# EDGAR Filing Document

**Accession Number:** 0000831001
**File Stem:** 0001206774-23-000375
**Filing Date:** 2023-3
**Character Count:** 374947
**Document Hash:** c2f8dfbe85d9040a31a9ed51865b84b8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001206774-23-000375.hdr.sgml**: 20230315

**ACCESSION NUMBER**: 0001206774-23-000375

**CONFORMED SUBMISSION TYPE**: ARS

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230315

**DATE AS OF CHANGE**: 20230315

**EFFECTIVENESS DATE**: 20230315

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** CITIGROUP INC
- **CENTRAL INDEX KEY:** 0000831001
- **STANDARD INDUSTRIAL CLASSIFICATION:** NATIONAL COMMERCIAL BANKS [6021]
- **IRS NUMBER:** 521568099
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** ARS
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 001-09924
- **FILM NUMBER:** 23735916

**BUSINESS ADDRESS:**
- **STREET 1:** 388 GREENWICH STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10013
- **BUSINESS PHONE:** 2125591000

**MAIL ADDRESS:**
- **STREET 1:** 388 GREENWICH STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10013

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TRAVELERS GROUP INC
- **DATE OF NAME CHANGE:** 19950519

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TRAVELERS INC
- **DATE OF NAME CHANGE:** 19940103

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRIMERICA CORP /NEW/
- **DATE OF NAME CHANGE:** 19920703

### Attached PDF Documents

**Attachment 1:** `citi417579-1_ars.pdf`

2022 ANNUAL REPORT

citi

![img-0.jpeg](img-0.jpeg)

![img-1.jpeg](img-1.jpeg)

Citi is proud of its colleagues in Ukraine, who are supporting the country through a devastating war.

![img-2.jpeg](img-2.jpeg)

More than 20 years ago, I started at Citi as a market risk analyst in New York City. Since then, I have benefited from the career opportunities that come with being at a global bank and have worked across the world. In 2018, I took on the role of leading Citi's franchise in Ukraine and have had the pleasure of making my home with my family in the beautiful city of Kyiv.

At Citi, we like to think of ourselves as a 'human bank,' and nowhere has that been more apparent than in Ukraine. When Russia invaded our country last year, the entire firm moved swiftly to support our colleagues and clients. Thanks to the courage and dedication of our Citi Ukraine team, our business here has operated continuously throughout the war. That's allowed us to support clients on the ground who are overseeing essential services and the non-governmental organizations that are delivering aid. On the cover of this report, you will find some images illustrating these heroic efforts.

I am also incredibly grateful to my Citi colleagues in Poland, Romania, Hungary and other neighboring countries who have received displaced Ukrainians and mobilized volunteer efforts. On top of that, so many members of the firm from around the world have found other ways to support us in Ukraine. Simply put, I could not be prouder to work at Citi.

May 2023 bring peace to Ukraine.

**Alex McWhorter**

Citi Country Officer, Citi Ukraine

![img-3.jpeg](img-3.jpeg)

*Hear more from Alex and Citi Ukraine colleagues on the impact of the war.*

![img-4.jpeg](img-4.jpeg)

*Europe, Middle East and Africa CEO David Livingstone (center left) and Alex McWhorter (center right) meet with Citi Ukraine colleagues during a visit to Poland.*

Citi's Value Proposition

# A mission of enabling growth and economic progress

## What you can expect from us and what we expect from ourselves

Citi’s mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients. We have more than 200 years of experience helping our clients meet the world’s toughest challenges and embrace its greatest opportunities. We are Citi, the global bank - an institution connecting millions of people across hundreds of countries and cities.

We protect people’s savings and help them make the purchases - from everyday transactions to buying a home - that improve the quality of their lives. We advise people on how to invest for future needs, such as their children’s education and their own retirement, and help them buy securities such as stocks and bonds.

We work with companies to optimize their daily operations, whether they need working capital, to make payroll or export their goods overseas. By lending to companies large and small, we help them grow, creating jobs and real economic value at home and in communities around the world. We provide financing and support to governments at all levels, so they can build sustainable infrastructure, such as housing, transportation, schools and other vital public works.

These capabilities create an obligation to act responsibly, do everything possible to create the best outcomes and prudently manage risk. If we fall short, we will take decisive action and learn from our experience.

We strive to earn and maintain the public’s trust by constantly adhering to the highest ethical standards. We ask our colleagues to ensure that their decisions pass three tests: they are in our clients’ interests, create economic value and are always systemically responsible. When we do these things well, we make a positive financial and social impact in the communities we serve and show what a global bank can do.

1

# Letter to shareholders

“We have absolute clarity on our future, and we are focused on accelerating growth, gaining share and increasing returns for shareholders over time.”

![img-5.jpeg](img-5.jpeg)

Dear shareholders,

Looking back at 2022, I don’t think any of us could have predicted the twists and turns the year would take. Lingering disruptions to supply chains, historic inflationary pressures, persistent lockdowns in China and the largest war on European soil since World War II combined to create a tumultuous environment for businesses and financial markets.

As a leading global bank with a more-than-210-year history, these dynamics are not unfamiliar to us. And as we showed throughout the pandemic, Citi is an important source of strength and stability during times of immense change and challenge. This is an opportunity and a responsibility we take very seriously.

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

The first is how we continued to support our clients. We helped them navigate macro and geopolitical dynamics. We advised them in their digital transformations and supported the shifts in their business models. We guided them in their transitions toward a clean-energy economy. When war broke out in Ukraine, we sprang to the aid of our employees and clients on the ground, and helped our multinational clients unwind their operations in Russia in response to Western sanctions aimed at the country.

The second is the important strides we are making to position Citi to win in the decade ahead. In March 2022, at our first Investor Day in several years, we set a vision and refreshed our strategy to change our business

mix and simplify our operating model. We have absolute clarity on our future, and we are focused on accelerating growth, gaining share and increasing returns for shareholders over time.

By most measures, we ended the year in a stronger position than we started.

## A foundation for the future

Our vision for Citi is to be the preeminent banking partner for institutions with cross-border needs, a global leader in wealth management and a valued personal bank in our home market.

To that end, we have laid the foundation by focusing on five core interconnected businesses: Services, Markets, Banking, Global Wealth Management and U.S. Personal Banking. We intentionally designed our business mix to withstand different macroeconomic conditions, and we have seen that borne out over the past year. So whilst the environment has changed, our strategy has not, and we remain steadfast in executing and delivering for our shareholders.

2

![img-6.jpeg](img-6.jpeg)

Chief Executive Officer

For the year, we delivered $14.8 billion in net income on revenues of $75.3 billion. Our Return on Tangible Common Equity (RoTCE) was 8.9%, and we remain on track to achieve an RoTCE of 11-12% in the medium term.

We increased our Common Equity Tier 1 Capital ratio by nearly 80 basis points to 13%, which includes a buffer of 100 basis points above the regulatory requirement to help absorb the impact of various macro and other factors. Finally, our tangible book value per share increased to $81.65, and we returned more than $7 billion to our shareholders through common dividends and share repurchases.

### How our core businesses fared

Our Services business had an exceptional year with revenues up 27% versus 2021. Treasury and Trade Solutions (TTS), the crown jewel of our global network, experienced a 32% increase in revenues as we continued to grow our wallet share with existing clients whilst also adding new client relationships. With the introduction of a seven-day sweeps service, the industry’s first 24/7 USD clearing capabilities and instant payments in 33 markets, we’re moving closer to an always-on, near real-time cash management solution for corporate clients. In Securities Services, we grew yearly revenues by 15% and onboarded $1.2 trillion in assets under custody and administration.

Our Markets business closed 2022 with revenues up 7% from 2021, ending the year with one of the best fourth quarters in recent memory. Our traders navigated the volatility quite well, with notable performance amongst corporate clients and strong gains in FX and rates. And together with our Corporate Bank, our Markets team continued to optimize its balance sheet.

Revenues in Banking fell 35% as we contended with a materially slower deal environment. But Banking remains a key part of our strategy, and we continued to play a leading role in the year’s notable transactions. This included acting as one of the lead advisors on Volkswagen’s €9.4 billion IPO of Porsche, the largest public listing of the year, and serving as financial advisor to Amgen on its proposed $27.8 billion acquisition of Horizon Therapeutics. We hired exceptional bankers in healthcare, clean energy and technology - all sectors critical to our growth - and welcomed new talent into our Commercial Bank as it has expanded into Canada, Germany and Switzerland.

In U.S. Personal Banking, revenues for the year rose 7% as we bolstered our leadership in payments and lending. Branded Cards grew revenues by 9%, whilst Retail Services revenues were up 7%. We launched new credit cards with ExxonMobil and AT&T and celebrated 35 years of our co-branded credit

3

# A year

## **Debuted a refreshed strategy**

for improving returns at Citi's Investor Day

## **Served as one of the lead advisors**

on Porsche's IPO and as financial advisor on Amgen's proposed acquisition of Horizon Therapeutics

## **Built out digital capabilities**

in our market-leading Treasury and Trade Solutions business and launched a 24/7 payments clearing service

## **Celebrated 35 years**

of the American Airlines co-branded credit card, a leading airline rewards credit card

## **Hired exceptional talent in Banking, Capital Markets and Advisory**

to strengthen coverage of growth sectors such as healthcare, clean energy and technology

## **Expanded the Private Bank**

to France and Germany, opened the first Citi Global Wealth Center in Hong Kong and established a Citi Global Wealth at Work presence in Luxembourg

![img-7.jpeg](img-7.jpeg)

4

# of progress

**Onboarded  
\$1.2 trillion of  
new assets under  
custody and  
administration**

in Securities Services

**Simplified our operating model**

by closing the sale of five consumer businesses and announced plans to end nearly all operations in Russia

**Strengthened  
connections between  
businesses**

resulting in more than 60,000 client referrals from the U.S. Personal Bank to Citi Global Wealth

**Grew Citi Commercial Bank**

by expanding into Canada, Germany and Switzerland and hiring talent to execute on our client-centric coverage model

**Enhanced risk and controls**

by improving stress test capabilities and our approval process for new products

**Implemented  
new performance  
management  
framework**

to drive excellence and accountability across the firm

![img-8.jpeg](img-8.jpeg)

5

card partnership with American Airlines. Revenues in Retail Banking were roughly flat for the full year, but we continued to enhance our digital capabilities, growing digital users by 6% for the year. And as part of our efforts to break down barriers to banking, last year we became the first of the largest U.S. banks to completely eliminate overdraft fees and returned item fees for our customers.

We also made progress building out our Global Wealth Management business despite the economic headwinds that slowed activity amongst our Asia-based clients in particular and reduced overall revenues by 2%. Having unified our Wealth businesses under a single platform, we've been acquiring new clients and investing in hiring advisors to make sure we're well-positioned for success as the markets recover. In addition, we forged ahead with our global expansion, opening Private Bank offices in Paris and Frankfurt, a new Wealth center in Hong Kong and a Citi Global Wealth at Work presence in Luxembourg.

## Greater connectivity and focus

A centerpiece of our go-forward plan is increasing the linkages between our businesses so we can more easily engage clients in one part of our firm with products and services from another. By delivering the full power of Citi to clients, we can deepen existing relationships and win new mandates.

Our Markets and Banking businesses are now aligned more closely than ever, and, as a result, we are supporting our clients in a more integrated way. Our Wealth business is also benefiting from closer connections and received more than 60,000 referrals from the Retail Bank last year. In addition, we have established a new partnership agreement between Wealth and our Commercial Bank, where 90% of our clients are privately owned companies.

At the same time, we are making progress in simplifying our firm, making us easier to manage and allowing us to focus on the parts of our business where we know we can grow and improve our competitiveness.

We announced our intention to exit 14 consumer businesses in Asia, Europe, the Middle East and Mexico - businesses that do not have clear synergies with our global network. As a result of swift but disciplined execution, in 2022 we successfully closed the sale of our consumer businesses in Australia, Bahrain, Malaysia, the Philippines and Thailand. In March 2023, we closed the sale of our consumer businesses in India and Vietnam and are on track to close two additional markets by the end of the year. We also are progressing with the wind-down of our consumer business in Korea. In addition to exiting our consumer and local commercial banking businesses in Russia, we are actively ending nearly all institutional banking services in the country, and by the second quarter of 2023, our only operations will be those necessary to fulfill any legal and regulatory obligations. Apart from Russia, Citi will continue to serve our clients and invest in these markets through our institutional franchise and our Wealth business.

## Citi's Transformation

For our strategy to unlock the greatest possible value, we know we need to modernize our infrastructure so that we are scaled and agile and able to continue to deliver for our clients. The consent orders issued in 2020 by the Federal Reserve Board and Office of the Comptroller of the Currency underscored how we had underinvested not only in parts of our infrastructure but also in our risk and controls environment and our data governance.

Last year, we made progress in accelerating our work to address these gaps and simplify and modernize our operating model for the digital age. This work is so consequential in nature that we call it our 'Transformation.' It remains my number one priority.

Whilst this is a multi-year journey, we are already seeing the fruits of our labors. We have dramatically streamlined our approval process for new products. And new stress testing capabilities enable us to make faster, better-informed risk decisions. This made a huge difference in how we have been able to minimize the impact of Russia's invasion of Ukraine on all parts of our business.

## Investments in our people and communities

Ensuring we have a culture characterized by excellence and accountability underpins the success of our Transformation and broader vision for the firm. Last year, we launched a program, Citi's New Way, to help our colleagues adopt the everyday habits we need in order to operate with excellence. We have also hardwired accountability into our firm by strengthening our performance management process and implementing a greater emphasis on financial returns rather than on revenues.

The diversity of the nearly 240,000 people who work at Citi is a distinguishing aspect of our firm, as is the diversity of our Board, which is majority female. We remain committed to a workplace that mirrors the communities we serve. In 2022, we set new goals to increase the number of women and other underrepresented groups working at Citi. These new goals follow our success in exceeding the three-year goals we set in 2018 to increase the percentage of women in the firm globally and of Black talent in the U.S.

In another sign of our progress, last year we celebrated the promotion of one of the largest and most diverse Managing Director classes in recent years. Maintaining a workplace that is diverse, equitable and inclusive is not only true to our values but key to our competitiveness.

Our commitment to advancing diversity, equity and inclusion goes well beyond Citi's walls as we continue to use our resources as a global bank to take on some of society's toughest challenges. We expanded the Citi Impact Fund to $500 million in support of diverse founders who are driving both financial and social returns. And we delivered on our commitment to transparency and accountability by announcing the findings from an external review and audit of our $1 billion Action for Racial Equity initiative to help close the racial wealth gap.

6

# Full year 2022 results and key metrics

| Key financial metrics |  |  | Businesses snapshot |  |
| --- | --- | --- | --- | --- |
| REVENUES $75.3B | NET INCOME $14.8B |  | TOTAL SERVICES REVENUES ↑27% | TOTAL MARKETS REVENUES ↑7% |
| EPS $7.00 | ROCE 7.7% |  | TOTAL BANKING REVENUES ↓35% | U.S. PERSONAL BANKING REVENUES ↑7% |
| RoTCE 8.9% 1 | SLR 5.8% | CET1 CAPITAL RATIO 13.0% 2 | GLOBAL WEALTH MANAGEMENT REVENUES ↓2% | LEGACY FRANCHISES REVENUES ↑3% |

## Key highlights

| TTS revenues ↑32% YoY with further wallet share gains | Fixed Income revenues ↑13% YoY signaling our strengthened leadership position | Returned ~$7.3B in capital to shareholders in the form of common dividends and share repurchases |
| --- | --- | --- |
| Securities Services ↑15% YoY with $1.2T of new client assets under custody and administration onboarded | Cards revenues ↑8% YoY with double-digit growth in revenues and interest-earning balances in the second half | Closed the sale of 5 non-strategic consumer exit markets 3 |

We have also been a leader in reimagining the future of work. Drawing on lessons learned during the pandemic, we have institutionalized a hybrid work model for much of our firm. This approach provides the flexibility that our people want whilst also ensuring we benefit from the in-person collaboration, real-time coaching and apprenticeship that occurs only when we are physically together.

Everywhere you look around the firm, there is an undeniable sense of momentum. We have never been clearer about the bank we want to be, and we have made significant progress over the past year in bringing this vision to life. Through our

relentless commitment to excellence, we are changing the trajectory of Citi to close the gap with our competitors and deliver a new era of success for all our stakeholders.

Sincerely,

**Jane Fraser**
Chief Executive Officer, Citigroup Inc.

$^{1}$RoTCE and tangible book value per share are non-GAAP financial measures. For more information, see page 40 of Citi's 2022 Form 10-K.

$^{2}$Citi's binding CET1 Capital ratio was derived under the Basel III Standardized Approach as of December 31, 2022.

$^{3}$Closed the sale of India and Vietnam consumer businesses in March 2023.

7

# Confronting society's

![img-9.jpeg](img-9.jpeg)

**Prioritized the safety of Citi colleagues in Ukraine** while supporting clients and relief organizations on the ground.

Mobilized over **$3 billion in emerging market social finance**

activity, including access to finance, healthcare, digital connectivity, smallholder agriculture, reliable energy, water and sanitation.

Became the first major U.S. bank to set **a recruiting goal for LGBTQ+ candidates** from colleges and universities around the globe.

![img-10.jpeg](img-10.jpeg)

**Advised the Egyptian government,**

in its role as COP27 president, on climate finance in Egypt and other developing countries.

![img-11.jpeg](img-11.jpeg)

**Expanded the Citi Impact Fund to $500 million**

more than tripling our initial commitment to invest in private companies helping to address societal challenges.

![img-12.jpeg](img-12.jpeg)

Financed nearly **$6 billion in affordable housing** projects in the U.S.

Became the first major U.S. bank to **eliminate overdraft fees.**

![img-13.jpeg](img-13.jpeg)

8

# toughest challenges

**Provided more than 2.5 million households, including nearly 1 million women, access to essential goods and services in emerging markets.**

![img-0.jpeg](img-0.jpeg)

Signed onto the **Sustainable Steel Principles**, the first framework for lenders to measure steel industry emissions.

![img-1.jpeg](img-1.jpeg)

Became a founding member of the Biden administration’s

## **Economic Opportunity Coalition**

focused on addressing economic disparities in underserved communities.

![img-2.jpeg](img-2.jpeg)

Created a first-of-its-kind **diverse financial institutions group** to deepen our work with minority-owned firms.

![img-3.jpeg](img-3.jpeg)

**Committed $50 million through the Citi Foundation** to nonprofits supporting community finance initiatives throughout the U.S.

![img-4.jpeg](img-4.jpeg)

**Volunteered over 115,000 hours across 84 countries and territories as part of Citi’s Global Community Day.**

![img-5.jpeg](img-5.jpeg)

**Set 2030 emissions reductions targets**

for energy and power lending portfolios as part of Citi’s net zero commitment.

![img-6.jpeg](img-6.jpeg)

9

![img-7.jpeg](img-7.jpeg)

# **UNITED STATES**
**SECURITIES AND EXCHANGE COMMISSION**
WASHINGTON, D.C. 20549
**FORM 10-K**

(Mark One)

☑ **ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

For the fiscal year ended December 31, 2022

OR

☐ **TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

For the transition period from ______ to ______
Commission file number 1-9924

# **Citigroup Inc.**

(Exact name of registrant as specified in its charter)

**Delaware**

(State or other jurisdiction of incorporation or organization)

**52-1568099**

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

**388 Greenwich Street, New York NY**

(Address of principal executive offices)

**10013**

(Zip code)

**(212) 559-1000**

(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 formatted in Inline XBRL: See Exhibit 99.01

Securities registered pursuant to Section 12(g) of the Act: none

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes ☑ No ☐

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or 15(d) of the Act. Yes ☐ No ☑

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☑ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☑ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer ☑

Accelerated filer ☐

Non-accelerated filer ☐

Smaller reporting company ☐

Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. Yes ☐

Indicate by check mark whether the Registrant has filed a report on and attestation to its management's assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued its audit report. ☑

If securities are registered pursuant to Section 12(b) of the Act, indicate by check mark whether the financial statements of the registrant included in the filing reflect the correction of an error to previously issued financial statements. ☐

Indicate by check mark whether any of those error corrections are restatements that required a recovery analysis of incentive-based compensation received by any of the registrant's executive officers during the relevant recovery period pursuant to §240.10D-1(b). ☐

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

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

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

Documents Incorporated by Reference: Portions of the registrant's proxy statement for the annual meeting of stockholders scheduled to be held on April 25, 2023 are incorporated by reference in this Form 10-K in response to Items 10, 11, 12, 13 and 14 of Part III.

Available on the web at www.citigroup.com

# FORM 10-K CROSS-REFERENCE INDEX

Item Number Page

Part I

| 1. Business | 1-23, 122-128, 131, 163-164, 315-316 |
| --- | --- |
| 1A. Risk Factors | 41-54 |
| 1B. Unresolved Staff Comments | Not Applicable |
| 2. Properties | Not Applicable |
| 3. Legal Proceedings-See Note 29 to the Consolidated Financial Statements | 298-304 |
| 4. Mine Safety Disclosures | Not Applicable |

Part II

| 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities | 142-143, 170-172, 317-318 |
| --- | --- |
| 6. [Reserved] |  |
| 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations | 3-23, 60-121 |
| 7A. Quantitative and Qualitative Disclosures About Market Risk | 60-121, 165-169, 189-232, 238-289 |
| 8. Financial Statements and Supplementary Data | 138-314 |
| 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure | Not Applicable |
| 9A. Controls and Procedures | 129-130 |
| 9B. Other Information | Not Applicable |

9C. Disclosure Regarding Foreign Jurisdictions that Prevent Inspections Not Applicable

Part III

| 10. Directors, Executive Officers and Corporate Governance | 319-321* |
| --- | --- |
| 11. Executive Compensation | ** |
| 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters | *** |
| 13. Certain Relationships and Related Transactions, and Director Independence | *** |
| 14. Principal Accountant Fees and Services | *** |

Part IV

15. Exhibit and Financial Statement Schedules

* For additional information regarding Citigroup’s Directors, see “Corporate Governance” and “Proposal 1: Election of Directors” in the definitive Proxy Statement for Citigroup’s Annual Meeting of Stockholders scheduled to be held on April 25, 2023, to be filed with the SEC (the Proxy Statement), incorporated herein by reference.

** See “Compensation Discussion and Analysis,” “The Personnel and Compensation Committee Report,” and “2022 Summary Compensation Table and Compensation Information” and “CEO Pay Ratio” in the Proxy Statement, incorporated herein by reference, other than disclosure under the heading “Pay versus Performance” information responsive to Item 402(v) of Regulation S-K of SEC rules.

*** See “About the Annual Meeting,” “Stock Ownership,” and “Equity Compensation Plan Information” in the Proxy Statement, incorporated herein by reference.

*** See “Corporate Governance-Director Independence,” “-Certain Transactions and Relationships, Compensation Committee Interlocks and Insider Participation” and “-Indebtedness” in the Proxy Statement, incorporated herein by reference.

*** See “Proposal 2: Ratification of Selection of Independent Registered Public Accountants” in the Proxy Statement, incorporated herein by reference.

## CITIGROUP'S 2022 ANNUAL REPORT ON FORM 10-K

| OVERVIEW | 1 | SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES | 122 |
| --- | --- | --- | --- |
| Citigroup Operating Segments | 2 | DISCLOSURE CONTROLS AND PROCEDURES | 129 |
| MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | 3 | MANAGEMENT'S ANNUAL REPORT ON INTERNAL CONTROL OVER FINANCIAL REPORTING | 130 |
| Executive Summary | 3 | FORWARD-LOOKING STATEMENTS | 131 |
| Citi's Consent Order Compliance | 6 | REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (PCAOB ID # 185) | 132 |
| Summary of Selected Financial Data | 8 | FINANCIAL STATEMENTS AND NOTES | 137 |
| Segment Revenues and Income (Loss) | 10 | TABLE OF CONTENTS | 138 |
| Segment Balance Sheet | 11 | CONSOLIDATED FINANCIAL STATEMENTS | 146 |
| Institutional Clients Group | 12 | NOTES TO CONSOLIDATED FINANCIAL STATEMENTS | 314 |
| Personal Banking and Wealth Management | 18 | FINANCIAL DATA SUPPLEMENT | 315 |
| Legacy Franchises | 20 | SUPERVISION, REGULATION AND OTHER CORPORATE INFORMATION | 319 |
| Corporate/Other | 23 | Executive Officers | 319 |
| CAPITAL RESOURCES | 24 | Citigroup Board of Directors | 320 |
| RISK FACTORS | 41 | GLOSSARY OF TERMS AND ACRONYMS | 322 |
| SUSTAINABILITY AND OTHER ESG MATTERS | 54 |  |  |
| HUMAN CAPITAL RESOURCES AND MANAGEMENT | 57 |  |  |
| Managing Global Risk Table of Contents | 59 |  |  |
| MANAGING GLOBAL RISK | 60 |  |  |

## OVERVIEW

Citigroup's history dates back to the founding of the City Bank of New York in 1812.

Citigroup is a global diversified financial services holding company whose businesses provide consumers, corporations, governments and institutions with a broad, yet focused, range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, trade and securities services and wealth management. Citi has approximately 200 million customer accounts and does business in nearly 160 countries and jurisdictions.

At December 31, 2022, Citi had approximately 240,000 full-time employees, compared to approximately 223,400 full-time employees at December 31, 2021. For additional information, see "Human Capital Resources and Management" below.

Throughout this report, "Citigroup," "Citi" and "the Company" refer to Citigroup Inc. and its consolidated subsidiaries. For a list of certain terms and acronyms used herein, see "Glossary of Terms and Acronyms" at the end of this report. All "Note" references correspond to the Notes to the Consolidated Financial Statements.

### Additional Information

Additional information about Citigroup is available on Citi's website at www.citigroup.com. Citigroup's recent annual reports on Form 10-K, quarterly reports on Form 10-Q, current reports on Form 8-K and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC) are available free of charge through Citi's website by clicking on the "Investors" tab and selecting "SEC Filings." The SEC's website also contains these filings and other information regarding Citi at www.sec.gov.

For a discussion of 2021 versus 2020 results of operations of Institutional Clients Group (ICG), Personal Banking and Wealth Management (PBWM), Legacy Franchises and Corporate/Other, see each respective business's results of operations in Citigroup's Annual Report on Form 10-K for the year ended December 31, 2021 and its Current Report on Form 8-K dated May 10, 2022 (as amended by a Current Report on Form 8-K/A dated May 10, 2022) (collectively referred to as Citigroup's 2021 Annual Report on Form 10-K).

Certain reclassifications have been made to the prior periods' financial statements and disclosures to conform to the current period's presentation.

Please see "Risk Factors" below for a discussion of material risks and uncertainties that could impact Citi's businesses, results of operations and financial condition.

### Non-GAAP Financial Measures

Citi prepares its financial statements in accordance with U.S. GAAP and also presents certain non-GAAP financial measures (non-GAAP measures) that exclude certain items or otherwise include components that differ from the most directly comparable measures calculated in accordance with U.S. GAAP. Non-GAAP measures are provided as additional useful information to assess Citi's financial condition and results of operations (including period-to-period operating performance). These non-GAAP measures are not intended as a substitute for GAAP financial measures and may not be defined or calculated the same way as non-GAAP measures with similar names used by other companies. For more information, including the reconciliation of these non-GAAP financial measures to their corresponding GAAP financial measures, see the respective sections where the measures are presented and described and the "Glossary of Terms and Acronyms" below.

1

Citigroup is managed pursuant to three operating segments: *Institutional Clients Group*, *Personal Banking and Wealth Management* and *Legacy Franchises*. Activities not assigned to the operating segments are included in *Corporate/Other*.

## Citigroup Operating Segments

![img-8.jpeg](img-8.jpeg)

The following are the four regions in which Citigroup operates. The regional results are fully reflected in the operating segments and *Corporate/Other* above.

## Citigroup Regions(1)

![img-9.jpeg](img-9.jpeg)

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

2

# MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

## EXECUTIVE SUMMARY

As described further throughout this Executive Summary, Citi demonstrated continued progress across the franchise during 2022:

- Citi's revenues increased 5% versus the prior year, including net gains on sales of Citi's Philippines and Thailand consumer banking businesses versus a loss on sale of Citi's Australia consumer banking business in the prior year. Excluding these divestiture-related impacts (see "2022 Results Summary" below), revenues increased 3%, driven by higher net interest income, partially offset by lower non-interest revenues.
- Citi's expenses increased 6% versus the prior year, including divestiture-related impacts in both the current and prior years. Excluding these divestiture-related impacts (see "2022 Results Summary" below), expenses increased 8%, driven by continued investments in Citi's transformation, business-led investments and volume-related expenses, as well as other risk and control investments and inflation, all partially offset by productivity savings, the impact of foreign exchange translation and the expense reduction from the closure of five exit markets (see also "Expenses" below).
- Citi's cost of credit was $5.2 billion, versus $(3.8) billion in the prior year, largely reflecting a net build of $1.2 billion in the allowance for credit losses (ACL) for loans and unfunded commitments, primarily due to consumer loan growth and a deterioration in macroeconomic assumptions, compared to a net ACL release of $8.8 billion in the prior year.
- Citi returned $7.3 billion to common shareholders in the form of dividends and share repurchases.
- Citi's Common Equity Tier 1 (CET1) Capital ratio increased to 13.0% as of December 31, 2022, compared to 12.2% as of December 31, 2021 (for additional information, see "Capital Resources" below). Citi's required regulatory CET1 Capital ratio was 12.0% as of January 1, 2023, under the Basel III Standardized Approach.
- Citi made substantial progress on its consumer banking business divestitures in 2022, closing sales in five exit markets and working toward closing four additional sale transactions, as well as progressing with the ongoing wind-downs of the Korea consumer banking business and Russia consumer, local commercial and institutional businesses.

## 2022 Results Summary

### Citigroup

Citigroup reported net income of $14.8 billion, or $7.00 per share, compared to net income of $22.0 billion, or $10.14 per share in the prior year. The decrease in net income was primarily driven by the higher cost of credit, resulting from loan growth in *Personal Banking and Wealth Management (PBWM)* and a deterioration in macroeconomic assumptions,

and the higher operating expenses, partially offset by the higher revenues. Citigroup's effective tax rate was 19.4% in the current year versus 19.8% in the prior year. Earnings per share (EPS) decreased 31%, reflecting the decrease in net income, partially offset by a 4% decline in average diluted shares outstanding.

As discussed above, results for 2022 included divestiture-related impacts of approximately $(184) million in after-tax earnings, substantially all of which were recorded in *Legacy Franchises* (for additional information, see discussion below). Collectively, divestiture-related impacts had a $0.09 negative impact on EPS. This compares to divestiture-related negative impacts on EPS of $0.80 in 2021. (As used throughout this Form 10-K, Citi's results of operations and financial condition excluding the divestiture-related impacts are non-GAAP financial measures. Citi believes the presentation of its results of operations and financial condition excluding the divestiture-related impacts described above provides a meaningful depiction of the underlying fundamentals of its broader results and *Legacy Franchises'* results for investors, industry analysts and others.)

Results for 2022 included pretax divestiture-related impacts of approximately $82 million (approximately $(184) million after-tax), substantially all of which were recorded in *Legacy Franchises*, primarily consisting of the following:

- Approximately $618 million Philippines gain on sale recorded in revenues
- Approximately $209 million Thailand gain on sale recorded in revenues
- Approximately $(64) million incremental Australia consumer business loss on sale recorded in revenues
- Approximately $535 million goodwill impairment recorded in expenses due to re-segmentation and timing of divestitures
- Approximately $161 million of aggregate divestiture-related costs

Results for 2021 included pretax divestiture-related impacts of $(1.9) billion (approximately $(1.6) billion after-tax) in *Legacy Franchises*, which primarily consisted of the following:

- Approximately $(694) million Australia loss on sale recorded in revenues
- Approximately $1.1 billion related to charges incurred from the voluntary early retirement program (VERP) in connection with the wind-down of the Korea consumer banking business recorded in expenses
- Contract modification costs related to the Asia divestitures of $119 million

Citigroup revenues of $75.3 billion increased 5% versus the prior year. Excluding the divestiture-related impacts, revenues were up 3%, as the impact of higher interest rates across businesses and strong loan growth in *PBWM* were partially offset by declines in Banking in *Institutional Clients*

3

Group (ICG) and Asia investment product revenue in Global Wealth Management (Global Wealth), as well as the reduction in revenues from the closure of five exit markets and ongoing wind-downs.

Citigroup's end-of-period loans were $657 billion, down 2% versus the prior year, largely driven by Legacy Franchises and the impact of foreign exchange translation. The decline in Legacy Franchises primarily reflected the reclassification of loans to Other assets to reflect held-for-sale (HFS) accounting, as a result of the signing of sale agreements for consumer banking businesses in Asia Consumer Banking (Asia Consumer), as well as the impact of the ongoing Korea and Russia wind-downs.

Citigroup's end-of-period deposits were $1.4 trillion, up 4% versus the prior year, largely driven by Treasury and trade solutions in ICG, partially offset by the impact of foreign exchange translation.

# Expenses

Citigroup's operating expenses of $51.3 billion increased 6% in 2022. Reported expenses included divestiture-related impacts of approximately $696 million in the current year and approximately $1.2 billion in the prior year, substantially all of which were recorded in Legacy Franchises. Excluding these divestiture-related impacts, expenses increased 8% versus the prior year, largely driven by the following:

- Approximately 2% by transformation investments, with about two-thirds related to the risk, controls, data and finance programs (approximately 25% of the program investments were related to technology).
- Approximately 1% by business-led investments, as Citi continues to hire commercial and investment bankers, as well as client advisors in Global Wealth, and continues to invest in client experience, front-office platforms and onboarding.
- Approximately 1% by higher volume-related expenses across both PBWM and ICG.
- Approximately 3% by other risk and control investments and inflation, partially offset by a Revlon-related wire transfer recovery, productivity savings, the impact of foreign exchange translation and the expense reduction from the exit markets.

Citi expects to incur higher expenses in 2023, primarily driven by transformation-related investments, volume-related expenses and inflation-related impacts.

# Cost of Credit

Citi's total provisions for credit losses and for benefits and claims was a cost of $5.2 billion, compared to a benefit of $3.8 billion in the prior year. Results in 2022 included net credit losses of $3.8 billion versus $4.9 billion in the prior year. The higher cost of credit was driven by the net build of $1.2 billion in the ACL for loans and unfunded commitments, compared to a net ACL release of $8.8 billion in the prior year, partially offset by the lower net credit losses. The net ACL build was primarily due to cards loan growth in PBWM and a deterioration in macroeconomic assumptions. For additional information on Citi's ACL, see "Significant Accounting

Policies and Significant Estimates-Citi's Allowance for Credit Losses (ACL)" below.

Net credit losses of $3.8 billion decreased 23% from the prior year, largely driven by lower consumer net credit losses. Consumer net credit losses decreased 20% to $3.6 billion, reflecting low loss rates in the first half of 2022, followed by the ongoing normalization of losses toward pre-pandemic levels, particularly in Retail services cards business in PBWM. Corporate net credit losses decreased 54% to $178 million, largely driven by improvements in portfolio credit quality.

Citi expects to incur higher net credit losses in 2023, primarily driven by continued normalization toward pre-pandemic levels, particularly in the cards business in PBWM.

For additional information on Citi's consumer and corporate credit costs, see each respective business's results of operations and "Credit Risk" below.

# Capital

Citigroup's CET1 Capital ratio was 13.0% as of December 31, 2022, compared to 12.2% as of December 31, 2021, based on the Basel III Standardized Approach for determining risk-weighted assets (RWA). The increase was primarily driven by net income, impacts from the closing of the Australia, Philippines and other Asia consumer banking business sales and business actions to reduce RWA, partially offset by the return of capital to common shareholders and interest rate impacts on Citigroup's investment portfolio. The increase in Citi's CET1 Capital ratio was also partially offset by the impact of adopting the Standardized Approach for Counterparty Credit Risk (SA-CCR) on January 1, 2022.

Citigroup's Supplementary Leverage ratio as of December 31, 2022 was 5.8%, compared to 5.7% as of December 31, 2021. The increase was driven by a decrease in Total Leverage Exposure, partly offset by lower Tier 1 Capital. For additional information on Citi's capital ratios and related components, see "Capital Resources" below.

Citi has continued to pause common share repurchases in order to absorb any temporary capital impacts related to any potential signing of a sale agreement for its Mexico Consumer and Small Business and Middle-Market Banking (Mexico Consumer/SBMM) business (for additional information, see "Macroeconomic and Other Risks and Uncertainties" and the capital return risk factor in "Risk Factors" below) and to continue to have ample capital to serve its clients.

# Institutional Clients Group

ICG net income of $10.7 billion decreased 25%, driven by a net ACL release in the prior year, versus a net ACL build in the current year, and higher expenses, partially offset by higher revenues. ICG operating expenses of $26.3 billion increased 10%, primarily driven by continued investment in Citi's transformation, business-led investments and volume-related expenses, partially offset by a Revlon-related wire transfer recovery, the impact of foreign exchange translation and productivity savings.

ICG revenues of $41.2 billion increased 3% (including losses on loan hedges), as revenue growth in Services and Markets was partially offset by lower revenues in Banking. Results included a gain on loan hedges of $307 million,

4

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

Services revenues of $16.0 billion increased 27%. Treasury and trade solutions (TTS) revenues of $12.2 billion increased 32%, driven by 46% growth in net interest income and 10% growth in non-interest revenue. The strong performance in TTS was driven by the benefit of higher interest rates, as well as business actions, including balance sheet optimization and managing deposit pricing, deepening of relationships with existing clients and an increase in new clients across segments. Securities services revenues of $3.9 billion increased 15%, as net interest income increased 59%, driven by higher interest rates across currencies, as well as the impact of foreign exchange translation, partially offset by a 1% decrease in non-interest revenue due to the impact of lower global financial markets.

Markets revenues of $19.1 billion increased 7% versus the prior year, largely driven by Fixed income markets, partially offset by lower client activity levels in Equity markets, as well as business actions to reduce RWA. Fixed income markets revenues of $14.6 billion increased 13%, driven by strength in rates and currencies. Equity markets revenues of $4.6 billion were down 9%, largely reflecting reduced client activity in equity derivatives versus the prior year.

Banking revenues of $6.1 billion decreased 35%, including the gain on loan hedges in the current year and loss on loan hedges in the prior year. Excluding the gain and loss on loan hedges, Banking revenues of $5.8 billion decreased 39%, driven by lower revenues in Investment banking and Corporate lending. Investment banking revenues of $3.1 billion decreased 53%, as heightened macroeconomic uncertainty and volatility continued to impact client activity. Excluding the gain and loss on loan hedges, Corporate lending revenues decreased 8% versus the prior year, driven by the impact of foreign currency translation, higher cost of funds and higher hedging costs.

For additional information on the results of operations of ICG in 2022, see “Institutional Clients Group” below.

