Citigroup C Form 10-Q filing Q3 FY2024

CITIGROUP’S THIRD QUARTER 2024—FORM 10-Q

FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS 97 CONSOLIDATED FINANCIAL STATEMENTS 98 NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) 106 UNREGISTERED SALES OF EQUITY SECURITIES, REPURCHASES OF EQUITY SECURITIES AND DIVIDENDS 219 OTHER INFORMATION 219

EXHIBIT INDEX 220

GLOSSARY OF TERMS AND ACRONYMS 222

OVERVIEW

This Quarterly Report on Form 10-Q should be read in conjunction with Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2023 (referred to herein as Citi’s 2023 Form 10-K), Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2024 (First Quarter of 2024 Form 10-Q) and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2024 (Second Quarter of 2024 Form 10-Q).

Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries. All “Note” references correspond to the Notes to the Consolidated Financial Statements herein, unless otherwise indicated.

For a list of certain terms and acronyms used in this Quarterly Report on Form 10-Q and other Citigroup presentations, see “Glossary of Terms and Acronyms” at the end of this report.

Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s 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 “SEC Filings” under the “Investors” tab. The SEC’s website also contains these filings and other information regarding Citi at www.sec.gov.

Certain reclassifications have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation, including certain reclassifications to align with Citi’s transformation and strategy, for all periods presented.

Please see “Risk Factors” in Citi’s 2023 Form 10-K for a discussion of material risks and uncertainties that could impact Citigroup’s businesses, results of operations and financial condition.

Non-GAAP Financial Measures

Citi prepares its financial statements in accordance with U.S. generally accepted accounting principles (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. Citi believes the presentation of these non-GAAP measures provides a meaningful depiction of the underlying fundamentals of period-to-period operating results for investors, industry analysts and others, including increased transparency and clarity into Citi’s results, and improved visibility into management decisions and their impacts on operational performance; enables better comparison to peer companies; and allows Citi to provide a long-term strategic view of its businesses and results going forward. 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.

Citi’s non-GAAP financial measures in this Form 10-Q include:

• Revenues excluding divestiture-related impacts
• Expenses excluding the Federal Deposit Insurance Corporation (FDIC) special assessment and divestiture-related impacts
• All Other (managed basis), which excludes divestiture-related impacts
• Tangible common equity (TCE), return on tangible common equity (RoTCE) and tangible book value per share (TBVPS)
• Banking and Corporate Lending revenues excluding gain (loss) on loan hedges
• Services non-interest revenue excluding the impact of the Argentine peso devaluation
• Non-Markets net interest income

Citi’s results excluding divestiture-related impacts exclude items that are incurred and recognized, which are wholly and necessarily a consequence of actions taken to sell (including through a public offering), dispose of or wind down business activities associated with Citi’s previously announced exit markets within All Other—Legacy Franchises. Citi’s Chief Executive Officer, its chief operating decision maker, regularly reviews financial information for All Other on a managed basis that excludes these divestiture-related impacts. For more information on Citi’s results excluding divestiture-related impacts, see “Executive Summary” and “All Other—Divestiture-Related Impacts (Reconciling Items)” below.

For more information on TCE, RoTCE and TBVPS, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity” below.

For more information on Services non-interest revenues excluding the impact of the Argentine peso devaluation, see “Executive Summary” and “Services” below.

For more information on Banking and Corporate Lending revenues excluding gains (losses) on loan hedges, see “Executive Summary” and “Banking” below.

For more information on non-Markets net interest income, see “Market Risk—Non-Markets Net Interest Income” below.

Citigroup is managed pursuant to five operating segments: Services, Markets, Banking, U.S. Personal Banking and Wealth. Activities not assigned to the operating segments are included in All Other. For additional information, see the results of operations for each of the operating segments within “Management’s Discussion and Analysis of Financial Condition and Results of Operations” below.

Note: Mexico is included in LATAM within International.

(1) Within International, Citi is organized into six clusters: United Kingdom; Japan, Asia North and Australia (JANA); Latin America (LATAM); Asia South; Europe; and Middle East and Africa (MEA). Although the chief operating decision maker (CODM) does not manage Citi’s reportable operating segments by cluster, Citi provides additional selected financial information (revenue and certain corporate credit metrics) below for the six clusters within International.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

EXECUTIVE SUMMARY

Third Quarter of 2024—Continued Progress on Strategy Execution and Other Priorities

As described further throughout this Executive Summary, during the third quarter of 2024:

• Citi’s revenues increased 1% versus the prior-year period on a reported basis. Excluding divestiture-related impacts, which included an approximate $400 million gain from the sale of the Taiwan consumer banking business in the prior-year period, revenues increased 3%, driven by growth across all reportable operating segments, partially offset by a decline in revenues in All Other (managed basis).
• Citi’s expenses decreased 2% versus the prior-year period. Excluding divestiture-related impacts in both the current quarter and the prior-year period and a $56 million FDIC special assessment benefit in the current quarter, expenses decreased 1%. The decrease was primarily driven by savings associated with Citi’s organizational simplification and stranded cost reductions, partially offset by volume-related expenses and continued investments in Citi’s transformation and other risk and control initiatives. (See “Expenses” below.)
• Citi’s cost of credit was approximately $2.7 billion versus $1.8 billion in the prior-year period. The increase was largely driven by higher cards net credit losses in Branded Cards and Retail Services in U.S. Personal Banking (USPB) and a higher allowance for credit losses (ACL) build. The higher cards net credit losses primarily reflected the continued maturation of multiple cards loan vintages originated in recent years, impacted by unprecedented levels of government stimulus during the pandemic. In addition, the higher ACL build was primarily driven by changes in portfolio composition in the corporate portfolio and an increase in transfer risk reserves associated with unremittable corporate dividends.
• Citi returned $2.1 billion to common shareholders in the form of common dividends and share repurchases.
• Citigroup’s Common Equity Tier 1 (CET1) Capital ratio under the Basel III Standardized Approach increased to 13.7% as of September 30, 2024, compared to 13.6% as of September 30, 2023 (see “Capital Resources” below). This compares to Citigroup’s required regulatory CET1 Capital ratio of 12.3% as of September 30, 2024 and 12.0% as of September 30, 2023 under the Basel III Standardized Approach. Effective October 1, 2024, Citigroup’s required regulatory CET1 Capital ratio decreased to 12.1% from 12.3% under the Standardized Approach, reflecting the decrease in the Stress Capital Buffer (SCB) requirement to 4.1% from 4.3% (see “Capital Resources—Stress Capital Buffer” below).
• Citi also continued to make progress with the separation of its consumer banking and small business and middle-market banking operations in Mexico in preparation for a planned initial public offering and wind-downs of the

Korea and China consumer banking businesses and the Russia consumer, local commercial and institutional businesses.

Third Quarter of 2024 Results Summary

Citigroup

Citigroup reported net income of $3.2 billion, or $1.51 per share, compared to net income of $3.5 billion, or $1.63 per share in the prior-year period. Net income decreased 9% versus the prior-year period, driven by the higher cost of credit, partially offset by the higher revenue and the lower expenses. Citigroup’s effective tax rate in the current quarter was approximately 25%, relatively unchanged from the prior-year period. Average diluted shares outstanding decreased 1%.

Citigroup revenues of $20.3 billion increased 1% versus the prior-year period, on a reported basis. Excluding the divestiture-related impacts in both periods, revenues of $20.3 billion increased 3%, driven by growth across all reportable operating segments, partially offset by a decline in All Other (managed basis). (For additional information on the divestiture-related impacts, see “All Other—Divestiture-Related Impacts (Reconciling Items)” below.) (As used throughout this Form 10-Q, Citi’s results of operations and financial condition excluding divestiture-related impacts are non-GAAP financial measures.)

Services revenues were primarily driven by higher non-interest revenues in Securities Services and Treasury and Trade Solutions (TTS). Markets revenues were largely driven by strength in Equity Markets, while Banking revenues largely reflected growth in Investment Banking. USPB revenues benefited from loan growth in cards, as well as lower partner payments, and Wealth revenues were primarily driven by higher investment fee revenue.

Citigroup’s end-of-period loans were $689 billion, up 3% versus the prior-year period, largely reflecting loan growth in cards in USPB and higher loans in Markets and Services.

Citigroup’s end-of-period deposits were approximately $1.3 trillion, up 3% versus the prior-year period, largely due to an increase in Services, driven by the continued deepening of client relationships and operating deposit growth in both TTS and Securities Services. For additional information about Citi’s deposits by business, including drivers and deposit trends, see each applicable business’s results of operations and “Liquidity Risk—Deposits” below.

Expenses

Citigroup’s operating expenses of $13.3 billion decreased 2% from the prior-year period. Expenses in the third quarter of 2024 included divestiture-related impacts of $67 million (compared to $114 million in the prior-year period). Excluding divestiture-related impacts in both periods and a $56 million FDIC special assessment benefit in the current quarter, expenses decreased 1%, driven by savings associated with Citi’s organizational simplification and stranded cost reductions, partially offset by volume-related expenses and

continued investments in the transformation and other risk and control initiatives. Citi’s transformation initiatives will continue to entail significant investments during the remainder of 2024 and beyond. For more information about Citi’s transformation, see “Citi’s Multiyear Transformation” below. (As used throughout this Form 10-Q, Citi’s results of operations and financial condition excluding divestiture-related impacts and the incremental FDIC special assessment benefit are non-GAAP financial measures.)

Cost of Credit

Citi’s total provisions for credit losses and for benefits and claims was a cost of $2.7 billion, compared to $1.8 billion in the prior-year period. The increase was primarily driven by higher net credit losses in Branded Cards and Retail Services in USPB and a higher ACL build. The higher cards net credit losses primarily reflected continued maturation of multiple cards loan vintages originated in recent years, impacted by unprecedented levels of government stimulus during the pandemic. In addition, the increase was due to macroeconomic pressures related to the elevated inflationary and interest rate environment impacting both cards portfolios, with lower FICO band customers primarily driving the increase. The increase in the net ACL build was due to changes in portfolio composition in the corporate portfolio, an increase in transfer risk reserves associated with unremittable corporate dividends and loan growth in the consumer portfolio.

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 $2.2 billion increased 33% from the prior-year period. Consumer net credit losses of $2.1 billion increased 33%, largely reflecting the higher cards net credit losses. Corporate net credit losses increased to $74 million from $58 million. Citi continues to expect elevated consumer net credit losses in the fourth quarter of 2024.

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 13.7% as of September 30, 2024, compared to 13.6% as of September 30, 2023, based on the Basel III Standardized Approach for determining risk-weighted assets (RWA). The increase was primarily driven by the net income and unrealized gains on available-for-sale securities recognized in Accumulated other comprehensive income (AOCI), partially offset by the payment of common and preferred dividends, common share repurchases and an increase in RWA.

In the third quarter of 2024, Citi paid approximately $1.1 billion of common dividends and repurchased approximately $1.0 billion of common shares (see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends” below). Citi will continue to determine the level of common share repurchases on a quarter-by-quarter basis given the uncertainty regarding future regulatory capital requirements. For additional information on capital-related risks, trends and uncertainties, see “Capital Resources—Regulatory Capital Standards and Developments” below and

“Risk Factors—Strategic Risks,” “—Operational Risks” and “—Compliance Risks” in Citi’s 2023 Form 10-K.

Citigroup’s Supplementary Leverage ratio as of September 30, 2024 was 5.8%, compared to 6.0% as of September 30, 2023. The decrease was driven by an increase in Total Leverage Exposure and a decrease in Tier 1 Capital. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.

Services

Services net income of $1.7 billion increased 23% from the prior-year period, driven by higher revenues, partially offset by higher expenses and higher cost of credit. Services expenses of $2.6 billion increased 3%, primarily driven by continued investments in technology, other risk and controls, and product innovation. Cost of credit was $127 million, compared to $95 million in the prior-year period. The current-quarter ACL build was primarily due to an increase in transfer risk associated with unremittable corporate dividends outside of the U.S. being held on behalf of clients, driven by safety and soundness considerations under U.S. banking law.

Services revenues of $5.0 billion increased 8%, primarily reflecting continued momentum across Securities

Services and TTS. Non-interest revenue increased 33%, driven by a smaller impact from currency devaluation in Argentina, as well as continued strength across underlying fee drivers. Excluding the impact of the Argentine peso devaluation (approximately $42 million in the current quarter and approximately $273 million in the prior-year period), non-interest revenue increased 11%. Net interest income was largely unchanged, as the benefit of higher deposit volumes was offset by a decline in interest rates in Argentina. (As used throughout this Form 10-Q, Services non-interest revenue excluding the impact of the Argentine peso devaluation is a non-GAAP financial measure.)

TTS revenues of $3.6 billion increased 4% from the prior-year period. TTS non-interest revenue increased 41%, primarily driven by the smaller impact from currency devaluation in Argentina, an increase in cross-border transaction value of 8%, an increase in U.S. dollar clearing volume of 7% and an increase in commercial card spend volume of 8%. The increase in non-interest revenue was partially offset by a 5% decline in net interest income, driven by the decline in interest rates in Argentina, partially offset by higher deposit volumes.

Securities Services revenues of $1.4 billion increased 24%, largely driven by a 23% increase in net interest income, primarily driven by higher deposit spreads and volumes, and a 24% increase in non-interest revenue. The increase in non-interest revenue was primarily driven by higher fees due to a 22% increase in AUC/AUA balances, benefiting from new client onboarding, deepening relationships with existing clients and higher market valuations.

For additional information about Citi’s exposure in Argentina, see “Managing Global Risk—Other Risk—Country Risk—Argentina” below. For additional information on the results of operations of Services in the third quarter of 2024, see “Services” below.

Markets

Markets net income of $1.1 billion increased 2% from the prior-year period, driven by higher revenues and lower cost of credit, partially offset by higher expenses. Markets expenses of $3.3 billion increased 1%, primarily due to higher volume-related expenses. Cost of credit was $141 million versus $162 million in the prior-year period. The current-quarter net ACL build was primarily driven by changes in portfolio composition in spread products.

Markets revenues of $4.8 billion increased 1%, driven by growth in Equity Markets, up 32%, partially offset by a 6% decline in Fixed Income Markets. Equity Markets benefited from growth in prime services and higher volatility in equity derivatives, as well as higher cash equity volumes. The decline in Fixed Income Markets largely reflected a decline in rates and currencies revenues, partially offset by higher revenues in spread products and other fixed income. Rates and currencies revenues decreased 10%, reflecting a strong prior-year performance. Spread products and other fixed income revenues increased 5%, driven by growth in asset-backed financing, securitization activity and underwriting fees, partially offset by lower commodities revenue on lower gas volatility.

For additional information on the results of operations of Markets in the third quarter of 2024, see “Markets” below.

Banking

Banking net income was $238 million, compared to net income of $156 million in the prior-year period, driven by higher revenues and lower expenses, partially offset by higher cost of credit. Banking expenses of $1.1 billion decreased 9%, primarily driven by benefits from prior repositioning actions. Cost of credit was $177 million, versus a benefit of $56 million in the prior-year period, driven by a net ACL build due to changes in portfolio composition.

Banking revenues of $1.6 billion increased 16%, primarily driven by growth in Investment Banking. Investment Banking revenues increased 31%, reflecting strength in Debt Capital Markets (DCM), which benefited from strong issuance activity in the quarter, an increase in Advisory due to strong announced deal volume from earlier this year coming to fruition as those deals close and an increase in Equity Capital Markets (ECM) reflecting stronger follow-on activity, partially offset by less initial public offering (IPO) activity amid market volatility mid quarter. Corporate Lending revenues were largely unchanged, including the impact of the gain (loss) on loan hedges. Excluding the gain (loss) on loan hedges, Corporate Lending revenues increased 5%, largely driven by a smaller impact from currency devaluation in Argentina. (As used throughout this Form 10-Q, Citi’s results of operations and financial condition excluding the impact of the gains (losses) on loan hedges are non-GAAP financial measures.)

For additional information on the results of operations of Banking in the third quarter of 2024, see “Banking” below.

U.S. Personal Banking

USPB net income of $522 million decreased 31% from the prior-year period, driven by higher cost of credit, partially offset by higher revenues and lower expenses. USPB expenses of $2.5 billion decreased 1%, driven by continued productivity savings, partially offset by higher volume-related expenses. Cost of credit increased to $1.9 billion, compared to $1.5 billion in the prior-year period, driven by higher net credit losses, partially offset by a lower net ACL build. Net credit losses increased 39%, primarily reflecting the continued maturation of multiple cards loan vintages originated in recent years, impacted by unprecedented levels of government stimulus during the pandemic. In addition, the increase was due to macroeconomic pressures related to the elevated inflationary and interest rate environment impacting both cards portfolios, with lower FICO band customers primarily driving the increase. The ACL build of $45 million was primarily driven by loan growth.

USPB revenues of $5.0 billion increased 3%, driven by an increase in net interest income due to loan growth in cards, and higher non-interest revenue due to lower partner payments. Branded Cards revenues of $2.7 billion increased 8%, driven by interest-earning balance growth of 8%, as payment rates continued to moderate, and card spend volume growth of 3%. Retail Services revenues of $1.7 billion decreased 1%, primarily driven by a slowing growth rate in interest-earning balances and higher reversals of interest from net credit losses. Retail Banking revenues of $599 million decreased 8%, primarily driven by the impact of the transfers of certain relationships and the associated deposits to Wealth.

For additional information on the results of operations of USPB in the third quarter of 2024, see “U.S. Personal Banking” below.

Wealth

Wealth net income was $283 million, versus $132 million in the prior-year period, reflecting higher revenues and lower expenses, partially offset by higher cost of credit. Wealth expenses decreased 4% to $1.6 billion, primarily driven by benefits from prior repositioning and restructuring actions. Cost of credit was $33 million, compared to a benefit of $2 million in the prior-year period, largely due to an ACL build for loans, compared to a release in the prior-year period.

Wealth revenues of $2.0 billion increased 9%, driven by a 15% increase in non-interest revenue, reflecting higher investment fee revenues on momentum in client investment assets, as well as a 6% increase in net interest income due to higher deposit volumes and spreads. Private Bank revenues of $614 million were largely unchanged from the prior-year period. Wealth at Work revenues of $244 million increased 4%, driven by improved deposit spreads and higher investment fee revenues, partially offset by higher mortgage funding costs. Citigold revenues of $1.1 billion increased 17%, driven by higher investment fee revenues and higher deposit volumes.

For additional information on the results of operations of Wealth in the third quarter of 2024, see “Wealth” below.

All Other (Managed Basis)

All Other (managed basis) net loss was $483 million, compared to a net loss of $101 million in the prior-year period, driven by lower revenues and higher cost of credit, partially offset by lower expenses. All Other (managed basis) expenses of $2.1 billion decreased 5%, primarily driven by lower expenses from the closed exits and wind-downs, partially offset by a legal reserve. Cost of credit of $289 million increased 45%, largely reflecting a net ACL build driven by Mexico Consumer, compared to an ACL release in the prior-year period.

All Other (managed basis) revenues decreased 18% from the prior-year period, primarily driven by lower revenues in Corporate/Other and Legacy Franchises (managed basis). Legacy Franchises (managed basis) revenues were $1.7 billion, a decline of 6% from the prior-year period, largely driven by lower revenues in Asia Consumer (managed basis) due to the closed exits and wind-downs. Corporate/Other revenues decreased to $86 million, from $397 million in the prior-year period, largely driven by margin compression on mortgage securities in the investment portfolio that have extended.

For additional information on the results of operations of All Other (managed basis) in the third quarter of 2024, see “All Other—Divestiture-Related Impacts (Reconciling Items)” and “All Other (Managed Basis)” below.

Macroeconomic and Other Risks and Uncertainties

Various geopolitical, macroeconomic and regulatory challenges and uncertainties continue to pose risks to economic conditions in the U.S. and globally, including, among others, potential policy and other changes resulting from the incoming U.S. administration and Congress, central bank interest rate policies, unemployment levels, economic growth rates, conflicts in the Middle East, economic conditions and tensions involving China and the Russia–Ukraine war. These and other factors could negatively impact global economic growth rates, result in disruptions and volatility in financial markets and cause a recession in various regions and countries globally. These and other factors could also adversely affect Citi’s customers, clients, businesses, funding costs, cost of credit and overall results of operations and financial condition during the remainder of 2024. For a further discussion of trends, uncertainties and risks that will or could impact Citi’s businesses, results of operations, capital and other financial conditions during the remainder of 2024, see “Third Quarter of 2024 Results Summary” above and each respective business’s results of operations, “Managing Global Risk,” including “Managing Global Risk—Other Risks—Country Risk—Russia” and “—Argentina,” and “Forward-Looking Statements” below and “Risk Factors” in Citi’s 2023 Form 10-K.

CITI’S MULTIYEAR TRANSFORMATION

As previously disclosed, Citi’s transformation, including the remediation of its 2020 consent orders with the Board of Governors of the Federal Reserve System (FRB) and Office of the Comptroller of the Currency (OCC) and the amendment to the 2020 OCC consent order, is a multiyear endeavor that is not linear. Citi is modernizing and simplifying the Company in order to lead in a dynamic, competitive and digital world. Citi’s transformation is addressing decades of underinvestment in its infrastructure, going beyond remedying regulatory concerns to intentionally transform how the organization operates, and making investments that not only support current needs, but also benefit the Company over the long term. For additional information on Citi’s transformation, including focus areas and status, consent order compliance, governance and transformation bonus program, see “Citi’s Multiyear Transformation” in Citi’s Second Quarter of 2024 Form 10-Q.

Transformation efforts of this scale involve significant complexities and uncertainties, including ongoing regulatory challenges and risks. Citi’s transformation initiatives will take several years to complete, and, as previously disclosed, Citi may continue to experience significant challenges in satisfying the regulators’ expectations in both sufficiency and timing. For additional information about regulatory risks related to Citi’s transformation initiatives, see “Risk Factors—Compliance Risks” in Citi’s 2023 Annual Report on Form 10-K.

The transformation’s target outcomes remain focused on changing Citi’s business and operating models such that they simultaneously (i) strengthen controls, enhance data quality, reduce risk and improve Citi’s regulatory compliance and its culture, and (ii) enhance Citi’s value to customers, clients and shareholders. Examples of Citi’s transformation progress through the third quarter of 2024 include:

• Closed the 2013 consent order with the FRB related to anti-money laundering and Bank Secrecy Act deficiencies
• Retired approximately 450 legacy applications through third-quarter 2024 year-to-date, and over 1,250 since 2022, as Citi continued to modernize its technology infrastructure
• Launched a strategic operations capacity planning tool, which is assisting Citi to streamline and replace various systems and forecast resources needed for expected processing volumes
• Continued implementation of a strategic loan servicing platform, with live transactions on the platform increasing to approximately $25 billion in notional value
• Reduced data center consumption through migration of workload to a private cloud and streamlined and reduced the time involved in the cloud onboarding process from over seven weeks to two weeks
• Upgraded 100% of Citi’s over 2,300 ATMs in North America, Singapore, Hong Kong and the UAE to next-generation software for better customer security and monitoring

RESULTS OF OPERATIONS

SUMMARY OF SELECTED FINANCIAL DATA

Citigroup Inc. and Consolidated Subsidiaries

Table continues on the next page, including footnotes.

SUMMARY OF SELECTED FINANCIAL DATA

(Continued)

Citigroup Inc. and Consolidated Subsidiaries

(1) 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.

(2) RoTCE and TBVPS are non-GAAP financial measures. For information on RoTCE and TBVPS, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity” below.

(3) 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 both periods presented. As of September 30, 2024, the Total Capital ratio under the Basel III Advanced Approaches framework became the most binding ratio. In prior quarters, the Common Equity Tier 1 Capital ratio under the Basel III Standardized Approach was the most binding ratio.

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

(5) 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.

NM Not meaningful

SEGMENT REVENUES AND INCOME (LOSS)

REVENUES

INCOME

(1) All Other (managed basis) excludes divestiture-related impacts (Reconciling Items) related to (i) Citi’s divestitures of its Asia Consumer businesses and (ii) the planned IPO of Mexico consumer banking and small business and middle-market banking within Legacy Franchises. The Reconciling Items are fully reflected in the various line items in Citi’s Consolidated Statement of Income. See “All Other—Divestiture-Related Impacts (Reconciling Items)” below.

NM Not meaningful

SELECT BALANCE SHEET ITEMS BY SEGMENT(1)—SEPTEMBER 30, 2024

(1) The information presented in the table above reflects select GAAP balance sheet items by reportable segment and component. This table does not include intersegment funding.

(2) Consolidating eliminations for total Citigroup and Citigroup parent company items are recorded within All Other.

(3) The majority of long-term debt of Citigroup is reflected on the Citigroup parent company balance sheet (see Notes 18 and 28). Citigroup allocates stockholders’ equity and long-term debt to its businesses.

SERVICES

Services includes Treasury and Trade Solutions (TTS) and Securities Services. TTS provides an integrated suite of tailored cash management, trade and working capital solutions to multinational corporations, financial institutions and public sector organizations. Securities Services provides cross-border support for clients, including on-the-ground local market expertise, post-trade technologies, customized data solutions and a wide range of securities services solutions that can be tailored to meet clients’ needs.

Services revenue is generated primarily from spreads and fees associated with these activities. Services earns spread revenue through generating deposits, as well as interest on loans. Revenue generated from these activities is primarily recorded in Net interest income. Fee income is earned for assisting clients with transactional services and clearing. Revenue generated from these activities is recorded in Commissions and fees. Revenue is also generated from assets under custody and administration and is recognized when the associated service is satisfied, which normally occurs at the point in time the service is requested by the client 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. Services revenues also include revenues earned by Citi that are subject to a revenue sharing arrangement with Banking—Corporate Lending for Investment Banking, Markets and Services products sold to Corporate Lending clients.

At September 30, 2024, Services had $608 billion in assets and $826 billion in deposits. Securities Services managed $26.3 trillion in assets under custody and administration, of which Citi provided both custody and administrative services to certain clients related to $2.1 trillion of such assets.

(1) Includes revenues earned by Citi that are subject to a revenue sharing arrangement with Banking—Corporate Lending for Investment Banking, Markets and Services products sold to Corporate Lending clients.

(2) Management uses this information in reviewing the segment’s results and believes it is useful to investors concerning underlying segment performance and trends.

(3) Excludes loans that are carried at fair value for all periods.

NM Not meaningful

3Q24 vs. 3Q23

Net income of $1.7 billion increased 23%, driven by higher revenues, partially offset by higher expenses and higher cost of credit.

Revenues increased 8%, primarily reflecting higher revenues in Securities Services and TTS. The increase in revenues was driven by higher non-interest revenue (up 33%), largely due to a smaller impact of the Argentine peso devaluation. Excluding the impact of the Argentine peso devaluation (approximately $42 million in the current quarter and approximately $273 million in the prior-year period), non-interest revenue increased 11%, driven by continued strength across underlying fee drivers in TTS and Securities Services. Net interest income was largely unchanged, as the benefit of higher deposit volumes was offset by a decline in interest rates in Argentina. Average deposits increased 4%, driven by growth in both Securities Services and TTS, as Citi continued to increase operating deposits in both businesses.

TTS revenues increased 4%, as a 41% increase in non-interest revenues was partially offset by a 5% decrease in net interest income. The increase in non-interest revenue was driven by the smaller impact from currency devaluation in Argentina, as well as growth in underlying fee drivers, including cross-border transaction value (up 8%), U.S. dollar clearing volume (up 7%) and commercial card spend volume (up 8%). The decrease in net interest income was driven by the

decline in interest rates in Argentina, partially offset by higher deposit volumes. Average deposits increased 2%, driven by growth in both North America and International. For additional information about Citi’s exposure in Argentina, see “Managing Global Risk—Other Risk—Country Risk—Argentina” below.

Securities Services revenues increased 24%, largely driven by a 23% increase in net interest income, primarily driven by higher deposit spreads and volumes, and a 24% increase in non-interest revenue. Average deposits increased 13%, driven by growth in both North America and International. The growth in non-interest revenue was primarily driven by the increase in volume-related fees due to a 22% increase in AUC/AUA balances, benefiting from new client onboarding, deepening relationships with existing clients and higher market valuations, as well as continued elevated levels of corporate activity in Issuer Services.

Expenses increased 3%, primarily driven by continued investments in technology, other risk and controls and product innovation.

Provisions were $127 million, compared to $95 million in the prior-year period. The current-quarter net ACL build of $113 million, compared to $68 million in the prior-year period, was largely due to an increase in transfer risk associated with unremittable corporate dividends outside the U.S. being held on behalf of clients, driven by safety and

soundness considerations under U.S. banking law. See “Significant Accounting Policies and Significant Estimates” below.

For additional information on Services’ corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.

For additional information on trends in Services’ deposits and loans, see “Managing Global Risk—Credit Risk—Loans” and “Managing Global Risk—Liquidity Risk—Deposits” below.

For additional information about trends, uncertainties and risks related to Services’ future results, see “Executive Summary” above and “Managing Global Risk—Other Risks—Country Risk—Argentina” and “—Russia” below, and “Risk Factors” in Citi’s 2023 Form 10-K.

3Q24 YTD vs. 3Q23 YTD

Net income of $4.6 billion increased 20%, primarily driven by higher revenues and lower cost of credit, partially offset by higher expenses.

Revenues increased 7%, driven by higher revenues in both Securities Services and TTS, reflecting higher non-interest revenue and higher net interest income.

TTS revenues increased 3%, driven by a 21% increase in non-interest revenue, partially offset by a 1% decrease in net interest income, largely driven by the same factors described above. The increase in non-interest revenue was driven by the smaller impact from currency devaluation in Argentina, as well as continued growth in underlying fee drivers, including higher cross-border transaction value (up 8%), U.S. dollar clearing volume (up 6%) and commercial card spend volume (up 6%).

Securities Services revenues increased 17%, driven by 18% growth in net interest income and 17% growth in non-interest revenue. The increase in net interest income was driven by spread improvement from higher interest rates across currencies and deposit mix. The increase in non-interest revenue was driven by the same factors described above.

Expenses were up 7%, primarily driven by continued investments in technology, other risk and controls and product innovation, as well as an Argentina-related transaction tax expense and a legal settlement expense in the second quarter of 2024.

Provisions were $164 million, compared to $304 million in the prior-year period. Net credit losses decreased to $20 million, compared to $46 million in the prior-year period. The net ACL build was $144 million, compared to $258 million in the prior-year period. The net ACL build in the current period was primarily driven by an increase in transfer risk associated with unremittable corporate dividends outside the U.S. being held on behalf of clients, driven by safety and soundness considerations under U.S. banking law, partially offset by an improved macroeconomic outlook.

MARKETS

Markets provides corporate, institutional and public sector clients around the world with a full range of sales and trading services across equities, foreign exchange, rates, spread products and commodities. The range of services includes market-making across asset classes, risk management solutions, financing, prime brokerage, research, securities clearing and settlement.

As a market maker, Markets facilitates transactions, including holding product inventory to meet client demand, and earns the differential between the price at which it buys and sells the products. These price differentials and the unrealized gains and losses on the inventory are recorded in Principal transactions. Other primarily includes 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 customer 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. Markets revenues include revenues earned by Citi that are subject to a revenue sharing arrangement with Banking—Corporate Lending for Investment Banking, Markets and Services products sold to Corporate Lending clients.

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. Management of the Markets businesses involves daily monitoring and evaluation of the above factors.

Markets’ international presence is supported by trading floors in approximately 80 countries and a proprietary network in 95 countries and jurisdictions.

(1) Investment banking fees are primarily composed of underwriting, advisory, loan syndication structuring and other related financing activity.

(2) Includes revenues earned by Citi that are subject to a revenue sharing arrangement with Banking—Corporate Lending for Investment Banking, Markets and Services products sold to Corporate Lending clients.

(3) 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.

(4) Management uses this information in reviewing the segment’s results and believes it is useful to investors concerning underlying segment performance and trends.

(5) Excludes loans that are carried at fair value for all periods.

