UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-K

ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF

THE SECURITIES EXCHANGE ACT OF 1934

For the fiscal year ended December 31, 2016

Commission file number 1-9924

Citigroup Inc.

(Exact name of registrant as specified in its charter)

Delaware (State or other jurisdiction of incorporation or organization)	52-1568099 (I.R.S. Employer Identification No.)
388 Greenwich Street, New York, NY (Address of principal executive offices)	10013 (Zip code)
(212) 559-1000 (Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: See Exhibit 99.01

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

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

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

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

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x  No o

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. x

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

Large accelerated filer x Accelerated filer o Non-accelerated filer o  (Do not check if a smaller reporting company) Smaller reporting company o

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

The aggregate market value of Citigroup Inc. common stock held by non-affiliates of Citigroup Inc. on June 30, 2016 was approximately $123.0 billion.

Number of shares of Citigroup Inc. common stock outstanding on January 31, 2017: 2,770,709,339

Documents Incorporated by Reference: Portions of the registrant’s proxy statement for the annual meeting of stockholders scheduled to be held on April 25, 2017, are incorporated by reference in this Form 10-K in response to Items 10, 11, 12, 13 and 14 of Part III.

Available on the web at www.citigroup.com

FORM 10-K CROSS-REFERENCE INDEX

Item Number		Page
Part I
1.	Business	2–30, 120–122,
		125, 152,
		306–307
1A.	Risk Factors	54–62
1B.	Unresolved Staff Comments	Not Applicable
2.	Properties	306–307
3.	Legal Proceedings—See Note 27 to the Consolidated Financial Statements	283–291
4.	Mine Safety Disclosures	Not Applicable
Part II
5.	Market for Registrant’s Common Equity, Related Stockholder Matters, and Issuer Purchases of Equity Securities	134–135, 157–159, 308
6.	Selected Financial Data	8–9
7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	5–32, 64–119
7A.	Quantitative and Qualitative Disclosures About Market Risk	64–119, 153–155, 179–219, 222–275
8.	Financial Statements and Supplementary Data	129–305
9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	Not Applicable
9A.	Controls and Procedures	123–124
9B.	Other Information	Not Applicable

Part III
10.	Directors, Executive Officers and Corporate Governance	310–311*
11.	Executive Compensation	**
12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	***
13.	Certain Relationships and Related Transactions and Director Independence	****
14.	Principal Accountant Fees and Services	*****
Part IV
15.	Exhibits and Financial Statement Schedules	313–317

*	For additional information regarding Citigroup’s Directors, see “Corporate Governance,” “Proposal 1: Election of Directors” and “Section 16(a) Beneficial Ownership Reporting Compliance” in the definitive Proxy Statement for Citigroup’s Annual Meeting of Stockholders scheduled to be held on April 25, 2017, to be filed with the SEC (the Proxy Statement), incorporated herein by reference.
**	See “Compensation Discussion and Analysis,” “The Personnel and Compensation Committee Report,” and “2016 Summary Compensation Table and Compensation Information” in the Proxy Statement, incorporated herein by reference.
***	See “About the Annual Meeting,” “Stock Ownership,” and “Equity Compensation Plan Information” in the Proxy Statement, incorporated herein by reference.
****	See “Corporate Governance—Director Independence,” “—Certain Transactions and Relationships, Compensation Committee Interlocks and Insider Participation,” and “—Indebtedness” in the Proxy Statement, incorporated herein by reference.
*****	See “Proposal 2: Ratification of Selection of Independent Registered Public Accounting Firm” in the Proxy Statement, incorporated herein by reference.

CITIGROUP’S 2016 ANNUAL REPORT ON FORM 10-K

OVERVIEW	2
MANAGEMENT'S DISCUSSION AND   ANALYSIS OF FINANCIAL CONDITION AND   RESULTS OF OPERATIONS	5
Executive Summary	5
Summary of Selected Financial Data	8
SEGMENT AND BUSINESS—INCOME (LOSS)   AND REVENUES	10
SEGMENT BALANCE SHEET	12
CITICORP	13
Global Consumer Banking	14
North America GCB	16
Latin America GCB	19
Asia GCB	21
Institutional Clients Group	23
Corporate/Other	28
CITI HOLDINGS	29
OFF-BALANCE SHEET   ARRANGEMENTS	31
CONTRACTUAL OBLIGATIONS	32
CAPITAL RESOURCES	33
RISK FACTORS	54
Managing Global Risk Table of Contents	63
MANAGING GLOBAL RISK	64
SIGNIFICANT ACCOUNTING POLICIES AND   SIGNIFICANT ESTIMATES	120
DISCLOSURE CONTROLS AND   PROCEDURES	123
MANAGEMENT’S ANNUAL REPORT ON   INTERNAL CONTROL OVER FINANCIAL   REPORTING	124
FORWARD-LOOKING STATEMENTS	125
REPORT OF INDEPENDENT REGISTERED   PUBLIC ACCOUNTING FIRM—INTERNAL   CONTROL OVER FINANCIAL REPORTING	126
REPORT OF INDEPENDENT REGISTERED   PUBLIC ACCOUNTING FIRM—   CONSOLIDATED FINANCIAL STATEMENTS	127
FINANCIAL STATEMENTS AND NOTES   TABLE OF CONTENTS	128
CONSOLIDATED FINANCIAL STATEMENTS	129
NOTES TO CONSOLIDATED FINANCIAL   STATEMENTS	138
FINANCIAL DATA SUPPLEMENT	305
SUPERVISION, REGULATION AND OTHER	306
CORPORATE INFORMATION	310
Citigroup Executive Officers	310
Citigroup Board of Directors	311

1

OVERVIEW

Citigroup’s history dates back to the founding of the City

Bank of New York in 1812.

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

At December 31, 2016, Citi had approximately 219,000 full-time employees, compared to approximately 231,000 full-time employees at December 31, 2015.

Citigroup currently operates, for management reporting purposes, via two primary business segments: Citicorp, consisting of Citi’s Global Consumer Banking businesses and Institutional Clients Group; and Citi Holdings, consisting of businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses. For a further description of the business segments and the products and services they provide, see “Citigroup Segments” below, “Management’s Discussion and Analysis of Financial Condition and Results of Operations” and Note 3 to the Consolidated Financial Statements.

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

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

Certain reclassifications, including a realignment of certain businesses, have been made to the prior periods’ financial statements to conform to the current period’s presentation. For information on certain recent such reclassifications, see Note 3 to the Consolidated Financial Statements.

Please see “Risk Factors” below for a discussion of the most significant risks and uncertainties that could impact Citigroup’s businesses, financial condition and results of operations.

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As described above, Citigroup is managed pursuant to the following segments:

(Chart continues on next page.)

3

The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.

* As announced in April 2016, beginning in the first quarter of 2017, the remaining businesses and portfolios of assets in Citi Holdings will be reported as part of Corporate/Other and Citi Holdings will cease to be a separately reported business segment. For additional information, see “Citicorp” and “Citi Holdings” below. Citi intends to release a revised Quarterly Financial Data Supplement reflecting this realignment prior to the release of its first quarter of 2017 earnings.

(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.

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

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MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

EXECUTIVE SUMMARY

As described further throughout this Executive Summary, Citi’s full year 2016 results of operations reflected solid overall performance and underlying momentum across the franchise, including in several businesses where Citi has been making investments, such as its North America Citi-branded cards business. Citi also continued to demonstrate strong expense discipline, resulting in a Citicorp operating efficiency ratio of 58% in 2016.

In Global Consumer Banking (GCB), results for the North America Citi-branded cards business reflected the acquisition of the Costco portfolio (late in the second quarter of 2016), but also modest growth in average loans and purchase sales in the remainder of the portfolio. International GCB results reflected revenue growth and positive operating leverage in Mexico, and Citi announced its $1 billion investment in Mexico to be completed by 2020 where it believes it has the opportunity to build upon its strong brand position and scale to lead to improved returns. In Institutional Clients Group (ICG), Citi generated year-over-year revenue growth, despite the challenging market conditions in the first quarter of 2016 and the volatility in the energy sector earlier in the year.

In Citicorp, loans increased 4% and deposits increased 3%. Excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation), Citicorp loans increased 6% and deposits increased 5%. (Citi’s results of operations excluding the impact of FX translation are non-GAAP financial measures. Citi believes the presentation of its results of operations excluding the impact of FX translation provides a meaningful depiction for investors of the underlying fundamentals of its businesses.) Credit quality remained broadly favorable in every region.

2016 was an important year for Citi in several additional respects. First, Citi Holdings will no longer be reported separately (it will be reported as part of Corporate/Other beginning in the first quarter of 2017). At its peak, Citi Holdings had over $800 billion in assets and in certain quarters generated significant losses. As of December 31, 2016, Citi Holdings’ assets of $54 billion constituted only approximately 3% of Citigroup’s GAAP assets, and with $87 million of net income in the fourth quarter of 2016, Citi Holdings was profitable for ten consecutive quarters. Accordingly, the results of operations and financial condition of Citigroup are now driven by the core Citicorp franchise.

Second, Citi increased the amount of capital it returned to shareholders during 2016 while at the same time increasing its key regulatory capital metrics (see “Capital Resources” below). During 2016, Citi returned nearly $11.0 billion of capital to common shareholders in the form of dividends and the repurchase of 196 million common shares, including the additional $1.75 billion increase to its common stock repurchase program announced in November 2016. And third, while Citi has more work to do, Citi achieved a significant milestone during 2016 when it received feedback from the

Federal Reserve Board and FDIC that neither agency had found deficiencies in Citi’s 2015 resolution plan.

Going into 2017, while economic sentiment has improved, there continues to be much uncertainty, primarily as a result of a new U.S. presidential administration and policies and the anticipated beginning of the exit of the U.K. from the European Union. For a more detailed discussion of the risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition during 2017, see each respective business’s results of operations, “Risk Factors” and “Managing Global Risk” below. Despite these uncertainties, Citi intends to continue to build on the progress made during 2016 with a focus on further optimizing its performance to benefit shareholders.

2016 Summary Results

Citigroup

Citigroup reported net income of $14.9 billion, or $4.72 per share, compared to $17.2 billion, or $5.40 per share, in the prior year. Results in 2015 included $254 million ($162 million after-tax) of CVA/DVA.

Excluding the impact of CVA/DVA in 2015, Citigroup reported net income of $14.9 billion for 2016, or $4.72 per share, compared to $17.1 billion, or $5.35 per share, in the prior year. (Citi’s results of operations excluding the impact of CVA/DVA are non-GAAP financial measures. Citi excludes the impact of CVA/DVA from results for 2015 for consistency with the current year’s presentation.) The 13% decrease in net income from the prior year was primarily driven by lower revenues, largely due to the decline in Citi Holdings, partially offset by lower expenses and lower credit costs.

Citi’s revenues were $69.9 billion in 2016, a decrease of 8% from the prior year, driven by a 2% decline in Citicorp and a 57% decline in Citi Holdings. Excluding CVA/DVA in 2015 and the impact of FX translation (which increased the reported decline in revenues versus the prior year by approximately $1.7 billion), Citigroup revenues decreased 6% from the prior year, driven by a 56% decrease in Citi Holdings, partially offset by a 1% increase in Citicorp revenues.

As previously announced, in January 2017, Citi signed agreements to effectively exit its U.S. mortgage servicing operations by the end of 2018 and intensify its focus on originations. These transactions are expected to negatively impact Citi’s pretax earnings by approximately $400 million, including a loss on sale and certain related transaction costs, in the first quarter of 2017. For additional information on these transactions, see Note 29 to the Consolidated Financial Statements.

Expenses

Citigroup expenses decreased 5% versus the prior year as significantly lower expenses in Citi Holdings, efficiency savings and a benefit from the impact of FX translation were partially offset by ongoing investments in Citicorp (including those referenced above). FX translation increased the reported

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decline in expenses versus the prior year period by approximately $1.2 billion.

Citicorp expenses increased 1%, reflecting the ongoing investments in the franchise, partially offset by efficiency savings and the benefit from the impact of FX translation.

Citi Holdings’ expenses were $3.2 billion, down 43% from the prior year, primarily driven by sales and run-off of Citi Holdings assets and lower legal and repositioning costs.

Credit Costs

Citi’s total provisions for credit losses and for benefits and claims of $7.0 billion decreased 12% from the prior year. The decrease was driven by a decrease in net credit losses and a lower provision for benefits and claims due to lower insurance-related business activity within Citi Holdings, partially offset by a net loan loss reserve build, largely driven by North America cards within Citicorp, compared to a net loan loss reserve release in the prior year.

Net credit losses of $6.6 billion declined 10% versus the prior year. Consumer net credit losses declined 14% to

$6.1 billion, mostly reflecting continued improvement in the

North America mortgage portfolio and ongoing divestiture activity within Citi Holdings, partially offset by higher net credit losses in North America cards in Citicorp due to volume growth. Corporate net credit losses increased $267 million to $511 million, mostly related to the energy portfolio in the first half of 2016, with a vast majorityof the corporate net credit losses offset by releases of previously established loan loss reserves (for additional information, see “Institutional Clients Group” and “Credit Risk—Corporate Credit” below).

The net build of allowance for loan losses and unfunded lending commitments was $217 million in 2016, compared to a $120 million release in 2015. Citicorp’s net reserve build was $680 million, compared to a net loan loss reserve build of $358 million in 2015. The larger net reserve build in 2016 was primarily related to the North America cards franchise, driven primarily by the impact of the Costco portfolio acquisition, volume growth and seasoning and the absence of reserve releases that occurred in 2015 as credit normalized (see “Global Consumer Banking—North America GCB” below), partially offset by a net reserve release in ICG. Overall, Citi expects its credit costs will likely be higher in 2017 as compared to 2016, driven by loan growth and seasoning.

For additional information on Citi’s consumer and corporate credit costs and allowance for loan losses, see “Credit Risk” below.

Capital

Citigroup’s Tier 1 Capital and Common Equity Tier 1 Capital ratios, on a fully implemented basis, were 14.2% and 12.6% as of December 31, 2016, respectively, compared to 13.5% and 12.1% as of December 31, 2015 (all based on the Basel III Advanced Approaches for determining risk-weighted assets). Citigroup’s Supplementary Leverage ratio as of December 31, 2016, on a fully implemented basis, was 7.2%, compared to 7.1% as of December 31, 2015. For additional information on Citi’s capital ratios and related components, including the

impact of Citi’s DTAs on its capital ratios, see “Capital Resources” below.

Citicorp

Citicorp net income decreased 12% from the prior year to $14.3 billion. CVA/DVA, recorded in ICG,was $269 million ($172 million after-tax) in 2015 (for a summary of CVA/DVA by business within ICG, see “Institutional Clients Group” below). Excluding CVA/DVA in 2015, Citicorp’s net income decreased 11% from the prior year, primarily driven by lower revenues, higher expenses and higher credit costs.

Citicorp revenues decreased 2% from the prior year to $66.0 billion, reflecting a 2% decline in GCB revenues and lower revenues in Corporate/Other as ICG revenues were largely unchanged. As referenced above, excluding CVA/DVA in 2015 and the impact of FX translation, Citicorp’s revenues increased 1% versus the prior year, as growth in the GCB and ICG franchises were partially offset by lower revenues in Corporate/Other.

GCB revenues of $31.8 billion decreased 2% versus the prior year. Excluding the impact of FX translation, GCB revenues increased 1%, as increases in North America GCB and Latin America GCB werepartially offset by a decrease in Asia GCB. North America GCB revenues increased 1% to $20.0 billion, as higher revenues in Citi-branded cards were partially offset by lower retail banking revenues. Citi-branded cards revenues of $8.2 billion were up 5% versus the prior year, mostly reflecting the addition of the Costco portfolio. Citi retail services revenues of $6.4 billion were largely unchanged versus the prior year, as the impact of previously disclosed renewals and extension of several partnerships as well as the absence of revenues from portfolio exits was offset by modest growth in average loans. Retail banking revenues decreased 3% from the prior year to $5.3 billion. Excluding the previously disclosed $110 million gain on the sale of branches in Texas in the prior year, retail banking revenues decreased 1% reflecting lower mortgage revenues, partially offset by higher average loans and checking deposits.

North America GCB average deposits of $183 billion increased 1% year-over-year and average retail loans of $54 billion grew 9%. Average Citi retail services loans of $44 billion increased 1% versus the prior year while retail services purchase sales of $80 billion were unchanged versus the prior year. Average Citi-branded card loans of $73 billion increased 14%, while Citi-branded card purchase sales of $251 billion increased 37% versus the prior year, each including the impact of the Costco portfolio acquisition. For additional information on the results of operations of North America GCB for 2016, see “Global Consumer Banking—North America GCB” below.

International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes the results of operations of GCB activities in certain EMEA countries)) decreased 8% versus the prior year to $11.8 billion, driven by a decline in Latin America GCB (14%) and Asia GCB (2%). Excluding the impact of FX translation, international GCB revenues were unchanged versus the prior year. Latin America GCB revenues increased 1% versus the prior year, as increases in average loan and deposit balances were partially offset by the

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absence of the previously disclosed $160 million gain (excluding the impact of FX translation, $180 million as reported) related to the sale of Citi’s merchant acquiring business in Mexico in the third quarter of 2015.

Asia GCB revenues declined 1% versus the prior year, reflectinglower wealth management revenues driven by weak investor sentiment in early 2016, partially offset by growth in cards revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for 2016, including the impact of FX translation,see “Global Consumer Banking” below. Year-over-year, international GCB average deposits of $117 billion increased 6%, average retail loans of $86 billion decreased 1%, investment assets under management were largely unchanged, average card loans of $23 billion increased 1% and card purchase sales of $90 billion increased 3%, all excluding the impact of FX translation.

ICG revenues were $33.9 billion in 2016, largely unchanged from the prior year as a 4% increase in Markets and securities services was offset by a 5% decrease in Banking revenues (including the impact of $594 of million mark-to-market losses on hedges related to accrual loans within corporate lending, compared to gains of $324 million in the prior year). Excluding CVA/DVA in 2015 and the impact of mark-to-market gains (losses) on loan hedges, ICG revenues increased 3% from the prior year to $34.4 billion, driven by 6% growth in Markets and securities services and 1% growth in Banking revenues.

Banking revenues of $17.1 billion (excluding CVA/DVA in 2015 and the impact of mark-to-market gains (losses) on hedges), were up 1% compared to the prior year, as growth in treasury and trade solutions and private bank were partially offset by lower investment banking revenues. Investment banking revenues of $4.3 billion decreased 6% versus the prior year. Advisory revenues decreased 9% to $1.0 billion, primarily reflecting lower activity during the first half of 2016. Debt underwriting revenues increased 5% to $2.7 billion, as the continued low interest rate environment resulted in strong industry-wide activity in 2016, while equity underwriting revenues decreased 31% to $628 million, largely reflecting an industry-wide slowdown in activity during the year.

Private bank revenues increased 3% (3% excluding CVA/DVA in 2015) to $3.0 billion from the prior year, driven by loan growth and improved deposit spreads, partially offset by lower capital markets activity. Corporate lending revenues declined 46% to $1.2 billion, including $594 million of mark-to-market losses on hedges related to accrual loans compared to a $324 million gain in the prior year. Excluding the mark-to-market impact of loan hedges, corporate lending revenues decreased 3% versus the prior year, primarily driven by a lease financing adjustment in the second quarter of 2016, lower spreads and higher hedging costs. Treasury and trade solutions revenues of $8.1 billion increased 4% versus the prior year. Excluding the impact of FX translation, treasury and trade solutions revenues increased 8%, reflecting continued growth in transaction volumes and fee growth.

Markets and securities services revenues of $17.3 billion, excluding CVA/DVA in 2015, increased 6% from the prior year. Fixed income markets revenues of $13.0 billion

increased 13% (15% excluding CVA/DVA in 2015) from the prior year, driven by growth in both rates and currencies and spread products. Equity markets revenues of $2.9 billion decreased 10% (9% excluding CVA/DVA in 2015) from the prior year, reflecting an industry-wide slowdown in client activity. Securities services revenues of $2.2 billion increased 1% versus the prior year. Excluding the impact of FX translation, securities services revenues increased 5% as increased client activity, higher deposit volumes and improved spreads more than offset the absence of revenues from divested businesses. For additional information on the results of operations of ICG for 2016, see “Institutional Clients Group” below.