### Personal Banking and Wealth Management

PBWM net income of $3.3 billion decreased 57% versus the prior year, largely driven by a net ACL release in the prior year versus a net ACL build in the current year, as well as higher expenses. PBWM operating expenses of $16.3 billion increased 11%, primarily driven by continued investments in Citi’s transformation, other risk and control initiatives, volume-related expenses and business-led investments, partially offset by productivity savings.

PBWM revenues of $24.2 billion increased 4% versus the prior year, as net interest income growth, driven by strong loan growth across Branded cards and Retail services and higher interest rates, was partially offset by a decline in non-interest revenue, driven by lower investment product revenue in Global Wealth and higher partner payments in Retail services.

U.S. Personal Banking revenues of $16.8 billion increased 7% versus the prior year. Branded cards revenues of $8.9 billion increased 9%, driven by higher net interest income. In Branded cards, new account acquisitions increased 11%, card spend volumes increased 16% and average loans increased 11%. Retail services revenues of $5.5 billion increased 7%,

driven by higher net interest income, partially offset by higher partner payments. Retail banking revenues of $2.5 billion were largely unchanged versus the prior year, as higher interest income and modest deposit growth were offset by lower mortgage revenues due to fewer mortgage originations.

Global Wealth revenues of $7.4 billion decreased 2% versus the prior year, as investment product revenue headwinds, particularly in Asia, more than offset net interest income growth from higher interest rates and higher loan and deposit volumes.

For additional information on the results of operations of PBWM in 2022, see “Personal Banking and Wealth Management” below.

### Legacy Franchises

Legacy Franchises net loss of $12 million compared to net income of $1 million in the prior year, primarily driven by higher cost of credit, partially offset by lower expenses and higher revenues, primarily reflecting the Philippines and Thailand gains on sales in the current year and the Australia loss on sale in the prior year. Legacy Franchises expenses of $7.8 billion decreased 6%, largely driven by the absence of the Korea VERP charge in the prior year and the benefit from closing the five exit markets, partially offset by the $535 million goodwill impairment, an approximate $70 million impairment of long-lived assets related to the Russia consumer banking business and $156 million of other aggregate divestiture-related costs.

Legacy Franchises revenues of $8.5 billion increased 3% versus the prior year, primarily driven by the Philippines and Thailand gains on sale versus the Australia loss on sale in the prior year. Excluding these divestiture-related impacts, revenues decreased 15%, primarily driven by the reduction in revenues from the closings of the five exit markets, as well as the impact of the ongoing Korea and Russia wind-downs.

For additional information on the results of operations of Legacy Franchises in 2022, see “Legacy Franchises” below.

### Corporate/Other

Corporate/Other net income was $879 million, compared to a net loss of $8 million in the prior year, reflecting higher revenue and lower expenses, partially offset by lower income tax benefits, as well as the second quarter of 2022 release of a CTA (cumulative translation adjustment) loss (net of hedges) from Accumulated other comprehensive income (loss) (AOCI) related to the substantial liquidation of a legacy U.K. consumer operation, recorded in discontinued operations. Corporate/Other operating expenses of $953 million decreased 31%, primarily driven by lower consulting expenses and the impact of certain legal settlements.

Corporate/Other revenues of $1.4 billion increased from $0.5 billion in the prior year, driven by higher net interest income, primarily from the investment portfolio, partially offset by lower non-interest revenue, primarily due to the absence of mark-to-market gains in the prior year as well as higher hedging costs.

For additional information on the results of operations of Corporate/Other in 2022, see “Corporate/Other” below.

5

### ***Macroeconomic and Other Risks and Uncertainties***

Various geopolitical and macroeconomic challenges and uncertainties continue to adversely impact economic conditions in the U.S. and globally. The U.S. and other countries have continued to experience significantly elevated levels of inflation, resulting in central banks implementing a series of interest rates increases, with additional increases expected in the near term. In addition to causing a humanitarian crisis, the war in Ukraine continues to disrupt energy and food markets. An economic rebound in China remains uncertain, due to the ongoing impacts from COVID-19, the amount of leverage in its economy and stress in the property sector. These and other factors have adversely affected financial markets, negatively impacted global economic growth rates, contributed to lower consumer confidence and increased the risk of recession in Europe, the U.S. and other countries. These and other factors could adversely affect Citi's customers, clients, businesses, funding costs, expenses and results during 2023.

In addition, Citi could incur a significant loss on sale in 2023, due to CTA losses (net of hedges) in *AOCI*, goodwill write-offs and other *AOCI* loss components, related to the potential signing of a sale agreement for any of its remaining consumer banking divestitures. The majority of these losses would be regulatory capital neutral at closing.

For a further discussion of trends, uncertainties and risks that will or could impact Citi's businesses, results of operations, capital and other financial condition during 2023, see '2022 Results Summary' above and 'Risk Factors,' each respective business's results of operations and 'Managing Global Risk,' including 'Managing Global Risk-Other Risks-Country Risk-Russia,' below.

### **CITI'S CONSENT ORDER COMPLIANCE**

Citi has embarked on a multiyear transformation, with the target outcome to change Citi's business and operating models such that they simultaneously strengthen risk and controls and improve Citi's value to customers, clients and shareholders.

This includes efforts to effectively implement the October 2020 Federal Reserve Board (FRB) and Office of the Comptroller of the Currency (OCC) consent orders issued to Citigroup and Citibank, respectively. In the second quarter of 2021, Citi made an initial submission to the OCC, and submitted its plans to address the consent orders to both regulators during the third quarter of 2021. Citi continues to work constructively with the regulators and provides to both regulators on an ongoing basis additional information regarding its plans and progress. Citi will continue to reflect their feedback in its project plans and execution efforts.

As discussed above, Citi's efforts include continued investments in its transformation, including the remediation of its consent orders. Citi's CEO has made the strengthening of Citi's risk and control environment a strategic priority and has established a Chief Administrative Officer organization to centralize program management. In addition, the Citigroup and Citibank Boards of Directors each formed a Transformation Oversight Committee, an ad hoc committee of each Board, to provide oversight of management's remediation efforts under the consent orders. The Citi Board of Directors has determined that Citi's plans are responsive to the Company's objectives and that progress continues to be made on execution of the plans.

For additional information about the consent orders, see 'Risk Factors-Compliance Risks' below and Citi's Current Report on Form 8-K filed with the SEC on October 7, 2020.

6

This page intentionally left blank.

7

## RESULTS OF OPERATIONS

### SUMMARY OF SELECTED FINANCIAL DATA

*Citigroup Inc. and Consolidated Subsidiaries*

| In millions of dollars, except per share amounts | 2022 | 2021 | 2020 | 2019 | 2018 |
| --- | --- | --- | --- | --- | --- |
| Net interest income | $48,668 | $42,494 | $44,751 | $48,128 | $47,744 |
| Non-interest revenue | 26,670 | 29,390 | 30,750 | 26,939 | 26,292 |
| Revenues, net of interest expense | $75,338 | $71,884 | $75,501 | $75,067 | $74,036 |
| Operating expenses | 51,292 | 48,193 | 44,374 | 42,783 | 43,023 |
| Provisions for credit losses and for benefits and claims | 5,239 | (3,778) | 17,495 | 8,383 | 7,568 |
| Income from continuing operations before income taxes | $18,807 | $27,469 | $13,632 | $23,901 | $23,445 |
| Income taxes | 3,642 | 5,451 | 2,525 | 4,430 | 5,357 |
| Income from continuing operations | $15,165 | $22,018 | $11,107 | $19,471 | $18,088 |
| Income (loss) from discontinued operations, net of taxes | (231) | 7 | (20) | (4) | (8) |
| Net income before attribution of noncontrolling interests | $14,934 | $22,025 | $11,087 | $19,467 | $18,080 |
| Net income attributable to noncontrolling interests | 89 | 73 | 40 | 66 | 35 |
| Citigroup's net income | $14,845 | $21,952 | $11,047 | $19,401 | $18,045 |
| Earnings per share |  |  |  |  |  |
| Basic |  |  |  |  |  |
| Income from continuing operations | $7.16 | $10.21 | $4.75 | $8.08 | $6.69 |
| Net income | 7.04 | 10.21 | 4.74 | 8.08 | 6.69 |
| Diluted |  |  |  |  |  |
| Income from continuing operations | $7.11 | $10.14 | $4.73 | $8.04 | $6.69 |
| Net income | 7.00 | 10.14 | 4.72 | 8.04 | 6.68 |
| Dividends declared per common share | 2.04 | 2.04 | 2.04 | 1.92 | 1.54 |
| Common dividends | $4,028 | $4,196 | $4,299 | $4,403 | $3,865 |
| Preferred dividends (1) | 1,032 | 1,040 | 1,095 | 1,109 | 1,174 |
| Common share repurchases | 3,250 | 7,600 | 2,925 | 17,875 | 14,545 |

Table continues on the next page, including footnotes.

8

# SUMMARY OF SELECTED FINANCIAL DATA

*Citigroup Inc. and Consolidated Subsidiaries*

| In millions of dollars, except per share amounts, ratios and direct staff | 2022 | 2021 | 2020 | 2019 | 2018 |
| --- | --- | --- | --- | --- | --- |
| At December 31: |  |  |  |  |  |
| Total assets | $2,416,676 | $2,291,413 | $2,260,090 | $1,951,158 | $1,917,383 |
| Total deposits | 1,365,954 | 1,317,230 | 1,280,671 | 1,070,590 | 1,013,170 |
| Long-term debt | 271,606 | 254,374 | 271,686 | 248,760 | 231,999 |
| Citigroup common stockholders' equity | 182,194 | 182,977 | 179,962 | 175,262 | 177,760 |
| Total Citigroup stockholders' equity | 201,189 | 201,972 | 199,442 | 193,242 | 196,220 |
| Average assets | 2,396,023 | 2,347,709 | 2,226,454 | 1,978,805 | 1,920,242 |
| Direct staff (in thousands) | 240 | 223 | 210 | 200 | 204 |
| Performance metrics |  |  |  |  |  |
| Return on average assets | 0.62% | 0.94% | 0.50% | 0.98% | 0.94% |
| Return on average common stockholders' equity (2) | 7.7 | 11.5 | 5.7 | 10.3 | 9.4 |
| Return on average total stockholders' equity (2) | 7.5 | 10.9 | 5.7 | 9.9 | 9.1 |
| Return on tangible common equity (RoTCE) (3) | 8.9 | 13.4 | 6.6 | 12.1 | 11.0 |
| Efficiency ratio (total operating expenses/total revenues, net) | 68.1 | 67.0 | 58.8 | 57.0 | 58.1 |
| Basel III ratios |  |  |  |  |  |
| CET1 Capital (4) | 13.03% | 12.25% | 11.51% | 11.79% | 11.86% |
| Tier 1 Capital (4) | 14.80 | 13.91 | 13.06 | 13.33 | 13.43 |
| Total Capital (4) | 15.46 | 16.04 | 15.33 | 15.87 | 16.14 |
| Supplementary Leverage ratio | 5.82 | 5.73 | 6.99 | 6.20 | 6.40 |
| Citigroup common stockholders' equity to assets | 7.54% | 7.99% | 7.96% | 8.98% | 9.27% |
| Total Citigroup stockholders' equity to assets | 8.33 | 8.81 | 8.82 | 9.90 | 10.23 |
| Dividend payout ratio (5) | 29 | 20 | 43 | 24 | 23 |
| Total payout ratio (6) | 53 | 56 | 73 | 122 | 109 |
| Book value per common share | $94.06 | $92.21 | $86.43 | $82.90 | $75.05 |
| Tangible book value (TBV) per share (3) | 81.65 | 79.16 | 73.67 | 70.39 | 63.79 |

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

(2) The return on average common stockholders' equity is calculated using net income less preferred stock dividends divided by average common stockholders' equity. The return on average total Citigroup stockholders' equity is calculated using net income divided by average Citigroup stockholders' equity.

(3) RoTCE and TBV are non-GAAP financial measures. For information on RoTCE and TBV, see 'Capital Resources-Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity' below.

(4) Citi's binding CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach as of December 31, 2022, 2021, 2019 and 2018, and were derived under the Basel III Advanced Approaches framework as of December 31, 2020. Citi's binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented.

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

(6) Total common dividends declared plus common share repurchases as a percentage of net income available to common shareholders (*Net income* less preferred dividends). See 'Consolidated Statement of Changes in Stockholders' Equity,' Note 10 and 'Equity Security Repurchases' below for the component details.

9

## SEGMENT REVENUES AND INCOME (LOSS)

### REVENUES

| In millions of dollars | 2022 | 2021 | 2020 | % Change 2022 vs. 2021 | % Change 2021 vs. 2020 |
| --- | --- | --- | --- | --- | --- |
| Institutional Clients Group | $41,206 | $39,836 | $41,093 | 3% | (3)% |
| Personal Banking and Wealth Management | 24,217 | 23,327 | 25,140 | 4 | (7) |
| Legacy Franchises | 8,472 | 8,251 | 9,454 | 3 | (13) |
| Corporate/Other | 1,443 | 470 | (186) | NM | NM |
| Total Citigroup net revenues | $75,338 | $71,884 | $75,501 | 5% | (5)% |

NM Not meaningful

### INCOME

| In millions of dollars | 2022 | 2021 | 2020 | % Change 2022 vs. 2021 | % Change 2021 vs. 2020 |
| --- | --- | --- | --- | --- | --- |
| Income (loss) from continuing operations |  |  |  |  |  |
| Institutional Clients Group | $10,738 | $14,308 | $10,811 | (25)% | 32% |
| Personal Banking and Wealth Management | 3,319 | 7,734 | 1,322 | (57) | NM |
| Legacy Franchises | (9) | (9) | (142) | - | 94 |
| Corporate/Other | 1,117 | (15) | (884) | NM | 98 |
| Income from continuing operations | $15,165 | $22,018 | $11,107 | (31)% | 98% |
| Discontinued operations | $(231) | $7 | $(20) | NM | NM |
| Less: Net income attributable to noncontrolling interests | 89 | 73 | 40 | 22% | 83% |
| Citigroup's net income | $14,845 | $21,952 | $11,047 | (32)% | 99% |

NM Not meaningful

10

## SEGMENT BALANCE SHEET$^{(1)}$-DECEMBER 31, 2022

| In millions of dollars | Institutional Clients Group | Personal Banking and Wealth Management | Legacy Franchises | Corporate/Other and consolidating eliminations (2) | Citigroup parent company-issued long-term debt and stockholders' equity (3) | Total Citigroup consolidated |
| --- | --- | --- | --- | --- | --- | --- |
| Assets |  |  |  |  |  |  |
| Cash and deposits with banks, net of allowance | $108,289 | $6,411 | $3,251 | $224,074 | $ - | $342,025 |
| Securities borrowed and purchased under agreements to resell, net of allowance | 364,673 | 425 | 303 | - | - | 365,401 |
| Trading account assets | 319,376 | 2,250 | 639 | 11,849 | - | 334,114 |
| Investments, net of allowance | 140,613 | 73 | 1,516 | 384,380 | - | 526,582 |
| Loans, net of unearned income and allowance for credit losses on loans | 279,337 | 324,260 | 36,650 | - | - | 640,247 |
| Other assets, net of allowance | 111,477 | 25,559 | 27,764 | 43,507 | - | 208,307 |
| Net intersegment liquid assets (4) | 406,143 | 134,852 | 26,592 | (567,587) | - | - |
| Total assets | $1,729,908 | $493,830 | $96,715 | $96,223 | $ - | $2,416,676 |
| Liabilities and equity |  |  |  |  |  |  |
| Total deposits | $845,364 | $437,813 | $50,994 | $31,783 | $ - | $1,365,954 |
| Securities loaned and sold under agreements to repurchase | 199,895 | 80 | 2,469 | - | - | 202,444 |
| Trading account liabilities | 168,550 | 1,636 | 258 | 203 | - | 170,647 |
| Short-term borrowings | 34,785 | 2 | 4 | 12,305 | - | 47,096 |
| Long-term debt (3) | 93,219 | 189 | 75 | 11,866 | 166,257 | 271,606 |
| Other liabilities | 99,353 | 14,514 | 27,868 | 15,356 | - | 157,091 |
| Net intersegment funding (lending) (3) | 288,742 | 39,596 | 15,047 | 24,061 | (367,446) | - |
| Total liabilities | $1,729,908 | $493,830 | $96,715 | $95,574 | $(201,189) | $2,214,838 |
| Total stockholders' equity (5) | - | - | - | 649 | 201,189 | 201,838 |
| Total liabilities and equity | $1,729,908 | $493,830 | $96,715 | $96,223 | $ - | $2,416,676 |

(1) The supplemental information presented in the table above reflects Citigroup's consolidated GAAP balance sheet by reportable segment and component. The respective segment information depicts the assets and liabilities managed by each segment.

(2) Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within *Corporate/Other*.

(3) Total stockholders' equity and the majority of long-term debt of Citigroup are reflected on the Citigroup parent company balance sheet (see Notes 18 and 30). Citigroup allocates stockholders' equity and long-term debt to its businesses through intersegment allocations as shown above.

(4) Represents the attribution of Citigroup's liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage ratio (LCR) assumptions.

(5) *Corporate/Other* equity represents noncontrolling interests.

11

# INSTITUTIONAL CLIENTS GROUP

*Institutional Clients Group (ICG)* includes Services, Markets and Banking (for additional information on these businesses, see “Citigroup Operating Segments” above). *ICG* provides corporate, institutional and public sector clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, cash management, trade finance and securities services. *ICG* transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.

*ICG’s* revenue is generated primarily from fees and spreads associated with these activities. *ICG* earns fee income for assisting clients with transactional services and clearing and providing brokerage and investment banking services and other such activities. Such fees are recognized at the point in time when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the trade/execution date or closing of a transaction. Revenue generated from these activities is recorded in *Commissions and fees* and *Investment banking fees*. Revenue is also generated from assets under custody and administration, which is recognized as/when the associated promised service is satisfied, which normally occurs at the point in time the service is requested by the customer and provided by Citi. Revenue generated from these activities is primarily recorded in *Administration and other fiduciary fees*. For additional information on these various types of revenues, see Note 5.

In addition, as a market maker, *ICG* facilitates transactions, including holding product inventory to meet client demand, and earns the differential between the price at which it buys and sells the products. These price differentials and the unrealized gains and losses on the inventory are recorded in *Principal transactions*. Mark-to-market gains and losses on certain credit derivatives (used to economically hedge the corporate loan portfolio) are also recorded in *Principal transactions* (for additional information on *Principal transactions* revenue, see Note 6). *Other* primarily includes realized gains and losses on available-for-sale (AFS) debt securities, gains and losses on equity securities not held in trading accounts and other non-recurring gains and losses. Interest income earned on assets held, less interest paid on long- and short-term debt, secured funding transactions and customers deposits, is recorded as *Net interest income*.

The amount and types of Markets revenues are impacted by a variety of interrelated factors, including market liquidity; changes in market variables such as interest rates, foreign exchange rates, equity prices, commodity prices and credit spreads, as well as their implied volatilities; investor confidence and other macroeconomic conditions. Assuming all other market conditions do not change, increases in client activity levels or bid/offer spreads generally result in increases in revenues. However, changes in market conditions can significantly impact client activity levels, bid/offer spreads and the fair value of product inventory. For example, a decrease in market liquidity may increase bid/offer spreads, decrease client activity levels and widen credit spreads on product inventory positions. *ICG’s* management of the Markets businesses involves daily monitoring and evaluation of the above factors at the trading desk as well as the country level.

In the Markets businesses, client revenues are those revenues directly attributable to client transactions at the time of inception, including commissions, interest or fees earned. Client revenues do not include the results of client facilitation activities (e.g., holding product inventory in anticipation of client demand) or the results of certain economic hedging activities.

*ICG’s* international presence is supported by trading floors in approximately 80 countries and a proprietary network in 95 countries and jurisdictions. As previously disclosed, Citi intends to end nearly all of the institutional banking services it offers in Russia by the end of the first quarter of 2023. Going forward, Citi’s only operations in Russia will be those necessary to fulfill its remaining legal and regulatory obligations. At this time, the estimated cost to be incurred in relation to this action is approximately $80 million (excluding the impact from any portfolio sales), primarily through 2024. For additional information about Citi’s continued efforts to reduce its operations and exposure in Russia, see “*Legacy Franchises*” and “*Managing Global Risk-Other Risks-Country Risk-Russia*” below.

At December 31, 2022, *ICG* had $1.7 trillion in assets and $845 billion in deposits. Securities services managed $22.2 trillion in assets under custody and administration at December 31, 2022, of which Citi provided both custody and administrative services to certain clients related to $1.9 trillion of such assets. Managed assets under trust were $4.0 trillion at December 31, 2022. For additional information on these operations, see “*Administration and Other Fiduciary Fees*” in Note 5.

| In millions of dollars, except as otherwise noted | 2022 | 2021 | 2020 | % Change 2022 vs. 2021 | % Change 2021 vs. 2020 |
| --- | --- | --- | --- | --- | --- |
| Commissions and fees | $4,404 | $4,300 | $3,961 | 2% | 9% |
| Administration and other fiduciary fees | 2,684 | 2,693 | 2,348 | - | 15 |
| Investment banking fees (1) | 3,573 | 6,709 | 4,982 | (47) | 35 |
| Principal transactions | 13,633 | 9,763 | 12,916 | 40 | (24) |
| Other | (999) | 1,372 | 1,136 | NM | 21 |
| Total non-interest revenue | $23,295 | $24,837 | $25,343 | (6)% | (2)% |
| Net interest income (including dividends) | 17,911 | 14,999 | 15,750 | 19 | (5) |
| Total revenues, net of interest expense | $41,206 | $39,836 | $41,093 | 3% | (3)% |
| Total operating expenses (2) | $26,299 | $23,949 | $22,336 | 10% | 7% |

12

| Net credit losses on loans | $ | 152 | $ | 356 | $ | 877 | (57)% | (59)% |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Credit reserve build (release) for loans |  | 478 |  | (2,093) |  | 2,582 | NM | NM |
| Provision (release) for credit losses on unfunded lending commitments |  | 187 |  | (753) |  | 1,390 | NM | NM |
| Provisions for credit losses on HTM debt securities and other assets |  | 94 |  | - |  | 20 | - | 100 |
| Provisions (releases) for credit losses | $ | 911 | $ | (2,490) | $ | 4,869 | NM | NM |
| Income from continuing operations before taxes | $ | 13,996 | $ | 18,377 | $ | 13,888 | (24)% | 32% |
| Income taxes |  | 3,258 |  | 4,069 |  | 3,077 | (20) | 32 |
| Income from continuing operations | $ | 10,738 | $ | 14,308 | $ | 10,811 | (25)% | 32% |
| Noncontrolling interests |  | 79 |  | 83 |  | 50 | (5) | 66 |
| Net income | $ | 10,659 | $ | 14,225 | $ | 10,761 | (25)% | 32% |
| Balance Sheet data (in billions of dollars) |  |  |  |  |  |  |  |  |
| EOP assets | $ | 1,730 | $ | 1,613 | $ | 1,592 | 7% | 1% |
| Average assets |  | 1,716 |  | 1,669 |  | 1,566 | 3 | 7 |
| Efficiency ratio |  | 64% |  | 60% |  | 54% |  |  |
| Average loans by reporting unit (in billions of dollars) |  |  |  |  |  |  |  |  |
| Services | $ | 82 | $ | 75 | $ | 70 | 9% | 7% |
| Banking |  | 196 |  | 196 |  | 217 | - | (10) |
| Markets |  | 13 |  | 16 |  | 11 | (19) | 45 |
| Total | $ | 291 | $ | 287 | $ | 298 | 1% | (4)% |
| Average deposits by reporting unit (in billions of dollars) |  |  |  |  |  |  |  |  |
| TTS | $ | 675 | $ | 670 | $ | 646 | 1% | 4% |
| Securities services |  | 133 |  | 135 |  | 108 | (1) | 25 |
| Services | $ | 808 | $ | 805 | $ | 754 | - % | 7% |
| Markets and Banking |  | 22 |  | 23 |  | 26 | (4) | (12) |
| Total | $ | 830 | $ | 828 | $ | 780 | - % | 6% |

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

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

NM Not meaningful

13

## ICG Revenue Details

| In millions of dollars | 2022 | 2021 | 2020 | % Change 2022 vs. 2021 | % Change 2021 vs. 2020 |
| --- | --- | --- | --- | --- | --- |
| Services |  |  |  |  |  |
| Net interest income | $9,722 | $6,595 | $7,581 | 47% | (13)% |
| Non-interest revenue | 6,300 | 5,987 | 5,165 | 5 | 16 |
| Total Services revenues | $16,022 | $12,582 | $12,746 | 27% | (1)% |
| Net interest income | $8,306 | $5,706 | $6,524 | 46% | (13)% |
| Non-interest revenue | 3,857 | 3,509 | 3,004 | 10 | 17 |
| TTS revenues | $12,163 | $9,215 | $9,528 | 32% | (3)% |
| Net interest income | $1,416 | $889 | $1,057 | 59% | (16)% |
| Non-interest revenue | 2,443 | 2,478 | 2,161 | (1) | 15 |
| Securities services revenues | $3,859 | $3,367 | $3,218 | 15% | 5% |
| Markets |  |  |  |  |  |
| Net interest income | $5,164 | $5,161 | $5,182 | - % | - % |
| Non-interest revenue | 13,949 | 12,715 | 15,932 | 10 | (20) |
| Total Markets revenues (1) | $19,113 | $17,876 | $21,114 | 7% | (15)% |
| Fixed income markets | $14,555 | $12,880 | $17,040 | 13% | (24)% |
| Equity markets | 4,558 | 4,996 | 4,074 | (9) | 23 |
| Total Markets revenues | $19,113 | $17,876 | $21,114 | 7% | (15)% |
| Rates and currencies | $11,743 | $8,793 | $12,057 | 34% | (27)% |
| Spread products / other fixed income | 2,812 | 4,087 | 4,983 | (31) | (18) |
| Total Fixed income markets revenues | $14,555 | $12,880 | $17,040 | 13% | (24)% |
| Banking |  |  |  |  |  |
| Net interest income | $3,025 | $3,243 | $2,987 | (7)% | 9% |
| Non-interest revenue | 3,046 | 6,135 | 4,246 | (50) | 44 |
| Total Banking revenues | $6,071 | $9,378 | $7,233 | (35)% | 30% |
| Investment banking |  |  |  |  |  |
| Advisory | $1,365 | $1,796 | $1,010 | (24)% | 78% |
| Equity underwriting | 611 | 2,249 | 1,423 | (73) | 58 |
| Debt underwriting | 1,133 | 2,586 | 2,173 | (56) | 19 |
| Total Investment banking revenues | $3,109 | $6,631 | $4,606 | (53)% | 44% |
| Corporate lending (excluding gains (losses) on loan hedges) (2) | $2,655 | $2,887 | $2,686 | (8)% | 7% |
| Total Banking revenues (excluding gains (losses) on loan hedges) (2) | $5,764 | $9,518 | $7,292 | (39)% | 31% |
| Gain (loss) on loan hedges (2) | 307 | (140) | (59) | NM | NM |
| Total Banking revenues (including gains (losses) on loan hedges) (2) | $6,071 | $9,378 | $7,233 | (35)% | 30% |
| Total ICG revenues, net of interest expense | $41,206 | $39,836 | $41,093 | 3% | (3)% |

(1) Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate *Net interest income* may be risk managed by derivatives that are recorded in *Principal transactions* revenue within *Non-interest revenue*. For a description of the composition of these revenue line items, see Notes 4, 5 and 6.

(2) Credit derivatives are used to economically hedge a portion of the corporate loan portfolio that includes both accrual loans and loans at fair value. Gain (loss) on loan hedges include the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup's results of operations excluding the impact of gain (loss) on loan hedges are non-GAAP financial measures.

NM Not meaningful

14

*The discussion of the results of operations for ICG below excludes (where noted) the impact of any gain (loss) on hedges of accrual loans, which are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.*

## **2022 vs. 2021**

*Net income* of $10.7 billion decreased 25%, primarily driven by substantially higher cost of credit and higher expenses, partially offset by higher revenues.

*Revenues* increased 3% (including gain (loss) on loan hedges), primarily reflecting higher Services and Markets revenues, partially offset by lower Banking revenues. Services revenues were up 27%, driven by higher revenues in both TTS and Securities services. Markets revenues were up 7%, primarily driven by higher Fixed income markets revenues, partially offset by lower Equity markets revenues and the impact of business actions taken to reduce RWA.

Banking revenues were down 35% (39% excluding the impact of gain (loss) on loan hedges), reflecting lower revenues in both Investment banking and Corporate lending.

Citi expects that revenues in its Markets and Investment banking businesses will continue to reflect the overall market environment during 2023.

### **Within Services:**

- TTS revenues increased 32%, driven by 46% growth in net interest income and 10% growth in non-interest revenue, driven by deepening of existing client relations and gaining new clients across segments. The increase in net interest income was driven by both the cash and trade businesses, reflecting benefits from higher interest rates, balance sheet optimization, higher average deposits and higher average loans. Average deposits grew 1%, as volume growth was partially offset by the impact of foreign exchange translation. Average loans grew 11%, primarily driven by the strength in trade flows in Asia and Latin America, partially offset by loan sales in North America. Strong non-interest revenues growth across both cash and trade businesses reflected client engagement and growth from underlying drivers, including higher U.S. dollar clearing volumes (up 2%), cross-border flows (up 11%) and commercial card spend (up 49%).
- Securities services revenues increased 15%, primarily driven by an increase in net interest income, reflecting higher interest rates across currencies as well as the impact of foreign exchange translation. Non-interest revenues decreased 1%, due to the impact of foreign exchange translation and lower fees in the custody business tied to lower assets under custody and administration (decline of 7%), driven by declines in global financial markets. The decline in non-interest revenues was partially offset by continued elevated levels of corporate activity in issuer services and new client onboarding of $1.2 trillion in assets under custody and administration. Average deposits declined 7%, due to clients seeking higher rate alternatives.

### **Within Markets:**

- Fixed income markets revenues increased 13%, driven by growth in rates and currencies across all regions, due to strong corporate and investor client engagement, partially

offset by a decline in spread products, primarily driven by North America.

- Rates and currencies revenues increased 34%, reflecting increased market volatility, driven by rising interest rates and quantitative tightening, as central banks responded to elevated levels of inflation. Spread products and other fixed income revenues decreased 31%, due to continued lower client activity across spread products and a challenging credit market due to widening spreads for most of the year. The decline in spread products and other fixed income revenues was partially offset by strength in commodities, particularly with corporate clients, as the business assisted those clients in managing risk associated with the increased volatility.
- Equity markets revenues decreased 9%, driven by equity derivatives, primarily reflecting lower activity by both corporate and institutional clients compared to a strong prior year. The lower revenues also reflected a decline in equity cash, driven by lower client activity.

### **Within Banking:**

- Investment banking revenues were down 53%, reflecting a significant decline in the overall market wallet and loss in wallet share, as heightened macroeconomic uncertainty and volatility continued to impact client activity. Advisory revenues decreased 24%, reflecting a decline in North America and EMEA, driven by the decline in the market wallet as well as loss in wallet share. Equity and debt underwriting revenues decreased 73% and 56% respectively, reflecting a decline in North America, EMEA and Asia and driven by the decline in the market wallet as well as wallet share loss. The decline in debt underwriting revenues also reflected markdowns on loan commitments and losses on loan sales.
- Corporate lending revenues increased 8%, including the impact of gain (loss) on loan hedges. Excluding the impact of gain (loss) on loan hedges, revenues decreased 8%, primarily driven by the impacts of foreign currency translation, higher cost of funds and higher hedging costs.

*Expenses* were up 10%, primarily driven by continued investment in Citi's transformation, business-led investments and volume-related expenses, partially offset by a Revlon-related wire transfer recovery, the impact of foreign exchange translation and productivity savings.

*Provisions* were $911 million, compared to a benefit of $2.5 billion in the prior year, driven by an ACL build, partially offset by lower net credit losses.

Net credit losses declined to $152 million, compared to $356 million in the prior year, driven by improvements in portfolio credit quality.

The ACL build was $759 million, compared to a release of $2.8 billion in the prior year. The ACL build was primarily driven by a deterioration in macroeconomic assumptions. For additional information on Citi's ACL, see "Significant Accounting Policies and Significant Estimates" below.

15

For additional information on *ICG*'s corporate credit portfolio, see 'Managing Global Risk-Credit Risk-Corporate Credit' below.

For additional information on trends in *ICG*'s deposits and loans, see 'Managing Global Risk-Liquidity Risk-Loans' and '-Deposits' below.

For additional information about trends, uncertainties and risks related to *ICG*'s future results, see 'Executive Summary' above and 'Risk Factors' and 'Managing Global Risk-Other Risks-Country Risk-Argentina' and '-Russia' below.

16

This page intentionally left blank.

17

## PERSONAL BANKING AND WEALTH MANAGEMENT

*Personal Banking and Wealth Management (PBWM)* consists of U.S. Personal Banking and Global Wealth Management (Global Wealth). U.S. Personal Banking includes Retail banking, which provides traditional banking services to retail and small business customers. U.S. Personal Banking's cards portfolio includes the following proprietary portfolios: Cash, Rewards and Value portfolios and co-branded cards (including, among others, American Airlines and Costco) within Branded cards, and co-brand and private label relationships (including, among others, The Home Depot, Best Buy, Sears and Macy's) within Retail services. Global Wealth includes Private bank, Wealth at Work and Citigold and provides financial services to clients from affluent to ultra-high-net-worth through banking, lending, mortgages, investment, custody and trust product offerings in 20 countries, including the U.S., Mexico and four wealth management centers: Singapore, Hong Kong, the UAE and London.

At December 31, 2022, U.S. Personal Banking had 654 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Los Angeles, San Francisco, Miami and Washington, D.C. U.S. Personal Banking had $151 billion in outstanding credit card balances, $113 billion in deposits and $37 billion in retail banking loans.

At December 31, 2022, Global Wealth had $325 billion in deposits, $84 billion in mortgage loans, $61 billion in personal and small business loans and $5 billion in outstanding credit card balances.

| In millions of dollars, except as otherwise noted | 2022 | 2021 | 2020 | % Change 2022 vs. 2021 | % Change 2021 vs. 2020 |
| --- | --- | --- | --- | --- | --- |
| Net interest income | $22,656 | $20,646 | $22,326 | 10% | (8)% |
| Non-interest revenue | 1,561 | 2,681 | 2,814 | (42) | (5) |
| Total revenues, net of interest expense | $24,217 | $23,327 | $25,140 | 4% | (7)% |
| Total operating expenses | $16,258 | $14,610 | $13,599 | 11% | 7% |
| Net credit losses on loans | $3,021 | $3,061 | $5,229 | (1)% | (41)% |
| Credit reserve build (release) for loans | 707 | (4,284) | 4,613 | NM | NM |
| Provision (release) for credit losses on unfunded lending commitments | 11 | (16) | 26 | NM | NM |
| Provisions for benefits and claims (PBC), and other assets | 15 | 15 | 17 | - | (12) |
| Provisions (release) for credit losses and PBC | $3,754 | $(1,224) | $9,885 | NM | NM |
| Income from continuing operations before taxes | $4,205 | $9,941 | $1,656 | (58)% | NM |
| Income taxes | 886 | 2,207 | 334 | (60) | NM |
| Income from continuing operations | $3,319 | $7,734 | $1,322 | (57)% | NM |
| Noncontrolling interests | - | - | - | - | - % |
| Net income | $3,319 | $7,734 | $1,322 | (57)% | NM |
| Balance Sheet data (in billions of dollars) |  |  |  |  |  |
| EOP assets | $494 | $464 | $453 | 6% | 2% |
| Average assets | 476 | 467 | 454 | 2 | 3 |
| Average loans | 321 | 307 | 304 | 5 | 1 |
| Average deposits | 435 | 417 | 358 | 4 | 16 |
| Efficiency ratio | 67% | 63% | 54% |  |  |
| Net credit losses as a percentage of average loans | 0.94 | 1.00 | 1.72 |  |  |
| Revenue by reporting unit and component |  |  |  |  |  |
| Branded cards | $8,892 | $8,190 | $8,799 | 9% | (7)% |
| Retail services | 5,450 | 5,082 | 5,965 | 7 | (15) |
| Retail banking | 2,501 | 2,506 | 2,790 | - | (10) |
| U.S. Personal Banking | $16,843 | $15,778 | $17,554 | 7% | (10)% |
| Private bank | $2,762 | $2,943 | $2,882 | (6)% | 2% |
| Wealth at Work | 730 | 691 | 677 | 6 | 2 |
| Citigold | 3,882 | 3,915 | 4,027 | (1) | (3) |
| Global Wealth | $7,374 | $7,549 | $7,586 | (2)% | - % |
| Total | $24,217 | $23,327 | $25,140 | 4% | (7)% |

NM Not meaningful

18

## 2022 vs. 2021

*Net income* was $3.3 billion, compared to $7.7 billion in the prior year, reflecting significantly higher cost of credit and higher expenses, partially offset by higher revenues.

*Revenues* increased 4%, primarily due to higher net interest income, driven by strong loan growth in Branded cards and Retail services and higher interest rates. The increase was partially offset by lower non-interest revenue, reflecting lower investment product revenue in Global Wealth and higher partner payments in Retail services resulting from higher revenues.

U.S. Personal Banking revenues increased 7%, reflecting higher revenues in cards.

Cards revenues increased 8%. Branded cards revenues increased 9%, primarily driven by higher net interest income on higher loan balances. Branded cards new account acquisitions increased 11% and card spend volume increased 16%. Average loans increased 11%, reflecting the higher card spend volumes.

Retail services revenues increased 7%, primarily driven by higher net interest income on higher loan balances and lower payment rates, partially offset by the increase in partner payments. The increase in partner payments reflected higher income sharing as a result of higher revenues (for additional information on partner payments, see Note 5). Retail services credit card spend volume increased 8% and average loans increased 6%, reflecting the higher card spend volumes.

Retail banking revenues were largely unchanged, as the higher interest rates and modest deposit growth were offset by lower mortgage revenues due to fewer mortgage originations, driven by the higher interest rates. Average deposits increased 3%, largely reflecting higher levels of consumer liquidity in the first half of 2022.

Global Wealth revenues decreased 2%, reflecting investment product revenue headwinds, particularly in Asia, driven by overall market volatility, partially offset by net interest income growth, driven by higher interest rates and higher loan and deposit volumes. Average loans increased 2% and average deposits increased 5%. Client assets decreased 8%, primarily driven by declines in equity market valuations. Global Wealth advisors increased 4% during 2022. Private bank revenues decreased 6%, Citigold revenues decreased 1% and Wealth at Work revenues increased 6%.

*Expenses* increased 11%, primarily driven by continued investments in Citi’s transformation, other risk and control initiatives, volume-related expenses and business-led investments, partially offset by productivity savings.