NM Not meaningful

3Q24 vs. 3Q23

Net income of $1.1 billion increased 2%, driven by higher revenues and lower cost of credit, partially offset by higher expenses.

Revenues increased 1%, driven by higher Equity Markets revenues, partially offset by lower Fixed Income Markets revenues.

Fixed Income Markets revenues decreased 6%, reflecting a decline in rates and currencies revenues, partially offset by higher revenues in spread products and other fixed income. Rates and currencies revenues decreased 10% on strong prior-year performance, partially offset by growth in FX on higher corporate client activity. Spread products and other fixed income revenues increased 5%, driven by growth in asset-backed financing, securitization activity and underwriting fees. This revenue growth was partially offset by a decline in commodities revenues on lower overall volatility.

Equity Markets revenues increased 32%, driven by growth in prime services, higher volatility in equity derivatives and higher cash equity volumes. Equity Markets continued to grow prime balances.

Expenses increased 1%, driven by higher volume-related expenses, partially offset by efficiency savings.

Provisions were $141 million, compared to $162 million in the prior-year period, driven by a lower net ACL build of $117 million, compared to $166 million in the prior-year period, partially offset by higher net credit losses. The net ACL build in the current quarter was primarily driven by changes in portfolio composition in spread products. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on Markets’ corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.

For additional information on trends in Markets’ deposits and loans, see “Managing Global Risk—Credit Risk—Loans” and “Managing Global Risk—Liquidity Risk—Deposits” below.

For additional information about trends, uncertainties and risks related to Markets’ future results, see “Executive Summary” above and “Managing Global Risk—Other Risks—Country Risk—Argentina” and “—Russia” below, and “Risk Factors” in Citi’s 2023 Form 10-K.

3Q24 YTD vs. 3Q23 YTD

Net income of $3.9 billion decreased 2%, driven by higher expenses and higher cost of credit.

Revenues were largely unchanged, as lower Fixed Income Markets revenues were offset by higher Equity Markets revenues.

Fixed Income Markets revenues decreased 7%, reflecting a decline in rates and currencies revenues, partially offset by higher revenues in spread products and other fixed income. Rates and currencies revenues decreased 15%, largely reflecting lower volatility and a strong prior-year performance. Spread products and other fixed income revenues increased 18%, largely driven by increased client activity, driven by the same factors described above. These increases were partially offset by a decline in commodities revenues on lower overall volatility.

Equity Markets revenues increased 24%, driven by continued growth in equity derivative revenues on higher volatility, which also includes the impact from an episodic gain related to the Visa B exchange. The increase was also driven by growth in prime services and cash trading due to higher volumes and trading activity. Equity Markets also continued to experience an increase in prime balances.

Expenses increased 2%, primarily driven by legal settlement reserves and higher volume-related expenses, partially offset by productivity savings.

Provisions were $329 million, compared to $229 million in the prior-year period, primarily driven by higher net credit losses, partially offset by a lower net ACL build.

BANKING

Banking includes Investment Banking, which supports clients’ capital-raising needs to help strengthen and grow their businesses, including equity and debt capital markets-related strategic financing solutions and loan syndication structuring, as well as advisory services related to mergers and acquisitions, divestitures, restructurings and corporate defense activities; and Corporate Lending, which includes corporate and commercial banking, serving as the conduit for Citi’s full product suite to clients.

Banking revenues include revenues earned by Citi that are subject to a revenue sharing arrangement for Investment Banking, Markets and Services products sold to Corporate Lending clients.

At September 30, 2024, Banking had $151 billion in assets including $85 billion in loans and $0.5 billion in deposits.

(1) Investment banking fees are primarily composed of underwriting, advisory, loan syndication structuring and other related financing activity.

(2) Includes revenues earned by Citi that are subject to a revenue sharing arrangement with Banking—Corporate Lending for Investment Banking, Markets and Services products sold to Corporate Lending clients.

(3) 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 includes the mark-to-market on the credit derivatives, partially offset by the mark-to-market on the loans in the portfolio that are at fair value. Hedges on accrual loans reflect the mark-to-market on credit derivatives used to economically hedge the corporate loan accrual portfolio. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the impact of gain (loss) on loan hedges are non-GAAP financial measures.

(4) Management uses this information in reviewing the segment’s results and believes it is useful to investors concerning underlying segment performance and trends.

(5) Excludes loans that are carried at fair value for all periods.

NM Not meaningful

The discussion of the results of operations for Banking 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.

3Q24 vs. 3Q23

Net income was $238 million, compared to net income of $156 million in the prior-year period, driven by higher revenues and lower expenses, partially offset by an increase in cost of credit.

Revenues increased 16% (including losses on loan hedges), reflecting higher Investment Banking revenues, largely driven by continued strong issuance activity in Debt Capital Markets (DCM) and strong deal volume in Advisory. The losses on loan hedges increased to $79 million, compared to $47 million in the prior-year period. Excluding the impact of losses on loan hedges, Banking revenues increased 18%.

Investment Banking revenues increased 31%, reflecting overall higher banking fees revenue. DCM underwriting fees increased 75%, benefiting from strong issuance activity in the quarter, primarily in investment-grade activity, as clients pulled forward activity ahead of the U.S. election. Citi expects normalization and ordinary seasonality in investment-grade activity in the fourth quarter of 2024. Advisory fees increased 32%, due to strong announced deal volume from earlier this year coming to fruition as those transactions close. ECM underwriting fees increased 5%, due to stronger follow-on activity, partially offset by less IPO activity amid market volatility mid quarter.

Corporate Lending revenues were largely unchanged, including the impact of losses on loan hedges. Excluding the impact of losses on loan hedges, Corporate Lending revenues increased 5%, primarily driven by a smaller impact from currency devaluation in Argentina.

Expenses decreased 9%, primarily driven by benefits of prior repositioning actions and other actions to lower the expense base.

Provisions were $177 million, compared to a benefit of $56 million in the prior-year period, driven by a net ACL build of $141 million, compared to a net release of $85 million in the prior-year period. The ACL build in the current quarter was primarily driven by changes in portfolio composition. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on Banking’s corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.

For additional information on trends in Banking’s deposits and loans, see “Managing Global Risk—Credit Risk—Loans” and “Managing Global Risk—Liquidity Risk—Deposits” below.

For additional information about trends, uncertainties and risks related to Banking’s future results, see “Executive Summary” above and “Managing Global Risk—Other Risks—Country Risk—Argentina” and “—Russia” below, and “Risk Factors” in Citi’s 2023 Form 10-K.

3Q24 YTD vs. 3Q23 YTD

Net income was $1.2 billion, compared to net income of $261 million in the prior-year period, driven by higher revenues and lower expenses, partially offset by an increase in cost of credit.

Revenues increased 33% (including loss on loan hedges), primarily reflecting higher Investment Banking revenues driven by the same factors described above, higher revenues in Corporate Lending and lower losses on loan hedges ($174 million versus $312 million in the prior-year period). Excluding the impact of losses on loan hedges, Banking revenues increased 27%.

Investment Banking revenues increased 39%, primarily driven by the DCM business, as improved market sentiment led to an increase in issuance activity. DCM underwriting fees increased 74%, driven by the same factors described above. Fees from ECM underwriting and Advisory each increased 22%, driven by favorable market conditions and the same factors described above.

Corporate Lending revenues increased 25%, including the impact of losses on loan hedges. Excluding the impact of losses on loan hedges, Corporate Lending revenues increased 15%, largely driven by higher revenue share.

Expenses decreased 8%, primarily driven by benefits of prior repositioning actions and other actions to lower the expense base.

Provisions were $16 million, compared to a benefit of $327 million in the prior-year period. Net credit losses increased to $142 million, compared to $98 million in the prior-year period. The net ACL release was $126 million, compared to $425 million in the prior-year period. The net ACL release in the current period was primarily driven by an improved macroeconomic outlook.

U.S. PERSONAL BANKING

U.S. Personal Banking (USPB) includes Branded Cards and Retail Services, with proprietary credit card portfolios (Value, Rewards and Cash) and co-branded card portfolios (including Costco and American Airlines) within Branded Cards, and co-brand and private label relationships within Retail Services (including, among others, The Home Depot, Best Buy, Macy’s and Sears). USPB also includes Retail Banking, which provides traditional banking services to retail and small business customers.

At September 30, 2024, USPB had 641 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Los Angeles, San Francisco, Washington, D.C. and Miami. USPB had $164 billion in outstanding credit card balances, $85 billion in deposits, $44 billion in mortgages and $5 billion in personal and small business loans. For additional information on USPB’s end-of-period consumer loan portfolios and metrics, see “Managing Global Risk—Credit Risk—Consumer Credit” below.

(1) Primarily related to retail banking and credit card-related fees.

(2) Primarily related to revenue incentives from card networks and partners.

(3) Management uses this information in reviewing the segment’s results and believes it is useful to investors concerning underlying segment performance and trends.

(4) Excludes loans that are carried at fair value for all periods.

3Q24 vs. 3Q23

Net income was $522 million, compared to $756 million in the prior-year period, driven by higher cost of credit, partially offset by higher revenues and lower expenses.

Revenues increased 3%, due to higher net interest income (up 2%), driven by loan growth in cards, as well as higher non-interest revenue (up 4%). The increase in non-interest revenue was largely driven by lower partner payments in Retail Services, due to higher net credit losses.

Cards revenues increased 4%. Branded Cards revenues increased 8%, driven by interest-earning balance growth (up 8%), as payment rates continued to moderate, and card spend volume growth. Branded Cards average loans increased 8%, also reflecting the lower card payment rates and higher card spend volume. Branded Cards card spend volume increased 3%, driven by higher FICO band customers.

Retail Services revenues decreased 1%, primarily driven by a slowing growth rate in interest-earnings balances and higher reversals of interest from net credit losses. The decrease in revenues was partially offset by higher non-interest revenue due to the lower partner payments, driven by the higher net credit losses (see “Provisions” below and Note 5). Retail Services average loans increased 2%, largely reflecting lower card payment rates, partially offset by lower card spend volume. Card spend volume decreased 7%, primarily due to continued lower in-store foot traffic.

Retail Banking revenues decreased 8%, primarily driven by the impact of the transfers of certain relationships and the associated deposit balances to Wealth. Average deposits decreased 23%, largely reflecting the transfers of certain relationships and the associated deposits to Wealth ($26 billion at the time of transfer over the last 12 months).

Expenses decreased 1%, driven by continued productivity savings, partially offset by higher volume-related expenses.

Provisions were $1.9 billion, compared to $1.5 billion in the prior-year period, driven by higher net credit losses, partially offset by a lower net ACL build for loans. Net credit losses of $1.9 billion increased 39%, primarily reflecting the continued maturation of multiple cards loan vintages originated in recent years, impacted by unprecedented levels of government stimulus during the pandemic. In addition, the increase was driven by macroeconomic pressures related to the elevated inflationary and interest rate environment impacting both cards portfolios, with lower FICO band customers primarily driving the increase. Branded Cards net credit losses of $1.0 billion increased 41%, and Retail Services net credit losses of $0.8 billion increased 38%.

The net ACL build was $45 million, compared to $116 million in the prior-year period. The net ACL build in the current quarter primarily reflected loan growth. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on USPB’s Branded Cards, Retail Services and Retail Banking loan portfolios, see “Managing Global Risk—Credit Risk—Consumer Credit” below.

For additional information about trends, uncertainties and risks related to USPB’s future results, see “Executive Summary” above and “Risk Factors—Strategic Risks” in Citi’s 2023 Form 10-K.

3Q24 YTD vs. 3Q23 YTD

Year-to-date, USPB experienced similar trends to those described above. Net income was $1.0 billion, compared to $1.6 billion in the prior-year period, reflecting higher cost of credit, partially offset by higher revenues and lower expenses.

Revenues increased 6%, reflecting the same factors described above.

Cards revenues increased 7%. Branded Cards revenues increased 7%, reflecting the same factors described above.

Retail Services revenues increased 8%, driven by higher non-interest revenue due to lower partner payments, driven by higher net credit losses, as well as higher net interest income on higher interest-earning balances.

Retail Banking revenues decreased 1%, driven by the impact of the transfers of certain relationships and the associated deposit balances to Wealth, partially offset by higher deposit spreads, as well as mortgage and installment loan growth.

Expenses decreased 1%, driven by continued productivity savings and lower technology costs, partially offset by higher volume-related expenses.

Provisions were $6.4 billion, compared to $4.6 billion in the prior-year period, largely driven by higher net credit losses, partially offset by a lower ACL build for loans. Net credit losses of $5.7 billion increased 56%, driven by the same factors described above. Branded Cards net credit losses of $3 billion increased 63% and Retail Services net credit losses of $2.4 billion were up 50%.

The net ACL build was $0.8 billion, compared to $1.0 billion in the prior-year period. The net ACL build in the current period primarily reflected the impact of macroeconomic pressures related to the elevated inflationary and interest rate environment.

WEALTH

Wealth includes the Private Bank, Wealth at Work and Citigold businesses and provides financial services to a range of client segments including affluent, high net worth and ultra-high net worth clients 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. Private Bank provides financial services to ultra-high net worth clients through customized product offerings. Wealth at Work provides financial services to professional industries (including law firms, consulting groups, accounting and asset management) through tailored solutions. Citigold and Citigold Private Client provide financial services to affluent and high net worth clients through elevated product offerings and financial relationships.

At September 30, 2024, Wealth had $316 billion in deposits and $151 billion in loans, including $92 billion in mortgage loans, $28 billion in margin loans, $26 billion in personal, small business and other loans and $5 billion in outstanding credit card balances. For additional information on Wealth’s end-of-period consumer loan portfolios and metrics, see “Managing Global Risk—Credit Risk—Consumer Credit” below.

(1) Primarily related to fiduciary and administrative fees.

(2) Primarily related to principal transactions revenue including FX translation.

(3) Management uses this information in reviewing the segment’s results and believes it is useful to investors concerning underlying segment performance and trends.

(4) Includes assets under management, and trust and custody assets.

NM Not meaningful

3Q24 vs. 3Q23

Net income was $283 million, compared to $132 million in the prior-year period, driven by higher revenues and lower expenses, partially offset by higher cost of credit.

Revenues increased 9%, driven by higher non-interest revenue (up 15%), reflecting higher investment fee revenues on momentum in client investment assets, as well as an increase in net interest income (up 6%), driven by higher deposit volumes and spreads.

Client balances increased 14%, primarily driven by higher client investment assets (up 24%), reflecting higher market valuations and strong net new assets generation.

Average deposits increased 4%, reflecting the transfers of relationships and the associated deposits from USPB ($26 billion at the time of transfer over the last 12 months), partially offset by a shift in deposits to higher-yielding investments on Citi’s platform. Average loans decreased 1%, as Wealth continued to optimize capital usage.

Private Bank revenues were largely unchanged, as the higher investment fee revenues and improved deposit spreads were offset by higher mortgage funding costs.

Wealth at Work revenues increased 4%, driven by improved deposit spreads and the higher investment fee revenues, partially offset by higher mortgage funding costs.

Citigold revenues increased 17%, driven by the higher investment fee revenues and higher deposit volumes.

Expenses decreased 4%, primarily driven by the benefits of prior repositioning and restructuring actions.

Provisions were a cost of $33 million, compared to a benefit of $2 million in the prior-year period, largely driven by a net ACL build for loans, compared to a release in the prior-year period. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on Wealth’s loan portfolios, see “Managing Global Risk—Credit Risk—Consumer Credit” below.

For additional information about trends, uncertainties and risks related to Wealth’s future results, see “Executive Summary” above and “Risk Factors—Strategic Risks” in Citi’s 2023 Form 10-K.

3Q24 YTD vs. 3Q23 YTD

Net income was $668 million, compared to $398 million in the prior-year period, reflecting higher revenues, lower expenses and lower cost of credit.

Revenues increased 3%, largely driven by an increase in non-interest revenue (up 13%), reflecting higher investment fee revenues, partially offset by lower net interest income (down 3%), mainly due to lower deposit spreads and higher mortgage funding costs.

Private Bank revenues were largely unchanged. Wealth at Work revenues decreased 5%, driven by higher mortgage funding costs and lower deposit spreads, partially offset by higher investment fee revenues. Citigold revenues increased 6%, driven by higher investment fee revenues and higher deposit volumes.

Expenses decreased 2%, mainly driven by benefits from prior repositioning and restructuring actions, partially offset by higher volume-related expenses and technology investments focused on risk and controls and platform enhancements.

Provisions were a benefit of $146 million, compared to a benefit of $7 million in the prior-year period, largely driven by a higher net ACL release. The higher net ACL release was primarily driven by a change in the ACL associated with the margin lending portfolio.

ALL OTHER—Divestiture-Related Impacts (Reconciling Items)

All Other includes activities not assigned to the reportable operating segments (Services, Markets, Banking, USPB and Wealth), including Legacy Franchises and Corporate/Other. For additional information about Legacy Franchises and Corporate/Other, see “All Other (Managed Basis)” below.

All Other (managed basis) results exclude divestiture-related impacts (see the “Reconciling Items” column in the table below) related to (i) Citi’s divestitures of its Asia consumer banking businesses and (ii) the planned IPO of Mexico consumer banking and small business and middle-market banking, within Legacy Franchises. Legacy Franchises (managed basis) results also exclude these divestiture-related impacts. Certain of the results of operations of All Other (managed basis) and Legacy Franchises (managed basis) are non-GAAP financial measures (see “Overview—Non-GAAP Financial Measures” above).

The table below presents a reconciliation from All Other (U.S. GAAP) to All Other (managed basis). All Other (U.S. GAAP), less Reconciling Items, equals All Other (managed basis). The Reconciling Items are fully reflected on each respective line item in Citi’s Consolidated Statement of Income.

(1) The three months ended September 30, 2024 includes approximately $67 million in operating expenses (approximately $46 million after-tax), primarily related to separation costs in Mexico and severance costs in the Asia exit markets.

(2) The three months ended September 30, 2023 includes an approximate $403 million gain on sale recorded in revenue (approximately $284 million after various taxes) related to Citi’s sale of the Taiwan consumer banking business and approximately $114 million in operating expenses (approximately $78 million after-tax), primarily related to separation costs in Mexico and severance costs in the Asia exit markets. For additional information, see Citi’s Quarterly Report on Form 10-Q for the period ended September 30, 2023.

(3) The nine months ended September 30, 2024 includes approximately $262 million in operating expenses (approximately $181 million after-tax), primarily related to separation costs in Mexico and severance costs in the Asia exit markets.

(4) The nine months ended September 30, 2023 includes an approximate $1.059 billion gain on sale recorded in revenue (approximately $727 million after various taxes) related to Citi’s sale of the India consumer banking business and an approximate $403 million gain on sale recorded in revenue (approximately $284 million after various taxes) related to Citi’s sale of the Taiwan consumer banking business. In addition, the nine months ended September 30, 2023 includes approximately $266 million in operating expenses (approximately $188 million after-tax), primarily related to separation costs in Mexico and severance costs in the Asia exit markets. For additional information, see Citi’s Quarterly Report on Form 10-Q for the period ended September 30, 2023.

ALL OTHER—Managed Basis

At September 30, 2024, All Other (managed basis) had $195 billion in assets, primarily related to Mexico Consumer/SBMM and Asia Consumer reported within Legacy Franchises (managed basis), as well as Corporate Treasury investment securities and Citi’s deferred tax assets (DTAs) reported within Corporate/Other.

Legacy Franchises (Managed Basis)

Legacy Franchises (managed basis) includes (i) Mexico Consumer Banking (Mexico Consumer) and Mexico Small Business and Middle-Market Banking (Mexico SBMM), collectively Mexico Consumer/SBMM, (ii) Asia Consumer Banking (Asia Consumer), representing the consumer banking operations of the remaining three exit countries (Korea, Poland and Russia), as well as residual China portfolios being wound down, and (iii) Legacy Holdings Assets, primarily legacy consumer mortgage loans in North America, as well as the U.K. retail banking business, both of which Citi continues to wind down.

Mexico Consumer/SBMM operates in Mexico through Citibanamex and 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. As previously disclosed, Citi intends to pursue an IPO of Mexico Consumer/SBMM operations in Mexico. Citi will retain its Services, Markets, Banking and Wealth businesses in Mexico. Citi currently expects that the separation of the businesses will be completed in the fourth quarter of 2024 and that Mexico Consumer/SBMM will be ready for an IPO by the end of 2025, subject to market conditions and regulatory approvals.

Legacy Franchises (managed basis) also included the following five Asia Consumer businesses prior to their sales: India and Vietnam, until their closings in March 2023; Taiwan, until its closing in August 2023; Indonesia until its closing in November 2023; and China until the completion of the sales of substantially all portfolios in July 2024.

Citi has continued to make progress on its wind-downs in Korea and Russia. In addition, Citi has restarted the sales process of its consumer banking business in Poland. See Note 2 for additional information on Legacy Franchises’ consumer banking business sales and wind-downs. For additional information about Citi’s continued efforts to reduce its operations and exposures in Russia, see “Managing Global Risk—Other Risks—Country Risk—Russia” below and “Risk Factors” in Citi’s 2023 Form 10-K.

At September 30, 2024, on a combined basis, Legacy Franchises (managed basis) had 1,320 retail branches, $17 billion in retail banking loans and $43 billion in deposits. In addition, Legacy Franchises (managed basis) had $8 billion in outstanding credit card balances, while Mexico SBMM had $6 billion in outstanding corporate loans.

Corporate/Other

Corporate/Other includes 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.

Note: Certain reclassifications have been made to the prior periods’ financial statements to conform to the current period’s presentation effective as of the second quarter of 2024, for all periods presented. During the second quarter of 2024, Citi made certain reclassifications to align with Citi’s transformation and strategy. In connection therewith, Citi transferred the retail banking business in the U.K., which is being wound down, from Wealth to Legacy Franchises (managed basis) within All Other (managed basis).

(1) The key indicators for Asia Consumer reflect the reclassification of loans and deposits to Other assets and Other liabilities under HFS accounting on Citi’s Consolidated Balance Sheet.

NM Not meaningful

3Q24 vs. 3Q23

Net loss was $483 million, compared to a net loss of $101 million in the prior-year period, driven by lower revenues and higher cost of credit, partially offset by lower expenses.

All Other (managed basis) revenues decreased 18%, driven by lower revenues in Corporate/Other and Legacy Franchises (managed basis).

Legacy Franchises (managed basis) revenues decreased 6%, mainly due to lower revenues in Asia Consumer (managed basis).

Mexico Consumer/SBMM (managed basis) revenues were largely unchanged, as higher revenues driven mainly by higher loan volumes and higher fee revenues were offset by the depreciation of the Mexican peso. Asia Consumer (managed basis) revenues decreased 33%, primarily driven by the closed exits and wind-downs.

Corporate/Other revenues decreased to $86 million, compared to $397 million in the prior-year period, largely driven by margin compression on mortgage securities in the investment portfolio that have extended.

Expenses decreased 5%, primarily driven by lower expenses from the closed exits and wind-downs, partially offset by a legal reserve.

Provisions were $289 million, compared to $199 million in the prior-year period, largely reflecting a net ACL build driven by Mexico Consumer, compared to an ACL release in the prior-year period. Net credit losses of $208 million decreased 12%, primarily driven by the impact from the wind-downs.

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 All Other’s (managed basis) future results, see “Executive Summary” above and “Managing Global Risk—Other Risks—Country Risk—Russia” below, and “Risk Factors” in Citi’s 2023 Form 10-K.

3Q24 YTD vs. 3Q23 YTD

Net loss was $1.4 billion, compared to net income of $159 million in the prior-year period, driven by lower revenues, higher expenses and lower income tax benefits, partially offset by lower cost of credit.

All Other (managed basis) revenues decreased 16%, driven by lower revenues in Corporate/Other and Legacy Franchises (managed basis).

Legacy Franchises (managed basis) revenues decreased 5%, mainly due to lower revenues in Asia Consumer (managed basis) and Legacy Holdings Assets, partially offset by higher revenues in Mexico Consumer/SBMM (managed basis).

Mexico Consumer/SBMM (managed basis) revenues increased 12%, primarily due to higher loan balances in retail banking, cards and SBMM and higher deposits in SBMM.

Asia Consumer (managed basis) revenues decreased 47%, primarily driven by the closed exits and wind-downs.

Legacy Holdings Assets revenues decreased to $(109) million, compared to $99 million in the prior-year period, primarily due to higher funding costs related to the transfer of the retail banking business in the U.K.

Corporate/Other revenues decreased to $896 million, compared to $1.8 billion in the prior-year period, largely driven by higher funding costs.

Expenses increased 2%, primarily driven by restructuring charges (see Note 9), the net incremental FDIC special assessment and an aggregate of $136 million of civil money penalties imposed by the FRB and OCC in the second quarter of 2024, partially offset by the closed exits and wind-downs.

Provisions were $718 million, compared to $844 million in the prior-year period, largely driven by a lower net ACL build, partially offset by a 6% increase in net credit losses, primarily due to higher lending volumes in Mexico Consumer.

CAPITAL RESOURCES

For additional information about capital resources, including Citi’s capital management, regulatory capital buffers, the stress testing component of capital planning and current regulatory capital standards and developments, see “Capital Resources” and “Risk Factors” in Citi’s 2023 Form 10-K.

During the third quarter of 2024, Citi returned a total of $2.1 billion of capital to common shareholders in the form of dividends and share repurchases. For additional information, see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends” below.

Citi paid common dividends of $0.56 per share for the third quarter of 2024, and on October 23, 2024, declared common dividends of $0.56 per share for the fourth quarter of 2024. Citi plans to maintain a quarterly common dividend of $0.56 per share, subject to financial and macroeconomic conditions as well as its Board of Directors’ approval. In addition, Citi repurchased approximately $1.0 billion of common shares during the third quarter of 2024. Citi will continue to determine the level of common share repurchases on a quarter-by-quarter basis given the uncertainty regarding future regulatory capital requirements. For additional information, see “Regulatory Capital Standards and Developments” below.

Common Equity Tier 1 Capital Ratio

Citi’s Common Equity Tier 1 (CET1) Capital ratio under the Basel III Standardized Approach was 13.7% as of September 30, 2024, compared to 13.6% as of June 30, 2024 and 13.4% as of December 31, 2023, relative to a required regulatory CET1 Capital ratio of 12.3% as of such dates under the Standardized Approach. Citi’s CET1 Capital ratio under the Basel III Advanced Approaches was 12.2% as of September 30, 2024 and June 30, 2024, and 12.1% as of December 31, 2023, relative to a required regulatory CET1 Capital ratio of 10.5% as of such dates under the Advanced Approaches framework.

Citi’s CET1 Capital ratio increased under the Standardized Approach from June 30, 2024, driven primarily by net income and unrealized gains on available-for-sale securities recognized in AOCI, partially offset by an increase in Standardized Approach RWA, the payment of common and preferred dividends and common share repurchases. The CET1 Capital ratio under the Advanced Approaches framework remained largely unchanged from June 30, 2024, as net income and unrealized gains on available-for-sale securities recognized in AOCI were offset by the payment of common and preferred dividends and common share repurchases, as well as an increase in Advanced Approaches RWA. Citi’s CET1 Capital ratio increased under both the Standardized Approach and Advanced Approaches from year-end 2023, primarily driven by year-to-date net income of $9.8 billion and unrealized gains on available-for-sale securities recognized in AOCI, partially offset by the payment of common and preferred dividends, common share repurchases and an increase in RWA.

Stress Capital Buffer

In August 2024, the FRB confirmed Citi’s Stress Capital Buffer (SCB) requirement of 4.1%, decreased from 4.3%, for the four-quarter window from October 1, 2024 to September 30, 2025.

Accordingly, effective October 1, 2024, Citi’s required regulatory CET1 Capital ratio decreased to 12.1% from 12.3% under the Standardized Approach, incorporating the 4.1% SCB through September 30, 2025 and Citi’s current GSIB surcharge of 3.5%. Citi’s required regulatory CET1 Capital ratio under the Advanced Approaches (using the fixed 2.5% Capital Conservation Buffer) remains unchanged at 10.5%. The SCB applies to Citigroup only; the regulatory capital framework applicable to Citibank, including the Capital Conservation Buffer, is unaffected by Citigroup’s SCB.

For additional information regarding regulatory capital buffers, including the SCB and GSIB surcharge, see “Capital Resources—Regulatory Capital Buffers” in Citi’s 2023 Form 10-K.

Citigroup’s Capital Resources

The following table presents Citi’s required risk-based capital ratios as of September 30, 2024, June 30, 2024 and December 31, 2023:

(1) Citi’s required risk-based capital ratios included the 2.5% Capital Conservation Buffer and 3.5% GSIB surcharge under the Advanced Approaches, and the 4.3% SCB and 3.5% GSIB surcharge under the Standardized Approach (all of which must be composed of CET1 Capital). These requirements were applicable through September 30, 2024. See “Stress Capital Buffer” above for more information.

(2) Effective October 1, 2024, Citi’s required regulatory CET1 Capital ratio decreased from 12.3% to 12.1% under the Standardized Approach, incorporating the SCB of 4.1% and its current GSIB surcharge of 3.5%.

The following tables present Citi’s capital components and ratios as of September 30, 2024, June 30, 2024 and December 31, 2023:

(1) Citi’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the current expected credit losses (CECL) standard. See “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2023 Form 10-K.

(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. As of September 30, 2024, the Total Capital ratio under the Basel III Advanced Approaches framework became the most binding ratio. In prior quarters, the Common Equity Tier 1 Capital ratio under the Basel III Standardized Approach was the most binding ratio.

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

(4) Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s capital ratios at September 30, 2024 were in excess of the regulatory capital requirements under the U.S. Basel III rules. In addition, Citi was “well capitalized” under current federal bank regulatory agencies definitions as of September 30, 2024.

Components of Citigroup Capital

(1) Issuance costs of $63 million and $84 million related to outstanding noncumulative perpetual preferred stock at September 30, 2024 and December 31, 2023, respectively, 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. See “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2023 Form 10-K.

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

(4) Of Citi’s $30.0 billion of net DTAs at September 30, 2024, $11.3 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards, as well as $3.1 billion of DTAs arising from temporary differences that exceeded 10%/15% limitations, were excluded from Citi’s CET1 Capital as of September 30, 2024. 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.

Footnotes continue on the following page.

(5) Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At September 30, 2024 and December 31, 2023, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation.

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

(7) 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 $5.1 billion and $3.9 billion at September 30, 2024 and December 31, 2023, respectively.

Citigroup Capital Rollforward

(1) Includes the changes in Citigroup (own credit) credit valuation adjustments (CVA) attributable to own creditworthiness, net of tax.

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

(1) General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three months ended September 30, 2024, primarily due to an increase in lending exposures and bank deposits.

(2) Derivatives decreased during the nine months ended September 30, 2024, mainly driven by changes in exposures.

(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 three months ended September 30, 2024 and increased during the nine months ended September 30, 2024, both primarily driven by business activities.

(4) Equity exposures decreased during the nine months ended September 30, 2024, primarily driven by activities related to the Visa B exchange completed in the second quarter of 2024.

(5) Other exposures increased during the three and nine months ended September 30, 2024, mainly due to accounts receivable and other broad-based increases.

(6) Market risk increased during the three and nine months ended September 30, 2024, primarily due to model changes, model parameter updates and changes in exposures.

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

(1) General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three and nine months ended September 30, 2024, primarily due to an increase in lending exposures and bank deposits.

(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 three and nine months ended September 30, 2024, primarily driven by business activities.

(3) Equity exposures decreased during the nine months ended September 30, 2024, primarily driven by activities related to the Visa B exchange completed in the second quarter of 2024.

(4) Other exposures increased during the three and nine months ended September 30, 2024, mainly due to accounts receivable and other broad-based increases.

(5) Market risk increased during the three and nine months ended September 30, 2024, primarily due to model changes, model parameter updates and changes in exposures.

(6) Operational risk increased during the three months ended September 30, 2024, primarily driven by loss frequency increases, and increased during the nine months ended September 30, 2024, mainly due to both loss frequency and loss severity increases.