Corporate/Other revenues decreased to $410 million from $908 million in the prior year, primarily reflecting the absence of gains from real estate and other asset sales and the equity contribution related to Citi’s stake in China Guangfa Bank, which was divested in the third quarter of 2016. For additional information on the results of operations of Corporate/Other for 2016, see “Corporate/Other” below.

Citicorp end-of-period loans increased 4% to $591 billion from the prior year, driven by a 5% increase in consumer loans and a 3% increase in corporate loans. Excluding the impact of FX translation, Citicorp loans grew 6%, with 8% growth in consumer loans and 4% growth in corporate loans.

Citi Holdings

Citi Holdings’ net income was $600 million in 2016, compared to $974 million in the prior year. CVA/DVAwas negative $15 million (negative $10 million after-tax) in 2015. Excluding the impact of CVA/DVA in the prior year, Citi Holdings’ net income was $600 million, compared to $984 million in the prior year, primarily reflecting lower revenues, partially offset lower expenses and lower credit costs. Citi does not expect the same level of net income from Citi Holdings to recur in 2017.

Citi Holdings’ revenues were $3.9 billion, down 57% from the prior year. Excluding CVA/DVA in 2015, Citi Holdings’ revenues also decreased 57% to $3.9 billion from the prior year, mainly reflecting continued reductions in Citi Holdings assets and lower net gains on asset sales. For additional information on the results of operations of Citi Holdings for 2016, see “Citi Holdings” below.

As noted above, at the end of 2016, Citi Holdings’ assets were $54 billion, 33% below the prior year, and represented approximately 3% of Citi’s total GAAP assets. Citi Holdings’ risk-weighted assets were $104 billion as of December 31, 2016, a decrease of 25% from the prior year, and represented 9% of Citi’s risk-weighted assets under Basel III (based on the Advanced Approaches for determining risk-weighted assets).

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RESULTS OF OPERATIONS

SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1

Citigroup Inc. and Consolidated Subsidiaries

In millions of dollars, except per-share amounts and ratios	2016			2015			2014			2013		2012
Net interest revenue	$	45,104		$	46,630		$	47,993		$	46,793	$	46,686
Non-interest revenue	24,771			29,724			29,226			29,931		22,844
Revenues, net of interest expense	$	69,875		$	76,354		$	77,219		$	76,724	$	69,530
Operating expenses	41,416			43,615			55,051			48,408		50,036
Provisions for credit losses and for benefits and claims	6,982			7,913			7,467			8,514		11,329
Income from continuing operations before income taxes	$	21,477		$	24,826		$	14,701		$	19,802	$	8,165
Income taxes	6,444			7,440			7,197			6,186		397
Income from continuing operations	$	15,033		$	17,386		$	7,504		$	13,616	$	7,768
Income (loss) from discontinued operations, net of taxes(1)	(58		)	(54		)	(2		)	270		(58		)
Net income before attribution of noncontrolling interests	$	14,975		$	17,332		$	7,502		$	13,886	$	7,710
Net income attributable to noncontrolling interests	63			90			192			227		219
Citigroup’s net income	$	14,912		$	17,242		$	7,310		$	13,659	$	7,491
Less:
Preferred dividends—Basic	$	1,077		$	769		$	511		$	194	$	26
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS	195			224			111			263		164
Income allocated to unrestricted common shareholders for basic EPS	$	13,640		$	16,249		$	6,688		$	13,202	$	7,301
Add: Other adjustments to income	—			—			1			1		10
Income allocated to unrestricted common shareholders for diluted EPS	$	13,640		$	16,249		$	6,689		$	13,203	$	7,311
Earnings per share
Basic
Income from continuing operations	$	4.74		$	5.43		$	2.21		$	4.26	$	2.51
Net income	4.72			5.41			2.21			4.35		2.49
Diluted
Income from continuing operations	$	4.74		$	5.42		$	2.20		$	4.25	$	2.44
Net income	4.72			5.40			2.20			4.34		2.42
Dividends declared per common share	0.42			0.16			0.04			0.04		0.04

Statement continues on the next page, including notes to the table.

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SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2

	Citigroup Inc. and Consolidated Subsidiaries
In millions of dollars, except per-share amounts, ratios and direct staff	2016			2015			2014			2013			2012
At December 31:
Total assets	$	1,792,077		$	1,731,210		$	1,842,181		$	1,880,035		$	1,864,328
Total deposits	929,406			907,887			899,332			968,273			930,560
Long-term debt	206,178			201,275			223,080			221,116			239,463
Citigroup common stockholders’ equity	205,867			205,139			199,717			197,254			186,155
Total Citigroup stockholders’ equity	225,120			221,857			210,185			203,992			188,717
Direct staff (in thousands)	219			231			241			251			259
Performance metrics
Return on average assets	0.82		%	0.95		%	0.39		%	0.73		%	0.39		%
Return on average common stockholders’ equity(2)	6.6			8.1			3.4			7.0			4.1
Return on average total stockholders’ equity(2)	6.5			7.9			3.5			6.9			4.1
Efficiency ratio (Total operating expenses/Total revenues)	59			57			71			63			72
Basel III ratios—full implementation
Common Equity Tier 1 Capital(3)	12.57		%	12.07		%	10.57		%	10.57		%	8.72		%
Tier 1 Capital(3)	14.24			13.49			11.45			11.23			9.03
Total Capital(3)	16.24			15.30			12.80			12.64			10.81
Supplementary Leverage ratio(4)	7.22			7.08			5.94			5.42			N/A
Citigroup common stockholders’ equity to assets	11.49		%	11.85		%	10.84		%	10.49		%	9.99		%
Total Citigroup stockholders’ equity to assets	12.56			12.82			11.41			10.85			10.12
Dividend payout ratio(5)	8.9			3.0			1.8			0.9			1.7
Book value per common share	$	74.26		$	69.46		$	66.05		$	65.12		$	61.46
Tangible book value (TBV) per share(6)	$	64.57		$	60.61		$	56.71		$	55.19		$	51.08
Ratio of earnings to fixed charges and preferred stock dividends	2.54x			2.89x			2.00x			2.18x			1.39x

(1) See Note 2 to the Consolidated Financial Statements for additional information on Citi’s discontinued operations.

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

(3) Citi’s regulatory capital ratios reflect full implementation of the U.S. Basel III rules. Risk-weighted assets are based on the Basel III Advanced Approaches for determining total risk-weighted assets.

(4) Citi’s Supplementary Leverage ratio reflects full implementation of the U.S. Basel III rules.

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

(6) For information on TBV, see “Capital Resources—Tangible Common Equity, Tangible Book Value Per Share, Book Value Per Share and Returns on Equity” below.

N/A Not Applicable

9

SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES

CITIGROUP INCOME

In millions of dollars	2016			2015			2014			% Change   2016 vs. 2015		% Change   2015 vs. 2014
Income (loss) from continuing operations
CITICORP
Global Consumer Banking
North America	$	3,356		$	4,311		$	4,488		(22	)%	(4	)%
Latin America	669			868			993			(23	)	(13	)
Asia(1)	1,083			1,197			$	1,221		(10	)	(2	)
Total	$	5,108		$	6,376		$	6,702		(20	)%	(5	)%
Institutional Clients Group
North America	$	3,678		$	3,517		$	4,155		5	%	(15	)%
EMEA	2,476			2,340			2,060			6		14
Latin America	1,481			1,393			1,401			6		(1	)
Asia	2,293			2,279			2,029			1		12
Total	$	9,928		$	9,529		$	9,645		4	%	(1	)%
Corporate/Other	$	(609	)	$	496		$	(5,373	)	NM		NM
Total Citicorp	$	14,427		$	16,401		$	10,974		(12	)%	49	%
Citi Holdings	$	606		$	985		$	(3,470	)	(38	)%	NM
Income from continuing operations	$	15,033		$	17,386		$	7,504		(14	)%	NM
Discontinued operations	$	(58	)	$	(54	)	$	(2	)	(7	)%	NM
Net income attributable to noncontrolling interests	63			90			192			(30	)%	(53	)%
Citigroup’s net income	$	14,912		$	17,242		$	7,310		(14	)%	NM

(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.

NM Not meaningful

10

CITIGROUP REVENUES

In millions of dollars	2016		2015		2014		% Change   2016 vs. 2015		% Change   2015 vs. 2014
CITICORP
Global Consumer Banking
North America	$	19,956	$	19,718	$	19,948	1	%	(1	)%
Latin America	4,969		5,770		6,557		(14	)	(12	)
Asia(1)	6,838		7,007		7,791		(2	)	(10	)
Total	$	31,763	$	32,495	$	34,296	(2	)%	(5	)%
Institutional Clients Group
North America	$	12,817	$	12,980	$	13,002	(1	)%	—	%
EMEA	10,029		9,958		9,511		1		5
Latin America	4,026		4,051		4,218		(1	)	(4	)
Asia	6,978		7,002		6,581		—		6
Total	$	33,850	$	33,991	$	33,312	—	%	2	%
Corporate/Other	$	410	$	908	$	303	(55	)%	NM
Total Citicorp	$	66,023	$	67,394	$	67,911	(2	)%	(1	)%
Citi Holdings	$	3,852	$	8,960	$	9,308	(57	)%	(4	)%
Total Citigroup net revenues	$	69,875	$	76,354	$	77,219	(8	)%	(1	)%

(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.

NM Not meaningful

11

SEGMENT BALANCE SHEET⁽¹⁾ 

In millions of dollars	Global Consumer Banking		Institutional Clients Group		Corporate/Other and consolidating eliminations(2)			Subtotal Citicorp			Citi Holdings		Citigroup Parent company- issued long-term debt and stockholders’ equity(3)			Total Citigroup consolidated
Assets
Cash and deposits with banks	$	9,779	$	63,697	$	86,559		$	160,035		$	459	$	—		$	160,494
Federal funds sold and securities borrowed or purchased under agreements to resell	219		236,078		—			236,297			516		—			236,813
Trading account assets	6,511		234,322		727			241,560			2,365		—			243,925
Investments	9,499		114,044		225,239			348,782			4,522		—			353,304
Loans, net of unearned income and
allowance for loan losses	284,089		296,215		—			580,304			32,005		—			612,309
Other assets	41,922		87,940		42,988			172,850			12,382		—			185,232
Liquidity assets(4)	61,046		243,483		(306,049		)	(1,520		)	1,520		—			—
Total assets	$	413,065	$	1,275,779	$	49,464		$	1,738,308		$	53,769	$	—		$	1,792,077
Liabilities and equity
Total deposits	$	301,336	$	610,368	$	15,495		$	927,199		$	2,207	$	—		$	929,406
Federal funds purchased and securities loaned or sold under agreements to repurchase	4,120		137,658		—			141,778			43		—			141,821
Trading account liabilities	16		138,601		46			138,663			382		—			139,045
Short-term borrowings	458		18,242		12,001			30,701			—		—			30,701
Long-term debt(3)	1,194		31,626		22,176			54,996			3,849		147,333			206,178
Other liabilities	18,827		77,961		16,272			113,060			5,723		—			118,783
Net inter-segment funding (lending)(3)	87,114		261,323		(17,549		)	330,888			41,565		(372,453		)	—
Total liabilities	$	413,065	$	1,275,779	$	48,441		$	1,737,285		$	53,769	$	(225,120	)	$	1,565,934
Total equity(5)	—		—		1,023			1,023			—		225,120			226,143
Total liabilities and equity	$	413,065	$	1,275,779	$	49,464		$	1,738,308		$	53,769	$	—		$	1,792,077

(1) The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of December 31, 2016. The respective segment information depicts the assets and liabilities managed by each segment as of such date.

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

(3) The total stockholders’ equity and the majority of long-term debt of Citigroup reside in the Citigroup parent company Consolidated Balance Sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.

(4) Represents the attribution of Citigroup’s liquidity assets (primarily consisting of cash and available-for-sale securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.

(5) Citicorp equity represents noncontrolling interests.

12

CITICORP

Citicorp is Citigroup’s global bank for consumers and businesses and represents Citi’s core franchises. Citicorp is focused on providing best-in-class products and services to customers and leveraging Citigroup’s unparalleled global network, including many of the world’s emerging economies. Citicorp is physically present in 97 countries and jurisdictions, many for over 100 years, and offers services in over 160 countries and jurisdictions. Citi believes this global network provides a strong foundation for servicing the broad financial services needs of its large multinational clients and for meeting the needs of retail, private banking, commercial, public sector and institutional clients around the world.

Citicorp consists of the following operating businesses: Global Consumer Banking (which consists of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking businesses in Mexico) and Asia) and Institutional Clients Group (which includes Banking and Markets and securities services). Citicorp also includes Corporate/Other. At December 31, 2016, Citicorp had approximately $1.7 trillion of assets and $927 billion of deposits, representing approximately 97% of Citi’s total assets and nearly100% of Citi’s total deposits.

As announced in April 2016, beginning in the first quarter of 2017, the remaining businesses and portfolios of assets in Citi Holdings will be reported as part of Corporate/Other and Citi Holdings will cease to be a separately reported business segment. These businesses and assets, consisting of approximately $54 billion of assets, $33 billion of loans and $2 billion of deposits, contributed approximately $3.9 billion of revenues, $3.2 billion of expenses and net income of $600 million in 2016. For additional information, see “Citigroup Segments” above and “Citi Holdings” below.

In millions of dollars except as otherwise noted	2016			2015			2014			% Change   2016 vs. 2015		% Change   2015 vs. 2014
Net interest revenue	$	43,066		$	42,173		$	42,436		2	%	(1	)%
Non-interest revenue	22,957			25,221			25,475			(9	)	(1	)
Total revenues, net of interest expense	$	66,023		$	67,394		$	67,911		(2	)%	(1	)%
Provisions for credit losses and for benefits and claims
Net credit losses	$	6,128		$	5,966		$	6,787		3	%	(12	)%
Credit reserve build (release)	643			261			(1,225		)	NM		NM
Provision for loan losses	$	6,771		$	6,227		$	5,562		9	%	12	%
Provision for benefits and claims	105			107			145			(2	)	(26	)
Provision for unfunded lending commitments	37			97			(151		)	(62	)	NM
Total provisions for credit losses and for benefits and claims	$	6,913		$	6,431		$	5,556		7	%	16	%
Total operating expenses	$	38,245		$	38,044		$	44,192		1	%	(14	)%
Income from continuing operations before taxes	$	20,865		$	22,919		$	18,163		(9	)%	26	%
Income taxes	6,438			6,518			7,189			(1	)	(9	)
Income from continuing operations	$	14,427		$	16,401		$	10,974		(12	)%	49	%
Income (loss) from discontinued operations, net of taxes	(58		)	(54		)	(2		)	(7	)	NM
Noncontrolling interests	57			79			186			(28	)	(58	)
Net income	$	14,312		$	16,268		$	10,786		(12	)%	51	%
Balance Sheet data (in billions of dollars)
Total end-of-period (EOP) assets	$	1,738		$	1,650		$	1,704		5	%	(3	)%
Average assets	1,741			1,705			1,743			2		(2	)
Return on average assets	0.82		%	0.95		%	0.62		%
Efficiency ratio	58			56			65
Total EOP loans	$	591		$	569		$	559		4		2
Total EOP deposits	927			898			878			3		2

NM Not meaningful

13

GLOBAL CONSUMER BANKING

Global Consumer Banking (GCB) provides traditional banking services to retail customers through retail banking, including commercial banking, and Citi-branded cards and Citi retail services (for additional information on these businesses, see “Citigroup Segments” above). GCB is focused on its priority markets in the U.S., Mexico and Asia with 2,649 branches in 19 countries as of December 31, 2016. At December 31, 2016, GCB had approximately $413 billion of assets and $301 billion of deposits.

GCB’s overall strategy is to leverage Citi’s global footprint and seek to be the preeminent bank for the emerging affluent and affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies.

In millions of dollars except as otherwise noted	2016			2015			2014			% Change   2016 vs. 2015		% Change   2015 vs. 2014
Net interest revenue	$	26,259		$	25,984		$	26,835		1	%	(3	)%
Non-interest revenue	5,504			6,511			7,461			(15	)	(13	)
Total revenues, net of interest expense	$	31,763		$	32,495		$	34,296		(2	)%	(5	)%
Total operating expenses	$	17,516		$	17,220		$	18,681		2	%	(8	)%
Net credit losses	$	5,612		$	5,752		$	6,512		(2	)%	(12	)%
Credit reserve build (release)	707			(393		)	(1,123		)	NM		65
Provision (release) for unfunded lending commitments	3			3			(25		)	—		NM
Provision for benefits and claims	105			107			145			(2	)	(26	)
Provisions for credit losses and for benefits and claims	$	6,427		$	5,469		$	5,509		18	%	(1	)%
Income from continuing operations before taxes	$	7,820		$	9,806		$	10,106		(20	)%	(3	)%
Income taxes	2,712			3,430			3,404			(21	)	1
Income from continuing operations	$	5,108		$	6,376		$	6,702		(20	)%	(5	)%
Noncontrolling interests	7			10			24			(30	)	(58	)
Net income	$	5,101		$	6,366		$	6,678		(20	)%	(5	)%
Balance Sheet data (in billions of dollars)
Average assets	$	397		$	379		$	393		5	%	(4	)%
Return on average assets	1.28		%	1.68		%	1.70		%
Efficiency ratio	55			53			54
Total EOP assets	$	413		$	381		$	393		8		(3	)
Average deposits	300			297			300			1		(1	)
Net credit losses as a percentage of average loans	2.00		%	2.11		%	2.32		%
Revenue by business
Retail banking	$	13,039		$	13,865		$	14,340		(6	)%	(3	)%
Cards(1)	18,724			18,630			19,956			1		(7	)
Total	$	31,763		$	32,495		$	34,296		(2	)%	(5	)%
Income from continuing operations by business
Retail banking	$	1,637		$	2,015		$	1,741		(19	)%	16	%
Cards(1)	3,471			4,361			4,961			(20	)	(12	)
Total	$	5,108		$	6,376		$	6,702		(20	)%	(5	)%

Table continues on next page.

14

Foreign currency (FX) translation impact
Total revenue—as reported	$	31,763	$	32,495		$	34,296		(2	)%	(5	)%
Impact of FX translation(2)	—		(1,003		)	(2,532		)
Total revenues—ex-FX(3)	$	31,763	$	31,492		$	31,764		1	%	(1	)%
Total operating expenses—as reported	$	17,516	$	17,220		$	18,681		2	%	(8	)%
Impact of FX translation(2)	—		(465		)	(1,441		)
Total operating expenses—ex-FX(3)	$	17,516	$	16,755		$	17,240		5	%	(3	)%
Total provisions for LLR & PBC—as reported	$	6,427	$	5,469		$	5,509		18	%	(1	)%
Impact of FX translation(2)	—		(213		)	(613		)
Total provisions for LLR & PBC—ex-FX(3)	$	6,427	$	5,256		$	4,896		22	%	7	%
Net income—as reported	$	5,101	$	6,366		$	6,678		(20	)%	(5	)%
Impact of FX translation(2)	—		(243		)	(333		)
Net income—ex-FX(3)	$	5,101	$	6,123		$	6,345		(17	)%	(3	)%

(1) Includes both Citi-branded cards and Citi retail services.

(2) Reflects the impact of FX translation into U.S. dollars at the 2016 average exchange rates for all periods presented.

(3) Presentation of this metric excluding FX translation is a non-GAAP financial measure.

NM Not meaningful

15

NORTH AMERICA GCB

North America GCB provides traditional retail banking, including commercial banking, and its Citi-branded cards and Citi retail services card products to retail customers and small to mid-size businesses, as applicable, in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Citi-branded cards as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Macy’s and Best Buy) within Citi retail services.

As of December 31, 2016, North America GCB’s 723 retail bank branches are concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of December 31, 2016, North America GCB had approximately 10.5 million retail banking customer accounts, $55.3 billion of retail banking loans and $185.0 billion of deposits. In addition, North America GCB had approximately 120.6 million Citi-branded and Citi retail services credit card accounts with $133.3 billion in outstanding card loan balances.