*Provisions* were $3.8 billion, compared to a benefit of $1.2 billion in the prior year, largely driven by a net ACL build. Net credit losses decreased 1%, driven by historically low loss rates experienced in the first half of 2022, followed by the ongoing normalization of losses toward pre-pandemic levels, particularly in Retail services (net credit losses up 7% to $1.3 billion). Branded cards net credit losses declined 17% to $1.4 billion.

The net ACL build was $0.7 billion, compared to a net release of $4.3 billion in the prior year, primarily driven by U.S. Cards loan growth and a deterioration in macroeconomic assumptions. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on U.S. Personal Banking’s Retail banking, and its Branded cards and Retail services portfolios, see “Credit Risk-Consumer Credit” below.

For additional information about trends, uncertainties and risks related to *PBWM*’s future results, see “Executive Summary” above and “Risk Factors” below.

19

# LEGACY FRANCHISES

As of December 31, 2022, *Legacy Franchises* included (i) Asia Consumer Banking (Asia Consumer), representing the consumer banking operations of the remaining eight Asia and EMEA exit countries; (ii) Mexico Consumer Banking (Mexico Consumer) and Mexico Small Business and Middle-Market Banking (Mexico SBMM), collectively Mexico Consumer/SBMM, which Citi also plans to exit; and (iii) Legacy Holdings Assets (certain North America consumer mortgage loans and other legacy assets). Asia Consumer provides traditional retail banking and branded card products to retail and small business customers. Mexico Consumer/SBMM provides traditional retail banking and branded card products to consumers and small business customers and traditional middle-market banking products and services to commercial customers through Citibanamex.

*Legacy Franchises* also included the following consumer banking businesses prior to their sale: Australia, until its closing on June 1, 2022; the Philippines, until its closing on August 1, 2022; Thailand and Malaysia, until their closings on November 1, 2022; and Bahrain, until its closing on December 1, 2022. In addition, Citi has entered into agreements to sell its consumer banking businesses in India, Indonesia, Taiwan and Vietnam, and announced its wind-down of consumer banking operations in Korea and China and consumer banking and local commercial banking operations in Russia (see below). In December 2022, Citi announced the pursuit of sales of portfolios within its China consumer banking business, subject to applicable regulations. See Note 2 for additional information on *Legacy Franchises'* consumer banking business sales and wind-downs.

As previously disclosed, Citi announced the wind-down of its consumer banking and local commercial banking operations in Russia, including its active pursuit of sales of certain Russia consumer banking portfolios. In connection with this wind-down plan, Citi expects to incur approximately $110 million in costs (excluding the impact from any portfolio sales), primarily through 2024, largely driven by restructuring, vendor termination fees and other related charges. In December 2022, Citi (i) sold a portfolio of ruble-denominated personal installment loans, totaling approximately $240 million in outstanding loan balances as of the fourth quarter of 2022 and (ii) entered into a referral agreement to settle a portfolio of ruble-denominated credit card loans, subject to customer consents; the outstanding card loans balance was approximately $219 million as of the fourth quarter of 2022. For additional information about Citi's continued efforts to reduce its operations and exposure in Russia, see '*Institutional Clients Group*' above and 'Risk Factors' and 'Managing Global Risk-Other Risks-Country Risk-Russia' below.

At December 31, 2022, on a combined basis, *Legacy Franchises* had 1,438 retail branches, $23 billion in retail banking loans and $51 billion in deposits. In addition, the businesses had $8 billion in outstanding card loan balances, and Mexico SBMM had $7 billion in outstanding corporate loan balances. These amounts exclude approximately $12 billion of loans ($9 billion of retail banking loans and $3 billion of credit card loan balances) and approximately $16 billion of deposits, all of which were reclassified to *Other assets* and *Other liabilities* held-for-sale (HFS) as a result of Citi's agreements to sell its consumer banking businesses in India, Indonesia, Taiwan and Vietnam. See Note 2 for additional information.

20

| In millions of dollars, except as otherwise noted | 2022 | 2021 | 2020 | % Change 2022 vs. 2021 | % Change 2021 vs. 2020 |
| --- | --- | --- | --- | --- | --- |
| Net interest income | $5,691 | $6,250 | $6,973 | (9)% | (10)% |
| Non-interest revenue | 2,781 | 2,001 | 2,481 | 39 | (19) |
| Total revenues, net of interest expense | $8,472 | $8,251 | $9,454 | 3% | (13)% |
| Total operating expenses | $7,782 | $8,259 | $6,890 | (6)% | 20% |
| Net credit losses on loans | $616 | $1,478 | $1,505 | (58)% | (2)% |
| Credit reserve build (release) for loans | (229) | (1,621) | 1,116 | 86 | NM |
| Provision (release) for credit losses on unfunded lending commitments | 93 | (19) | 30 | NM | NM |
| Provisions for benefits and claims (PBC), HTM debt securities and other assets | 91 | 100 | 88 | (9) | 14 |
| Provisions (releases) for credit losses and PBC | $571 | $(62) | $2,739 | NM | NM |
| Income (loss) from continuing operations before taxes | $119 | $54 | $(175) | NM | NM |
| Income taxes | 128 | 63 | (33) | NM | NM |
| Income (loss) from continuing operations | $(9) | $(9) | $(142) | - % | 94% |
| Noncontrolling interests | 3 | (10) | (6) | NM | (67) |
| Net income (loss) | $(12) | $1 | $(136) | NM | 101% |
| Balance Sheet data (in billions of dollars) |  |  |  |  |  |
| EOP assets | $97 | $125 | $131 | (22)% | (5)% |
| Average assets | 110 | 127 | 128 | (13) | (1) |
| EOP loans | 38 | 65 | 84 | (42) | (23) |
| EOP deposits | 51 | 76 | 90 | (33) | (16) |
| Efficiency ratio | 92% | 100% | 73% |  |  |
| Revenue by reporting unit and component |  |  |  |  |  |
| Asia Consumer | $3,811 | $3,405 | $4,311 | 12% | (21)% |
| Mexico Consumer/SBMM | 4,751 | 4,651 | 4,885 | 2 | (5) |
| Legacy Holdings Assets | (90) | 195 | 258 | NM | (24) |
| Total | $8,472 | $8,251 | $9,454 | 3% | (13)% |

NM Not meaningful

21

## 2022 vs. 2021

*Net loss* was $12 million, compared to net income of $1 million in the prior year, primarily driven by higher cost of credit, partially offset by lower expenses and higher revenues.

Results for 2022 included divestiture-related impacts of approximately $87 million (approximately $(180) million after-tax), which primarily consisted of (i) an approximate $618 million Philippines gain on sale recorded in revenues, (ii) an approximate $209 million Thailand gain on sale recorded in revenues, (iii) an approximate $(64) million incremental Australia consumer banking loss on sale recorded in revenues, (iv) an approximate $535 million goodwill impairment recorded in expenses and (v) an approximate $156 million of other aggregate divestiture-related costs.

Results for 2021 included divestiture-related impacts of approximately $(1.9) billion (approximately $(1.6) billion after-tax), which primarily consisted of (i) an approximate $(694) million Australia loss on sale recorded in revenues, (ii) an approximate $1.1 billion related to charges incurred from the voluntary early retirement program (VERP) in connection with the wind-down of the Korea consumer banking business recorded in expenses and (iii) contract modification costs related to the Asia divestitures of approximately $119 million recorded in expenses.

*Revenues* increased 3%, primarily driven by higher revenues in Asia Consumer and Mexico Consumer/SBMM, partially offset by lower Legacy Holdings Assets revenues.

Asia Consumer revenues increased 12%, primarily driven by the Philippines and Thailand gains on sale, versus the Australia loss on sale in the prior year, partially offset by the loss of revenues from the closing of the five exit markets and impacts of the ongoing Korea and Russia wind-downs.

Mexico Consumer/SBMM revenues increased 2%, as cards revenues in Mexico Consumer increased 7% and SBMM revenues increased 9%, primarily due to higher interest rates and higher deposit and loan growth. The increase in revenues was partially offset by a 1% decrease in retail banking revenues, primarily driven by lower fiduciary fees reflecting declines in equity market valuations.

Legacy Holdings Assets revenues of $(90) million decreased from $195 million in the prior year, largely driven by a CTA loss (net of hedges) recorded in *AOCI* in the second quarter of 2022, related to the substantial liquidation of a legacy U.K. consumer operation (for additional information, see “*Corporate/Other*” below and Note 2), as well as the continued wind-down of Legacy Holdings Assets.

*Expenses* decreased 6%, primarily driven by the absence of the $1.2 billion divestiture-related costs in the prior year, including the Korea VERP of approximately $1.1 billion and contract modification costs related to Asia divestiture markets of approximately $119 million, and the benefit from the closing of the five exit markets. The decline was partially offset by an approximate $535 million goodwill impairment in the first quarter of 2022, an approximate $70 million impairment of long-lived assets related to the Russia consumer banking business in the second quarter of 2022 and approximately $156 million of other aggregate divestiture-related costs.

*Provisions* were $571 million, compared to a benefit of $62 million in the prior year, primarily driven by a lower net ACL release, partially offset by lower net credit losses. Net credit losses decreased 58%, primarily reflecting improved delinquencies in both Asia Consumer and Mexico Consumer and the reclassification of loans and net credit losses to reflect HFS accounting as a result of the signing of sale agreements for the aforementioned consumer banking businesses in Asia Consumer.

The net ACL release was $136 million, compared to a net release of $1.6 billion in the prior year. The continued release primarily reflected further improvement in portfolio credit quality. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information about trends, uncertainties and risks related to *Legacy Franchises’* future results, see “Executive Summary” above and “Risk Factors” and “Managing Global Risk-Other Risks-Country Risk-Russia” below.

22

## CORPORATE/OTHER

Activities not assigned to the operating segments (*ICG*, *PBWM* and *Legacy Franchises*) are included in *Corporate/Other*. *Corporate/Other* included certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance-related costs), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as results of Corporate Treasury investment activities and discontinued operations. At December 31, 2022, *Corporate/Other* had $96 billion in assets, primarily related to the investment securities.

| In millions of dollars | 2022 | 2021 | 2020 | % Change 2022 vs. 2021 | % Change 2021 vs. 2020 |
| --- | --- | --- | --- | --- | --- |
| Net interest income | $2,410 | $599 | $(298) | NM | NM |
| Non-interest revenue | (967) | (129) | 112 | NM | NM |
| Total revenues, net of interest expense | $1,443 | $470 | $(186) | NM | NM |
| Total operating expenses | $953 | $1,375 | $1,549 | (31)% | (11)% |
| Provisions (releases) for HTM debt securities and other assets | $3 | $(2) | $2 | NM | NM |
| Income (loss) from continuing operations before taxes | $487 | $(903) | $(1,737) | NM | 48% |
| Income taxes (benefits) | (630) | (888) | (853) | 29% | (4) |
| Income (loss) from continuing operations | $1,117 | $(15) | $(884) | NM | 98% |
| Income (loss) from discontinued operations, net of taxes | (231) | 7 | (20) | NM | NM |
| Net income (loss) before attribution of noncontrolling interests | $886 | $(8) | $(904) | NM | 99% |
| Noncontrolling interests | 7 | - | (4) | - % | 100 |
| Net income (loss) | $879 | $(8) | $(900) | NM | 99% |

NM Not meaningful

### 2022 vs. 2021

*Net income* was $879 million, compared to a net loss of $8 million in the prior year, reflecting higher revenues and lower expenses, partially offset by lower income tax benefits and a second quarter of 2022 release of a CTA loss (net of hedges) from *AOCI*, recorded in discontinued operations, related to the substantial liquidation of a U.K. consumer legacy operation (for additional information, see “*Legacy Franchises*” above and Note 2).

*Revenues* were $1.4 billion, compared to $470 million in the prior year, driven by higher net interest income, partially offset by lower non-interest revenue. The higher net interest income was primarily due to the investment portfolio driven by higher balances, higher interest rates and lower mortgage-backed securities prepayments, partially offset by higher cost of funds related to higher institutional certificates of deposit. The lower non-interest revenue was primarily due to the absence of mark-to-market gains in the prior year as well as higher hedging costs.

*Expenses* decreased 31%, primarily driven by lower consulting expenses and the impact of certain legal settlements.

For additional information about trends, uncertainties and risks related to *Corporate/Other*’s future results, see “Executive Summary” above and “Risk Factors” below.

23

# CAPITAL RESOURCES

## Overview

Capital is used principally to support assets in Citi's businesses and to absorb potential losses, including credit, market and operational losses. Citi primarily generates capital through earnings from its operating businesses. Citi may augment its capital through issuances of common stock and noncumulative perpetual preferred stock, among other issuances. Further, Citi's capital levels may also be affected by changes in accounting and regulatory standards, as well as the impact of future events on Citi's business results, such as the signing or closing of divestitures and changes in interest and foreign exchange rates.

During 2022, Citi returned a total of $7.3 billion of capital to common shareholders in the form of $4.0 billion in dividends and $3.3 billion in share repurchases totaling approximately 56 million common shares. Citi has continued to pause common share repurchases in order to absorb any temporary capital impacts related to any potential signing of a sale agreement for its Mexico Consumer and Small Business and Middle-Market Banking (Mexico Consumer/SBMM) business (for additional information, see 'Executive Summary-Macroeconomic and Other Risks and Uncertainties' above) and to continue to have ample capital to serve its clients. For additional information on capital-related trends, uncertainties and risks related to Citi's exit businesses, including the impact of CTA losses, see 'Executive Summary' above and 'Risk Factors-Strategic Risks' and '-Operational Risks' below.

## Capital Management

Citi's capital management framework is designed to ensure that Citigroup and its principal subsidiaries maintain sufficient capital consistent with each entity's respective risk profile, management targets and all applicable regulatory standards and guidelines. Citi assesses its capital adequacy against a series of internal quantitative capital goals, designed to evaluate its capital levels in expected and stressed economic environments. Underlying these internal quantitative capital goals are strategic capital considerations, centered on preserving and building financial strength.

The Citigroup Capital Committee, with oversight from the Risk Management Committee of Citigroup's Board of Directors, has responsibility for Citi's aggregate capital structure, including the capital assessment and planning process, which is integrated into Citi's capital plan. Balance sheet management, including oversight of capital adequacy, for Citigroup and its subsidiaries is governed by each entity's Asset and Liability Committee, where applicable.

For additional information regarding Citi's capital planning and stress testing exercises, see 'Stress Testing Component of Capital Planning' below.

## Current Regulatory Capital Standards

Citi is subject to regulatory capital rules issued by the Federal Reserve Board (FRB), in coordination with the OCC and FDIC, including the U.S. implementation of the Basel III rules (for information on potential changes to the Basel III rules, see 'Basel III Revisions' below). These rules establish an

integrated capital adequacy framework, encompassing both risk-based capital ratios and leverage ratios.

## Risk-Based Capital Ratios

The U.S. Basel III rules set forth the composition of regulatory capital (including the application of regulatory capital adjustments and deductions), as well as two comprehensive methodologies (a Standardized Approach and Advanced Approaches) for measuring total risk-weighted assets.

Total risk-weighted assets under the Standardized Approach include credit and market risk-weighted assets, which are generally prescribed supervisory risk weights. Total risk-weighted assets under the Advanced Approaches, which are primarily model based, include credit, market and operational risk-weighted assets. As a result, credit risk-weighted assets calculated under the Advanced Approaches are more risk sensitive than those calculated under the Standardized Approach. Market risk-weighted assets are currently calculated on a generally consistent basis under both the Standardized and Advanced Approaches. The Standardized Approach does not include operational risk-weighted assets.

Under the U.S. Basel III rules, Citigroup is required to maintain several regulatory capital buffers above the stated minimum capital requirements to avoid certain limitations on capital distributions and discretionary bonus payments to executive officers. Accordingly, for the fourth quarter of 2022, Citigroup's required regulatory CET1 Capital ratio was 11.5% under the Standardized Approach (incorporating its Stress Capital Buffer of 4.0% and GSIB (global systemically important bank) surcharge of 3.0%) and 10.0% under the Advanced Approaches (inclusive of the fixed 2.5% Capital Conservation Buffer and GSIB surcharge of 3.0%).

In addition, commencing January 1, 2023, Citi's GSIB surcharge increased from 3.0% to 3.5%, which is applicable to both the Standardized and Advanced Approaches, resulting in a required CET1 Capital ratio of 12.0% under the Standardized Approach and 10.5% under the Advanced Approaches, both as of such date (for additional information, see 'GSIB Surcharge' below).

Similarly, Citigroup's primary subsidiary, Citibank, N.A. (Citibank), is required to maintain minimum regulatory capital ratios plus applicable regulatory buffers, as well as hold sufficient capital to be considered 'well capitalized' under the Prompt Corrective Action framework. In effect, Citibank's required CET1 Capital ratio was 7.0% under both the Standardized and Advanced Approaches, which is the sum of the minimum 4.5% CET1 requirement and a fixed 2.5% Capital Conservation Buffer. For additional information, see 'Regulatory Capital Buffers' and 'Prompt Corrective Action Framework' below.

Further, the U.S. Basel III rules implement the 'capital floor provision' of the Dodd-Frank Act (the so-called 'Collins Amendment'), which requires banking organizations to calculate 'generally applicable' capital requirements. As a result, Citi must calculate each of the three risk-based capital ratios (CET1 Capital, Tier 1 Capital and Total Capital) under both the Standardized Approach and the Advanced Approaches and comply with the more binding of each of the resulting risk-based capital ratios.

24

### **Tier 1 Leverage Ratio**

Under the U.S. Basel III rules, Citigroup is also required to maintain a minimum Tier 1 Leverage ratio of 4.0%. Similarly, Citibank is required to maintain a minimum Tier 1 Leverage ratio of 5.0% to be considered “well capitalized” under the Prompt Corrective Action framework. The Tier 1 Leverage ratio, a non-risk-based measure of capital adequacy, is defined as Tier 1 Capital as a percentage of quarterly adjusted average total assets less amounts deducted from Tier 1 Capital.

### **Supplementary Leverage Ratio**

Citi is also required to calculate a Supplementary Leverage ratio (SLR), which differs from the Tier 1 Leverage ratio by including certain off-balance sheet exposures within the denominator of the ratio (Total Leverage Exposure). The SLR represents end-of-period Tier 1 Capital to Total Leverage Exposure. Total Leverage Exposure is defined as the sum of (i) the daily average of on-balance sheet assets for the quarter and (ii) the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter, less applicable Tier 1 Capital deductions. Advanced Approaches banking organizations are required to maintain a stated minimum SLR of 3.0%.

Further, U.S. GSIBs, including Citigroup, are subject to a 2.0% leverage buffer in addition to the 3.0% stated minimum SLR requirement, resulting in a 5.0% SLR. If a U.S. GSIB fails to exceed this requirement, it will be subject to increasingly stringent restrictions (depending upon the extent of the shortfall) on capital distributions and discretionary executive bonus payments.

Similarly, Citibank is required to maintain a minimum SLR of 6.0% to be considered “well capitalized” under the Prompt Corrective Action framework.

### **Regulatory Capital Treatment-Modified Transition of the Current Expected Credit Losses Methodology**

In 2020, the U.S. banking agencies issued a final rule that modified the regulatory capital transition provision related to the current expected credit losses (CECL) methodology. The rule does not have any impact on U.S. GAAP accounting.

The rule permitted banks to delay for two years the “Day One” adverse regulatory capital effects resulting from adoption of the CECL methodology on January 1, 2020 until January 1, 2022, followed by a three-year transition to phase out the regulatory capital benefit provided by the delay.

In addition, for the ongoing impact of CECL, the agencies utilized a 25% scaling factor as an approximation of the increased reserve build under CECL compared to the previous incurred loss model and, therefore, allowed banks to add back to CET1 Capital an amount equal to 25% of the change in CECL-based allowances in each quarter between January 1, 2020 and December 31, 2021. Beginning January 1, 2022, the cumulative 25% change in CECL-based allowances between January 1, 2020 and December 31, 2021 started to be phased in to regulatory capital (i) at 25% per year on January 1 of each year over the three-year transition period and (ii) along with the delayed Day One impact.

Citigroup and Citibank elected the modified CECL transition provision provided by the rule. Accordingly, the Day One regulatory capital effects resulting from adoption of

the CECL methodology, as well as the ongoing adjustments for 25% of the change in CECL-based allowances in each quarter between January 1, 2020 and December 31, 2021, started to be phased in on January 1, 2022 and will be fully reflected in Citi’s regulatory capital as of January 1, 2025.

As of December 31, 2022, Citigroup’s reported CET1 Capital ratio of 13.0% benefited from the deferrals of the CECL transition provision by 24 basis points. For additional information on Citigroup’s and Citibank’s regulatory capital ratios excluding the impact of the CECL transition provision, see “Capital Resources (Full Adoption of CECL)” below.

### **Regulatory Capital Buffers**

Citigroup and Citibank are required to maintain several regulatory capital buffers above the stated minimum capital requirements. These capital buffers would be available to absorb losses in advance of any potential impairment of regulatory capital below the stated minimum regulatory capital ratio requirements.

Banking organizations that fall below their regulatory capital buffers are subject to limitations on capital distributions and discretionary bonus payments to executive officers based on a percentage of “Eligible Retained Income” (ERI), with increasing restrictions based upon the severity of the breach. ERI is equal to the greater of (i) the bank’s net income for the four calendar quarters preceding the current calendar quarter, net of any distributions and tax effects not already reflected in net income, and (ii) the average of the bank’s net income for the four calendar quarters preceding the current calendar quarter.

As of December 31, 2022, Citi’s regulatory capital ratios exceeded the regulatory capital requirements. Accordingly, Citi is not subject to payout limitations as a result of the U.S. Basel III requirements.

### **Stress Capital Buffer**

Citigroup is subject to the FRB’s Stress Capital Buffer (SCB) rule, which integrates the annual stress testing requirements with ongoing regulatory capital requirements. The SCB equals the peak-to-trough CET1 Capital ratio decline under the Supervisory Severely Adverse scenario over a nine-quarter period used in the Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST), plus four quarters of planned common stock dividends, subject to a floor of 2.5%. SCB-based capital requirements are reviewed and updated annually by the FRB as part of the CCAR process. For additional information regarding CCAR and DFAST, see “Stress Testing Component of Capital Planning” below. The fixed 2.5% Capital Conservation Buffer will continue to apply under the Advanced Approaches (for additional information, see below).

In August 2022, the FRB finalized and announced Citi’s SCB requirement of 4.0% for the four-quarter window starting from October 1, 2022 to September 30, 2023.

Accordingly, as of October 1, 2022, Citi is required to maintain an 11.5% required regulatory CET1 Capital ratio under the Standardized Approach, incorporating this SCB and its GSIB surcharge of 3.0%. Previously, from October 1, 2021 through September 30, 2022, Citi had been subject to a 3.0% SCB, and a 10.5% required regulatory CET1 Capital ratio

25

under the Standardized Approach. Citi's required regulatory CET1 Capital ratio under the Advanced Approaches (using the fixed 2.5% Capital Conservation Buffer) remains unchanged at 10.0%. The SCB applies to Citigroup only; the regulatory capital framework applicable to Citibank, including the Capital Conservation Buffer, is unaffected by Citigroup's SCB.

### *Capital Conservation Buffer and Countercyclical Capital Buffer*

Citigroup is subject to a fixed 2.5% Capital Conservation Buffer under the Advanced Approaches. Citibank is subject to the fixed 2.5% Capital Conservation Buffer under both the Advanced Approaches and the Standardized Approach.

In addition, Advanced Approaches banking organizations, such as Citigroup and Citibank, are subject to a discretionary Countercyclical Capital Buffer. The Countercyclical Capital Buffer is currently set at 0% by the U.S. banking agencies.

### *GSIB Surcharge*

The FRB imposes a risk-based capital surcharge upon U.S. bank holding companies that are identified as GSIBs, including Citi. The GSIB surcharge augments the SCB, Capital Conservation Buffer and, if invoked, any Countercyclical Capital Buffer.

A U.S. bank holding company that is designated a GSIB is required, on an annual basis, to calculate a surcharge using two methods and is subject to the higher of the resulting two surcharges. The first method ('method 1') is based on the Basel Committee's GSIB methodology. Under the second method ('method 2'), the substitutability category under the Basel Committee's GSIB methodology is replaced with a quantitative measure intended to assess a GSIB's reliance on short-term wholesale funding. In addition, method 1 incorporates relative measures of systemic importance across certain global banking organizations and a year-end spot foreign exchange rate, whereas method 2 uses fixed measures of systemic importance and application of an average foreign exchange rate over a three-year period. The GSIB surcharges calculated under both method 1 and method 2 are based on measures of systemic importance from the year immediately preceding that in which the GSIB surcharge calculations are being performed (e.g., the method 1 and method 2 GSIB surcharges calculated during 2022 will be based on 2021 systemic indicator data). Generally, Citi's surcharge determined under method 2 will result in a higher surcharge than its surcharge determined under method 1.

Should a GSIB's systemic importance change year-over-year, such that it becomes subject to a higher GSIB surcharge, the higher surcharge would become effective on January 1 of the year that is one full calendar year after the increased GSIB surcharge was calculated (e.g., a higher surcharge calculated in 2024 using data as of December 31, 2023 would not become effective until January 1, 2026). However, if a GSIB's systemic importance changes such that the GSIB would be subject to a lower surcharge, the GSIB would be subject to the lower surcharge on January 1 of the year immediately following the calendar year in which the decreased GSIB surcharge was calculated (e.g., a lower surcharge calculated in 2024 using data as of December 31, 2023 would become

effective January 1, 2025).

The following table presents Citi's effective GSIB surcharge as determined under method 1 and method 2 during 2022 and 2021:

|  | 2022 | 2021 |
| --- | --- | --- |
| Method 1 | 2.0% | 2.0% |
| Method 2 | 3.0 | 3.0 |

Citi's GSIB surcharge effective during both 2022 and 2021 was 3.0%, as derived under the higher method 2 result. Citi's GSIB surcharge effective for 2023 has increased from 3.0% to 3.5%, as derived under the higher method 2 result.

Citi expects that its method 2 GSIB surcharge will continue to remain higher than its method 1 GSIB surcharge. Accordingly, based on Citi's method 2 result as of December 31, 2021 and its estimated method 2 result as of December 31, 2022, Citi's GSIB surcharge is expected to remain at 3.5% effective January 1, 2024. Citi's GSIB surcharge effective for 2025 will likely be based on the lower of its method 2 scores for year-end 2022 and 2023 and, therefore, is not expected to exceed 3.5%.

### **Prompt Corrective Action Framework**

In general, the Prompt Corrective Action (PCA) regulations direct the U.S. banking agencies to enforce increasingly strict limitations on the activities of insured depository institutions that fail to meet certain regulatory capital thresholds. The PCA framework contains five categories of capital adequacy as measured by risk-based capital and leverage ratios: (i) 'well capitalized,' (ii) 'adequately capitalized,' (iii) 'undercapitalized,' (iv) 'significantly undercapitalized' and (v) 'critically undercapitalized.'

Accordingly, an insured depository institution, such as Citibank, must maintain minimum CET1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered 'well capitalized.' In addition, insured depository institution subsidiaries of U.S. GSIBs, including Citibank, must maintain a minimum Supplementary Leverage ratio of 6.0% to be considered 'well capitalized.' Citibank was 'well capitalized' as of December 31, 2022.

Furthermore, to be 'well capitalized' under current federal bank regulatory agency definitions, a bank holding company must have a Tier 1 Capital ratio of at least 6.0%, a Total Capital ratio of at least 10.0% and not be subject to a FRB directive to maintain higher capital levels.

26

### **Stress Testing Component of Capital Planning**

Citi is subject to an annual assessment by the FRB as to whether Citigroup has effective capital planning processes as well as sufficient regulatory capital to absorb losses during stressful economic and financial conditions, while also meeting obligations to creditors and counterparties and continuing to serve as a credit intermediary. This annual assessment includes two related programs: the Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST).

For the largest and most complex firms, such as Citi, CCAR includes a qualitative evaluation of a firm's abilities to determine its capital needs on a forward-looking basis. In conducting the qualitative assessment, the FRB evaluates firms' capital planning practices, focusing on six areas of capital planning: governance, risk management, internal controls, capital policies, incorporating stressful conditions and events, and estimating impact on capital positions. As part of the CCAR process, the FRB evaluates Citi's capital adequacy, capital adequacy process and its planned capital distributions, such as dividend payments and common share repurchases. The FRB assesses whether Citi has sufficient capital to continue operations throughout times of economic and financial market stress and whether Citi has robust, forward-looking capital planning processes that account for its unique risks.

All CCAR firms, including Citi, are subject to a rigorous evaluation of their capital planning process. Firms with weak practices may be subject to a deficient supervisory rating, and potentially an enforcement action, for failing to meet supervisory expectations. For additional information regarding CCAR, see 'Risk Factors-Strategic Risks' below.

DFAST is a forward-looking quantitative evaluation of the impact of stressful economic and financial market conditions on Citi's regulatory capital. This program serves to inform the FRB and the general public as to how Citi's regulatory capital ratios might change using a hypothetical set of adverse economic conditions as designed by the FRB. In addition to the annual supervisory stress test conducted by the FRB, Citi is required to conduct annual company-run stress tests under the same adverse economic conditions designed by the FRB.

Both CCAR and DFAST include an estimate of projected revenues, losses, reserves, pro forma regulatory capital ratios and any other additional capital measures deemed relevant by Citi. Projections are required over a nine-quarter planning horizon under two supervisory scenarios (baseline and severely adverse conditions). All risk-based capital ratios reflect application of the Standardized Approach framework under the U.S. Basel III rules.

In addition, Citibank is required to conduct the annual Dodd-Frank Act Stress Test. The annual stress test consists of a forward-looking quantitative evaluation of the impact of stressful economic and financial market conditions under several scenarios on Citibank's regulatory capital. This program serves to inform the Office of the Comptroller of the Currency as to how Citibank's regulatory capital ratios might change during a hypothetical set of adverse economic conditions and to ultimately evaluate the reliability of Citibank's capital planning process.

Citigroup and Citibank are required to disclose the results of their company-run stress tests.

27

## Citigroup's Capital Resources

The following table presents Citi's required risk-based capital ratios as of December 31, 2022, September 30, 2022 and December 31, 2021:

|  | Advanced Approaches |  |  | Standardized Approach |  |  |
| --- | --- | --- | --- | --- | --- | --- |
|  | December 31, 2022 | September 30, 2022 | December 31, 2021 | December 31, 2022 | September 30, 2022 | December 31, 2021 |
| CET1 Capital ratio (1) | 10.0% | 10.0% | 10.0% | 11.5% | 10.5% | 10.5% |
| Tier 1 Capital ratio (1) | 11.5 | 11.5 | 11.5 | 13.0 | 12.0 | 12.0 |
| Total Capital ratio (1) | 13.5 | 13.5 | 13.5 | 15.0 | 14.0 | 14.0 |

(1) Beginning October 1, 2022, Citi's required risk-based capital ratios included the 4.0% SCB and 3.0% GSIB surcharge under the Standardized Approach, and the 2.5% Capital Conservation Buffer and 3.0% GSIB surcharge under the Advanced Approaches (all of which must be composed of CET1 Capital). For prior periods presented, Citi's required risk-based capital ratios included the 3.0% SCB and 3.0% GSIB surcharge under the Standardized Approach, and the 2.5% Capital Conservation Buffer and 3.0% GSIB surcharge under the Advanced Approaches. Commencing January 1, 2023, Citi's GSIB surcharge increased from 3.0% to 3.5%, which is applicable to both the Standardized Approach and Advanced Approaches. See 'Regulatory Capital Buffers' above for more information.

The following tables present Citi's capital components and ratios as of December 31, 2022, September 30, 2022 and December 31, 2021:

| In millions of dollars, except ratios | Advanced Approaches |  |  | Standardized Approach |  |  |
| --- | --- | --- | --- | --- | --- | --- |
|  | December 31, 2022 | September 30, 2022 | December 31, 2021 | December 31, 2022 | September 30, 2022 | December 31, 2021 |
| CET1 Capital (1) | $148,930 | $144,567 | $149,305 | $148,930 | $144,567 | $149,305 |
| Tier 1 Capital (1) | 169,145 | 164,830 | 169,568 | 169,145 | 164,830 | 169,568 |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (1) | 188,839 | 185,046 | 194,006 | 197,543 | 193,871 | 203,838 |
| Total Risk-Weighted Assets | 1,221,538 | 1,226,578 | 1,209,374 | 1,142,985 | 1,176,749 | 1,219,175 |
| Credit Risk (1) | $851,875 | $849,769 | $840,483 | $1,069,992 | $1,096,384 | $1,135,906 |
| Market Risk | 71,889 | 78,748 | 78,634 | 72,993 | 80,365 | 83,269 |
| Operational Risk | 297,774 | 298,061 | 290,257 | - | - | - |
| CET1 Capital ratio (2) | 12.19% | 11.79% | 12.35% | 13.03% | 12.29% | 12.25% |
| Tier 1 Capital ratio (2) | 13.85 | 13.44 | 14.02 | 14.80 | 14.01 | 13.91 |
| Total Capital ratio (2) | 15.46 | 15.09 | 16.04 | 17.28 | 16.48 | 16.72 |

| In millions of dollars, except ratios | Required Capital Ratios | December 31, 2022 | September 30, 2022 | December 31, 2021 |
| --- | --- | --- | --- | --- |
| Quarterly Adjusted Average Total Assets (1)(3) |  | $2,395,863 | $2,364,564 | $2,351,434 |
| Total Leverage Exposure (1)(4) |  | 2,906,773 | 2,888,535 | 2,957,764 |
| Tier 1 Leverage ratio | 4.0% | 7.06% | 6.97% | 7.21% |
| Supplementary Leverage ratio | 5.0 | 5.82 | 5.71 | 5.73 |

(1) Citi's regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the CECL standard. For additional information, see 'Capital Resources-Regulatory Capital Treatment-Modified Transition of the Current Expected Credit Losses Methodology' above.

(2) Citi's binding CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach, whereas Citi's binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented.

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

(4) Supplementary Leverage ratio denominator.

28

### ***Common Equity Tier 1 Capital Ratio***

Citi's Common Equity Tier 1 (CET1) Capital ratio under the Basel III Standardized Approach was 13.0% as of December 31, 2022, relative to a required regulatory CET1 Capital ratio of 11.5% as of such date under the Standardized Approach. This compares to a CET1 Capital ratio of 12.3% as of September 30, 2022 and 12.2% as of December 31, 2021, relative to a required regulatory CET1 Capital ratio of 10.5% as of such dates under the Standardized Approach.

Citi's CET1 Capital ratio under the Basel III Advanced Approaches was 12.2% as of December 31, 2022, compared to 11.8% as of September 30, 2022 and 12.3% as of December 31, 2021, relative to a required regulatory CET1 Capital ratio of 10.0% as of such dates under the Advanced Approaches framework.

Citi's CET1 Capital ratio increased under both the Standardized Approach and Advanced Approaches from September 30, 2022, driven primarily by net income, business actions to reduce RWA, beneficial net movements in *AOCI* and impacts from the closing of Asia consumer banking business sales, partially offset by the payment of common dividends.

Citi's CET1 Capital ratio increased under the Standardized Approach from year-end 2021, due to the net income of $14.8 billion, impacts from the closing of the Australia, Philippines and other Asia consumer banking business sales and business actions to reduce RWA, partially offset by the return of capital to common shareholders and interest rate impacts on Citigroup's investment portfolio. The increase in Citi's CET1 Capital ratio was also partially offset by the impact of adopting the Standardized Approach for Counterparty Credit Risk (SA-CCR) on January 1, 2022.

Citi's CET1 Capital ratio decreased under the Advanced Approaches from year-end 2021, due to the return of capital to common shareholders, the interest rate impacts on Citigroup's investment portfolio and the impact of adopting the SA-CCR, partially offset by the net income of $14.8 billion and the impacts from the closing of the Australia, Philippines and other Asia consumer banking business sales.

For additional information on SA-CCR, see 'Standardized Approach for Counterparty Credit Risk' below.

29

## Components of Citigroup Capital

| In millions of dollars | December 31, 2022 | December 31, 2021 |
| --- | --- | --- |
| CET1 Capital |  |  |
| Citigroup common stockholders' equity (1) | $182,325 | $183,108 |
| Add: Qualifying noncontrolling interests | 128 | 143 |
| Regulatory capital adjustments and deductions: |  |  |
| Add: CECL transition provision (2) | 2,271 | 3,028 |
| Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax | (2,522) | 101 |
| Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | 1,441 | (896) |
| Less: Intangible assets: |  |  |
| Goodwill, net of related DTLs (3) | 19,007 | 20,619 |
| Identifiable intangible assets other than MSRs, net of related DTLs | 3,411 | 3,800 |
| Less: Defined benefit pension plan net assets; other | 1,935 | 2,080 |
| Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards (4) | 12,197 | 11,270 |
| Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments, and MSRs (4)(5) | 325 | - |
| Total CET1 Capital (Standardized Approach and Advanced Approaches) | $148,930 | $149,305 |
| Additional Tier 1 Capital |  |  |
| Qualifying noncumulative perpetual preferred stock (1) | $18,864 | $18,864 |
| Qualifying trust preferred securities (6) | 1,406 | 1,399 |
| Qualifying noncontrolling interests | 30 | 34 |
| Regulatory capital deductions: |  |  |
| Less: Other | 85 | 34 |
| Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches) | $20,215 | $20,263 |
| Total Tier 1 Capital (CET1 Capital + Additional Tier 1 Capital) (Standardized Approach and Advanced Approaches) | $169,145 | $169,568 |
| Tier 2 Capital |  |  |
| Qualifying subordinated debt | $15,530 | $20,064 |
| Qualifying trust preferred securities (7) | - | 248 |
| Qualifying noncontrolling interests | 37 | 42 |
| Eligible allowance for credit losses (2)(8) | 13,426 | 14,209 |
| Regulatory capital deduction: |  |  |
| Less: Other | 595 | 293 |
| Total Tier 2 Capital (Standardized Approach) | $28,398 | $34,270 |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) | $197,543 | $203,838 |
| Adjustment for excess of eligible credit reserves over expected credit losses (2)(8) | $(8,704) | $(9,832) |
| Total Tier 2 Capital (Advanced Approaches) | $19,694 | $24,438 |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) | $188,839 | $194,006 |

(1) Issuance costs of $131 million related to outstanding noncumulative perpetual preferred stock at December 31, 2022 and 2021 were excluded from common stockholders' equity and netted against such preferred stock in accordance with FRB regulatory reporting requirements, which differ from those under U.S. GAAP.

(2) Citi's regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the CECL standard. For additional information, see 'Capital Resources-Regulatory Capital Treatment-Modified Transition of the Current Expected Credit Losses Methodology' above.

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

Footnotes continue on the following page.