Supplementary Leverage Ratio

The following table presents Citi’s Supplementary Leverage ratio and related components as of September 30, 2024, June 30, 2024 and December 31, 2023:

(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. See “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2023 Form 10-K.

(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 and securities lending transactions.

As presented in the table above, Citigroup’s Supplementary Leverage ratio was 5.8% at September 30, 2024, compared to 5.9% at June 30, 2024 and 5.8% at December 31, 2023. The quarter-over-quarter decrease was primarily driven by an increase in Total Leverage Exposure, net redemption of qualifying perpetual preferred stock, the payment of common and preferred dividends and common share repurchases, partially offset by net income and unrealized gains on available-for-sale securities recognized in AOCI.

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 September 30, 2024, June 30, 2024 and December 31, 2023:

(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. See “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2023 Form 10-K.

(3) 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.

(4) Citibank’s binding CET1 Capital, Tier 1 Capital and Total Capital ratios were 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 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) Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.

(7) Supplementary Leverage ratio denominator.

As presented in the table above, Citibank’s capital ratios at September 30, 2024 were in excess of the regulatory capital requirements under the U.S. Basel III rules. In addition, Citibank was “well capitalized” as of September 30, 2024.

Citibank’s Supplementary Leverage ratio was 7.1% at September 30, 2024, compared to 7.0% at June 30, 2024 and 6.9% at December 31, 2023. The quarter-over-quarter increase was primarily driven by net income and unrealized gains on available-for-sale securities recognized in AOCI, partially offset by an increase in Total Leverage Exposure and the payment of common and preferred dividends. The ratio increased from the fourth quarter of 2023, primarily driven by year-to-date net income of $10.6 billion, partially offset by the payment of common and preferred dividends and an increase in Total Leverage Exposure.

Impact of Changes on Citigroup and Citibank Capital Ratios

The following tables present the hypothetical 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 RWA and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of September 30, 2024. 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, RWA, 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.

Citigroup Broker-Dealer Subsidiaries

At September 30, 2024, 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 $17 billion, which exceeded the minimum requirement by $12 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 September 30, 2024, 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 September 30, 2024.

Total Loss-Absorbing Capacity (TLAC)

The table below details Citi’s eligible external TLAC and long-term debt (LTD) amounts and ratios, and each TLAC and LTD regulatory requirement, as well as the surplus amount in dollars in excess of each requirement:

September 30, 2024

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

(2) LTD includes method 2 GSIB surcharge of 3.5%.

As of September 30, 2024, Citi exceeded each of the TLAC and LTD regulatory requirements, resulting in a $13 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 “Capital Resources—Total Loss-Absorbing Capacity (TLAC)” in Citi’s 2023 Form 10-K.

Capital Resources (Full Adoption of CECL)

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 September 30, 2024(1):

(1) The capital effects resulting from adoption of the CECL methodology will be fully reflected in Citi’s regulatory capital as of January 1, 2025. See footnote 2 to 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.

Regulatory Capital Standards and Developments

Basel III Revisions

On July 27, 2023, the U.S. banking agencies issued a notice of proposed rulemaking, known as the Basel III Endgame (capital proposal), that would amend U.S. regulatory capital requirements. Citi continues to monitor developments related to this rulemaking.

The capital proposal would maintain the current capital rule’s dual-requirement structure for RWA, but would eliminate the use of internal models to calculate credit risk and operational risk components of RWA. The capital proposal would also replace the current market risk framework with a new standardized methodology and a new models-based methodology for calculating RWA for market risk. Large banking organizations, such as Citi, would be required to calculate their risk-based capital ratios under both the new expanded risk-based approach and the Standardized Approach and use the lower of the two for each risk-based capital ratio for determining the binding constraints.

The expanded risk-based approach is designed to align with the international capital standards adopted by the Basel Committee on Banking Supervision (Basel Committee). The Basel Committee finalized the Basel III reforms in December 2017, which included revisions to the methodologies to determine credit, market and operational RWA amounts.

If adopted as proposed, the capital proposal’s impact on RWA amounts would also affect several other requirements including TLAC, external long-term debt and the short-term wholesale funding score included in the GSIB surcharge under method 2 (see “GSIB Surcharge” below). The proposal has a three-year transition period that would begin on July 1, 2025. If finalized as proposed, the capital proposal would materially increase Citi’s required regulatory capital.

For information about risks related to changes in regulatory capital requirements, see “Risk Factors—Strategic Risks,” “—Operational Risks” and “—Compliance Risks” in Citi’s 2023 Form 10-K.

GSIB Surcharge

Separately on July 27, 2023, the FRB proposed changes to the GSIB surcharge rule that aim to make it more risk sensitive. Proposed changes include measuring certain systemic indicators on a daily versus quarterly average basis, changing certain of the risk indicators and shortening the time to come into compliance with each year’s surcharge. In addition, the proposal would narrow surcharge bands under method 2 from 50 bps to 10 bps to reduce cliff effects when moving between bands.

Long-Term Debt Requirements

On August 29, 2023, the FRB issued a notice of proposed rulemaking to amend the TLAC rule to change the haircuts (i.e., the percentage reductions) that are applied to eligible long-term debt. Under the proposed rule, only 50% of eligible long-term debt with a maturity of one year or more but less than two years would count toward the TLAC requirement, instead of the current 100%. These proposed revisions are estimated to decrease the TLAC percentage of Advanced Approaches RWA as well as the TLAC percentage of Total Leverage Exposure. The proposed rule in its current form has no proposed transition period for its implementation and is not expected to be material to Citi.

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)). Return on tangible common equity (RoTCE) represents annualized net income available to common shareholders as a percentage of average TCE. Tangible book value per share (TBVPS) represents average TCE divided by average common shares outstanding. Other companies may calculate these measures differently. TCE, RoTCE and TBVPS are non-GAAP financial measures.

Managing Global Risk Table of Contents

(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 FRB, on Citi’s Investor Relations website.

Citi’s Pillar 3 Basel III Advanced Approaches Disclosures on Citi’s Investor Relations website are not incorporated by reference into,

and do not form any part of, this Form 10-Q.

MANAGING GLOBAL RISK

For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s Mission and Value Proposition and the key Leadership Principles that support it, as well as Citi’s risk appetite. For more information on managing global risk at Citi, see “Managing Global Risk” in Citi’s 2023 Form 10-K.

CREDIT RISK

For more information on credit risk, including Citi’s credit risk management, measurement and stress testing, and Citi’s consumer and corporate credit portfolios, see “Credit Risk” and “Risk Factors” in Citi’s 2023 Form 10-K. In addition, see Notes 14 and 15.

Loans

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

End-of-period loans increased 3% year-over-year, largely reflecting growth in Branded Cards and Retail Banking in USPB and Markets, and were relatively unchanged sequentially.

On an average basis, loans increased 4% year-over-year and 1% sequentially. The year-over-year increase was largely due to growth in USPB, Markets and Services.

As of the third quarter of 2024, average loans for:

• USPB increased 7% year-over-year, driven by growth in Branded Cards, Retail Banking and Retail Services.
• Wealth remained largely unchanged.
• Services increased 5% year-over-year, primarily driven by strong demand in TTS for export and agency finance, as well as working capital loans.
• Markets increased 10% year-over-year, largely driven by asset-backed lending in spread products, as well as margin loans in Equities.
• Banking decreased 1% year-over-year, primarily driven by regulatory capital optimization efforts.

CORPORATE CREDIT

The following table details Citi’s corporate credit portfolio across Services, Markets, Banking and the Mexico SBMM component of All Other—Legacy Franchises (excluding loans carried at fair value and loans held-for-sale), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:

(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 presents the percentage of this portfolio across North America and the clusters within International, based on Citi’s internal management geography:

The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographies 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 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:

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.

Citi believes the corporate credit portfolio to be appropriately rated and classified as of September 30, 2024. Citi has applied management judgment 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 observed.

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, appetite per obligor is reduced consistent with the ratings, and downgrades may result in the purchase of additional credit derivatives or other risk/structural mitigants to hedge the incremental credit risk, or may result in Citi 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:

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

The following table details Citi’s corporate credit portfolio by industry as of September 30, 2024:

(1) Funded excludes loans carried at fair value of $7.8 billion at September 30, 2024.

(2) Includes non-accrual loan exposures and related 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 $39.7 billion of purchased credit protection, $36.4 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.4 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional amount of $26.1 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 $17.8 billion ($9.5 billion of which was funded exposure with 100% rated investment grade) as of September 30, 2024.

(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 September 30, 2024, Citi’s total exposure to these energy-related entities was approximately $4.8 billion, of which approximately $2.3 billion consisted of direct outstanding funded loans.

(6) Includes $0.9 billion and $0.1 billion of funded and unfunded exposure at September 30, 2024, respectively, primarily related to commercial credit card delinquency-managed loans.

Exposure to Commercial Real Estate

As of September 30, 2024, Citi’s total credit exposure to commercial real estate (CRE) was $64 billion (largely unchanged from June 30, 2024), including $6 billion of exposure related to office buildings. This total CRE exposure consisted of approximately $54 billion related to corporate clients, included in the real estate category in the table above, and approximately $10 billion related to Wealth clients that is not in the table above as they are not considered corporate exposures.

In addition, as of September 30, 2024, approximately 79% of Citi’s total CRE exposure was rated investment grade and more than 76% was to borrowers in the U.S.

As of September 30, 2024, the ACLL attributed to the total funded CRE exposure (including Wealth) was approximately 1.62%, and there were $391 million of non-accrual CRE loans.

The following table details Citi’s corporate credit portfolio by industry as of December 31, 2023:

(1) Funded excludes loans carried at fair value of $7.3 billion at December 31, 2023.

(2) Includes non-accrual loan exposures and related 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 $35.9 billion of purchased credit protection, $33.7 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.2 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional amount of $16.7 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 $16.9 billion ($10.6 billion of which was funded exposure with 100% rated investment grade) as of December 31, 2023.

(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, 2023, Citi’s total exposure to these energy-related entities was approximately $4.9 billion, of which approximately $2.5 billion consisted of direct outstanding funded loans.

(6) Includes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2023, respectively, primarily related to commercial credit card delinquency-managed loans.

Credit Risk Mitigation

As part of its overall risk management activities, Citigroup uses credit derivatives, both partial and full term, and other risk mitigants to economically hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. In advance of the expiration of partial-term economic 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 September 30, 2024, June 30, 2024 and December 31, 2023, Banking had economic hedges on the corporate credit portfolio of $39.7 billion, $39.7 billion and $35.9 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 Banking corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure

CONSUMER CREDIT

Consumer Credit Portfolio

The following table presents Citi’s quarterly end-of-period consumer loans(1):

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

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

(3) Consists of $99.8 billion, $100.9 billion, $100.0 billion, $101.6 billion and $101.1 billion of loans in North America as of September 30, 2024, June 30, 2024, March 31, 2024, December 31, 2023 and September 30, 2023, respectively. For additional information on the credit quality of the Wealth portfolio, see Note 14.

(4) Consists of $51.2 billion, $49.5 billion, $48.9 billion, $49.8 billion and $49.4 billion of loans outside North America as of September 30, 2024, June 30, 2024, March 31, 2024, December 31, 2023 and September 30, 2023, respectively.

(5) At September 30, 2024, includes approximately $23 billion of classifiably managed loans fully collateralized by eligible financial assets and securities that have experienced very low historical net credit losses. Approximately 67% of the classifiably managed portion of these loans is investment grade.

(6) At September 30, 2024, includes approximately $21 billion of classifiably managed loans. Approximately 81% 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 net credit losses. As discussed below, approximately 77% of the classifiably managed portion of these loans is investment grade.

(7) Asia Consumer loan balances, reported within All Other—Legacy Franchises, include the four remaining Asia Consumer loan portfolios: Korea, Poland, China (until the completion of the sales of substantially all portfolios in July 2024) and Russia.

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

For information on changes to Citi’s consumer loans, see “Credit Risk—Loans” above.

Consumer Credit Trends

U.S. Personal Banking

As indicated above, USPB provides credit card products through Branded Cards and Retail Services, and mortgages and home equity, small business and personal consumer loans through Citi’s Retail Banking network. Retail Banking is concentrated in six major U.S. metropolitan areas. USPB also provides mortgages through correspondent channels.

As of September 30, 2024, approximately 77% of USPB EOP loans consisted of Branded Cards and Retail Services credit card loans, which generally drives the overall credit performance of USPB, as U.S. cards net credit losses represented approximately 96% of total USPB net credit losses for the third quarter of 2024. As of September 30, 2024, Branded Cards represented 68% of total U.S. cards EOP loans and Retail Services represented 32% of U.S. cards EOP loans.

As presented in the chart above, the third quarter of 2024 net credit loss rate in USPB decreased quarter-over-quarter, primarily driven by seasonality, and increased year-over-year, primarily reflecting the continued maturation of multiple cards loan vintages originated in recent years, impacted by unprecedented levels of government stimulus during the pandemic. In addition, the increase was driven by macroeconomic pressures related to the elevated inflationary and interest rate environment impacting both cards portfolios, with lower FICO band customers primarily driving the increase.

The 90+ days past due delinquency rate was broadly stable quarter-over-quarter, and increased year-over-year, primarily reflecting the continued maturation of multiple cards loan vintages originated in recent years, impacted by unprecedented levels of government stimulus during the pandemic. In addition, the increase was driven by macroeconomic pressures related to the elevated inflationary and interest rate environment impacting both cards portfolios, with lower FICO band customers primarily driving the increase.

Branded Cards

USPB’s Branded Cards portfolio includes proprietary and co-branded cards.

As presented in the chart above, the third quarter of 2024 net credit loss rate in Branded Cards decreased quarter-over-quarter, primarily driven by seasonality, and increased year-over-year, primarily reflecting the continued maturation of multiple cards loan vintages originated in recent years, impacted by unprecedented levels of government stimulus during the pandemic. In addition, the increase was driven by macroeconomic pressures related to the elevated inflationary and interest rate environment, with lower FICO band customers primarily driving the increase.

The 90+ days past due delinquency rate was broadly stable quarter-over-quarter, and increased year-over-year, primarily reflecting the continued maturation of multiple cards loan vintages originated in recent years, impacted by unprecedented levels of government stimulus during the pandemic. In addition, the increase was driven by macroeconomic pressures related to the elevated inflationary and interest rate environment, with lower FICO band customers primarily driving the increase.

Retail Services

USPB’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 presented in the chart above, the third quarter of 2024 net credit loss rate in Retail Services decreased quarter-over-quarter, primarily driven by seasonality, and increased year-over-year, primarily reflecting the continued maturation of multiple cards loan vintages originated in recent years, impacted by unprecedented levels of government stimulus during the pandemic. In addition, the increase was driven by macroeconomic pressures related to the elevated inflationary and interest rate environment, with lower FICO band customers primarily driving the increase.

The 90+ days past due delinquency rate increased quarter-over-quarter, primarily driven by seasonality, and increased year-over-year, primarily reflecting the continued maturation of multiple cards loan vintages originated in recent years, impacted by unprecedented levels of government stimulus during the pandemic. In addition, the increase was driven by macroeconomic pressures related to the elevated inflationary and interest rate environment, with lower FICO band customers primarily driving the increase.

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.

Retail Banking

USPB’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 presented in the chart above, the third quarter of 2024 net credit loss rate in Retail Banking was unchanged quarter-over-quarter, and increased year-over-year, primarily driven by the growth and seasoning of personal loans. The 90+ days past due delinquency rate was largely unchanged quarter-over-quarter, and decreased year-over-year, primarily driven by lower delinquencies in U.S. mortgages.

Wealth

As indicated above, Wealth provides consumer mortgages, margin lending, credit cards and other lending products to customer segments that range from affluent to ultra-high net worth through the Private Bank, Wealth at Work and Citigold businesses. These customer segments represent a target market that is characterized by historically low default rates and delinquencies and includes loans that are delinquency managed or classifiably managed. The delinquency-managed portfolio consists primarily of mortgages, margin lending and credit cards.

As of September 30, 2024, approximately $44 billion, or 29%, of the portfolios were classifiably managed and primarily consisted of mortgage loans, margin loans, personal and small business loans and other lending programs. These classifiably managed loans are primarily evaluated for credit risk based on their internal risk rating, of which 72% were rated investment grade. While the 90+ days past due delinquency rates shown in the chart above were calculated only for the delinquency-managed portfolio, the net credit loss rates shown were calculated using net credit losses for both the delinquency and classifiably managed portfolios.

As presented in the chart above, the third quarter of 2024 net credit loss rate and 90+ days past due delinquency rate in Wealth were broadly stable quarter-over-quarter and year-over-year. The low net credit loss and 90+ days past due delinquency rates continued to reflect the strong credit profiles of the portfolios.

Mexico Consumer

Mexico Consumer operates in Mexico through Citibanamex and provides credit cards, consumer mortgages and small business and personal loans. Mexico Consumer serves a mass-market segment in Mexico and focuses on developing multiproduct relationships with customers. As presented in the chart above, the third quarter of 2024 net credit loss rate in Mexico Consumer increased quarter-over-quarter, primarily driven by seasonality, and increased year-over-year, primarily driven by the ongoing normalization of loss rates from post-pandemic lows.

The 90+ days past due delinquency rate increased quarter-over-quarter and year-over-year, primarily driven by the ongoing normalization from post-pandemic lows.

For additional details 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 present the current FICO score distributions for Citi’s Branded Cards and Retail Services portfolios based on end-of-period receivables. FICO scores are updated as they become available.

Branded Cards

Retail Services

(1) Excludes immaterial balances for Canada and for customers for which no FICO scores are available.

The FICO distribution of both cards portfolios declined from the prior quarter and prior year, primarily reflecting the continued maturation of cards loan vintages originated in recent years, impacted by unprecedented levels of government stimulus during the pandemic, as well as macroeconomic pressures related to the elevated inflationary and interest rate environment impacting both cards portfolios. The FICO distribution continued to reflect strong underlying credit quality of the portfolios. See Note 14 for additional information on FICO scores.

Additional Consumer Credit Details

Consumer Loan Delinquencies Amounts and Ratios

(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 $60 million ($0.5 billion), $63 million ($0.5 billion) and $61 million ($0.5 billion) at September 30, 2024, June 30, 2024 and September 30, 2023, 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 $69 million, $75 million and $70 million at September 30, 2024, June 30, 2024 and September 30, 2023, 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 September 30, 2024, June 30, 2024 and September 30, 2023, 72%, 75% and 95% of Wealth classifiably managed loans were rated investment grade. For additional information on the credit quality of the Wealth portfolio, including classifiably managed portfolios, see “Consumer Credit Trends” above.

(7) Asia Consumer includes delinquencies and loans in Poland and Russia for all periods presented.

(8) Citi has 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 most recent reclassifications commenced as follows: Taiwan and Indonesia in the first quarter of 2022; Taiwan closed in the third quarter of 2023 and Indonesia closed in the fourth quarter of 2023. See Note 2.

(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 $68 million ($0.2 billion), $65 million ($0.2 billion) and $67 million ($0.2 billion) at September 30, 2024, June 30, 2024 and September 30, 2023, 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 $35 million, $42 million and $36 million at September 30, 2024, June 30, 2024 and September 30, 2023, respectively. The EOP loans in the table include the guaranteed loans.

N/A Not applicable

Consumer Loan Net Credit Losses (NCLs) and Ratios

(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) All Other (managed basis) excludes divestiture-related impacts (Reconciling Items) related to (i) Citi’s divestitures of its Asia Consumer businesses and (ii) the planned IPO of Mexico Consumer/SBMM within Legacy Franchises. The Reconciling Items are fully reflected in the various line items in Citi’s Consolidated Statement of Income. See “All Other—Divestiture-Related Impacts (Reconciling Items)” above.

(4) Asia Consumer also includes NCLs and average loans in Poland and Russia for all periods presented.

ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding

(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 $883 million, $852 million, $828 million, $802 million and $789 million at September 30, 2024, June 30, 2024, March 31, 2024, December 31, 2023 and September 30, 2023, respectively. Unearned income on consumer loans primarily represents loan origination fees, net of certain direct origination costs, that are deferred and recognized as Interest income over the lives of the related loans.

(4) Corporate loans include Mexico SBMM loans and are net of unearned income of ($912) million, ($917) million, ($968) million, ($917) million and ($806) million at September 30, 2024, June 30, 2024, March 31, 2024, December 31, 2023 and September 30, 2023, respectively. Unearned income on corporate loans primarily represents loan origination fees, net of certain direct origination costs, that are deferred and recognized as Interest income over the lives of the related loans.

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

Details of Credit Loss Experience

(1) 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.

(2) The third quarter of 2024 includes approximately $23 million related to an acquired portfolio and a decrease of approximately $93 million related to FX translation.

(3) The second quarter of 2024 includes a decrease of approximately $156 million related to FX translation.

(4) The first quarter of 2024 includes an increase of approximately $32 million related to FX translation.

(5) The fourth quarter of 2023 includes an increase of approximately $38 million related to FX translation.

(6) The third quarter of 2023 includes a decrease of approximately $46 million related to FX translation.

(7) September 30, 2024, June 30, 2024, March 31, 2024, December 31, 2023 and September 30, 2023 exclude $8.1 billion, $8.5 billion, $8.9 billion, $7.6 billion and $7.4 billion, respectively, of loans that are carried at fair value.

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

(9) See “Significant Accounting Policies and Significant Estimates” below. Attribution of the allowance is made for analytical purposes only and is available to absorb probable credit losses inherent in the overall portfolio.

Allowance for Credit Losses on Loans (ACLL)

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

September 30, 2024

December 31, 2023

(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 September 30, 2024, the $13.3 billion of ACLL represented approximately 22 months of coincident net credit loss coverage (based on 3Q24 NCLs). As of September 30, 2024, Branded Cards ACLL as a percentage of EOP loans was 6.5% and Retail Services ACLL as a percentage of EOP loans was 11.7%. As of December 31, 2023, the $12.6 billion of ACLL represented approximately 25 months of coincident net credit loss coverage (based on 4Q23 NCLs). As of December 31, 2023, Branded Cards ACLL as a percentage of EOP loans was 6.0% and Retail Services ACLL as a percentage of EOP loans was 11.1%.

(3) Includes residential mortgages, retail loans and personal, small business and other loans, including those extended through the Private Bank network.

(4) The above corporate loan classifications are broadly based on the loan’s collateral, purpose and type of borrower, which may be different from the following industry table. For example, commercial and industrial, financial institutions, and installment and other loan classifications include various forms of loans to borrowers across multiple industries, whereas mortgage and real estate includes loans secured primarily by real estate.

N/A Not applicable

The following table details Citi’s corporate credit ACLL by industry exposure:

September 30, 2024

(1) Funded exposure excludes loans carried at fair value of $7.8 billion that are not subject to ACLL under the CECL standard.

(2) As of September 30, 2024, the portion of the ACLL attributed to the total funded CRE exposure (including the Private Bank) was approximately 1.62%.

(3) Includes $0.9 billion of funded exposure at September 30, 2024, primarily related to commercial credit card delinquency-managed loans.

(4) As of September 30, 2024, the ACLL above reflects coverage of 0.4% of funded investment-grade exposure and 2.4% of funded non-investment-grade exposure.

The following table details Citi’s corporate credit ACLL by industry exposure:

December 31, 2023

(1) Funded exposure excludes loans carried at fair value of $7.3 billion that are not subject to ACLL under the CECL standard.

(2) As of December 31, 2023, the portion of the ACLL attributed to the total funded CRE exposure (including the Private Bank) was approximately 1.49%.

(3) Includes $0.6 billion of funded exposure at December 31, 2023, primarily related to commercial credit card delinquency-managed loans.

(4) As of December 31, 2023, the ACLL above reflects coverage of 0.3% of funded investment-grade exposure and 2.9% of funded non-investment-grade exposure.

Non-Accrual Loans and Assets

For additional information on Citi’s non-accrual loans and assets, see “Non-Accrual Loans and Assets” in Citi’s 2023 Form 10-K.

Non-Accrual Loans

The table below summarizes Citigroup’s non-accrual loans (NAL) 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.

(1) Corporate loans are placed on non-accrual status based on 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) Approximately 64%, 68%, 61%, 50% and 62% of Citi’s corporate non-accrual loans remain current on interest and principal payments at September 30, 2024, June 30, 2024, March 31, 2024, December 31, 2023 and September 30, 2023, respectively.

(3) The September 30, 2024 total corporate non-accrual loans represented 0.31% of total corporate loans.

(4) The increase at September 30, 2023 was primarily related to two commercial real estate loans. The decrease at June 30, 2024 was primarily related to commercial real estate loans.

(5) Asia Consumer includes balances in Poland and Russia for all periods presented.

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

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:

(1) The International OREO details by cluster are not provided due to the immateriality of such amounts.

(2) 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).

LIQUIDITY RISK

For additional information on funding and liquidity at Citi, including objectives and stress testing, see “Liquidity Risk” and “Risk Factors—Liquidity Risks” in Citi’s 2023 Form 10-K.

Overview

Citi’s liquidity is managed centrally by Corporate Treasury through the Liquidity Risk Management Policy (Policy), which sets forth the minimum requirements for identifying, measuring, monitoring, controlling and reporting liquidity risk, consistent with Citi’s risk appetite in conjunction with local treasurers and with oversight provided by Independent Risk Management and the Citigroup Asset and Liability Committee (ALCO). The Policy establishes the framework for sound management of Citi’s liquidity risk, to facilitate transparency and comparability of liquidity risk-taking activities, and supports Citi’s maintenance of adequate liquidity, including a cushion of unencumbered, high-quality liquid assets, to withstand a range of stress events including those involving the loss or impairment of both unsecured and secured funding sources.

Citi’s enterprise-wide liquidity management framework establishes a risk appetite that is expressed as a set of quantitative minimum levels for Citigroup and Citibank, consolidated to maintain liquidity levels above limits for the U.S. Liquidity Coverage ratio (LCR), U.S. Net Stable Funding ratio (NSFR) and Internal Liquidity Stress Tests (ILST). Liquidity concentration risk, which is defined as liquidity risk due to funding concentration to a specific counterparty, industry, product type or maturity, among other categories, is an integral part of Citi’s liquidity management framework and is managed in accordance with established risk appetite limits. For example, product or industry concentration limits consider specific attributes of a product (e.g., wholesale deposits, secured versus unsecured, etc.).

Similar requirements applicable to country legal entities, material legal entities (as defined in the public section of Citi’s 2023 resolution plan) or other legal entities are specified in the Liquidity Risk Management Procedures (Procedures). The Procedures provide for liquidity risk management, risk identification, risk appetite, risk limits and triggers, and monitoring including escalation, stress testing, risk reporting, training and review, oversight and approval of key liquidity risk proposals, and analytical tools applicable to the entities within the Procedures’ scope. In addition, the Procedures provide for data governance, roles and responsibilities, and reference to frameworks within Citi’s liquidity management.

Liquidity risk in foreign jurisdictions and legal entities is managed as part of Citi’s legal entity liquidity management framework (similar to Citigroup and Citibank), in which legal entities, including those in foreign jurisdictions, are subject to regulatory and internal liquidity stress tests on a standalone basis, managed against legal entity limits set in accordance with Citi’s risk appetite and governed by local governance forums. Citi also has other local governance forums for managing its balance sheet and liquidity at various organizational levels, including material legal entities.

Citi’s Chief Risk Officer and Chief Financial Officer co-chair Citigroup’s ALCO, which includes Citi’s Treasurer and other senior executives. The ALCO sets the strategy of the liquidity portfolio and monitors portfolio performance (see “Risk Governance—Board and Executive Management Committees” in Citi’s 2023 Form 10-K). Significant changes to portfolio asset allocations require approval by the ALCO.

High-Quality Liquid Assets (HQLA)

Note: The amounts in the table above are presented on an average basis. For securities, the amounts represent the liquidity value that potentially could be realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts applicable under the U.S. LCR rule. The table above incorporates various restrictions that could limit the transferability of liquidity between legal entities, including Section 23A of the Federal Reserve Act. Changes in HQLA line categories from the prior-year period were primarily driven by the re-allocation of nontransferable HQLA, which did not change total average HQLA, and thus did not impact Citi’s LCR ratio.

(1) Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Japan, Korea, Mexico, India and Hong Kong.

The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated LCR, pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities as well as any amounts in excess of these minimums that are available to be transferred to other entities within Citigroup. Citigroup’s average HQLA increased quarter-over-quarter as of the third quarter of 2024, primarily driven by an increase in non-U.S. sovereign debt.

As of September 30, 2024, Citigroup had approximately $959 billion of available liquidity resources to support client and business needs, including end-of-period HQLA ($561 billion); additional unencumbered HQLA, including excess liquidity held at bank entities that is non-transferable to other entities within Citigroup ($252 billion); and unused borrowing capacity from available assets not already accounted for within Citi’s HQLA to support additional advances from the Federal Home Loan Bank (FHLB) and the Federal Reserve Bank discount window ($146 billion).

Short-Term Liquidity Measurement: Liquidity Coverage Ratio (LCR)

In addition to internal 30-day liquidity stress testing performed for Citi’s major entities, operating subsidiaries and countries, Citi also monitors its liquidity by reference to the LCR. The table below details the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:

Note: The amounts are presented on an average basis.

As of September 30, 2024, Citigroup’s average LCR was unchanged from the quarter ended June 30, 2024, as Citi’s average HQLA and net outflows increased proportionately.

In addition, considering Citi’s total available liquidity resources at quarter end of $959 billion, Citi maintained approximately $489 billion of excess liquidity resources above the stressed average net outflow of approximately $470 billion, presented in the LCR table above.

Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)

The NSFR is required by a rule promulgated by the U.S. banking agencies and measures the availability of a bank’s stable funding against the required stable funding in accordance with the calculation as defined by the rule.

In general, a bank’s available stable funding includes portions of equity, deposits and long-term debt, while its required stable funding will be based on the liquidity characteristics of its assets, derivatives and commitments. Standardized weightings are required to be applied to the various asset and liability classes. The ratio of available stable funding to required stable funding must be greater than 100%.

For the quarter ended September 30, 2024, Citigroup’s consolidated NSFR was compliant with the rule. (For additional information, see the Consolidated Citigroup NSFR Disclosure for the quarterly periods ended March 31, 2024 and June 30, 2024, on Citi’s Investor Relations website. The Consolidated Citigroup NSFR Disclosure on Citi’s Investor Relations website is not incorporated by reference into, and does not form any part of, this Form 10-Q).

Select Balance Sheet Items

This section provides details of select liquidity-related assets and liabilities reported on Citigroup’s Consolidated Balance Sheet.

Cash and Investments

The table below details average and end-of-period Cash and due from banks, Deposits with banks (collectively cash) and Investment securities. Citi’s investment securities portfolio consists largely of highly liquid U.S. Treasury, U.S. agency and other sovereign bonds, with an aggregate duration of less than three years. At September 30, 2024, Citi’s EOP cash and Investment securities comprised approximately 33% of total assets:

Deposits

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

(1) During the third quarter of 2024, approximately $9 billion of institutional deposits were moved from Markets to All Other—Corporate/Other. Prior periods were not reclassified. For additional information about the reallocated deposits, see Note 3.

Citi’s deposit base is spread across a diversified set of countries, industries, clients and currencies and is subject to Citi’s Liquidity Risk Management Policy and Procedures.

End-of-period deposits increased 3% year-over-year, primarily driven by growth in Services, reflecting operating deposit growth. End-of-period deposits increased 2% sequentially, primarily driven by growth in TTS and Securities Services.

On an average basis, deposits were largely unchanged both year-over-year and sequentially. In the third quarter of 2024, average deposits for:

• Services increased 4% year-over-year, as TTS increased 2% and Securities Services increased 13%. The net increase was primarily attributable to growth in Services operating deposits.
• USPB decreased 23% year-over-year, as the transfer of certain relationships and the associated deposits to Wealth more than offset underlying deposit growth.
• Wealth increased 4% year-over-year, largely reflecting the transfer of certain relationships and the associated deposits from USPB, partially offset by the shift in deposits to higher-yielding investments on Citi’s platform.
• All Other decreased 18% year-over-year, primarily reflecting the continued wind-down of deposits in Legacy Franchises.