In millions of dollars, except as otherwise noted	2016			2015			2014			% Change 2016 vs. 2015		% Change   2015 vs. 2014
Net interest revenue	$	18,327		$	17,609		$	17,329		4	%	2	%
Non-interest revenue	1,629			2,109			2,619			(23	)	(19	)
Total revenues, net of interest expense	$	19,956		$	19,718		$	19,948		1	%	(1	)%
Total operating expenses	$	10,080		$	9,381		$	9,898		7	%	(5	)%
Net credit losses	$	3,921		$	3,751		$	4,202		5	%	(11	)%
Credit reserve build (release)	652			(337		)	(1,241		)	NM		73
Provision for unfunded lending commitments	6			7			(9		)	(14	)	NM
Provisions for benefits and claims	33			38			41			(13	)	(7	)
Provisions for credit losses and for benefits and claims	$	4,612		$	3,459		$	2,993		33	%	16	%
Income from continuing operations before taxes	$	5,264		$	6,878		$	7,057		(23	)%	(3	)%
Income taxes	1,908			2,567			2,569			(26	)	—
Income from continuing operations	$	3,356		$	4,311		$	4,488		(22	)%	(4	)%
Noncontrolling interests	(2		)	3			1			NM		NM
Net income	$	3,358		$	4,308		$	4,487		(22	)%	(4	)%
Balance Sheet data (in billions of dollars)
Average assets	$	229		$	209		$	212		10	%	(1	)%
Return on average assets	1.47		%	2.06		%	2.12		%
Efficiency ratio	51			48			50
Average deposits	$	183.2		$	180.7		$	179.5		1		1
Net credit losses as a percentage of average loans	2.29		%	2.39		%	2.69		%
Revenue by business
Retail banking	$	5,295		$	5,478		$	5,196		(3	)%	5	%
Citi-branded cards	8,235			7,809			8,290			5		(6	)
Citi retail services	6,426			6,431			6,462			—		—
Total	$	19,956		$	19,718		$	19,948		1	%	(1	)%
Income from continuing operations by business
Retail banking	$	567		$	715		$	431		(21	)%	66	%
Citi-branded cards	1,497			2,075			2,391			(28	)	(13	)
Citi retail services	1,292			1,521			1,666			(15	)	(9	)
Total	$	3,356		$	4,311		$	4,488		(22	)%	(4	)%

NM Not meaningful

16

2016 vs. 2015

Net income decreased by 22% due to significantly higher cost of credit and higher expenses, partially offset by higher revenues.

Revenues increased 1%, reflecting higher revenues in Citi-branded cards, partially offset by lower revenues in retail banking.

Retail banking revenues decreased 3%. Excluding the previously disclosed $110 million gain on sale of branches in Texas in the first quarter of 2015, revenues decreased 1%, primarily driven by lower mortgage revenues. The decline in mortgage revenues was due to lower gain on sale revenues due to lower mortgage originations, lower servicing revenues and lower spreads driven by higher cost of funds. North America GCB expects higher interest rates could negatively impact mortgage revenues in 2017. The decline in mortgage revenues was partially offset by continued volume growth, including growth in average loans (9%) and average checking deposits (9%).

Cards revenues increased 3%. In Citi-branded cards, revenues increased 5%, primarily reflecting the acquisition of the Costco portfolio (completed June 17, 2016) as well as volume growth, partially offset by higher investment-related acquisition and rewards costs and the impact of higher promotional balances. Average loans grew 14% (3% excluding Costco) and purchase sales grew 37% (9% excluding Costco), driven by continued investments in the portfolio. While North America GCB believes it has largely absorbed the impact of higher acquisition and rewards costs as of year-end 2016, it expects the negative impact of higher promotional balances driven by new card accounts in the business could continue to impact Citi-branded cards revenues in the first half of 2017, with this impact abating in the second half of 2017.

Citi retail services revenues were largely unchanged as the impact of the previously disclosed renewal and extension of several partnerships within the portfolio as well as the absence of revenues from portfolio exits were offset by modest growth in average loans. Average loans increased 1%, while purchase sales were largely unchanged. North America GCB expects Citi retail services revenues to continue to reflect the impacts of the more competitive terms of the partnership renewals and the portfolio sales during 2017, partially offset by volume growth.

Expenses increased 7%, primarily due to the Costco acquisition, continued investment spending (including marketing spending), volume growth, higher repositioning charges and regulatory and compliance costs. This increase was partially offset by ongoing efficiency savings, including continued reductions in retail banking branches (7%) in 2016, and lower legal and related costs.

Provisions increased 33%, driven by a net loan loss reserve build ($658 million), compared to a loan loss reserve release in the prior year ($330 million), and higher net credit losses (5%). The net loan loss reserve build mostly reflected reserve builds in the cards portfolios and was primarily driven by the impact of the acquisition of the Costco portfolio, as well as volume growth and seasoning of the portfolios and the absence of nearly $400 million of reserve releases in 2015 as

credit normalized. The reserve build was also due to the estimated impact of proposed regulatory guidelines in July 2016 on third-party debt collections.

The increase in net credit losses was driven by increases in the cards businesses and retail banking. In retail banking, net credit losses grew 38% to $207 million, primarily due to an increase related to Citi’s energy and energy-related exposures within the commercial banking portfolio, which was largely offset by releases of previously established loan loss reserves (for information on Citi’s energy and energy-related exposures within commercial banking in North AmericaGCB, see “Credit Risk—Commercial Credit” below).

In Citi-branded cards, net credit losses increased 1% to $1.9 billion, driven by volume growth (14% increase in average loans), including the impact of Costco beginning in the fourth quarter of 2016, seasoning and the impact of the regulatory changes on collections. In Citi retail services, net credit losses increased 6% to $1.8 billion, primarily due to portfolio growth and seasoning and the impact of the regulatory changes on collections. North America GCB expects net credit losses in 2017 in cards to reflect the full year impact of the Costco portfolio acquisition, portfolio growth and seasoning and the impact of regulatory changes on collections.

For additional information on North America GCB’s retail banking, including commercial banking, and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.

2015 vs. 2014

Net income decreased by 4% due to lower loan loss reserve releases and lower revenues, partially offset by lower expenses and lower net credit losses.

Revenues decreased 1%, reflecting lower revenues in Citi-branded cards, partially offset by higher revenues in retail banking. Retail banking revenues increased 5%. The increase was primarily driven by 7% growth in average loans, 9% growth in average checking deposits, improved deposit spreads and slightly higher mortgage origination revenues, partially offset by lower net gains on branch sales (approximately $40 million) and mortgage portfolio sales (approximately $80 million) as well as a lower mortgage repurchase reserve release (approximately $50 million) compared to 2014. Cards revenues decreased 3% due to a 2% decline in average loans, partially offset by a 4% increase in purchase sales. In Citi-branded cards, revenues decreased 6%, primarily reflecting an increase in acquisition and rewards costs, particularly during the second half of 2015, as North America GCB deployed its investment spending to grow its new account acquisitions in its core products. The decrease in Citi-branded cards revenues was also due to the continued impact of lower average loans (down 4%), driven primarily by continued high customer payment rates during the year, partially offset by a 6% increase in purchase sales.

Citi retail services revenues were largely unchanged as the continued impact of lower fuel prices and higher contractual partner payments was offset by the impact of higher spreads. Purchase sales were unchanged as the

17

continued impact of lower fuel prices was offset by volume growth.

Expenses decreased 5%, primarily due to ongoing cost reduction initiatives, including as a result of North America GCB’s branch rationalization strategy, and lower repositioning charges, partially offset by increased investment spending (including marketing, among other areas) in Citi-branded cards.

Provisions increased 16% largely due to lower net loan loss reserve releases (74%), partially offset by lower net credit losses (11%). Net credit losses declined in Citi-branded cards (down 14% to $1.9 billion) and in Citi retail services (down 8% to $1.7 billion). The lower loan loss reserve release reflected overall credit stabilization in the cards portfolios during 2015.

18

LATIN AMERICA GCB

Latin America GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses in Mexico through Citibanamex (previously known as Banco Nacional de Mexico, or Banamex), one of Mexico’s largest banks.

At December 31, 2016, Latin America GCB had 1,494 retail branches in Mexico, with approximately 27.4 million retail banking customer accounts, $18.3 billion in retail banking loans and $26.4 billion in deposits. In addition, the business had approximately 5.8 million Citi-branded card accounts with $4.8 billion in outstanding loan balances.

In millions of dollars, except as otherwise noted	2016			2015			2014			% Change 2016 vs. 2015		% Change   2015 vs. 2014
Net interest revenue	$	3,469		$	3,885		$	4,537		(11	)%	(14	)%
Non-interest revenue	1,500			1,885			2,020			(20	)	(7	)
Total revenues, net of interest expense	$	4,969		$	5,770		$	6,557		(14	)%	(12	)%
Total operating expenses	$	2,850		$	3,262		$	3,583		(13	)%	(9	)%
Net credit losses	$	1,040		$	1,280		$	1,515		(19	)%	(16	)%
Credit reserve build (release)	83			33			128			NM		(74	)
Provision (release) for unfunded lending commitments	1			(2		)	—			NM		—
Provision for benefits and claims	72			69			104			4		(34	)
Provisions for credit losses and for benefits and claims (LLR & PBC)	$	1,196		$	1,380		$	1,747		(13	)%	(21	)%
Income from continuing operations before taxes	$	923		$	1,128		$	1,227		(18	)%	(8	)%
Income taxes	254			260			234			(2	)	11
Income from continuing operations	$	669		$	868		$	993		(23	)%	(13	)%
Noncontrolling interests	5			3			6			67		(50	)
Net income	$	664		$	865		$	987		(23	)%	(12	)%
Balance Sheet data(in billions of dollars)
Average assets	$	49		$	54		$	63		(9	)%	(14	)%
Return on average assets	1.36		%	1.60		%	1.57		%
Efficiency ratio	57			57			55
Average deposits	$	27.3		$	28.1		$	30.9		(3	)	(9	)
Net credit losses as a percentage of average loans	4.26		%	4.81		%	4.97		%
Revenue by business
Retail banking	$	3,494		$	3,981		$	4,376		(12	)%	(9	)%
Citi-branded cards	1,475			1,789			2,181			(18	)	(18	)
Total	$	4,969		$	5,770		$	6,557		(14	)%	(12	)%
Income from continuing operations by business
Retail banking	$	390		$	562		$	647		(31	)%	(13	)%
Citi-branded cards	279			306			346			(9	)	(12	)
Total	$	669		$	868		$	993		(23	)%	(13	)%
FX translation impact
Total revenues—as reported	$	4,969		$	5,770		$	6,557		(14	)%	(12	)%
Impact of FX translation(1)	—			(874		)	(1,825		)
Total revenues—ex-FX(2)	$	4,969		$	4,896		$	4,732		1	%	3	%
Total operating expenses—as reported	$	2,850		$	3,262		$	3,583		(13	)%	(9	)%
Impact of FX translation(1)	—			(360		)	(902		)
Total operating expenses—ex-FX(2)	$	2,850		$	2,902		$	2,681		(2	)%	8	%
Provisions for LLR & PBC—as reported	$	1,196		$	1,380		$	1,747		(13	)%	(21	)%
Impact of FX translation(1)	—			(201		)	(497		)
Provisions for LLR & PBC—ex-FX(2)	$	1,196		$	1,179		$	1,250		1	%	(6	)%
Net income—as reported	$	664		$	865		$	987		(23	)%	(12	)%
Impact of FX translation(1)	—			(243		)	(320		)
Net income—ex-FX(2)	$	664		$	622		$	667		7	%	(7	)%

(1) Reflects the impact of FX translation into U.S. dollars at the 2016 average exchange rates for all periods presented.

(2) Presentation of this metric excluding FX translation is a non-GAAP financial measure.

NM Not meaningful

19

The discussion of the results of operations for Latin America GCB below excludes the impact of FX translation for all periods presented. Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a reconciliation of certain of these metrics to the reported results, see the table above.

2016 vs. 2015

Net income increased 7%, driven by higher revenues and lower expenses, partially offset by higher credit costs.

Revenues increased 1%, driven by overall volume growth, largely offset by the absence of a previously disclosed $160 million gain on sale (excluding the impact of FX translation, $180 million as reported) related to the sale of the merchant acquiring business in Mexico in the third quarter of 2015. Excluding this gain, revenues increased 5%, primarily due to higher revenues in retail banking, partially offset by lower revenues in cards.

Retail banking revenues increased 4%. Excluding the gain on sale related to the merchant acquiring business, revenues increased 9%, driven by volume growth, including an increase in average loans (8%) due to higher personal loans, and higher average deposits (12%). Cards revenues decreased 4%, driven by the continued impact of higher payment rates, partially offset by increased purchase sales (8%).

Expenses decreased 2% as lower legal and related expenses, the impact of business divestitures, ongoing efficiency savings and the impact of certain episodic items in 2015 were partially offset by higher repositioning charges and ongoing investment spending. Citi continues to execute on its investment plans for Citibanamex (totaling more than $1 billion over the next several years), including initiatives to modernize the branch network, enhance digital capabilities and upgrade core operating platforms.

Provisions increased 1%, driven by a higher net loan loss reserve build, partially offset by lower net credit losses. The net loan loss reserve build increased $56 million, largely due to volume growth within the personal loan and mortgage portfolios. Net credit losses decreased 5%, largely reflecting continued lower net credit losses in the cards portfolio due to a focus on higher credit quality customers, partially offset by higher net credit losses in the personal loan portfolio. Despite this decrease, Latin America GCB expects net credit losses within its loan portfolios could increase consistent with continued portfolio growth and seasoning. For additional information on LatinAmerica GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.

In 2016, Mexico experienced slower economic growth and the value of the peso declined, particularly later in the year, which resulted in higher inflation and negatively impacted consumer confidence. These factors could negatively impact Latin America GCB’s results in the near term. For additional information on potential macroeconomic and geopolitical challenges and other risks facing Latin America GCB, see “Risk Factors—Strategic Risks” below.

2015 vs. 2014

Net income decreased 7% as higher expenses were partially offset by higher revenues and lower credit costs.

Revenues increased 3%, primarily due to the gain on sale related to the Mexico merchant acquiring business. Excluding this gain, revenues were largely unchanged as higher retail banking revenues were offset by lower cards revenues. Revenues were also impacted by continued slow economic growth in Mexico during 2015. Retail banking revenues increased 2%, excluding the gain on sale related to the merchant acquiring business. This increase in retail banking revenues reflected volume growth. Cards revenues decreased 2%, primarily due to higher payment rates, as well as muted volumes and ongoing shifts in consumer behavior, including due to the previously disclosed regulatory reforms in Mexico enacted in 2013.

Expenses increased 8%, primarily due to higher regulatory and compliance costs, higher technology spending and mandatory salary increases, partially offset by lower repositioning charges, lower legal and related costs and ongoing efficiency savings.

Provisions declined 6%, driven by a higher net loan loss reserve release. Net credit losses were largely unchanged as higher net credit losses in the commercial banking and small business banking portfolios were offset by the absence of a $71 million charge-off in the fourth quarter of 2014 related to Citi’s homebuilder exposure in Mexico. The net loan loss reserve build declined 70%, primarily due to lower builds related to cards, partially offset by the absence of releases related to the homebuilder exposure in 2014.

20

ASIA GCB

Asia GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses, as applicable. As of December 31, 2016, Citi’s most significant revenues in the region were from Singapore, Hong Kong, Korea, India, Australia, Taiwan, Indonesia, Thailand, the Philippines and Malaysia. Included within Asia GCB, traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily in Poland, Russia and the United Arab Emirates.

At December 31, 2016, on a combined basis, the businesses had 432 retail branches, approximately 16.6 million retail banking customer accounts, $63.0 billion in retail banking loans and $89.9 billion in deposits. In addition, the businesses had approximately 16.3 million Citi-branded card accounts with $17.5 billion in outstanding loan balances.

In millions of dollars, except as otherwise noted(1)	2016			2015			2014			% Change   2016 vs. 2015		% Change   2015 vs. 2014
Net interest revenue	$	4,463		$	4,490		$	4,969		(1	)%	(10	)%
Non-interest revenue	2,375			2,517			2,822			(6	)	(11	)
Total revenues, net of interest expense	$	6,838		$	7,007		$	7,791		(2	)%	(10	)%
Total operating expenses	$	4,586		$	4,577		$	5,200		—	%	(12	)%
Net credit losses	$	651		$	721		$	795		(10	)%	(9	)%
Credit reserve build (release)	(28		)	(89		)	(10		)	69		NM
Provision (release) for unfunded lending commitments	(4		)	(2		)	(16		)	(100	)	88
Provisions for credit losses	$	619		$	630		$	769		(2	)%	(18	)%
Income from continuing operations before taxes	$	1,633		$	1,800		$	1,822		(9	)%	(1	)%
Income taxes	550			603			601			(9	)	—
Income from continuing operations	$	1,083		$	1,197		$	1,221		(10	)%	(2	)%
Noncontrolling interests	4			4			17			—		(76	)
Net income	$	1,079		$	1,193		$	1,204		(10	)%	(1	)%
Balance Sheet data (in billions of dollars)
Average assets	$	119		$	117		$	119		2	%	(2	)%
Return on average assets	0.91		%	1.02		%	1.01		%
Efficiency ratio	67			65			67
Average deposits	$	89.5		$	87.7		$	89.5		2		(2	)
Net credit losses as a percentage of average loans	0.77		%	0.81		%	0.85		%
Revenue by business
Retail banking	$	4,250		$	4,406		$	4,768		(4	)%	(8	)%
Citi-branded cards	2,588			2,601			3,023			—		(14	)
Total	$	6,838		$	7,007		$	7,791		(2	)%	(10	)%
Income from continuing operations by business
Retail banking	$	680		$	738		$	663		(8	)%	11	%
Citi-branded cards	403			459			558			(12	)	(18	)
Total	$	1,083		$	1,197		$	1,221		(10	)%	(2	)%
FX translation impact
Total revenues—as reported	$	6,838		$	7,007		$	7,791		(2	)%	(10	)%
Impact of FX translation(2)	—			(129		)	(707		)
Total revenues—ex-FX(3)	$	6,838		$	6,878		$	7,084		(1	)%	(3	)%
Total operating expenses—as reported	$	4,586		$	4,577		$	5,200		—	%	(12	)%
Impact of FX translation(2)	—			(105		)	(539		)
Total operating expenses—ex-FX(3)	$	4,586		$	4,472		$	4,661		3	%	(4	)%
Provisions for credit losses—as reported	$	619		$	630		$	769		(2	)%	(18	)%
Impact of FX translation(2)	—			(12		)	(116		)
Provisions for credit losses—ex-FX(3)	$	619		$	618		$	653		—	%	(5	)%
Net income—as reported	$	1,079		$	1,193		$	1,204		(10	)%	(1	)%
Impact of FX translation(2)	—			—			(13		)
Net income—ex-FX(3)	$	1,079		$	1,193		$	1,191		(10	)%	—	%

21

(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.

(2) Reflects the impact of FX translation into U.S. dollars at the 2016 average exchange rates for all periods presented.

(3) Presentation of this metric excluding FX translation is a non-GAAP financial measure.

NM Not meaningful

The discussion of the results of operations for Asia GCB below excludes the impact of FX translation for all periods presented. Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a reconciliation of certain of these metrics to the reported results, see the table above.

2016 vs. 2015

Net income decreased 10%, reflecting lower revenues and higher expenses.

Revenues decreased 1%, reflecting lower retail banking revenues, partially offset by higher cards revenues. Retail banking revenues decreased 2%, mainly due to a 5% decrease in wealth management revenues due to lower client activity in the first half of 2016, particularly in China, Hong Kong and Korea. The decline in retail banking revenues was also due to modestly lower investment assets under management (1%) driven by lower equity market values and a decline in average loans (decrease of 4%). The decline in revenues was partially offset by growth in deposit volumes (4% increase in average deposits) and higher insurance revenues. The lower average loans were due to the continued optimization of the retail loan portfolio away from lower-yielding mortgage loans, as well as de-risking in the commercial portfolio with a focus on growing higher return personal loans.

Cards revenues increased 2%, driven by continued improvement in yields, modestly abating regulatory headwinds and modest volume growth due to continued stabilizing payment rates. Volume growth was driven by a 1% increase in average loans and a 2% increase in purchase sales.

Expenses increased 3%, primarily due to higher repositioning costs in the first half of 2016, higher regulatory and compliance costs and increased investment spending, partially offset by efficiency savings.

