.com © 2016 Citigroup Inc. 1378702 CIT24024 03/16 Take a closer look at Citi with the digital Annual Report: citi.com/annualreport