The majority of Citi’s $1.3 trillion of end-of-period deposits are institutional (approximately $840 billion) and span 90 countries. A large majority of these institutional deposits are within TTS, and of these, approximately 80% are from clients that use all three TTS integrated services: payments and collections, liquidity management and working capital solutions. In addition, nearly 80% of TTS deposits are from clients that have a longer than 15-year relationship with Citi.

Citi also has a strong consumer and wealth deposit base, with $401 billion of USPB and Wealth deposits as of the end of the current quarter, which are diversified across the Private Bank, Citigold and Wealth at Work within Wealth, as well as USPB, and across regions and products. As of the end of the current quarter, approximately 66% of U.S. Citigold clients have been with Citi for more than 10 years and approximately 39% of Private Bank ultra-high net worth clients have been with Citi for more than 10 years. In addition, USPB’s deposits are spread across six key metropolitan areas in the U.S.

Long-Term Debt

Weighted-Average Maturity (WAM)

The following table presents Citigroup and its affiliates’

(including Citibank) WAM of unsecured long-term debt issued with a remaining life greater than one year:

The WAM is calculated based on the contractual maturity of each security. For securities that are redeemable prior to maturity where the option is not held by the issuer, the WAM is calculated based on the earliest date an option becomes exercisable.

Long-Term Debt Outstanding

The following table presents Citi’s end-of-period total long-term debt outstanding for each of the dates indicated:

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

(1) Non-bank includes long-term debt issued to third parties by the parent holding company (Citigroup) and Citi’s non-bank subsidiaries (including broker-dealer subsidiaries) that are consolidated into Citigroup. As of September 30, 2024, non-bank included $91.9 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries that are consolidated into Citigroup. Certain Citigroup consolidated hedging activities are also included in this line.

(2) Local country and other includes debt issued by Citi’s affiliates in support of their local operations. Within non-bank, certain secured financing is also included.

(3) Predominantly credit card securitizations, primarily backed by Branded Cards receivables.

Citi’s total long-term debt outstanding increased 8% year-over-year, driven by higher debt across almost all categories. Sequentially, long-term debt outstanding increased 7%, largely related to senior benchmark debt at the bank and non-bank entities and customer-related debt issuances at the non-bank entities.

As part of its liability management, Citi has considered, and may continue to consider, opportunities to redeem or repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such redemptions and repurchases help reduce Citi’s overall funding costs. During the third quarter of 2024, Citi redeemed or repurchased an aggregate of $9.9 billion of its outstanding long-term debt.

Long-Term Debt Issuances and Maturities

The table below details Citi’s long-term debt issuances and maturities (including repurchases and redemptions) during the periods presented:

The table below details Citi’s aggregate long-term debt maturities (including repurchases and redemptions) during the nine months of 2024, as well as its aggregate expected remaining long-term debt maturities by year as of September 30, 2024:

Secured Funding Transactions and Short-Term Borrowings

Citi supplements its primary sources of funding with short-term financings that generally include (i) secured funding transactions consisting of securities loaned or sold under agreements to repurchase, i.e., repos, and (ii) to a lesser extent, short-term borrowings consisting of commercial paper issuances and borrowings from the FHLB and other market participants.

Secured Funding Transactions

Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries, with a smaller portion executed through Citi’s bank entities to efficiently fund both (i) secured lending activity and (ii) a portion of the securities inventory held in the context of market making and customer activities. Secured funding transactions are predominantly collateralized by government debt securities. Generally, changes in the level of Citi’s secured funding are primarily due to fluctuations in secured lending activity in the matched book (as described below) and changes in securities inventory. In order to maintain reliable funding under a wide range of market conditions, Citi manages risks related to its secured funding by establishing secured funding limits and conducting daily stress tests that account for risks related to capacity, tenor, haircut, collateral type, counterparty and client actions.

Secured funding of $278 billion as of September 30, 2024 increased 8% year-over-year and decreased 9% from the prior quarter, largely driven by additional financing to support increases in trading-related assets within Citi’s broker-dealer subsidiaries. As of the quarter ended September 30, 2024, on an average basis, secured funding was $338 billion. The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity and is primarily secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other “matched book” activity is secured by less liquid securities, including equity securities, corporate bonds and asset-backed securities, the tenor of which is generally equal to or longer than the tenor of the corresponding assets. As indicated above, the remaining portion of secured funding is used to fund securities inventory held in the context of market making and customer activities.

Short-Term Borrowings

Citi’s short-term borrowings of $41 billion as of September 30, 2024 decreased 4% year-over-year, as issuances of long-term debt replaced the need for short-term borrowings. Sequentially, short-term borrowings increased 7%, compared to June 30, 2024, driven by additional funding to support client activities (see Note 18 for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).

Credit Ratings

The table below presents the ratings for Citigroup and Citibank as of September 30, 2024. While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were A+/F1 at Fitch Ratings, A2/P-1 at Moody’s Ratings and A/A-1 at S&P Global Ratings as of September 30, 2024.

Ratings as of September 30, 2024

Citigroup Inc. Citibank, N.A.

Long-term Short-term Outlook Long- term Short- term Outlook

Fitch Ratings (Fitch) A F1 Stable A+ F1 Stable

Moody’s Ratings (Moody’s) A3 P-2 Stable Aa3 P-1 Stable

S&P Global Ratings (S&P) BBB+ A-2 Stable A+ A-1 Stable

Potential Impacts of Ratings Downgrades

Ratings downgrades by Fitch, Moody’s or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including derivative triggers, which could take the form of cash obligations and collateral requirements.

For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors—Liquidity Risks” and “Credit Ratings” in Citi’s 2023 Form 10-K.

Citigroup Inc. and Citibank—Potential Derivative Triggers

As of September 30, 2024, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.1 billion (unchanged from June 30, 2024). Other funding sources, such as secured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.

As of September 30, 2024, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity due to derivative triggers by approximately $0.1 billion (unchanged from June 30, 2024). Other funding sources, such as secured funding transactions and other margin requirements, for which there are no explicit triggers, could also be adversely impacted.

In total, as of September 30, 2024, Citi estimates that a one-notch downgrade of Citigroup Inc. and Citibank across all three major rating agencies could result in increased aggregate cash obligations and collateral requirements of approximately $0.2 billion (unchanged from June 30, 2024). As detailed under “High-Quality Liquid Assets (HQLA)” above, Citigroup has various liquidity resources available to its bank and non-bank entities in part as a contingency for the potential events described above.

Citibank—Additional Potential Impacts

In addition to the above derivative triggers, Citi believes that a potential downgrade of Citibank’s senior debt/long-term rating across any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. Citibank has provided liquidity commitments to consolidated asset-backed commercial paper conduits, primarily in the form of asset purchase agreements. As of September 30, 2024, Citibank had liquidity commitments of approximately $11.1 billion to consolidated asset-backed commercial paper conduits (compared to $10.8 billion at June 30, 2024) (see Note 21).

In addition to the above-referenced liquidity resources of certain Citibank entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.

MARKET RISK

Market risk arises from both Citi’s trading and non-trading portfolios. For additional information on market risk and market risk management at Citi, see “Market Risk—Overview” and “Risk Factors” in Citi’s 2023 Form 10-K.

MARKET RISK OF NON-TRADING PORTFOLIOS

Market risk from non-trading portfolios stems predominantly from the potential impact of changes in interest rates and foreign exchange rates on Citi’s net interest income and on Citi’s Accumulated other comprehensive income (loss) (AOCI) from its investment securities portfolios. Market risk from non-trading portfolios also includes the potential impact of changes in foreign exchange rates on Citi’s capital invested in foreign currencies.

Banking Book Interest Rate Risk

For interest rate risk purposes, Citi’s non-trading portfolios are referred to as the Banking Book. Management of interest rate risk in the Banking Book is governed by Citi’s Non-Trading Market Risk Policy. Management’s Asset and Liability Committee (ALCO) establishes Citi’s risk appetite and related limits for interest rate risk in the Banking Book, which are subject to approval by Citigroup’s Board of Directors. Corporate Treasury is responsible for the day-to-day management of Citi’s Banking Book interest rate risk as well as periodically reviewing it with the ALCO. Citi’s Banking Book interest rate risk management is also subject to independent oversight from the second line of defense team reporting to the Chief Risk Officer.

Changes in interest rates impact Citi’s net income, AOCI and CET1. These changes primarily affect Citi’s Banking Book through net interest income, due to a variety of risk factors, including:

• Differences in timing and amounts of the maturity or repricing of assets, liabilities and off-balance sheet instruments;
• Changes in the level and/or shape of interest rate curves;
• Client behavior in response to changes in interest rates (e.g., mortgage prepayments, deposit betas); and
• Changes in the maturity of instruments resulting from changes in the interest rate environment.

As part of their ongoing activities, Citi’s businesses generate interest rate-sensitive positions from their client-facing products, such as loans and deposits. The component of this interest rate risk that can be hedged is transferred via Citi’s funds transfer pricing process to Corporate Treasury. Corporate Treasury uses various tools to manage the total interest rate risk position within the established risk appetite and target Citi’s desired risk profile, including its investment securities portfolio, company-issued debt and interest rate derivatives.

In addition, Citi uses multiple metrics to measure its Banking Book interest rate risk. Interest Rate Exposure (IRE) is a key metric that analyzes the impact of a range of scenarios on Citi’s Banking Book net interest income and certain other interest rate-sensitive income versus a base case. IRE does not represent a forecast of Citi’s net interest income.

The scenarios, methodologies and assumptions used in this analysis are periodically evaluated and enhanced in response to changes in the market environment, changes in Citi’s balance sheet composition, enhancements in Citi’s modeling and other factors.

Citi utilizes the most recent quarter-end balance sheet, assuming no changes to its composition and size over the forecasted horizon (holding the balance sheet static). The forecasts incorporate expectations and assumptions of deposit pricing, loan spreads and mortgage prepayment behavior implied by the interest rate curves in each scenario. The base case scenario reflects the market-implied forward interest rates, and sensitivity scenarios assume instantaneous shocks to the base case. The forecasts do not assume Citi takes any risk-mitigating actions in response to changes in the interest rate environment. Certain interest rates are subject to flooring assumptions in downward rate scenarios. Deposit pricing sensitivities (i.e., deposit betas) are informed by historical and expected behavior. Actual deposit pricing could differ from the assumptions used in these forecasts.

Citi’s IRE analysis primarily reflects the impacts from the following Banking Book assets and liabilities: loans, client deposits, Citi’s deposits with other banks, investment securities, long-term debt, any related interest rate hedges and the funds transfer pricing of positions in total trading and credit portfolio value at risk (VAR). It excludes impacts from any positions that are included in total trading and credit portfolio VAR.

In addition to IRE, Citi analyzes economic value sensitivity (EVS) as a longer-term interest rate risk metric. EVS is a net present value (NPV)–based measure of the lifetime cash flows of Citi’s Banking Book. It estimates the interest rate sensitivity of the Banking Book’s economic value from longer-term assets being potentially funded with shorter-term liabilities, or vice versa. Citi manages EVS within risk limits approved by Citigroup’s Board of Directors that are aligned with Citi’s risk appetite.

Interest Rate Risk of Investment Portfolios—Impact on AOCI

Citi measures the potential impacts of changes in interest rates on the value of its AOCI, which can in turn impact Citi’s common equity and tangible common equity. This will impact Citi’s CET1 and other regulatory capital ratios. Citi seeks to manage its exposure to changes in the market level of interest rates, while limiting the potential impact on its AOCI and regulatory capital position.

AOCI at risk is managed as part of the Company-wide interest rate risk position. AOCI at risk considers potential

changes in AOCI (and the corresponding impact on the CET1 Capital ratio) relative to Citi’s capital generation capacity.

Citi uses 100 basis point (bps) shocks in each scenario to reflect its net interest income sensitivity to unanticipated changes in market interest rates, as potential monetary policy decisions and changes in economic conditions may be reflected in current market-implied forward rates. The following table presents the 12-month estimated impact to Citi’s net interest income, AOCI and the CET1 Capital ratio, each assuming an unanticipated parallel instantaneous 100 bps increase in interest rates:

(1) Excludes trading book and fair value option banking book portfolios and replaces them with the associated transfer pricing.

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

(3) Excludes the effect of changes in interest rates on AOCI related to cash flow hedges, as those changes are excluded from CET1 Capital.

The All other currencies of $1.4 billion as of September 30, 2024 in the table above includes the impact from the following top five non-U.S. dollar currencies by absolute size: approximately $(0.3) billion from the euro, $0.4 billion from the British pound sterling, and approximately $0.1 billion each from the Japanese yen, Indian rupee and Swiss franc. The remaining impact is spread across more than 30 additional currencies.

Citi’s balance sheet is asset sensitive (assets reprice faster than liabilities), resulting in higher net interest income in increasing interest rate scenarios. The estimated impact to Citi's net interest income in a 100 bps upward rate shock scenario as of September 30, 2024 remained relatively stable year-over-year. At progressively higher interest rate levels, the marginal net interest income benefit is lower, as Citi assumes it will pass on a larger share of rate changes to depositors (i.e., higher betas), further reducing Citi’s IRE sensitivity. Currency-specific interest rate changes and balance sheet factors may drive quarter-to-quarter volatility in Citi’s estimated IRE.

In a 100 bps upward rate shock scenario, Citi expects that the approximate $1.2 billion initial negative impact to AOCI could potentially be offset in shareholders’ equity through the expected recovery of the impact on AOCI through accretion of Citi’s investment portfolio and expected net interest income benefit over a period of approximately seven months.

Scenario Analysis

The following table presents the estimated impact to Citi’s net interest income and AOCI under six different scenarios of changes in interest rates for the U.S. dollar and all other currencies in which Citi has invested capital as of September 30, 2024. The 100 bps downward rate scenarios potentially may be impacted by the low level of interest rates in several countries and the assumption that market interest rates, as well as rates paid to depositors and charged to borrowers, do not fall below zero (i.e., the “flooring assumption”). The interest rate scenarios are also impacted by convexity related to mortgage products and deposit pricing.

Note: Each scenario assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated. The interest rate exposure in the table above assumes no change in deposit size or mix from the baseline forecast included in the different interest rate scenarios presented. As a result, in higher interest rate scenarios, customer activity resulting in a shift from non-interest-bearing and low interest rate deposit products to higher-yielding deposits would reduce the expected benefit to net interest income. Conversely, in lower interest rate scenarios, customer activity resulting in a shift from higher-yielding deposits to non-interest-bearing and low interest rate deposit products would reduce the expected decrease to net interest income.

(1) The Scenario 1 impact of $1,388 million consists of the following top five non-U.S. dollar currencies as of September 30, 2024 by absolute size: approximately $(0.3) billion from the euro, $0.4 billion from the British pound sterling, and approximately $0.1 billion each from the Japanese yen, Indian rupee and Swiss franc. The remaining balance is spread across more than 30 additional currencies.

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

As presented in the table above, the estimated impact to Citi’s net interest income is larger under Scenario 2 than Scenario 3, as Citi’s Banking Book has relatively higher interest rate exposure to the short end of the yield curve. For U.S. dollars, exposure to downward rate shocks is smaller in magnitude than to upward rate shocks. This is because of the lower benefit to net interest income from Citi’s deposit base at higher rate levels, as well as the prepayment effects on mortgage loans and mortgage-backed securities.

The magnitude of the impact to AOCI is greater under Scenario 2 compared to Scenario 3. This is because Citi’s investment portfolio and pension liabilities are more sensitive to rates at shorter- and intermediate-term maturities.

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital

As of September 30, 2024, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.6 billion, or 1.0%, as a result of changes to Citi’s CTA in AOCI, net of hedges. This impact would be primarily due to changes in the value of the euro, Mexican peso and Indian rupee.

This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency

translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign currency-denominated capital, these movements also change the value of Citi’s RWA denominated in those same currencies. This,

coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s CET1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further affect the actual impact of changes in foreign exchange rates on Citi’s capital compared to an unanticipated parallel shock, as described above.

The effect of Citi’s ongoing management strategies with respect to quarterly changes in foreign exchange rates, and the quarterly impact of these changes on Citi’s TCE and CET1 Capital ratio, are presented in the table below. See Note 19 for additional information on the changes in AOCI.

(1) FX spot rate change is a weighted average based on Citi’s quarterly average GAAP capital exposure to foreign countries.

Interest Income/Expense and Net Interest Margin (NIM)

(1) Interest income and Net interest income include the taxable equivalent gross-up adjustments (TEGU) primarily related to the tax-exempt bond portfolio and certain tax-advantaged loan programs of $24 million, $22 million and $23 million for the three months ended September 30, 2024, June 30, 2024 and September 30, 2023, respectively.

(2) Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated Statement of Income and is therefore not reflected in Interest expense in the table above.

(3) The average rate on interest income and net interest margin reflects TEGU. See footnote 1 above.

(4) Citi’s NIM is calculated by dividing net interest income (including TEGU) by average interest-earning assets.

Non-Markets Net Interest Income

(1) Interest income and Net interest income include TEGU discussed in the table above.

Citi’s net interest income in the third quarter of 2024 was $13.4 billion, on both a reported and taxable equivalent basis, a decrease of 3% or $0.5 billion from the prior-year period, primarily driven by a 17% decline in Markets net interest income and a 1% decline in non-Markets net interest income. The decline in Markets net interest income was primarily driven by higher funding costs related to trading inventory in Fixed Income Markets.

The decline in non-Markets net interest income was largely due to lower revenue from Citi’s net investment in Argentina and margin compression on mortgage securities in the investment portfolio that have been extended within Corporate Treasury in All Other. The decline in non-Markets net interest income was partially offset by loan growth in cards and maturing assets in Citi’s securities portfolio being reinvested at higher yields.

Citi’s net interest margin was 2.33% on a taxable equivalent basis in the current quarter, a decrease of eight basis points from the prior quarter. The decline in net interest margin was largely driven by a decline in Markets due to dividend seasonality in the prior quarter, partially offset by loan growth in cards and maturing loans and investments being refinanced and reinvested at higher yields.

Additional Interest Rate Details

Average Balances and Interest Rates—Assets(1)(2)(3)

Taxable Equivalent Basis

(1) Interest income and Net interest income include TEGU of $24 million, $22 million and $23 million for the three months ended September 30, 2024, June 30, 2024 and September 30, 2023, respectively, and $69 million and $80 million for the nine months ended September 30, 2024 and 2023, respectively.

(2) Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.

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

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

(5) Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest income excludes the impact of ASC 210-20-45.

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

(7) Interest expense on Trading account liabilities of Services, Markets and Banking is reported as a reduction of Interest income. Interest income and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(8) Net of unearned income. Includes cash-basis loans.

(9) Includes assets from businesses held-for-sale (see Note 2) and Brokerage receivables.

Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Income(1)(2)(3)

Taxable Equivalent Basis

(1) Interest income and Net interest income include TEGU discussed in the table above.

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

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

(4) Consists of other time deposits and savings deposits. Savings deposits are composed of insured money market accounts and other savings deposits.

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

(6) Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of ASC 210-20-45.

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

(8) Interest expense on Trading account liabilities of Services, Markets and Banking is reported as a reduction of Interest income. Interest income and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(9) Includes Brokerage payables.

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

(11) Includes non-interest-bearing deposits in both the U.S. and outside of the U.S.

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

MARKET RISK OF TRADING PORTFOLIOS

Value at Risk (VAR)

Citi believes its VAR model is conservatively calibrated to incorporate fat-tail scaling and the greater of short-term (approximately the most recent month) and long-term (18 months for commodities and three years for others) market volatility. As of September 30, 2024, Citi estimates that the conservative features of the VAR calibration contribute an approximate 22% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets. As of June 30, 2024, the add-on was 23%.

As presented in the table below, Citi’s average trading VAR for the third quarter of 2024 decreased 5% from the second quarter of 2024, primarily due to inventory changes in the Markets businesses.

Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR

(1) Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each risk type. The benefit reflects the fact that the risks within individual and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.

(2) The total trading VAR includes mark-to-market and certain fair value option trading positions with the exception of hedges of the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.

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

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

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

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

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

Regulatory VAR Back-Testing

In accordance with Basel III, Citi is required to perform back-testing to evaluate the effectiveness of its Regulatory VAR model. Regulatory VAR back-testing is the process in which the daily one-day VAR, at a 99% confidence interval, is compared to the buy-and-hold profit and loss (i.e., the profit and loss impact if the portfolio is held constant at the end of the day and re-priced the following day). Buy-and-hold profit and loss represents the daily mark-to-market profit and loss attributable to price movements in covered positions from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, fees and commissions, intra-day trading profit and loss and changes in reserves.

Based on a 99% confidence level, Citi would expect two to three days in any one year where buy-and-hold losses exceed the Regulatory VAR. Given the conservative calibration of Citi’s VAR model (as a result of taking the greater of short- and long-term volatilities and fat-tail scaling of volatilities), Citi would expect fewer exceptions under normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.

As of September 30, 2024, there was one back-testing exception observed for Citi’s Regulatory VAR in the last 12 months.

OTHER RISKS

For additional information regarding other risks, including Citi’s management of other risks, see “Managing Global Risk—Other Risks” in Citi’s 2023 Form 10-K.

Country Risk

Top 25 Country Exposures

The following table presents Citi’s top 25 exposures by country (excluding the U.S.) as of September 30, 2024. (Including the U.S., Citi’s top 25 exposures by country would represent approximately 98% of Citi’s exposure to all countries as of September 30, 2024.)

For purposes of the table, loan amounts are reflected in the country where the loan is booked, which is generally based on the domicile of the borrower. For example, a loan to a Chinese subsidiary of a Switzerland-based corporation will generally be categorized as a loan in China. In addition, Citi has developed regional booking centers in certain countries, most significantly in the United Kingdom (U.K.) and Ireland,

in order to more efficiently serve its corporate customers. As an example, in the case of the U.K., only 41% of corporate loans presented in the table below are to U.K. domiciled counterparties (45% for unfunded commitments), while the majority of the remaining loans are to counterparties domiciled in other European countries. Approximately 91% of the total U.K. funded loans and 87% of the total U.K. unfunded commitments were investment grade as of September 30, 2024.

Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.

(1) Wealth loans reflect funded loans, including those related to the Private Bank, net of unearned income. As of September 30, 2024, Private Bank loans in the table above totaled $19.3 billion, concentrated in Hong Kong ($5.3 billion), Singapore ($5.2 billion) and the U.K. ($4.4 billion).

(2) Other funded includes Legacy Franchises and other direct exposures such as accounts receivable, loans HFS, other loans in Corporate/Other and investments accounted for under the equity method.

(3) Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.

(4) Net mark-to-market (MTM) counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are net of collateral and inclusive of CVA. Also includes margin loans.

(5) Investment securities include debt securities AFS, recorded at fair market value, and debt securities HTM, recorded at amortized cost.

(6) Trading account assets are on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country.

(7) As of September 30, 2023, $0.5 billion of All Other—Legacy Franchises loans were reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in Indonesia. There were no such balances to report as of September 30, 2024 or June 30, 2024. See “All Other—Legacy Franchises” above and Note 2.

Russia

Overview

In Russia, Citi’s remaining operations are conducted through Services, Markets, Banking and All Other—Legacy Franchises. Citi continues to monitor the war in Ukraine, related sanctions and economic conditions and continues to mitigate its Russia exposures and risks as appropriate.

Citi previously ended nearly all of the institutional banking services it offered in Russia and ceased soliciting any new business or new clients in the country, with the remaining services only those necessary to fulfill its remaining legal and regulatory obligations, as well as support its employees. In addition, Citi significantly reduced its All Other—Legacy Franchises consumer loan portfolio in Russia (reported as part of Asia Consumer), largely due to loan portfolio sales and its entry into a credit card referral agreement with a Russian bank. For additional information, see “Citi’s Wind-Down of Its Russia Operations” below.

For additional information about Citi’s risks related to its Russia exposures, see “Risk Factors—Market-Related Risks,” “—Operational Risks” and “—Other Risks” in Citi’s 2023 Form 10-K.

Impact of the Russia–Ukraine War on Citi’s Businesses

Russia-related Balance Sheet Exposures

Citi’s remaining domestic operations in Russia are conducted through a subsidiary of Citibank, AO Citibank, which uses the Russian ruble as its functional currency.

The following table summarizes Citi’s exposures related to its Russia operations:

(1) Investment securities include debt securities AFS, recorded at fair market value, primarily local government debt securities.

(2) Unfunded exposure consists of unfunded corporate lending commitments, letters of credit and other contingencies.

(3) Cash on deposit and placements are primarily with the Central Bank of Russia. The increase at September 30, 2024 was due to Citi’s inability to enter into reverse repos, thus the cash inflows from dividends received from Russian corporations on behalf of Citi’s clients were placed with the Central Bank of Russia.

(4) Represents dividends received by Citi in its role as custodian for investor clients in Russia, which Citi is required by local regulation to hold at the Deposit Insurance Agency (DIA). Citi is unable to remit these funds to clients due to restrictions imposed by the Russian government. In accordance with a Central Bank of Russia regulatory requirement, all balances in the National Settlements Depository were transferred to the DIA in the second quarter of 2023.

(5) The majority of AO Citibank’s third-party exposures were funded with the dividends described in footnote 4 and domestic deposit liabilities from both corporate and personal banking clients.

(6) Citigroup’s CTA loss included in its AOCI related to its indirect subsidiary, AO Citibank, is excluded from the above table, because the CTA loss is not held in AO Citibank and would be recognized in Citigroup’s earnings only upon either the substantial liquidation or a loss of control of AO Citibank. Citi has separately described these risks in “Deconsolidation Risk” below.

During the third quarter of 2024, Citi’s Russia-related exposures increased by $0.9 billion, to $9.1 billion as presented in the table above. The increase in exposures was primarily driven by inflows from dividends received from Russian corporations on behalf of Citi’s clients, partially offset by depreciation of the Russian ruble. Approximately 82% of Citi’s $9.1 billion of total Russia-related exposures are corporate dividends that Citi cannot remit to its clients due to restrictions imposed by the Russian government, of which $5.8 billion is held with the Deposit Insurance Agency.

Citi’s net investment in Russia was approximately $0.2 billion as of September 30, 2024 (up from $0.1 billion at June 30, 2024). This increase in the net investment was due to an increase in interest income and custody revenue during the quarter, partially offset by the impact from a net ACL build on other assets, driven by increases in transfer risk for safety and soundness considerations under U.S. banking law. For more information on transfer risk reserves, see “Significant Accounting Policies and Significant Estimates—Citi’s Allowance for Credit Losses (ACL)” below.

Citi hedges its Russian ruble/U.S. dollar spot FX exposure in AOCI through the purchase of FX derivatives. The ongoing mark-to-market of the hedging derivatives is also reported in AOCI. When the Russian ruble depreciates against the U.S. dollar, the U.S. dollar equivalent value of Citigroup’s investment in AO Citibank also declines. This change in value is offset by the change in value of the hedging instrument (FX derivative). Going forward, Citi may record devaluations on its net ruble-denominated assets in earnings, without the benefit from a change in the fair value of derivative positions used to economically hedge the exposures.

Earnings and Other Impacts on Citi’s Businesses

Services, Markets, Banking and All Other—Legacy Franchises results have been impacted by various macroeconomic factors and volatilities, including the war in Ukraine and its direct and indirect impacts on the European and global economies. For a broader discussion of these factors and volatilities on Citi’s businesses, see “Executive Summary” and each applicable business’s results of operations above.

As of September 30, 2024, Citigroup’s ACL included a $0.1 billion remaining credit reserve for Citi’s direct Russian counterparties (largely unchanged from June 30, 2024). This balance does not include the additional reserves for transfer risk associated with exposures in Russia.

Citi’s Wind-Down of Its Russia Operations

In August 2022, Citi disclosed its decision to wind down its Russia consumer, local commercial and institutional banking businesses, including actively pursuing portfolio sales. In connection with this wind-down, Citi has incurred approximately $71 million to date in charges, largely from restructuring, vendor termination fees and other related charges. Citi expects to incur an additional approximate $42 million in estimated charges (approximately $1 million in Banking and $41 million in All Other, excluding the impact from any portfolio sales). For additional information about Citi’s continued efforts to reduce its operations and exposure in Russia, see Note 2 and “Risk Factors” and “Managing

Global Risk—Other Risks—Country Risk—Russia” in Citi’s 2023 Form 10-K.

Deconsolidation Risk

Citi’s remaining operations in Russia subject it to various risks, including, among others, foreign currency volatility, including appreciation or devaluation; restrictions arising from retaliatory Russian laws and regulations on the conduct of its business; sanctions or asset freezes; or other deconsolidation events (see “Risk Factors—Other Risks” in Citi’s 2023 Form 10-K). Examples of triggers that may result in deconsolidation of 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. As of September 30, 2024, Citi continued to consolidate AO Citibank because none of the deconsolidation factors were triggered.

In the event Citi deems there is a loss of control, for example, through expropriation of AO Citibank, Citi’s foreign entity in Russia, Citi would be required to (i) write off the net investment of approximately $0.2 billion (up from $0.1 billion at June 30, 2024), (ii) recognize a CTA loss of approximately $1.6 billion (unchanged from June 30, 2024) through earnings and (iii) recognize a loss of $0.7 billion (unchanged from June 30, 2024) on net intercompany liabilities owed by AO Citibank to other Citi entities outside 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 of approximately $1.6 billion through earnings and would evaluate its remaining net investment as circumstances evolve. The $1.6 billion CTA write-off through earnings under either event is expected to be largely equity neutral, since the reversal of the CTA loss out of AOCI would improve Citi’s total AOCI.

Citi as Paying Agent for Russia-related Clients

Citi serves or served as paying agent on bonds issued by various entities in Russia, including Russian corporate clients. Citi’s role as paying agent is administrative. In this role, Citi acts as an agent of its client, the bond issuer, receiving interest and principal payments from the bond issuer and then making payments to international central securities depositories (e.g., Depository Trust Company, Euroclear, Clearstream). The international central securities depositories (ICSDs) make payments to those participants or account holders (e.g., broker/dealers) that have clients who are investors in the applicable bonds (i.e., bondholders). As a paying agent, Citi generally does not have information about the identity of the bondholders. Citi may be exposed to risks due to its responsibilities for receiving and processing payments on behalf of its clients as a result of sanctions or other governmental requirements and prohibitions. To mitigate operational and sanctions risks, Citi has established policies, procedures and controls for client relationships and payment processing to help ensure compliance with U.S., U.K., EU and other jurisdictions’ sanctions laws.

These processes may require Citi to delay or withhold the processing of payments as a result of sanctions on the bond issuer. Citi is also prevented from making payments to accounts on behalf of bondholders should the ICSDs disclose to Citi the presence of sanctioned bondholders. In both instances, Citi is generally required to segregate, restrict or block the funds until applicable sanctions are lifted or the payments are otherwise authorized under applicable law.

Reputational Risks

Citi has continued its efforts to enhance and protect its reputation with its colleagues, clients, customers, investors, regulators and the public. Citi’s response to the war in Ukraine, including any action or inaction, may have a negative impact on Citi’s reputation with some or all of these parties.

For example, Citi is exposed to reputational risk as a result of its remaining presence in Russia and association with Russian individuals or entities, whether subject to sanctions or not, including Citi’s inability to support its global clients in Russia, which could adversely affect its broader client relationships and businesses; current involvement in transactions or supporting activities involving Russian assets or interests; failure to correctly interpret and apply laws and regulations, including those related to sanctions; perceived misalignment of Citi’s actions to its stated strategy in Russia; and the reputational impact from Citi’s activity and engagement with Ukraine or with non-Russian clients exiting their Russia businesses.