Provisions were largely unchanged as lower net loan loss reserve releases were offset by lower net credit losses, primarily in the commercial portfolio due to the de-risking.

For additional information on AsiaGCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.

2015 vs. 2014

Net income was largely unchanged as lower revenues were offset by lower expenses and lower cost of credit.

Revenues decreased 3%, primarily due to an industry-wide slowdown in investment sales, particularly in the second half of 2015, as well as spread compression and higher payment rates and the ongoing impact of regulatory changes in cards, partially offset by volume growth. Retail banking revenues decreased 2%, mainly due to a decline in investment sales revenue, reflecting weaker customer confidence due to slowing economic growth and volatility in the capital markets, as well as spread compression. This decline in revenues was partially offset by higher volumes, driven by lending (2% increase in average loans), deposit products (5% increase in average deposits) and higher insurance fee revenues.

Cards revenues decreased 5%, primarily due to spread compression, including continued high payment rates, and the ongoing impact of regulatory changes, partially offset by modest volume growth (a 3% increase in average loans and a 5% increase in purchase sales). Cards revenues were also impacted by the weaker customer confidence.

Expenses decreased 4%, primarily due to the absence of repositioning charges in Korea in 2014 and efficiency savings, partially offset by higher regulatory and compliance costs, investment spending, volume-related growth and compensation expense.

Provisions decreased 5%, primarily due to higher loan loss reserve releases, largely offset by an increase in net credit losses related to the consumer business in Russia due to deterioration in the economic environment.

22

INSTITUTIONAL CLIENTS GROUP

Institutional Clients Group (ICG) provides corporate, institutional, public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.

ICG revenue is generated primarily from fees and spreads associated with these activities. ICG earns fee income for assisting clients in clearing transactions, providing brokerage and investment banking services and other such activities. Revenue generated from these activities is recorded in Commissions and fees and Investment banking. Revenue is also generated from transaction processing and assets under custody and administration. Revenue generated from these activities is primarily recorded in Administration and other fiduciary fees. In addition, as a market maker, ICG facilitates transactions, including holding product inventory to meet client demand, and earns the differential between the price at which it buys and sells the products. These price differentials and the unrealized gains and losses on the inventory are recorded in Principal transactions(for additional information on Principal transactions revenue, see Note 6 to the Consolidated Financial Statements). Other primarily includes mark-to-market gains and losses on certain credit derivatives, gains and losses on available-for-sale (AFS) securities and other non-recurring gains and losses. Interest income earned on assets held less interest paid to customers on deposits and long-term and short-term debt is recorded as Net interest revenue.

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

ICG’s management of the Markets businesses involves daily monitoring and evaluating of the above factors at the trading desk as well as the country level. ICG does not separately track the impact on total Markets revenues of the volume of transactions, bid/offer spreads, fair value changes of product inventory positions and economic hedges because, as noted above, these components are interrelated and are not deemed useful or necessary individually to manage the Markets businesses at an aggregatelevel.

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

ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 97 countries and jurisdictions. At December 31, 2016, ICG had approximately $1.3 trillion of assets and $610 billion of deposits, while two of its businesses, securities services and issuer services, managed approximately $15.2 trillion of assets under custody compared to $15.1 trillion at the end of 2015.

In millions of dollars, except as otherwise noted	2016			2015		2014			% Change   2016 vs. 2015		% Change   2015 vs. 2014
Commissions and fees	$	3,854		$	3,871	$	4,004		—	%	(3	)%
Administration and other fiduciary fees	2,437			2,443		2,538			—		(4	)
Investment banking	3,655			4,110		4,269			(11	)	(4	)
Principal transactions	7,330			5,818		5,889			26		(1	)
Other(1)	(154		)	1,408		787			NM		79
Total non-interest revenue	$	17,122		$	17,650	$	17,487		(3	)%	1	%
Net interest revenue (including dividends)	16,728			16,341		15,825			2		3
Total revenues, net of interest expense	$	33,850		$	33,991	$	33,312		—	%	2	%
Total operating expenses	$	18,939		$	19,074	$	19,491		(1	)%	(2	)%
Net credit losses	$	516		$	214	$	275		NM		(22	)%
Credit reserve build (release)	(64		)	654		(102		)	NM		NM
Provision (release) for unfunded lending commitments	34			94		(126		)	(64	)	NM
Provisions for credit losses	$	486		$	962	$	47		(49	)%	NM
Income from continuing operations before taxes	$	14,425		$	13,955	$	13,774		3	%	1	%
Income taxes	4,497			4,426		4,129			2		7
Income from continuing operations	$	9,928		$	9,529	$	9,645		4	%	(1	)%
Noncontrolling interests	58			51		121			14		(58	)

23

Net income	$	9,870		$	9,478		$	9,524		4	%	—	%
Average assets (in billions of dollars)	$	1,297		$	1,271		$	1,292		2	%	(2	)%
Return on average assets	0.76		%	0.75		%	0.74		%
Efficiency ratio	56			56			59
CVA/DVA after-tax	$	—		$	172		$	(211	)	(100	)%	NM
Net income ex-CVA/DVA(2)	$	9,870		$	9,306		$	9,735		6		(4	)
Revenues by region
North America	$	12,817		$	12,980		$	13,002		(1	)%	—	%
EMEA	10,029			9,958			9,511			1		5
Latin America	4,026			4,051			4,218			(1	)	(4	)
Asia	6,978			7,002			6,581			—		6
Total	$	33,850		$	33,991		$	33,312		—	%	2	%
Income from continuing operations by region
North America	$	3,678		$	3,517		$	4,155		5	%	(15	)%
EMEA	2,476			2,340			2,060			6		14
Latin America	1,481			1,393			1,401			6		(1	)
Asia	2,293			2,279			2,029			1		12
Total	$	9,928		$	9,529		$	9,645		4	%	(1	)%
Average loans by region (in billions of dollars)
North America	$	133		$	123		$	111		8	%	11	%
EMEA	66			62			61			6		2
Latin America	43			41			41			5		—
Asia	60			62			68			(3	)	(9	)
Total	$	302		$	288		$	281		5	%	2	%
EOP deposits by business (in billions of dollars)
Treasury and trade solutions	$	411		$	392		$	378		5	%	4	%
All other ICG businesses	199			196			178			2		10
Total	$	610		$	588		$	556		4	%	6	%

(1) 2016 includes a previously disclosed charge of approximately $180 million, primarily reflecting the write down of Citi’s net investment in Venezuela as a result of changes in the exchange rate.

(2) Excludes CVA/DVA in 2015 and 2014, consistent with the current year’s presentation. For additional information, see Notes 1 and 24 to the Consolidated Financial Statements.

NM Not meaningful

24

ICG Revenue Details—Excluding CVA/DVA and Gain (Loss) on Loan Hedges

In millions of dollars	2016			2015			2014			% Change   2016 vs. 2015		% Change   2015 vs. 2014
Investment bankingrevenue details
Advisory	$	1,000		$	1,093		$	938		(9	)%	17	%
Equity underwriting	628			906			1,250			(31	)	(28	)
Debt underwriting	2,684			2,568			2,540			5		1
Total investment banking	$	4,312		$	4,567		$	4,728		(6	)%	(3	)%
Treasury and trade solutions	8,098			7,770			7,770			4		—
Corporate lending—excluding gain (loss) on loan hedges(1)	1,756			1,817			1,879			(3	)	(3	)
Private bank	2,961			2,862			2,664			3		7
Total banking revenues (ex-CVA/DVA and gain (loss) on   loan hedges)(2)	$	17,127		$	17,016		$	17,041		1	%	—	%
Corporate lending—gain (loss) on loan hedges(1)	$	(594	)	$	324		$	116		NM		NM
Total banking revenues (ex-CVA/DVA and including gain   (loss) on loan hedges)(2)	$	16,533		$	17,340		$	17,157		(5	)%	1	%
Fixed income markets	$	13,029		$	11,318		$	12,171		15	%	(7	)%
Equity markets	2,851			3,121			2,722			(9	)	15
Securities services	2,162			2,143			2,050			1		5
Other(3)	(725		)	(200		)	(445		)	NM		55
Total Markets and securities services (ex-CVA/DVA)(2)	$	17,317		$	16,382		$	16,498		6	%	(1	)%
Total ICG (ex-CVA/DVA)	$	33,850		$	33,722		$	33,655		—	%	—	%
CVA/DVA (excluded as applicable in lines above)	—			269			(343		)	NM		NM
Fixed income markets	—			220			(359		)	NM		NM
Equity markets	—			47			24			NM		96
Private bank	—			2			(8		)	NM		NM
Total revenues, net of interest expense	$	33,850		$	33,991		$	33,312		—	%	2	%
Commissions and fees	$	474		$	467		$	455		1	%	3	%
Principal transactions(4)	6,533			5,369			6,169			22		(13	)
Other	590			332			413			78		(20	)
Total non-interest revenue	$	7,597		$	6,168		$	7,037		23	%	(12	)%
Net interest revenue	5,432			5,150			5,134			5		—
Total fixed income markets (ex-CVA/DVA)(2)	$	13,029		$	11,318		$	12,171		15	%	(7	)%
Rates and currencies	$	9,384		$	7,664		$	7,303		22	%	5	%
Spread products / other fixed income	3,645			3,654			4,868			—		(25	)
Total fixed income markets (ex-CVA/DVA)(2)	$	13,029		$	11,318		$	12,171		15	%	(7	)%
Commissions and fees	$	1,300		$	1,338		$	1,456		(3	)%	(8	)%
Principal transactions(4)	134			270			(12		)	(50	)	NM
Other	139			55			39			NM		41
Total non-interest revenue	$	1,573		$	1,663		$	1,483		(5	)%	12	%
Net interest revenue	1,278			1,458			1,239			(12	)	18
Total equity markets (ex-CVA/DVA)(2)	$	2,851		$	3,121		$	2,722		(9	)%	15	%

(1) 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.

(2) Excludes CVA/DVA in 2015 and 2014, consistent with the current year’s presentation. For additional information, see Notes 1 and 24 to the Consolidated Financial Statements.

(3) 2016 includes the previously disclosed charge of approximately $180 million, primarily reflecting the write-down of Citi’s net investment in Venezuela as a result of changes in the exchange rate.

(4) Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.

NM Not meaningful

25

The discussion of the results of operations for ICG below excludes the impact of CVA/DVA for 2015 and 2014. Presentations of the results of operations, excluding the impact of CVA/DVA and the impact of gains (losses) on hedges of accrual loans, are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.

2016 vs. 2015

Net income increased 6%, primarily driven by lower expenses and lower cost of credit.

• Revenues were largely unchanged, reflecting higher revenues in Markets and securities services (increase of 6%), driven by fixed income markets, offset by lower revenues in Banking (decrease of 5% including the gains/(losses) on hedges of accrual loans). Excluding the impact of the gains (losses) on loan hedges, Banking revenues increased 1%, driven by treasury and trade solutions and the private bank.

Within Banking:

• Investment banking revenues decreased 6%, largely reflecting the overall industry-wide slowdown in activity levels in equity underwriting and advisory during the first half of 2016. Advisory revenues decreased 9%, driven by North America, reflecting strong performance in 2015 and the lower overall M&A market.Equity underwriting revenues decreased 31%, driven by North America and EMEA, primarily reflecting the lower market activity. Debt underwriting revenues increased 5%, driven by North America, primarily due to higher market activity reflecting a favorable interest rate environment.

• Treasury and trade solutions revenues increased 4%. Excluding the impact of FX translation, revenues increased 8%, reflecting growth across most regions. The increase was primarily due to continued growth in transaction volumes with new and existing clients, continued growth in deposit balances and improved spreads in certain regions. The trade business experienced modest growth due to a continued focus on high quality loan growth and spread improvements. End-of-period deposit balances increased 5% (6% excluding the impact of FX translation), while average trade loans decreased 2% (1% excluding the impact of FX translation).

• Corporate lending revenues decreased 46%. Excluding the impact of gains (losses) on hedges of accrual loans, revenues decreased 3%. Excluding the impact of gains (losses) on hedges of accrual loans and FX translation, revenues decreased 1%, mostly reflecting a lease financing adjustment in the second quarter of 2016, spread compression and higher hedging costs, partially offset by higher average loans.

• Private bank revenues increased 3%, driven by North America, reflecting growth in loan volumes and improved banking spreads, partially offset by lower capital markets activity and lower managed investments revenues.

Within Markets and securities services:

• Fixed income markets revenues increased 15%, with higher revenues in all regions. The increase was largely driven by both higher principal transactions revenues (up 22%) and other revenues (up 78%). The increase in principal transactions revenues was primarily due to higher rates and currencies revenues, reflecting increased client revenues and higher volatility. Principal transactions revenues also increased due to higher spread products revenues. Other revenues increased mainly due to foreign currency losses in 2015.

Rates and currencies revenues grew 22%, driven by strength in all regions, primarily due to a more favorable trading environment and higher client revenues, particularly with corporate clients. The increase in client revenues was primarily driven by volatility following the vote in the U.K. to withdraw from the EU and the U.S. presidential election, as well as changing expectations regarding the interest rate environment. Spread products revenues increased 5% offset by lower other fixed income revenues. The increase in spread products revenues reflects higher client revenues in credit products, securitized products and municipal securities, particularly in the second half of 2016 as client risk appetite recovered. This increase in spread products revenues was partially offset by the impact of significantly lower liquidity in the market in the first quarter of 2016, particularly in securitized products, as well as market uncertainty in municipal securities in the fourth quarter of 2016 due to potential changes in U.S. tax laws following the U.S. presidential election.

• Equity markets revenues declined 9%. Equityderivatives and prime finance revenues declined 13%, reflecting both a challenging trading environment across all regions driven by lower volatility compared to 2015, and a comparison to a more favorable trading environment in 2015 in Asia. The decline in equity markets revenue was also due to lower equity cash commissions driven by a continued shift to electronic trading and passive investing by clients across the industry.

• Securities services revenues increased 1%. Excluding the

impact of FX translation, revenues increased 5%, driven

by EMEA, primarily reflecting increased client activity, a

modest gain on sale of a private equity fund services

business in the first quarter of 2016, higher deposit

volumes and improved spreads. The increase in revenues

was partially offset by the absence of revenues from

divestitures. Excluding the impact of FX translation and

divestitures, revenues increased 6%.

26

Expenses decreased 1% as a benefit from FX translation and efficiency savings were partially offset by higher compensation expense and higher repositioning charges.

Provisions decreased 49%, driven by a net loan loss reserve release of $30 million (compared to a net build of $748 million in the prior year). The significant decline in loan loss reserve builds related to energy and energy-related exposures, and was driven by stabilization of commodities as oil prices continued to recover from lows in early 2016. The decline in cost of credit was partially offset by higher net credit losses of $516 million (compared to $214 million in the prior year) mostly related to the energy and energy-related exposures, with a vast majority offset by the release of previously established loan loss reserves. For additional information on Citi’s corporate energy and energy-related exposures, see “Credit Risk—Corporate Credit” below.

2015 vs. 2014

Net income declined 4% as higher credit costs were partially offset by lower expenses.

• Revenues were largely unchanged as lower revenues in Markets and securities services (decrease of 1%) were offset by a modest increase in revenues in Banking (increase of 1%, but unchanged excluding the gains (losses) on hedges of accrual loans).

Within Banking:

• Investment banking revenues decreased 3%, largely reflecting an industry-wide decline in underwriting activity. Advisory revenues increased 17%, reflecting increased target client activity and strength in the overall M&A market.Equity underwriting revenues decreased 28% driven by the lower market activity and a decline in wallet share resulting from continued share fragmentation. Debt underwriting revenues increased 1%, driven by increased wallet share in investment grade debt and strong performance in investment grade loans in the second half of 2015, partially offset by the lower market activity and decreased wallet share in high-yield and leveraged loans.

• Treasury and trade solutions revenues were largely unchanged. Excluding the impact of FX translation, revenues increased 6%, as continued growth in deposit balances across regions and improved spreads, particularly in North America, were partially offset by continued declines in trade balances and spreads. End-of-period deposit balances increased 4% (7% excluding the impact of FX translation), largely driven by Asia and Latin America. Average trade loans decreased 12% (9% excluding the impact of FX translation).

• Corporate lending revenues increased 7%. Excluding the impact of gains (losses) on hedges of accrual loans, revenues decreased 3%. Excluding the impact of FX translation and gains (losses) on hedges of accrual loans, revenues also increased 3% as continued growth in average loan balances, lower hedge premium costs and an improvement in mark-to-market adjustments were partially offset by lower spreads, particularly in EMEA.

• Private bank revenues increased 7%, reflecting strength in North America, Asia and EMEA, primarily due to growth in loan volumes and deposit balances, improved spreads in banking and higher managed investments revenues, partially offset by continued spread compression in lending.

Within Markets and securities services:

• Fixed income markets revenues decreased 7%, driven by North America. The decline was primarily due to a 13% decline in principal transactions revenues, primarily lower spread products revenues, partially offset by higher rates and currencies revenues. Rates and currencies revenues increased 5%, reflecting significant market volatility due to central bank actions, which contributed to higher client revenues, partly offset by modest losses on the Swiss franc revaluation. Spread products and other fixed income revenues declined 25%, mostly driven by North America and EMEA, reflecting a challenging trading environment and lower client activity, especially in structured products.

• Equity markets revenues increased 15%. Equity derivatives and prime finance revenues increased 16% reflecting increased volatility and higher client revenues. Sharply increased trading opportunities as a result of market turbulence in China drove higher Asia equity derivatives and prime finance revenues versus 2014. The increase in equity markets revenues was partially offset by a decline in commissions driven by equity cash, due to lower client activity in all regions except Asia. 

• Securities services revenues increased 5%. Excluding the

impact of FX translation, revenues increased 16%,

reflecting increased client activity and higher client balances.

Expenses decreased 2% as efficiency savings, a benefit from FX translation and lower repositioning charges were partially offset by increased regulatory and compliance costs and compensation expense.

Provisions increased $915 million to $962 million, primarily reflecting a net loan loss reserve build ($748 million), compared to a net loan loss reserve release ($228 million) in 2014. The net loan loss reserve build included approximately $530 million for energy and energy-related exposures, including $250 million in the fourth quarter of 2015, due to the significant decline in commodity prices during the second half of 2015. The remainder of the build during 2015 was primarily due to volume growth and overall macroeconomic conditions.

The higher net loan loss reserve build during 2015 was partially offset by lower net credit losses. Net credit losses decreased 22%, primarily due to the absence of net credit losses of approximately $165 million related to the Petróleos Mexicanos (Pemex) supplier program, which were incurred during 2014 (for additional information, see Citi’s Form 8-K filed with the SEC on February 28, 2014), partially offset by increased net credit losses related to a limited number of energy and energy-related exposures, including approximately $75 million in the fourth quarter of 2015.

27

CORPORATE/OTHER

Corporate/Other includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses, Corporate Treasury and discontinued operations. At December 31, 2016, Corporate/Other had $49 billion of assets, or 3% of Citigroup’s total assets. As announced in April 2016, beginning in the first quarter of 2017, the remaining businesses and portfolio of assets in Citi Holdings will be reported as part of Corporate/Other. For additional information, see “Citigroup Segments,” “Executive Summary—2016 Summary Results—Citi Holdings” and “Citicorp” above and “Citi Holdings” below.

In millions of dollars	2016			2015			2014			% Change   2016 vs. 2015		% Change   2015 vs. 2014
Net interest revenue	$	79		$	(152	)	$	(224	)	NM		32	%
Non-interest revenue	331			1,060			527			(69	)	NM
Total revenues, net of interest expense	$	410		$	908		$	303		(55	)%	NM
Total operating expenses	$	1,790		$	1,750		$	6,020		2	%	(71	)%
Provisions for loan losses and for benefits and claims	—			—			—			—		—
Loss from continuing operations before taxes	$	(1,380	)	$	(842	)	$	(5,717	)	(64	)%	85	%
Income taxes (benefits)	(771		)	(1,338		)	(344		)	42	%	NM
Income (loss) from continuing operations	$	(609	)	$	496		$	(5,373	)	NM		NM
Income (loss) from discontinued operations, net of taxes	(58		)	(54		)	(2		)	(7	)%	NM
Net income (loss) before attribution of noncontrolling interests	$	(667	)	$	442		$	(5,375	)	NM		NM
Noncontrolling interests	(8		)	18			41			NM		(56	)
Net income (loss)	$	(659	)	$	424		$	(5,416	)	NM		NM

NM Not meaningful

2016 vs. 2015

The net loss was $659 million, compared to net income of $424 million in 2015, primarily reflecting lower revenues and a higher effective tax rate in 2016 due to the absence of certain tax benefits in 2015. The net loss was also due to the absence of the favorable tax impact reflecting the resolution of state and local audits in the second quarter of 2015.