30

(4) Of Citi's $27.7 billion of net DTAs at December 31, 2022, $12.2 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards, as well as $0.3 billion of DTAs arising from temporary differences that exceeded 10%/15% limitations, were excluded from Citi's CET1 Capital as of December 31, 2022. DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards are required to be entirely deducted from CET1 Capital under the U.S. Basel III rules. DTAs arising from temporary differences are required to be deducted from capital only if they exceed 10%/15% limitations under the U.S. Basel III rules.
(5) Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At December 31, 2022, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. At December 31, 2021, none of these assets were in excess of the 10%/15% limitations.
(6) Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(7) Represents the amount of non-grandfathered trust preferred securities that were previously eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules. Commencing January 1, 2022, non-grandfathered trust preferred securities have been fully phased out of Tier 2 Capital.
(8) Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework were $4.7 billion and $4.4 billion at December 31, 2022 and December 31, 2021, respectively.

31

# **Citigroup Capital Rollforward**

| In millions of dollars | Three months ended December 31, 2022 | Twelve months ended December 31, 2022 |
| --- | --- | --- |
| CET1 Capital, beginning of period | $144,567 | $149,305 |
| Net income | 2,513 | 14,845 |
| Common and preferred dividends declared | (1,241) | (5,060) |
| Net change in treasury stock | 10 | (2,727) |
| Net increase in common stock and additional paid-in capital | 111 | 455 |
| Net change in CTA net of hedges, net of tax | 1,571 | (2,472) |
| Net change in unrealized gains (losses) on debt securities AFS, net of tax | 974 | (5,384) |
| Net change in defined benefit plans liability adjustment, net of tax | (22) | 97 |
| Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax | 168 | (307) |
| Net change in excluded component of fair value hedges | (32) | 55 |
| Net change in goodwill, net of related DTLs | (211) | 1,612 |
| Net decrease in identifiable intangible assets other than MSRs, net of related DTLs | 81 | 389 |
| Net change in defined benefit pension plan net assets | (7) | 61 |
| Net increase in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards | (507) | (927) |
| Net change in excess over 10%/15% limitations for other DTAs, certain common stock investments and MSRs | 936 | (325) |
| Net decrease in CECL 25% provision deferral | - | (757) |
| Other | 19 | 70 |
| Net change in CET1 Capital | $4,363 | $(375) |
| CET1 Capital, end of period (Standardized Approach and Advanced Approaches) | $148,930 | $148,930 |
| Additional Tier 1 Capital, beginning of period | $20,263 | $20,263 |
| Net increase in qualifying trust preferred securities | 2 | 7 |
| Other | (50) | (55) |
| Net decrease in Additional Tier 1 Capital | $(48) | $(48) |
| Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $169,145 | $169,145 |
| Tier 2 Capital, beginning of period (Standardized Approach) | $29,041 | $34,270 |
| Net decrease in qualifying subordinated debt | (149) | (4,534) |
| Net decrease in eligible allowance for credit losses | (326) | (783) |
| Other | (168) | (555) |
| Net decrease in Tier 2 Capital (Standardized Approach) | $(643) | $(5,872) |
| Tier 2 Capital, end of period (Standardized Approach) | $28,398 | $28,398 |
| Total Capital, end of period (Standardized Approach) | $197,543 | $197,543 |
| Tier 2 Capital, beginning of period (Advanced Approaches) | $20,216 | $24,438 |
| Net decrease in qualifying subordinated debt | (149) | (4,534) |
| Net increase in excess of eligible credit reserves over expected credit losses | (205) | 345 |
| Other | (168) | (555) |
| Net decrease in Tier 2 Capital (Advanced Approaches) | $(522) | $(4,744) |
| Tier 2 Capital, end of period (Advanced Approaches) | $19,694 | $19,694 |
| Total Capital, end of period (Advanced Approaches) | $188,839 | $188,839 |

32

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

| In millions of dollars | Three months ended December 31, 2022 | Twelve months ended December 31, 2022 |
| --- | --- | --- |
| Total Risk-Weighted Assets, beginning of period | $1,176,749 | $1,219,175 |
| Changes in Credit Risk-Weighted Assets |  |  |
| General credit risk exposures (1) | (4,243) | (26,061) |
| Repo-style transactions (2) | (225) | (15,302) |
| Securitization exposures (3) | 2,928 | 4,886 |
| Equity exposures (4) | 3,751 | 453 |
| Over-the-counter (OTC) derivatives (5) | (27,320) | (4,619) |
| Other exposures (6) | (1,911) | (10,718) |
| Off-balance sheet exposures (7) | 628 | (14,553) |
| Net decrease in Credit Risk-Weighted Assets | $(26,392) | $(65,914) |
| Changes in Market Risk-Weighted Assets |  |  |
| Risk levels | $(8,974) | $(15,961) |
| Model and methodology updates | 1,602 | 5,685 |
| Net decrease in Market Risk-Weighted Assets (8) | $(7,372) | $(10,276) |
| Total Risk-Weighted Assets, end of period | $1,142,985 | $1,142,985 |

(1) General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures decreased during the three and 12 months ended December 31, 2022 primarily due to Asia consumer divestitures and a decrease in corporate lending, partially offset by an increase in card activities.
(2) Repo-style transactions include repurchase and reverse repurchase transactions, as well as securities borrowing and securities lending transactions. Repo-style transactions decreased during the 12 months ended December 31, 2022 primarily due to reduced exposure in repurchase agreements and securities lending, as well as a decrease in margin loans.
(3) Securitization exposures increased during the three and 12 months ended December 31, 2022 primarily due to new exposures.
(4) Equity exposures increased during the three months ended December 31, 2022 primarily due to increases in market value of various investments.
(5) OTC derivatives decreased during the three months ended December 31, 2022 primarily due to decreases across FX, commodities and equities. OTC derivatives decreased during the 12 months ended December 31, 2022 primarily due to decreases in rates, FX, commodities and equities, partially offset by the impact from the adoption of SA-CCR. For additional information on SA-CCR, see "Standardized Approach for Counterparty Credit Risk" below.
(6) Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures decreased during the 12 months ended December 31, 2022 primarily due to decreases in centrally cleared derivatives and default fund contributions, partially offset by an increase in fixed assets.
(7) Off-balance sheet exposures decreased during the 12 months ended December 31, 2022 primarily due to a decrease in loan commitments.
(8) Market risk-weighted assets decreased during the three and 12 months ended December 31, 2022 primarily due to exposure changes, partially offset by changes in model inputs regarding volatility and the correlation between market risk factors.

33

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

| In millions of dollars | Three months ended December 31, 2022 | Twelve months ended December 31, 2022 |
| --- | --- | --- |
| Total Risk-Weighted Assets, beginning of period | $1,226,578 | $1,209,374 |
| Changes in Credit Risk-Weighted Assets |  |  |
| Retail exposures (1) | 4,610 | 12,633 |
| Wholesale exposures (2) | 2,094 | (14,843) |
| Repo-style transactions (3) | 390 | (10,694) |
| Securitization exposures (4) | 2,916 | 5,057 |
| Equity exposures (5) | 3,795 | 948 |
| Over-the-counter (OTC) derivatives (6) | (11,929) | (2,667) |
| Derivatives CVA (7) | (2,067) | 19,667 |
| Other exposures (8) | 2,026 | 1,725 |
| Supervisory 6% multiplier | 271 | (434) |
| Net increase in Credit Risk-Weighted Assets | $2,106 | $11,392 |
| Changes in Market Risk-Weighted Assets |  |  |
| Risk levels | $(8,461) | $(12,430) |
| Model and methodology updates | 1,602 | 5,685 |
| Net decrease in Market Risk-Weighted Assets (9) | $(6,859) | $(6,745) |
| Net change in Operational Risk-Weighted Assets (10) | $(287) | $7,517 |
| Total Risk-Weighted Assets, end of period | $1,221,538 | $1,221,538 |

(1) Retail exposures increased during the three months ended December 31, 2022 primarily due to an increase in card activities, partially offset by a decrease from divestitures. Retail exposures increased during the 12 months ended December 31, 2022 primarily due to increases in card activities, consumer loans and model recalibrations, partially offset by a decrease from divestitures.
(2) Wholesale exposures decreased during the 12 months ended December 31, 2022 primarily due to decreases in wholesale loans and available-for-sale securities.
(3) Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions decreased during the 12 months ended December 31, 2022 primarily due to reduced exposure in repurchase agreements and securities lending, as well as a decrease in margin loans.
(4) Securitization exposures increased during the three and 12 months ended December 31, 2022 primarily driven by new exposures.
(5) Equity exposures increased during the three months ended December 31, 2022 primarily due to increases in market value of various investments.
(6) OTC derivatives decreased during the three months ended December 31, 2022 primarily due to exposure decreases across FX and commodities. OTC derivatives decreased during the 12 months ended December 31, 2022 primarily due to exposure decreases across FX and commodities, partially offset by the impact from the adoption of SA-CCR. For additional information on SA-CCR, see "Standardized Approach for Counterparty Credit Risk" below.
(7) Derivatives CVA increased during the 12 months ended December 31, 2022 primarily due to the adoption of SA-CCR. For additional information on SA-CCR, see "Standardized Approach for Counterparty Credit Risk" below.
(8) Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures increased during the three and 12 months ended December 31, 2022 primarily due to an increase in fixed assets.
(9) Market risk-weighted assets decreased during the three and 12 months ended December 31, 2022 primarily due to exposure changes, partially offset by changes in model inputs regarding volatility and the correlation between market risk factors.
(10) Operational risk-weighted assets increased during the 12 months ended December 31, 2022 primarily due to new model severity updates.

34

### Supplementary Leverage Ratio

The following table presents Citi's Supplementary Leverage ratio and related components as of December 31, 2022, September 30, 2022 and December 31, 2021:

| In millions of dollars, except ratios | December 31, 2022 | September 30, 2022 | December 31, 2021 |
| --- | --- | --- | --- |
| Tier 1 Capital | $169,145 | $164,830 | $169,568 |
| Total Leverage Exposure |  |  |  |
| On-balance sheet assets (1)(2) | $2,432,823 | $2,401,767 | $2,389,237 |
| Certain off-balance sheet exposures (3) |  |  |  |
| Potential future exposure on derivative contracts | 133,071 | 153,842 | 222,241 |
| Effective notional of sold credit derivatives, net (4) | 34,117 | 32,768 | 23,788 |
| Counterparty credit risk for repo-style transactions (5) | 17,169 | 16,997 | 25,775 |
| Other off-balance sheet exposures | 326,553 | 320,364 | 334,526 |
| Total of certain off-balance sheet exposures | $510,910 | $523,971 | $606,330 |
| Less: Tier 1 Capital deductions | 36,960 | 37,203 | 37,803 |
| Total Leverage Exposure | $2,906,773 | $2,888,535 | $2,957,764 |
| Supplementary Leverage ratio | 5.82% | 5.71% | 5.73% |

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

(2) Citi's regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the CECL standard. For additional information, see 'Capital Resources-Regulatory Capital Treatment-Modified Transition of the Current Expected Credit Losses Methodology' above.

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

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

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

As presented in the table above, Citigroup's Supplementary Leverage ratio was 5.8% at December 31, 2022, compared to 5.7% at September 30, 2022 and December 31, 2021. The quarter-over-quarter increase was primarily driven by an increase in Tier 1 Capital due to net income in the fourth quarter of 2022 and beneficial net movements in *AOCI*, partially offset by an increase in Total Leverage Exposure. The year-over-year increase was primarily driven by a decrease in Total Leverage Exposure.

35

# **Capital Resources of Citigroup's Subsidiary U.S. Depository Institutions**

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

The following tables present the capital components and ratios for Citibank, Citi's primary subsidiary U.S. depository institution, as of December 31, 2022, September 30, 2022 and December 31, 2021:

| In millions of dollars, except ratios | Required Capital Ratios (1) | Advanced Approaches |  |  | Standardized Approach |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- |
|  |  | December 31, 2022 | September 30, 2022 | December 31, 2021 | December 31, 2022 | September 30, 2022 | December 31, 2021 |
| CET1 Capital (2) |  | $149,593 | $147,938 | $148,548 | $149,593 | $147,938 | $148,548 |
| Tier 1 Capital (2) |  | 151,720 | 150,062 | 150,679 | 151,720 | 150,062 | 150,679 |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (2)(3) |  | 165,131 | 165,171 | 166,921 | 172,647 | 172,916 | 175,427 |
| Total Risk-Weighted Assets |  | 1,003,747 | 1,046,884 | 1,017,774 | 982,914 | 1,024,923 | 1,066,015 |
| Credit Risk (2) |  | $728,082 | $762,660 | $737,802 | $948,150 | $983,949 | $1,016,293 |
| Market Risk |  | 34,403 | 40,676 | 48,089 | 34,764 | 40,974 | 49,722 |
| Operational Risk |  | 241,262 | 243,548 | 231,883 | - | - | - |
| CET1 Capital ratio (4)(5) | 7.0% | 14.90% | 14.13% | 14.60% | 15.22% | 14.43% | 13.93% |
| Tier 1 Capital ratio (4)(5) | 8.5 | 15.12 | 14.33 | 14.80 | 15.44 | 14.64 | 14.13 |
| Total Capital ratio (4)(5) | 10.5 | 16.45 | 15.78 | 16.40 | 17.56 | 16.87 | 16.46 |

| In millions of dollars, except ratios | Required Capital Ratios | December 31, 2022 | September 30, 2022 | December 31, 2021 |
| --- | --- | --- | --- | --- |
| Quarterly Adjusted Average Total Assets (2)(6) |  | $1,738,744 | $1,694,381 | $1,716,596 |
| Total Leverage Exposure (2)(7) |  | 2,189,541 | 2,147,923 | 2,236,839 |
| Tier 1 Leverage ratio (5) | 5.0% | 8.73% | 8.86% | 8.78% |
| Supplementary Leverage ratio (5) | 6.0 | 6.93 | 6.99 | 6.74 |

(1) Citibank's required risk-based capital ratios are inclusive of the 2.5% Capital Conservation Buffer (all of which must be composed of CET1 Capital).
(2) Citibank's regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the CECL standard. For additional information, see "Capital Resources-Regulatory Capital Treatment-Modified Transition of the Current Expected Credit Losses Methodology" above.
(3) Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the ACL is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess ACL being deducted in arriving at credit risk-weighted assets.
(4) Citibank's binding CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of December 31, 2022 and September 30, 2022, and under the Basel III Standardized Approach as of December 31, 2021, whereas Citibank's binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented.
(5) Citibank must maintain required CET1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered "well capitalized" under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Citibank must also maintain a required Supplementary Leverage ratio of 6.0% to be considered "well capitalized."
(6) Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(7) Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank's capital ratios at December 31, 2022 were in excess of the regulatory capital requirements under the U.S. Basel III rules. In addition, Citibank was "well capitalized" as of December 31, 2022.

As presented in the table above, Citibank's Supplementary Leverage ratio was 6.9% at December 31, 2022, compared to 7.0% at September 30, 2022 and 6.7% at December 31, 2021. The quarter-over-quarter decrease was primarily driven by an increase in Total Leverage Exposure, partially offset by an increase in Tier 1 Capital due to net income in the fourth quarter of 2022 and beneficial net movements in AOCI. The year-over-year increase was primarily driven by a decrease in Total Leverage Exposure.

36

### Impact of Changes on Citigroup and Citibank Capital Ratios

The following tables present the estimated sensitivity of Citigroup's and Citibank's capital ratios to changes of $100 million in CET1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of December 31, 2022. This information is provided for the purpose of analyzing the

impact that a change in Citigroup's or Citibank's financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.

|  | Common Equity Tier 1 Capital ratio |  | Tier 1 Capital ratio |  | Total Capital ratio |  |
| --- | --- | --- | --- | --- | --- | --- |
|  | Impact of $100 million change in Common Equity Tier 1 Capital | Impact of $1 billion change in risk- weighted assets | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in risk- weighted assets | Impact of $100 million change in Total Capital | Impact of $1 billion change in risk- weighted assets |
| In basis points |  |  |  |  |  |  |
| Citigroup |  |  |  |  |  |  |
| Advanced Approaches | 0.8 | 1.0 | 0.8 | 1.1 | 0.8 | 1.3 |
| Standardized Approach | 0.9 | 1.1 | 0.9 | 1.3 | 0.9 | 1.5 |
| Citibank |  |  |  |  |  |  |
| Advanced Approaches | 1.0 | 1.5 | 1.0 | 1.5 | 1.0 | 1.6 |
| Standardized Approach | 1.0 | 1.5 | 1.0 | 1.6 | 1.0 | 1.8 |
|  | Tier 1 Leverage ratio |  | Supplementary Leverage ratio |  |  |  |
|  | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in quarterly adjusted average total assets | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in Total Leverage Exposure |  |  |
| In basis points |  |  |  |  |  |  |
| Citigroup | 0.4 | 0.3 | 0.3 | 0.2 |  |  |
| Citibank | 0.6 | 0.5 | 0.5 | 0.3 |  |  |

### Citigroup Broker-Dealer Subsidiaries

At December 31, 2022, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC's net capital rule, of $13 billion, which exceeded the minimum requirement by $8 billion.

Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom's Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total regulatory capital of $27 billion at December 31, 2022, which exceeded the PRA's minimum regulatory capital requirements.

In addition, certain of Citi's other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup's other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at December 31, 2022.

37

### **Total Loss-Absorbing Capacity (TLAC)**

U.S. GSIBs, including Citi, are required to maintain minimum levels of TLAC and eligible long-term debt (LTD), each set by reference to the GSIB's consolidated risk-weighted assets (RWA) and total leverage exposure.

#### **Minimum External TLAC Requirement**

The minimum external TLAC requirement is the greater of (i) 18% of the GSIB's RWA plus the then-applicable RWA-based TLAC buffer (see below) and (ii) 7.5% of the GSIB's total leverage exposure plus a leverage-based TLAC buffer of 2% (i.e., 9.5%).

The RWA-based TLAC buffer equals the 2.5% Capital Conservation Buffer, plus any applicable Countercyclical Capital Buffer (currently 0%), plus the GSIB's capital surcharge as determined under method 1 of the GSIB surcharge rule (2.0% for Citi for 2022). Accordingly, Citi's total current minimum TLAC requirement was 22.5% of RWA for 2022.

#### **Minimum Long-Term Debt (LTD) Requirement**

The minimum LTD requirement is the greater of (i) 6% of the GSIB's RWA plus its capital surcharge as determined under method 2 of the GSIB surcharge rule (3.0% for Citi for 2022), for a total current requirement of 9% of RWA for Citi, and (ii) 4.5% of the GSIB's total leverage exposure.

### **Capital Resources (Full Adoption of CECL)(1)**

The following tables present Citigroup's and Citibank's capital components and ratios under a hypothetical scenario where the full impact of CECL is reflected as of December 31, 2022:

|  | Citigroup |  |  | Citibank |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- |
|  | Required Capital Ratios, Advanced Approaches | Required Capital Ratios, Standardized Approach | Advanced Approaches | Standardized Approach | Required Capital Ratios(2) | Advanced Approaches | Standardized Approach |
| CET1 Capital ratio | 10.0% | 11.5% | 11.96% | 12.79% | 7.0% | 14.70% | 15.01% |
| Tier 1 Capital ratio | 11.5 | 13.0 | 13.62 | 14.56 | 8.5 | 14.91 | 15.23 |
| Total Capital ratio | 13.5 | 15.0 | 15.24 | 17.06 | 10.5 | 16.25 | 17.36 |

|  | Required Capital Ratios |  | Citigroup |  | Required Capital Ratios |  | Citibank |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Tier 1 Leverage ratio | 4.0% |  | 6.94% |  | 5.0% |  | 8.61% |  |
| Supplementary Leverage ratio | 5.0 |  | 5.71 |  | 6.0 |  | 6.84 |  |

(1) See footnote 2 on the "Components of Citigroup Capital" table above.

(2) Citibank's required capital ratios were the same under the Standardized Approach and the Advanced Approaches framework.

The table below details Citi's eligible external TLAC and LTD amounts and ratios, and each TLAC and LTD regulatory requirement, as well as the surplus amount in dollars in excess of each requirement.

|  | December 31, 2022 |  |
| --- | --- | --- |
|  | External TLAC | LTD |
| In billions of dollars, except ratios |  |  |
| Total eligible amount | $334 | $160 |
| % of Advanced Approaches risk-weighted assets | 27.3% | 13.1% |
| Regulatory requirement(1)(2) | 22.5 | 9.0 |
| Surplus amount | $59 | $50 |
| % of Total Leverage Exposure | 11.5% | 5.5% |
| Regulatory requirement | 9.5 | 4.5 |
| Surplus amount | $58 | $29 |

(1) External TLAC includes method 1 GSIB surcharge of 2.0%.

(2) LTD includes method 2 GSIB surcharge of 3.0%.

As of December 31, 2022, Citi exceeded each of the TLAC and LTD regulatory requirements, resulting in a $29 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.

For additional information on Citi's TLAC-related requirements, see "Liquidity Risk-Total Loss-Absorbing Capacity (TLAC)" below.

38

### **Standardized Approach for Counterparty Credit Risk**

In 2020, the U.S. banking agencies adopted the Standardized Approach for Counterparty Credit Risk (SA-CCR) to calculate exposure for all derivative contracts at the netting set level. In addition, SA-CCR is used in numerous other instances throughout the regulatory framework, including but not limited to the Supplementary Leverage ratio, certain components of the GSIB score, single counterparty credit limits and legal lending limits.

As previously disclosed, Citi adopted SA-CCR as of the mandatory compliance date of January 1, 2022. Adoption of SA-CCR increased Citigroup's Standardized RWA by approximately $51 billion, which resulted in a 49 basis points decrease to Citigroup's CET1 Capital ratio under the Standardized Approach on January 1, 2022.

Adoption of SA-CCR also increased Citigroup's Advanced RWA by approximately $29 billion, which resulted in a 29 basis points decrease to Citigroup's CET1 Capital ratio under the Advanced Approaches on January 1, 2022.

### **Regulatory Capital Standards Developments**

#### ***Basel III Revisions***

As described above, the U.S. banking agencies implemented a number of international capital standards adopted by the Basel Committee on Banking Supervision (Basel Committee), following the Global Financial Crisis regulatory reforms (see the U.S. Basel III rules discussion above). The Basel Committee finalized the Basel III reforms in December 2017, which included revisions to the methodologies in deriving credit, market and operational risk-weighted assets, the imposition of a new aggregate output floor for risk-weighted assets and revisions to the leverage ratio framework.

The U.S. banking agencies may revise the U.S. Basel III rules in the future, in response to the Basel Committee's final Basel III reforms. For information about risks related to changes in regulatory capital requirements, see 'Risk Factors-Strategic Risks' below.

39

# **Tangible Common Equity, Book Value Per Share,  
Tangible Book Value Per Share and Return on Equity**

Tangible common equity (TCE), as defined by Citi, represents common stockholders' equity less goodwill and identifiable intangible assets (other than mortgage servicing rights (MSRs)). RoTCE represents annualized net income available to common shareholders as a percentage of average TCE. Tangible book value per share represents average TCE divided by average common shares outstanding. Other companies may calculate these measures differently. TCE, RoTCE and tangible book value per share are non-GAAP financial measures. Citi believes TCE, TBV and RoTCE provide alternative measures of capital strength and performance for investors, industry analysts and others.

| In millions of dollars or shares, except per share amounts | At December 31, |  |  |  |  |
| --- | --- | --- | --- | --- | --- |
|  | 2022 | 2021 | 2020 | 2019 | 2018 |
| Total Citigroup stockholders' equity | $201,189 | $201,972 | $199,442 | $193,242 | $196,220 |
| Less: Preferred stock | 18,995 | 18,995 | 19,480 | 17,980 | 18,460 |
| Common stockholders' equity | $182,194 | $182,977 | $179,962 | $175,262 | $177,760 |
| Less: |  |  |  |  |  |
| Goodwill | 19,691 | 21,299 | 22,162 | 22,126 | 22,046 |
| Identifiable intangible assets (other than MSRs) | 3,763 | 4,091 | 4,411 | 4,327 | 4,636 |
| Goodwill and identifiable intangible assets (other than MSRs) related to assets held-for-sale (HFS) | 589 | 510 | - | - | - |
| Tangible common equity (TCE) | $158,151 | $157,077 | $153,389 | $148,809 | $151,078 |
| Common shares outstanding (CSO) | 1,937.0 | 1,984.4 | 2,082.1 | 2,114.1 | 2,368.5 |
| Book value per share (common stockholders' equity/CSO) | $94.06 | $92.21 | $86.43 | $82.90 | $75.05 |
| Tangible book value per share (TCE/CSO) | 81.65 | 79.16 | 73.67 | 70.39 | 63.79 |

| In millions of dollars | For the year ended December 31, |  |  |  |  |
| --- | --- | --- | --- | --- | --- |
|  | 2022 | 2021 | 2020 | 2019 | 2018 |
| Net income available to common shareholders | $13,813 | $20,912 | $9,952 | $18,292 | $16,871 |
| Average common stockholders' equity | 180,093 | 182,421 | 175,508 | 177,363 | 179,497 |
| Average TCE | 155,943 | 156,253 | 149,892 | 150,994 | 153,343 |
| Return on average common stockholders' equity | 7.7% | 11.5% | 5.7% | 10.3% | 9.4% |
| RoTCE | 8.9 | 13.4 | 6.6 | 12.1 | 11.0 |

40

## RISK FACTORS

The following discussion presents what management currently believes could be the material risks and uncertainties that could impact Citi's businesses, results of operations and financial condition. Other risks and uncertainties, including those not currently known to Citi or its management, could also negatively impact Citi's businesses, results of operations and financial condition. Thus, the following should not be considered a complete discussion of all of the risks and uncertainties that Citi may face. For additional information about risks and uncertainties that could impact Citi, see 'Executive Summary' and each respective business' results of operations above and 'Managing Global Risk' below. The following risk factors are categorized to improve the readability and usefulness of the risk factor disclosure, and, while the headings and risk factors generally align with Citi's risk categorization, in certain instances the risk factors may not directly correspond with how Citi categorizes or manages its risks.

### MARKET-RELATED RISKS

#### *Macroeconomic, Geopolitical and Other Challenges and Uncertainties Could Continue to Have a Negative Impact on Citi.*

Citi has experienced, and could experience in the future, negative impacts to its businesses, results of operations and financial condition as a result of various macroeconomic, geopolitical and other challenges, uncertainties and volatility. These include, among other things, significantly elevated levels of inflation, higher interest rates, global supply shocks and lower economic growth rates, as well as an increasing risk of recession in Europe, the U.S. and other countries.

For example, in 2022, the U.S., the U.K., the EU and other economies experienced significantly higher levels of widespread inflation. As a result, the Federal Reserve Board (FRB) and other central banks have substantially raised interest rates, reduced the size of their balance sheets and taken other actions in an aggressive effort to curb inflation. These actions are expected to slow economic growth, increase the risk of recession and increase the unemployment rate in the U.S. and other countries, all of which would likely adversely affect Citi's consumer and institutional clients, businesses and results of operations. Elevated levels of inflation are also expected to continue to result in higher labor and other costs, thus putting further pressure on Citi's expenses.

Interest rates on loans Citi makes are typically based off or set at a spread over a benchmark interest rate and would likely decline or rise as benchmark rates decline or rise, respectively. While Citi expects its overall net interest income would generally increase due to higher interest rates, higher rates could adversely affect its funding costs, levels of deposits in its consumer and institutional businesses and certain business or product revenues. Citi's net interest income could be adversely affected due to a flattening (a lower spread between shorter-term versus longer-term interest rates) or longer lasting or more severe inversion (shorter-term interest rates exceeding longer-term interest rates) of the interest rate yield curve, as Citi, similar to other banks, typically pays

interest on deposits based on shorter-term interest rates and earns money on loans based on longer-term interest rates. For additional information on Citi's interest rate risk, see 'Managing Global Risk-Market Risk-Banking Book Interest Rate Risk' below. Additionally, Citi's balance sheet includes interest-rate sensitive fixed-rate assets such as U.S. Treasuries, U.S. agency securities and residential mortgages, among others, whose valuation would be adversely impacted in a rising-rate environment and/or whose hedging costs may increase.

Russia's war in Ukraine has caused supply shocks in energy, food and other commodities markets, worsened inflation, increased cybersecurity risks, increased the risk of recession in Europe and heightened geopolitical tensions. Actions by Russia, and any further measures taken by the U.S. or its allies, could continue to have negative impacts on regional and global energy and other commodities and financial markets and macroeconomic conditions, adversely impacting jurisdictions where Citi operates and Citi's customers, clients and employees. Citi's ability to continue to reduce its operations and exposure in Russia, including completion of the wind-down of its consumer and local commercial banking operations and nearly all of its institutional banking services in the country, may be negatively impacted by macroeconomic challenges and uncertainties, local market conditions, and sanctions and other governmental regulations or actions.

Moreover, Citi's remaining operations in Russia subject Citi to various other risks, among which are foreign currency volatility, including appreciations or devaluations; restrictions arising from retaliatory Russian laws and regulations on the conduct of its business, including, without limitation, its provision to its customers of certain securities services; sanctions or asset freezes; and other deconsolidation events. Examples of triggers that may result in deconsolidation of Citi's subsidiary bank in Russia, AO Citibank, include voluntary or forced sale of ownership or loss of control due to actions of relevant governmental authorities, including expropriation (i.e., the entity becomes subject to the complete control of a government, court, administrator, trustee or regulator); revocation of banking license; and loss of ability to elect a board of directors or appoint members of senior management. In the event of a loss of control of AO Citibank, Citi would be required to write off its net investment in the entity, recognize a CTA loss through earnings and recognize a loss on intercompany liabilities owed by AO Citibank to other Citi entities outside of Russia. In the sole event of a substantial liquidation, as opposed to a loss of control, Citi would be required to recognize the CTA loss through earnings and would evaluate its remaining net investment as circumstances evolve. Additionally, Citi may incur reputational harm if its actions are perceived to be misaligned with Citi's announced reductions of its operations and exposure in Russia. For additional information about these risks, see the operational processes and systems, cybersecurity and emerging markets risk factors and 'Managing Global Risk-Other Risks-Country Risk-Russia' below.

COVID-19 is expected to continue to adversely affect global health and could negatively impact macroeconomic conditions in 2023. The extent of the impact remains uncertain

41

and will largely depend on future developments in China, the U.S. and other countries, such as the severity and duration of the public health consequences, including the course of variants; the public response; and government actions. COVID-19 could again disrupt supply chains, worsen inflation and reduce economic activity. These factors could adversely impact Citi's businesses and results of operations and financial condition.

Additional areas of uncertainty include, among others, economic and geopolitical challenges related to China, including related policy actions, distress in Chinese real estate finance and other credit markets, tensions or conflicts between China and Taiwan and/or between China and the U.S.; significant disruptions and volatility in financial markets, including foreign currency volatility and devaluations and continued strength in the U.S. dollar; other geopolitical tensions and conflicts; protracted or widespread trade tensions; financial market, other economic and political disruption driven by populist movements and governments; natural disasters; other pandemics; and election outcomes, including the effects of divided government in the U.S., such as with respect to raising of the federal debt limit. For example, Citi's market-making businesses can suffer losses resulting from the widening of credit spreads due to unanticipated changes in financial markets. Moreover, adverse developments or downturns in one or more of the world's larger economies would likely have a significant impact on the global economy or the economies of other countries because of global financial and economic linkages.

## STRATEGIC RISKS

### *Citi's Ability to Return Capital to Common Shareholders Substantially Depends on Regulatory Capital Requirements, Including the Results of the CCAR Process and Dodd-Frank Act Regulatory Stress Tests.*

Citi's ability to return capital to its common shareholders consistent with its capital planning efforts and targets, whether through its common stock dividend or through a share repurchase program, substantially depends, among other things, on regulatory capital requirements, including the annual recalibration of the Stress Capital Buffer (SCB), which is based upon the results of the CCAR process required by the FRB, and recalibration of the GSIB surcharge.

Citi's ability to return capital also depends on its results of operations and financial condition, including the capital impact related to its remaining divestitures, such as, among other things, any temporary capital impact from CTA losses (net of hedges) between transaction signings and closings and achievement of the expected capital benefits from the divestitures (for additional information, see 'Executive Summary' above and the continued investments risk factor below); Citi's effectiveness in planning, managing and calculating its level of risk-weighted assets under both the Advanced Approaches and the Standardized Approach, Supplementary Leverage ratio (SLR) and GSIB surcharge; its implementation and maintenance of an effective capital planning process and management framework; forecasts of macroeconomic conditions; and deferred tax asset (DTA) utilization (see the ability to utilize DTA risk factor below).

Changes in regulatory capital rules, requirements or interpretations could continue to have a material impact on Citi's regulatory capital. For example, on October 1, 2022, Citi's required regulatory CET1 Capital ratio increased to 11.5% from 10.5% due to an increase in the SCB requirement (see below for information on calculation of the SCB). In addition, on January 1, 2023, Citi's required regulatory CET1 Capital ratio further increased to 12% from 11.5% under the Standardized Approach, as the current GSIB surcharge increased to 3.5% from 3.0%. Due to these increases as well as macroeconomic uncertainty, Citi paused common share repurchases beginning as of the third quarter of 2022. In addition, the U.S. banking agencies are considering a number of changes to the U.S. regulatory capital framework in the future, including, but not limited to, revisions to the U.S. Basel III rules, and potential changes to the GSIB surcharge, SLR and discretionary Countercyclical Capital Buffer. All of these potential changes could negatively impact Citi's regulatory capital position or increase Citi's regulatory capital requirements.

All firms subject to CCAR requirements, including Citi, will continue to be subject to a rigorous regulatory evaluation of capital planning practices, including, but not limited to, governance, risk management, data quality and internal controls. Citi's ability to return capital may be adversely impacted if such an evaluation of Citi results in negative findings. The FRB has stated that it expects capital adequacy practices to continue to evolve and to likely be determined by its yearly cross-firm review of capital plan submissions. Similarly, the FRB has indicated that, as part of its stated goal to continually evolve its annual stress testing requirements, several parameters of the annual stress testing process may continue to be altered, including the severity of the stress test scenario, the FRB modeling of Citi's balance sheet, pre-provision net revenue and stress losses, and the addition of components deemed important by the FRB. For information on limitations on Citi's ability to return capital to common shareholders, as well as the CCAR process, supervisory stress test requirements and GSIB surcharge, see 'Capital Resources-Overview' and 'Capital Resources-Stress Testing Component of Capital Planning' above and the risk management risk factor below.

Beginning January 1, 2022, Citi was required to phase into regulatory capital, at 25% per year, the changes in retained earnings, DTAs and ACL determined upon the January 1, 2020 CECL adoption date, as well as subsequent changes in the ACL through December 31, 2021. The FRB has stated that it plans to maintain its current framework for calculating allowances on loans in the supervisory stress test through the 2023 supervisory stress test cycle, while continuing to evaluate appropriate future enhancements to this framework. The impacts on Citi's capital adequacy of the FRB's incorporation of CECL into its supervisory stress tests on an ongoing basis, and of other potential regulatory changes in the FRB's stress testing methodologies, remain unclear. For additional information regarding the CECL methodology, including the transition provisions related to the adverse regulatory capital effects resulting from adoption of the CECL methodology, see 'Capital Resources-Current Regulatory Capital Standards-Regulatory Capital Treatment-Modified

42

Transition of the Current Expected Credit Losses Methodology” above and Note 1.

In addition, the annual stress testing requirements are integrated into ongoing regulatory capital requirements. Citi’s SCB equals the maximum decline in its CET1 Capital ratio under the supervisory severely adverse scenario over a nine-quarter CCAR measurement period, plus four quarters of planned common stock dividends, subject to a minimum requirement of 2.5%. The SCB is calculated by the FRB using its proprietary data and modeling of each firm’s results. Accordingly, Citi’s SCB may change annually, based on the supervisory stress test results, thus potentially resulting in additional volatility in the calculation of Citi’s required regulatory CET1 Capital ratio under the Standardized Approach. Similar to the other regulatory capital buffers, a breach of the SCB may result in graduated limitations on capital distributions. For additional information on the SCB, see “Capital Resources-Regulatory Capital Buffers” above.

Although various uncertainties exist regarding the extent of, and the ultimate impact to Citi from, these changes to the FRB’s regulatory capital, stress testing and CCAR regimes, these changes could increase the level of capital Citi is required or elects to hold, including as part of Citi’s management buffer, thus potentially impacting the extent to which Citi is able to return capital to shareholders.

# ***Citi Must Continually Review, Analyze and Successfully Adapt to Ongoing Regulatory and Legislative Uncertainties and Changes in the U.S. and Globally.***

Citi, its management and its businesses continue to face ongoing regulatory and legislative uncertainties and changes, both in the U.S. and globally. While the areas of ongoing regulatory and legislative uncertainties and changes facing Citi are too numerous to list completely, examples include, but are not limited to (i) potential fiscal, monetary, tax, sanctions and other changes promulgated by the U.S. federal government and other governments, including as a result of priority shifts depending on individuals, political parties and other groups in governmental positions; (ii) potential changes to various aspects of the regulatory capital framework and requirements applicable to Citi, including the Basel III rules (see the capital return risk factor and “Capital Resources-Regulatory Capital Standards Developments” above); and (iii) rapidly evolving legislative and regulatory requirements and other government initiatives in the U.S. and globally related to climate change and other ESG areas that vary, and may conflict, across jurisdictions, including any new disclosure requirements (see the climate change risk factor below). References to “regulatory” refer to both formal regulation and the views and expectations of Citi’s regulators in their supervisory roles.

For example, in February 2023, the Consumer Financial Protection Bureau proposed significant changes to the maximum amounts on credit card late fees, which, if adopted as proposed, would reduce credit card fee revenues in Branded cards and Retail services in *PBWM*. In addition, U.S. and international regulatory and legislative initiatives have not always been undertaken or implemented on a coordinated basis, and areas of divergence have developed and continue to develop with respect to their scope, interpretation, timing, structure or approach, leading to inconsistent or even

conflicting requirements, including within a single jurisdiction. For example, in 2019, the European Commission adopted, as part of Capital Requirements Directive V (CRD V), a new requirement for major banking groups headquartered outside the EU (which would include Citi) to establish an intermediate EU holding company where the foreign bank has two or more institutions (broadly meaning banks, broker-dealers and similar financial firms) established in the EU. While in some respects the requirement mirrors an existing U.S. requirement for non-U.S. banking organizations to form U.S. intermediate holding companies, the implementation of the EU holding company requirement could lead to additional complexity with respect to Citi’s resolution planning, capital and liquidity allocation and efficiency in various jurisdictions.

Further, ongoing regulatory and legislative uncertainties and changes make Citi’s and its management’s long-term business, balance sheet and strategic budget planning difficult, subject to change and potentially more costly and may impact its results of operations. U.S. and other regulators globally have implemented and continue to discuss various changes to certain regulatory requirements, which would require ongoing assessment by management as to the impact to Citi, its businesses and business planning. For example, while the Basel III regulatory reforms and revised market risk framework have been finalized at the international level, there remain significant uncertainties with respect to the integration of these revisions into the U.S. regulatory capital framework. Business planning is required to be based on possible or proposed rules or outcomes, which can change dramatically upon finalization, or upon implementation or interpretive guidance from numerous regulatory bodies worldwide, and such guidance can change. Regulatory and legislative changes have also significantly increased Citi’s compliance risks and costs (see the implementation and interpretation of regulatory changes risk factor below) and can adversely affect Citi’s businesses, results of operations and financial condition.