While Citi announced its intention to wind down its businesses in Russia, Citi will continue to manage those operations during the wind-down process and will be required to maintain certain limited operations to fulfill its remaining legal and regulatory obligations. Also, sanctions and sanctions compliance are highly complex and may change over time and result in increased operational risk. Failure to fully comply with relevant sanctions or the application of sanctions where they should not be applied may negatively impact Citi’s reputation. In addition, Citi currently performs services for, conducts business with or deals in non-sanctioned Russian-owned businesses and Russian assets. This has attracted, and will likely continue to attract, negative attention, despite the previously disclosed plan to wind down nearly all its activities in the country, cessation of new business and client originations, and reduction of other exposures.

Citi’s continued presence or divestiture of businesses in Russia could also increase its susceptibility to cyberattacks that could negatively impact its relationships with clients and customers, harm its reputation, increase its compliance costs and adversely affect its business operations and results of operations. For additional information on operational and cyber risks, see “Risk Factors—Operational Risks” in Citi’s 2023 Form 10-K.

Board of Directors’ Role in Overseeing Related Risks

The Citigroup Board of Directors (Board) and the Board’s Risk Management Committee (RMC) and its other Committees receive regular reports from senior management regarding global geopolitical, macroeconomic and reputational impacts to Citi (including the war in Ukraine and its impact on Citi’s operations in Russia and Ukraine). The reports to the Board and its Committees from senior management who represent the impacted businesses and the international cluster, Independent Risk Management, Finance, Independent Compliance Risk Management, including those individuals responsible for sanctions compliance, and Human Resources, have included detailed information regarding financial impacts, impacts on capital, cybersecurity, strategic considerations, sanctions compliance, employee assistance and reputational risks, enabling the Board and its Committees to properly exercise their oversight responsibilities. In addition, senior management has provided updates to Citi’s Executive Management Team and the Board, outside of formal meetings, regarding cybersecurity matters (including Russia-specific risks).

Ukraine

Citi has continued to operate in Ukraine throughout the war through its Services, Markets and Banking businesses, serving the local subsidiaries of multinationals, along with local financial institutions and the public sector. Citi employs approximately 215 people in Ukraine and their safety is Citi’s top priority. All of Citi’s domestic operations in Ukraine are conducted through a subsidiary of Citibank, which uses the Ukrainian hryvnia as its functional currency. As of September 30, 2024, Citi had $1.5 billion of direct exposures related to Ukraine (unchanged from June 30, 2024).

Argentina

Citi operates in Argentina through its Services, Markets and Banking businesses. As of September 30, 2024, Citi’s net investment in its Argentine operations was approximately $1.3 billion (compared to $1.4 billion at June 30, 2024). Citi uses the U.S. dollar (USD) as the functional currency for its operations in countries such as Argentina that are deemed highly inflationary in accordance with GAAP. Citi therefore records the impact of exchange rate fluctuations on its net Argentine peso (ARS)–denominated assets directly in earnings. Citi uses Argentina’s official market exchange rate to remeasure its net ARS-denominated assets into USD. As of September 30, 2024, the official ARS exchange rate was 971, which devalued by 6.5% against the USD during the third quarter of 2024.

The decrease in Citi’s net investment in Argentina during the quarter was primarily driven by capital repatriations from the onshore net investment, which were authorized by the Central Bank of Argentina (BCRA) on a one-time basis in April 2024 through the purchase of certain USD-denominated bonds (BOPREALs) issued by the BCRA in a primary auction, and subsequent sales of the bonds in the secondary market and remittances of the bond proceeds to the parent entity outside Argentina. During the third quarter, Citi remitted approximately $247 million in dividends from its net investment in Argentina, thereby reducing future FX devaluation risk. In total, $435 million of dividends were remitted in 2024 due to the sale proceeds of the BOPREALs.

In addition to the capital repatriation, Citi’s net investment in Argentina was also impacted by earnings from Citi’s normal onshore operations and interest income earned on the net investment, partially offset by FX translation losses on the net investment.

Other than the authorized dividend remittance described above, the BCRA continues to maintain certain capital and currency controls that generally restrict Citi’s ability to access USD in Argentina and remit earnings from its Argentine operations. The capital and currency controls have resulted in indirect foreign exchange mechanisms that some Argentine entities may use to obtain USD, generally at rates that are significantly higher than Argentina’s official exchange rate. Citibank Argentina is generally precluded from accessing these alternative mechanisms, and under U.S. GAAP, these exchange mechanisms cannot be used to re-measure Citi’s net monetary assets into USD. If Argentina’s official exchange rate further converges with the approximate rate implied by the indirect foreign exchange mechanisms, Citi could incur additional translation losses on its net investment in Argentina. Accordingly, Citi seeks to reduce its overall ARS exposure in Argentina while complying with local capital and currency exposure limitations.

Of the $1.3 billion net investment in Argentina as of September 30, 2024, Citi’s net ARS exposure was approximately $0.9 billion (compared to $0.8 billion as of June 30, 2024). The net ARS exposure was reduced as of the end of the quarter as a result of Citi holding approximately $200 million of USD-denominated loans as well as approximately $200 million of certain local government bonds that are USD denominated. If Citi had not invested in such instruments to reduce its ARS exposure, Citi would have recognized additional translation losses during the third quarter of 2024. Given current economic conditions and the local capital, currency and regulatory limitations, Citi cannot guarantee the availability or effectiveness of such mechanisms to reduce its ARS exposure in the future.

In addition to reducing the ARS exposure, Citi also seeks to economically hedge the exposure to the extent possible and prudent using non-deliverable forward (NDF) derivative instruments that are primarily executed outside of Argentina. As of September 30, 2024, Citi hedged approximately $0.3 billion of its ARS exposure through offshore hedges, including NDF derivative instruments. Citi was unable to hedge its remaining ARS exposure, given the illiquidity of the offshore NDF market. To the extent that Citi is unable to execute or renew NDF contracts in the future, Citi would record devaluations on its net ARS-denominated assets in earnings, without any benefit from a change in the fair value of such derivative positions used to economically hedge the exposure. Citi cannot predict the availability of hedging instruments in the future nor can it predict changes in foreign exchange rates and the resulting impact on earnings.

Citi continually evaluates its economic exposure to its Argentine counterparties and reserves for changes in credit risk and records mark-to-market adjustments for relevant market risks associated with its Argentine assets. Citi believes it has established an appropriate ACL on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for credit and sovereign risks under U.S. GAAP as of September 30, 2024. For additional information on Citi’s emerging markets risks, including those related to its Argentine exposures, see “Risk Factors—Strategic Risks” in Citi’s 2023 Form 10-K.

SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES

This section contains a summary of Citi’s most significant accounting policies. Note 1 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K contains a summary of all of Citigroup’s significant accounting policies. These policies, as well as estimates made by management, are integral to the presentation of Citi’s results of operations and financial condition. While all of these policies require a certain level of management judgment and estimates, this section highlights and discusses the significant accounting policies that require management to make highly difficult, complex or subjective judgments and estimates at times regarding matters that are inherently uncertain and susceptible to change (see also “Risk Factors—Operational Risks” in Citi’s 2023 Form 10-K). Management has discussed each of these significant accounting policies, the related estimates and its judgments with the Audit Committee of the Citigroup Board of Directors.

Valuations of Financial Instruments

Citigroup holds debt and equity securities, derivatives, retained interests in securitizations, investments in private equity and other financial instruments. A portion of these assets and liabilities is reflected at fair value on Citi’s Consolidated Balance Sheet as Trading account assets, Available-for-sale securities and Trading account liabilities.

Citi purchases securities under agreements to resell (reverse repos or resale agreements) and sells securities under agreements to repurchase (repos), a substantial portion of which is carried at fair value. In addition, certain loans, short-term borrowings, long-term debt and deposits, as well as certain securities borrowed and loaned positions that are collateralized with cash, are carried at fair value. Citigroup holds its investments, trading assets and liabilities, and resale and repurchase agreements on Citi’s Consolidated Balance Sheet to meet customer needs and to manage liquidity needs, interest rate risks and private equity investing.

When available, Citi generally uses quoted market prices to determine fair value and classifies such items within Level 1 of the fair value hierarchy established under ASC 820-10, Fair Value Measurement. If quoted market prices are not available, fair value is based on internally developed valuation models that use, where possible, current market-based or independently sourced market parameters, such as interest rates, currency rates and option volatilities. Such models are often based on a discounted cash flow analysis. In addition, items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified under the fair value hierarchy as Level 3 even though there may be some significant inputs that are readily observable.

Citi is required to exercise subjective judgments relating to the applicability and functionality of internal valuation models, the significance of inputs or drivers to the valuation of an instrument and the degree of illiquidity and subsequent lack of observability in certain markets. The fair value of these instruments is reported on Citi’s Consolidated Balance Sheet with the changes in fair value recognized in either the Consolidated Statement of Income or in AOCI.

Losses on available-for-sale securities whose fair values are less than the amortized cost, where Citi intends to sell the security or could more-likely-than-not be required to sell the security prior to recovery, are recognized in earnings. Where Citi does not intend to sell the security nor could more-likely-than-not be required to sell the security, any portion of the loss that is attributable to credit is recognized as an allowance for credit losses with a corresponding provision for credit losses, and the remainder of the loss is recognized in AOCI. Such credit losses are capped at the difference between the fair value and amortized cost of the security.

For equity securities carried at cost or under the measurement alternative, decreases in fair value below the carrying value are recognized as impairment in the Consolidated Statement of Income. Moreover, for certain equity method investments, decreases in fair value are only recognized in earnings in the Consolidated Statement of Income if such decreases are judged to be an other-than-temporary impairment (OTTI). Assessing if the fair value impairment is temporary is also inherently judgmental.

The fair value of financial instruments incorporates the effects of Citi’s own credit risk and the market view of counterparty credit risk, the quantification of which is also complex and judgmental. For additional information on Citi’s fair value analysis, see Notes 6, 23 and 24 in this Form 10-Q and Note 1 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

Citi’s Allowance for Credit Losses (ACL)

The table below presents Citi’s allowance for credit losses on loans (ACLL) and total ACL as of the third quarter of 2024. For information on the drivers of Citi’s ACL net build in the third quarter of 2024, see below. For additional information on Citi’s accounting policy on accounting for credit losses under ASC Topic 326, Financial Instruments—Credit Losses; Current Expected Credit Losses (CECL), see Note 1 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

(1) All Other (managed basis) excludes divestiture-related impacts (Reconciling Items) related to (i) Citi’s divestitures of its Asia Consumer businesses and (ii) the planned IPO of Mexico Consumer/SBMM within Legacy Franchises. The Reconciling Items are fully reflected in the various line items in Citi’s Consolidated Statement of Income. These items in the table above represent the 2024 quarterly ACL builds (releases) only. See “All Other—Divestiture-Related Impacts (Reconciling Items)” above.

(2) Includes Legacy Franchises corporate loans activity related to Mexico SBMM and the Assets Finance Group (AFG) (AFG was previously reported in Markets; all periods have been reclassified to reflect this move into Legacy Franchises), as well as other Legacy Holdings Assets corporate loans.

(3) As of September 30, 2024, in USPB, Branded Cards ACLL/EOP loans was 6.5% and Retail Services ACLL/EOP loans was 11.7%.

(4) The September 30, 2024 ACLL balance includes approximately $23 million related to an acquired portfolio, which is also reflected in the FX/Other column in this table.

(5) Includes ACL on Other assets and Held-to-maturity debt securities. The ACL on Other assets includes ACL related to transfer risk associated with exposures outside the U.S. for safety and soundness considerations under U.S. banking law.

Citi’s reserves for expected credit losses on funded loans and for unfunded lending commitments, standby letters of credit and financial guarantees are reflected on the Consolidated Balance Sheet in the Allowance for credit losses on loans (ACLL) and Other liabilities (for Allowance for credit losses on unfunded lending commitments (ACLUC)), respectively. In addition, Citi’s reserves for expected credit losses on other financial assets carried at amortized cost, including held-to-maturity securities, reverse repurchase agreements, securities borrowed, deposits with banks and other financial receivables are reflected in Other assets. These reserves, together with the ACLL and ACLUC, are referred to as the ACL. Changes in the ACL are reflected as Provision for credit losses in the Consolidated Statement of Income for each reporting period. Citi’s ability to estimate expected credit losses over the reasonable and supportable (R&S) period is based on the ability to forecast economic activity over a R&S timeframe. The R&S forecast period for all loans is eight quarters.

The ACL is composed of quantitative and qualitative management adjustment components. The quantitative component uses three forward-looking macroeconomic forecast scenarios—base, upside and downside. The qualitative management adjustment component reflects risks and certain economic conditions not fully captured in the quantitative component. Both the quantitative and qualitative components are further discussed below.

Quantitative Component

Citi estimates expected credit losses for its quantitative component using (i) its comprehensive internal data on loss and default history, (ii) internal credit risk ratings, (iii) external credit bureau and rating agencies information and (iv) R&S forecasts of macroeconomic conditions.

For its consumer and corporate portfolios, Citi’s expected credit losses are determined primarily by utilizing models that consider the borrowers’ probability of default (PD), loss given default (LGD) and exposure at default (EAD). The loss likelihood and severity models used for estimating expected credit losses are sensitive to changes in macroeconomic variables, including housing prices, unemployment rate and real GDP, and cover a wide range of geographic, industry, product and business segments.

In addition, Citi’s models determine expected credit losses based on leading credit indicators, including loan delinquencies, changes in portfolio size, default frequency, risk ratings and loss recovery rates, as well as other credit trends.

Qualitative Component

The qualitative management adjustment component includes risks that are not fully captured in the quantitative component. These may include but are not limited to portfolio characteristics, idiosyncratic events, factors not within historical loss data or the economic forecast, uncertainty in the credit environment and other factors as required by banking supervisory guidance for the ACL. The primary examples of these are the following:

• Transfer risk associated with exposures outside the U.S. for certain safety and soundness considerations under U.S. banking law
• Potential impacts on vulnerable industries and regions due to emerging macroeconomic risks and uncertainties, including those related to potential global recession, inflation, interest rates, commodity prices and geopolitical tensions
• Risk associated with consumer payment behavior given the elevated inflationary and interest rate environment

As of the third quarter of 2024, Citi’s qualitative component of the ACL increased quarter-over-quarter. The increase was driven by factors such as increases in transfer risk associated with exposures outside the U.S. for safety and soundness considerations under U.S. banking law and macroeconomic uncertainties, partially offset by a reduction in qualitative reserves associated with consumer payment behavior related to the elevated inflationary and interest rate environment.

Macroeconomic Variables

As further discussed below, Citi considers a multitude of global macroeconomic variables for the base, upside and downside probability-weighted macroeconomic scenario forecasts it uses to estimate the quantitative component of the ACL. Citi’s forecasts of the U.S. unemployment rate and U.S. real GDP growth rate represent the key macroeconomic variables that most significantly affect its estimate of the ACL.

The tables below present Citi’s forecasted quarterly average U.S. unemployment rate and year-over-year U.S. real GDP growth rate used in determining the base macroeconomic forecast for Citi’s ACL for each quarterly reporting period from the third quarter of 2023 to the third quarter of 2024:

(1) Represents the average unemployment rate for the rolling, forward-looking eight quarters in the forecast horizon.

(1) The year-over-year growth rate is the percentage change in the real (inflation adjusted) GDP level.

Under the base macroeconomic forecast as of the third quarter of 2024, U.S. real GDP growth is expected to slow during 2025, while the unemployment rate increases gradually into the first half of 2025 before gradually declining into 2026.

Scenario Weighting

Citi’s ACL is estimated using three probability-weighted macroeconomic scenarios—base, upside and downside. The macroeconomic scenario weights are estimated using a statistical model, which, among other factors, takes into consideration key macroeconomic drivers of the ACL, severity of the scenario and other macroeconomic uncertainties and risks. Citi evaluates scenario weights on a quarterly basis.

Citi’s downside scenario incorporates more adverse macroeconomic assumptions than the base scenario. For example, compared to the base scenario, Citi’s downside scenario reflects a recession, including an elevated average U.S. unemployment rate of 6.8% over the eight-quarter R&S period, with a peak difference of 3.6% in the first quarter of 2026. The downside scenario also reflects a year-over-year U.S. real GDP contraction in 2025 of 2.2%, with a peak quarter-over-quarter difference to the base scenario of 1.2%.

Citi’s ACL is sensitive to the various macroeconomic scenarios that drive the quantitative component of expected credit losses, due to changes in the length and severity of forecasted economic variables or events in the respective scenarios. Citi’s downside scenario incorporates more adverse macroeconomic assumptions than the weighted scenario assumptions. To demonstrate this sensitivity, if Citi applied 100% weight to the downside scenario as of September 30, 2024 to reflect the most severe economic deterioration forecast in the macroeconomic scenarios, there would have been a hypothetical incremental increase in the ACL of approximately $5.3 billion related to lending exposures, except for loans individually evaluated for credit losses and other financial assets carried at amortized cost.

This analysis does not incorporate any impacts or changes to the qualitative component of the ACL. These factors could change the outcome of the sensitivity analysis based on historical experience and current conditions at the time of the assessment. Given the uncertainty inherent in macroeconomic forecasting, Citi continues to believe that its ACL estimate based on a three probability-weighted macroeconomic scenario approach combined with the qualitative component remains appropriate as of September 30, 2024.

3Q24 Changes in the ACL

As further discussed below, Citi’s ending ACL balance for the third quarter of 2024 was $22.1 billion, a slight increase from June 30, 2024. The net build of $0.5 billion in the quarter was primarily driven by changes in portfolio composition in Banking and Markets, an increase in transfer risk associated with unremittable corporate dividends in Services and loan growth in USPB. Citi believes its analysis of the ACL reflects the forward view of the economic environment as of September 30, 2024. See Note 15 for additional information.

Consumer Allowance for Credit Losses on Loans

Citi’s consumer ACLL is largely driven by U.S. cards (Branded Cards and Retail Services) in USPB. Citi’s total consumer ACLL build was $0.1 billion in the third quarter of 2024, as a result of higher loan balances. This resulted in a September 30, 2024 ACLL balance of $15.8 billion, or 4.05% of total funded consumer loans.

For U.S. cards, the level of reserves relative to total funded loans increased slightly to 8.15% at September 30, 2024, compared to 8.14% at June 30, 2024. For the remaining consumer exposures, the level of reserves relative to total funded loans was 1.08% at September 30, 2024, compared to 1.09% at June 30, 2024.

Corporate Allowance for Credit Losses on Loans

Citi had a corporate ACLL build of $0.1 billion in the third quarter of 2024, largely driven by changes in portfolio composition in Banking and Markets. This resulted in a September 30, 2024 ACLL balance of $2.6 billion, or 0.89% of total funded corporate loans.

ACLUC

Citi had an ACLUC build of $0.1 billion in the third quarter of 2024, largely driven by changes in portfolio composition in Banking and Markets. The ACLUC reserve balance, included in Other liabilities, was $1.7 billion at September 30, 2024.

ACL on Other Financial Assets

Citi had an ACL build of $0.2 billion on other financial assets carried at amortized cost for the third quarter of 2024, primarily due to an increase in transfer risk associated with unremittable corporate dividends outside the U.S. being held on behalf of clients, driven by safety and soundness considerations under U.S. banking law. Including FX/Other, the ACL reserve balance of $2.0 billion remained unchanged from June 30, 2024. See Note 15 for additional information.

Regulatory Capital Impact

Citi elected the modified CECL transition provision for regulatory capital purposes provided by the U.S. banking agencies’ final rule. Accordingly, the Day One regulatory capital effects resulting from the adoption of CECL, 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.

See Notes 1 and 15 for a further description of the ACL and related accounts.

Goodwill

Citi tests for goodwill impairment annually as of October 1 (the annual test) and conducts interim assessments between annual tests if an event occurs or circumstances change that would more-likely-than-not reduce the fair value of a reporting unit below its carrying amount. These events or circumstances include, among other things, a significant adverse change in the business climate, a decision to sell or dispose of all or a significant portion of a reporting unit or a sustained decrease in Citi’s stock price.

The impairment tests performed in the fourth quarter of 2023 resulted in the fair values of Citi’s reporting units exceeding their carrying values for all reporting units. Additionally, the tests results showed that the fair value of the Mexico Consumer/SBMM reporting unit as a percentage of its carrying value was 106%, with the carrying value including approximately $1.1 billion of goodwill. For each of the remaining reporting units, fair value exceeded carrying value by at least 10%.

While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations of the reporting units, the economic and business environments continue to evolve as Citi’s management executes on its transformation and strategy. If management’s future estimates of key economic and market assumptions were to differ from its current assumptions, Citi could potentially experience material goodwill impairment charges in the future. See Note 16 for a further discussion of goodwill.

Litigation Accruals

See the discussion in Note 27 for Citi’s policies on establishing accruals for litigation and regulatory contingencies.

INCOME TAXES

Effective Tax Rate

Citi’s effective tax rate was 25% in the third quarter of 2024 and in the third quarter of 2023, with the rates for all periods including the impact of divestitures.

Deferred Tax Assets

For additional information on Citi’s deferred tax assets (DTAs), see “Capital Resources,” “Risk Factors—Strategic Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and Notes 1 and 10 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

The table below summarizes Citi’s net DTAs balance:

At September 30, 2024, Citigroup had recorded net DTAs of approximately $30.0 billion, a decrease of $0.2 billion from June 30, 2024 and an increase of $0.4 billion from December 31, 2023. The decrease quarter-over-quarter was primarily from unrealized gains in Other comprehensive income and the year-to-date increase was primarily a result of Citi’s geographic mix of earnings. Of Citi’s $30.0 billion of net DTAs, $12.8 billion (compared to $13.6 billion at June 30, 2024) was deducted in calculating Citi’s regulatory capital, and the remaining $17.2 billion was appropriately risk weighted under the Basel III rules.

The $12.8 billion of DTAs deducted from regulatory capital was composed of $11.3 billion related to tax carry-forwards, with $3.1 billion of temporary differences in excess of the 10%/15% regulatory limitations, reduced by $1.6 billion of deferred tax liabilities, primarily associated with goodwill and certain other intangible assets that were separately deducted from capital.

DTA Realizability

Citi believes that realization of the net DTAs of $30.0 billion at September 30, 2024 is more-likely-than-not, based on management’s expectations of future taxable income generation in the jurisdictions in which the DTAs arise, as well as consideration of available tax planning strategies (as defined in ASC Topic 740, Income Taxes).

DISCLOSURE CONTROLS AND PROCEDURES

Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.

Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.

Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of September 30, 2024. Based on that evaluation, the CEO and CFO have concluded that at that date Citigroup’s disclosure controls and procedures were effective.

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

Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act of 2012 (Section 219), which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with certain individuals or entities that are the subject of sanctions under U.S. law. Disclosure may be required even where the activities, transactions or dealings were conducted in compliance with applicable law. To the extent that transactions or dealings for its clients are permitted by U.S. law, Citi may continue to engage in such activities.

Citi, in its First Quarter of 2024 Form 10-Q, identified one transaction pursuant to Section 219, and Citi, in its Second Quarter of 2024 Form 10-Q, identified 27 transactions pursuant to Section 219. Citi did not identify any reportable activities pursuant to Section 219 during the third quarter of 2024.

FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS

CONSOLIDATED FINANCIAL STATEMENTS

CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) Citigroup Inc. and Subsidiaries

(1) In accordance with ASC 326, which requires the provision for credit losses on AFS debt securities to be included in revenue. The Total provisions for credit losses and for benefits and claims excludes the provision for credit losses on AFS debt securities, which is disclosed separately above.

(2) Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.

The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME Citigroup Inc. and Subsidiaries

(UNAUDITED)

The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries

Statement continues on the next page.

CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries

(Continued)

The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY Citigroup Inc. and Subsidiaries

(UNAUDITED)

(1) See “Accounting Changes” in Note 1 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

(2) Common dividends declared were $0.56 for 3Q24, $0.53 per share for both 1Q24 and 2Q24, $0.53 for 3Q23 and $0.51 per share for both 1Q23 and 2Q23.

(3) Includes treasury stock related to certain activity under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy employees’ tax requirements.

(4) Primarily consists of open market purchases under Citi’s Board of Directors–approved common stock repurchase program.

(5) See Note 1 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

(UNAUDITED)

(1) See Note 2.

(2) Includes balances related to the FDIC special assessment and restructuring charges (see Note 9).

(3) Includes net cash paid (received) for purchases and sales of nonrefundable, transferable tax credits.

(4) In January 2023, Citi adopted ASU 2022-01. Upon adoption, Citi transferred $3.3 billion of mortgage-backed securities from HTM classification to AFS classification as allowed under the ASU. At the time of transfer, the securities were in an unrealized gain position of $0.1 billion, which was recorded in AOCI upon transfer.

(5) Operating and finance lease right-of-use assets and lease liabilities represent non-cash investing and financing activities, respectively, and are not included in the non-cash investing activities presented here. See Note 26 for more information and balances as of September 30, 2024.

The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION, UPDATED ACCOUNTING POLICIES AND ACCOUNTING CHANGES

Basis of Presentation

The accompanying unaudited Consolidated Financial Statements as of September 30, 2024 and for the three and nine months ended September 30, 2024 and 2023 include the accounts of Citigroup Inc. and its consolidated subsidiaries.

In the opinion of management, all adjustments, consisting of normal recurring adjustments, necessary for a fair presentation have been reflected. The accompanying unaudited Consolidated Financial Statements should be read in conjunction with the Consolidated Financial Statements and related notes included within Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2023 (2023 Form 10-K), Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2024 (First Quarter of 2024 Form 10-Q) and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2024 (Second Quarter of 2024 Form 10-Q).

Certain financial information that is normally included in annual financial statements prepared in accordance with U.S. generally accepted accounting principles (GAAP), but is not required for interim reporting purposes, has been condensed or omitted.

Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. While management uses its best judgment, actual results could differ from those estimates.

As noted above, the Notes to these Consolidated Financial Statements are unaudited.

Throughout these Notes, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.

Certain reclassifications and updates have been made to the prior periods’ financial statements and notes to conform to the current period’s presentation.

Cash equivalents are defined as those amounts included in Cash and due from banks and predominately all of Deposits with banks. Cash flows from risk management activities are classified in the same category as the related assets and liabilities. Amounts included in Cash and due from banks and Deposits with banks approximate fair value.

ACCOUNTING CHANGES

Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions

In June 2022, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2022-03, Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions. The ASU was issued to address diversity in practice whereby certain entities included the impact of contractual restrictions when valuing equity securities, and it clarifies that a contractual restriction on the sale of an equity security should not be considered part of the unit of account of the equity security and, therefore, should not be considered in measuring fair value. The ASU also includes requirements for entities to disclose the fair value of equity securities subject to contractual sale restrictions, the nature and remaining duration of the restrictions and the circumstances that could cause a lapse in the restrictions.

Citi adopted the ASU on January 1, 2024, which did not impact the financial statements of the Company.

Accounting for Investments in Tax Credit Structures

In March 2023, the FASB issued ASU No. 2023‐02, Investments—Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Tax Credit Structures Using the Proportional Amortization Method. The ASU expanded the scope of tax equity investments eligible to apply the proportional amortization method of accounting. Under the proportional amortization method, the cost of an eligible investment is amortized in proportion to the income tax credits and other income tax benefits that are received by the investor, with the amortization of the investment and the income tax credits being presented net in the income statement as components of income tax expense (benefit). The ASU permits the Company to elect to use the proportional amortization method to account for an expanded range of eligible tax-incentivized investments if certain conditions are met. Citi adopted the ASU on January 1, 2024, which did not have a material impact to the financial statements of the Company.

See Note 1 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K for a discussion of 2023 accounting changes.

FUTURE ACCOUNTING CHANGES

Disaggregation of Income Statement Expenses

In November 2024, the FASB issued ASU No. 2024-03, Income Statement—Reporting Comprehensive Income—Expense Disaggregation Disclosures (Subtopic 220-40), to improve the disclosures of expenses by requiring public business entities to provide further disaggregation of relevant expense captions (i.e., employee compensation, depreciation, intangible asset amortization) in a separate note to the financial statements, a qualitative description of the amounts remaining in relevant expense captions that are not separately disaggregated quantitatively, and the total amount of selling expenses and, in an annual reporting period, an entity’s definition of selling expenses.

The ASU is required to be adopted on a retrospective or prospective basis and will be effective for Citi for its annual period ending December 31, 2027 and interim periods for the interim period beginning January 1, 2028. Citi is currently evaluating the impact on its disclosures.

Accounting for and Disclosure of Crypto Assets

In December 2023, the FASB issued ASU No. 2023-08, Intangibles—Goodwill and Other—Crypto Assets (Subtopic 350-60): Accounting for and Disclosure of Crypto Assets, intended to improve the accounting for certain crypto assets by requiring an entity to measure those assets at fair value each reporting period, with changes in fair value recognized in net income. The amendments also improve the information provided to investors about an entity’s crypto asset holdings by requiring disclosure about significant holdings, contractual sale restrictions and changes during the reporting period. The guidance is effective for fiscal years beginning after December 15, 2024, and interim periods within those fiscal years with early adoption permitted. Citi does not hold any crypto assets within the scope of the guidance.

Income Taxes (Topic 740): Improvements to Income Tax Disclosures

In December 2023, the FASB issued ASU No. 2023-09, Income Taxes (Topic 740): Improvements to Income Tax Disclosures, intended to enhance the transparency and decision usefulness of income tax disclosures. This guidance requires that public business entities disclose on an annual basis a tabular rate reconciliation in eight specific categories disaggregated by nature and for foreign tax effects by jurisdiction that meet a 5% of pretax income multiplied by the applicable statutory tax rate or greater threshold annually. The eight categories include state and local income taxes, net of federal income tax effect; foreign tax effects; enactment of new tax laws; enactment of new tax credits; effect of cross-border tax laws; valuation allowances; nontaxable items and nondeductible items; and changes in unrecognized tax benefits. Additional disclosures include qualitative description of the state and local jurisdictions that contribute to the majority (greater than 50%) of the effect of the state and local income tax category and explanation of the nature and effect of changes in individual reconciling items. The guidance also requires entities annually to disclose income taxes paid (net of refunds received) disaggregated by federal, state and foreign

taxes and by jurisdiction identified based on the same 5% quantitative threshold.

The standard is effective for fiscal years beginning after December 15, 2024. The transition method is prospective with the retrospective method permitted. Citi plans to adopt the ASU for the annual reporting period beginning on January 1, 2025, and is currently evaluating the impact on disclosures.

Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures

In November 2023, the FASB issued ASU No. 2023-07, Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures, intended to improve reportable segments disclosure requirements primarily through enhanced disclosures about significant segment expenses. The ASU includes a requirement to disclose significant segment expenses that are regularly provided to the chief operating decision maker (CODM) and included within each reported measure of segment profit or loss, the title and position of the CODM, an explanation of how the CODM uses the reported measure(s) of segment profit or loss in assessing segment performance and deciding how to allocate resources, and all segments’ profit or loss and assets disclosures currently required annually by Topic 280 along with those introduced by the ASU to be reported on an interim basis. The amendments also clarified that public entities are not precluded from reporting additional measures of a segment’s profit or loss that are regularly used by the CODM.

Citi plans to adopt the ASU on a retrospective basis for its annual period ending December 31, 2024 and for the interim period beginning January 1, 2025.

2. DISCONTINUED OPERATIONS, SIGNIFICANT DISPOSALS AND OTHER BUSINESS EXITS

Summary of Discontinued Operations

Citi’s results from Discontinued operations consisted of residual activities related to the sales of the Egg Banking plc credit card business in 2011 and the German retail banking business in 2008. All Discontinued operations results are recorded within All Other.

Citi’s Income (loss) from discontinued operations, net of taxes was $(1) million and $2 million for the three months ended September 30, 2024 and 2023, and $(2) million and $0 million for the nine months ended September 30, 2024 and 2023, respectively.

Cash flows from Discontinued operations were not material for the periods presented.