Revenues decreased 55%, primarily due to the absence of gains on real estate and other asset sales in 2015, lower gains on debt buybacks and the absence of the equity contribution related to China Guangfa Bank (which was sold in the third quarter of 2016), partially offset by higher investment income.

Expenses increased 2%, largely driven by higher corporate-wide advertising and marketing expenses primarily related to Citi’s sponsorship of the U.S. Olympic team and higher consulting costs, partially offset by lower legal and related expenses, lower repositioning costs and a benefit from FX translation.

2015 vs. 2014

Net income was $424 million, compared to a net loss of $5.4 billion in 2014, largely reflecting significantly lower expenses, the increased tax benefits and the favorable tax impact reflecting the resolution of the state and local audits, as well as higher revenues.

Revenues increased $605 million to $908 million, primarily due to the gains on debt buybacks and the real estate sales in 2015, as well as higher revenues from sales of AFS securities, partially offset by hedging activities.

Expenses decreased $4.3 billion to $1.8 billion, largely driven by lower legal and related expenses ($797 million compared to $4.4 billion in 2014), a benefit from FX translation and lower repositioning charges.

28

CITI HOLDINGS

Citi Holdings contains the remaining businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses. As announced in April 2016, Citi will no longer report the results of Citi Holdings separately beginning in the first quarter of 2017 and Citi Holdings will cease to be a separately reported business segment. For additional information, see “Citigroup Segments” and “Citicorp” above.

As of December 31, 2016, Citi Holdings assets were approximately $54 billion, a decrease of 33% year-over-year and 11% from September 30, 2016. The decline in assets of $7 billion from September 30, 2016 primarily consisted of divestitures and run-off. As of December 31, 2016, Citi had signed agreements to reduce Citi Holdings GAAP assets by an additional $9 billion, subject to regulatory approvals and other closing conditions.

Also as of December 31, 2016, consumer assets in Citi Holdings were approximately $49 billion, or approximately 91% of Citi Holdings assets. Of the consumer assets, approximately $28 billion, or 57%, consisted of North America mortgages (residential first mortgages and home equity loans). As of December 31, 2016, Citi Holdings represented approximately 3% of Citi’s GAAP assets and 9% of its risk-weighted assets under Basel III (based on the Advanced Approaches).

In millions of dollars, except as otherwise noted	2016			2015			2014			% Change 2016 vs. 2015		% Change   2015 vs. 2014
Net interest revenue	$	2,038		$	4,457		$	5,557		(54	)%	(20	)%
Non-interest revenue	1,814			4,503			3,751			(60	)	20
Total revenues, net of interest expense	$	3,852		$	8,960		$	9,308		(57	)%	(4	)%
Provisions for credit losses and for benefits and claims
Net credit losses	$	433		$	1,336		$	2,186		(68	)%	(39	)%
Credit reserve release	(455		)	(455		)	(920		)	—		51
Provision for loan losses	$	(22	)	$	881		$	1,266		NM		(30	)%
Provision for benefits and claims	99			624			656			(84	)	(5	)
Release for unfunded lending commitments	(8		)	(23		)	(11		)	65		NM
Total provisions for credit losses and for benefits and claims	$	69		$	1,482		$	1,911		(95	)%	(22	)%
Total operating expenses	$	3,171		$	5,571		$	10,859		(43	)%	(49	)%
Income (loss) from continuing operations before taxes	$	612		$	1,907		$	(3,462	)	(68	)%	NM
Income taxes (benefits)	6			922			8			(99	)%	NM
Income (loss) from continuing operations	$	606		$	985		$	(3,470	)	(38	)%	NM
Noncontrolling interests	$	6		$	11		$	6		(45	)%	83	%
Net income (loss)	$	600		$	974		$	(3,476	)	(38	)%	NM
Total revenues, net of interest expense (excluding CVA/DVA)(1)
Total revenues—as reported	$	3,852		$	8,960		$	9,308		(57	)%	(4	)%
CVA/DVA	—			(15		)	(47		)	100		68	%
Total revenues—excluding CVA/DVA(1)	$	3,852		$	8,975		$	9,355		(57	)%	(4	)%
Balance Sheet data (in billions of dollars)
Average assets	$	68		$	119		$	154		(43	)%	(23	)%
Return on average assets	0.88		%	0.82		%	(2.27		)%
Efficiency ratio	82			62			117
Total EOP assets	$	54		$	81		$	138		(33	)	(41	)
Total EOP loans	33			49			85			(32	)	(42	)
Total EOP deposits	2			10			21			(79	)	(52	)

(1) Excludes CVA/DVA in 2015 and 2014, consistent with the current year’s presentation. For additional information, see Notes 1 and 24 to the Consolidated Financial Statements.

NM Not meaningful

29

The discussion of the results of operations for Citi Holdings below excludes the impact of CVA/DVA for 2015 and 2014. Presentations of the results of operations, excluding the impact of CVA/DVA, are non-GAAP financial measures. Citi believes the presentation of Citi Holdings’ results excluding the impact of CVA/DVA is a more meaningful depiction of the underlying fundamentals of the business. For a reconciliation of these metrics to the reported results, see the table above.

2016 vs. 2015

Net income was $600 million, compared to net income of $984 million in 2015, primarily due to lower revenues, partially offset by lower expenses and lower credit costs.

Revenues decreased 57%, primarily driven by the overall wind-down of the portfolio and lower net gains on sales, particularly the sales of OneMain Financial and the retail banking and credit cards businesses in Japan in the fourth quarter of 2015.

Expenses declined 43%, primarily due to sales and run-off of assets, lower legal and related costs and lower repositioning costs.

Provisions decreased 95% due to lower net credit losses and a lower provision for benefits and claims (decrease of 84%) due to lower insurance-related business activity. Net credit losses declined 68%, primarily due to the impact of divestitures and continued credit improvements in North America mortgages. The net reserve release declined 3%.

2015 vs. 2014

Net income was $984 million, an improvement from a net loss of $3.4 billion in 2014, largely due to the impact of a charge of $3.8 billion ($3.7 billion after-tax) in 2014 to settle RMBS and CDO-related claims. Excluding the mortgage settlement, net income increased $705 million, primarily due to lower expenses and lower net credit losses, partially offset by a lower net loan loss reserve release and lower revenues.

Revenues decreased 4%, primarily driven by the overall wind-down of the portfolio, the impact of redemptions of high cost debt and the impact of recording OneMain Financial net credit losses as a reduction of revenue beginning in the second quarter of 2015, mostly offset by higher gains on asset sales, including the sales of OneMain Financial and the retail banking and credit cards businesses in Japan.

Expenses declined 49%. Excluding the impact of the mortgage settlement, expenses declined 22%, primarily due to sales and run-off of Citi Holdings assets and lower legal and related costs ($431 million compared to $1.0 billion in 2014).

Provisions decreased 22%. Excluding the impact of the mortgage settlement, provisions decreased 20%, driven by lower net credit losses, partially offset by a lower net loss reserve release. Net credit losses declined 39%, primarily due to the impact of the recording of OneMain Financial net credit losses as a reduction in revenue, continued improvements in North America mortgages and overall lower asset levels. The net reserve release decreased 49%. Excluding the impact of the mortgage settlement, the net reserve release decreased 52% to $478 million, primarily due to lower releases related to the North America mortgage portfolio.

Payment Protection Insurance (PPI)

The selling of PPI by financial institutions in the U.K. has been the subject of intense review and focus by U.K. regulators and the U.K. Supreme Court. For additional information on PPI, see “Citi Holdings” in Citi’s Annual Report on Form 10-K for the year ended December 31, 2013 filed with the SEC on March 3, 2014.

PPI is designed to cover a customer’s loan repayments if certain events occur, such as long-term illness or unemployment. The U.K. Financial Conduct Authority (FCA) found certain problems across the industry with how these products were sold, including customers not realizing that the cost of PPI premiums was being added to their loan or PPI being unsuitable for the customer. Redress generally involves

the repayment of premiums and the refund of all applicable contractual interest together with compensatory interest of 8%. In addition, during the fourth quarter of 2015, the U.K. Supreme Court issued a ruling in a case (Plevin) involving PPI pursuant to which the court ruled, independent of the sale of the PPI contract, the PPI contract at issue in the case was “unfair” due to the high sales commissions earned and the lack of disclosure to the customer thereof.

During the third quarter of 2016, the FCA issued a new consultation paper that proposed (i) a deadline for PPI complaints of June 2019 (a 2018 deadline was proposed previously) for both non-Plevin and Plevin complaints; (ii) an FCA-led customer communications campaign in advance of the deadline, with bank funding of the campaign; and (iii) a failure to disclose a sales commission of 50% or more would be deemed unfair when assessing a new PPI complaint and require a customer refund of the difference between the commission paid and 50%, plus interest. Final rules have not yet been published by the FCA.

During 2016, Citi increased its PPI reserves by approximately $134 million ($63 million of which was recorded in Citi Holdings and $71 million of which was recorded in discontinued operations). The increase for full year 2016 compared to an increase of $153 million during 2015 and was primarily due to the new proposed deadline for PPI complaints as well as the ongoing level of PPI claims.

Citi’s year-end 2016 PPI reserve was $228 million (compared to $262 million as of December 31, 2015).

Additional reserving actions, if any, in 2017 will largely depend on the timing and requirements of the FCA’s final rules and the level of customer response to any communications campaign.

30

OFF-BALANCE SHEET ARRANGEMENTS

Citigroup enters into various types of off-balance sheet arrangements in the ordinary course of business. Citi’s involvement in these arrangements can take many different forms, including without limitation:

• purchasing or retaining residual and other interests in unconsolidated special purpose entities, such as mortgage-backed and other asset-backed securitization entities;

• holding senior and subordinated debt, interests in limited and general partnerships and equity interests in other unconsolidated special purpose entities;

• providing guarantees, indemnifications, loan commitments, letters of credit and representations and warranties; and

• entering into operating leases for property and equipment.

Citi enters into these arrangements for a variety of business purposes. For example, securitization arrangements offer investors access to specific cash flows and risks created through the securitization process. Securitization arrangements also assist Citi and its customers in monetizing their financial assets and securing financing at more favorable rates than Citi or the customers could otherwise obtain.

The table below shows where a discussion of Citi’s various off-balance sheet arrangements may be found in this Form 10-K. In addition, see Notes 1, 21 and 26 to the Consolidated Financial Statements.

Types of Off-Balance Sheet Arrangements Disclosures in this Form 10-K

Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEs	See Note 21 to the Consolidated Financial Statements.
Letters of credit, and lending and other commitments	See Note 26 to the Consolidated Financial Statements.
Guarantees	See Note 26 to the Consolidated Financial Statements.
Leases	See Note 26 to the Consolidated Financial Statements.

31

CONTRACTUAL OBLIGATIONS

The following table includes information on Citigroup’s contractual obligations, as specified and aggregated pursuant to SEC requirements.

	Contractual obligations by year
In millions of dollars	2017		2018		2019		2020		2021		Thereafter		Total
Long-term debt obligations—principal(1)	$	36,125	$	46,089	$	22,013	$	10,175	$	19,131	$	72,645	$	206,178
Long-term debt obligations—interest payments(2)	6,565		5,131		3,942		3,381		2,869		29,818		51,706
Operating and capital lease obligations	1,151		1,006		854		679		531		2,655		6,876
Purchase obligations(3)	486		423		415		403		340		745		2,812
Other liabilities(4)	32,397		654		155		101		92		2,135		35,534
Total	$	76,724	$	53,303	$	27,379	$	14,739	$	22,963	$	107,998	$	303,106

(1) For additional information about long-term debt obligations, see “Liquidity Risk—Long-Term Debt” below and Note 17 to the Consolidated Financial Statements.

(2) Contractual obligations related to interest payments on long-term debt for 2017–2021 are calculated by applying the December 31, 2016 weighted-average interest rate (3.49%) on average outstanding long-term debt to the average remaining contractual obligations on long-term debt for each of those years. The “Thereafter” interest payments on long-term debt for the remaining years to maturity (2022–2098) are calculated by applying current interest rates on the remaining contractual obligations on long-term debt for each of those years.

(3) Purchase obligations consist of obligations to purchase goods or services that are enforceable and legally binding on Citi. For presentation purposes, purchase obligations are included in the table above through the termination date of the respective agreements, even if the contract is renewable. Many of the purchase agreements for goods or services include clauses that would allow Citi to cancel the agreement with specified notice; however, that impact is not included in the table above (unless Citi has already notified the counterparty of its intention to terminate the agreement).

(4) Other liabilities reflected on Citigroup’s Consolidated Balance Sheet includes accounts payable, accrued expenses, uncertain tax positions and other liabilities that have been incurred and will ultimately be paid in cash; legal reserve accruals are not included in the table above. Also includes discretionary contributions in 2017 for Citi’s employee-defined benefit obligations for the pension, postretirement and post employment plans and defined contribution plans.

32

CAPITAL RESOURCES

Overview

Capital is used principally to support assets in Citi’s businesses and to absorb credit, market, and operational losses. Citi primarily generates capital through earnings from its operating businesses. Citi may augment its capital through issuances of common stock, noncumulative perpetual preferred stock and equity issued through awards under employee benefit plans, among other issuances. Further, Citi’s capital levels may also be affected by changes in accounting and regulatory standards as well as U.S. corporate tax laws, and the impact of future events on Citi’s business results, such as changes in interest and foreign exchange rates, as well as business and asset dispositions.

During 2016, Citi returned a total of approximately $10.7 billion of capital to common shareholders in the form of share repurchases (approximately 196 million common shares) and dividends.

Capital Management

Citi’s capital management framework is designed to ensure that Citigroup and its principal subsidiaries maintain sufficient capital consistent with each entity’s respective risk profile, management targets, and all applicable regulatory standards and guidelines. Citi assesses its capital adequacy against a series of internal quantitative capital goals, designed to evaluate the Company’s capital levels in expected and stressed economic environments. Underlying these internal quantitative capital goals are strategic capital considerations, centered on preserving and building financial strength. The Citigroup Capital Committee, with oversight from the Risk Management Committee of Citigroup’s Board of Directors, has responsibility for Citi’s aggregate capital structure, including the capital assessment and planning process, which is integrated into Citi’s capital plan. Balance sheet management, including oversight of capital adequacy, for Citigroup’s subsidiaries is governed by each entity’s Asset and Liability Committee, where applicable. For additional information regarding Citi’s capital planning and stress testing exercises, see “Capital Planning and Stress Testing” below.

Current Regulatory Capital Standards

Citi is subject to regulatory capital standards issued by the Federal Reserve Board which constitute the U.S. Basel III rules. These rules establish an integrated capital adequacy framework, encompassing both risk-based capital ratios and leverage ratios.

Risk-Based Capital Ratios

The U.S. Basel III rules set forth the composition of regulatory capital (including the application of regulatory capital adjustments and deductions), as well as two comprehensive methodologies (a Standardized Approach and Advanced Approaches) for measuring total risk-weighted assets. Total risk-weighted assets under the Advanced Approaches, which are primarily models based, include credit, market, and operational risk-weighted assets. Conversely, the Standardized Approach excludes operational risk-weighted assets and generally applies prescribed supervisory risk weights to broad categories of credit risk exposures. As a result, credit risk-weighted assets calculated under the Advanced Approaches are more risk sensitive than those calculated under the Standardized Approach. Market risk-weighted assets are derived on a generally consistent basis under both approaches.

The U.S. Basel III rules establish stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios for substantially all U.S. banking organizations, including Citi and Citibank, N.A. (Citibank). Moreover, these rules provide for both a fixed Capital Conservation Buffer and, for Advanced Approaches banking organizations, such as Citi and Citibank, also a discretionary Countercyclical Capital Buffer. These capital buffers would be available to absorb losses in advance of any potential impairment of regulatory capital below the stated minimum risk-based capital ratio requirements. In September 2016, the Federal Reserve Board released a policy statement which established the framework for setting the amount of the U.S. Countercyclical Capital Buffer. Separately, in October 2016, the Federal Reserve Board voted to affirm the Countercyclical Capital Buffer amount at the current level of 0%.

Further, the U.S. Basel III rules implement the “capital floor provision” of the so-called “Collins Amendment” of the Dodd-Frank Act, which requires Advanced Approaches

banking organizations to calculate each of the three risk-based capital ratios (Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital) under both the U.S. Basel III Standardized Approach starting on January 1, 2015 and the Advanced Approaches and publicly report (as well as measure compliance against) the lower of each of the resulting risk-based capital ratios.

33

GSIB Surcharge

In August 2015, the Federal Reserve Board issued a rule which imposes a risk-based capital surcharge upon U.S. bank holding companies that are identified as global systemically important bank holding companies (GSIBs), including Citi. The GSIB surcharge augments the Capital Conservation Buffer and, if invoked, any Countercyclical Capital Buffer, and would result in restrictions on earnings distributions (e.g., dividends, equity repurchases, and discretionary executive bonuses) should the expanded buffer be breached to absorb losses during periods of financial or economic stress, with the degree of such restrictions based upon the extent to which the expanded buffer is breached.

Under the Federal Reserve Board’s rule, identification of a GSIB is based primarily on quantitative measurement indicators underlying five equally weighted broad categories of systemic importance: (i) size, (ii) interconnectedness, (iii) cross-jurisdictional activity, (iv) substitutability, and (v) complexity. With the exception of size, each of the other categories are comprised of multiple indicators also of equal weight, and amounting to 12 indicators in total.

A U.S. bank holding company that is designated a GSIB under the established methodology is required, on an annual basis, to calculate a surcharge using two methods and will be subject to the higher of the resulting two surcharges. The first method (“method 1”) is based on the same five broad categories of systemic importance used to identify a GSIB. Under the second method (“method 2”), the substitutability category is replaced with a quantitative measure intended to assess the extent of a GSIB’s reliance on short-term wholesale funding. Moreover, method 1 incorporates relative measures of systemic importance across certain global banking organizations and a year-end spot foreign exchange rate, whereas method 2 uses fixed measures of systemic importance and application of an average foreign exchange rate over a three-year period. Effective for 2017 and thereafter, the GSIB surcharges calculated under both method 1 and method 2 are based on measures of systemic importance from the year immediately preceding that in which the GSIB surcharge calculations are being performed (e.g., the method 1 and method 2 GSIB surcharges to be calculated by December 31, 2017 will be based on 2016 systemic indicator data). Generally, the surcharge derived under method 2 will result in a higher surcharge than derived under method 1.

Should a GSIB’s systemic importance change year-over-year such that it becomes subject to a higher surcharge, the higher surcharge would not become effective for a full year (e.g., a higher surcharge calculated by December 31, 2017 would not become effective until January 1, 2019). However, if a GSIB’s systemic importance changes such that the GSIB would be subject to a lower surcharge, the GSIB would be subject to the lower surcharge beginning with the next calendar year (e.g., a lower surcharge calculated by December 31, 2017 would become effective January 1, 2018).

GSIB surcharges under the rule, which are required to be composed entirely of Common Equity Tier 1 Capital, initially range from 1.0% to 4.5% of total risk-weighted assets. Citi’s initial GSIB surcharge effective January 1, 2016 was 3.5%, as derived under method 2. However, ongoing efforts in addressing quantitative measures of systemic importance have resulted in a reduction of Citi’s method 2 GSIB surcharge to 3%, effective January 1, 2017. Citi’s method 1 GSIB surcharge for 2016 was lower at 2%, and remains unchanged for 2017. Citi expects that its method 2 GSIB surcharge will continue to remain higher than its GSIB surcharge derived under method 1, and as such Citi’s GSIB surcharge effective for 2018 and 2019 would not exceed 3%.