# ***Citi's Continued Investment and Other Initiatives as Part of Its Transformation and Strategic Refresh May Not Be as Successful as It Projects or Expects.***

As part of its transformation and other strategic initiatives, Citi continues to make significant investments to improve its risk and control environment, modernize its data and technology infrastructure and further enhance safety and soundness (for additional information on these investments, see “Executive Summary” above and the legal and regulatory proceedings risk factor below). Citi also continues to make business-led investments, as part of the execution of its strategic refresh. For example, Citi has been making investments across the Company, including, for example, hiring front office colleagues and enhancing product capabilities and platforms to improve client digital experiences and add scalability and implementing new capabilities and partnerships. Citi has also been pursuing productivity improvements through various technology and digital initiatives, organizational simplification and location strategies.

Citi’s multiyear transformation initiatives involve significant execution complexity, and there is inherent risk that these will not be as productive or effective as Citi expects,

43

or at all. Conversely, failure to properly invest in and upgrade Citi's technology and processes could result in Citi's inability to meet regulatory expectations, be sufficiently competitive, serve clients effectively and avoid operational errors (for additional information, see the operational processes and systems and legal and regulatory proceedings risk factors below). Moreover, Citi's ability to achieve expected returns on its investments and productivity improvements depends, in part, on factors that it cannot control, including, among others, macroeconomic challenges and uncertainties; customer, client and competitor actions; and ongoing regulatory requirements or changes.

Citi's strategic refresh also includes the divestiture of its remaining consumer banking businesses in *Legacy Franchises*, including Mexico Consumer/SBMM, in order to simplify the Company and enhance its allocation of resources. These divestitures involve significant uncertainty and execution complexity, and may result in additional CTA or other losses, charges or other negative financial or strategic impacts, which could be material (for information about risks related to Citi's operations in Russia, see the macroeconomic challenges and uncertainties risk factor above and 'Managing Global Risk-Other Risks-Country Risk-Russia' below). For additional information about CTA losses, see 'Executive Summary' and the capital return risk factor above and the incorrect assumptions or estimates risk factor below.

Citi's investment and other initiatives may continue to evolve as its business strategies, the market environment and regulatory expectations change, which could make the initiatives more costly and more challenging to implement, and limit their effectiveness.

### ***Climate Change Presents Various Financial and Non-Financial Risks to Citi and its Customers and Clients.***

Climate change presents both immediate and long-term risks to Citi and its customers and clients, with the risks expected to increase over time. Climate risks can arise from both physical risks (those risks related to the physical effects of climate change) and transition risks (risks related to regulatory, market, technological, stakeholder and legal changes from a transition to a low-carbon economy). Physical and transition risks can manifest themselves differently across Citi's risk categories in the short, medium and long terms. Physical risks from climate change include acute risks, such as hurricanes and floods, as well as consequences of chronic changes in climate, such as rising sea levels, prolonged droughts and systemic changes to geographies and any resulting population migration. Such physical risks could have adverse financial, operational and other impacts on Citi, both directly on its business and operations, and indirectly as a result of impacts to Citi's clients, customers, vendors and other counterparties. These impacts can include destruction, damage or impairment of properties and other assets, disruptions to business operations and supply chains and reduced availability or increase in the cost of insurance. Physical risks can also impact Citi's credit risk exposures, for example, in its mortgage and commercial real estate lending businesses.

Transition risks may arise from changes in regulations or market preferences toward low-carbon industries or sectors, which in turn could have negative impacts on asset values,

results of operations or the reputations of Citi and its customers and clients. For example, Citi's corporate credit exposures include oil and gas, power and other industries that may experience reduced demand for carbon-intensive products due to the transition to a low-carbon economy. Failure to adequately consider transition risk in developing and executing on its business strategy could lead to a loss of market share, lower revenues and higher credit costs.

Additionally, if Citi's response to climate change is perceived to be ineffective or insufficient or Citi is unable to achieve its objectives or commitments relating to climate change, its businesses, reputation, attractiveness to certain investors and efforts to recruit and retain employees may suffer. For example, the need to decarbonize in a gradual and orderly way, while promoting energy security, may lead to continued exposure to carbon-intensive activity that in turn may raise such reputational risks.

Even as some regulators seek to mandate additional disclosure of climate-related information, Citi's ability to comply with such requirements and conduct more robust climate-related risk analyses may be hampered by lack of information and reliable data. Data on climate-related risks is limited in availability, often based on estimated or unverified figures, collected and reported on a lag, and variable in quality. Modeling capabilities to analyze climate-related risks and interconnections are improving, but remain incomplete. Moreover, U.S. and non-U.S. banking regulators and others are increasingly focusing on the issue of climate risk at financial institutions, both directly and with respect to their clients. For example, in December 2022, the FRB requested comment on draft principles that would provide a high-level framework for the safe and sound management of exposures to climate-related financial risks for FRB-supervised financial institutions with more than $100 billion in assets.

Legislative and regulatory changes and uncertainties regarding climate-related risk management and disclosures are likely to result in higher regulatory, compliance, credit, reputational and other risks and costs for Citi (for additional information, see the ongoing regulatory and legislative uncertainties and changes risk factor above). In addition, Citi could face increased regulatory, reputational and legal scrutiny as a result of its climate risk, sustainability and other ESG-related commitments and disclosures. Citi also faces potentially conflicting anti-ESG initiatives from certain U.S. state governments that may impact its ability to conduct certain business within those jurisdictions, as well as from Congress.

For information on Citi's climate and other sustainability initiatives, see 'Sustainability and Other ESG Matters' below. For additional information on Citi's management of climate risk, see 'Managing Global Risk-Strategic Risks-Climate Risk' below.

### ***Citi's Ability to Utilize Its DTAs, and Thus Reduce the Negative Impact of the DTAs on Citi's Regulatory Capital, Will Be Driven by Its Ability to Generate U.S. Taxable Income.***

At December 31, 2022, Citi's net DTAs were $27.7 billion, net of a valuation allowance of $2.4 billion, of which $10.9 billion was deducted from Citi's CET1 Capital under the U.S.

44

Basel III rules, primarily relating to net operating losses, foreign tax credit and general business credit carry-forwards. Of the net DTAs at December 31, 2022, $1.9 billion related to foreign tax credit (FTC) carry-forwards, net of a valuation allowance. The carry-forward utilization period for FTCs is 10 years and represents the most time-sensitive component of Citi's DTAs. The FTC carry-forwards at December 31, 2022 expire over the period of 2025-2029. Citi must utilize any FTCs generated in the then-current-year tax return prior to utilizing any carry-forward FTCs.

The accounting treatment for realization of DTAs, including FTCs, is complex and requires significant judgment and estimates regarding future taxable earnings in the jurisdictions in which the DTAs arise and available tax planning strategies. Forecasts of future taxable earnings will depend upon various factors, including, among others, macroeconomic conditions. In addition, any future increase in U.S. corporate tax rates could result in an increase in Citi's DTA, which may subject more of Citi's existing DTA to exclusion from regulatory capital while improving Citi's ability to utilize its FTC carry-forwards.

Citi's overall ability to realize its DTAs will primarily be dependent upon its ability to generate U.S. taxable income in the relevant tax carry-forward periods. Although utilization of FTCs in any year is generally limited to 21% of foreign source taxable income in that year, overall domestic losses (ODL) that Citi has incurred in the past allow it to reclassify domestic source income as foreign source. Failure to realize any portion of the net DTAs would have a corresponding negative impact on Citi's net income and financial returns. Citi has not been and does not expect to be subject to the Base Erosion Anti-Abuse Tax (BEAT), which, if applicable to Citi in any given year, would have a significantly adverse effect on both Citi's net income and regulatory capital. For additional information on Citi's DTAs, including FTCs, see 'Significant Accounting Policies and Significant Estimates-Income Taxes' below and Notes 1 and 9.

# ***Citi's Interpretation or Application of the Complex Tax Laws to Which It Is Subject Could Differ from Those of Governmental Authorities, Which Could Result in Litigation or Examinations and the Payment of Additional Taxes, Penalties or Interest.***

Citi is subject to various income-based tax laws of the U.S. and its states and municipalities, as well as the numerous non-U.S. jurisdictions in which it operates. These tax laws are inherently complex, and Citi must make judgments and interpretations about the application of these laws to its entities, operations and businesses.

For example, the Organization for Economic Cooperation and Development (OECD) Pillar 2 initiative contemplates a 15% global minimum tax with respect to earnings in each separate country. EU member states are required to adopt the OECD Pillar 2 rules in 2023, and other non-U.S. countries are expected to follow suit. Under these rules, Citi will be required to pay a 'top-up' tax to the extent that Citi's effective tax rate in any given country is below 15%. The U.S. is not expected to pass Pillar 2 legislation in the near term, but the top-up tax can be collected by other countries. While many aspects of the

application of the rules remain uncertain, Citi does not expect a material effect to its earnings.

In addition, Citi is subject to litigation or examinations with U.S. and non-U.S. tax authorities regarding non-income-based tax matters. While Citi has appropriately reserved for such matters where there is a probable loss, and has disclosed, as reasonably possible, matters that are more-likely-than-not, the outcome from the matters may be different than Citi's expectations. Citi's interpretations or application of the tax laws, including with respect to withholding, stamp, service and other non-income taxes, could differ from that of the relevant governmental taxing authority, which could result in the requirement to pay additional taxes, penalties or interest, which could be material. See Note 29 for additional information on litigation and examinations involving non-U.S. tax authorities.

# ***A Deterioration in or Failure to Maintain Citi's Co-Branding or Private Label Credit Card Relationships Could Have a Negative Impact on Citi.***

Citi has co-branding and private label relationships through its Branded cards and Retail services credit card businesses with various retailers and merchants, whereby in the ordinary course of business Citi issues credit cards to customers of the retailers or merchants. The five largest relationships across both businesses in U.S. Personal Banking constituted an aggregate of approximately 10% of Citi's revenues in 2022 (for additional information, see 'Personal Banking and Wealth Management' above). Citi's co-branding and private label agreements often provide for shared economics between the parties and generally have a fixed term.

Competition among card issuers, including Citi, for these relationships is significant, and Citi may not be able to maintain such relationships on existing terms or at all. Citi's co-branding and private label relationships could also be negatively impacted by, among other things, the general economic environment, including the impacts of significantly elevated levels of inflation, higher interest rates, global supply shocks and lower economic growth rates, as well as an increasing risk of recession; changes in consumer sentiment, spending patterns and credit card usage behaviors; a decline in sales and revenues, partner store closures, any reduction in air and business travel, or other operational difficulties of the retailer or merchant; early termination due to a contractual breach or exercise of other early termination right; or other factors, including bankruptcies, liquidations, restructurings, consolidations or other similar events, whether due to the challenging macroeconomic environment or otherwise.

These events, particularly early termination and bankruptcies or liquidations, could negatively impact the results of operations or financial condition of Branded cards, Retail services or Citi as a whole, including as a result of loss of revenues, increased expenses, higher cost of credit, impairment of purchased credit card relationships and contract-related intangibles or other losses (see Note 16 for information on Citi's credit card related intangibles generally).

45

# ***Citi's Inability in Its Resolution Plan Submissions to Address Any Shortcomings or Deficiencies or Guidance Provided Could Subject Citi to More Stringent Capital, Leverage or Liquidity Requirements, or Restrictions on Its Growth, Activities or Operations, and Could Eventually Require Citi to Divest Assets or Operations.***

Title I of the Dodd-Frank Act requires Citi to prepare and submit a plan to the FRB and the FDIC for the orderly resolution of Citigroup (the bank holding company) and its significant legal entities under the U.S. Bankruptcy Code in the event of future material financial distress or failure. On November 22, 2022, the FRB and FDIC issued feedback on the resolution plans filed on July 1, 2021 by the eight U.S. GSIBs, including Citi. The FRB and FDIC identified one shortcoming, but no deficiencies, in Citi's 2021 resolution plan. The shortcoming related to data integrity and data quality management issues, specifically, weaknesses in Citi's processes and practices for producing certain data that could materially impact its resolution capabilities. If a shortcoming is not satisfactorily explained or addressed before, or in, the submission of the next resolution plan, the shortcoming may be found to be a deficiency in the next resolution plan. For additional information on Citi's resolution plan submissions, see 'Managing Global Risk-Liquidity Risk' below.

Under Title I, if the FRB and the FDIC jointly determine that Citi's resolution plan is not 'credible' (which, although not defined, is generally believed to mean the regulators do not believe the plan is feasible or would otherwise allow Citi to be resolved in a way that protects systemically important functions without severe systemic disruption), or would not facilitate an orderly resolution of Citi under the U.S. Bankruptcy Code, and Citi fails to resubmit a resolution plan that remedies any identified deficiencies, Citi could be subjected to more stringent capital, leverage or liquidity requirements, or restrictions on its growth, activities or operations. If within two years from the imposition of any such requirements or restrictions Citi has still not remediated any identified deficiencies, then Citi could eventually be required to divest certain assets or operations. Any such restrictions or actions would negatively impact Citi's reputation, market and investor perception, operations and strategy.

# ***Citi's Performance and Its Ability to Effectively Execute Its Transformation and Other Strategic Initiatives Could Be Negatively Impacted if It Is Not Able to Compete for, Retain and Motivate Highly Qualified Colleagues.***

Recent employment conditions and inflationary pressures have made the competition to hire and retain qualified employees significantly more challenging and costly. Citi's performance and the performance of its individual businesses largely depend on the talents and efforts of its diverse and highly qualified colleagues. Specifically, Citi's continued ability to compete in each of its lines of business, to manage its businesses effectively and to execute its transformation and other strategic initiatives, including, for example, hiring front office colleagues to grow businesses or hiring colleagues to support transformation of its risk, controls, data and finance infrastructure and compliance, depends on its ability to attract new colleagues and to retain and motivate its existing

colleagues. If Citi is unable to continue to attract, retain and motivate the most highly qualified colleagues, Citi's performance, including its competitive position, the execution of its transformation and other strategic initiatives and its results of operations could be negatively impacted.

Citi's ability to attract, retain and motivate colleagues depends on numerous factors, some of which are outside of its control. For example, the competition for talent recently has been particularly intense, and attrition rates have risen due to factors such as low unemployment, a strong job market with a large number of open positions, and changes in worker's expectations, concerns and preferences, in part due to the pandemic, including an increased demand for remote work options and other job flexibility. Also, the banking industry generally is subject to more comprehensive regulation of employee compensation than other industries, including deferral and clawback requirements for incentive compensation, which can make it unusually challenging for Citi to compete in labor markets against businesses, including for example technology companies, that are not subject to such regulation. Other factors that could impact its ability to attract, retain and motivate colleagues include, among other things, Citi's presence in a particular market or region, the professional and development opportunities and employee benefits it offers, its reputation and its diversity. For information on Citi's colleagues and workforce management, see 'Human Capital Resources and Management' below.

# ***Citi Faces Increased Competitive Challenges, Including from Financial Services and Other Companies and Emerging Technologies.***

Citi operates in an increasingly evolving and competitive business environment, which includes both financial and non-financial services firms, such as traditional banks, online banks, financial technology companies and others. These companies compete on the basis of, among other factors, size, reach, quality and type of products and services offered, price, technology and reputation. Certain competitors may be subject to different and, in some cases, less stringent legal and regulatory requirements, whether due to size, jurisdiction, entity type or other factors, placing Citi at a competitive disadvantage.

For example, Citi competes with other financial services companies in the U.S. and globally that continue to develop and introduce new products and services. In recent years, non-traditional financial services firms, such as financial technology companies, have begun to offer services traditionally provided by financial institutions, such as Citi, and have sought bank charters to provide these services. These firms attempt to use technology and mobile platforms to enhance the ability of companies and individuals to borrow, save and invest money. Emerging technologies have the potential to intensify competition and accelerate disruption in the financial services industry. For example, despite recent turmoil in the digital asset market, there is sustained interest from clients and investors in digital assets. Financial services firms and other market participants have begun to offer services related to those assets. However, Citi may not be able to provide the same or similar services for legal or regulatory reasons and due to increased compliance and other risks. In

46

addition, changes in the payments space (e.g., instant and 24x7 payments) are accelerating, and, as a result, certain of Citi's products and services could become less competitive.

Increased competition and emerging technologies have required and could require Citi to change or adapt its products and services to attract and retain customers or clients or to compete more effectively with competitors, including new market entrants. Simultaneously, as Citi develops new products and services leveraging emerging technologies, new risks may emerge that, if not designed and governed adequately, may result in control gaps and in Citi operating outside of its risk appetite. For example, instant and 24x7 payments products could be accompanied by challenges to forecasting and managing liquidity, as well as increased operational and compliance risks.

Moreover, Citi relies on third parties to support certain of its product and service offerings, which may put Citi at a disadvantage to competitors who may directly offer a broader array of products and services. Also, Citi's businesses, results of operations and reputation may suffer if any third party is unable to provide adequate support for such product and service offerings, whether due to operational incidents or otherwise (for additional information, see the operational processes and systems, cybersecurity and emerging markets risk factors below).

To the extent that Citi is not able to compete effectively with financial technology companies and other firms, Citi could be placed at a competitive disadvantage, which could result in loss of customers and market share, and its businesses, results of operations and financial condition could suffer. For additional information on Citi's competitors, see the co-brand and private label cards and qualified colleagues risk factors above and 'Supervision, Regulation and Other-Competition' below.

## OPERATIONAL RISKS

### *A Failure or Disruption of Citi's Operational Processes or Systems Could Negatively Impact Its Reputation, Customers, Clients, Businesses or Results of Operations and Financial Condition.*

Citi's global operations rely heavily on its technology, including the accurate, timely and secure processing, management, storage and transmission of confidential transactions, data and other information as well as the monitoring of a substantial amount of data and complex transactions in real time. Citi obtains and stores an extensive amount of personal and client-specific information for its consumer and institutional customers and clients, and must accurately record and reflect their extensive account transactions. Citi's operations must also comply with complex and evolving laws and regulations in the countries in which it operates. With the evolving proliferation of new technologies and the increasing use of the internet, mobile devices and cloud technologies to conduct financial transactions and customers' and clients' increasing use of online banking and trading systems and other platforms, large global financial institutions such as Citi have been, and will continue to be, subject to an ever-increasing risk of operational loss, failure or disruption, including as a result of cyber or information

security incidents (for additional information, see the cybersecurity risk factor below).

Although Citi has continued to upgrade its technology, including systems to automate processes and enhance efficiencies, operational incidents are unpredictable and can arise from numerous sources, not all of which are fully within Citi's control. These include, among others, human error, such as manual transaction processing errors, which can be exacerbated by staffing challenges and processing backlogs; fraud or malice on the part of employees or third parties; operational or execution failures or deficiencies by third parties; insufficient (or limited) straight-through processing between legacy systems and any failure to design and effectively operate controls that mitigate operational risks associated with those legacy systems leading to potential risk of errors and operating losses; accidental system or technological failure; electrical or telecommunication outages; failures of or cyber incidents involving computer servers or infrastructure; or other similar losses or damage to Citi's property or assets (see also the climate change risk factor above).

For example, Citi has experienced and could experience further losses associated with manual transaction processing errors, including erroneous payments to lenders or manual errors by Citi traders that cause system and market disruptions and losses for Citi and its clients. Irrespective of the sophistication of the technology utilized by Citi, there will always be some room for human error. In view of the large transactions in which Citi engages, such errors could result in significant losses. While Citi has change management processes in place to appropriately upgrade its operational processes and systems to ensure that any changes introduced do not adversely impact security and operational continuity, such change management can fail or be ineffective. Operational incidents can also arise as a result of failures by third parties with which Citi does business, such as failures by internet, mobile technology and cloud service providers or other vendors to adequately follow procedures or processes, safeguard their systems or prevent system disruptions or cyberattacks.

Incidents that impact information security and/or technology operations may cause disruptions and/or malfunctions within Citi's businesses (e.g., the temporary loss of availability of Citi's online banking system or mobile banking platform), as well as the operations of its clients, customers or other third parties. In addition, operational incidents could involve the failure or ineffectiveness of internal processes or controls. Given Citi's global footprint and the high volume of transactions processed by Citi, certain failures, errors or actions may be repeated or compounded before they are discovered and rectified, which would further increase the consequences and costs. Operational incidents could result in financial losses as well as misappropriation, corruption or loss of confidential and other information or assets, which could significantly negatively impact Citi's reputation, customers, clients, businesses or results of operations and financial condition. Cyber-related and other operational incidents can also result in legal and regulatory actions or proceedings, fines and other costs (see the legal and regulatory proceedings risk factor below).

47

For information on Citi’s management of operational risk, see “Managing Global Risk-Operational Risk” below.

# ***Citi's and Third Parties' Computer Systems and Networks Will Continue to Be Susceptible to an Increasing Risk of Continually Evolving, Sophisticated Cybersecurity Incidents That Could Result in the Theft, Loss, Misuse or Disclosure of Confidential Client or Customer Information, Damage to Citi's Reputation, Additional Costs to Citi, Regulatory Penalties, Legal Exposure and Financial Losses.***

Citi’s computer systems, software and networks are subject to ongoing cyber incidents, such as unauthorized access, loss or destruction of data (including confidential client information), account takeovers, disruptions of service, phishing, malware, ransomware, computer viruses or other malicious code, cyberattacks and other similar events. These threats can arise from external parties, including cyber criminals, cyber terrorists, hacktivists (individuals or groups using cyberattacks to promote a political or social agenda) and nation-state actors, as well as insiders who knowingly or unknowingly engage in or enable malicious cyber activities.

The increasing use of mobile and other digital banking platforms and services, cloud technologies and connectivity solutions to facilitate remote working for Citi’s employees all increase Citi’s exposure to cybersecurity risks. Citi’s wind-down of its businesses in Russia could also increase its susceptibility to cyberattacks (for additional information about Citi’s exposures related to its Russia operations, see the macroeconomic and geopolitical risk factor above and “Managing Global Risk-Other Risks-Country Risk-Russia” below).

Third parties with which Citi does business, as well as retailers and other third parties with which Citi’s customers do business, may also be sources of cybersecurity risks, particularly where activities of customers are beyond Citi’s security and control systems. For example, Citi outsources certain functions, such as processing customer credit card transactions, uploading content on customer-facing websites and developing software for new products and services. These relationships allow for the storage and processing of customer information by third-party hosting of, or access to, Citi websites, which could lead to compromise or the potential to introduce vulnerable or malicious code, resulting in security breaches impacting Citi customers. Furthermore, because financial institutions are becoming increasingly interconnected with central agents, exchanges and clearing houses, including as a result of derivatives reforms over the last few years, Citi has increased exposure to cyberattacks through third parties. While many of Citi’s agreements with third parties include indemnification provisions, Citi may not be able to recover sufficiently, or at all, under these provisions to adequately offset any losses Citi may incur from third-party cyber incidents.

Citi and some of its third-party partners have been subject to attempted and sometimes successful cyberattacks from external sources over the last several years, including (i) denial of service attacks, which attempt to interrupt service to clients and customers; (ii) hacking and malicious software installations intended to gain unauthorized access to information systems or to disrupt those systems; (iii) data

breaches due to unauthorized access to customer account data; and (iv) malicious software attacks on client systems, in attempts to gain unauthorized access to Citi systems or client data under the guise of normal client transactions. While Citi’s monitoring and protection services were able to detect and respond to the incidents targeting its systems before they became significant, they still resulted in limited losses in some instances as well as increases in expenditures to monitor against the threat of similar future cyber incidents. There can be no assurance that such cyber incidents will not occur again, and they could occur more frequently, via novel tactics and on a more significant scale.

Further, although Citi devotes significant resources to implement, maintain, monitor and regularly upgrade its systems and networks with measures such as intrusion detection and prevention and firewalls to safeguard critical business applications, there is no guarantee that these measures or any other measures can provide absolute security. Because the techniques used to initiate cyberattacks change frequently or, in some cases, are not recognized until launched or even later, Citi may be unable to implement effective preventive measures or otherwise proactively address these methods. In addition, given the evolving nature of cyber threat actors and the frequency and sophistication of the cyber activities they carry out, the determination of the severity and potential impact of a cyber incident may not become apparent for a substantial period of time following discovery of the incident. Also, while Citi engages in certain actions to reduce the exposure resulting from outsourcing, such as performing security control assessments of third-party vendors and limiting third-party access to the least privileged level necessary to perform job functions, these actions cannot prevent all third-party-related cyberattacks or data breaches.

Cyber incidents can result in the disclosure of personal, confidential or proprietary customer, client or employee information, damage to Citi’s reputation with its clients and the market, customer dissatisfaction and additional costs to Citi, including expenses such as repairing systems, replacing customer payment cards, credit monitoring or adding new personnel or protection technologies. Cyber incidents can also result in regulatory penalties, loss of revenues, exposure to litigation and other financial losses, including loss of funds, to both Citi and its clients and customers and disruption to Citi’s operational systems (for additional information on the potential impact of operational disruptions, see the operational processes and systems risk factor above). Moreover, the increasing risk of cyber incidents has resulted in increased legislative and regulatory scrutiny of firms’ cybersecurity protection services and calls for additional laws and regulations to further enhance protection of consumers’ personal data.

While Citi maintains insurance coverage that may, subject to policy terms and conditions including significant self-insured deductibles, cover certain aspects of cyber risks, such insurance coverage may be insufficient to cover all losses and may not take into account reputational harm, the costs of which are impossible to quantify.

For additional information about Citi’s management of cybersecurity risk, see “Managing Global Risk-Operational Risk-Cybersecurity Risk” below.

48

# ***Changes or Errors in Accounting Assumptions, Judgments or Estimates, or the Application of Certain Accounting Principles, Could Result in Significant Losses or Other Adverse Impacts.***

U.S. GAAP requires Citi to use certain assumptions, judgments and estimates in preparing its financial statements, including, among other items, the estimate of the ACL; reserves related to litigation, regulatory and tax matters; valuation of DTAs; the fair values of certain assets and liabilities; and the assessment of goodwill and other assets for impairment. These assumptions, judgments and estimates are inherently limited because they involve techniques, including the use of historical data in many circumstances, that cannot anticipate every economic and financial outcome in the markets in which Citi operates, nor can they anticipate the specifics and timing of such outcomes. For example, many models used by Citi include assumptions about correlation or lack thereof among prices of various asset classes or other market indicators that may not hold in times of market stress, limited liquidity or other unforeseen circumstances. If Citi's assumptions, judgments or estimates underlying its financial statements are incorrect or differ from actual or subsequent events, Citi could experience unexpected losses or other adverse impacts, some of which could be significant. Citi could also experience declines in its stock price, be subject to legal and regulatory proceedings and incur fines and other losses. For additional information on the key areas for which assumptions and estimates are used in preparing Citi's financial statements, see 'Significant Accounting Policies and Significant Estimates' below and Notes 1 and 15.

For example, the CECL methodology requires that Citi provide reserves for a current estimate of lifetime expected credit losses for its loan portfolios and other financial assets, as applicable, at the time those assets are originated or acquired. This estimate is adjusted each period for changes in expected lifetime credit losses. Citi's ACL estimate depends upon its CECL models and assumptions; forecasted macroeconomic conditions, including, among other things, the U.S. unemployment rate and U.S. inflation-adjusted gross domestic product (real GDP); and the credit indicators, composition and other characteristics of Citi's loan portfolios and other applicable financial assets. These model assumptions and forecasted macroeconomic conditions will change over time, resulting in variability in Citi's ACL, and, thus, impact its results of operations and financial condition, as well as regulatory capital due to the CECL phase-in (for additional information on the CECL phase-in, see the capital return risk factor above).

Moreover, Citi has incurred losses related to its foreign operations that are reported in the CTA components of *Accumulated other comprehensive income (loss) (AOCI)*. In accordance with U.S. GAAP, a sale, substantial liquidation or other deconsolidation event of any foreign operations, such as those related to Citi's remaining divestitures or legacy businesses, would result in reclassification of any foreign CTA component of *AOCI* related to that foreign operation, including related hedges and taxes, into Citi's earnings. For example, in the second quarter of 2022, Citi incurred a CTA loss (net of hedges) in *AOCI* released to earnings of approximately $400 million ($345 million after-tax) related to

the substantial liquidation of a legacy U.K. consumer operation (for additional information, see 'Legacy Franchises' and 'Corporate/Other' above and Note 2). For additional information on Citi's accounting policy for foreign currency translation and its foreign CTA components of *AOCI*, see Notes 1 and 20.

# ***Changes to Financial Accounting and Reporting Standards or Interpretations Could Have a Material Impact on How Citi Records and Reports Its Financial Condition and Results of Operations.***

Periodically, the Financial Accounting Standards Board (FASB) issues financial accounting and reporting standards that govern key aspects of Citi's financial statements or interpretations thereof when those standards become effective, including those areas where Citi is required to make assumptions or estimates. Changes to financial accounting or reporting standards or interpretations, whether promulgated or required by the FASB, the SEC, banking regulators or others, could present operational challenges and could also require Citi to change certain of the assumptions or estimates it previously used in preparing its financial statements, which could negatively impact how it records and reports its financial condition and results of operations generally and/or with respect to particular businesses. See Note 1 for additional information on Citi's accounting policies and changes in accounting, including the expected impacts on Citi's results of operations and financial condition.

# ***If Citi's Risk Management Processes, Strategies or Models Are Deficient or Ineffective, Citi May Incur Significant Losses and Its Regulatory Capital and Capital Ratios Could Be Negatively Impacted.***

Citi utilizes a broad and diversified set of risk management and mitigation processes and strategies, including the use of models in enacting processes and strategies as well as in analyzing and monitoring the various risks Citi assumes in conducting its activities. For example, Citi uses models as part of its comprehensive stress testing initiatives across the Company. Citi also relies on data to aggregate, assess and manage various risk exposures. Management of these risks is made more challenging within a global financial institution such as Citi, particularly given the complex, diverse and rapidly changing financial markets and conditions in which Citi operates as well as that losses can occur unintentionally from untimely, inaccurate or incomplete processes and data. As discussed below, in October 2020, Citigroup and Citibank entered into consent orders with the FRB and OCC that require Citigroup and Citibank to make improvements in various aspects of enterprise-wide risk management, compliance, data quality management and governance and internal controls (see 'Citi's Consent Order Compliance' above and the legal and regulatory proceedings risk factor below).

Citi's risk management processes, strategies and models are inherently limited because they involve techniques, including the use of historical data in many circumstances, assumptions and judgments that cannot anticipate every economic and financial outcome in the markets in which Citi operates, nor can they anticipate the specifics and timing of

49

such outcomes. For example, many models used by Citi include assumptions about correlation or lack thereof among prices of various asset classes or other market indicators that may not necessarily hold in times of market stress, limited liquidity or other unforeseen circumstances. Citi could incur significant losses, and its regulatory capital and capital ratios could be negatively impacted, if Citi's risk management processes, including its ability to manage and aggregate data in a timely and accurate manner, strategies or models are deficient or ineffective. Such deficiencies or ineffectiveness could also result in inaccurate financial, regulatory or risk reporting.

Moreover, Citi's Basel III regulatory capital models, including its credit, market and operational risk models, currently remain subject to ongoing regulatory review and approval, which may result in refinements, modifications or enhancements (required or otherwise) to these models. Citi is required to notify and obtain preapproval from both the OCC and FRB prior to implementing certain risk-weighted asset treatments, as well as certain model changes, resulting in a more challenging environment within which Citi must operate in managing its risk-weighted assets. Modifications or requirements resulting from these ongoing reviews, as well as any future changes or guidance provided by the U.S. banking agencies regarding the regulatory capital framework applicable to Citi, have resulted in, and could continue to result in, significant changes to Citi's risk-weighted assets. These changes can negatively impact Citi's capital ratios and its ability to achieve its regulatory capital requirements.

## CREDIT RISKS

### *Credit Risk and Concentrations of Risk Can Increase the Potential for Citi to Incur Significant Losses.*

Citi has credit exposures to consumer, corporate and public sector borrowers and other counterparties in the U.S. and various countries and jurisdictions globally, including end-of-period consumer loans of $368 billion and end-of-period corporate loans of $289 billion at December 31, 2022. For additional information on Citi's corporate and consumer loan portfolios, see 'Managing Global Risk-Corporate Credit' and '-Consumer Credit' below.

A default by a borrower or other counterparty, or a decline in the credit quality or value of any underlying collateral, exposes Citi to credit risk. Despite Citi's target client strategy, various macroeconomic, geopolitical and other factors, among other things, can increase Citi's credit risk and credit costs, particularly for certain sectors, industries or countries (for additional information, see the co-branding and private label credit card and macroeconomic challenges and uncertainties risk factors above and the emerging markets risk factor below). For example, a weakening of economic conditions can adversely affect borrowers' ability to repay their obligations, as well as result in Citi being unable to liquidate the collateral it holds or forced to liquidate the collateral at prices that do not cover the full amount owed to Citi. Citi is also a member of various central clearing counterparties and could incur financial losses as a result of defaults by other clearing members due to the requirements of clearing members to share losses. Additionally, due to the

interconnectedness among financial institutions, concerns about the creditworthiness of or defaults by a financial institution could spread to other financial market participants and result in market-wide losses.

While Citi provides reserves for expected losses for its credit exposures, as applicable, such reserves are subject to judgments and estimates that could be incorrect or differ from actual future events. Under the CECL accounting standard, the ACL reflects expected losses, which has resulted in and could lead to additional volatility in the allowance and the provision for credit losses as forecasts of economic conditions change. For additional information, see the incorrect assumptions or estimates and changes to financial accounting and reporting standards risk factors above. For additional information on Citi's ACL, see 'Significant Accounting Policies and Significant Estimates' below and Notes 1 and 15. For additional information on Citi's credit and country risk, see each respective business's results of operations above and 'Managing Global Risk-Credit Risk' and 'Managing Global Risk-Other Risks-Country Risk' below and Notes 14 and 15.

Concentrations of risk to clients or counterparties engaged in the same or related industries or doing business in a particular geography, especially credit and market risks, can also increase Citi's risk of significant losses. For example, Citi routinely executes a high volume of securities, trading, derivative and foreign exchange transactions with non-U.S. sovereigns and with counterparties in the financial services industry, including banks, insurance companies, investment banks, governments, central banks and other financial institutions. Moreover, Citi has indemnification obligations in connection with various transactions that expose it to concentrations of risk, including credit risk from hedging or reinsurance arrangements related to those obligations (for additional information about these exposures, see Note 27). A rapid deterioration of a large borrower or other counterparty or within a sector or country in which Citi has large exposures or indemnifications or unexpected market dislocations could lead to concerns about the creditworthiness of other borrowers or counterparties in related or dependent industries, and such conditions could cause Citi to incur significant losses.

## LIQUIDITY RISKS

### *Citi's Businesses, Results of Operations and Financial Condition Could Be Negatively Impacted if It Does Not Effectively Manage Its Liquidity.*

As a large, global financial institution, adequate liquidity and sources of funding are essential to Citi's businesses. Citi's liquidity and sources of funding can be significantly and negatively impacted by factors it cannot control, such as general disruptions in the financial markets, governmental fiscal and monetary policies, regulatory changes or negative investor perceptions of Citi's creditworthiness, unexpected increases in cash or collateral requirements and the consequent inability to monetize available liquidity resources. Citi competes with other banks and financial institutions for both institutional and consumer deposits, which represent Citi's most stable and lowest cost source of long-term funding. The competition for deposits has continued to increase in recent

50

years, including as a result of online banks and digital banking and fixed income alternatives for customer funds. Furthermore, it is expected that the market for deposits will become more competitive in the current higher interest rate environment.

Citi's costs to obtain and access wholesale funding are directly related to changes in interest and currency exchange rates and its credit spreads. For example, during 2022, interest rates in the U.S. increased significantly, thus, affecting Citi's cost of funding. Changes in Citi's credit spreads are driven by both external market factors and factors specific to Citi, such as negative views by investors of the financial services industry or Citi's financial prospects, and can be highly volatile. For additional information on Citi's primary sources of funding, see 'Managing Global Risk-Liquidity Risk' below.

Citi's ability to obtain funding may be impaired and its cost of funding could also increase if other market participants are seeking to access the markets at the same time or to a greater extent than expected, or if market appetite for corporate debt securities declines, as is likely to occur in a liquidity stress event or other market crisis. Citi's ability to sell assets may also be impaired if other market participants are seeking to sell similar assets at the same time or a liquid market does not exist for such assets. A sudden drop in market liquidity could also cause a temporary or protracted dislocation of underwriting and capital markets activity. In addition, clearing organizations, central banks, clients and financial institutions with which Citi interacts may exercise the right to require additional collateral during challenging market conditions, which could further impair Citi's liquidity. If Citi fails to effectively manage its liquidity, its businesses, results of operations and financial condition could be negatively impacted.

In addition, as a holding company, Citigroup Inc. relies on interest, dividends, distributions and other payments from its subsidiaries to fund dividends as well as to satisfy its debt and other obligations. Several of Citi's U.S. and non-U.S. subsidiaries are or may be subject to capital adequacy or other liquidity, regulatory or contractual restrictions on their ability to provide such payments, including any local regulatory stress test requirements and inter-affiliate arrangements entered into in connection with Citigroup Inc.'s resolution plan. Citigroup Inc.'s broker-dealer and bank subsidiaries are subject to restrictions on their ability to lend or transact with affiliates, as well as restrictions on their ability to use funds deposited with them in brokerage or bank accounts to fund their businesses. Limitations on the payments that Citigroup Inc. receives from its subsidiaries could also impact its liquidity. A bank holding company is required by law to act as a source of financial and managerial strength for its subsidiary banks. As a result, the FRB may require Citigroup Inc. to commit resources to its subsidiary banks even if doing so is not otherwise in the interests of Citigroup Inc. or its shareholders or creditors, reducing the amount of funds available to meet its obligations.

### ***Credit Rating Agencies Continuously Review the Credit Ratings of Citi and Certain of Its Subsidiaries, and a Ratings Downgrade Could Adversely Impact Citi's Funding and Liquidity.***

The credit rating agencies, such as Fitch Ratings, Moody's Investors Services and S&P Global Ratings, continuously evaluate Citi and certain of its subsidiaries. Their ratings of Citi and its rated subsidiaries' long-term debt and short-term obligations are based on several factors, including the financial strength of Citi and such subsidiaries, as well as factors that are not entirely within the control of Citi and its subsidiaries, such as the agencies' proprietary rating methodologies and assumptions, and conditions affecting the financial services industry and markets generally.