Significant Disposals

As of September 30, 2024, Citi had closed the sales of nine consumer banking businesses within All Other—Legacy Franchises: Australia closed in the second quarter of 2022, the Philippines closed in the third quarter of 2022, Bahrain, Malaysia and Thailand closed in the fourth quarter of 2022, India and Vietnam closed in the first quarter of 2023, Taiwan closed in the third quarter of 2023 and Indonesia closed in the fourth quarter of 2023. Of the nine sale agreements, the five included in the table below were identified as significant disposals. The gains and losses included in the footnotes to the table below represent life-to-date amounts, which are periodically updated due to post-closing purchase price adjustments. As of September 30, 2024, there were no remaining assets or liabilities included on Citi’s Consolidated Balance Sheet related to the significant disposals:

(1) On June 1, 2022, Citi completed the sale of its Australia consumer banking business, which was part of All Other—Legacy Franchises. The business had approximately $9.4 billion in assets, including $9.3 billion of loans (net of allowance of $140 million) and excluding goodwill. The total amount of liabilities was $7.3 billion, including $6.8 billion in deposits. The transaction generated a pretax loss on sale of approximately $768 million ($644 million after-tax), subject to closing adjustments, recorded in Other revenue. The loss on sale primarily reflected the impact of an approximate pretax $620 million CTA loss (net of hedges) ($470 million after-tax) already reflected in the AOCI component of equity. The sale closed on June 1, 2022, and the CTA-related balance was removed from AOCI, resulting in a neutral CTA impact to Citi’s CET1 Capital. The income before taxes in the above table for Australia reflects Citi’s ownership through June 1, 2022.

(2) On August 1, 2022, Citi completed the sale of its Philippines consumer banking business, which was part of All Other—Legacy Franchises. The business had approximately $1.8 billion in assets, including $1.2 billion of loans (net of allowance of $80 million) and excluding goodwill. The total amount of liabilities was $1.3 billion, including $1.2 billion in deposits. The sale resulted in a pretax gain on sale of approximately $618 million ($290 million after-tax), subject to closing adjustments, recorded in Other revenue. The income before taxes in the above table for the Philippines reflects Citi’s ownership through August 1, 2022.

(3) On November 1, 2022, Citi completed the sale of its Thailand consumer banking business, which was part of All Other—Legacy Franchises. The business had approximately $2.7 billion in assets, including $2.4 billion of loans (net of allowance of $67 million) and excluding goodwill. The total amount of liabilities was $1.0 billion, including $0.8 billion in deposits. The sale resulted in a pretax gain on sale of approximately $209 million ($115 million after-tax), subject to closing adjustments, recorded in Other revenue. The income before taxes in the above table for Thailand reflects Citi’s ownership through November 1, 2022.

(4) On March 1, 2023, Citi completed the sale of its India consumer banking business, which was part of All Other—Legacy Franchises. The business had approximately $5.2 billion in assets, including $3.4 billion of loans (net of allowance of $32 million) and excluding goodwill. The total amount of liabilities was $5.2 billion, including $5.1 billion in deposits. The sale resulted in a pretax gain on sale of approximately $1.0 billion ($718 million after-tax), subject to closing adjustments, recorded in Other revenue. The income before taxes in the above table for India reflects Citi’s ownership through March 1, 2023.

(5) On August 12, 2023, Citi completed the sale of its Taiwan consumer banking business, which was part of All Other—Legacy Franchises. The business had approximately $11.6 billion in assets, including $7.2 billion of loans (net of allowance of $92 million) and excluding goodwill. The total amount of liabilities was $9.2 billion, including $9.0 billion in deposits. The sale resulted in a pretax gain on sale of approximately $405 million ($286 million after-tax), subject to closing adjustments, recorded in Other revenue. The income before taxes in the above table for Taiwan reflects Citi’s ownership through August 12, 2023.

(6) Income before taxes for the period in which the individually significant component was classified as HFS for all prior periods presented. For Australia, excludes the pretax loss on sale. For the Philippines, Thailand, India and Taiwan, excludes the pretax gain on sale.

Citi did not have any other significant disposals as of September 30, 2024.

As of November 7, 2024, Citi had not entered into sale agreements for the remaining All Other—Legacy Franchises businesses to be sold, specifically the Poland consumer banking business and the Mexico Consumer/SBMM businesses.

For a description of the Company’s significant disposal transactions in prior periods and financial impact, see Note 2 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

Other Business Exits

Wind-Down of Korea Consumer Banking Business

On October 25, 2021, Citi disclosed its decision to wind down and close its Korea consumer banking business, which is reported in All Other—Legacy Franchises. In connection with the announcement, Citibank Korea Inc. (CKI) commenced a voluntary early termination program (Korea VERP). Due to the voluntary nature of this termination program, no liabilities for termination benefits are recorded until CKI makes formal offers to employees that are then irrevocably accepted by those employees, at which time related charges are recorded in Compensation and benefit expenses.

The following table summarizes the reserve charges related to the Korea VERP and other initiatives reported in All Other:

Note: There were no additional charges after June 30, 2022.

The total cash charges for the wind-down were $1.1 billion through 2022, most of which were recognized in 2021. Citi does not expect to record any additional charges in connection with the Korea VERP.

See Note 8 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K for details on the pension impact of the Korea wind-down.

Wind-Down of Russia Consumer and Institutional Banking Businesses

On August 25, 2022, Citi announced its decision to wind down its consumer banking and local commercial banking operations in Russia. As part of the wind-down, Citi is also actively pursuing sales of certain Russian consumer banking portfolios.

On October 14, 2022, Citi disclosed that it would end nearly all of the institutional banking services it offered in Russia by the end of the first quarter of 2023. Going forward, Citi’s only operations in Russia are those necessary to fulfill its remaining legal and regulatory obligations.

Portfolio Sales

• During the second quarter of 2023, Citi recorded an incremental gain of $5 million related to post-closing contingency payments for the previously disclosed personal installment loan sale in Other revenue. The previously disclosed sale of a portfolio of ruble-denominated personal installment loans resulted in a pretax net loss on sale of approximately $7 million.
• During the third and fourth quarters of 2023 and the first and second quarters of 2024, as part of the previously disclosed cards referral agreement with a Russian bank, approximately $55 million of credit card receivables were settled upon referral and refinanced.

Wind-Down Charges

The following tables provide details on Citi’s Russia wind-down charges:

(1) Recorded in Compensation and benefits.

(2) Recorded in Other operating expenses.

3. OPERATING SEGMENTS

The operating segments and reporting units reflect how the CEO, who is the chief operating decision maker (CODM), manages the Company, including allocating resources and measuring performance.

Citi is organized into five reportable operating segments: Services, Markets, Banking, U.S. Personal Banking (USPB) and Wealth, with the remaining operations recorded in All Other, which includes activities not assigned to a specific reportable operating segment, as well as discontinued operations. See operating segment details in Note 3 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

During the third quarter of 2024, Citi reallocated certain deposit balances from Markets to All Other, to consolidate funding strategies across the Company. This change had no material impact to operating results of Markets or All Other. Prior periods were not reclassified and Citi’s consolidated results remained unchanged for all periods presented.

During the second quarter of 2024, Citi realigned businesses engaged in financing and securitization activities within Banking and Markets, transferred the retail banking business in the U.K., which is being wound down, from Wealth to All Other and made other immaterial reclassifications to align with Citi’s transformation and strategy. These reclassifications did not materially change segment or All Other results, and prior periods were conformed to reflect these changes. Citi’s consolidated results remain unchanged for all periods presented.

Beginning in the first quarter of 2024, Citi reallocated certain customer balances between All Other—Legacy Franchises, Services, Markets and Banking in preparation for the IPO of the Mexico Consumer/SBMM operations, and made other immaterial reclassifications. These reallocations and reclassifications did not materially change segment or All Other results and prior periods were conformed to reflect these changes. Citi’s consolidated results remain unchanged for all periods presented.

Revenues and expenses directly associated with each respective business segment or component are included in determining respective operating results. Other revenues and expenses that are attributable to a particular business segment or component are generally allocated from All Other based on respective net revenues, non-interest expenses or other relevant measures.

Revenues and expenses from transactions with other operating segments or components are treated as transactions with external parties for purposes of segment disclosures, while funding charges paid by operating segments and funding credits received by Corporate Treasury within All Other are included in net interest income. The Company includes intersegment eliminations within All Other to reconcile the operating segment results to Citi’s consolidated results.

The accounting policies of these reportable operating segments are the same as those disclosed in Note 1 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

The following tables present certain information regarding the Company’s continuing operations by reportable operating segments and All Other on a managed basis that excludes divestiture-related impacts. Performance measurement is based on Income (loss) from continuing operations. These results are used by the CODM, both in evaluating the performance of, and in allocating resources to, each of the segments.

(1) Segment results are presented on a managed basis that excludes divestiture-related impacts related to (i) Citi’s divestitures of its Asia consumer banking businesses and (ii) the planned IPO of Mexico consumer banking and small business and middle-market banking within All Other—Legacy Franchises. Adjustments are included in Legacy Franchises within All Other and are reflected in the reconciliations above to arrive at Citi’s reported results in the Consolidated Statement of Income.

The following table presents a reconciliation of total Citigroup income from continuing operations as reported:

(1) The three months ended September 30, 2024 includes approximately $67 million in operating expenses (approximately $46 million after-tax), primarily related to separation costs in Mexico and severance costs in the Asia exit markets.

(2) The three months ended September 30, 2023 includes an approximate $403 million gain on sale recorded in revenue (approximately $284 million after various taxes) related to Citi’s sale of the Taiwan consumer banking business and approximately $114 million in operating expenses (approximately $78 million after-tax), primarily related to separation costs in Mexico and severance costs in the Asia exit markets. For additional information, see Citi’s Quarterly Report on Form 10-Q for the period ended September 30, 2023.

(3) The nine months ended September 30, 2024 includes approximately $262 million in operating expenses (approximately $181 million after-tax), primarily related to separation costs in Mexico and severance costs in the Asia exit markets.

(4) The nine months ended September 30, 2023 includes an approximate $1.059 billion gain on sale recorded in revenue (approximately $727 million after various taxes) related to Citi’s sale of the India consumer banking business and an approximate $403 million gain on sale recorded in revenue (approximately $284 million after various taxes) related to Citi’s sale of the Taiwan consumer banking business. In addition, the nine months ended September 30, 2023 includes approximately $266 million in operating expenses (approximately $188 million after-tax), primarily related to separation costs in Mexico and severance costs in the Asia exit markets. For additional information, see Citi’s Quarterly Report on Form 10-Q for the period ended September 30, 2023.

(5) Segment results are presented on a managed basis that excludes divestiture-related impacts related to (i) Citi’s divestitures of its Asia consumer banking businesses and (ii) the planned IPO of Mexico Consumer/SBMM within All Other—Legacy Franchises. Adjustments are included in Legacy Franchises within All Other and are reflected in the reconciliations above to arrive at Citi’s reported results in the Consolidated Statement of Income.

4. INTEREST INCOME AND EXPENSE

Interest income and Interest expense consisted of the following:

(1) Interest expense on Trading account liabilities of Services, Markets and Banking is reported as a reduction of Interest income. Interest income and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(2) Includes assets from businesses held-for-sale (see Note 2) and Brokerage receivables.

(3) Includes liabilities from businesses held-for-sale (see Note 2) and Brokerage payables.

5. COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES

Commissions and Fees

The primary components of Commissions and fees revenue are investment banking fees, brokerage commissions, credit card and bank card income, deposit-related fees and transactional service fees. See Note 3 for segment results and Note 5 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K for additional information on Citi’s commissions and fees.

The following table presents Commissions and fees revenue:

(1) Investment banking fees are earned primarily by Banking and Markets. For the periods presented, the contract liability amount was negligible.

(2) Brokerage commissions are earned primarily by Markets and Wealth. The Company recognized $43 million and $129 million of revenue related to variable consideration for the three and nine months ended September 30, 2024, respectively, and $44 million and $158 million for the three and nine months ended September 30, 2023, respectively. These amounts primarily relate to performance obligations satisfied in prior periods.

(3) Credit card and bank card income is earned primarily by USPB and Services.

(4) Deposit-related fees are earned primarily by Services.

(5) Transactional service fees are earned primarily by Services.

(6) Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.

(7) Insurance distribution revenue is earned primarily by Wealth and Legacy Franchises within All Other.

(8) Insurance premiums are earned primarily by Legacy Franchises within All Other.

(9) Commissions and fees include $(2,791) million and $(8,162) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three and nine months ended September 30, 2024, respectively, and $(2,897) million and $(8,497) million for the three and nine months ended September 30, 2023, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.

Administration and Other Fiduciary Fees

Administration and other fiduciary fees revenue is primarily composed of custody fees and fiduciary fees. See Note 3 for segment results and Note 5 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K for additional information on Citi’s administration and other fiduciary fees.

The following table presents Administration and other fiduciary fees revenue:

(1) Custody fees are earned primarily by Services.

(2) Fiduciary fees are earned primarily by Wealth and Legacy Franchises within All Other.

(3) Administration and other fiduciary fees include $136 million and $132 million for the three months ended September 30, 2024 and 2023, and $397 million and $408 million for the nine months ended September 30, 2024 and 2023, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These generally include guarantee fees.

6. PRINCIPAL TRANSACTIONS

Principal transactions revenue consists of realized and unrealized gains and losses from trading activities. Trading activities include revenues from fixed income, equities, credit and commodities products and foreign exchange transactions that are managed on a portfolio basis and characterized below based on the primary risk managed by each trading desk (as such, the trading desks can be periodically reorganized and thus the risk categories). Not included in the table below is the impact of net interest income related to trading activities, which is an integral part of the profitability of trading activities (see Note 4 for information about net interest income related to trading activities). Principal transactions include CVA (credit valuation adjustments) and FVA (funding valuation adjustments) on over-the-counter derivatives, and gains (losses) on certain economic hedges on loans in Services, Markets and Banking. These adjustments are discussed further in Note 23.

In certain transactions, Citi incurs fees and presents these fees paid to third parties in operating expenses.

The following table presents Principal transactions revenue:

(1) Includes revenues from government securities, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.

(2) Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.

(3) Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.

(4) The nine months ended September 30, 2024 include an approximate $400 million episodic gain related to the Visa B exchange completed in the second quarter of 2024.

(5) Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.

(6) Includes revenues from corporate debt, secondary trading loans, mortgage securities, single name and index credit default swaps, and structured credit products.

7. INCENTIVE PLANS

For information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

8. RETIREMENT BENEFITS

For additional information on Citi’s retirement benefits, see Note 8 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

Net Expense (Benefit)

The following tables summarize the components of net expense (benefit) recognized in the Consolidated Statement of Income for the Company’s pension and postretirement benefit plans for Significant Plans and All Other Plans. Service cost is reported in Compensation and benefits expenses and all other components of the net periodic benefit cost are reported in Other operating expenses in the Consolidated Statement of Income.

(1) Settlement loss relates to divestiture activities.

(1) Curtailment and settlement relate to divestiture activities.

Funded Status and Accumulated Other Comprehensive Income (AOCI)

The following table summarizes the funded status and amounts recognized on the Consolidated Balance Sheet for the Company’s Significant pension and postretirement benefit plans:

(1) The U.S. qualified pension plan is fully funded under Employee Retirement Income Security Act of 1974, as amended, funding rules as of January 1, 2024 and no minimum required funding is expected for 2024.

(2) The nonqualified plans of the Company are unfunded.

(3) The framework for the Company’s pension oversight process includes monitoring of potential settlement charges for all plans. Settlement accounting is triggered when either the sum of all settlements (including lump-sum payments) for the year is greater than service plus interest costs or if more than 10% of the plan’s projected benefit obligation will be settled. Because some of Citi’s significant plans are frozen and have no material service cost, settlement accounting may apply in the future.

The following table presents the change in AOCI related to the Company’s pension, postretirement and post employment plans:

(1) See Note 19 for further discussion of net AOCI balance.

(2) Includes net of tax amounts for certain profit-sharing plans outside the U.S.

Plan Assumptions

Certain assumptions used in determining pension and postretirement benefit obligations and net expense (benefit) for the Company’s Significant Plans are presented in the following tables:

(1) Discount rates and expected return on assets at the end of each quarter are utilized in the following quarter’s expense.

Sensitivities of Certain Key Assumptions

The following table summarizes the estimated effect on the Company’s Significant Plans quarterly net expense (benefit) of a one-percentage-point change in the discount rate:

Contributions

For the U.S. pension plans, there were no required minimum cash contributions during the first nine months of 2024.

The following table summarizes the Company’s actual contributions for the nine months ended September 30, 2024 and 2023, as well as expected Company contributions for the remainder of 2024 and the actual contributions made in 2023:

(1) The U.S. plans include benefits paid directly by the Company for the nonqualified pension plans.

(2) Company contributions are composed of cash contributions made to the plans and benefits paid directly by the Company.

Defined Contribution Plans

The following table summarizes the Company’s contributions for the defined contribution plans:

Post Employment Plans

The following table summarizes the net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:

9. RESTRUCTURING

As previously disclosed, Citi is pursuing various initiatives to simplify the Company and further align its organizational structure with its business strategy. As part of its overall simplification initiatives, in the fourth quarter of 2023, Citi eliminated the previous Institutional Clients Group and Personal Banking and Wealth Management layers, exited certain institutional business lines, and consolidated its regional structure, creating one international group, while centralizing client capabilities and streamlining its global staff functions.

Citi has recorded net restructuring charges of approximately $1.051 billion program-to-date.

Restructuring charges are recorded as a separate line item within Operating expenses in the Company’s Consolidated Statement of Income. These charges were included within All Other—Corporate/Other.

The following costs associated with these initiatives are included in restructuring charges:

• Personnel costs: severance costs associated with actual headcount reductions (as well as those that were probable and could be reasonably estimated)
• Other: costs associated with contract terminations and other direct costs associated with the restructuring, including asset write-downs (non-cash write-downs of capitalized software, which are included in Premises and equipment related to exited businesses)

The following table is a rollforward of the liability related to the restructuring charges:

(1) Revisions primarily relate to higher-than-anticipated redeployments of displaced employees to other positions within the Company, job function releveling and employee attrition.

(2) Revisions primarily relate to lower-than-anticipated costs associated with contract terminations.

10. EARNINGS PER SHARE

The following table reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations:

(1) Other relevant items include issuance costs of $11 million and $5 million in the third quarter of 2024 related to the redemption of preferred stock series M and U, respectively, $8 million in the second quarter of 2024 related to the redemption of preferred stock Series D, $12 million in the first quarter of 2024 related to the remaining redemption of preferred stock Series J, and a benefit of $14 million in the second quarter of 2024 related to the reversal of the 1% excise tax on preferred stock redemptions during 2023 due to the IRS final regulations issued in June 2024. The issuance costs were reclassified from Additional paid-in capital to Retained earnings upon redemption of the preferred stock. See Note 20. The total for this line also includes dividends and undistributed earnings ($40 million combined for the third quarter of 2024) allocated to employee restricted and deferred shares with rights to dividends.

(2) Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.

(3) During the three and nine months ended September 30, 2024 and 2023, there were no weighted-average options outstanding.

(4) Due to rounding, income from continuing operations and discontinued operations may not sum to net income per share—diluted.

11. SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS

For additional information on the Company’s resale and repurchase agreements and securities borrowing and lending agreements, see Note 12 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

Securities borrowed and purchased under agreements to resell, at their respective carrying values, consisted of the following:

Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:

(1) The above tables do not include securities-for-securities lending transactions of $6.3 billion and $4.3 billion at September 30, 2024 and December 31, 2023, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.

(2) See Note 15.

The Company’s policy is to take possession of the underlying collateral, monitor its market value relative to the amounts due under the agreements and, when necessary, require prompt transfer of additional collateral in order to maintain contractual margin protection. For resale and repurchase agreements, when necessary, the Company posts additional collateral in order to maintain contractual margin protection.

A substantial portion of the resale and repurchase agreements is recorded at fair value as the Company elected the fair value option, as described in Notes 23 and 24. The remaining portion is carried at the amount of cash initially advanced or received, plus accrued interest, as specified in the respective agreements.

A substantial portion of securities borrowing and lending agreements is recorded at the amount of cash advanced or received. The remaining portion is recorded at fair value as the Company elected the fair value option for certain securities borrowed and loaned portfolios, as described in Note 24. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and posts or obtains additional collateral in order to maintain contractual margin protection.

The following tables present the gross and net resale and repurchase agreements and securities borrowing and lending agreements and the related offsetting amounts permitted under ASC 210-20-45. The tables also include amounts related to financial instruments that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting rights has been obtained. Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

(1) Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.

(2) Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.

(3) Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by remaining contractual maturity:

The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by class of underlying collateral:

12. BROKERAGE RECEIVABLES AND BROKERAGE PAYABLES

The Company has receivables and payables for financial instruments sold to and purchased from brokers, dealers and customers, which arise in the ordinary course of business.

For additional information on these receivables and payables, see Note 13 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

Brokerage receivables and Brokerage payables consisted of the following:

(1) Includes brokerage receivables and payables recorded by Citi’s broker-dealer entities that are accounted for in accordance with the AICPA Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320.

13. INVESTMENTS

For additional information regarding Citi’s investment portfolios, including evaluating investments for impairment, see Note 14 to the Consolidated Financial Statements

in Citi’s 2023 Form 10-K.

The following table presents Citi’s investments by category:

(1) Carried at adjusted amortized cost basis, net of any ACL.

(2) Unrealized gains and losses are recognized in earnings.

(3) Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See “Non-Marketable Equity Securities Not Carried at Fair Value” below.

(4) Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.

(5) Includes $25 million and $25 million of investments in funds for which the fair values are estimated using the net asset value of the Company’s ownership interest in the funds at September 30, 2024 and December 31, 2023, respectively.

(6) Not included in the balances above is approximately $2 billion of accrued interest receivable at September 30, 2024 and December 31, 2023, which is included in Other assets on the Consolidated Balance Sheet. The Company does not recognize an allowance for credit losses on accrued interest receivable for AFS and HTM debt securities, consistent with its non-accrual policy, which results in timely write-off of accrued interest. The Company did not reverse through interest income any accrued interest receivables for the quarters ended September 30, 2024 and 2023.

The following table presents interest and dividend income on investments:

The following table presents realized gains and losses on the sales of investments, which exclude impairment losses:

Debt Securities Available-for-Sale

The amortized cost and fair value of AFS debt securities were as follows:

(1) The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. See Note 21 for mortgage- and asset-backed securitizations in which the Company has other involvement.

(2) In January 2023, Citi adopted ASU 2022-01. Upon adoption, Citi transferred $3.3 billion of mortgage-backed securities from HTM classification to AFS classification as allowed under the ASU. At the time of transfer, the securities were in an unrealized gain position of $0.1 billion, which was recorded in AOCI upon transfer. See Note 1 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

(3) Amortized cost includes unallocated portfolio layer cumulative basis adjustments of $0.3 billion as of September 30, 2024. Gross unrealized gains and gross unrealized (losses) on mortgage-backed securities excluding the effect of unallocated portfolio layer hedges cumulative basis adjustments were $0.4 billion and $(0.5) billion, respectively, as of September 30, 2024.

The following table presents the fair value of AFS debt securities that have been in an unrealized loss position:

The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:

(1) Includes mortgage-backed securities of U.S. government-sponsored agencies. The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. See Note 21 for additional information about mortgage- and asset-backed securitizations in which the Company has other involvement.

(2) Amortized cost excludes unallocated portfolio layer cumulative basis adjustments of $0.3 billion as of September 30, 2024.

(3) Includes corporate, asset-backed and other debt securities.

Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM were as follows:

(1) Amortized cost is reported net of ACL of $141 million and $95 million at September 30, 2024 and December 31, 2023, respectively.

(2) The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. See Note 21 for mortgage- and asset-backed securitizations in which the Company has other involvement.

(3) In January 2023, Citi adopted ASU 2022-01. Upon adoption, Citi transferred $3.3 billion (amortized cost) of mortgage-backed securities from HTM classification to AFS classification as allowed under the ASU. At the time of transfer, the securities were in an unrealized gain position of $0.1 billion, which was recorded in AOCI upon transfer. See Note 1 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:

(1) Amortized cost is reported net of ACL of $141 million at September 30, 2024.

(2) Includes corporate and asset-backed securities.

HTM Debt Securities Delinquency and Non-Accrual Details

Citi did not have any HTM debt securities that were delinquent or on non-accrual status at September 30, 2024 and December 31, 2023.

There were no purchased credit-deteriorated HTM debt securities held by the Company as of September 30, 2024 and December 31, 2023.

Evaluating Investments for Impairment—AFS Debt Securities

Overview

The Company conducts periodic reviews of all AFS debt securities with unrealized losses to evaluate whether the impairment resulted from expected credit losses or from other factors and to evaluate the Company’s intent to sell such securities.

For more information on evaluating investments for impairment, see Note 14 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

Recognition and Measurement of Impairment

The following table presents total impairment on AFS investments recognized in earnings:

Allowance for Credit Losses on AFS Debt Securities

The allowance for credit losses on AFS debt securities held that the Company does not intend to sell nor will likely be required to sell was $8 million and $8 million as of September 30, 2024 and December 31, 2023, respectively.

Non-Marketable Equity Securities Not Carried at

Fair Value

Non-marketable equity securities are required to be measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost.

The election to measure a non-marketable equity security using the measurement alternative is made on an instrument-by-instrument basis. Under the measurement alternative, an equity security is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer. The carrying value of the equity security is adjusted to fair value on the date of an observed transaction. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.

Equity securities under the measurement alternative are also assessed for impairment. On a quarterly basis, management qualitatively assesses whether each equity security under the measurement alternative is impaired. For details on impairment indicators that are considered, see Note 14 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

When the qualitative assessment indicates that the equity security is impaired, its fair value is determined. If the fair value of the investment is less than its carrying value, the investment is written down to fair value through earnings.

Below is the carrying value of non-marketable equity securities measured using the measurement alternative at September 30, 2024 and December 31, 2023:

Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:

(1) See Note 23 for additional information on these nonrecurring fair value measurements.

A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three months ended September 30, 2024 and 2023, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.

14. LOANS

Citigroup loans are reported in two categories: corporate and consumer. These categories are classified primarily according to the operating segment, reporting unit and component that manage the loans in addition to the nature of the obligor, with corporate loans generally made for corporate institutional and public sector clients around the world and consumer loans to retail and small business customers. For additional information regarding Citi’s corporate and consumer loans, including related accounting policies, see Notes 1 and 15 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

CORPORATE LOANS

Corporate loans represent loans and leases managed by Services, Markets, Banking and the Mexico SBMM component of All Other—Legacy Franchises. The following table presents information by corporate loan type:

(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 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) Corporate loans are net of unearned income of ($912) million and ($917) million at September 30, 2024 and December 31, 2023, respectively. Unearned income on corporate loans primarily represents loan origination fees, net of certain direct origination costs, that are deferred and recognized as Interest income over the lives of the related loans.

(4) Not included in the balances above is approximately $2 billion of accrued interest receivable at September 30, 2024 and December 31,

2023, which is included in Other assets on the Consolidated Balance Sheet.

(5) Accrued interest receivable considered to be uncollectible is reversed through interest income. Amounts reversed were not material for the three and nine months ended September 30, 2024 and 2023.

(6) Represents fair value hedge basis adjustments related to portfolio layer method hedges of mortgage and real estate loans, which are not allocated to individual loans in the portfolio. See Note 22.

The Company sold and/or reclassified to held-for-sale $1.5 billion and $3.8 billion of corporate loans during the three and nine months ended September 30, 2024, and $1.3 billion and $4.2 billion of corporate loans during the three and nine months ended September 30, 2023, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and nine months ended September 30, 2024 or 2023.

Corporate Loan Delinquencies and Non-Accrual Details at September 30, 2024

Corporate Loan Delinquencies and Non-Accrual Details at December 31, 2023

(1) Corporate loans that are 90 days or more past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.

(2) Non-accrual loans generally include those loans that are 90 days or more past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectibility of the loan in full, that the payment of interest and/or principal is doubtful.

(3) Loans less than 30 days past due are presented as current.

(4) The Total loans column includes loans at fair value, which are not included in the various delinquency columns and, therefore, the tables’ total rows will not cross-foot.

(5) Excludes $65 million and $93 million of unallocated portfolio layer cumulative basis adjustments at September 30, 2024 and December 31, 2023, respectively.

N/A Not applicable

Corporate Loan Credit Quality Indicators

(1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.

(2) There were no significant revolving line of credit arrangements that converted to term loans during the period.

(3) Held-for-investment loans are accounted for on an amortized cost basis.

(4) Includes certain short-term loans with less than one year in tenor.

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

(6) Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.

(7) Excludes $65 million and $93 million of unallocated portfolio layer hedges cumulative basis adjustments at September 30, 2024 and December 31, 2023, respectively.

Corporate Gross Credit Losses

The table below details gross credit losses recognized during the nine months ended September 30, 2024, by year of loan origination:

The table below details gross credit losses recognized during the nine months ended September 30, 2023, by year of loan origination:

(1) Other includes installment and other, lease financing and loans to government and official institutions.

Non-Accrual Corporate Loans

(1) Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.

(2) Interest income recognized for the three and nine months ended September 30, 2024 was $28 million and $58 million, and for the three and nine months ended September 30, 2023 was $6 million and $31 million, respectively.

N/A Not applicable

Corporate Loan Modifications to Borrowers Experiencing Financial Difficulty

Citi seeks to modify certain corporate loans to borrowers experiencing financial difficulty to reduce Citi’s exposure to loss, often providing the borrower with an opportunity to work through financial difficulties. Each modification is unique to the borrower’s individual circumstances. The following tables detail corporate loan modifications granted during the three and nine months ended September 30, 2024 and September 30, 2023 to borrowers experiencing financial difficulty by type of modification granted and the financial effect of those modifications. Citi defines a corporate loan modification to a borrower experiencing financial difficulty as a modification of a loan classified as substandard or worse at the time of modification.

(1) The above table reflects activity for loans outstanding as of the end of the reporting period. The balances are not significant as a percentage of the total carrying values of loans by class of receivable as of September 30, 2024 and September 30, 2023.

(2) Commitments to lend to borrowers experiencing financial difficulty that were granted modifications totaled $924 million and $1 billion as of September 30, 2024 and September 30, 2023, respectively.

(3) The allowance for corporate loans, including modified loans, is based on the borrower’s overall financial performance. Charge-offs for amounts deemed uncollectible may be recorded at the time of the modification or may have already been recorded in prior periods such that no charge-off is required at the time of modification.

(4) Payment delays either for principal or interest payments had an immaterial financial impact.

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

Performance of Modified Corporate Loans

The following tables present the delinquencies of modified corporate loans to borrowers experiencing financial difficulty. It includes loans that were modified during the 12 months ended September 30, 2024 and December 31, 2023:

(1) Corporate loans are generally not modified as a result of their delinquency status; rather, they are modified because of events that have impacted the overall financial performance of the borrower. Corporate loans, if past due, are re-aged to current status upon modification.

(2) Other includes installment and other, lease financing and loans to government and official institutions.

Defaults of Modified Corporate Loans

No modified corporate loans to borrowers experiencing financial difficulty defaulted during the three months ended September 30, 2024 and 2023. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due. For a modified corporate loan that is not collateral dependent, expected default rates are considered in the loan’s individually assessed ACL.

CONSUMER LOANS

Consumer loans represent loans and leases managed primarily by USPB, Wealth and All Other—Legacy Franchises (except Mexico SBMM). The tables below present details about these loans, including the following loan categories:

• Residential first mortgages and Home equity loans primarily represent secured mortgage lending to customers of Retail Banking in USPB and Wealth.
• Credit cards primarily represent unsecured credit card lending to customers of Branded Cards and Retail Services in USPB.
• Personal, small business and other loans are primarily composed of classifiably managed loans to customers of Wealth (mostly within the Private Bank) who are typically high credit quality borrowers who historically experienced minimal delinquencies and credit losses. Loans to these borrowers are generally well collateralized in the form of liquid securities and other forms of collateral.

The following tables provide Citi’s consumer loans by type:

Consumer Loans, Delinquencies and Non-Accrual Status at September 30, 2024

Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2023

(1) Loans less than 30 days past due are presented as current.

(2) Includes $302 million and $313 million at September 30, 2024 and December 31, 2023, respectively, of residential first mortgages recorded at fair value.