Transition Provisions

The U.S. Basel III rules contain several differing, largely multi-year transition provisions (i.e., “phase-ins” and “phase-outs”), including with respect to substantially all regulatory capital adjustments and deductions, and non-qualifying Tier 1 and Tier 2 Capital instruments (such as non-grandfathered trust preferred securities and certain subordinated debt issuances). Moreover, the GSIB surcharge, Capital Conservation Buffer, and any Countercyclical Capital Buffer (currently 0%), commenced phase-in on January 1, 2016, becoming fully effective on January 1, 2019. With the exception of the non-grandfathered trust preferred securities which do not fully phase-out until January 1, 2022 and the capital buffers and GSIB surcharge which do not fully phase-in until January 1, 2019, all other transition provisions will be entirely reflected in Citi’s regulatory capital ratios by January 1, 2018. Citi considers all of these transition provisions as being fully implemented on January 1, 2019 (full implementation), with the inclusion of the capital buffers and GSIB surcharge.

The following chart sets forth the transitional progression from January 1, 2015 to full implementation by January 1, 2019 of the regulatory capital components (i.e., inclusive of the mandatory 2.5% Capital Conservation Buffer and the Countercyclical Capital Buffer at its current level of 0%, as well as an estimated 3% GSIB surcharge) comprising the effective minimum risk-based capital ratios.

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Basel III Transition Arrangements: Minimum Risk-Based Capital Ratios

The following chart presents the transition arrangements (phase-in and phase-out) from January 1, 2015 through January 1, 2018 under the U.S. Basel III rules for significant regulatory capital adjustments and deductions relative to Citi.

Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions

	January 1
	2015		2016		2017		2018
Phase-in of Significant Regulatory Capital Adjustments and Deductions
Common Equity Tier 1 Capital(1)	40	%	60	%	80	%	100	%
Common Equity Tier 1 Capital(2)	40	%	60	%	80	%	100	%
Additional Tier 1 Capital(2)(3)	60	%	40	%	20	%	0	%
	100	%	100	%	100	%	100	%
Phase-out of Significant AOCI Regulatory Capital Adjustments
Common Equity Tier 1 Capital(4)	60	%	40	%	20	%	0	%

(1) Includes the phase-in of Common Equity Tier 1 Capital deductions for all intangible assets other than goodwill and mortgage servicing rights (MSRs); and excess over 10%/15% limitations for deferred tax assets (DTAs) arising from temporary differences, significant common stock investments in unconsolidated financial institutions and MSRs. Goodwill (including goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions) is fully deducted in arriving at Common Equity Tier 1 Capital. The amount of other intangible assets, aside from MSRs, not deducted in arriving at Common Equity Tier 1 Capital are risk-weighted at 100%, as are the excess over the 10%/15% limitations for DTAs arising from temporary differences, significant common stock investments in unconsolidated financial institutions and MSRs prior to full implementation of the U.S. Basel III rules. Upon full implementation, the amount of temporary difference DTAs, significant common stock investments in unconsolidated financial institutions and MSRs not deducted in arriving at Common Equity Tier 1 Capital are risk-weighted at 250%.

(2) Includes the phase-in of Common Equity Tier 1 Capital deductions related to DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards and defined benefit pension plan net assets; and the phase-in of the Common Equity Tier 1 Capital adjustment for cumulative unrealized net gains (losses) related to changes in fair value of financial liabilities attributable to Citi’s own creditworthiness.

(3) To the extent Additional Tier 1 Capital is not sufficient to absorb regulatory capital adjustments and deductions, such excess is to be applied against Common Equity Tier 1 Capital.

(4) Includes the phase-out from Common Equity Tier 1 Capital of adjustments related to unrealized gains (losses) on available-for-sale (AFS) debt securities; unrealized gains on AFS equity securities; unrealized gains (losses) on held-to-maturity (HTM) securities included in Accumulated other comprehensive income (loss) (AOCI); and defined benefit plans liability adjustment.

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Tier 1 Leverage Ratio

Under the U.S. Basel III rules, Citi, as with principally all U.S. banking organizations, is also required to maintain a minimum Tier 1 Leverage ratio of 4%. The Tier 1 Leverage ratio, a non-risk-based measure of capital adequacy, is defined as Tier 1 Capital as a percentage of quarterly adjusted average total assets less amounts deducted from Tier 1 Capital.

Supplementary Leverage Ratio

Advanced Approaches banking organizations are additionally required to calculate a Supplementary Leverage ratio, which significantly differs from the Tier 1 Leverage ratio by also including certain off-balance sheet exposures within the denominator of the ratio (Total Leverage Exposure). The Supplementary Leverage ratio represents end of period Tier 1 Capital to Total Leverage Exposure, with the latter defined as the sum of the daily average of on-balance sheet assets for the quarter and the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter, less applicable Tier 1 Capital deductions. Advanced Approaches banking organizations will be required to maintain a stated minimum Supplementary Leverage ratio of 3% commencing on January 1, 2018, but were required to publicly disclose the ratio commencing with the first quarter of 2015.

Further, U.S. GSIBs, and their subsidiary insured depository institutions, including Citi and Citibank, are subject to enhanced Supplementary Leverage ratio standards. The enhanced Supplementary Leverage ratio standards establish a 2% leverage buffer for U.S. GSIBs in addition to the stated 3% minimum Supplementary Leverage ratio requirement in the U.S. Basel III rules. If a U.S. GSIB fails to exceed the 2% leverage buffer, it will be subject to increasingly onerous restrictions (depending upon the extent of the shortfall) regarding capital distributions and discretionary executive bonus payments. Accordingly, U.S. GSIBs are effectively subject to a 5% minimum Supplementary Leverage ratio requirement. Citi is required to be compliant with this higher effective minimum ratio requirement on January 1, 2018.

Prompt Corrective Action Framework

The U.S. Basel III rules revised the Prompt Corrective Action (PCA) regulations applicable to insured depository institutions in certain respects.

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

Accordingly, beginning January 1, 2015, an insured depository institution, such as Citibank, must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital, and Tier 1 Leverage ratios of 6.5%, 8%, 10%

and 5%, respectively, to be considered “well capitalized.” Additionally, insured depository institution subsidiaries of U.S. GSIBs, such as Citibank, must maintain a minimum Supplementary Leverage ratio of 6%, effective January 1, 2018, to be considered “well capitalized.”

Capital Planning and Stress Testing

Citi is subject to an annual assessment by the Federal Reserve Board as to whether Citi has effective capital planning processes as well as sufficient regulatory capital to absorb losses during stressful economic and financial conditions, while also meeting obligations to creditors and counterparties and continuing to serve as a credit intermediary. This annual assessment includes two related programs:

• The Comprehensive Capital Analysis and Review (CCAR) evaluates Citi’s capital adequacy, capital adequacy process, and its planned capital distributions, such as dividend payments and common stock repurchases. As part of CCAR, the Federal Reserve Board assesses whether Citi has sufficient capital to continue operations throughout times of economic and financial market stress and whether Citi has robust, forward-looking capital planning processes that account for its unique risks. The Federal Reserve Board may object to Citi’s annual capital plan based on either quantitative or qualitative grounds. If the Federal Reserve Board objects to Citi’s annual capital plan, Citi may not undertake any capital distribution unless the Federal Reserve Board indicates in writing that it does not object to the distribution.

• Dodd-Frank Act Stress Testing (DFAST) is a forward-looking quantitative evaluation of the impact of stressful economic and financial market conditions on Citi’s regulatory capital. This program serves to inform the Federal Reserve Board, the financial companies, and the general public, how Citi’s regulatory capital ratios might change using a hypothetical set of adverse economic conditions as designed by the Federal Reserve Board. In addition to the annual supervisory stress test conducted by the Federal Reserve Board, Citi is required to conduct annual company-run stress tests under the same adverse economic conditions designed by the Federal Reserve Board, as well as conduct a mid-cycle stress test under company-developed scenarios.

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

36

2017 CCAR instructions, in part, to incorporate the Supplementary Leverage ratio. Accordingly, Advanced Approaches banking organizations will therefore be required to demonstrate an ability to maintain a Supplementary Leverage ratio in excess of the stated minimum requirement for the quarters of the 2017 CCAR planning horizon which are subsequent to the effective date of the ratio (i.e., the first quarter of 2018 through the first quarter of 2019).

In February 2017, the Federal Reserve Board issued a final rule adopting certain revisions to its capital planning and stress testing rules which become effective with the 2017 CCAR cycle. The revisions include a reduction in the amount of capital a banking organization subject to the quantitative requirements of CCAR may request to distribute in excess of the amount otherwise previously approved under its capital plan. The so-called “de-minimis exception” threshold will be lowered from the current 1.0% to 0.25% of Tier 1 Capital, and will be available to these banking organizations, subject to compliance with certain conditions, including 15 days prior notification as to planned execution of the exception and no objection by the Federal Reserve Board within that timeframe. Citi announced an increase to its common stock repurchase program of up to $1.75 billion in November 2016, in accordance with the current de-minimis exception. For additional information regarding CCAR, see “Risk Factors—Strategic Risks” below.

Citigroup’s Capital Resources Under Current Regulatory Standards

During 2015 and thereafter, Citi is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6% and 8%, respectively. Citi’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2016, inclusive of the 25% phase-in of both the 2.5% Capital Conservation Buffer and the 3.5% GSIB surcharge (all of which is to be composed of Common Equity Tier 1 Capital), are 6%, 7.5%, and 9.5%, respectively. Citi’s effective and stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2015 were equivalent at 4.5%, 6%, and 8%, respectively.

Furthermore, to be “well capitalized” under current federal bank regulatory agency definitions, a bank holding

company must have a Tier 1 Capital ratio of at least 6%, a Total Capital ratio of at least 10%, and not be subject to a Federal Reserve Board directive to maintain higher capital levels.

The following tables set forth the capital tiers, total risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citi as of December 31, 2016 and December 31, 2015.

Citigroup Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)

	December 31, 2016						December 31, 2015
In millions of dollars, except ratios	Advanced Approaches			Standardized Approach			Advanced Approaches			Standardized Approach
Common Equity Tier 1 Capital	$	167,378		$	167,378		$	173,862		$	173,862
Tier 1 Capital	178,387			178,387			176,420			176,420
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)	202,146			214,938			198,746			211,115
Total Risk-Weighted Assets	1,166,764			1,126,314			1,190,853			1,138,711
Common Equity Tier 1 Capital ratio(2)	14.35		%	14.86		%	14.60		%	15.27		%
Tier 1 Capital ratio(2)	15.29			15.84			14.81			15.49
Total Capital ratio(2)	17.33			19.08			16.69			18.54

In millions of dollars, except ratios	December 31, 2016				December 31, 2015
Quarterly Adjusted Average Total Assets(3)		$	1,768,415			$	1,732,933
Total Leverage Exposure(4)		2,351,883				2,326,072
Tier 1 Leverage ratio		10.09		%		10.18		%
Supplementary Leverage ratio		7.58				7.58

(1) Under the Advanced Approaches framework eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which 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.

(2) As of December 31, 2016 and December 31, 2015, Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.

(3) Tier 1 Leverage ratio denominator.

(4) Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s capital ratios at December 31, 2016 were in excess of the stated minimum requirements under the U.S. Basel III rules. In

addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of December 31, 2016.

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Components of Citigroup Capital Under Current Regulatory Standards

(Basel III Advanced Approaches with Transition Arrangements)

In millions of dollars	December 31, 2016			December 31, 2015
Common Equity Tier 1 Capital
Citigroup common stockholders’ equity(1)	$	206,051		$	205,286
Add: Qualifying noncontrolling interests	259			369
Regulatory Capital Adjustments and Deductions:
Less: Net unrealized gains (losses) on securities available-for-sale (AFS), net of tax(2)(3)	(320		)	(544		)
Less: Defined benefit plans liability adjustment, net of tax(3)	(2,066		)	(3,070		)
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(4)	(560		)	(617		)
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities    attributable to own creditworthiness, net of tax(3)(5)	(37		)	176
Less: Intangible assets:
Goodwill, net of related deferred tax liabilities (DTLs)(6)	20,858			21,980
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related    DTLs(3)(7)	2,926			1,434
Less: Defined benefit pension plan net assets(3)	514			318
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general    business credit carry-forwards(3)(8)	12,802			9,464
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,   and MSRs(3)(8)(9)	4,815			2,652
Total Common Equity Tier 1 Capital	$	167,378		$	173,862
Additional Tier 1 Capital
Qualifying perpetual preferred stock(1)	$	19,069		$	16,571
Qualifying trust preferred securities(10)	1,371			1,707
Qualifying noncontrolling interests	17			12
Regulatory Capital Adjustment and Deductions:
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities    attributable to own creditworthiness, net of tax(3)(5)	(24		)	265
Less: Defined benefit pension plan net assets(3)	343			476
Less: DTAs arising from net operating loss, foreign tax credit and general    business credit carry-forwards(3)(8)	8,535			14,195
Less: Permitted ownership interests in covered funds(11)	533			567
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(12)	61			229
Total Additional Tier 1 Capital	$	11,009		$	2,558
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)	$	178,387		$	176,420
Tier 2 Capital
Qualifying subordinated debt(13)	$	22,818		$	21,370
Qualifying trust preferred securities(10)	317			—
Qualifying noncontrolling interests	22			17
Excess of eligible credit reserves over expected credit losses(14)	660			1,163
Regulatory Capital Adjustment and Deduction:
Add: Unrealized gains on AFS equity exposures includable in Tier 2 Capital	3			5
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(12)	61			229
Total Tier 2 Capital	$	23,759		$	22,326
Total Capital (Tier 1 Capital + Tier 2 Capital)	$	202,146		$	198,746

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Citigroup Risk-Weighted Assets Under Current Regulatory Standards

(Basel III Advanced Approaches with Transition Arrangements)

In millions of dollars	December 31, 2016		December 31, 2015
Credit Risk(15)	$	773,483	$	791,036
Market Risk	64,006		74,817
Operational Risk	329,275		325,000
Total Risk-Weighted Assets	$	1,166,764	$	1,190,853

(1) Issuance costs of $184 million and $147 million related to preferred stock outstanding at December 31, 2016 and December 31, 2015, respectively, are excluded from common stockholders’ equity and netted against preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.

(2) In addition, includes the net amount of unamortized loss on HTM securities. This amount relates to securities that were previously transferred from AFS to HTM, and non-credit related factors such as changes in interest rates and liquidity spreads for HTM securities with other-than-temporary impairment.

(3) The transition arrangements for significant regulatory capital adjustments and deductions impacting Common Equity Tier 1 Capital and/or Additional Tier 1 Capital are set forth above in the chart entitled “Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions.”

(4) Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in AOCI that relate to the hedging of items not recognized at fair value on the balance sheet.

(5) The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected and own-credit valuation adjustments on derivatives are excluded from Common Equity Tier 1 Capital, in accordance with the U.S. Basel III rules.

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

(7) Identifiable intangible assets other than MSRs increased by approximately $2.2 billion as a result of the acquisition of the Costco cards portfolio, as well as the renewal and extension of the co-branded credit card program agreement with American Airlines. For additional information, see Note 16 to the Consolidated Financial Statements.

(8) Of Citi’s approximately $46.7 billion of net DTAs at December 31, 2016, approximately $22.0 billion were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $24.7 billion were excluded. Excluded from Citi’s regulatory capital as of December 31, 2016 was approximately $26.1 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences, of which approximately $17.6 billion were deducted from Common Equity Tier 1 Capital and approximately $8.5 billion were deducted from Additional Tier 1 Capital, reduced by approximately $1.4 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be deducted from both Common Equity Tier 1 Capital and Additional Tier 1 Capital under the transition arrangements of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted in full from Common Equity Tier 1 Capital under these rules, if in excess of 10%/15% limitations (see note below).

(9) Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At December 31, 2016 and December 31, 2015, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $4.8 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital as of December 31, 2016. Changes to the U.S. corporate tax regime that impact the value of Citi’s DTAs arising from temporary differences, which exceed the then current amount deducted from Citi’s Common Equity Tier 1 Capital, would further reduce Citi’s regulatory capital to the extent of such excess after tax (for additional discussion on potential U.S. corporate tax reform, see “Risk Factors—Strategic Risks” below).

(10) Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules, as well as non-grandfathered trust preferred securities which are eligible for inclusion in Tier 1 Capital during 2015 in an amount up to 25% of the aggregate outstanding principal amounts of such issuances as of January 1, 2014. The remaining 75% of non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital during 2015 in accordance with the transition arrangements for non-qualifying capital instruments under the U.S. Basel III rules. As of December 31, 2015, however, the entire amount of non-grandfathered trust preferred securities was included within Tier 1 Capital, as the amounts outstanding did not exceed the respective threshold for exclusion from Tier 1 Capital. Effective January 1, 2016, non-grandfathered trust preferred securities are not eligible for inclusion in Tier 1 Capital, but are eligible for inclusion in Tier 2 Capital subject to full phase-out by January 1, 2022. During 2016, non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital in an amount up to 60% of the aggregate outstanding principal amounts of such issuances as of January 1, 2014.

(11) Effective July 2015, banking entities were required to be in compliance with the Volcker Rule of the Dodd-Frank Act that prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013.

(12) 50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.

(13) Under the transition arrangements of the U.S. Basel III rules, non-qualifying subordinated debt issuances which consist of those with a fixed-to-floating rate step-up feature where the call/step-up date has not passed are eligible for inclusion in Tier 2 Capital during 2015 up to 25% of the aggregate outstanding principal amounts of such issuances as of January 1, 2014. Effective January 1, 2016, non-qualifying subordinated debt issuances are not eligible for inclusion in Tier 2 Capital.

(14) Advanced Approaches banking organizations are permitted to include in Tier 2 Capital eligible credit reserves that exceed expected credit losses to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets.

(15) Under the U.S. Basel III rules, credit risk-weighted assets during the transition period reflect the effects of transitional arrangements related to regulatory capital adjustments and deductions and, as a result, will differ from credit risk-weighted assets derived under full implementation of the rules.

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Citigroup Capital Rollforward Under Current Regulatory Standards

(Basel III Advanced Approaches with Transition Arrangements)

In millions of dollars	Three months ended December 31, 2016			Twelve months ended   December 31, 2016
Common Equity Tier 1 Capital
Balance, beginning of period	$	172,046		$	173,862
Net income	3,573			14,912
Common and preferred stock dividends declared	(774		)	(2,291		)
Net increase in treasury stock	(4,232		)	(8,624		)
Net change in common stock and additional paid-in capital(1)	166			(210		)
Net increase in foreign currency translation adjustment net of hedges, net of tax	(2,529		)	(2,802		)
Net increase in unrealized losses on securities AFS, net of tax	(1,452		)	(116		)
Net change in defined benefit plans liability adjustment, net of tax	260			(1,052		)
Net change in adjustment related to changes in fair value of financial liabilities     attributable to own creditworthiness, net of tax	(104		)	(124		)
Net decrease in goodwill, net of related DTLs	905			1,122
Net change in identifiable intangible assets other than MSRs, net of related DTLs	180			(1,492		)
Net change in defined benefit pension plan net assets	21			(196		)
Net change in DTAs arising from net operating loss, foreign tax credit and general     business credit carry-forwards	700			(3,338		)
Net increase in excess over 10%/15% limitations for other DTAs, certain common stock     investments and MSRs	(1,366		)	(2,163		)
Other	(16		)	(110		)
Net decrease in Common Equity Tier 1 Capital	$	(4,668	)	$	(6,484	)
Common Equity Tier 1 Capital Balance, end of period	$	167,378		$	167,378
Additional Tier 1 Capital
Balance, beginning of period	$	10,125		$	2,558
Net increase in qualifying perpetual preferred stock(1)	—			2,498
Net change in qualifying trust preferred securities	2			(336		)
Net change in adjustment related to changes in fair value of financial liabilities     attributable to own creditworthiness, net of tax	158			289
Net decrease in defined benefit pension plan net assets	13			133
Net decrease in DTAs arising from net operating loss, foreign tax credit and general     business credit carry-forwards	466			5,660
Net decrease in permitted ownership interests in covered funds	226			34
Other	19			173
Net increase in Additional Tier 1 Capital	$	884		$	8,451
Tier 1 Capital Balance, end of period	$	178,387		$	178,387
Tier 2 Capital
Balance, beginning of period	$	25,882		$	22,326
Net change in qualifying subordinated debt	(2,189		)	1,448
Net change in qualifying trust preferred securities	(7		)	317
Net change in excess of eligible credit reserves over expected credit losses	55			(503		)
Other	18			171
Net change in Tier 2 Capital	$	(2,123	)	$	1,433
Tier 2 Capital Balance, end of period	$	23,759		$	23,759
Total Capital (Tier 1 Capital + Tier 2 Capital)	$	202,146		$	202,146

(1) During the twelve months ended December 31, 2016, Citi issued approximately $2.5 billion of qualifying perpetual preferred stock with issuance costs of $37 million. In accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP, such issuance costs are excluded from common stockholders’ equity and netted against preferred stock.