Citi and its subsidiaries may not be able to maintain their current respective ratings and outlooks. Rating downgrades could negatively impact Citi and its rated subsidiaries' ability to access the capital markets and other sources of funds as well as the costs of those funds. A ratings downgrade could also have a negative impact on Citi and its rated subsidiaries' ability to obtain funding and liquidity due to reduced funding capacity and the impact from derivative triggers, which could require Citi and its rated subsidiaries to meet cash obligations and collateral requirements. In addition, a ratings downgrade could have a negative impact on other funding sources such as secured financing and other margined transactions for which there may be no explicit triggers, and on contractual provisions and other credit requirements of Citi's counterparties and clients that may contain minimum ratings thresholds in order for Citi to hold third-party funds.

Furthermore, a credit ratings downgrade could have impacts that may not be currently known to Citi or are not possible to quantify. Some of Citi's counterparties and clients could have ratings limitations on their permissible counterparties, of which Citi may or may not be aware. Certain of Citi's corporate customers and trading counterparties, among other clients, could re-evaluate their business relationships with Citi and limit the trading of certain contracts or market instruments with Citi in response to ratings downgrades. Changes in customer and counterparty behavior could impact not only Citi's funding and liquidity but also the results of operations of certain Citi businesses. For additional information on the potential impact of a reduction in Citi's or Citibank's credit ratings, see 'Managing Global Risk-Liquidity Risk' below.

## **COMPLIANCE RISKS**

### ***Ongoing Interpretation and Implementation of Regulatory and Legislative Requirements and Changes and Heightened Regulatory Scrutiny and Expectations in the U.S. and Globally Have Increased Citi's Compliance, Regulatory and Other Risks and Costs.***

Citi is continually required to interpret and implement extensive and frequently changing regulatory and legislative requirements in the U.S. and other jurisdictions in which it does business, which may overlap or conflict across jurisdictions, resulting in substantial compliance, regulatory and other risks and costs. In addition, there are heightened regulatory scrutiny and expectations in the U.S. and globally

51

for large financial institutions, as well as their employees and agents, with respect to governance, infrastructure, data, climate and risk management practices and controls. These requirements and expectations also include, among other things, those related to customer and client protection, market practices, anti-money laundering and increasingly complex sanctions and disclosure regimes. A failure to comply with these requirements and expectations, even if inadvertent, or resolve any identified deficiencies, could result in increased regulatory oversight and restrictions, enforcement proceedings, penalties and fines (for additional information on such regulatory consequences, see the legal and regulatory proceedings risk factor below).

Over the past several years, Citi has been required to implement a significant number of regulatory and legislative changes, including new regulatory or legislative requirements or regimes, across its businesses and functions, and these changes continue. The changes themselves may be complex and subject to interpretation, and will require continued investments in Citi's global operations and technology solutions. In some cases, Citi's implementation of a regulatory or legislative requirement is occurring simultaneously with changing or conflicting regulatory guidance, legal challenges or legislative action to modify or repeal existing rules or enact new rules. Examples of regulatory or legislative changes that have resulted in increased compliance risks and costs include (i) various laws relating to the limitation of cross-border data movement and/or collection and use of customer information, including data localization and protection and privacy laws, which also can conflict with or increase compliance complexity with respect to other laws, including anti-money laundering laws; and (ii) the U.S. banking agencies' regulatory capital rules and requirements, which have continued to evolve (for additional information, see the capital return risk factor and 'Capital Resources' above). In addition, certain U.S. regulatory agencies and non-U.S. authorities have prioritized issues of social, economic and racial justice, and are in the process of considering ways in which these issues can be mitigated, including through rulemaking, supervision and other means, even while Congress is signaling, and certain U.S. state governments are pursuing potentially conflicting anti-ESG priorities.

# ***Citi Is Subject to Extensive Legal and Regulatory Proceedings, Examinations, Investigations, Consent Orders and Related Compliance Efforts and Other Inquiries That Could Result in Significant Monetary Penalties, Supervisory or Enforcement Orders, Business Restrictions, Limitations on Dividends, Changes to Directors and/or Officers and Collateral Consequences Arising from Such Outcomes.***

At any given time, Citi is a party to a significant number of legal and regulatory proceedings and is subject to numerous governmental and regulatory examinations. Additionally, Citi remains subject to governmental and regulatory investigations, consent orders and related compliance efforts, and other inquiries. Citi could also be subject to enforcement proceedings not only because of violations of laws and regulations, but also due to failures, as determined by its regulators, to have adequate policies and procedures, or to remedy deficiencies on a timely basis.

As previously disclosed, the October 2020 FRB and OCC consent orders require Citigroup and Citibank to implement targeted action plans and submit quarterly progress reports detailing the results and status of improvements relating principally to various aspects of enterprise-wide risk management, compliance, data quality management and governance and internal controls. These improvements will result in continued significant investments by Citi during 2023 and beyond, as an essential part of Citi's broader transformation efforts to enhance its risk, controls, data and finance infrastructure and compliance.

Although there are no restrictions on Citi's ability to serve its clients, the OCC consent order requires Citibank to obtain prior approval of any significant new acquisition, including any portfolio or business acquisition, excluding ordinary course transactions. Moreover, the OCC consent order provides that the OCC has the right to assess future civil money penalties or take other supervisory and/or enforcement actions. Such actions by the OCC could include imposing business restrictions, including possible limitations on the declaration or payment of dividends and changes in directors and/or senior executive officers. More generally, the OCC and/or the FRB could take additional enforcement or other actions if the regulatory agency believes that Citi has not met regulatory expectations regarding compliance with the consent orders. For additional information regarding the consent orders, see 'Citi's Consent Order Compliance' above.

The global judicial, regulatory and political environment has generally been challenging for large financial institutions, and financial institutions have been subject to continued regulatory scrutiny. The complexity of the federal and state regulatory and enforcement regimes in the U.S., coupled with the global scope of Citi's operations, also means that a single event or issue may give rise to a large number of overlapping investigations and regulatory proceedings, either by multiple federal and state agencies and authorities in the U.S. or by multiple regulators and other governmental entities in foreign jurisdictions, as well as multiple civil litigation claims in multiple jurisdictions. Violations of law by other financial institutions may also result in regulatory scrutiny of Citi. Responding to regulatory inquiries and proceedings can be time consuming and costly.

U.S. and non-U.S. regulators have been increasingly focused on the culture of financial services firms, including Citi, as well as 'conduct risk,' a term used to describe the risks associated with behavior by employees and agents, including third parties, that could harm clients, customers, employees or the integrity of the markets, such as improperly creating, selling, marketing or managing products and services or improper incentive compensation programs with respect thereto, failures to safeguard a party's personal information, or failures to identify and manage conflicts of interest.

In addition to the greater focus on conduct risk, the general heightened scrutiny and expectations from regulators could lead to investigations and other inquiries, as well as remediation requirements, more regulatory or other enforcement proceedings, civil litigation and higher compliance and other risks and costs. Further, while Citi takes numerous steps to prevent and detect conduct by employees and agents that could potentially harm clients, customers,

52

employees or the integrity of the markets, such behavior may not always be deterred or prevented. In addition to regulatory restrictions or structural changes that could result from perceived deficiencies in Citi's culture, such focus could also lead to additional regulatory proceedings. Moreover, the severity of the remedies sought in legal and regulatory proceedings to which Citi is subject has remained elevated. U.S. and certain non-U.S. governmental entities have increasingly brought criminal actions against, or have sought criminal convictions from, financial institutions and individual employees, and criminal prosecutors in the U.S. have increasingly sought and obtained criminal guilty pleas or deferred prosecution agreements against financial entities and individuals and other criminal sanctions for those institutions and individuals. These types of actions by U.S. and international governmental entities may, in the future, have significant collateral consequences for a financial institution, including loss of customers and business, and the inability to offer certain products or services and/or operate certain businesses. Citi may be required to accept or be subject to similar types of criminal remedies, consent orders, sanctions, substantial fines and penalties, remediation and other financial costs or other requirements in the future, including for matters or practices not yet known to Citi, any of which could materially and negatively affect Citi's businesses, business practices, financial condition or results of operations, require material changes in Citi's operations or cause Citi reputational harm.

Additionally, many large claims-both private civil and regulatory-asserted against Citi are highly complex, slow to develop and may involve novel or untested legal theories. The outcome of such proceedings is difficult to predict or estimate until late in the proceedings. Although Citi establishes accruals for its legal and regulatory matters according to accounting requirements, Citi's estimates of, and changes to, these accruals involve significant judgment and may be subject to significant uncertainty, and the amount of loss ultimately incurred in relation to those matters may be substantially higher than the amounts accrued (see the incorrect assumptions or estimates risk factor above). In addition, certain settlements are subject to court approval and may not be approved. For further information on Citi's legal and regulatory proceedings, see Note 29.

## OTHER RISKS

### *Citi's Emerging Markets Presence Subjects It to Various Risks as well as Increased Compliance and Regulatory Risks and Costs.*

During 2022, emerging markets revenues accounted for approximately 37% of Citi's total revenues (Citi generally defines emerging markets as countries in Latin America, Asia (other than Japan, Australia and New Zealand), and central and Eastern Europe, the Middle East and Africa in EMEA). Citi's presence in the emerging markets subjects it to various risks, such as limitations or unavailability of hedges on foreign investments; foreign currency volatility, including devaluations and continued strength in the U.S. dollar; sustained increases in interest rates; sovereign debt volatility; election outcomes, regulatory changes and political events;

foreign exchange controls, including inability to access indirect foreign exchange mechanisms; macroeconomic and geopolitical challenges and uncertainties and volatility, including with respect to Russia and China (see the macroeconomic and geopolitical risk factor above and 'Managing Global Risk-Other Risks-Country Risk-Russia' and '-Ukraine' below); limitations on foreign investment; sociopolitical instability (including from hyperinflation); fraud; nationalization or loss of licenses; restrictions arising from retaliatory Russian laws and regulations on the conduct of its business; sanctions or asset freezes; potential criminal charges; closure of branches or subsidiaries; and confiscation of assets, and these risks can be exacerbated in the event of a deterioration in relationships between the U.S. and an emerging market country.

For example, Citi operates in several countries that have, or have had in the past, strict capital controls, currency controls and/or sanctions, such as Argentina and Russia, that limit its ability to convert local currency into U.S. dollars and/or transfer funds outside of those countries. For instance, due to currency controls in Argentina, Citi faces a risk of devaluation on its unhedged Argentine peso-denominated assets, which continue to increase (for additional information on Argentina-related risks, see 'Managing Global Risk-Other Risks-Country Risk-Argentina' below). Moreover, if the economic situation in a country in which Citi operates were to deteriorate below a certain level, U.S. regulators through the Interagency Country Exposure Review Committee (ICERC) may impose mandatory loan loss or other reserve requirements on Citi, which would increase its credit costs and decrease its earnings.

In addition, political turmoil and instability and geopolitical tensions and conflicts (such as the Russia-Ukraine war) have occurred in various regions and emerging market countries across the globe which have required, and may continue to require, management time and attention and other resources, such as monitoring the impact of sanctions on certain emerging market economies as well as impacting Citi's businesses, results of operations and financial conditions in affected countries.

### *The Transition Away from and Discontinuance of LIBOR or Any Other Interest Rate Benchmark Could Have Adverse Consequences for Citi.*

LIBOR and other rates or indices deemed to be benchmarks have been the subject of ongoing U.S. and non-U.S. regulatory scrutiny and reform. The LIBOR administrator ceased publication of non-USD LIBOR and one-week and two-month USD LIBOR on a permanent or representative basis on December 31, 2021, with plans for all other USD LIBOR tenors to permanently cease or become non-representative after June 30, 2023. As a result, Citi ceased entering into new contracts referencing USD LIBOR as of January 1, 2022, other than for limited circumstances where regulators recognized that it may be appropriate for banks to enter into new USD LIBOR contracts, including with respect to market-making, hedging or novations of USD transactions executed before January 1, 2022.

Through a global effort by the financial services industry and regulators, alternative reference rates have been identified

53

and/or developed and are being used to replace LIBOR and other benchmark rates. Alternative reference rates, such as the Secured Overnight Financing Rate (SOFR), are calculated using components different from those used in the calculation of LIBOR and may fluctuate differently than, and not be representative of, LIBOR. In order to compensate for these differences, certain of Citi's financial instruments and commercial agreements allow for a benchmark replacement adjustment. However, there can be no assurance that any benchmark replacement adjustment will be sufficient to produce the economic equivalent of LIBOR, either at the benchmark replacement date or over the life of such instruments and agreements.

Moreover, the transition presents challenges related to contractual mechanics of existing contracts that reference USD LIBOR and are governed by non-U.S. law or reference the USD LIBOR Ice Swap Rate. Certain of these legacy instruments and contracts are not covered by any legislative solution and do not provide for fallbacks to alternative reference rates, which makes it unclear what the applicable future replacement benchmark rates and associated payments might be after the current benchmark's cessation. Citi may be unable to amend certain instruments and contracts due to an inability to obtain sufficient levels of consent from counterparties or security holders. Although this will depend on the precise contractual terms of the instrument, such consent requirements are often conditions of securities, such as floating rate notes. The Financial Conduct Authority (FCA), a U.K. regulator, has proposed that one-, three- and six-month USD LIBOR be published on a synthetic basis, which would only be available through September 2024.

In addition, the transition away from and discontinuance of LIBOR and other benchmark rates have subjected financial institutions, including Citi, to heightened scrutiny from regulators. Failure to successfully transition away from LIBOR and other benchmark rates could result in adverse regulatory actions, disputes, including potential litigation involving holders of outstanding products and contracts that reference LIBOR and other benchmark rates, and reputational harm to Citi. See "Managing Global Risk-Other Risks-LIBOR Transition Risk" for Citi's ongoing actions to prepare for the transition away from LIBOR.

## SUSTAINABILITY AND OTHER ESG MATTERS

### Introduction

Citi has worked on Environmental, Social and Governance (ESG) issues for more than 20 years and has a demonstrated record of ESG progress, including participating in the creation and adoption of ESG-related principles and standards. This section summarizes some of Citi's key ESG initiatives, including its Sustainable Progress Strategy, Net Zero, and Financial Inclusion and Racial Equity commitments.

Citi's ESG Report provides information on a broad set of ESG-related efforts. Citi's Task Force on Climate-Related Financial Disclosures (TCFD) Report provides its stakeholders with information on Citi's continued progress to manage

climate risk and its Net Zero plan, including information on financed emissions and 2030 emissions targets.

For information regarding Citi's management of climate risk, see "Managing Global Risk-Strategic Risks-Climate Risk" below.

### ESG and Climate-Related Governance

Citi's Board of Directors (Board) provides oversight of Citi's management activities (for additional information, see "Managing Global Risk-Risk Governance" below). For example, the Nomination, Governance and Public Affairs Committee of the Board oversees many of Citi's ESG activities, including reviewing Citi's policies and programs for environmental and social sustainability, climate change, human rights, diversity and other ESG issues, as well as overseeing engagement with external stakeholders.

The Risk Management Committee of the Board provides oversight of Citi's Independent Risk Management function and reviews Citi's risk policies and frameworks, including receiving climate risk-related updates.

The Audit Committee of the Board has recently been chartered to provide oversight of controls and procedures pertaining to the ESG-related metrics and related disclosures in Citi's SEC filed reports and voluntary ESG reporting, as well as management's evaluation of Citi's disclosure controls and procedures for ESG reporting.

Citi's Global ESG Council consists of senior members of its management team and certain subject matter experts who provide oversight of Citi's ESG goals and activities. In addition, a number of teams and senior managers contribute to the oversight and management of areas such as environmental sustainability; community investing; talent and diversity; ethics and business practices; and remuneration.

Citi's climate governance structure continues to evolve as Citi advances its understanding of its climate risk and its progress under the Net Zero plan. In addition to the expansion of the Board's oversight of climate matters (see Risk Management Committee and Audit Committee descriptions above), Citi has:

- Expanded and realigned its climate risk team to be part of the Enterprise Risk Management function within Risk;
- Further built out its Clean Energy Transition (CET) team (formed in 2021 and expanded in 2022 to include Corporate Banking), which focuses on providing advisory and capital-raising services to companies involved in energy transition; and
- Launched two climate training pilots for its BCMA (Banking, Capital Markets and Advisory), Risk Management and Global Functions teams involving in-person workshops focused on providing foundational knowledge of climate risks and client engagement.

### Key ESG Initiatives

#### *Sustainable Progress Strategy*

Citi's Sustainable Progress Strategy is summarized in its Environmental and Social Policy Framework. The three pillars of the strategy each have climate-related elements and serve as the foundation for Citi's climate commitments:

54

- The first pillar, “Low-Carbon Transition,” focuses on financing and facilitating environmental and social finance, including low-carbon solutions, and supporting Citi’s clients in their decarbonization and transition strategies.
- The second pillar, “Climate Risk,” focuses on Citi’s efforts to measure, manage and reduce the climate risk and impact of its client portfolio. Areas of activity include portfolio analysis and stakeholder engagement as well as enhancing TCFD implementation and disclosure.
- The third pillar, “Sustainable Operations,” focuses on Citi’s efforts to reduce the environmental footprint of its facilities and strengthen its sustainability culture. This includes minimizing the impact of its global operations through operational footprint goals and further integrates sustainable practices across the countries in which Citi operates.

### Net Zero Emissions by 2050

Citi is a member of several initiatives that enhance its understanding of climate-related issues, improve its access to data and promote a common understanding and terminology across various climate efforts. These initiatives include the Partnership for Carbon Accounting Financials, the Glasgow Financial Alliance for Net Zero and the Net Zero Banking Alliance.

As previously disclosed, Citi has committed to achieving net zero greenhouse gas (GHG) emissions associated with its financing by 2050, and net zero GHG emissions for its own operations by 2030; both are significant targets given the size and breadth of Citi’s lending portfolios, businesses and operational footprint. Citi made this commitment as part of its ongoing work to reduce its climate risk and impact, grow its business in the clean energy transition and help address the challenges that climate change poses to the global economy and broader society. Citi’s net zero commitment demonstrates how identifying, assessing and managing climate-related risks and opportunities remains a top business priority for Citi.

While many financial institutions, including Citi, face increasing public pressure to divest from carbon-intensive sectors, Citi believes it has an important role to play in advising and financing the transition to net zero, and it plans to work closely with clients in this effort. Citi recognizes that large-scale, rapid divestment could result in an abrupt and disorderly transition to a low-carbon economy, creating both economic and social upheaval. Citi believes that an orderly, responsible and equitable transition, which accounts for the immediate economic needs of communities and workers, continued access to energy, environmental justice considerations and broader economic development concerns, is essential for the retention of political and social support to move to a low-carbon economy.

The 2050 net zero commitment includes the following framework, delineating the key areas required to achieve its targets:

- Calculate Emissions: Calculate baseline financed emissions for each carbon-intensive sector
- Transition Pathway: Identify the appropriate climate scenario transition pathway

- Target Setting: Establish emissions reduction targets for 2030 and beyond
- Implementation Strategy: Engage with and assess clients to determine transition opportunities
- External Engagement: Solicit feedback from clients, investors and other stakeholders, as the work continues to evolve and the parties collectively define net zero for the banking sector

Citi’s Net Zero plan includes:

- Net Zero Metrics and Target Setting: Assess targets for carbon-intensive sectors and explore methodologies for calculating financed emissions beyond lending portfolios
- Client Engagement and Assessment: Seek to understand clients’ GHG emissions and work with them to develop their transition plans and advise on capacity building
- Risk Management: Assess climate risk exposure across Citi’s lending portfolios and review client carbon reduction progress, with ongoing review and refining of Citi’s risk appetite and thresholds and policies related to Climate Risk Management
- Clean Technology and Transition Finance: Support existing and, where possible, new technologies to accelerate commercialization and provide transition advisory and finance, via debt and equity underwriting
- Portfolio Management: Active portfolio management to align with net zero targets, including considerations of transition measures taken by clients
- Public Policy and Regulatory Engagement: Support enabling public policy and regulation in the U.S. and other countries where relevant

In 2022, Citi took the following steps to operationalize its Net Zero plan:

- In addition to the energy and power targets established last year, Citi has set 2030 emissions reduction targets for four additional loan portfolio sectors: automotive manufacturing, commercial real estate, steel and thermal coal mining.
- Citi has begun piloting a Net Zero Review Template for its energy and power clients to better understand their transition plans.
- Citi worked with RMI to help develop and launch the Sustainable STEEL Principles, a solution for measuring and disclosing the alignment of steel lending portfolios with 1.5°C climate targets.

### Financial Inclusion and Racial Equity

Building on Citi’s longstanding focus on advancing financial inclusion and economic opportunity for communities of color, in September 2020, Citi and the Citi Foundation announced Action for Racial Equity (ARE), a set of strategic initiatives to help close the racial wealth gap and increase economic mobility in the U.S. As part of ARE, Citi and the Citi Foundation have invested more than $1 billion in strategic initiatives to provide greater access to banking and credit in communities of color, increase investment in Black-owned businesses, expand access to affordable housing and

55

homeownership among Black Americans and advance anti-racist practices within Citi and across the financial services industry.

Consistent with its commitment to transparently report on ARE, in December 2022 Citi released the results of a racial equity audit of ARE, which it had commissioned from the law firm Covington & Burling. The audit assessed ARE as an effort to help address various drivers of the racial wealth gap by evaluating ARE's design, implementation and extent of integration into Citi's business. The audit's overall assessment was that ARE was a well-designed and credible effort to help address the racial wealth gap in the U.S., given the dimensions of Citi's business. More specifically, it concluded that:

- ARE's design effectively leveraged Citi's expertise, network of business partners and resources to address some of the key factors contributing to the racial wealth gap.
- Citi has made progress toward many of the objectives committed to under ARE, although at the time of the audit (the end of the first two years of its three-year commitment) it had not yet accomplished every objective or commitment.
- There are opportunities to further institutionalize ARE efforts into Citi's core business, building upon the creation of dedicated business units in both PBWM and ICG.
- There are opportunities for Citi to further support consumers from underrepresented communities to build and maintain healthy credit scores and access credit.

In addition to Citi's ongoing work and focus on ARE and in line with its continued commitment to expand access to banking products and services that can help advance economic progress-especially for underbanked and unbanked communities-Citi eliminated overdraft fees, returned item fees and overdraft protection fees beginning in June 2022. In addition to eliminating these fees, Citi will continue to offer a robust suite of free overdraft protection services for its customers.

### Additional Information

For additional information on Citi's environmental and social policies and priorities, click on "Our Impact" on Citi's website at www.citigroup.com. For information on Citi's ESG and Sustainability (including climate change) governance, see Citi's 2023 Annual Meeting Proxy Statement to be filed with the SEC in March 2023, as well as its 2022 TCFD Report to be published and available on Citi's investor relations website in March 2023.

The 2022 TCFD Report and any other ESG-related reports and information included elsewhere on Citi's investor relations website are not incorporated by reference into, and do not form any part of, this 2022 Annual Report on Form 10-K.

56

## HUMAN CAPITAL RESOURCES AND MANAGEMENT

Attracting and retaining a highly qualified and motivated workforce is a strategic priority for Citi. Citi seeks to enhance the competitive strength of its workforce through the following efforts:

- Continuously innovating the recruitment, training, compensation, promotion and engagement of colleagues
- Actively seeking and listening to diverse perspectives at all levels of the organization
- Optimizing transparency concerning workforce goals to promote accountability, credibility and effectiveness in achieving those goals
- Providing compensation programs that are competitive in the market and aligned to strategic objectives

### Workforce Size and Distribution

As of December 31, 2022, Citi employed approximately 240,000 colleagues in over 90 countries. The Company's workforce is constantly evolving and developing, benefiting from a strong mix of internal and external hiring into new and existing positions. In 2022, Citi welcomed nearly 60,000 new colleagues in addition to the roles filled by colleagues through internal mobility. The following table shows the geographic distribution of Citi's employee population by segment, region and gender:

| Segment or component (1) | North America | EMEA | Latin America | Asia | Total (2) | Women (3) | Men (3) | Unspecified (3) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Institutional Clients Group | 19,162 | 19,635 | 7,569 | 27,882 | 74,248 | 44.1% | 55.9% | 0.03% |
| Personal Banking and Wealth Management | 39,952 | 2,227 | 452 | 14,084 | 56,715 | 56.8 | 43.2 | 0.02 |
| Legacy Franchises | 58 | 21 | 35,776 | 14,392 | 50,247 | 55.1 | 44.9 | - |
| Corporate/Other | 27,690 | 10,894 | 7,281 | 12,828 | 58,693 | 46.8 | 53.2 | 0.02 |
| Total | 86,862 | 32,777 | 51,078 | 69,186 | 239,903 | 50.1% | 49.9% | 0.02% |

(1) Colleague distribution is based on assigned business and region, which may not reflect where the colleague physically resides.

(2) Part-time colleagues represented less than 1.5% of Citi's global workforce.

(3) Information regarding gender is self-identified by colleagues.

### Driving a Culture of Excellence and Accountability

Citi continues to embark on a talent and culture transformation to drive a culture of excellence and accountability that is supported by strong risk and controls management.

Citi's new Leadership Principles of "taking ownership, delivering with pride and succeeding together" have been reinforced through a behavioral science-led campaign, Citi's New Way, that reinforces the key working habits that support Citi's leadership culture.

Citi's performance management approach also emphasizes the Leadership Principles through a new four-pillar system, evaluating what colleagues deliver against financial performance, risk and controls, and client and franchise goals as well as how colleagues deliver from a leadership perspective. The performance management and incentive compensation processes and associated policies and frameworks have been redesigned to enhance accountability through increased rigor and consistency, in particular for risk and controls.

The culture shift is also being supported by changes in the way Citi identifies, assesses, develops and promotes talent, particularly at the most senior levels of the organization. In 2022, the first Company-wide approach for promotions to the

critical leadership role of Managing Director was launched, with common eligibility criteria across Citi, including risk and control performance. Further, all potential successors to Executive Management Team roles are evaluated by the Board and are now subject to a risk and controls assessment.

### Diversity, Equity and Inclusion

Citigroup's Board is committed to ensuring that the Board and Citi's Executive Management Team are composed of individuals whose backgrounds reflect the diversity of Citi's employees, customers and other stakeholders. In addition, Citi has increased its efforts to diversify its workforce, including, among other things, taking actions with respect to pay equity, setting representation goals and the use of diverse slates in recruiting.

### Pay Transparency and Pay Equity

Citi values pay transparency and has taken significant action to ensure that both managers and employees have greater clarity around Citi's compensation philosophy. Over the past two years, Citi introduced market-based salary structures and bonus opportunity guidelines in various countries worldwide. In addition, Citi recently began posting salary ranges on all

57

external U.S. job postings, which aligns with strategic objectives of pay equity and transparency. Citi also raised its U.S. minimum wage in 2022, the second broad-based increase in less than two years.

Citi has focused on measuring and addressing pay equity within the organization:

- In 2018, Citi was the first major U.S. financial institution to publicly release the results of a pay equity review comparing its compensation of women to that of men, as well as U.S. minorities to U.S. non-minorities. Since 2018, Citi has continued to be transparent about pay equity, including disclosing its unadjusted or “raw” pay gap for both women and U.S. minorities. The raw gap measures the difference in median compensation. The existence of Citi’s raw pay gap reflects a need to increase representation of women and U.S. minorities in senior and higher-paying roles.
- Citi’s 2022 pay equity review determined that on an adjusted basis, women globally are paid on average more than 99% of what men are paid at Citi, and that there was not a statistically significant difference in adjusted compensation for U.S. minorities and non-minorities.
- Citi’s 2022 raw pay gap analysis showed that the median pay for women globally is 78% of the median for men, up from 74% in 2021 and 2020. The median pay for U.S. minorities is more than 97% of the median for non-minorities, which is up from just above 96% in 2021 and 94% in 2020.

### Representation Goals

Citi’s management believes that a diverse workforce is key to the Company’s success in serving diverse clients and communities. In 2022, Citi announced that it exceeded its Company-wide, aspirational diversity representation goals for 2018-2021 to increase its percentages of women colleagues globally and Black talent in the U.S.

Recognizing that this was just a starting point, Citi has set new goals for 2025. The new goals are more global, embrace more dimensions of diversity and include all levels of the Company.

Citi’s 2025 aspirational representation goals are embedded in its business strategy. Citi has goals for hiring and promoting colleagues into roles at the Assistant Vice President to Managing Director levels across the organization, as well as goals for campus hiring from colleges and universities. Having aspirational goals across all levels-from early career through senior leadership roles-will help ensure Citi not only has diverse talent in leadership roles, but will also help the Company build a diverse talent pipeline for the future.

### Workforce Development

Citi’s numerous programmatic offerings aim to reinforce its culture and values, foster understanding of compliance requirements and develop competencies required to deliver excellence to its clients. Citi encourages career growth and development by offering broad and diverse opportunities to colleagues, including the following:

- Citi provides a range of internal development and rotational programs to colleagues at all levels, including

an extensive leadership curriculum, allowing the opportunity to build the skills needed to transition to supervisory and managerial roles. Citi’s tuition assistance program further enables colleagues in North America to pursue their educational goals.

- Citi has a focus on internal talent development and aims to provide colleagues with career growth opportunities, with more than 33,000 open positions filled internally in 2022. These opportunities are particularly important as Citi focuses on providing career paths for its internal talent base as part of its efforts to increase organic growth and promotions within the organization.

### Wellness and Benefits

Citi is proud to provide a wide range of benefits that support its colleagues mentally, emotionally, physically and financially and through various life stages and events. The Company is focused on providing equitable benefits that are designed to attract, engage and retain colleagues.

Citi has significantly enhanced mental well-being programs by offering free counseling sessions for colleagues and their family members and adding real-time text, video and message-based counseling in the U.S., as well as offering an online tool so that all colleagues around the globe can easily find their local Employee Assistance Programs and resources. Citi also continues to value the importance of physical well-being-providing employees in several office locations and countries access to onsite medical care clinics, fitness centers, subsidized gym memberships and virtual fitness programs.

Citi continues expanding employee benefits to support colleagues and their families. In early 2020, Citi expanded its Paid Parental Leave Policy to include Citi colleagues around the world. Citi also began to offer additional leave opportunities to eligible colleagues, including the “Refresh, Recharge, Reenergize” program, whereby employees are able to take up to 12 weeks for a sabbatical to pursue a personal interest, and the “Giving Back” program, allowing employees to take up to four weeks to work with a charitable institution.

In 2022, Citi implemented a global, flexible work approach to provide colleagues with the ability to balance the demands of their home lives with the work conditions that are necessary for success. The “How We Work” approach includes a new work model for Citi, defined by three role designations for colleagues globally: Resident, Hybrid or Remote. By embracing a flexible model of work, Citi has focused on keeping its approach consistent and aligned with its values and priorities.

For additional information about Citi’s human capital management initiatives and goals, see Citi’s 2021 ESG report available at www.citigroup.com. The 2021 ESG report and other information included elsewhere on Citi’s investor relations website are not incorporated by reference into, and do not form any part of, this 2022 Annual Report on Form 10-K.

58

## Managing Global Risk Table of Contents

| MANAGING GLOBAL RISK | 60 |
| --- | --- |
| Overview | 60 |
| CREDIT RISK (1) | 63 |
| Overview | 63 |
| Corporate Credit | 64 |
| Consumer Credit | 70 |
| Additional Consumer and Corporate Credit Details | 77 |
| Loans Outstanding | 77 |
| Details of Credit Loss Experience | 78 |
| Allowance for Credit Losses on Loans (ACLL) | 80 |
| Non-Accrual Loans and Assets and Renegotiated Loans | 82 |
| Forgone Interest Revenue on Loans | 85 |
| LIQUIDITY RISK | 86 |
| Overview | 86 |
| Liquidity Monitoring and Measurement | 86 |
| High-Quality Liquid Assets (HQLA) | 87 |
| Loans | 88 |
| Deposits | 88 |
| Long-Term Debt | 89 |
| Secured Funding Transactions and Short-Term Borrowings | 92 |
| Credit Ratings | 93 |
| MARKET RISK (1) | 95 |
| Overview | 95 |
| Market Risk of Non-Trading Portfolios | 95 |
| Banking Book Interest Rate Risk | 95 |
| Interest Rate Risk of Investment Portfolios-Impact on AOCI | 96 |
| Changes in Foreign Exchange Rates-Impacts on AOCI and Capital | 98 |
| Interest Revenue/Expense and Net Interest Margin (NIM) | 99 |
| Additional Interest Rate Details | 102 |
| Market Risk of Trading Portfolios | 106 |
| Factor Sensitivities | 107 |
| Value at Risk (VAR) | 107 |
| Stress Testing | 110 |
| OPERATIONAL RISK | 111 |
| Overview | 111 |
| Cybersecurity Risk | 111 |
| COMPLIANCE RISK | 112 |
| REPUTATION RISK | 113 |
| STRATEGIC RISK | 113 |
| Climate Risk | 113 |
| OTHER RISKS | 114 |
| LIBOR Transition Risk | 114 |
| Country Risk | 116 |
| Top 25 Country Exposures | 116 |
| Russia | 117 |
| Ukraine | 120 |
| Argentina | 120 |
| FFIEC-Cross-Border Claims on Third Parties and Local Country Assets | 120 |

(1) For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi's Pillar 3 Basel III Advanced Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi's Investor Relations website.

59

# MANAGING GLOBAL RISK

## Overview

For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi has established an Enterprise Risk Management (ERM) Framework to ensure that all of Citi's risks are managed appropriately and consistently across the Company and at an aggregate, enterprise-wide level. Citi's culture drives a strong risk and control environment, and is at the heart of the ERM Framework, underpinning the way Citi conducts business. The activities that Citi engages in, and the risks those activities generate, must be consistent with Citi's Mission and Value Proposition and the key Leadership Principles that support it, as well as Citi's risk appetite. As discussed above, Citi also continues its efforts to comply with the FRB and OCC consent orders, relating principally to various aspects of risk management, compliance, data quality management and governance, and internal controls (see "Citi's Consent Order Compliance" and "Risk Factors-Compliance Risks" above).

Under Citi's Mission and Value Proposition, which was developed by its senior leadership and distributed throughout the Company, Citi strives to serve its clients as a trusted partner by responsibly providing financial services that enable growth and economic progress while earning and maintaining the public's trust by constantly adhering to the highest ethical standards. As such, Citi asks all colleagues to ensure that their decisions pass three tests: they are in Citi's clients' best interests, create economic value and are always systemically responsible.

As discussed in "Human Capital Resources and Management" above, Citi has designed Leadership Principles that represent the qualities, behaviors and expectations all employees must exhibit to deliver on Citi's mission of enabling growth and economic progress. The Leadership Principles inform Citi's ERM Framework and will contribute to creating a culture that drives client, control and operational excellence. Citi colleagues share a common responsibility to uphold these leadership principles and hold themselves to the highest standards of ethics and professional behavior in dealing with Citi's clients, business colleagues, shareholders, communities and each other.

Citi's ERM Framework details the principles used to support effective enterprise-wide risk management across the end-to-end risk management lifecycle. The ERM Framework covers the risk management roles and responsibilities of the Citigroup Board of Directors (the Board), Citi's Executive Management Team (see "Risk Governance-Executive Management Team" below) and employees across the lines of defense. The underlying pillars of the framework encompass:

- *Culture*-the core principles and behaviors that underpin a strong culture of risk awareness, in line with Citi's Mission and Value Proposition, and Leadership Principles;
- *Governance*-the committee structure and reporting arrangements that support the appropriate oversight of risk management activities at the Board and Executive Management Team levels;

- *Risk Management*-the end-to-end risk management cycle including the identification, measurement, monitoring, controlling and reporting of all risks including top, material, growing, idiosyncratic and emerging risks, and aggregated to an enterprise-wide level; and
- *Enterprise Programs*-the key risk management programs performed across the risk management lifecycle for all risk categories; these programs also outline the specific roles played by each of the lines of defense in these processes.

Each of these pillars is underpinned by supporting capabilities, which are the infrastructure, people, technology and data, and modelling and analytical capabilities that are in place to enable the execution of the ERM Framework.

Citi's approach to risk management requires that its risk-taking be consistent with its risk appetite. The risk appetite is the aggregate level and types of risk Citi is willing to take or tolerate in order to meet its strategic objectives and business plan. Citi's risk appetite framework is the overall firm-wide approach, including policies, processes, controls and systems through which the risk appetite is established, communicated and monitored. In addition, underlying risk limits and thresholds are designed to control concentrations and operationalize risk appetite.

Citi's risks are generally categorized and summarized as follows:

- *Credit risk* is the risk of loss resulting from the decline in credit quality (or downgrade risk) or failure of a borrower, counterparty, third party or issuer to honor its financial or contractual obligations.
- *Liquidity risk* is the risk that Citi will not be able to efficiently meet both expected and unexpected current and future cash flow and collateral needs without adversely affecting either daily operations or financial conditions of Citi.
- *Market risk (Trading and Non-Trading)*: Market risk of trading portfolios is the risk of loss arising from changes in the value of Citi's assets and liabilities resulting from changes in market variables, such as interest rates, exchange rates, equity and commodity prices or credit spreads. Market risk of non-trading portfolios is the risk to current or projected financial condition and resilience arising from movements in interest rates resulting from repricing risk, basis risk, yield curve risk and options risk.
- *Operational risk* is the risk of loss resulting from inadequate or failed internal processes, people and systems, or from external events. It includes legal risk, which is the risk of loss (including litigation costs, settlements and regulatory fines) resulting from Citi's failure to comply with laws, regulations, prudent ethical standards or contractual obligations in any aspect of Citi's business, but excludes strategic and reputation risks (see below).
- *Compliance risk* is the risk to current or projected financial condition and resilience arising from violations of laws, rules or regulations, or from non-conformance

60

with prescribed practices, internal policies and procedures or ethical standards.

- *Reputation risk* is the risk to current or projected financial conditions and resilience from negative opinion held by stakeholders.
- *Strategic risk* is the risk of a sustained impact (not episodic impact) to Citi's core strategic objectives as measured by impacts on anticipated earnings, market capitalization or capital, arising from the external factors affecting the Company's operating environment; as well as the risks associated with defining the strategy and executing the strategy, which are identified, measured and managed as part of the Strategic Risk Framework at the Enterprise Level.

Citi uses a lines of defense model as a key component of its ERM Framework to manage its risks. As discussed below, the lines of defense model brings together risk-taking, risk oversight and risk assurance under one umbrella and provides an avenue for risk accountability of first line of defense, a construct for effective challenge by the second line of defense (Independent Risk Management and Independent Compliance Risk Management), and empowers independent risk assurance by the third line of defense (Internal Audit). In addition, the lines of defense model includes organizational units tasked with supporting a strong control environment ("enterprise support functions"). The first, second and third lines of defense, along with enterprise support functions, have distinct roles and responsibilities and are empowered to perform relevant risk management processes and responsibilities in order to manage Citi's risks in a consistent and effective manner.

#### **First Line of Defense: Front Line Units and Front Line Unit Activities**

Citi's first line of defense owns the risks and associated controls inherent in, or arising from, the execution of its business activities and is responsible for identifying, measuring, monitoring, controlling and reporting those risks consistent with Citi's strategy, Mission and Value Proposition, Leadership Principles and risk appetite.