(3) Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes delinquencies on $26.0 billion and $18.2 billion of classifiably managed Private Bank loans in North America and outside North America, respectively, at September 30, 2024. Excludes delinquencies on $29.2 billion and $17.0 billion of classifiably managed Private Bank loans in North America and outside North America, respectively, at December 31, 2023.

(4) Consists of loans that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and $0.1 billion and 90 days or more past due of $0.1 billion and $0.1 billion at September 30, 2024 and December 31, 2023, respectively.

(5) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

(6) Includes approximately $0.1 billion and less than $0.1 billion of residential first mortgage loans in process of foreclosure in North America and outside North America, respectively, and $20.0 billion of residential mortgages outside North America related to Wealth at September 30, 2024. Includes approximately $0.1 billion and less than $0.1 billion of residential first mortgage loans in process of foreclosure in North America and outside North America, respectively, and $19.9 billion of residential mortgages outside North America related to Wealth at December 31, 2023.

(7) Includes less than $0.1 billion and less than $0.1 billion at September 30, 2024 and December 31, 2023, respectively, of home equity loans in process of foreclosure.

(8) Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.

(9) As of September 30, 2024, Wealth in North America includes $28.3 billion of loans, of which $26.0 billion are classifiably managed with 82% rated investment grade, and Wealth outside North America includes $26.3 billion of loans, of which $18.2 billion are classifiably managed with 58% rated investment grade. As of December 31, 2023, Wealth in North America includes $31.6 billion of loans, of which $29.2 billion are classifiably managed with 92% rated investment grade, and Wealth outside North America includes $24.9 billion of loans, of which $17.0 billion are classifiably managed with 74% rated investment grade. Such loans are presented as “current” above.

(10) Represents fair value hedge basis adjustments related to portfolio layer method hedges of mortgage and real estate loans, which are not allocated to individual loans in the portfolio. See Note 22.

(11) Consumer loans were net of unearned income of $883 million and $802 million at September 30, 2024 and December 31, 2023, respectively. Unearned income on consumer loans primarily represents loan origination fees, net of certain direct origination costs, that are deferred and recognized as Interest income over the lives of the related loans.

(12) Not included in the balances above is approximately $1 billion and $1 billion of accrued interest receivable at September 30, 2024 and December 31, 2023, respectively, which is included in Other assets on the Consolidated Balance Sheet, except for credit card loans (which include accrued interest and fees).

During the three and nine months ended September 30, 2024, the Company reversed accrued interest (primarily related to credit cards) of approximately $0.4 billion and $1.2 billion, respectively. During the three and nine months ended September 30, 2023, the Company reversed accrued interest (primarily related to credit cards) of approximately $0.3 billion and $0.8 billion, respectively. These reversals of accrued interest are reflected as a reduction to Interest income in the Consolidated Statement of Income.

Interest Income Recognized for Non-Accrual Consumer Loans

(1) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

During the three and nine months ended September 30, 2024, the Company sold and/or reclassified to held-for-sale $2 million and $61 million of consumer loans, respectively. During the three and nine months ended September 30, 2023, the Company sold and/or reclassified to held-for-sale $1 million and $1,831 million of consumer loans, respectively. The decline was mainly due to the reclassification of a larger mortgage portfolio to HFS in the first quarter of 2023. Except for the acquisition of an approximate $700 million credit card portfolio during the quarter, the Company did not have significant purchases of consumer loans classified as held-for-investment for the three and nine months ended September 30, 2024 or 2023. Loans held by a business for sale are not included in the above since they have been reclassified to Other assets. See Note 2 for additional information regarding Citigroup’s businesses held-for-sale.

Consumer Credit Scores (FICO)

The following tables provide details on the Fair Isaac Corporation (FICO) scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables by year of origination. FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become available. With respect to Citi’s consumer loan

portfolio outside of the U.S. as of September 30, 2024 and December 31, 2023 ($76.2 billion and $77.5 billion, respectively), various country-specific or regional credit risk metrics and acquisition and behavior scoring models are leveraged as one of the factors to evaluate the credit quality of customers (see “Consumer Loans and Ratios Outside of North America” below). As a result, details of relevant credit quality indicators for those loans are not comparable to the below FICO score distribution for the U.S. portfolio.

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

(2) These personal, small business and other loans without a FICO score available include $26.0 billion and $29.2 billion of Private Bank loans as of September 30, 2024 and December 31, 2023, respectively, which are classifiably managed within Wealth and are primarily evaluated for credit risk based on their internal risk ratings. As of September 30, 2024 and December 31, 2023, approximately 82% and 92% of these loans, respectively, were rated investment grade.

(3) FICO scores not available primarily relate to loans guaranteed by government-sponsored enterprises for which FICO scores are generally not utilized.

(4) Not included in the tables above are $35 million and $51 million of revolving credit card loans outside of the U.S. that were converted to term loans as of September 30, 2024 and December 31, 2023, respectively.

(5) Excludes $623 million and $610 million of balances related to Canada for September 30, 2024 and December 31, 2023, respectively.

(6) Excludes $828 million and $877 million of balances related to Canada for September 30, 2024 and December 31, 2023, respectively.

(7) Includes approximately $25 million and $37 million of personal revolving loans that were converted to term loans for September 30, 2024 and December 31, 2023, respectively.

(8) Excludes $670 million of unallocated portfolio layer hedges cumulative basis adjustments at September 30, 2024.

Consumer Gross Credit Losses

The following tables provide details on gross credit losses recognized during the nine months ended September 30, 2024 and 2023, by year of loan origination:

Loan-to-Value (LTV) Ratios—U.S. Consumer Mortgages

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

The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios by year of origination. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio, applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.

(1) Residential first mortgages with no LTV information available include government-guaranteed loans that do not require LTV information for credit risk assessment and fair value loans.

(2) Excludes $670 million of unallocated portfolio layer cumulative basis adjustments at September 30, 2024.

Loan-to-Value (LTV) Ratios—Outside of U.S. Consumer Mortgages

The following tables provide details on the LTV ratios for Citi’s consumer mortgage portfolio outside of the U.S. by year of origination:

(1) Mortgage portfolios outside of the U.S. are primarily in Wealth. As of September 30, 2024 and December 31, 2023, mortgage portfolios outside of the U.S. had an average LTV of approximately 57% and 55%, respectively.

Consumer Loans and Ratios Outside of North America

(1) Mexico is included in offices outside of North America.

(2) Classifiably managed loans are primarily evaluated for credit risk based on their internal risk classification. As of September 30, 2024 and December 31, 2023, approximately 58% and 74% of these loans, respectively, were rated investment grade.

(3) Includes $20.0 billion and $19.9 billion as of September 30, 2024 and December 31, 2023, respectively, of residential mortgages related to Wealth.

(4) Includes $26.3 billion and $24.9 billion as of September 30, 2024 and December 31, 2023, respectively, of loans related to Wealth.

Consumer Loan Modifications to Borrowers Experiencing Financial Difficulty

Citi seeks to modify consumer loans to borrowers experiencing financial difficulty to minimize losses, avoid foreclosure or repossession of collateral and ultimately maximize payments received from the borrowers. Citi uses various metrics to identify consumer borrowers experiencing financial difficulty, with the primary indicator being delinquency at the time of modification. Citi’s significant consumer modification programs are described below.

Credit Cards

Citi seeks to assist credit card borrowers who are experiencing financial difficulty by offering long-term loan modification programs. These modifications generally involve reducing the interest rate on the credit card, placing the customer on a fixed payment plan not to exceed 60 months and canceling the customer’s available line of credit. Citi also grants modifications to credit card borrowers working with third-party renegotiation agencies that seek to restructure customers’ entire unsecured debt. In both circumstances, if the cardholder does not comply with the modified payment terms, the credit card loan continues to age and will ultimately be charged off in accordance with Citi’s standard charge-off policy. In certain situations, Citi may forgive a portion of an outstanding balance if the borrower pays a required amount.

Residential Mortgages

Citi utilizes a third-party subservicer for the servicing of its residential mortgage loans. Through this third-party subservicer, Citi seeks to assist residential mortgage borrowers who are experiencing financial difficulty primarily by offering interest rate reductions, principal and/or interest forbearance, term extensions or combinations thereof. Borrowers enrolled in forbearance programs typically have payments suspended until the end of the forbearance period. In the U.S., before permanently modifying the contractual payment terms of a mortgage loan, Citi enters into a trial modification with the borrower. Trial modifications generally represent a three-month period during which the borrower makes monthly payments under the anticipated modified payment terms. These loans continue to age and accrue interest in accordance with their original contractual terms. Upon successful completion of the trial period, and the borrower’s formal acceptance of the modified terms, Citi and the borrower enter into a permanent modification. Citi expects the majority of loans entering trial modifications to ultimately be enrolled in a permanent modification. During the three and nine months ended September 30, 2024, $8 million and $22 million, respectively, of mortgage loans were enrolled in trial programs. During the three and nine months ended September 30, 2023, $12 million and $22 million, respectively, of mortgage loans were enrolled in trial programs. Mortgage loans of $2 million and $5 million had gone through Chapter 7 bankruptcy during the three and nine months ended September 30, 2024, and $4 million and $6 million during the three and nine months ended September 30, 2023, respectively.

Types of Consumer Loan Modifications and Their Financial Effect

The following tables provide details on permanent consumer loan modifications granted during the three and nine months ended September 30, 2024 and 2023 to borrowers experiencing financial difficulty by type of modification granted and the financial effect of those modifications:

(1) The above tables reflect activity for loans outstanding as of the end of the reporting period. During the three months ended September 30, 2024 and 2023, Citi granted forgiveness of less than $1 million and less than $1 million in residential first mortgage loans, $30 million and $17 million in credit card loans and $1 million and $1 million in personal, small business and other loans, respectively. As a result, there were no outstanding balances as of September 30, 2024 and 2023.

(2) Commitments to lend to borrowers experiencing financial difficulty that were granted modifications included in the tables above were immaterial at September 30, 2024 and 2023.

(3) For major consumer portfolios, the ACLL is based on macroeconomic-sensitive models that rely on historical performance and macroeconomic scenarios to forecast expected credit losses. Modifications of consumer loans impact expected credit losses by affecting the likelihood of default.

(4) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

(5) Excludes residential first mortgages discharged in Chapter 7 bankruptcy in the three months ended September 30, 2024 and 2023.

(1) The above tables reflect activity for loans outstanding as of the end of the reporting period. During the nine months ended September 30, 2024 and 2023, Citi granted forgiveness of $2 million and less than $1 million in residential first mortgage loans, $58 million and $38 million in credit card loans and $2 million and $2 million in personal, small business and other loans, respectively. As a result, there were no outstanding balances as of September 30, 2024 and 2023.

(2) Commitments to lend to borrowers experiencing financial difficulty that were granted modifications included in the tables above were immaterial at September 30, 2024 and 2023.

(3) For major consumer portfolios, the ACLL is based on macroeconomic-sensitive models that rely on historical performance and macroeconomic scenarios to forecast expected credit losses. Modifications of consumer loans impact expected credit losses by affecting the likelihood of default.

(4) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

(5) Excludes residential first mortgages discharged in Chapter 7 bankruptcy in the nine months ended September 30, 2024 and 2023.

Performance of Modified Consumer Loans

The following tables present the delinquencies and gross credit losses of permanently modified consumer loans to borrowers experiencing financial difficulty. It includes loans that were modified during the 12 months ended September 30, 2024 and the year ended December 31, 2023:

(1) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

(2) Typically, upon modification a loan re-ages to current. However, FFIEC guidelines for re-aging certain loans require that at least three consecutive minimum monthly payments, or the equivalent amount, be received. In these cases, the loan will remain delinquent until the payment criteria for re-aging have been satisfied.

(3) Loans modified under Citi’s COVID-19 consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification.

Defaults of Modified Consumer Loans

The following tables present default activity for permanently modified consumer loans to borrowers experiencing financial difficulty by type of modification granted, including loans that were modified and subsequently defaulted during the three and nine months ended September 30, 2024 and 2023. Default is defined as 60 days past due:

(1) The above tables reflect activity for loans outstanding as of the end of the reporting period.

(2) Modified residential first mortgages that default are typically liquidated through foreclosure or a similar type of liquidation.

(3) North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

(4) Modified credit card loans that default continue to be charged off in accordance with Citi’s consumer charge-off policy.

15. ALLOWANCE FOR CREDIT LOSSES

(1) See “Accounting Changes” in Note 1 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

(2) Upon acquisition, the par value of the purchased credit-deteriorated assets was approximately $37 million and $6 million during the three months ended September 30, 2024 and 2023 and $46 million and $19 million during the nine months ended September 30, 2024 and 2023, respectively.

(3) Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.

Allowance for Credit Losses on Loans and End-of-Period Loans

(1) See “Accounting Changes” in Note 1 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

(2) Upon acquisition, the par value of the purchased credit-deteriorated assets was approximately $37 million and $6 million during the three months ended September 30, 2024 and 2023 and $46 million and $19 million during the nine months ended September 30, 2024 and 2023, respectively.

3Q24 Changes in the ACL

The total allowance for credit losses on loans, leases and unfunded lending commitments as of September 30, 2024 was $20,081 million, a slight increase from $19,873 million at December 31, 2023, primarily reflecting the impact of macroeconomic pressures related to the elevated inflationary and interest rate environment, partially offset by an improved macroeconomic outlook.

Consumer ACLL

Citi’s total consumer allowance for credit losses on loans (ACLL) as of September 30, 2024 was $15,765 million, an increase from $15,431 million at December 31, 2023. The increase was primarily driven by the impact of macroeconomic pressures related to the elevated inflationary and interest rate environment.

Corporate ACLL

Citi’s total corporate ACLL as of September 30, 2024 was $2,591 million, a decrease from $2,714 million at December 31, 2023. The decrease was primarily driven by an improved macroeconomic outlook.

ACLUC

As of September 30, 2024, Citi’s total allowance for unfunded lending commitments (ACLUC), included in Other liabilities, was $1,725 million, a slight decrease from $1,728 million at December 31, 2023. The decrease was primarily driven by an improved macroeconomic outlook, mostly offset by changes in portfolio composition.

Allowance for Credit Losses on HTM Debt Securities

The allowance for credit losses on HTM debt securities, which the Company has the intent and ability to hold, was $141 million and $95 million as of September 30, 2024 and December 31, 2023, respectively.

Allowance for Credit Losses on Other Assets

(1) Primarily ACL related to transfer risk associated with exposures outside the U.S. driven by safety and soundness considerations under U.S. banking law.

(1) Primarily ACL related to transfer risk associated with exposures outside the U.S. driven by safety and soundness considerations under U.S. banking law.

For ACL on AFS debt securities, see Note 13.

16. GOODWILL AND INTANGIBLE ASSETS

Goodwill

The changes in Goodwill were as follows:

(1) In 2023, goodwill of approximately $537 million was transferred from Banking to Markets related to business realignment. Prior-period amounts have been

revised to conform with the current presentation. See Note 3 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

(2) Goodwill allocated to the global fiduciary and trust administration services business was classified as HFS during the third quarter of 2024.

Citi tests for goodwill impairment annually as of October 1 (the annual test) and conducts interim assessments between the annual test if an event occurs or circumstances change that would more-likely-than-not reduce the fair value of a reporting unit below its carrying amount. No such events or circumstances were identified as part of the qualitative assessment performed as of September 30, 2024. For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

While the inherent risk of uncertainty is embedded in the key assumptions used in the reporting unit valuations, the economic and business environments continue to evolve as management executes on its transformation and strategy. If management’s future estimates of key economic and market assumptions were to differ from its current assumptions, Citi could potentially experience material goodwill impairment charges in the future.

Intangible Assets

The components of intangible assets were as follows:

The changes in intangible assets were as follows:

(1) The acquired intangibles during the period relate to a new card partnership with a 10-year term.

(2) Reflects intangibles for the value of purchased cardholder relationships, which are discrete from contract-related intangibles.

(3) Reflects contract-related intangibles associated with Citi’s credit card program agreements with partners.

(4) See Note 21.

17. DEPOSITS

Deposits consisted of the following:

(1) For information on time deposits that met or exceeded the insured limit at December 31, 2023, see Note 18 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

For additional information on Citi’s deposits, see Citi’s 2023 Form 10-K.

18. DEBT

For additional information regarding Citi’s short-term borrowings and long-term debt, see Note 19 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

Short-Term Borrowings

(1) Represents Citibank entities as well as other bank entities.

(2) Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.

(3) Includes borrowings from Federal Home Loan Banks and other market participants. At September 30, 2024 and December 31, 2023, collateralized short-term advances from Federal Home Loan Banks were $4.0 billion and $8.0 billion, respectively.

Long-Term Debt

(1) Represents the parent holding company.

(2) Represents Citibank entities as well as other bank entities. At September 30, 2024 and December 31, 2023, collateralized long-term advances from the Federal Home Loan Banks were $11.5 billion and $11.5 billion, respectively.

(3) Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company. Certain Citigroup consolidated hedging activities are also included in this line.

Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.6 billion at September 30, 2024 and December 31, 2023.

The following table summarizes Citi’s outstanding trust preferred securities at September 30, 2024:

Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and quarterly for Citigroup Capital XIII.

(1) Represents the notional value received by outside investors from the trusts at the time of issuance. This differs from Citi’s balance sheet carrying value due primarily to unamortized discount and issuance costs.

(2) In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.

(3) The spread incorporates the original contractual spread and a 26.161 bps tenor spread adjustment.

19. CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)

Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows:

(1) Reflects the after-tax valuation of Citi’s fair value option liabilities. See “Market Valuation Adjustments” in Note 23.

(2) Primarily driven by Citi’s pay floating/receive fixed interest rate swap programs that hedge certain floating rates on assets.

(3) Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.

(4) Primarily reflects the movement in (by order of impact) the Mexican peso, euro, Japanese yen, Singapore dollar, Malaysian ringgit, Polish zloty and Chilean peso against the U.S. dollar and changes in related tax effects and hedges for the three months ended September 30, 2024. Primarily reflects the movement in (by order of impact) the Mexican peso, Egyptian pound, Brazilian real, Malaysian ringgit and Taiwan dollar against the U.S. dollar and changes in related tax effects and hedges for the nine months ended September 30, 2024. Primarily reflects the movement in (by order of impact) the Mexican peso, Chilean peso, euro, Polish zloty and Brazilian real against the U.S. dollar and changes in related tax effects and hedges for the three months ended September 30, 2023. Primarily reflects the movement in (by order of impact) the Mexican peso, Russian ruble, Japanese yen, South Korean won and Chilean peso against the U.S. dollar and changes in related tax effects and hedges for the nine months ended September 30, 2023. Amounts recorded in the CTA component of AOCI remain in AOCI until the sale or substantial liquidation of the foreign entity, at which point such amounts related to the foreign entity are reclassified into earnings.

(5) Reflects the change in the liability for future policyholder benefits for certain long-duration life-contingent annuity contracts that are issued by a regulated Citi insurance subsidiary in Mexico and reported within Legacy Franchises. The amount reflects the change in the liability after discounting using an upper-medium-grade fixed income instrument yield that reflects the duration characteristics of the liability. The balance of the liability for future policyholder benefits, which is recorded within Other Liabilities, for this insurance subsidiary was approximately $463 million and $519 million at September 30, 2024 and September 30, 2023, respectively.

(6) See “Accounting Changes” in Note 1 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:

(1) Income tax effects of these items are released from AOCI contemporaneously with the related gross pretax amount.

(2) See Note 1 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

The Company recognized pretax (gains) losses related to amounts in AOCI reclassified to the Consolidated Statement of Income as follows:

(1) The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses in the Consolidated Statement of Income. See Note 13.

(2) See Note 22.

(3) See Note 8.

20. PREFERRED STOCK

The following table summarizes the Company’s preferred stock outstanding:

(1) Citi redeemed Series D in its entirety on May 15, 2024.

(2) Citi redeemed the remaining Series J in its entirety on March 29, 2024.

(3) Citi redeemed Series M in its entirety on August 15, 2024.

(4) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, May 15, 2025, and thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(5) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on February 15 and August 15 at a fixed rate until, but excluding, August 15, 2026, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(6) Citi redeemed Series U in its entirety on September 12, 2024.

(7) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on January 30 and July 30 at a fixed rate until, but excluding, January 30, 2025, thereafter payable quarterly on January 30, April 30, July 30 and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(8) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on March 10, June 10, September 10 and December 10 at a fixed rate until, but excluding, December 10, 2025, thereafter payable quarterly on the same dates at a fixed rate that resets on the Series W reset date and every five years thereafter equal to the five-year treasury rate plus 3.597%, in each case when, as and if declared by the Citi Board of Directors.

(9) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 18, May 18, August 18 and November 18 at a fixed rate until, but excluding, February 18, 2026, thereafter payable quarterly on the same dates at a fixed rate that resets on the Series X reset date and every five years thereafter equal to the five-year treasury rate plus 3.417%, in each case when, as and if declared by the Citi Board of Directors.

(10) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, November 15, 2026, thereafter payable quarterly on the same dates at a fixed rate that resets on the Series Y reset date and every five years thereafter equal to the five-year treasury rate plus 3.000%, in each case when, as and if declared by the Citi Board of Directors.

(11) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, May 15, 2028, thereafter payable quarterly on the same dates at a fixed rate that resets on the Series Z reset date and every five years thereafter equal to the five-year treasury rate plus 3.209%, in each case when, as and if declared by the Citi Board of Directors.

(12) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, November 15, 2028, thereafter payable quarterly on the same dates at a fixed rate that resets on the Series AA reset date and every five years thereafter equal to the five-year treasury rate plus 3.211%, in each case when, as and if declared by the Citi Board of Directors.

(13) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, May 15, 2029, thereafter payable quarterly on the same dates at a fixed rate that resets on the Series BB reset date and every five years thereafter equal to the five-year treasury rate plus 2.905%, in each case when, as and if declared by the Citi Board of Directors.

(14) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, August 15, 2029, thereafter payable quarterly on the

same dates at a fixed rate that resets on the Series CC reset date and every five years thereafter equal to the five-year treasury rate plus 2.693%, in each case when, as and if declared by the Citi Board of Directors.

(15) Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, August 15, 2034, thereafter payable quarterly on the same dates at a fixed rate that resets on the Series DD reset date and every ten years thereafter equal to the ten-year treasury rate plus 2.757%, in each case when, as and if declared by the Citi Board of Directors.

N/A Not applicable, as the series has been redeemed.

21. SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

For additional information regarding Citi’s use of special purpose entities (SPEs) and variable interest entities (VIEs), see Note 23 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE is presented below:

(1) The definition of maximum exposure to loss is included in the text that follows this table.

(2) Included on Citigroup’s September 30, 2024 and December 31, 2023 Consolidated Balance Sheet.

(3) A significant unconsolidated VIE is an entity in which the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss.

(4) Citigroup mortgage securitizations also include agency and non-agency (private label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.

(5) Included within this line are loans to third-party-sponsored private equity funds, which represent $7 billion and $6 billion in unconsolidated VIE assets and $245 million and $282 million in maximum exposure to loss as of September 30, 2024 and December 31, 2023, respectively.

The previous tables do not include:

• certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;
• certain third-party-sponsored private equity funds to which the Company provides credit facilities. The Company has no decision-making power and does not consolidate these funds, some of which may meet the definition of a VIE. The Company’s maximum exposure to loss is generally limited to a loan or lending-related commitment. As of September 30, 2024 and December 31, 2023, the Company’s maximum exposure to loss related to these transactions was $7.3 billion and $8.5 billion, respectively (see Note 14 and Note 28 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K);
• certain VIEs structured by third parties in which the Company holds securities in inventory, as these investments are made on arm’s-length terms;
• certain positions in mortgage- and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, in which the Company has no other involvement with the related securitization entity deemed to be significant (see Notes 13 and 22 for more information on these positions);
• certain representations and warranties exposures in Citigroup residential mortgage securitizations, in which the original mortgage loan balances are no longer outstanding; and
• VIEs such as preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.

The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the classification of the asset (e.g., loan or security) and the associated accounting model ascribed to that classification.

The asset balances for unconsolidated VIEs in which the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments, unless fair value information is readily available to the Company.

The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE, adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.

The following tables present certain assets and liabilities of consolidated variable interest entities (VIEs), which are included on Citi’s Consolidated Balance Sheet. The assets include those assets that can only be used to settle obligations of consolidated VIEs and are in excess of those obligations. In addition, the assets include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.

Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments

The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:

Significant Interests in Unconsolidated VIEs—Balance Sheet Classification

The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs:

Credit Card Securitizations

The Company’s primary credit card securitization activity is through two trusts—Citibank Credit Card Master Trust and Citibank Omni Trust. These trusts are consolidated entities given Citi’s continuing involvement. For additional information, see Note 23 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K. There were no material cash flows arising from either proceeds from new securitizations or paydowns of maturing notes during the nine months ended September 30, 2024 and 2023.

Mortgage Securitizations

The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:

Note: Excludes re-securitization transactions.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were less than $1 million for the three and nine months ended September 30, 2024. Gains recognized on the securitization of non-agency-sponsored mortgages were $44.8 million and $126.8 million for the three and nine months ended September 30, 2024, respectively.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were less than $1 million for the three and nine months ended September 30, 2023. Gains recognized on the securitization of non-agency-sponsored mortgages were $50.4 million and $64.1 million for the three and nine months ended September 30, 2023, respectively.

(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.

(2) Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 23 for more information about fair value measurements.

The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities:

(1) Securitized assets include $0.1 billion of personal loan securitizations as of September 30, 2024.

Mortgage Servicing Rights (MSRs)

The fair value of Citi’s capitalized MSRs was $683 million and $729 million at September 30, 2024 and 2023, respectively. The MSRs correspond to principal loan balances of $55 billion and $52 billion as of September 30, 2024 and 2023, respectively. The following table summarizes the changes in capitalized MSRs:

(1) Represents changes due to customer payments.

The fair value of the MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, higher interest rates tend to lead to declining prepayments, which causes the fair value of the MSRs to increase. In managing this risk, Citigroup economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities, all classified as Trading account assets.

The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:

In the Consolidated Statement of Income these fees are primarily classified as Commissions and fees, and changes in MSR fair values are classified as Other revenue.

Re-securitizations

The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. Citi did not transfer non-agency (private label) securities to re-securitization entities during the three months ended September 30, 2024 and 2023. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.

As of September 30, 2024 and December 31, 2023, Citi held no retained interests in private label re-securitization transactions structured by Citi.

The Company also re-securitizes U.S. government-agency-guaranteed mortgage-backed (agency) securities. During the three and nine months ended September 30, 2024, Citi transferred agency securities with a fair value of approximately $6.3 billion and $17.0 billion to re-securitization entities, compared to approximately $4.3 billion and $12.8 billion for the three and nine months ended September 30, 2023, respectively.

As of September 30, 2024, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.3 billion (including $1.5 billion related to re-securitization transactions executed in 2024), compared to $1.7 billion as of December 31, 2023 (including $930 million related to re-securitization transactions executed in 2023), which is recorded in Trading account assets. The original fair values of agency re-securitization transactions in which Citi holds a retained interest as of September 30, 2024 and December 31, 2023 were approximately $79.0 billion and $84.1 billion, respectively.

As of September 30, 2024 and December 31, 2023, the Company did not consolidate any private label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits

At September 30, 2024 and December 31, 2023, the commercial paper conduits administered by Citi had approximately $20.3 billion and $21.1 billion of purchased assets outstanding, and unfunded commitments with clients of approximately $18.7 billion and $16.7 billion, respectively.

Substantially all of the funding of the conduits is in the form of short-term commercial paper. At September 30, 2024

and December 31, 2023, the weighted-average remaining maturities of the commercial paper issued by the conduits were approximately 63 and 68 days, respectively.

Each asset purchased by the conduit is structured with transaction-specific credit enhancements, including over-collateralization, cash and excess spread collateral accounts, direct recourse or third-party guarantees. Each credit enhancement is sized with the objective of approximating an investment-grade credit rating, based on Citi’s internal risk ratings. In addition to the transaction-specific credit enhancement, the conduits have obtained letters of credit from the Company that equal at least 8% to 10% of the conduit’s assets with a minimum of $200 million to $350 million. The letters of credit provided by the Company to the conduits total approximately $2.1 billion and $2.1 billion as of September 30, 2024 and December 31, 2023, respectively. The net result across multi-seller conduits administered by the Company is that, in the event that defaulted assets exceed the transaction-specific credit enhancement described above, any losses in each conduit are allocated first to the Company and then to the commercial paper investors.

At September 30, 2024 and December 31, 2023, the Company owned $9.2 billion and $10.1 billion, respectively, of the commercial paper issued by its administered conduits. The Company’s investments were not driven by market illiquidity and the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.

Municipal Securities Tender Option Bond (TOB) Trusts

At September 30, 2024 and December 31, 2023, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.

The Company provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $0.6 billion and $1.2 billion as of September 30, 2024 and December 31, 2023, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.

Asset-Based Financing

The primary types of Citi’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement and Citi’s maximum exposure to loss are presented below. For Citi to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.

22. DERIVATIVES

In the ordinary course of business, Citigroup enters into various types of derivative transactions. All derivatives are recorded in Trading account assets/Trading account liabilities on the Consolidated Balance Sheet. For additional information regarding Citi’s use of and accounting for derivatives, see Note 24 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

Information pertaining to Citigroup’s derivatives activities, based on notional amounts, is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete measure of Citi’s exposure to derivative transactions. Citi’s derivative exposure arises primarily from

market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts presented below do not reflect the netting of offsetting trades. For example, if Citi enters into a receive-fixed interest rate swap with $100 million notional, and offsets this risk with an identical but opposite pay-fixed position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk.

In addition, aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors.

Derivative Notionals

(1) Credit derivatives are arrangements designed to allow one party (protection purchaser) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk, and as a market-maker to facilitate client transactions.

The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of September 30, 2024 and December 31, 2023. Gross positive fair values are offset against gross negative fair values by counterparty, pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.

In addition, the following tables reflect rule changes adopted by clearing organizations that require or allow entities to treat certain derivative assets, liabilities and the related variation margin as settlement of the related derivative fair values for legal and accounting purposes, as opposed to presenting gross derivative assets and liabilities that are subject to collateral, whereby the counterparties would also record a related collateral payable or receivable. The tables also present amounts that are not permitted to be offset in the Company’s balance sheet presentation, such as security collateral or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.

Derivative Mark-to-Market (MTM) Receivables/Payables

(1) The derivatives fair values are also presented in Note 23.

(2) Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.

(3) Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $234 billion, $44 billion and $38 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.

(4) Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements with appropriate legal opinion supporting enforceability of netting. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.

(5) The net receivables/payables include approximately $11 billion of derivative asset and $16 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

(1) The derivatives fair values are also presented in Note 23.

(2) OTC derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.

(3) Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $242 billion, $44 billion and $22 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.

(4) Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements with appropriate legal opinion supporting enforceability of netting. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.

(5) The net receivables/payables include approximately $4 billion of derivative asset and $10 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

For the three and nine months ended September 30, 2024 and 2023, amounts recognized in Principal transactions in the Consolidated Statement of Income include certain derivatives not designated in a qualifying hedging relationship. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents how these portfolios are risk managed. See Note 6 for further information.

The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are presented below. The table below does not include any offsetting gains (losses) on the economically hedged items:

Fair Value Hedges

For additional information regarding Citi’s fair value hedges, see Note 24 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

The following table summarizes the gains (losses) on the Company’s fair value hedges:

(1) Gain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense. The accrued interest income on fair value hedges is recorded in Net interest income and is excluded from this table. Amounts included both hedges of AFS securities and long-term debt on a net basis, which largely offset in the current period.

(2) The gain (loss) amounts for commodity hedges are included in Principal transactions.

(3) Amounts related to the forward points (i.e., the spot-forward difference) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings under the mark-to-market approach. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis included in AOCI was $(10) million and $(10) million for the three months ended September 30, 2024 and 2023, respectively. The amount of cross-currency basis included in AOCI was $(12) million and $(14) million for the nine months ended September 30, 2024 and 2023, respectively.