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Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards

(Basel III Advanced Approaches with Transition Arrangements)

In millions of dollars	Three months ended December 31, 2016			Twelve months ended   December 31, 2016
Total Risk-Weighted Assets, beginning of period	$	1,204,384		$	1,190,853
Changes in Credit Risk-Weighted Assets
Net decrease in retail exposures(1)	(5,358		)	(20,018		)
Net decrease in wholesale exposures(2)	(5,455		)	(5,977		)
Net change in repo-style transactions(3)	433			(2,927		)
Net decrease in securitization exposures(4)	(3,684		)	(3,279		)
Net decrease in equity exposures(5)	(84		)	(1,771		)
Net change in over-the-counter (OTC) derivatives(6)	(2,740		)	4,801
Net change in derivatives CVA(7)	(6,485		)	10,567
Net increase in other exposures(8)	1,575			2,643
Net decrease in supervisory 6% multiplier(9)	(919		)	(1,592		)
Net decrease in Credit Risk-Weighted Assets	$	(22,717	)	$	(17,553	)
Changes in Market Risk-Weighted Assets
Net decrease in risk levels(10)	$	(6,947	)	$	(6,533	)
Net decrease due to model and methodology updates(11)	(117		)	(4,278		)
Net decrease in Market Risk-Weighted Assets	$	(7,064	)	$	(10,811	)
Net change in Operational Risk-Weighted Assets(12)	$	(7,839	)	$	4,275
Total Risk-Weighted Assets, end of period	$	1,166,764		$	1,166,764

(1) Retail exposures decreased during the three and twelve months ended December 31, 2016 primarily due to residential mortgage loan sales and repayments, divestitures of certain Citi Holdings portfolios and the impact of FX translation. The decrease in retail exposures during the three months ended December 31, 2016 was partially offset by increases in qualifying revolving (cards) exposures attributable to seasonal holiday spending, whereas the decrease in retail exposures during the twelve months ended December 31, 2016 was partially offset by the acquisition of the Costco cards portfolio.

(2) Wholesale exposures decreased during the three and twelve months ended December 31, 2016 primarily due to decreases in commercial loans, decreases in securities AFS and securities HTM, and the impact of FX translation. The decrease in wholesale exposures during the three months ended December 31, 2016 was partially offset by increases in loan commitments.

(3) Repo-style transactions decreased during the twelve months ended December 31, 2016 primarily due to exposure decreases and model enhancements.

(4) Securitization exposures decreased during the three and twelve months ended December 31, 2016 primarily due to sales and maturities of exposures.

(5) Equity exposures decreased during the twelve months ended December 31, 2016 primarily due to the sale of Citi’s investment in China Guangfa Bank.

(6) OTC derivatives decreased during the three months ended December 31, 2016 primarily due to changes in fair value. OTC derivatives increased during the twelve months ended December 31, 2016 primarily driven by increased trade volume and model enhancements.

(7) Derivatives CVA decreased during the three months ended December 31, 2016 primarily driven by exposure reduction and credit spread changes. Derivatives CVA increased during the twelve months ended December 31, 2016 primarily driven by increased volatility, trade volume and model enhancements.

(8) Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios.

(9) Supervisory 6% multiplier does not apply to derivatives CVA.

(10) Risk levels decreased during the three months ended December 31, 2016 primarily due to reductions in risk and exposures subject to Stressed Value at Risk and a reduction in positions subject to standard specific risk charges, partially offset by an increase in exposures subject to comprehensive risk. Risk levels decreased during the twelve months ended December 31, 2016 primarily due to reductions in risk and exposures subject to Stressed Value at Risk and a reduction in positions subject to securitization charges, partially offset by an increase in positions subject to standard specific risk charges.

(11) Risk-weighted assets declined during the three and twelve months ended December 31, 2016 due to changes in model inputs regarding volatility and the correlation between market risk factors.

(12) Operational risk-weighted assets decreased during the three months ended December 31, 2016 primarily driven by routine quarterly updates to model parameters. Operational risk-weighted assets increased during the twelve months ended December 31, 2016 primarily due to the implementation of certain enhancements to Citi’s Advanced Measurement Approaches model in the third quarter of 2016, partially offset by routine quarterly updates to model parameters.

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Capital Resources of Citigroup’s Subsidiary U.S. Depository Institutions Under Current Regulatory Standards

Citigroup’s subsidiary U.S. depository institutions are also subject to regulatory capital standards issued by their respective primary federal bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.

During 2016, Citi’s primary subsidiary U.S. depository institution, Citibank, N.A. (Citibank), was subject to effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios, inclusive of the 25% phase-in of the 2.5% Capital Conservation Buffer, of 5.125%, 6.625% and 8.625%, respectively. Citibank’s effective and

stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2015 were equivalent at 4.5%, 6%, and 8%, respectively.

The following table sets forth the capital tiers, total risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citibank, Citi’s primary subsidiary U.S. depository institution, as of December 31, 2016 and December 31, 2015.

Citibank Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)

	December 31, 2016						December 31, 2015
In millions of dollars, except ratios	Advanced Approaches			Standardized Approach			Advanced Approaches			Standardized Approach
Common Equity Tier 1 Capital	$	126,277		$	126,277		$	127,323		$	127,323
Tier 1 Capital	126,282			126,282			127,323			127,323
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)	138,638			150,108			138,762			149,749
Total Risk-Weighted Assets	973,739			1,000,833			902,969			1,003,214
Common Equity Tier 1 Capital ratio(2)	12.97		%	12.62		%	14.10		%	12.69		%
Tier 1 Capital ratio(2)	12.97			12.62			14.10			12.69
Total Capital ratio(2)	14.24			15.00			15.37			14.93

In millions of dollars, except ratios	December 31, 2016				December 31, 2015
Quarterly Adjusted Average Total Assets(3)		$	1,332,978			$	1,298,560
Total Leverage Exposure(4)		1,859,211				1,838,941
Tier 1 Leverage ratio		9.47		%		9.80		%
Supplementary Leverage ratio		6.79				6.92

(1) Under the Advanced Approaches framework eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which 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.

(2) As of December 31, 2016, Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas Citibank's reportable Total Capital ratio as of December 31, 2016 was the lower derived under the Basel III Advanced Approaches framework. As of December 31, 2015, Citibank’s reportable Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Standardized Approach.

(3) Tier 1 Leverage ratio denominator.

(4) Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank’s capital ratios at December 31, 2016 were in excess of the stated minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of December 31, 2016 under the revised PCA regulations which became effective January 1, 2015.

Further, Citibank is required to conduct the annual Dodd-Frank Act Stress Test. The annual stress test consists of a forward-looking quantitative evaluation of the impact of stressful economic and financial market conditions under several scenarios on Citibank’s regulatory capital. This program serves to inform the Office of the Comptroller of

the Currency how Citibank’s regulatory capital ratios might change during a hypothetical set of adverse economic

conditions and to ultimately evaluate the reliability of Citibank’s capital planning process.

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Impact of Changes on Citigroup and Citibank Capital Ratios Under Current Regulatory Capital Standards

The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in Advanced Approaches and Standardized Approach risk-weighted assets, quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), under current regulatory capital standards (reflecting Basel III Transition Arrangements), as of December 31, 2016. This

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

Impact of Changes on Citigroup and Citibank Risk-Based Capital Ratios (Basel III Transition Arrangements)

	Common Equity Tier 1 Capital ratio		Tier 1 Capital ratio		Total Capital ratio
In basis points	Impact of $100 million change in Common Equity Tier 1 Capital	Impact of $1 billion change in risk- weighted assets	Impact of $100 million change in Tier 1 Capital	Impact of $1 billion change in risk- weighted assets	Impact of $100 million change in Total Capital	Impact of $1 billion change in risk- weighted assets
Citigroup
Advanced Approaches	0.9	1.2	0.9	1.3	0.9	1.5
Standardized Approach	0.9	1.3	0.9	1.4	0.9	1.7
Citibank
Advanced Approaches	1.0	1.3	1.0	1.3	1.0	1.5
Standardized Approach	1.0	1.3	1.0	1.3	1.0	1.5

Impact of Changes on Citigroup and Citibank Leverage Ratios (Basel III Transition Arrangements)

	Tier 1 Leverage ratio		Supplementary Leverage ratio
In basis points	Impact of $100 million change in Tier 1 Capital	Impact of $1 billion change in quarterly adjusted average total assets	Impact of $100 million change in Tier 1 Capital	Impact of $1 billion change in Total Leverage Exposure
Citigroup	0.6	0.6	0.4	0.3
Citibank	0.8	0.7	0.5	0.4

Citigroup Broker-Dealer Subsidiaries

At December 31, 2016, 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 approximately $9.3 billion, which exceeded the minimum requirement by approximately $7.4 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 capital of $16.8 billion at December 31, 2016, 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 broker-dealer subsidiaries were in compliance with their capital requirements at December 31, 2016.

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Basel III (Full Implementation)

Citigroup’s Capital Resources Under Basel III

(Full Implementation)

Citi currently estimates that its effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratio requirements under the U.S. Basel III rules, on a fully implemented basis, inclusive of the 2.5% Capital Conservation Buffer and the Countercyclical Capital Buffer at its current level of 0%, as well as assuming a 3% GSIB surcharge, may be 10%, 11.5% and 13.5%, respectively.

Further, under the U.S. Basel III rules, Citi must also comply with a 4% minimum Tier 1 Leverage ratio requirement and an effective 5% minimum Supplementary Leverage ratio requirement.

The following tables set forth the capital tiers, total risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios, assuming full implementation under the U.S. Basel III rules, for Citi as of December 31, 2016 and December 31, 2015.

Citigroup Capital Components and Ratios Under Basel III (Full Implementation)

	December 31, 2016						December 31, 2015
In millions of dollars, except ratios	Advanced Approaches			Standardized Approach			Advanced Approaches			Standardized Approach
Common Equity Tier 1 Capital	$	149,516		$	149,516		$	146,865		$	146,865
Tier 1 Capital	169,390			169,390			164,036			164,036
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)	193,160			205,975			186,097			198,655
Total Risk-Weighted Assets	1,189,680			1,147,956			1,216,277			1,162,884
Common Equity Tier 1 Capital ratio(2)(3)	12.57		%	13.02		%	12.07		%	12.63		%
Tier 1 Capital ratio(2)(3)	14.24			14.76			13.49			14.11
Total Capital ratio(2)(3)	16.24			17.94			15.30			17.08

In millions of dollars, except ratios	December 31, 2016				December 31, 2015
Quarterly Adjusted Average Total Assets(4)		$	1,761,923			$	1,724,710
Total Leverage Exposure(5)		2,345,391				2,317,849
Tier 1 Leverage ratio(3)		9.61		%		9.51		%
Supplementary Leverage ratio(3)		7.22				7.08

(1) Under the Advanced Approaches framework eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which 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.

(2) As of December 31, 2016 and December 31, 2015, Citi’s Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.

(3) Citi’s Basel III capital ratios and related components, on a fully implemented basis, are non-GAAP financial measures. Citi believes these ratios and the related components provide useful information to investors and others by measuring Citi’s progress against future regulatory capital standards.

(4) Tier 1 Leverage ratio denominator.

(5) Supplementary Leverage ratio denominator.

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Common Equity Tier 1 Capital Ratio

Citi’s Common Equity Tier 1 Capital ratio was 12.6% at December 31, 2016, compared to 12.6% at September 30, 2016 and 12.1% at December 31, 2015 (all based on application of the Advanced Approaches for determining total risk-weighted assets). The ratio remained unchanged quarter-over-quarter, as quarterly net income of $3.6 billion and a decline in total risk-weighted assets were offset by the return of approximately $4.7 billion of capital to common

shareholders and movements in AOCI. The increase in Citi’s Common Equity Tier 1 Capital ratio from year-end 2015 reflected continued growth in Common Equity Tier 1 Capital resulting from net income of $14.9 billion and the favorable effects attributable to DTA utilization of approximately $1.2 billion, offset in part by the return of approximately $10.7 billion of capital to common shareholders.

Components of Citigroup Capital Under Basel III (Advanced Approaches with Full Implementation)

In millions of dollars	December 31, 2016			December 31, 2015
Common Equity Tier 1 Capital
Citigroup common stockholders’ equity(1)	$	206,051		$	205,286
Add: Qualifying noncontrolling interests	129			145
Regulatory Capital Adjustments and Deductions:
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(2)	(560		)	(617		)
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities    attributable to own creditworthiness, net of tax(3)	(61		)	441
Less: Intangible assets:
Goodwill, net of related DTLs(4)	20,858			21,980
Identifiable intangible assets other than MSRs, net of related DTLs(5)	4,876			3,586
Less: Defined benefit pension plan net assets	857			794
Less: DTAs arising from net operating loss, foreign tax credit and general business credit    carry-forwards(6)	21,337			23,659
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,   and MSRs(6)(7)	9,357			8,723
Total Common Equity Tier 1 Capital	$	149,516		$	146,865
Additional Tier 1 Capital
Qualifying perpetual preferred stock(1)	$	19,069		$	16,571
Qualifying trust preferred securities(8)	1,371			1,365
Qualifying noncontrolling interests	28			31
Regulatory Capital Deductions:
Less: Permitted ownership interests in covered funds(9)	533			567
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(10)	61			229
Total Additional Tier 1 Capital	$	19,874		$	17,171
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)	$	169,390		$	164,036
Tier 2 Capital
Qualifying subordinated debt	$	22,818		$	20,744
Qualifying trust preferred securities(11)	317			342
Qualifying noncontrolling interests	36			41
Excess of eligible credit reserves over expected credit losses(12)	660			1,163
Regulatory Capital Deduction:
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(10)	61			229
Total Tier 2 Capital	$	23,770		$	22,061
Total Capital (Tier 1 Capital + Tier 2 Capital)(13)	$	193,160		$	186,097

(1) Issuance costs of $184 million and $147 million related to preferred stock outstanding at December 31, 2016 and December 31, 2015, respectively, are excluded from common stockholders’ equity and netted against preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.

(2) Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in AOCI that relate to the hedging of items not recognized at fair value on the balance sheet.

(3) The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected and own-credit valuation adjustments on derivatives are excluded from Common Equity Tier 1 Capital, in accordance with the U.S. Basel III rules.

45

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

(5) Identifiable intangible assets other than MSRs increased by approximately $2.2 billion as a result of the acquisition of the Costco cards portfolio, as well as the renewal and extension of the co-branded credit card program agreement with American Airlines. For additional information, see Note 16 to the Consolidated Financial Statements.

(6) Of Citi’s approximately $46.7 billion of net DTAs at December 31, 2016, approximately $17.4 billion were includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while approximately $29.3 billion were excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of December 31, 2016 was a total of approximately $30.7 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences, reduced by approximately $1.4 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be fully deducted from Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted from Common Equity Tier 1 Capital if in excess of 10%/15% limitations (see note below).

(7) Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At December 31, 2016, and December 31, 2015, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $9.4 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital as of December 31, 2016. Changes to the U.S. corporate tax regime that impact the value of Citi’s DTAs arising from temporary differences, which exceed the then current amount deducted from Citi’s Common Equity Tier 1 Capital, would further reduce Citi’s regulatory capital to the extent of such excess after tax (for additional discussion on potential U.S. corporate tax reform, see “Risk Factors—Strategic Risks” below).

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

(9) Effective July 2015, banking entities were required to be in compliance with the Volcker Rule of the Dodd-Frank Act that prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013.

(10) 50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.

(11) Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.

(12) Advanced Approaches banking organizations are permitted to include in Tier 2 Capital eligible credit reserves that exceed expected credit losses to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets.

(13) Total Capital as calculated under Advanced Approaches, which differs from the Standardized Approach in the treatment of the amount of eligible credit reserves includable in Tier 2 Capital.

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Citigroup Capital Rollforward Under Basel III (Advanced Approaches with Full Implementation)

In millions of dollars	Three months ended December 31, 2016			Twelve months ended   December 31, 2016
Common Equity Tier 1 Capital
Balance, beginning of period	$	155,132		$	146,865
Net income	3,573			14,912
Common and preferred stock dividends declared	(774		)	(2,291		)
Net increase in treasury stock	(4,232		)	(8,624		)
Net change in common stock and additional paid-in capital(1)	166			(210		)
Net increase in foreign currency translation adjustment net of hedges, net of tax	(2,529		)	(2,802		)
Net change in unrealized losses on securities AFS, net of tax	(2,421		)	108
Net change in defined benefit plans liability adjustment, net of tax	432			(48		)
Net change in adjustment related to changes in fair value of financial liabilities     attributable to own creditworthiness, net of tax	54			165
Net decrease in goodwill, net of related DTLs	905			1,122
Net change in identifiable intangible assets other than MSRs, net of related DTLs	301			(1,290		)
Net change in defined benefit pension plan net assets	34			(63		)
Net decrease in DTAs arising from net operating loss, foreign tax credit and general business     credit carry-forwards	1,166			2,322
Net increase in excess over 10%/15% limitations for other DTAs, certain common stock     investments and MSRs	(2,280		)	(634		)
Other	(11		)	(16		)
Net change in Common Equity Tier 1 Capital	$	(5,616	)	$	2,651
Common Equity Tier 1 Capital Balance, end of period	$	149,516		$	149,516
Additional Tier 1 Capital
Balance, beginning of period	$	19,493		$	17,171
Net increase in qualifying perpetual preferred stock(1)	—			2,498
Net increase in qualifying trust preferred securities	3			6
Net increase in permitted ownership interests in covered funds	256			34
Other	122			165
Net increase in Additional Tier 1 Capital	$	381		$	2,703
Tier 1 Capital Balance, end of period	$	169,390		$	169,390
Tier 2 Capital
Balance, beginning of period	$	24,893		$	22,061
Net change in qualifying subordinated debt	(883		)	2,074
Net decrease in excess of eligible credit reserves over expected credit losses	(351		)	(503		)
Other	111			138
Net change in Tier 2 Capital	$	(1,123	)	$	1,709
Tier 2 Capital Balance, end of period	$	23,770		$	23,770
Total Capital (Tier 1 Capital + Tier 2 Capital)	$	193,160		$	193,160

(1) During the twelve months ended December 31, 2016, Citi issued approximately $2.5 billion of qualifying perpetual preferred stock with issuance costs of $37 million. In accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP, such issuance costs are excluded from common stockholders’ equity and netted against preferred stock.

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Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at December 31, 2016

	Advanced Approaches						Standardized Approach
In millions of dollars	Citicorp		Citi Holdings		Total		Citicorp		Citi Holdings		Total
Credit Risk	$	742,330	$	54,069	$	796,399	$	1,030,127	$	53,301	$	1,083,428
Market Risk	62,889		1,117		64,006		63,275		1,253		64,528
Operational Risk	280,196		49,079		329,275		—		—		—
Total Risk-Weighted Assets	$	1,085,415	$	104,265	$	1,189,680	$	1,093,402	$	54,554	$	1,147,956

Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at December 31, 2015

	Advanced Approaches						Standardized Approach
In millions of dollars	Citicorp		Citi Holdings		Total		Citicorp		Citi Holdings		Total
Credit Risk	$	731,515	$	84,945	$	816,460	$	1,008,951	$	78,748	$	1,087,699
Market Risk	70,701		4,116		74,817		71,015		4,170		75,185
Operational Risk	275,921		49,079		325,000		—		—		—
Total Risk-Weighted Assets	$	1,078,137	$	138,140	$	1,216,277	$	1,079,966	$	82,918	$	1,162,884

Total risk-weighted assets under both the Basel III Advanced Approaches and the Standardized Approach declined from year-end 2015 due to decreases in credit and market risk-weighted assets. The decline in total risk-weighted assets under the Basel III Advanced Approaches was partially offset by an increase in operational risk-weighted assets primarily due to the implementation of certain enhancements to Citi’s Advanced Measurement Approaches model during the third quarter of 2016.