Front line units are responsible and held accountable for managing the risks associated with their activities within the boundaries set by independent risk management. They are also responsible for designing and implementing effective internal controls and maintaining processes for managing their risk profile, including through risk mitigation, so that it remains consistent with Citi's established risk appetite.

Front line unit activities are considered part of the first line of defense and are subject to the oversight and challenge of independent risk management.

The first line of defense is composed of Citi's Business Management, Regional Management, certain Corporate Functions (Enterprise Operations and Technology, Chief Administrative Office, Global Public Affairs, Office of the Citibank Chief Executive Officer (CEO) and Finance), as well as other front line unit activities. Front line units may also include enterprise support units and/or conduct enterprise support activities-see "Enterprise Support Functions" below.

#### **Second Line of Defense: Independent Risk Management**

Independent risk management units are independent of the first line of defense. They are responsible for overseeing the risk-taking activities of the first line of defense and challenging the first line of defense in the execution of its risk management responsibilities. They are also responsible for independently identifying, measuring, monitoring, controlling and reporting aggregate risks and for setting standards for the management and oversight of risk. Independent risk management is composed of Independent Risk Management (IRM) and Independent Compliance Risk Management (ICRM), which are led by the Group Chief Risk Officer (CRO) and Group Chief Compliance Officer (CCO) who have unrestricted access to the Board and its Risk Management Committee to facilitate the ability to execute their specific responsibilities pertaining to escalation to the Board.

#### **Independent Risk Management**

The IRM organization sets risk and control standards for the first line of defense and actively manages and oversees aggregate credit, market (trading and non-trading), liquidity, strategic, operational and reputation risks across Citi, including risks that span categories, such as concentration risk, country risk and climate risk.

IRM is organized to align to risk categories, legal entities/regions and Company-wide, cross-risk functions or processes. Each of these units reports to a member of the Risk Management Executive Council, who are all direct reports to the Citigroup CRO.

#### **Independent Compliance Risk Management**

The ICRM organization actively oversees compliance risk across Citi, sets compliance risk and control standards for the first line of defense to manage compliance risk and promotes business conduct and activity that is consistent with Citi's Mission and Value Proposition and the compliance risk appetite. Citi's objective is to embed an enterprise-wide compliance risk management framework and culture that identifies, measures, monitors, controls and escalates compliance risk across Citi.

ICRM is aligned by product line, function and geography to provide compliance risk management advice and credible challenge on day-to-day matters and strategic decision-making for key initiatives. ICRM also has program-level Enterprise Compliance units responsible for setting standards and establishing priorities for program-related compliance efforts. These Compliance Risk Management heads report directly to the CCO. The CCO reports to Citi's General Counsel and ICRM is organizationally part of the Global Legal Affairs & Compliance group. In addition, the CCO has matrix reporting into the CRO and is part of the Risk Management Executive Council.

#### **Third Line of Defense: Internal Audit**

Internal Audit is independent of the first line, second line and enterprise support functions. The role of Internal Audit is to provide independent, objective, reliable, valued and timely assurance to the Board, its Audit Committee, Citi senior management and regulators over the effectiveness of governance, risk management and controls that mitigate

61

current and evolving risks and enhance the control culture within Citi. The Citi Chief Auditor manages Internal Audit and reports functionally to the Chairman of the Citi Audit Committee and administratively to the Citi Chief Executive Officer. The Citi Chief Auditor has unrestricted access to the Board and the Board Audit Committee to address risks and issues identified through Internal Audit's activities.

### Enterprise Support Functions

Enterprise support functions engage in activities that support safety and soundness across Citi. These functions provide advisory services and/or design, implement, maintain and oversee Company-wide programs that support Citi in maintaining an effective control environment.

Enterprise support functions are composed of Human Resources and Legal (including Citi Security and Investigative Services). Front line units may also include enterprise support units and/or conduct enterprise support activities (e.g., the Controllers Group within Finance).

Enterprise support functions, units and activities are subject to the relevant Company-wide independent oversight processes specific to the risks for which they are accountable (e.g., operational risk, compliance risk, reputation risk).

### Risk Governance

Citi's ERM Framework encompasses risk management processes to address risks undertaken by Citi through identification, measurement, monitoring, controlling and reporting of all risks. The ERM Framework integrates these processes with appropriate governance to complement Citi's commitment to maintaining strong and consistent risk management practices.

### Board Oversight

The Board is responsible for oversight of Citi and holds the Executive Management Team accountable for implementing the ERM Framework, meeting strategic objectives within Citi's risk appetite.

### Executive Management Team

The Board delegates authority to an Executive Management Team for directing and overseeing day-to-day management of Citi. The Executive Management Team is led by the Citigroup CEO and provides oversight of group activities, both directly and through authority delegated to committees it has established to oversee the management of risk, to ensure continued alignment with Citi's risk strategy.

### Board and Executive Management Committees

The Board executes its responsibilities either directly or through its committees. The Board has delegated authority to the following Board standing committees to help fulfill its oversight and risk management responsibilities:

- Risk Management Committee (RMC): assists the Board in fulfilling its responsibility with respect to (i) oversight of Citi's risk management framework, including the significant policies and practices used in managing credit, market, liquidity, strategic, operational, compliance, reputation and certain other risks, including those pertaining to capital management, and (ii) performance

oversight of the Global Risk Review-credit, capital and collateral review functions.

- Audit Committee: provides oversight of Citi's financial reporting and internal control risk, as well as Internal Audit and Citi's external independent accountants.
- Compensation, Performance Management and Culture Committee: provides oversight of compensation of Citi's employees and Citi management's sustained focus on fostering a principled culture of sound ethics, responsible conduct and accountability within the organization.
- Nomination, Governance and Public Affairs Committee: provides oversight of reputational issues, Environmental, Social and Governance (ESG) and sustainability matters, and legal and regulatory compliance risks as they relate to corporate governance matters.
- Technology Committee: assists the Board in fulfilling its responsibility with respect to oversight of (i) Citigroup's technology strategy and operating plan and the development of Citi's target operating model and architecture, (ii) technology-based risk management, including Cyber Security, (iii) technology-related resource and talent planning and (iv) third-party management policies, practices and standards.

In addition to the above, the Board has established the following ad hoc committee:

- Transformation Oversight Committee: provides oversight of the actions of Citi's management to develop and execute a transformation of Citi's risk and control environment pursuant to the recent regulatory consent orders (for additional information see "Citi's Consent Order Compliance" above).

The Executive Management Team has established five standing committees that cover the primary risks to which Citi (i.e., Group) is exposed. These consist of:

- Group Strategic Risk Committee (GSRC): provides governance oversight of Citi's management actions to adequately identify, monitor, report, manage and escalate all material strategic risks facing Citi.
- Citigroup Asset and Liability Committee (ALCO): responsible for governance over management's Liquidity Risk and Market Risk (non-trading) management and for monitoring and influencing the balance sheet, investment securities and capital management activities of Citigroup.
- Group Risk Management Committee (GRMC): the primary senior executive level committee responsible for (i) overseeing the execution of Citigroup's ERM Framework, (ii) monitoring Citi's risk profile at an aggregate level inclusive of individual risk categories, (iii) ensuring that Citi's risk profile remains consistent with its approved risk appetite and (iv) discussing material and emerging risk issues facing the Company. The Committee also provides comprehensive Group-wide coverage of all risk categories, including Credit Risk and Market Risk (trading).
- Group Business Risk and Control Committee (GBRCC): provides governance oversight of Citi's Compliance and Operational Risks.

62

• Group Reputation Risk Committee (GRRC): provides governance oversight for Reputation Risk management across Citi.

In addition to the Executive Management committees listed above, management may establish ad-hoc committees in response to regulatory feedback or to manage additional activities when deemed necessary.

The figure below illustrates the reporting lines between the Board and Executive Management committees:

![img-0.jpeg](img-0.jpeg)

# CREDIT RISK

# Overview

Credit risk is the risk of loss resulting from the decline in credit quality of a client, customer or counterparty (or downgrade risk) or the failure of a borrower, counterparty, third party or issuer to honor its financial or contractual obligations. Credit risk is one of the most significant risks Citi faces as an institution. For additional information, see “Risk Factors-Credit Risk” above. Credit risk arises in many of Citigroup’s business activities, including:

- consumer, commercial and corporate lending;
- capital markets derivative transactions;
- structured finance; and
- securities financing transactions (repurchase and reverse repurchase agreements, and securities loaned and borrowed).

Credit risk also arises from clearing and settlement activities, when Citi transfers an asset in advance of receiving its counter-value or advances funds to settle a transaction on behalf of a client. Concentration risk, within credit risk, is the risk associated with having credit exposure concentrated within a specific client, industry, region or other category.

Citi has an established framework in place for managing credit risk across all businesses that includes a defined risk appetite, credit limits and credit policies. Citi’s credit risk management framework also includes policies and procedures to manage problem exposures.

To manage concentration risk, Citi has in place a framework consisting of industry limits, single-name concentrations for each business and across Citigroup and a specialized product limit framework.

Credit exposures are generally reported in notional terms for accrual loans, reflecting the value at which the loans as well as other off-balance sheet commitments are carried on the Consolidated Balance Sheet. Credit exposure arising from capital markets activities is generally expressed as the current mark-to-market, net of margin, reflecting the net value owed to Citi by a given counterparty.

The credit risk associated with Citi’s credit exposures is a function of the idiosyncratic creditworthiness of the obligor, as well as the terms and conditions of the specific obligation. Citi assesses the credit risk associated with its credit exposures on a regular basis through its allowance for credit losses (ACL) process (see “Significant Accounting Policies and Significant Estimates-Allowance for Credit Losses” below and Notes 1 and 15), as well as through regular stress testing at the company, business, geography and product levels. These stress-testing processes typically estimate potential incremental credit costs that would occur as a result of either downgrades in the credit quality or defaults of the obligors or counterparties. See Note 14 for additional information on Citi’s credit risk management.

63

## CORPORATE CREDIT

Consistent with its overall strategy, Citi's corporate clients are typically corporations that value the depth and breadth of Citi's global network. Citi aims to establish relationships with these clients whose needs encompass multiple products, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory.

### Corporate Credit Portfolio

The following table details Citi's corporate credit portfolio within *ICG* and the Mexico SBMM component of *Legacy Franchises* (excluding certain loans managed on a delinquency basis, loans carried at fair value and loans held-for-sale), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:

| In billions of dollars | December 31, 2022 |  |  |  | September 30, 2022 |  |  |  | December 31, 2021 |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  | Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years | Total exposure | Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years | Total exposure | Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years | Total exposure |
| Direct outstandings (on-balance sheet) (1) | $134 | $122 | $27 | $283 | $143 | $114 | $27 | $284 | $145 | $119 | $20 | $284 |
| Unfunded lending commitments (off-balance sheet) (2) | 140 | 256 | 10 | 406 | 133 | 248 | 10 | 391 | 147 | 269 | 13 | 429 |
| Total exposure | $274 | $378 | $37 | $689 | $276 | $362 | $37 | $675 | $292 | $388 | $33 | $713 |

(1) Includes drawn loans, overdrafts, bankers' acceptances and leases.

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

### Portfolio Mix-Geography and Counterparty

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

|  | December 31, 2022 | September 30, 2022 | December 31, 2021 |
| --- | --- | --- | --- |
| North America | 56% | 56% | 56% |
| EMEA | 25 | 25 | 25 |
| Asia | 12 | 12 | 13 |
| Latin America | 7 | 7 | 6 |
| Total | 100% | 100% | 100% |

The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty, and internal risk ratings are derived by leveraging validated statistical models and scorecards in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of the obligor and factors that affect the loss given default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are considered investment grade, while those below are considered non-investment grade.

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

|  | Total exposure |  |  |
| --- | --- | --- | --- |
|  | December 31, 2022 | September 30, 2022 | December 31, 2021 |
| AAA/AA/A | 50% | 50% | 48% |
| BBB | 34 | 33 | 34 |
| BB/B | 14 | 15 | 16 |
| CCC or below | 2 | 2 | 2 |
| Total | 100% | 100% | 100% |

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

In addition to the obligor and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi's interpretation of the U.S. banking regulators' definition of criticized exposures, which may categorize exposures as special mention, substandard, doubtful or loss.

Risk ratings and classifications are reviewed regularly and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment. This includes but is not limited to exposures in those sectors significantly impacted by the COVID-19

64

pandemic (including consumer retail, commercial real estate and transportation).

Citi believes the corporate credit portfolio to be appropriately rated and classified as of December 31, 2022. Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.

As obligor risk ratings are downgraded, the probability of default increases. Downgrades of obligor risk ratings tend to result in a higher provision for credit losses. In addition, downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in Citi’s seeking to reduce exposure to an obligor or an industry sector. Citi will continue to review exposures to ensure that the appropriate probability of default is incorporated into all risk assessments.

See Note 14 for additional information on Citi’s corporate credit portfolio.

### **Portfolio Mix-Industry**

Citi’s corporate credit portfolio is diversified by industry. The following table details the allocation of Citi’s total corporate credit portfolio by industry:

|  | Total exposure |  |  |
| --- | --- | --- | --- |
|  | December 31, 2022 | September 30, 2022 | December 31, 2021 |
| Transportation and industrials | 20% | 20% | 20% |
| Technology, media and telecom | 12 | 12 | 12 |
| Consumer retail | 11 | 11 | 11 |
| Real estate | 10 | 10 | 10 |
| Power, chemicals, metals and mining | 9 | 9 | 9 |
| Banks and finance companies (1) | 10 | 9 | 8 |
| Energy and commodities | 7 | 7 | 7 |
| Asset managers and funds | 5 | 7 | 8 |
| Health | 6 | 5 | 5 |
| Insurance | 4 | 4 | 4 |
| Public sector | 3 | 3 | 3 |
| Financial markets infrastructure | 2 | 2 | 2 |
| Other industries | 1 | 1 | 1 |
| Total | 100% | 100% | 100% |

(1) As of the periods in the table, Citi had less than 1% exposure to securities firms. See corporate credit portfolio by industry, below.

65

The following table details Citi's corporate credit portfolio by industry as of December 31, 2022:

| In millions of dollars | Total credit exposure | Funded (1) | Unfunded (1) | Investment grade | Non-investment grade |  |  | Selected metrics |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  | Non-criticized | Criticized performing | Criticized non-performing (2) | 30 days or more past due and accruing | Net credit losses (recoveries) | Credit derivative hedges (3) |
| Transportation and industrials | $139,225 | $57,271 | $81,954 | $109,197 | $19,697 | $9,850 | $481 | $403 | $ - | $(8,459) |
| Autos (4) | 47,482 | 21,995 | 25,487 | 40,795 | 5,171 | 1,391 | 125 | 52 | - | (3,084) |
| Transportation | 24,843 | 10,374 | 14,469 | 18,078 | 3,156 | 3,444 | 165 | 57 | (30) | (1,270) |
| Industrials | 66,900 | 24,902 | 41,998 | 50,324 | 11,370 | 5,015 | 191 | 294 | 30 | (4,105) |
| Technology, media and telecom | 81,211 | 28,931 | 52,280 | 65,386 | 12,308 | 3,308 | 209 | 169 | 11 | (6,050) |
| Consumer retail | 78,255 | 32,687 | 45,568 | 60,215 | 14,830 | 2,910 | 300 | 195 | 28 | (5,395) |
| Real estate | 70,676 | 48,539 | 22,137 | 63,023 | 4,722 | 2,881 | 50 | 138 | 2 | (739) |
| Power, chemicals, metals and mining | 59,404 | 18,326 | 41,078 | 47,395 | 10,466 | 1,437 | 106 | 226 | 34 | (5,063) |
| Power | 22,718 | 4,827 | 17,891 | 18,822 | 3,325 | 512 | 59 | 129 | (3) | (2,306) |
| Chemicals | 23,147 | 7,765 | 15,382 | 19,033 | 3,534 | 564 | 16 | 55 | 30 | (2,098) |
| Metals and mining | 13,539 | 5,734 | 7,805 | 9,540 | 3,607 | 361 | 31 | 42 | 7 | (659) |
| Banks and finance companies | 65,623 | 42,276 | 23,347 | 57,368 | 5,718 | 2,387 | 150 | 266 | 65 | (1,113) |
| Energy and commodities (5) | 46,309 | 13,069 | 33,240 | 38,918 | 6,076 | 1,200 | 115 | 180 | 11 | (3,852) |
| Asset managers and funds | 35,983 | 13,162 | 22,821 | 34,431 | 1,492 | 60 | - | 95 | - | (759) |
| Health | 41,836 | 8,771 | 33,065 | 36,954 | 3,737 | 978 | 167 | 84 | 7 | (2,855) |
| Insurance | 29,932 | 4,417 | 25,515 | 29,090 | 801 | 41 | - | 44 | - | (3,884) |
| Public sector | 23,705 | 11,736 | 11,969 | 20,663 | 2,084 | 956 | 2 | 77 | 4 | (1,633) |
| Financial markets infrastructure | 8,742 | 60 | 8,682 | 8,672 | 70 | - | - | - | - | (18) |
| Securities firms | 1,462 | 569 | 893 | 625 | 678 | 157 | 2 | 2 | - | (2) |
| Other industries | 6,697 | 3,651 | 3,046 | 4,842 | 1,568 | 238 | 49 | 19 | 16 | (8) |
| Total | $689,060 | $283,465 | $405,595 | $576,779 | $84,247 | $26,403 | $1,631 | $1,898 | $178 | $(39,830) |

(1) Excludes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2022, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balances also exclude loans carried at fair value of $5.1 billion at December 31, 2022.

(2) Includes non-accrual loan exposures and criticized unfunded exposures.

(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $39.8 billion of purchased credit protection, $36.6 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.2 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $27.6 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.

(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.4 billion ($10.3 billion in funded, with more than 99% rated investment grade) as of December 31, 2022.

(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2022, Citi's total exposure to these energy-related entities was approximately $4.7 billion, of which approximately $2.4 billion consisted of direct outstanding funded loans.

66

The following table details Citi's corporate credit portfolio by industry as of December 31, 2021:

| In millions of dollars | Total credit exposure | Funded (1) | Unfunded (1) | Investment grade | Non-investment grade |  |  | Selected metrics |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  | Non-criticized | Criticized performing | Criticized non-performing (2) | 30 days or more past due and accruing | Net credit losses (recoveries) | Credit derivative hedges (3) |
| Transportation and industrials | $143,445 | $51,502 | $91,943 | $110,047 | $19,051 | $13,196 | $1,151 | $384 | $127 | $(8,791) |
| Autos (4) | 48,210 | 18,662 | 29,548 | 39,824 | 5,365 | 2,906 | 115 | 49 | 2 | (3,228) |
| Transportation | 26,897 | 12,085 | 14,812 | 19,233 | 2,344 | 4,447 | 873 | 105 | 104 | (1,334) |
| Industrials | 68,338 | 20,755 | 47,583 | 50,990 | 11,342 | 5,843 | 163 | 230 | 21 | (4,229) |
| Technology, media and telecom | 84,333 | 28,542 | 55,791 | 64,676 | 15,873 | 3,587 | 197 | 156 | 11 | (6,875) |
| Consumer retail | 78,994 | 32,894 | 46,100 | 60,686 | 13,590 | 4,311 | 407 | 224 | 100 | (5,115) |
| Real estate | 69,808 | 46,220 | 23,588 | 58,089 | 6,761 | 4,923 | 35 | 116 | 50 | (798) |
| Power, chemicals, metals and mining | 65,641 | 20,224 | 45,417 | 53,575 | 10,708 | 1,241 | 117 | 292 | 22 | (5,808) |
| Power | 26,199 | 5,610 | 20,589 | 22,860 | 2,832 | 420 | 87 | 100 | 17 | (3,032) |
| Chemicals | 25,550 | 8,525 | 17,025 | 20,788 | 4,224 | 528 | 10 | 88 | 6 | (2,141) |
| Metals and mining | 13,892 | 6,089 | 7,803 | 9,927 | 3,652 | 293 | 20 | 104 | (1) | (635) |
| Banks and finance companies | 58,252 | 36,804 | 21,448 | 49,465 | 4,892 | 3,890 | 5 | 150 | (5) | (680) |
| Energy and commodities (5) | 48,973 | 13,485 | 35,488 | 38,972 | 7,517 | 2,220 | 264 | 224 | 78 | (3,679) |
| Asset managers and funds | 55,517 | 26,879 | 28,638 | 54,119 | 1,019 | 377 | 2 | 211 | - | (869) |
| Health | 33,393 | 8,826 | 24,567 | 27,600 | 4,702 | 942 | 149 | 95 | - | (2,465) |
| Insurance | 28,495 | 3,162 | 25,333 | 27,447 | 987 | 61 | - | 2 | 1 | (2,711) |
| Public sector | 23,842 | 12,464 | 11,378 | 21,035 | 1,527 | 1,275 | 5 | 37 | (3) | (1,282) |
| Financial markets infrastructure | 14,341 | 109 | 14,232 | 14,323 | 18 | - | - | - | - | (22) |
| Securities firms | 1,472 | 613 | 859 | 605 | 816 | 51 | - | 4 | - | (5) |
| Other industries | 6,591 | 2,803 | 3,788 | 4,151 | 1,890 | 489 | 61 | - | 5 | (169) |
| Total | $713,097 | $284,527 | $428,570 | $584,790 | $89,351 | $36,563 | $2,393 | $1,895 | $386 | $(39,269) |

(1) Excludes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2021, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balances also excludes loans carried at fair value of $6.1 billion at December 31, 2021.

(2) Includes non-accrual loan exposures and criticized unfunded exposures.

(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $39.3 billion of purchased credit protection, $36.0 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.

(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.9 billion ($6.5 billion in funded, with more than 99% rated investment grade) at December 31, 2021.

(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2021, Citi's total exposure to these energy-related entities was approximately $5.1 billion, of which approximately $2.6 billion consisted of direct outstanding funded loans.

67

### **Credit Risk Mitigation**

As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in *Principal transactions* in the Consolidated Statement of Income.

At December 31, 2022, September 30, 2022 and December 31, 2021, *ICG* had economic hedges on the corporate credit portfolio of $39.8 billion, $36.5 billion and $39.3 billion, respectively. Citi's expected credit loss model used in the calculation of its ACL does not include the favorable impact of credit derivatives and other mitigants that are marked-to-market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying *ICG* corporate credit portfolio exposures with the following risk rating distribution:

### **Rating of Hedged Exposure**

|  | December 31, 2022 | September 30, 2022 | December 31, 2021 |
| --- | --- | --- | --- |
| AAA/AA/A | 39% | 38% | 35% |
| BBB | 45 | 45 | 49 |
| BB/B | 12 | 13 | 13 |
| CCC or below | 4 | 4 | 3 |
| Total | 100% | 100% | 100% |

68

# **Loan Maturities and Fixed/Variable Pricing of Corporate Loans**

| In millions of dollars at December 31, 2022 | Due within 1 year | Over 1 year but within 5 years | Over 5 years but within 15 years | Over 15 years | Total |
| --- | --- | --- | --- | --- | --- |
| Corporate loans |  |  |  |  |  |
| In North America offices (1) |  |  |  |  |  |
| Commercial and industrial loans | $23,636 | $31,116 | $1,328 | $96 | $56,176 |
| Financial institutions | 21,619 | 21,600 | 168 | 12 | 43,399 |
| Mortgage and real estate (2) | 7,028 | 5,074 | 4,348 | 1,379 | 17,829 |
| Installment and other | 9,605 | 12,747 | 1,287 | 128 | 23,767 |
| Lease financing | 86 | 188 | 34 | - | 308 |
| Total | $61,974 | $70,725 | $7,165 | $1,615 | $141,479 |
| In offices outside North America (1) |  |  |  |  |  |
| Commercial and industrial loans | $70,210 | $19,376 | $4,300 | $81 | $93,967 |
| Financial institutions | 15,888 | 5,201 | 607 | 235 | 21,931 |
| Mortgage and real estate (2) | 1,946 | 1,592 | 566 | 75 | 4,179 |
| Installment and other | 12,386 | 7,109 | 1,256 | 2,596 | 23,347 |
| Lease financing | 6 | 40 | - | - | 46 |
| Governments and official institutions | 2,535 | 428 | 798 | 444 | 4,205 |
| Total | $102,971 | $33,746 | $7,527 | $3,431 | $147,675 |
| Corporate loans, net of unearned income (3) | $164,945 | $104,471 | $14,692 | $5,046 | $289,154 |
| Loans at fixed interest rates (4) |  |  |  |  |  |
| Commercial and industrial loans |  | $3,885 | $1,045 | $48 |  |
| Financial institutions |  | 3,924 | 61 | 12 |  |
| Mortgage and real estate (2) |  | 1,238 | 3,643 | 977 |  |
| Other (5) |  | 4,148 | 261 | 6 |  |
| Lease financing |  | 165 | - | - |  |
| Total |  | $13,360 | $5,010 | $1,043 |  |
| Loans at floating or adjustable interest rates (4) |  |  |  |  |  |
| Commercial and industrial loans |  | $46,607 | $4,583 | $129 |  |
| Financial institutions |  | 22,877 | 714 | 235 |  |
| Mortgage and real estate (2) |  | 5,428 | 1,271 | 477 |  |
| Other (5) |  | 16,136 | 3,080 | 3,162 |  |
| Lease financing |  | 63 | 34 | - |  |
| Total |  | $91,111 | $9,682 | $4,003 |  |
| Total fixed/variable pricing of corporate loans with maturities due after one year, net of unearned income (3) |  | $104,471 | $14,692 | $5,046 |  |

(1) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification between offices in North America and outside North America is based on the domicile of the booking unit. The differences between the domicile of the booking unit and the domicile of the managing unit are not material.

(2) Loans secured primarily by real estate.

(3) Corporate loans are net of unearned income of ($797) million. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.

(4) Based on contractual terms. Repricing characteristics may effectively be modified from time to time using derivative contracts. See Note 23.

(5) Other includes installment and other and loans to government and official institutions.

69

## CONSUMER CREDIT

*PBWM* fulfills a broad spectrum of customer financial needs, with U.S. Personal Banking providing retail banking, credit card, personal loan, mortgage and small business banking, and Global Wealth offering wealth management lending and other products globally to affluent to ultra-high-net-worth customer segments through the Private bank, Wealth at Work and Citigold. *PBWM*'s retail banking products include a generally prime portfolio built through well-defined lending parameters within Citi's risk appetite framework.

*Legacy Franchises* also provides such activities in its remaining markets through Asia Consumer and Mexico Consumer. The *Legacy Franchises* consumer credit information discussed below reflects only those exit market portfolios that remained held-for-investment (versus held-for-sale) as of each period. The Philippines was reclassified to held-for-sale as of 4Q21, followed by Malaysia, Thailand, Indonesia, Vietnam, Taiwan, India and Bahrain in 1Q22. As a result, China, Korea, Russia and Poland were the only portfolios that remained held-for-investment and are reflected in the discussion below as of 4Q22.

## Consumer Credit Portfolio

The following table shows Citi's quarterly end-of-period consumer loans:$^{(1)}$

| In billions of dollars | 4Q'21 (2) | 1Q'22 (2) | 2Q'22 (2) | 3Q'22 (2) | 4Q'22 (2) |
| --- | --- | --- | --- | --- | --- |
| Personal Banking and Wealth Management |  |  |  |  |  |
| U.S. Personal Banking |  |  |  |  |  |
| Cards |  |  |  |  |  |
| Branded cards | $87.9 | $85.9 | $91.6 | $93.7 | $100.2 |
| Retail services | 46.0 | 44.1 | 45.8 | 46.7 | 50.5 |
| Retail banking |  |  |  |  |  |
| Mortgages (3) | 30.2 | 30.5 | 32.3 | 32.3 | 33.4 |
| Personal, small business and other | 2.8 | 2.8 | 3.1 | 3.5 | 3.7 |
| Global Wealth (3)(4) |  |  |  |  |  |
| Cards | 4.0 | 3.8 | 4.0 | 4.0 | 4.6 |
| Mortgages (5) | 74.6 | 75.4 | 77.8 | 82.0 | 84.0 |
| Personal, small business and other (6) | 72.7 | 71.0 | 67.0 | 65.1 | 60.6 |
| Total | $318.2 | $313.5 | $321.6 | $327.3 | $337.0 |
| Legacy Franchises |  |  |  |  |  |
| Asia Consumer (7) | $41.1 | $19.5 | $17.3 | $13.4 | $13.3 |
| Mexico Consumer (excludes Mexico SBMM) | 13.3 | 13.6 | 13.5 | 13.7 | 14.8 |
| Legacy Holdings Assets (8) | 3.9 | 3.7 | 3.2 | 3.2 | 3.0 |
| Total | $58.3 | $36.8 | $34.0 | $30.3 | $31.1 |
| Total consumer loans | $376.5 | $350.3 | $355.6 | $357.6 | $368.1 |

(1) End-of-period loans include interest and fees on credit cards.

(2) *Legacy Franchises*-4Q22 Asia Consumer loan balances exclude approximately $12 billion of loans ($9 billion of retail banking loans and $3 billion of credit card loan balances) reclassified to held-for-sale (HFS) (in *Other assets* on the Consolidated Balance Sheet) as a result of Citi's signed agreements to sell its consumer banking businesses in four countries: Indonesia, Vietnam, Taiwan and India, which were reclassified to HFS starting 1Q22. (See *Legacy Franchises* above and Note 2 for additional information.) The Malaysia, Thailand and Bahrain sales closed during the fourth quarter of 2022 and were also reclassified to HFS starting 1Q22. The Philippines consumer banking business was reclassified to HFS from 4Q21 until the closing of its sale on August 1, 2022. Accordingly, loans from these sold businesses are excluded from the Asia Consumer loan balances as of the end of such periods.

(3) Consists of $98.2 billion, $99.3 billion, $94.6 billion, $94.1 billion and $92.7 billion of loans in North America as of December 31, 2022, September 30, 2022, June 30, 2022, March 31, 2022 and December 31, 2021, respectively. For additional information on the credit quality of the Global Wealth portfolio, see Note 14.

(4) Consists of $51.0 billion, $51.8 billion, $54.2 billion, $56.1 billion and $58.6 billion of loans outside North America as of December 31, 2022, September 30, 2022, June 30, 2022, March 31, 2022 and December 31, 2021, respectively.

(5) See Note 14 for details on loan-to-value ratios for the portfolios and FICO scores for the U.S. portfolio.

(6) At December 31, 2022, includes approximately $49 billion of classifiably managed loans. Over 90% of these loans are fully collateralized (consisting primarily of marketable investment securities, commercial real estate and limited partner capital commitments in private equity) and have experienced very low historical NCLs. As discussed below, approximately 95% of the classifiably managed portion of these loans are investment grade. See 'Consumer Loan Delinquencies Amounts and Ratios' below for details on the delinquency-managed portfolio.

(7) Asia Consumer also includes loans and leases in certain EMEA countries for all periods presented.

(8) Primarily consists of certain North America consumer mortgages.

For information on changes to Citi's consumer loans, see 'Liquidity Risk-Loans' below.

70

## Consumer Credit Trends

### Personal Banking and Wealth Management (PBWM)

![img-0.jpeg](img-0.jpeg)

As indicated above, *PBWM* consists of U.S. Personal Banking and Global Wealth Management (Global Wealth). U.S. Personal Banking provides card products through Branded cards and Retail services, and also includes mortgages and home equity, small business and personal consumer loans through Citi's Retail banking network. The Retail bank is concentrated in six major U.S. metropolitan areas. Global Wealth provides investment services, cards, mortgages and personal, small business and other consumer loans through the Private bank, Wealth at Work and Citigold.

As of December 31, 2022, approximately 45% of *PBWM* consumer loans consisted of Branded cards and Retail services card loans, which generally drives the overall credit performance of *PBWM*, as U.S. Cards net credit losses represent approximately 90% of total *PBWM* losses.

As shown in the chart above, the fourth quarter of 2022 net credit loss rate in *PBWM* increased quarter-over-quarter and year-over-year, driven by an increase in net flow rates, primarily reflecting ongoing normalization from historically low levels in U.S. Cards.

*PBWM*'s 90+ days past due delinquency rate increased quarter-over-quarter and year-over-year, also driven by an increase in net flow rates, primarily reflecting the ongoing normalization in U.S. Cards.

![img-1.jpeg](img-1.jpeg)

U.S. Personal Banking's Branded cards portfolio includes proprietary and co-branded cards.

As shown in the chart above, the fourth quarter of 2022 net credit loss rate in Branded cards increased quarter-over-quarter and year-over-year, driven by an increase in net flow rates, primarily reflecting ongoing normalization from historically low levels.

The 90+ days past due delinquency rate increased quarter-over-quarter and year-over-year, also driven by an increase in net flow rates, primarily reflecting the ongoing normalization.

![img-2.jpeg](img-2.jpeg)

U.S. Personal Banking's Retail services partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Retail services' target market focuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel. Retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.

As shown in the chart above, the fourth quarter of 2022 net credit loss rate in Retail services increased quarter-over-quarter and year-over-year, driven by an increase in net flow rates, primarily reflecting the ongoing normalization from historically low levels.

The 90+ days past due delinquency rate increased quarter-over-quarter and year-over-year, also driven by an increase in net flow rates, primarily reflecting the ongoing normalization.

For additional information on cost of credit, loan delinquency and other information for Citi's cards portfolios, see each respective business's results of operations above and Note 14.

![img-3.jpeg](img-3.jpeg)

71

U.S. Personal Banking's Retail banking portfolio consists primarily of consumer mortgages (including home equity) and unsecured lending products, such as small business loans and personal loans. The portfolio is generally delinquency managed, where Citi evaluates credit risk based on FICO scores, delinquencies and the value of underlying collateral. The consumer mortgages in this portfolio have historically been extended to high credit quality customers, generally with loan-to-value ratios that are less than or equal to 80% on first and second mortgages. For additional information, see 'Loan-to-Value (LTV) Ratios' in Note 14.

As shown in the chart above, the net credit loss rate in Retail banking for the fourth quarter of 2022 increased slightly quarter-over-quarter and year-over-year, primarily driven by the continued impact of industry-wide episodic overdraft losses.

The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily driven by U.S. mortgages, which reflected the lasting effects of government stimulus, unemployment benefits and consumer relief programs.

![img-4.jpeg](img-4.jpeg)

As discussed above, the Global Wealth credit portfolio primarily consists of consumer mortgages, cards and other lending products extended to customer segments that range from the affluent to ultra-high-net-worth through the Private bank, Wealth at Work and Citigold. These customer segments represent a target market that is characterized by historically low default rates and delinquencies.

As of December 31, 2022, approximately $49 billion, or 33%, of the portfolio was classifiably managed and primarily consisted of margin lending, commercial real estate, subscription credit finance and other lending programs. These classifiably managed loans are primarily evaluated for credit risk based on their internal risk rating, of which 95% is rated investment grade. While the delinquency rate in the chart above is calculated only for the delinquency-managed portfolio, the net credit loss rate is calculated using net credit losses for both the delinquency and classifiably managed portfolios.

As shown in the chart above, the net credit loss rate and 90+ days past due delinquency rate were broadly stable quarter-over-quarter and year-over-year, reflecting the strong credit profiles of the portfolios. The net credit loss rate increased slightly quarter-over-quarter, due to a classifiably managed loan charge-off. The low levels of net credit losses

and the 90+ days past due delinquency rate continued to reflect the strong credit profiles of the portfolios.

### Legacy Franchises

*Legacy Franchises* provides traditional retail banking and branded card products to retail and small business customers in Asia Consumer and Mexico Consumer.

![img-5.jpeg](img-5.jpeg)

(1) Asia Consumer includes *Legacy Franchises* activities in certain EMEA countries for all periods presented.

As shown in the chart above, the fourth quarter of 2022 net credit loss rate in Asia Consumer for the remaining portfolios held-for-investment (China, Korea, Russia and Poland) increased quarter-over-quarter, primarily driven by lower average loans due to the ongoing wind-down of the businesses, particularly in Korea (decline of $1.5 billion) and the sale of the personal loan portfolio in Russia in the fourth quarter of 2022. The net credit loss rate increased year-over-year, primarily driven by lower average loans due to the ongoing wind-down of the businesses, particularly in Korea (decline of $7.8 billion) and the sale of the personal loan portfolio in Russia, partially offset by the reclassification of loans to held-for-sale during 2022.

The 90+ days past due delinquency rate was largely unchanged quarter-over-quarter and decreased year-over-year, mainly driven by the impact of the Asia Consumer held-for-sale reclassifications, partially offset by the effect of declining loans due to the ongoing wind-down of the businesses, including the sale of the personal loan portfolio in Russia.

The performance of Asia Consumer's portfolios continues to reflect the strong credit profiles in the region's target customer segments.

![img-6.jpeg](img-6.jpeg)

72

Mexico Consumer operates in Mexico through Citibanamex and provides credit cards, consumer mortgages and small business and personal loans. Mexico Consumer serves a more mass-market segment in Mexico and focuses on developing multiproduct relationships with customers.

As shown in the chart above, the fourth quarter of 2022 net credit loss rate in Mexico Consumer decreased quarter-over-quarter and year-over-year, primarily driven by the impact of the charge-off of peak delinquencies in early 2021, which resulted in lower delinquencies, leading to lower net credit losses in the current quarter.

The 90+ days past due delinquency rate was largely unchanged quarter-over-quarter and decreased year-over-year, primarily driven by the impact of the charge-off of peak delinquencies and higher payment rates.

For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see each respective business’s results of operations above and Note 14.

### *U.S. Cards FICO Distribution*

The following tables show the current FICO score distributions for Citi’s Branded cards and Retail services portfolios based on end-of-period receivables. FICO scores are updated monthly for substantially all of the portfolio and on a quarterly basis for the remaining portfolio.

#### **Branded Cards**

| FICO distribution (1) | Dec. 31, 2022 | Sept. 30, 2022 | Dec. 31, 2021 |
| --- | --- | --- | --- |
| > 760 | 48% | 48% | 49% |
| 680-760 | 38 | 38 | 38 |
| < 680 | 14 | 14 | 13 |
| Total | 100% | 100% | 100% |

#### **Retail Services**

| FICO distribution (1) | Dec. 31, 2022 | Sept. 30, 2022 | Dec. 31, 2021 |
| --- | --- | --- | --- |
| > 760 | 27% | 27% | 28% |
| 680-760 | 42 | 43 | 44 |
| < 680 | 31 | 30 | 28 |
| Total | 100% | 100% | 100% |

(1) The FICO bands in the tables are consistent with general industry peer presentations.

The FICO distribution of both cards portfolios shifted slightly lower across the credit bands from the prior quarter and the prior year consistent with the ongoing normalization in net credit loss and delinquency rates in the portfolios. The FICO distribution continues to reflect strong underlying credit quality and a benefit from the continued impacts of government stimulus, unemployment benefits and customer relief programs. See Note 14 for additional information on FICO scores.