(4) Amounts related to the forward points (i.e., the spot-forward difference) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings under the mark-to-market approach or recorded in AOCI under the amortization approach. The quarter ended September 30, 2024 includes gain (loss) of approximately $70 million and $32 million under the mark-to-market approach and amortization approach, respectively. The quarter ended September 30, 2023 includes gain (loss) of approximately $93 million and $7 million under the mark-to-market approach and amortization approach, respectively.

Cumulative Basis Adjustment

Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative changes in the hedged risk. This cumulative basis adjustment becomes part of the carrying amount of the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at September 30, 2024 and December 31, 2023, along with the cumulative basis adjustments included in the carrying value of those hedged assets and liabilities that would reverse through earnings in future periods.

(1) Excludes physical commodities inventories with a carrying value of approximately $7 billion and $8 billion as of September 30, 2024 and December 31, 2023, respectively, which includes cumulative basis adjustments of approximately $(0.2) billion and $1.2 billion, respectively, for active hedges.

(2) These amounts include a cumulative basis adjustment of $299 million for active hedges and $86 million for de-designated hedges as of September 30, 2024, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the portfolio layer approach. The Company designated approximately $11 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $30 billion as of September 30, 2024) in a portfolio layer hedging relationship.

(3) All hedged consumer loans are designated in a fair value hedge using the portfolio layer approach. The Company designated approximately $14.9 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $55 billion as of September 30, 2024).

(4) All hedged corporate loans are designated in a fair value hedge using the portfolio layer approach. The Company designated approximately $3.7 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $5.5 billion as of September 30, 2024).

(5) These amounts include a cumulative basis adjustment of $248 million for active hedges and $(51) million for de-designated hedges as of December 31, 2023, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the portfolio layer approach. The Company designated approximately $14 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $28 billion as of December 31, 2023) in a portfolio layer hedging relationship.

(6) Carrying amount represents the amortized cost.

(7) All hedged corporate loans are designated in a fair value hedge using the portfolio layer approach. The Company designated approximately $3.6 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $5.0 billion as of December 31, 2023).

Cash Flow Hedges

Citigroup hedges the variability of forecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. These cash flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.

For cash flow hedges, the entire change in the fair value of the hedging derivative is recognized in AOCI and then reclassified to earnings in the same period that the forecasted hedged cash flows impact earnings. The pretax change in AOCI from cash flow hedges is presented below:

(1) All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest income). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest income in the Consolidated Statement of Income.

The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of September 30, 2024 is approximately $(0.5) billion. The maximum length of time over which forecasted cash flows are hedged is 14 years.

The after-tax impact of cash flow hedges on AOCI is presented in Note 19.

Net Investment Hedges

Citigroup uses foreign currency forwards, cross-currency swaps, options and foreign currency-denominated debt instruments to manage the foreign exchange risk associated with Citigroup’s equity investments in several non-U.S.-dollar-functional-currency foreign subsidiaries. Citi records the change in the fair value of these hedging instruments and the translation adjustment for the investments in these foreign subsidiaries in Foreign currency translation adjustment (CTA) within AOCI.

The pretax gain (loss) recorded in CTA within AOCI, related to net investment hedges, was $(92) million and $1,158 million for the three and nine months ended September 30, 2024 and $363 million and $(586) million for the three and nine months ended September 30, 2023, respectively.

Credit Derivatives

The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by reference entity and derivative form:

(1) The fair value amount receivable is composed of $2,574 million under protection purchased and $5,448 million under protection sold.

(2) The fair value amount payable is composed of $6,365 million under protection purchased and $1,849 million under protection sold.

(1) The fair value amount receivable is composed of $2,770 million under protection purchased and $5,569 million under protection sold.

(2) The fair value amount payable is composed of $6,097 million under protection purchased and $1,985 million under protection sold.

Credit Risk-Related Contingent Features in Derivatives

Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates.

The fair value (excluding CVA) of all derivative instruments with credit risk-related contingent features that were in a net liability position at September 30, 2024 and December 31, 2023 was $14 billion and $15 billion, respectively. The Company posted $12 billion and $12 billion as collateral for this exposure in the normal course of business as of September 30, 2024 and December 31, 2023, respectively.

A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all three major rating agencies as of September 30, 2024, the Company could be required to post an additional $0.2 billion as either collateral or settlement of the derivative transactions. In addition, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $16 million upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $0.2 billion.

Derivatives Accompanied by Financial Asset Transfers

For transfers of financial assets accounted for as a sale by the Company, and for which the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed with the same counterparty in contemplation of the initial sale (and still outstanding), the asset amounts derecognized and the gross cash proceeds received as of the date of derecognition were $5.5 billion and $4.3 billion as of September 30, 2024 and December 31, 2023, respectively.

At September 30, 2024, the fair value of these previously derecognized assets was $5.3 billion. The fair value of the total return swaps as of September 30, 2024 was $168 million recorded as gross derivative assets and $31 million recorded as gross derivative liabilities. At December 31, 2023, the fair value of these previously derecognized assets was $4.3 billion, and the fair value of the total return swaps was $121 million recorded as gross derivative assets and $29 million recorded as gross derivative liabilities.

The balances for the total return swaps are on a gross basis, before the application of counterparty and cash collateral netting, and are included primarily as equity derivatives in the tabular disclosures in this Note.

23. FAIR VALUE MEASUREMENT

For additional information regarding fair value measurement at Citi, see Note 26 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

Fair Value Hierarchy

ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:

• Level 1: Quoted prices for identical instruments in active markets.
• Level 2: Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active and model-derived valuations in which all significant inputs and value drivers are observable in the market.
• Level 3: Valuations derived from valuation techniques in which one or more significant inputs or value drivers are unobservable.

As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible.

The fair value hierarchy classification approach typically utilizes rules-based and data-driven criteria to determine whether an instrument is classified as Level 1, Level 2 or Level 3:

• The determination of whether an instrument is quoted in an active market and therefore considered a Level 1 instrument is based on the frequency of observed transactions and the quality of independent market data available on the measurement date.
• A Level 2 classification is assigned where there is observability of prices/market inputs to models, or where any unobservable inputs are not significant to the valuation. The determination of whether an input is considered observable is based on the availability of independent market data and its corroboration, for example through observed transactions in the market.
• Otherwise, an instrument is classified as Level 3.

Market Valuation Adjustments

The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments (recorded in Trading account assets and Trading account liabilities on the Consolidated Balance Sheet) at September 30, 2024 and December 31, 2023:

The table below summarizes pretax gains (losses) related to changes in CVA and FVA on derivative instruments, net of hedges (recorded in Principal transactions revenue in the Consolidated Statement of Income), and changes in debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities (recorded in Other comprehensive income in the Consolidated Statement of Comprehensive Income) for the periods indicated:

(1) See Note 21 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

Items Measured at Fair Value on a Recurring Basis

The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at September 30, 2024 and December 31, 2023. The Company may hedge

positions that have been classified in the Level 3 category with other financial instruments (hedging instruments) that may be classified as Level 3, but also with financial instruments classified as Level 1 or Level 2. The effects of these hedges are presented gross in the following tables:

Fair Value Levels

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(1) Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.

(2) Amounts exclude $25 million of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).

(3) Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.

Fair Value Levels

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(1) Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.

(2) Amounts exclude $25 million of investments measured at NAV in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).

(3) Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.

Changes in Level 3 Fair Value Category

The following tables present the changes in the Level 3 fair value category for the three and nine months ended September 30, 2024 and 2023. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.

The Company often hedges positions with offsetting positions that are classified in a different level. For example,

the gains and losses for assets and liabilities in the Level 3 category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:

Level 3 Fair Value Rollforward

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(1) Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.

(2) Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.

(3) Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at September 30, 2024.

(4) Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.

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(1) Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.

(2) Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.

(3) Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at September 30, 2024.

(4) Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.

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(1) Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.

(2) Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.

(3) Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at September 30, 2023.

(4) Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.

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(1) Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.

(2) Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.

(3) Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at September 30, 2023.

(4) Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.

Level 3 Fair Value Transfers

The following were the significant Level 3 transfers for the period December 31, 2023 to September 30, 2024:

• During the three and nine months ended September 30, 2024, transfers of Long-term debt were $0.9 billion and $22.6 billion from Level 3 to Level 2, and $0.6 billion and $3.7 billion from Level 2 to Level 3, respectively. The Level 3 to Level 2 YTD transfers were primarily the result of enhanced significance testing of unobservable input for certain structured debt instruments. The Level 2 to Level 3 YTD transfers were primarily the result of certain unobservable inputs becoming more significant to the overall valuation of these instruments.

The following were the significant Level 3 transfers for the period December 31, 2022 to September 30, 2023:

• During the three and nine months ended September 30, 2023, transfers of Long-term debt were $1.0 billion and $4.2 billion from Level 2 to Level 3, respectively. Of the $4.2 billion transfer, approximately $3.6 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $0.6 billion related to equity and credit derivative inputs (in addition to other volatility inputs, e.g., interest rate volatility inputs) becoming unobservable and/or significant to their overall valuation. In other instances, market changes have resulted in some inputs becoming more observable, and some unobservable inputs becoming less significant to the overall valuation of the instruments (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $1.3 billion and $7.4 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and nine months ended September 30, 2023, respectively.

Valuation Techniques and Inputs for Level 3 Fair Value Measurements

The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements.

Differences between these tables and amounts presented in the Level 3 Fair Value Rollforward tables represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.

(1) The tables above include the fair values for the items listed and may not foot to the total population for each category.

(2) Some inputs are shown as zero due to rounding.

(3) When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.

(4) Weighted averages are calculated based on the fair values of the instruments.

(5) For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.

(6) Both trading and non-trading account derivatives—assets and liabilities—are presented on a gross absolute value basis.

(7) Includes hybrid products.

Items Measured at Fair Value on a Nonrecurring Basis

Certain assets and liabilities are measured at fair value on a nonrecurring basis and, therefore, are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for an identical or similar investment in the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market value.

The following tables present the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded:

(1) Net of mark-to-market amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.

(2) Represents collateral-dependent loans held for investment for which the fair value of collateral is used to estimate expected credit losses, and whose carrying amount is based on the fair value of the underlying collateral less costs to sell, as applicable (primarily real estate).

Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements

The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:

As of September 30, 2024 Fair value(1) (in millions) Methodology Input Low(2)(3) High(2)(3) Weighted average(4)

Assets

Securities borrowed and purchased under agreements to resell $136 Model-based Credit spread 10 bps 10 bps 10 bps

Interest rate 3.65% 3.65% 3.65%

Mortgage-backed securities $543 Price-based Price $0.56 $149.50 $33.43

381 Yield analysis Yield 4.41% 21.93% 7.69%

State and municipal, foreign government, corporate and other debt securities $1,007 Price-based Price $— $189.68 $94.98

428 Model-based Credit spread 35 bps 550 bps 337 bps

Marketable equity securities(5) $250 Price-based Price $— $14,350.67 $106.47

Asset-backed securities $151 Price-based Price $0.69 $142.85 $76.18

64 Yield analysis Yield 6.31% 27.44% 8.74%

Non-marketable equities $228 Comparables analysis Illiquidity discount 7.40% 33.00% 14.35%

Revenue multiple 4.30x 16.26x 11.95x

222 Price-based Price $0.55 $3,190.93 $1,756.38

Discount rate 9.25% 17.50% 13.15%

Derivatives—gross(6)

Interest rate contracts (gross) $3,678 Model-based IR normal volatility 0.28% 20.00% 2.32%

Yield (0.16)% 51.68% 4.51%

Equity volatility 0.11% 266.80% 58.33%

Inflation volatility 0.25% 6.34% 1.35%

Foreign exchange contracts (gross) $1,128 Model-based IR normal volatility 0.40% 1.32% 0.78%

IR basis (24.26)% 56.13% 3.32%

Equity contracts (gross)(7) $4,059 Model-based Equity volatility 0.11% 266.80% 54.32%

Equity forward 66.73% 268.63% 105.70%

Equity-FX correlation (90.00)% 70.00% (13.62)%

Equity-Equity correlation (36.22)% 99.00% 71.33%

Recovery (in millions) $8,628 $8,628 $8,628

WAL 2.65 years 2.65 years 2.65 years

Commodity and other contracts (gross) $1,602 Model-based Forward price 3.24% 249.00% 113.46%

Commodity volatility 13.77% 257.77% 42.83%

Commodity correlation 7.30% 93.30% 48.25%

Credit derivatives (gross) $940 Model-based Credit spread 7 bps 574 bps 88 bps

Recovery rate 20.00% 40.00% 37.43%

Upfront points 0.94% 119.12% 55.28%

Credit spread volatility 31.34% 112.70% 71.91%

443 Price-based Price $41.00 $102.78 $83.78

(1) The tables above include the fair values for the items listed and may not foot to the total population for each category.

(2) Some inputs are shown as zero due to rounding.

(3) Weighted averages are calculated based on the fair values of the instruments.

(4) Appraised values are disclosed in whole dollars.

(5) Represents collateral-dependent loans held for investment for which the fair value of collateral is used to estimate expected credit losses, and whose carrying amount is based on the fair value of the underlying collateral less costs to sell, as applicable (primarily real estate).

Nonrecurring Fair Value Changes

The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:

(1) Represents collateral-dependent loans held for investment for which the fair value of collateral is used to estimate expected credit losses, and whose carrying amount is based on the fair value of the underlying collateral less costs to sell, as applicable (primarily real estate).

Estimated Fair Value of Financial Instruments Not Carried at Fair Value

The following tables present the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The tables below therefore exclude items measured at fair value on a recurring basis presented in the tables above.

(1) Includes $5.3 billion and $5.5 billion of non-marketable equity securities carried at cost at September 30, 2024 and December 31, 2023, respectively.

(2) The carrying value of loans is net of the allowance for credit losses on loans of $18.4 billion for September 30, 2024 and $18.1 billion for December 31, 2023. In addition, the carrying values exclude $0.3 billion and $0.3 billion of lease finance receivables at September 30, 2024 and December 31, 2023, respectively.

(3) Includes items measured at fair value on a nonrecurring basis.

(4) Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

(5) As a result of Citi refining its application of fair value hierarchy methodologies, certain deposit liabilities that were previously classified as Level 3 are now classified as Level 2.

(6) The carrying value includes long-term debt balances under qualifying fair value hedges.

(7) Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

The estimated fair values of the Company’s corporate unfunded lending commitments at September 30, 2024 and December 31, 2023 were off-balance sheet liabilities of $15.2 billion and $14.2 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancelable by providing notice to the borrower.

24. FAIR VALUE ELECTIONS

The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election

may not otherwise be revoked once an election is made. The changes in fair value are recorded in current earnings. Movements in DVA are reported as a component of AOCI.

The Company has elected fair value accounting for its mortgage servicing rights (MSRs). See Note 21 for additional details on Citi’s MSRs.

Additional discussion regarding other applicable areas in which fair value elections were made is presented in Note 23.

The following table presents the changes in fair value of those items for which the fair value option has been elected:

(1) Includes gains (losses) associated with interest rate lock commitments for originated loans for which the Company has elected the fair value option.

(2) Includes DVA that is included in AOCI. See Notes 19 and 23.

Own Debt Valuation Adjustments (DVA)

Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected using Citi’s credit spreads observed in the bond market. Changes in fair value of fair value option liabilities related to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI. See Note 19 for additional information.

Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse debt and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.

The estimated changes in the fair value of these non-derivative liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) were a loss of $(201) million and a gain of $395 million for the three months ended September 30, 2024 and 2023, and a loss of $(608) million and $(875) million for the nine months ended September 30, 2024 and 2023, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.

The Fair Value Option for Financial Assets and Financial Liabilities

Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain Uncollateralized Short-Term Borrowings

The Company elected the fair value option for certain portfolios of fixed income securities purchased under agreements to resell and fixed income securities sold under

agreements to repurchase, securities borrowed, securities loaned and certain uncollateralized short-term borrowings held primarily by broker-dealer entities in the U.S., the U.K. and Japan. In each case, the election was made because the related interest rate risk is managed on a portfolio basis, primarily with offsetting derivative instruments that are accounted for at fair value through earnings.

Changes in fair value for transactions in these portfolios are recorded in Principal transactions. The related interest income and interest expense are measured based on the contractual rates specified in the transactions and are reported as Interest income and Interest expense in the Consolidated Statement of Income.

Certain Loans and Other Credit Products

Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.

The following table provides information about certain credit products carried at fair value:

In addition to the amounts reported above, $280 million and $391 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of September 30, 2024 and December 31, 2023, respectively.

Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in Citi’s Consolidated Statement of Income. Related interest income is measured based on the contractual interest rates and reported as Interest income on Trading account assets or loan interest depending on the balance sheet classifications of the credit products. The changes in fair value for the three months ended September 30, 2024 and 2023 due to instrument-specific credit risk were a gain of $6 million and a loss of $(27) million, respectively. Changes in fair value due to instrument-specific credit risk are estimated based on changes in borrower-specific credit spreads and recovery assumptions.

Certain Investments in Unallocated Precious Metals

Citigroup invests in unallocated precious metals accounts (e.g., gold, silver, platinum and palladium) as part of its commodity trading activities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the contract within Trading account assets on the Company’s Consolidated Balance Sheet.

As part of its commodity trading activities, Citi trades unallocated precious metals investments and executes forward purchase and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings.

Certain Mortgage Loans Held-for-Sale (HFS)

Citigroup has elected the fair value option for certain purchased and originated prime fixed-rate and conforming adjustable-rate first mortgage loans HFS. These loans are intended for sale or securitization and are economically hedged with derivative instruments. The Company has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications.

The following table provides information about certain mortgage loans HFS carried at fair value:

The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the nine months ended September 30, 2024 and 2023 due to instrument-specific credit risk. Changes in fair value due to instrument-specific credit risk are estimated based on changes in the borrower default, prepayment and recovery forecasts in addition to instrument-specific credit spread. Related interest income continues to be measured based on the contractual interest rates and reported as Interest income in the Consolidated Statement of Income.

Certain Debt Liabilities

The Company has elected the fair value option for certain debt liabilities, because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions are classified as Long-term debt or Short-term borrowings on the Company’s Consolidated Balance Sheet.

The following table provides information about the carrying value of notes carried at fair value, disaggregated by type of risk:

The portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value are reported in Principal transactions. Changes in the fair value of these liabilities include accrued interest, which is also included in the change in fair value reported in Principal transactions.

The following table provides information about long-term debt and short-term borrowings carried at fair value:

25. GUARANTEES AND COMMITMENTS

The following tables present information about Citi’s guarantees at September 30, 2024 and December 31, 2023.

For additional information on Citi’s guarantees and indemnifications included in the tables below, as well as its other guarantees and indemnifications excluded from these tables, see Note 28 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

(1) The carrying values of securities lending indemnifications were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.

(2) At September 30, 2024 and December 31, 2023, this maximum potential exposure was estimated to be approximately $124 billion and $138 billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants.

Loans Sold with Recourse

In addition to the amounts presented in the tables above, the repurchase reserve was approximately $12 million and $11 million at September 30, 2024 and December 31, 2023, respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet.

Futures and Over-the-Counter Derivatives Clearing

Citi provides clearing services on central clearing parties (CCP) for clients that need to clear exchange-traded and over-the-counter (OTC) derivatives contracts with CCPs. As a clearing member, Citi is exposed to the risk of non-performance by clients (e.g., failure of a client to post variation margin to the CCP for negative changes in the value of the client’s derivative contracts). In the event of non-performance by a client, Citi would move to close out the client’s positions. The CCP would typically utilize initial margin posted by the client and held by the CCP, with any remaining shortfalls required to be paid by Citi as clearing member. Citi generally holds incremental cash or securities margin posted by the client, which would typically be expected to be sufficient to mitigate Citi’s credit risk in the event that the client fails to perform.

Carrying Value—Guarantees and Indemnifications

At September 30, 2024 and December 31, 2023, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to approximately $1.0 billion and $1.2 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities.

Collateral

Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $53.5 billion and $52.5 billion at September 30, 2024 and December 31, 2023, respectively. Securities and other marketable assets held as collateral amounted to $71.3 billion and $67.7 billion at September 30, 2024 and December 31, 2023, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. In addition, letters of credit in favor of Citi held as collateral amounted to $3.2 billion and $3.1 billion at September 30, 2024 and December 31, 2023, respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.

Performance Risk

Presented in the tables below are the maximum potential amounts of future payments that are classified based on internal and external credit ratings. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.

Credit Commitments and Lines of Credit

The majority of unused commitments are contingent upon customers maintaining specific credit standards. Commercial commitments generally have floating interest rates and fixed expiration dates and may require payment of fees. Such fees (net of certain direct costs) are deferred and, upon exercise of the commitment, amortized over the life of the loan or, if exercise is deemed remote, amortized over the commitment period.

The table below summarizes Citigroup’s credit commitments:

(1) Consumer commitments related to the business HFS countries under sales agreements are reflected in their original categories until the respective sales are completed.

(2) Other commitments and contingencies include commitments to purchase certain debt and equity securities.

Other Commitments

As a Federal Reserve member bank, Citi is required to subscribe to half of a certain amount of shares issued by its Federal Reserve District Bank. As of September 30, 2024 and December 31, 2023, Citi holds shares with a carrying value of $4.5 billion, with the remaining half subject to call by the Federal Reserve District Bank Board.

In the normal course of business, Citigroup enters into reverse repurchase and securities borrowing agreements, as well as repurchase and securities lending agreements, which settle at a future date. At September 30, 2024 and December 31, 2023, Citi had approximately $128.6 billion and $120.9 billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $135.3 billion and $96.4 billion of unsettled repurchase and securities lending agreements, respectively. See Note 11 for a further discussion of securities purchased under agreements to resell and securities borrowed, and securities sold under agreements to repurchase and securities loaned, including the Company’s policy for offsetting repurchase and reverse repurchase agreements.

These amounts are not included in the table above.

Restricted Cash

Citigroup defines restricted cash (as cash subject to withdrawal restrictions) to include cash deposited with central banks that must be maintained to meet minimum regulatory requirements, and cash set aside for the benefit of customers or for other purposes such as compensating balance arrangements or debt retirement. Restricted cash may include minimum reserve requirements at certain central banks and cash segregated to satisfy rules regarding the protection of customer assets as required by Citigroup broker-dealers’ primary regulators, including the SEC, the Commodity Futures Trading Commission and the United Kingdom’s Prudential Regulation Authority.

Restricted cash is included on the Consolidated Balance Sheet within the following balance sheet lines:

In addition to the restricted cash amounts presented above, at September 30, 2024 and December 31, 2023, approximately $5.8 billion and $3.9 billion, respectively, was held at the Russian Deposit Insurance Agency (DIA) and was subject to restrictions imposed by the Russian government. These restricted amounts are reported within Other assets on the Consolidated Balance Sheet.

26. LEASES

The Company’s operating leases, where Citi is a lessee, include real estate, such as office space and branches, and various types of equipment. These leases may contain renewal and extension options and early termination features; however, these options do not impact the lease term unless the Company is reasonably certain that it will exercise options. These leases have a weighted-average remaining lease term of approximately six years as of September 30, 2024.

For additional information regarding Citi’s leases, see Notes 1 and 29 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

The following table presents information on the right-of-use (ROU) asset and lease liabilities included in Premises and equipment and Other liabilities, respectively:

The Company recognizes fixed lease costs on a straight-line basis throughout the lease term in the Consolidated Statement of Income. In addition, variable lease costs are recognized in the period in which the obligation for those payments is incurred.

At September 30, 2024, the Company had a future lease commitment scheduled to commence in April 2025 with fixed lease payments (undiscounted) totaling approximately $255 million over a 15-year lease term.

27. CONTINGENCIES

The following information supplements and amends, as applicable, the disclosures in Note 27 to the Consolidated Financial Statements of Citigroup’s Second Quarter of 2024 Form 10-Q, Note 27 to the Consolidated Financial Statements of Citigroup’s First Quarter of 2024 Form 10-Q and Note 30 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K. For purposes of this Note, Citigroup, its affiliates and subsidiaries and current and former officers, directors, and employees, are sometimes collectively referred to as Citigroup and Related Parties.

In accordance with ASC 450, Citigroup establishes accruals for contingencies, including any litigation, regulatory, or tax matters disclosed herein, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters. With respect to previously incurred loss contingencies for which recovery is expected, Citi applies loss recovery accounting when disputes and uncertainties affecting recognition are resolved.

If Citigroup has not accrued for a matter because the matter does not meet the criteria for accrual (as set forth above), or Citigroup believes an exposure to loss exists in excess of the amount accrued for a particular matter, in each case assuming a material loss is reasonably possible but not probable, Citigroup discloses the matter. In addition, for such matters, Citigroup discloses an estimate of the aggregate reasonably possible loss or range of loss in excess of the amounts accrued for those matters for which an estimate can be made. At September 30, 2024, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately $1.3 billion in the aggregate.

As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation, regulatory, tax, or other matters are subject to particular uncertainties. For example, at the time of making an estimate, Citigroup may only have preliminary or incomplete information about the facts underlying the claim; its assumptions about the future rulings of the court or other tribunal on significant issues, or the behavior and incentives of adverse parties, regulators, or tax authorities may prove to be wrong; and the outcomes it is attempting to predict are often not amenable to the use of statistical or other quantitative analytical tools. In addition, from time to time an outcome may occur that Citigroup had not accounted for in its estimates because it had deemed such an outcome to be remote. For all these reasons, the amount of loss in excess of amounts accrued in relation to matters for which an estimate has been made could be substantially higher or lower than the range of loss included in the estimate.

Subject to the foregoing, it is the opinion of Citigroup’s management, based on current knowledge and after taking into account its current accruals, that the eventual outcome of all matters described in this Note would not be likely to have a material adverse effect on the consolidated financial condition of Citigroup. Nonetheless, given the substantial or indeterminate amounts sought in certain of these matters and the inherent unpredictability of such matters, an adverse outcome in certain of these matters could, from time to time, have a material adverse effect on Citigroup’s consolidated results of operations or cash flows in particular quarterly or annual periods.

For further information on ASC 450 and Citigroup’s accounting and disclosure framework for contingencies, including for any litigation, regulatory, and tax matters disclosed herein, see Note 30 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

Foreign Exchange Matters

On September 2, 2024, in MICHAEL O’HIGGINS FX CLASS REPRESENTATIVE LIMITED v. BARCLAYS BANK PLC AND OTHERS, the U.K. Supreme Court scheduled a hearing for April 1 and 2, 2025 on the defendants’ appeal of the Court of Appeal’s November 9, 2023 decision. Additional information concerning this action is publicly available in court filings under the docket numbers 1336/7/7/19 in the U.K. Competition Appeal Tribunal, CA-2022-002002 in the Court of Appeal, and UKSC 2023/0177 in the U.K. Supreme Court.

On February 20, 2024, in GERTLER, ET AL. v. DEUTSCHE BANK AG, the parties filed a motion for the Tel Aviv Central District Court to approve a settlement agreement. On September 15, 2024, the parties responded to objections filed in connection with the proposed settlement agreement. A hearing has been set for December 26, 2024. Additional information concerning this action is publicly available in court filings under the docket number CA 29013-09-18.

Sovereign Securities Matters

On July 29, 2024 in IN RE MEXICAN GOVERNMENT BONDS ANTITRUST LITIGATION, certain defendants, including Citibanamex, moved to dismiss the third amended complaint. Additional information concerning this action is publicly available in court filings under the docket numbers 18-CV-2830 (S.D.N.Y.) (Oetken, J.) and 22-2039 (2d Cir.).

Settlement Payments

Payments required in any settlement agreements described above have been made or are covered by existing litigation or other accruals.

28. SUBSIDIARY GUARANTEES

Citigroup Inc. has fully and unconditionally guaranteed the payments due on debt securities issued by Citigroup Global Markets Holdings Inc. (CGMHI), a wholly owned subsidiary, under the Senior Debt Indenture dated as of March 8, 2016, between CGMHI, Citigroup Inc. and The Bank of New York Mellon, as trustee. In addition, Citigroup Capital III and Citigroup Capital XIII (collectively, the Capital Trusts), each of which is a wholly owned finance subsidiary of Citigroup Inc., have issued trust preferred securities. Citigroup Inc. has guaranteed the payments due on the trust preferred securities

to the extent that the Capital Trusts have insufficient available funds to make payments on the trust preferred securities. The guarantee, together with Citigroup Inc.’s other obligations with respect to the trust preferred securities, effectively provides a full and unconditional guarantee of amounts due on the trust preferred securities (see Note 18). No other subsidiary of Citigroup Inc. guarantees the debt securities issued by CGMHI or the trust preferred securities issued by the Capital Trusts.

Summarized financial information for Citigroup Inc. and CGMHI is presented in the tables below:

SUMMARIZED INCOME STATEMENT

SUMMARIZED BALANCE SHEET

UNREGISTERED SALES OF EQUITY SECURITIES, REPURCHASES OF EQUITY SECURITIES AND DIVIDENDS

Unregistered Sales of Equity Securities

None.

Equity Security Repurchases

All large banks, including Citi, are subject to limitations on capital distributions in the event of a breach of any regulatory capital buffers, including the Stress Capital Buffer, with the degree of such restrictions based on the extent to which the buffers are breached. For additional information, see “Capital Resources—Regulatory Capital Buffers” and “Risk Factors—Strategic Risks,” “—Operational Risks” and “—Compliance Risks” in Citi’s 2023 Form 10-K.

The following table summarizes Citi’s common share repurchases for the third quarter of 2024:

(1) Repurchases not made pursuant to any publicly announced plan or program.

(2) During the third quarter, pursuant to Citigroup’s Board of Directors’ authorization, Citi withheld an insignificant number of shares of common stock, added to treasury stock, related to activity on employee stock programs to satisfy the employee tax requirements.

Dividends

Citi paid common dividends of $0.56 per share for the third quarter of 2024, and on October 23, 2024, declared common dividends of $0.56 per share for the fourth quarter of 2024.

Citi’s ability to pay common stock dividends is subject to limitations on capital distributions in the event of a breach of any regulatory capital buffers, including the Stress Capital Buffer, with the degree of such restrictions based on the extent to which the buffers are breached. For additional information, see “Capital Resources—Regulatory Capital Buffers” and “Risk Factors—Strategic Risks,” “—Operational Risks” and “—Compliance Risks” in Citi’s 2023 Form 10-K.

Any dividend on Citi’s outstanding common stock would also need to be in compliance with Citi’s obligations on its outstanding preferred stock.

On October 23, 2024, Citi declared preferred dividends of approximately $257 million for the fourth quarter of 2024.

For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 20 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.

OTHER INFORMATION

Insider Trading Arrangements

During the third quarter of 2024, no director or executive officer of Citi adopted or terminated any Rule 10b5-1 or non-Rule 10b5-1 trading arrangement (each, as defined in Item 408 of Regulation S-K).

EXHIBIT INDEX

Exhibit / Number Description of Exhibit

3.01+ Restated Certificate of Incorporation of Citigroup, as amended, as in effect on the date hereof. 10.1*+ Form of Citigroup Inc. CAP Agreement (for awards to be granted in February 2025 and future years). 10.2*+ Form of Citigroup Inc. Performance Share Unit Award Agreement (for awards to be granted in February 2025 and future years). 10.3*+ Agreement between Andrew Sieg and Citibank, N.A. (dated March 20, 2023). 22.01+ Subsidiary Issuers of Guaranteed Securities. 31.01+ Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. 31.02+ Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. 32.01+ Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. 99.01+ List of Securities Registered Pursuant to Section 12(b) of the Securities Exchange Act of 1934, formatted in Inline XBRL. 101.01+ Financial statements from the Quarterly Report on Form 10-Q of Citigroup for the quarterly period ended September 30, 2024, filed on November 7, 2024, formatted in Inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Stockholders’ Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to the Consolidated Financial Statements. (104) See the cover page of this Quarterly Report on Form 10-Q, formatted in Inline XBRL.

The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.

• Denotes a management contract or compensatory plan or arrangement.

• Filed herewith.