73

## Additional Consumer Credit Details

### Consumer Loan Delinquencies Amounts and Ratios

|  | EOP loans (1) | 90+ days past due (2) |  |  | 30-89 days past due (2) |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- |
|  | December 31, | December 31, |  |  | December 31, |  |  |
|  | 2022 | 2022 | 2021 | 2020 | 2022 | 2021 | 2020 |
| In millions of dollars, except EOP loan amounts in billions |  |  |  |  |  |  |  |
| Personal Banking and Wealth Management (3)(4)(5) |  |  |  |  |  |  |  |
| Total | $337.0 | $1,764 | $1,350 | $1,879 | $2,037 | $1,453 | $1,794 |
| Ratio |  | 0.61% | 0.52% | 0.74% | 0.71% | 0.56% | 0.71% |
| U.S. Personal Banking |  |  |  |  |  |  |  |
| Total | $187.8 | $1,578 | $1,069 | $1,588 | $1,720 | $1,130 | $1,513 |
| Ratio |  | 0.84% | 0.64% | 0.95% | 0.92% | 0.68% | 0.90% |
| Cards (4) |  |  |  |  |  |  |  |
| Total | $150.7 | $1,415 | $871 | $1,330 | $1,511 | $947 | $1,228 |
| Ratio |  | 0.94% | 0.65% | 1.02% | 1.00% | 0.71% | 0.94% |
| Branded cards | 100.2 | 629 | 389 | 686 | 693 | 408 | 589 |
| Ratio |  | 0.63% | 0.44% | 0.82% | 0.69% | 0.46% | 0.70% |
| Retail services | 50.5 | 786 | 482 | 644 | 818 | 539 | 639 |
| Ratio |  | 1.56% | 1.05% | 1.39% | 1.62% | 1.17% | 1.38% |
| Retail banking (3) | 37.1 | 163 | 198 | 258 | 209 | 183 | 285 |
| Ratio |  | 0.45% | 0.62% | 0.70% | 0.57% | 0.57% | 0.77% |
| Global Wealth delinquency-managed loans (5) | $100.0 | $186 | $281 | $291 | $317 | $323 | $281 |
| Ratio |  | 0.19% | 0.31% | 0.34% | 0.32% | 0.35% | 0.33% |
| Global Wealth classifiably managed loans (6) | $49.2 | N/A | N/A | N/A | N/A | N/A | N/A |
| Legacy Franchises |  |  |  |  |  |  |  |
| Total | $31.1 | $389 | $613 | $1,131 | $335 | $546 | $1,083 |
| Ratio |  | 1.26% | 1.06% | 1.47% | 1.09% | 0.94% | 1.41% |
| Asia Consumer (7)(8) | 13.3 | 49 | 209 | 456 | 70 | 285 | 514 |
| Ratio |  | 0.37% | 0.51% | 0.81% | 0.53% | 0.69% | 0.92% |
| Mexico Consumer | 14.8 | 190 | 183 | 363 | 186 | 173 | 390 |
| Ratio |  | 1.28% | 1.38% | 2.49% | 1.26% | 1.30% | 2.67% |
| Legacy Holdings Assets (consumer) (9) | 3.0 | 150 | 221 | 312 | 79 | 88 | 179 |
| Ratio |  | 5.56% | 6.31% | 5.03% | 2.93% | 2.51% | 2.89% |
| Total Citigroup consumer | $368.1 | $2,153 | $1,963 | $3,010 | $2,372 | $1,999 | $2,877 |
| Ratio |  | 0.68% | 0.62% | 0.91% | 0.75% | 0.63% | 0.87% |

(1) End-of-period (EOP) loans include interest and fees on credit cards.

(2) The ratios of 90+ days past due and 30-89 days past due are calculated based on EOP loans, net of unearned income.

(3) The 90+ days past due and 30-89 days past due and related ratios for Retail banking exclude loans guaranteed by U.S. government-sponsored agencies since the potential risk of loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $89 million ($0.6 billion), $185 million ($1.1 billion) and $171 million ($0.7 billion) at December 31, 2022, 2021 and 2020, respectively. The amounts excluded for loans 30-89 days past due (the 30-89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $70 million, $74 million and $98 million at December 31, 2022, 2021 and 2020, respectively. The EOP loans in the table include the guaranteed loans.

(4) The 90+ days past due balances for Branded cards and Retail services are generally still accruing interest. Citi's policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.

(5) Excludes EOP classifiably managed Private bank loans. These loans are not included in the delinquency numerator, denominator and ratios.

(6) These loans are evaluated for non-accrual status and write-off primarily based on their internal risk classification and not solely on their delinquency status, and therefore delinquency metrics are excluded from this table. As of December 31, 2022, 2021 and 2020, 96%, 94% and 92% of Global Wealth classifiably managed loans were rated investment grade. For additional information on the credit quality of the Global Wealth portfolio, including classifiably managed portfolios, see 'Consumer Credit Trends' above.

(7) Asia Consumer includes delinquencies and loans in certain EMEA countries for all periods presented.

74

(8) Citi recently entered into agreements to sell certain Asia consumer banking businesses. Accordingly, the loans of these businesses have been reclassified as HFS in Other assets on the Consolidated Balance Sheet, and hence the loans and related delinquencies and ratios are not included in this table. The reclassifications commenced as follows: Australia (3Q21, and closed on June 1, 2022), the Philippines (4Q21, and closed on August 1, 2022) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22) (Bahrain, Malaysia and Thailand closed in 4Q22). See Note 2 for additional information.
(9) The 90+ days past due and 30-89 days past due and related ratios exclude U.S. mortgage loans that are primarily related to U.S. mortgages guaranteed by U.S. government-sponsored agencies since the potential risk of loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and (EOP loans) were $90 million ($0.3 billion), $138 million ($0.4 billion) and $183 million ($0.5 billion) at December 31, 2022, 2021 and 2020, respectively. The amounts excluded for loans 30-89 days past due (the 30-89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $37 million, $35 million and $73 million at December 31, 2022, 2021 and 2020, respectively. The EOP loans in the table include the guaranteed loans.
N/A Not applicable

# Consumer Loan Net Credit Losses and Ratios

| In millions of dollars, except average loan amounts in billions | Average loans (1) | Net credit losses (2) |  |  |
| --- | --- | --- | --- | --- |
|  | 2022 | 2022 | 2021 | 2020 |
| Personal Banking and Wealth Management (3) |  |  |  |  |
| Total | $321.0 | $3,021 | $3,061 | $5,229 |
| Ratio |  | 0.94% | 1.00% | 1.72% |
| U.S. Personal Banking |  |  |  |  |
| Total | $170.7 | $2,918 | $2,939 | $4,990 |
| Ratio |  | 1.71% | 1.85% | 2.95% |
| Cards |  |  |  |  |
| Total | 135.6 | 2,640 | 2,828 | 4,858 |
| Ratio |  | 1.95% | 2.28% | 3.71% |
| Branded cards | 89.8 | 1,384 | 1,659 | 2,708 |
| Ratio |  | 1.54% | 2.05% | 3.20% |
| Retail services | 45.8 | 1,256 | 1,169 | 2,150 |
| Ratio |  | 2.74% | 2.71% | 4.62% |
| Retail banking | 35.1 | 278 | 111 | 132 |
| Ratio |  | 0.79% | 0.32% | 0.35% |
| Global Wealth | $150.3 | $103 | $122 | $239 |
| Ratio |  | 0.07% | 0.08% | 0.18% |
| Legacy Franchises |  |  |  |  |
| Total | $34.4 | $590 | $1,448 | $1,482 |
| Ratio |  | 1.72% | 2.12% | 1.96% |
| Asia Consumer (3)(4) | 17.4 | 160 | 610 | 640 |
| Ratio |  | 0.92% | 1.23% | 1.22% |
| Mexico Consumer | 13.6 | 476 | 920 | 866 |
| Ratio |  | 3.50% | 6.87% | 5.97% |
| Legacy Holdings Assets (consumer) | 3.4 | (46) | (82) | (24) |
| Ratio |  | (1.35)% | (1.53)% | (0.27)% |
| Total Citigroup | $355.4 | $3,611 | $4,509 | $6,711 |
| Ratio |  | 1.02% | 1.20% | 1.77% |

(1) Average loans include interest and fees on credit cards.

(2) The ratios of net credit losses are calculated based on average loans, net of unearned income.

(3) Asia Consumer includes NCLs and average loans in certain EMEA countries (Russia, Poland and Bahrain) for all periods presented.

(4) Citi recently entered into agreements to sell certain Asia consumer banking businesses, which have been reclassified as HFS in Other assets and Other liabilities on the Consolidated Balance Sheet. As a result, approximately $155 million and $6 million in related net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) in 2022 and 2021, respectively. Accordingly, these NCLs are not included in this table. The reclassifications commenced as follows: Australia (3Q21, and closed on June 1, 2022), the Philippines (4Q21, and closed on August 1, 2022) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22) (Bahrain, Malaysia and Thailand closed in 4Q22). See Note 2 for additional information.

75

## Loan Maturities and Fixed/Variable Pricing of Consumer Loans

### Loan Maturities

| In millions of dollars at December 31, 2022 | Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years but within 15 years | Greater than 15 years | Total |
| --- | --- | --- | --- | --- | --- |
| In North America offices |  |  |  |  |  |
| Residential first mortgages | $4 | $181 | $3,513 | $92,341 | $96,039 |
| Home equity loans | 551 | 42 | 1,669 | 2,318 | 4,580 |
| Credit cards (1) | 149,822 | 821 | - | - | 150,643 |
| Personal, small business and other | 33,271 | 3,945 | 340 | 196 | 37,752 |
| Total | $183,648 | $4,989 | $5,522 | $94,855 | $289,014 |
| In offices outside North America |  |  |  |  |  |
| Residential mortgages | $2,994 | $372 | $4,374 | $20,374 | $28,114 |
| Credit cards (1) | 12,885 | 70 | - | - | 12,955 |
| Personal, small business and other | 29,637 | 7,179 | 588 | 580 | 37,984 |
| Total | $45,516 | $7,621 | $4,962 | $20,954 | $79,053 |

(1) Credit card loans with maturities greater than one year represent TDRs and are at fixed interest rates.

### Fixed/Variable Pricing

| In millions of dollars at December 31, 2022 | Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years but within 15 years | Greater than 15 years | Total |
| --- | --- | --- | --- | --- | --- |
| Loans at fixed interest rates |  |  |  |  |  |
| Residential first mortgages | $2,050 | $263 | $2,691 | $59,918 | $64,922 |
| Home equity loans | 5 | 39 | 298 | 147 | 489 |
| Credit cards (1) | 41,913 | 891 | - | - | 42,804 |
| Personal, small business and other | 9,748 | 5,380 | 343 | 192 | 15,663 |
| Total | $53,716 | $6,573 | $3,332 | $60,257 | $123,878 |
| Loans at floating or adjustable interest rates |  |  |  |  |  |
| Residential first mortgages | $948 | $290 | $5,196 | $52,797 | $59,231 |
| Home equity loans | 546 | 3 | 1,371 | 2,171 | 4,091 |
| Credit cards (1) | 120,794 | - | - | - | 120,794 |
| Personal, small business and other | 53,160 | 5,744 | 585 | 584 | 60,073 |
| Total | $175,448 | $6,037 | $7,152 | $55,552 | $244,189 |

(1) Credit card loans with maturities greater than one year represent TDRs and are at fixed interest rates.

76

# **ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS**

# **Loans Outstanding**

| In millions of dollars | December 31, |  |  |  |  |
| --- | --- | --- | --- | --- | --- |
|  | 2022 | 2021 | 2020 | 2019 | 2018 |
| Consumer loans |  |  |  |  |  |
| In North America offices (1) |  |  |  |  |  |
| Residential first mortgages (2) | $96,039 | $83,361 | $83,956 | $78,664 | $75,074 |
| Home equity loans (2) | 4,580 | 5,745 | 7,890 | 10,174 | 12,675 |
| Credit cards | 150,643 | 133,868 | 130,385 | 149,163 | 144,542 |
| Personal, small business and other | 37,752 | 40,713 | 39,259 | 36,548 | 35,733 |
| Total | $289,014 | $263,687 | $261,490 | $274,549 | $268,024 |
| In offices outside North America (1) |  |  |  |  |  |
| Residential mortgages (2) | $28,114 | $37,889 | $42,817 | $40,467 | $39,314 |
| Credit cards | 12,955 | 17,808 | 22,692 | 25,909 | 24,951 |
| Personal, small business and other | 37,984 | 57,150 | 59,475 | 60,013 | 52,052 |
| Total | $79,053 | $112,847 | $124,984 | $126,389 | $116,317 |
| Consumer loans, net of unearned income (3) | $368,067 | $376,534 | $386,474 | $400,938 | $384,341 |
| Corporate loans |  |  |  |  |  |
| In North America offices (1) |  |  |  |  |  |
| Commercial and industrial | $56,176 | $48,364 | $53,930 | $52,229 | $56,957 |
| Financial institutions | 43,399 | 49,804 | 39,390 | 38,782 | 34,906 |
| Mortgage and real estate (2) | 17,829 | 15,965 | 16,522 | 13,696 | 14,490 |
| Installment and other | 23,767 | 20,143 | 17,362 | 22,219 | 23,759 |
| Lease financing | 308 | 415 | 673 | 1,290 | 1,429 |
| Total | $141,479 | $134,691 | $127,877 | $128,216 | $131,541 |
| In offices outside North America (1) |  |  |  |  |  |
| Commercial and industrial | $93,967 | $102,735 | $103,234 | $112,332 | $113,662 |
| Financial institutions | 21,931 | 22,158 | 25,111 | 28,176 | 26,602 |
| Mortgage and real estate (2) | 4,179 | 4,374 | 5,277 | 4,325 | 2,920 |
| Installment and other | 23,347 | 22,812 | 24,034 | 21,273 | 20,458 |
| Lease financing | 46 | 40 | 65 | 95 | 152 |
| Governments and official institutions | 4,205 | 4,423 | 3,811 | 4,128 | 4,520 |
| Total | $147,675 | $156,542 | $161,532 | $170,329 | $168,314 |
| Corporate loans, net of unearned income (4) | $289,154 | $291,233 | $289,409 | $298,545 | $299,855 |
| Total loans-net of unearned income | $657,221 | $667,767 | $675,883 | $699,483 | $684,196 |
| Allowance for credit losses on loans (ACLL) | (16,974) | (16,455) | (24,956) | (12,783) | (12,315) |
| Total loans-net of unearned income and ACLL | $640,247 | $651,312 | $650,927 | $686,700 | $671,881 |
| ACLL as a percentage of total loans-net of unearned income (5) | 2.60% | 2.49% | 3.73% | 1.84% | 1.81% |
| ACLL for consumer loan losses as a percentage of total consumer loans-net of unearned income (5) | 3.84% | 3.73% | 5.22% | 2.51% | 2.52% |
| ACLL for corporate loan losses as a percentage of total corporate loans-net of unearned income (5) | 1.01% | 0.85% | 1.69% | 0.93% | 0.89% |

(1) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification of corporate loans between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.

(2) Loans secured primarily by real estate.

(3) Consumer loans are net of unearned income of $712 million, $629 million, $692 million, $732 million and $703 million at December 31, 2022, 2021, 2020, 2019 and 2018, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.

(4) Corporate loans include Mexico SBM loans and are net of unearned income of $(797) million, $(770) million, $(787) million, $(763) million and $(817) million at December 31, 2022, 2021, 2020, 2019 and 2018, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.

(5) Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.

77

## Details of Credit Loss Experience

| In millions of dollars | 2022 | 2021 | 2020 | 2019 | 2018 |
| --- | --- | --- | --- | --- | --- |
| Allowance for credit losses on loans (ACLL) at beginning of year | $16,455 | $24,956 | $12,783 | $12,315 | $12,355 |
| Adjustments to opening balance: |  |  |  |  |  |
| Financial instruments-credit losses (CECL) (1) | - | - | 4,201 | - | - |
| Variable post-charge-off third-party collection costs (2) | - | - | (443) | - | - |
| Adjusted ACLL at beginning of year | $16,455 | $24,956 | $16,541 | $12,315 | $12,355 |
| Provision for credit losses on loans (PCLL) |  |  |  |  |  |
| Consumer (2) | 4,128 | (1,159) | 12,222 | 7,788 | 7,261 |
| Corporate | 617 | (1,944) | 3,700 | 430 | 93 |
| Total | $4,745 | $(3,103) | $15,922 | $8,218 | $7,354 |
| Gross credit losses on loans |  |  |  |  |  |
| Consumer |  |  |  |  |  |
| In U.S. offices | $3,944 | $4,076 | $6,141 | $6,590 | $5,974 |
| In offices outside the U.S. | 934 | 2,144 | 2,146 | 2,316 | 2,352 |
| Corporate |  |  |  |  |  |
| Commercial and industrial, and other |  |  |  |  |  |
| In U.S. offices | 110 | 228 | 466 | 213 | 119 |
| In offices outside the U.S. | 81 | 259 | 409 | 196 | 206 |
| Loans to financial institutions |  |  |  |  |  |
| In U.S. offices | - | 1 | 14 | - | 3 |
| In offices outside the U.S. | 80 | 1 | 12 | 3 | 7 |
| Mortgage and real estate |  |  |  |  |  |
| In U.S. offices | - | 10 | 71 | 23 | 2 |
| In offices outside the U.S. | 7 | 1 | 4 | - | 2 |
| Total | $5,156 | $6,720 | $9,263 | $9,341 | $8,665 |
| Gross recoveries on loans (2) |  |  |  |  |  |
| Consumer |  |  |  |  |  |
| In U.S. offices | $1,045 | $1,215 | $1,094 | $988 | $918 |
| In offices outside the U.S. | 222 | 496 | 482 | 504 | 502 |
| Corporate |  |  |  |  |  |
| Commercial and industrial, and other |  |  |  |  |  |
| In U.S. offices | 44 | 57 | 34 | 15 | 39 |
| In offices outside the U.S. | 46 | 54 | 27 | 58 | 79 |
| Loans to financial institutions |  |  |  |  |  |
| In U.S. offices | 6 | 2 | - | - | - |
| In offices outside the U.S. | 3 | 1 | 14 | - | 6 |
| Mortgage and real estate |  |  |  |  |  |
| In U.S. offices | - | - | - | 8 | 7 |
| In offices outside the U.S. | 1 | - | 1 | - | 1 |
| Total | $1,367 | $1,825 | $1,652 | $1,573 | $1,552 |
| Net credit losses on loans (NCLs) |  |  |  |  |  |
| In U.S. offices | $2,959 | $3,041 | $5,564 | $5,815 | $5,134 |
| In offices outside the U.S. | 830 | 1,854 | 2,047 | 1,953 | 1,979 |
| Total | $3,789 | $4,895 | $7,611 | $7,768 | $7,113 |
| Other-net (3)(4)(5)(6)(7)(8) | $(437) | $(503) | $104 | $18 | $(281) |
| Allowance for credit losses on loans (ACLL) at end of year | $16,974 | $16,455 | $24,956 | $12,783 | $12,315 |
| ACLL as a percentage of EOP loans (9) | 2.60% | 2.49% | 3.73% | 1.84% | 1.81% |
| Allowance for credit losses on unfunded lending commitments (ACLUC) (10)(11) | $2,151 | $1,871 | $2,655 | $1,456 | $1,367 |

78

| Total ACLL and ACLUC | $19,125 | $18,326 | $27,611 | $14,239 | $13,682 |
| --- | --- | --- | --- | --- | --- |
| Net consumer credit losses on loans | $3,611 | $4,509 | $6,711 | $7,414 | $6,906 |
| As a percentage of average consumer loans | 1.02% | 1.20% | 1.77% | 1.94% | 1.84% |
| Net corporate credit losses on loans | $178 | $386 | $900 | $354 | $207 |
| As a percentage of average corporate loans | 0.06% | 0.13% | 0.29% | 0.12% | 0.07% |
| ACLLL by type at end of year (12) |  |  |  |  |  |
| Consumer | $14,119 | $14,040 | $20,180 | $10,056 | $9,670 |
| Corporate | 2,855 | 2,415 | 4,776 | 2,727 | 2,645 |
| Total | $16,974 | $16,455 | $24,956 | $12,783 | $12,315 |

(1) On January 1, 2020, Citi adopted Accounting Standards Codification (ASC) 326, Financial Instruments-Credit Losses (CECL). The ASC introduces a new credit loss methodology requiring earlier recognition of credit losses while also providing additional disclosure about credit risk. On January 1, 2020, Citi recorded a $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the consumer ACL due to longer estimated tenors than under the incurred loss methodology under prior U.S. GAAP, net of recoveries, and (ii) a $0.8 billion decrease to the corporate ACL due to shorter remaining tenors, incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies. See Note 1 for further discussion on the impact of Citi's adoption of CECL.
(2) Citi had a change in accounting related to its variable post-charge-off third-party collection costs that was recorded as an adjustment to its January 1, 2020 opening allowance for credit losses on loans of $443 million. See Note 1.
(3) Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(4) 2022 includes an approximate $350 million reclass related to the announced sales of Citi's consumer banking businesses in Thailand, India, Malaysia, Taiwan, Indonesia, Bahrain and Vietnam. Also includes a decrease of approximately $100 million related to FX translation.
(5) 2021 includes an approximate $280 million reclass related to Citi's agreement to sell its Australia consumer banking business and an approximate $90 million reclass related to Citi's agreement to sell its Philippines consumer banking business. Those ACLL were reclassified to Other assets during 2021. 2021 also includes a decrease of approximately $134 million related to FX translation.
(6) 2020 includes reductions of approximately $4 million related to the transfer to HFS of various real estate loan portfolios. In addition, 2020 includes an increase of approximately $97 million related to FX translation.
(7) 2019 includes reductions of approximately $42 million related to the sale or transfer to HFS of various loan portfolios. In addition, 2019 includes a reduction of approximately $60 million related to FX translation.
(8) 2018 includes reductions of approximately $201 million related to the sale or transfer to HFS of various loan portfolios, which include approximately $106 million related to the transfer of various real estate loan portfolios to HFS.
(9) December 31, 2022, 2021, 2020, 2019 and 2018 exclude $5.4 billion, $6.1 billion, $6.9 billion, $4.1 billion and $3.2 billion, respectively, of loans that are carried at fair value.
(10) 2020 corporate ACLUC includes a non-provision transfer of $68 million, representing reserves on performance guarantees. The reserves on these contracts were reclassified out of the ACL on unfunded lending commitments and into other liabilities.
(11) Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(12) Beginning in 2020, under CECL, the ACLL represents management's estimate of expected credit losses in the portfolio and troubled debt restructurings. See "Significant Accounting Policies and Significant Estimates" and Note 1 below. Attribution of the ACLL is made for analytical purposes only and the entire ACLL is available to absorb credit losses in the overall portfolio. Prior to 2020, the ACLL represented management's estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and TDRs.

79

## Allowance for Credit Losses on Loans (ACLL)

The following tables detail information on Citi's ACLL, loans and coverage ratios:

| In billions of dollars | December 31, 2022 |  |  |
| --- | --- | --- | --- |
|  | ACLL | EOP loans, net of unearned income | ACLL as a percentage of EOP loans (1) |
| Consumer |  |  |  |
| North America cards (2) | $11.4 | $150.6 | 7.6% |
| North America mortgages (3) | 0.5 | 100.4 | 0.5 |
| North America other (3) | 0.6 | 37.8 | 1.6 |
| International cards | 0.8 | 13.0 | 6.2 |
| International other (3) | 0.8 | 66.0 | 1.2 |
| Total (1) | $14.1 | $367.8 | 3.8% |
| Corporate |  |  |  |
| Commercial and industrial | $1.9 | $147.8 | 1.3% |
| Financial institutions | 0.4 | 64.9 | 0.6 |
| Mortgage and real estate | 0.4 | 21.9 | 1.8 |
| Installment and other | 0.2 | 49.4 | 0.4 |
| Total (1) | $2.9 | $284.0 | 1.0% |
| Loans at fair value (1) | N/A | $5.4 | N/A |
| Total Citigroup | $17.0 | $657.2 | 2.6% |

| In billions of dollars | December 31, 2021 |  |  |
| --- | --- | --- | --- |
|  | ACLL | EOP loans, net of unearned income | ACLL as a percentage of EOP loans (1) |
| Consumer |  |  |  |
| North America cards (2) | $10.8 | $133.9 | 8.1% |
| North America mortgages (3) | 0.5 | 89.1 | 0.6 |
| North America other (3) | 0.4 | 40.7 | 1.0 |
| International cards | 1.2 | 17.8 | 6.7 |
| International other (3) | 1.2 | 95.0 | 1.3 |
| Total (1) | $14.1 | $376.5 | 3.7% |
| Corporate |  |  |  |
| Commercial and industrial | $1.6 | $147.0 | 1.1% |
| Financial institutions | 0.3 | 71.8 | 0.4 |
| Mortgage and real estate | 0.3 | 20.3 | 1.5 |
| Installment and other | 0.2 | 46.1 | 0.4 |
| Total (1) | $2.4 | $285.2 | 0.8% |
| Loans at fair value (1) | N/A | $6.1 | N/A |
| Total Citigroup | $16.5 | $667.8 | 2.5% |

(1) Excludes loans carried at fair value, since they do not have an ACLL and are excluded from the ACLL ratio calculation.

(2) Includes both Branded cards and Retail services. As of December 31, 2022, the $11.4 billion of ACLL represented approximately 43 months of coincident net credit loss coverage (based on 4Q22 NCLs). As of December 31, 2022, Branded cards ACLL as a percentage of EOP loans was 6.2% and Retail services ACLL as a percentage of EOP loans was 10.3%. As of December 31, 2021, the $10.8 billion of ACLL represented approximately 63 months of coincident net credit loss coverage (based on 4Q21 NCLs). The decrease in the coincident coverage ratio at December 31, 2022 was primarily due to the relatively higher levels of NCLs in 4Q22 versus 4Q21. As of December 31, 2021, Branded cards ACLL as a percentage of EOP loans was 7.1% and Retail services ACLL as a percentage of EOP loans was 10.0%.

(3) Includes residential mortgages, retail loans and personal, small business and other loans, including those extended through the Private bank network.

N/A Not applicable

80

The following table details Citi's corporate credit ACLL by industry exposure:

| In millions of dollars, except percentages | December 31, 2022 |  |  |
| --- | --- | --- | --- |
|  | Funded exposure (1) | ACLL | ACLL as a % of funded exposure |
| Transportation and industrials | $57,271 | $699 | 1.2% |
| Technology, media and telecom | 28,931 | 330 | 1.1 |
| Consumer retail | 32,687 | 358 | 1.1 |
| Real estate | 48,539 | 500 | 1.0 |
| Power, chemicals, metals and mining | 18,326 | 288 | 1.6 |
| Banks and finance companies | 42,276 | 225 | 0.5 |
| Energy and commodities | 13,069 | 188 | 1.4 |
| Asset managers and funds | 13,162 | 38 | 0.3 |
| Health | 8,771 | 81 | 0.9 |
| Insurance | 4,417 | 11 | 0.2 |
| Public sector | 11,736 | 58 | 0.5 |
| Financial markets infrastructure | 60 | - | - |
| Securities firms | 569 | 11 | 1.9 |
| Other industries | 3,651 | 59 | 1.6 |
| Total classifiably managed loans (2) | $283,465 | $2,846 | 1.0% |
| Loans managed on a delinquency basis (3) | $566 | $9 | 1.6% |
| Total | $284,031 | $2,855 | 1.0% |

(1) Funded exposure excludes loans carried at fair value of $5.1 billion that are not subject to ACLL under the CECL standard.

(2) As of December 31, 2022, the ACLL shown above reflects coverage of 0.4% of funded investment-grade exposure and 3.0% of funded non-investment-grade exposure.

(3) Primarily associated with delinquency-managed loans including commercial credit cards and other loans, and unearned income at December 31, 2022.

The following table details Citi's corporate credit ACLL by industry exposure:

| In millions of dollars, except percentages | December 31, 2021 |  |  |
| --- | --- | --- | --- |
|  | Funded exposure (1) | ACLL | ACLL as a % of funded exposure |
| Transportation and industrials | $51,502 | $597 | 1.2% |
| Technology, media and telecom | 28,542 | 170 | 0.6 |
| Consumer retail | 32,894 | 288 | 0.9 |
| Real estate | 46,220 | 509 | 1.1 |
| Power, chemicals, metals and mining | 20,224 | 151 | 0.7 |
| Banks and finance companies | 36,804 | 197 | 0.5 |
| Energy and commodities | 13,485 | 268 | 2.0 |
| Asset managers and funds | 26,879 | 34 | 0.5 |
| Health | 8,826 | 73 | 0.8 |
| Insurance | 3,162 | 8 | 0.3 |
| Public sector | 12,464 | 74 | 0.6 |
| Financial markets infrastructure | 109 | - | - |
| Securities firms | 613 | 10 | 1.6 |
| Other industries | 2,803 | 28 | 1.0 |
| Total classifiably managed loans (2) | $284,527 | $2,407 | 0.8% |
| Loans managed on a delinquency basis (3) | $636 | $8 | 1.3% |
| Total | $285,163 | $2,415 | 0.8% |

(1) Funded exposure excludes loans carried at fair value of $6.1 billion that are not subject to ACLL under the CECL standard.

(2) As of December 31, 2021, the ACLL shown above reflects coverage of 0.7% of funded investment-grade exposure and 2.3% of funded non-investment-grade exposure.

(3) Primarily associated with delinquency-managed loans including commercial credit cards and other loans, and unearned income at December 31, 2021.

81

# **Non-Accrual Loans and Assets and Renegotiated Loans**

There is a certain amount of overlap among non-accrual loans and assets and renegotiated loans. The following summary provides a general description of each category.

# ***Non-Accrual Loans and Assets:***

- Corporate and consumer (including commercial banking) non-accrual status is based on the determination that payment of interest or principal is doubtful.
- A corporate loan may be classified as non-accrual and still be performing under the terms of the loan structure. Non-accrual loans may still be current on interest payments. Citi's corporate non-accrual loans were $1.1 billion, $1.5 billion and $1.6 billion as of December 31, 2022, September 30, 2022 and December 31, 2021, respectively. Of these, approximately 50%, 68% and 56% were performing at December 31, 2022, September 30, 2022 and December 31, 2021, respectively.
- Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments.
- Consumer mortgage loans, other than Federal Housing Administration (FHA) insured loans, are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy. In addition, home equity loans are classified as non-accrual if the related residential first mortgage loan is 90 days or more past due.
- North America Branded cards and Retail services are not included because, under industry standards, credit card loans accrue interest until such loans are charged off, which typically occurs at 180 days of contractual delinquency.

# ***Renegotiated Loans:***

- Includes both corporate and consumer loans whose terms have been modified in a troubled debt restructuring (TDR).
- Includes both accrual and non-accrual TDRs.

82

## Non-Accrual Loans

The table below summarizes Citigroup's non-accrual loans as of the periods indicated. Non-accrual loans may still be current on interest payments. In situations where Citi reasonably expects that only a portion of the principal owed will ultimately be collected, all payments received are reflected as a reduction of principal and not as interest income. For all other non-accrual loans, cash interest receipts are generally recorded as revenue.

| In millions of dollars | December 31, |  |  |  |  |
| --- | --- | --- | --- | --- | --- |
|  | 2022 | 2021 | 2020 | 2019 | 2018 |
| Corporate non-accrual loans by region (1)(2) |  |  |  |  |  |
| North America | $138 | $510 | $1,486 | $1,082 | $416 |
| EMEA | 502 | 367 | 629 | 398 | 344 |
| Latin America | 429 | 568 | 719 | 473 | 307 |
| Asia | 53 | 108 | 212 | 71 | 243 |
| Total | $1,122 | $1,553 | $3,046 | $2,024 | $1,310 |
| Corporate non-accrual loans (1)(2) |  |  |  |  |  |
| Banking | $767 | $1,239 | $2,767 | $1,742 | $1,097 |
| Services | 153 | 70 | 79 | 113 | 137 |
| Markets | 3 | 12 | 21 | 2 | 1 |
| Mexico SBMM | 199 | 232 | 179 | 167 | 75 |
| Total | $1,122 | $1,553 | $3,046 | $2,024 | $1,310 |
| Consumer non-accrual loans (1) |  |  |  |  |  |
| U.S. Personal Banking and Global Wealth | $541 | $680 | $950 | $443 | $455 |
| Asia Consumer (3) | 30 | 209 | 296 | 267 | 242 |
| Mexico Consumer | 457 | 524 | 774 | 632 | 638 |
| Legacy Holdings Assets-Consumer | 289 | 413 | 602 | 638 | 892 |
| Total | $1,317 | $1,826 | $2,622 | $1,980 | $2,227 |
| Total non-accrual loans | $2,439 | $3,379 | $5,668 | $4,004 | $3,537 |

(1) Corporate loans are placed on non-accrual status based upon a review by Citigroup's risk officers. Corporate non-accrual loans may still be current on interest payments. With limited exceptions, the following practices are applied for consumer loans: consumer loans, excluding credit cards and mortgages, are placed on non-accrual status at 90 days past due and are charged off at 120 days past due; residential mortgage loans are placed on non-accrual status at 90 days past due and written down to net realizable value at 180 days past due. Consistent with industry conventions, Citigroup generally accrues interest on credit card loans until such loans are charged off, which typically occurs at 180 days contractual delinquency. As such, the non-accrual loan disclosures do not include credit card loans. The balances above represent non-accrual loans within *Corporate loans* and *Consumer loans* on the Consolidated Balance Sheet.

(2) The December 31, 2022 total corporate non-accrual loans represented 0.39% of total corporate loans.

(3) Asia Consumer includes balances in certain EMEA countries for all periods presented.

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

| In millions of dollars | Year ended December 31, 2022 |  |  | Year ended December 31, 2021 |  |  |
| --- | --- | --- | --- | --- | --- | --- |
|  | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Non-accrual loans at beginning of year | $1,553 | $1,826 | $3,379 | $3,046 | $2,622 | $5,668 |
| Additions | 2,123 | 1,374 | 3,497 | 1,466 | 2,260 | 3,726 |
| Sales and transfers to HFS | (21) | (240) | (261) | (524) | (310) | (834) |
| Returned to performing | (378) | (408) | (786) | (219) | (723) | (942) |
| Paydowns/settlements | (1,814) | (585) | (2,399) | (1,721) | (780) | (2,501) |
| Charge-offs | (260) | (598) | (858) | (472) | (1,202) | (1,674) |
| Other | (81) | (52) | (133) | (23) | (41) | (64) |
| Ending balance | $1,122 | $1,317 | $2,439 | $1,553 | $1,826 | $3,379 |

83

The table below summarizes Citigroup's other real estate owned (OREO) assets. OREO is recorded on the Consolidated Balance Sheet within *Other assets*. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:

| In millions of dollars | December 31, |  |  |  |  |
| --- | --- | --- | --- | --- | --- |
|  | 2022 | 2021 | 2020 | 2019 | 2018 |
| OREO |  |  |  |  |  |
| North America | $10 | $15 | $19 | $39 | $64 |
| EMEA | - | - | - | 1 | 1 |
| Latin America | 4 | 8 | 7 | 14 | 12 |
| Asia | 1 | 4 | 17 | 7 | 22 |
| Total OREO | $15 | $27 | $43 | $61 | $99 |
| Non-accrual assets |  |  |  |  |  |
| Corporate non-accrual loans | $1,122 | $1,553 | $3,046 | $2,024 | $1,310 |
| Consumer non-accrual loans | 1,317 | 1,826 | 2,622 | 1,980 | 2,227 |
| Non-accrual loans (NAL) | $2,439 | $3,379 | $5,668 | $4,004 | $3,537 |
| OREO | $15 | $27 | $43 | $61 | $99 |
| Non-accrual assets (NAA) | $2,454 | $3,406 | $5,711 | $4,065 | $3,636 |
| NAL as a percentage of total loans | 0.37% | 0.51% | 0.84% | 0.57% | 0.52% |
| NAA as a percentage of total assets | 0.10 | 0.15 | 0.25 | 0.21 | 0.19 |
| ACLL as a percentage of NAL (1) | 696 | 487 | 440 | 319 | 348 |

(1) The ACLL includes the allowance for Citi's credit card portfolios and purchased credit-deteriorated loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios) and, prior to 2020, include purchased credit-deteriorated loans as these continue to accrue interest until charge-off.

84

## Renegotiated Loans

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

| In millions of dollars | Dec. 31, 2022 | Dec. 31, 2021 |
| --- | --- | --- |
| Corporate renegotiated loans (1) |  |  |
| In U.S. offices |  |  |
| Commercial and industrial (2) | $35 | $103 |
| Mortgage and real estate | 2 | 2 |
| Financial institutions | - | - |
| Other | 11 | 20 |
| Total | $48 | $125 |
| In offices outside the U.S. |  |  |
| Commercial and industrial (2) | $50 | $133 |
| Mortgage and real estate | 11 | 18 |
| Financial institutions | - | - |
| Other | 1 | 8 |
| Total | $62 | $159 |
| Total corporate renegotiated loans | $110 | $284 |
| Consumer renegotiated loans (3) |  |  |
| In U.S. offices |  |  |
| Mortgage and real estate | $1,407 | $1,485 |
| Cards | 1,180 | 1,269 |
| Personal, small business and other | 19 | 26 |
| Total | $2,606 | $2,780 |
| In offices outside the U.S. |  |  |
| Mortgage and real estate | $152 | $227 |
| Cards | 75 | 313 |
| Personal, small business and other | 88 | 428 |
| Total | $315 | $968 |
| Total consumer renegotiated loans | $2,921 | $3,748 |

(1) Includes $108 million and $284 million of non-accrual loans included in the non-accrual loans table above at December 31, 2022 and 2021, respectively. The remaining loans were accruing interest.
(2) In addition to modifications reflected as TDRs at December 31, 2022 and 2021, Citi may have modifications that were not considered TDRs because the modifications did not involve a concession or because they qualified for exemptions from TDR accounting provided by the CARES Act or the interagency guidance.
(3) Includes $566 million and $664 million of non-accrual loans included in the non-accrual loans table above at December 31, 2022 and 2021, respectively. The remaining loans were accruing interest.

## Forgone Interest Revenue on Loans$^{(1)}$

| In millions of dollars | In U.S. offices | In non- U.S. offices | 2022 total |
| --- | --- | --- | --- |
| Interest revenue that would have been accrued at original contractual rates (2) | $331 | $189 | $520 |
| Amount recognized as interest revenue (2) | 158 | 121 | 279 |
| Forgone interest revenue | $173 | $68 | $241 |

(1) Relates to corporate non-accrual loans, renegotiated loans and consumer loans on which accrual of interest has been suspended.
(2) Interest revenue in offices outside the U.S. may reflect prevailing local interest rates, including the effects of inflation and monetary correction in certain countries.

85

**Time limit hit – remaining pages or documents were skipped.**