The decline in credit risk-weighted assets was mainly attributable to residential mortgage loan sales and repayments and divestitures of certain Citi Holdings portfolios, partially offset by the acquisition of the Costco cards portfolio and increases in OTC derivative exposures due to increased volatility and trade volume. Model enhancements impacting OTC derivatives and derivatives CVA further offset the decline in credit risk-weighted assets under the Basel III Advanced Approaches.

The decline in market risk-weighted assets was primarily due to decreases in positions subject to Stressed Value at Risk and securitization charges.

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

In millions of dollars	Three months ended December 31, 2016			Twelve months ended   December 31, 2016
Total Risk-Weighted Assets, beginning of period	$	1,228,283		$	1,216,277
Changes in Credit Risk-Weighted Assets
Net decrease in retail exposures(1)	(5,358		)	(20,018		)
Net decrease in wholesale exposures(2)	(5,455		)	(5,977		)
Net change in repo-style transactions(3)	433			(2,927		)
Net decrease in securitization exposures(4)	(3,684		)	(3,279		)
Net decrease in equity exposures(5)	(158		)	(6,033		)
Net change in OTC derivatives(6)	(2,740		)	4,801
Net change in derivatives CVA(7)	(6,485		)	10,567
Net increase in other exposures(8)	722			4,539
Net decrease in supervisory 6% multiplier(9)	(975		)	(1,734		)
Net decrease in Credit Risk-Weighted Assets	$	(23,700	)	$	(20,061	)
Changes in Market Risk-Weighted Assets
Net decrease in risk levels(10)	$	(6,947	)	$	(6,533	)
Net decrease due to model and methodology updates(11)	(117		)	(4,278		)
Net decrease in Market Risk-Weighted Assets	$	(7,064	)	$	(10,811	)
Net change in Operational Risk-Weighted Assets(12)	$	(7,839	)	$	4,275
Total Risk-Weighted Assets, end of period	$	1,189,680		$	1,189,680

(1) Retail exposures decreased during the three and twelve months ended December 31, 2016 primarily due to residential mortgage loan sales and repayments, divestitures of certain Citi Holdings portfolios and the impact of FX translation. The decrease in retail exposures during the three months ended December 31, 2016 was partially offset by increases in qualifying revolving (cards) exposures attributable to seasonal holiday spending, whereas the decrease in retail exposures during the twelve months ended December 31, 2016 was partially offset by the acquisition of the Costco cards portfolio.

(2) Wholesale exposures decreased during the three and twelve months ended December 31, 2016 primarily due to decreases in commercial loans, decreases in securities AFS and securities HTM, and the impact of FX translation. The decrease in wholesale exposures during the three months ended December 31, 2016 was partially offset by increases in loan commitments.

(3) Repo-style transactions decreased during the twelve months ended December 31, 2016 primarily due to exposure decreases and model enhancements.

(4) Securitization exposures decreased during the three and twelve months ended December 31, 2016 primarily due to sales and maturities of exposures.

(5) Equity exposures decreased during the twelve months ended December 31, 2016 primarily due to the sale of Citi’s investment in China Guangfa Bank.

(6) OTC derivatives decreased during the three months ended December 31, 2016 primarily due to changes in fair value. OTC derivatives increased during the twelve months ended December 31, 2016 primarily driven by increased trade volume and model enhancements.

(7) Derivatives CVA decreased during the three months ended December 31, 2016 primarily driven by exposure reduction and credit spread changes. Derivatives CVA increased during the twelve months ended December 31, 2016 primarily driven by increased volatility, trade volume and model enhancements.

(8) Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios.

(9) Supervisory 6% multiplier does not apply to derivatives CVA.

(10) Risk levels decreased during the three months ended December 31, 2016 primarily due to reductions in risk and exposures subject to Stressed Value at Risk and a reduction in positions subject to standard specific risk charges, partially offset by an increase in exposures subject to comprehensive risk. Risk levels decreased during the twelve months ended December 31, 2016 primarily due to reductions in risk and exposures subject to Stressed Value at Risk and a reduction in positions subject to securitization charges, partially offset by an increase in positions subject to standard specific risk charges.

(11) Risk-weighted assets declined during the three and twelve months ended December 31, 2016 due to changes in model inputs regarding volatility and the correlation between market risk factors.

(12) Operational risk-weighted assets decreased during the three months ended December 31, 2016 primarily driven by routine quarterly updates to model parameters. Operational risk-weighted assets increased during the twelve months ended December 31, 2016 primarily due to the implementation of certain enhancements to Citi’s Advanced Measurement Approaches model in the third quarter of 2016, partially offset by routine quarterly updates to model parameters.

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Supplementary Leverage Ratio

Citigroup’s Supplementary Leverage ratio was 7.2% for the fourth quarter of 2016, compared to 7.4% for the third quarter of 2016 and 7.1% for the fourth quarter of 2015. The decline in the ratio quarter-over-quarter was principally driven by a decrease in Tier 1 Capital largely attributable to the return of approximately $4.7 billion of capital to common shareholders and movements in AOCI, offset in part by quarterly net income of $3.6 billion and a decrease in Total Leverage Exposure. The growth in the ratio from the fourth quarter of 2015 was largely attributable to additional

Tier 1 Capital resulting from annual net income of $14.9 billion and approximately $2.5 billion (net of issuance costs) of noncumulative perpetual preferred stock issuances, offset in part by the return of approximately $10.7 billion of capital to common shareholders and movements in AOCI.

The following table sets forth Citi’s Supplementary Leverage ratio and related components, assuming full implementation under the U.S. Basel III rules, for the three months ended December 31, 2016 and December 31, 2015.

Citigroup Basel III Supplementary Leverage Ratio and Related Components (Full Implementation)

In millions of dollars, except ratios	December 31, 2016			December 31, 2015
Tier 1 Capital	$	169,390		$	164,036
Total Leverage Exposure (TLE)
On-balance sheet assets(1)	$	1,819,802		$	1,784,248
Certain off-balance sheet exposures:(2)
Potential future exposure (PFE) on derivative contracts	211,009			206,128
Effective notional of sold credit derivatives, net(3)	64,366			76,923
Counterparty credit risk for repo-style transactions(4)	22,002			25,939
Unconditionally cancelable commitments	66,663			58,699
Other off-balance sheet exposures	219,428			225,450
Total of certain off-balance sheet exposures	$	583,468		$	593,139
Less: Tier 1 Capital deductions	57,879			59,538
Total Leverage Exposure	$	2,345,391		$	2,317,849
Supplementary Leverage ratio	7.22		%	7.08		%

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

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

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

(4) Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions.

Citibank’s Supplementary Leverage ratio, assuming full implementation under the U.S. Basel III rules, was 6.6% for the fourth quarter of 2016, compared to 6.8% for the third quarter of 2016 and 6.7% for the fourth quarter of 2015. The ratio decreased quarter-over-quarter, as the benefits associated with quarterly net income of $3.4 billion and a net decrease in Total Leverage Exposure were more than offset by movements in AOCI, as well as cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup. The ratio declined slightly from the fourth quarter of 2015, as the positive effect attributable to net income of $12.8 billion was more than offset by an overall increase in Total Leverage Exposure, as well as cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup.

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Regulatory Capital Standards Developments

The Basel Committee on Banking Supervision (Basel Committee) set forth a robust 2016 rulemaking agenda, comprised not only of rules designed to provide further clarification, modification or enhancement to the Basel III capital framework, but also, and more importantly, rules which would substantially revise the methodologies, including the imposition of certain constraints on the use of models, to be employed in the derivation of credit, market and operational risk-weighted assets.

Reducing Variation in Credit Risk-Weighted Assets

The Basel Committee has issued a series of consultative documents related to the derivation of credit risk-weighted assets, all of which are generally aimed at reducing complexity and promoting comparability between banking organizations. Two of the most significant proposals include a December 2015 consultative document that would revise the Standardized Approach, and another consultative document issued in March 2016 that would place constraints on the use of internal ratings-based (IRB) approaches.

The Basel Committee’s December 2015 consultative document would, in part, revise the Standardized Approach in measuring credit risk-weighted assets with respect to certain on-balance sheet assets, such as in relation to the risk-weighted methodologies employed with respect to bank, corporate, and real estate (both residential and commercial) exposures; the treatment of off-balance sheet commitments; and aspects of the credit risk mitigation framework. Moreover, the proposal would permit the use of external credit ratings combined with due diligence requirements in the calculation of credit risk-weighted assets for exposures to banks and corporates, while also providing alternative approaches for jurisdictions that do not allow the use of external credit ratings for risk-based capital purposes, such as the U.S.

The Basel Committee’s March 2016 consultative document proposes revisions to the IRB approaches, in part, by prohibiting the use of such approaches for certain so-called “low default” exposures, including those to banks and other financial institutions, as well as large corporations. Moreover, the proposal also prohibits the use of the IRB approaches for equity exposures in the banking book. Additionally, for other exposures where the IRB approaches would still be permissible, the proposal establishes floors by exposure type regarding the estimation of certain model parameters used in the derivation of credit risk-weighted assets, and also provides greater specification as to permissible parameter estimation practices under the IRB approaches. Finally, the proposal indicates that the Basel Committee is considering whether to impose an aggregate capital floor which would be calibrated in the range of 60 - 90% of total risk-weighted assets as calculated under the Basel Committee’s Standardized Approach.

Revised Minimum Capital Requirements for Market Risk

In January 2016, the Basel Committee issued a final rule which sets forth a revised market risk capital framework, resulting from the so-called “fundamental review of the trading book” and four quantitative impact studies over several years.

The final rule establishes a revised boundary between the trading book and banking book which, in part, provides more prescriptive guidance as to qualifying trading book positions as well as imposes heightened restrictions and, in certain instances, additional capital charges, on the transfer of positions between the trading book and banking book. Moreover, the final rule also revises both the internal models approach and the standardized approach in certain respects.

If the U.S. banking agencies were to adopt the Basel Committee’s final rule unchanged, Citi believes its market risk-weighted assets could increase significantly. However, as set forth in the tables above, Citi’s market risk-weighted assets constituted approximately 5% of its total risk-weighted assets. Accordingly, Citi currently believes that the overall impact to its total risk-weighted assets, and thus its risk-based capital ratios, would not be material.

Standardized Measurement Approach for Operational Risk

In March 2016, the Basel Committee issued a consultative document which proposes revisions to the operational risk capital framework applicable to the Advanced Approaches for calculating risk-weighted assets. The consultative document introduces the Standardized Measurement Approach (SMA).

Operational risk capital is derived under the SMA through the combination of two components, a so-called “Business Indicator Component” and a “Loss Component”. The Business Indicator component, primarily reflective of various income statement elements (i.e., a modified gross income indicator), is calculated as the sum of the three year average of its components. The Loss Component reflects the operational loss exposure of a banking organization that can be inferred from internal loss experience, and is based on a 10 year average.

If the U.S. banking agencies were to adopt the Basel Committee’s proposal unchanged, Citi’s operational risk-weighted assets could increase significantly.

Revisions to the Basel III Leverage Ratio Framework

In April 2016, the Basel Committee issued a consultative document which proposes certain revisions as to the design and calibration of the Basel III leverage ratio (similar to the U.S. Basel III Supplementary Leverage ratio). Among the proposed revisions are those with respect to the exposure measure (i.e., the denominator of the ratio) in relation to the treatment of derivative exposures, provisions, and off-balance sheet exposures.

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Revisions to the Definition of Regulatory Capital

In October 2016, the Basel Committee issued a consultative document and a discussion paper related to the regulatory treatment of accounting provisions under the Basel III regulatory capital framework. Both the International Accounting Standards Board and more recently the U.S. Financial Accounting Standards Board issued new accounting pronouncements related to impairment of financial assets that require the use of expected credit loss models rather than incurred loss models. Measuring impairment using expected credit loss models may result in higher accounting provisions and consequently increased volatility in regulatory capital.

Separately, in October 2016, the Basel Committee issued a final rule which amends the Basel III definition of regulatory capital to include a Tier 2 Capital deduction for investments by an internationally active bank (both GSIBs and non-GSIBs) in Total Loss-Absorbing Capacity (TLAC) and certain other debt instruments issued by GSIBs that do not otherwise qualify as regulatory capital (i.e., TLAC holdings). Under the final rule, a Tier 2 Capital deduction is required under certain circumstances for investments in TLAC holdings which exceed certain thresholds, based on Common Equity Tier 1 Capital, as adjusted. Moreover, the final rule clarifies that any Common Equity Tier 1 Capital that is being used to meet the TLAC requirement cannot also be used to meet the regulatory capital buffers, including the GSIB surcharge.

In December 2016, the Federal Reserve Board released a final rule which, among other matters, imposes a minimum TLAC requirement on U.S. GSIBs. The U.S. Basel III treatment of TLAC holdings, however, was deferred. In this regard, the Federal Reserve Board indicated that it intends to address the regulatory capital treatment for investments in, or exposure to, unsecured debt instruments issued by U.S. GSIBs jointly with the Office of the Comptroller of the Currency and the Federal Deposit Insurance Corporation at a later time, so as to ensure that these requirements are consistently applied to all banking organizations subject to the regulatory capital requirements of the U.S. banking agencies. For additional information regarding the Federal Reserve Board’s final rule, see “Risk Factors—Strategic Risks” and “Managing Global Risk—Liquidity Risk—Long-Term Debt—Total Loss-Absorbing Capacity (TLAC)” below.

Interest Rate Risk in the Banking Book

In April 2016, the Basel Committee issued a final rule which sets forth revised principles regarding the supervisory review process over a bank’s management of interest rate risk in the banking book (IRRBB), as well as the methods expected to be used by banks for the measurement, monitoring and control of IRRBB. Moreover, the final rule establishes qualitative and quantitative public disclosure requirements for IRRBB. The final rule is applicable to large, internationally active banking organizations, and is expected to be implemented by 2018.

2017 Implications and Beyond

Despite the proliferation of proposed new rules by the Basel Committee during 2016, substantial uncertainty remains with respect to the eventual nature, extent and timing of future changes to the Basel III capital framework, both internationally as well as from a U.S. rulemaking perspective.

In January 2017, the Group of Central Bank Governors and Heads of Supervision (GHOS), the oversight body of the Basel Committee, postponed a meeting which was originally scheduled to review the Basel Committee’s package of proposals. Concurrently, the Basel Committee publicly announced that it needed more time to calibrate and finalize its revised Basel III capital framework, and that it “expected to complete this work in the near future.” Accordingly, these developments have introduced additional uncertainty, including whether international harmonization regarding a revised Basel III capital framework will ultimately be realized.

Further, the potential exists for other changes with respect to rulemaking activities in the U.S., given the new presidential administration and Congress.

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Tangible Common Equity, Tangible Book Value Per Share, Book Value Per Share and Returns on Equity

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

In millions of dollars or shares, except per share amounts	December 31, 2016			December 31, 2015
Total Citigroup stockholders’ equity	$	225,120		$	221,857
Less: Preferred stock	19,253			16,718
Common stockholders’ equity	$	205,867		$	205,139
Less:
Goodwill	21,659			22,349
Intangible assets (other than MSRs)(1)	5,114			3,721
Goodwill and intangible assets (other than MSRs) related to assets held-for-sale	72			68
Tangible common equity (TCE)	$	179,022		$	179,001
Common shares outstanding (CSO)	2,772.4			2,953.3
Book value per share (common equity/CSO)	$	74.26		$	69.46
Tangible book value per share (TCE/CSO)	64.57			60.61
In millions of dollars	Year ended December 31, 2016			Year ended December 31, 2015
Net income less preferred dividends	$	13,835		$	16,473
Average common stockholders’ equity	$	209,629		$	204,188
Average TCE	$	182,135		$	176,505
Less: Average net DTAs excluded from Common Equity Tier 1 Capital(2)	29,013			31,986
Average TCE, excluding net DTAs excluded from Common Equity Tier 1 Capital	$	153,122		$	144,519
Return on average common stockholders’ equity	6.6		%	8.1		%
Return on average TCE	7.6		%	9.3		%
Return on average TCE, excluding net DTAs excluded from Common Equity Tier 1 Capital	9.0		%	11.4		%

(1) Identifiable intangible assets (other than MSRs) increased by approximately $2.2 billion as a result of the acquisition of the Costco cards portfolio, as well as the renewal and extension of the co-branded credit card program agreement with American Airlines. For additional information, see Note 16 to the Consolidated Financial Statements.

(2) Represents average net DTAs excluded in arriving at Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules. The average is based upon quarter-end amounts over the most recent five quarters through December 31, 2016 and 2015, respectively.

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RISK FACTORS

The following discussion sets forth what management currently believes could be the most significant risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition. Other risks and uncertainties, including those not currently known to Citi or its management, could also negatively impact Citi’s businesses, results of operations and financial condition. Thus, the following should not be considered a complete discussion of all of the risks and uncertainties Citi may face.

STRATEGIC RISKS

Citi’s Inability to Address the Shortcomings Identified by the Federal Reserve Board and FDIC as a Result of the Agencies’ Review of Citi’s 2015 Resolution Plan Submission and the 2017 Resolution Plan Guidance Could Subject Citi to More Stringent Capital, Leverage or Liquidity Requirements, or Restrictions on Its Growth, Activities or Operations, and Could Eventually Require Citi to Divest Assets or Operations.

Title I of the Dodd-Frank Act requires Citi annually to prepare and submit a plan to the Federal Reserve Board and the FDIC for the orderly resolution of Citigroup (the bank holding company) and its significant legal entities, under the U.S. Bankruptcy Code in the event of future material financial distress or failure (Resolution Plan). Citi’s next Resolution Plan submission is due by July 1, 2017.

In April 2016, the Federal Reserve Board and the FDIC notified Citi of certain “shortcomings” (as opposed to “deficiencies”) they had jointly identified in Citi’s 2015 Resolution Plan which Citi is required to address in its 2017 Resolution Plan submission. The shortcomings related to (i) governance mechanisms, including the lack of detail regarding Citi’s entry into resolution, specific actions to be taken at each stage surrounding Citi’s entry into resolution and a more robust analysis of potential challenges to Citi’s provision of capital and liquidity support to its subsidiaries prior to entry into resolution as well as mitigants to those challenges; (ii) certain of Citi’s assumptions regarding its ability to successfully wind down its derivatives portfolios under its Resolution Plan; and (iii) Citi’s approach to estimating the minimum operating liquidity for its key operating subsidiaries and the minimum amount of liquidity needed for daily operations of such subsidiaries during resolution.

In addition, also in April 2016, the Federal Reserve Board and FDIC issued guidance for 2017 Resolution Plan submissions (2017 Guidance). The 2017 Guidance sets forth regulatory expectations for 2017 Resolution Plans across numerous areas, including (i) capital; (ii) liquidity; (iii) governance mechanisms; (iv) operational matters such as management information systems and payment and clearing activities; (v) legal entity rationalization and separability; and (vi) derivatives and trading activities. Citi must also address the 2017 Guidance in its 2017 Resolution Plan submission. For additional information on certain actions Citi currently expects to take in connection with its 2017 Resolution Plan submission, see “Liquidity Risk—Resolution Plan” below.

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

Citi’s Ability to Return Capital to Shareholders Substantially Depends on the CCAR Process and the Results of Regulatory Stress Tests.

In addition to Board of Director approval, any decision by Citi to return capital to shareholders, whether through its common stock dividend or through a share repurchase program, substantially depends on regulatory approval, including through the CCAR process required by the Federal Reserve Board and the supervisory stress tests required under the Dodd-Frank Act.

Citi’s ability to accurately predict, interpret or explain to stakeholders the outcome of the CCAR process, and thus address any such market or investor perceptions, is difficult as the Federal Reserve Board’s assessment of Citi’s capital adequacy is conducted using the Board’s proprietary stress test models, as well as a number of qualitative factors, including a detailed assessment of Citi’s “capital adequacy process,” as defined by the Board. The Federal Reserve Board has stated that it expects leading capital adequacy practices will continue to evolve and will likely be determined by the Board each year as a result of its cross-firm review of capital plan submissions. Similarly, the Federal Reserve Board has indicated that, as part of its stated goal to continually evolve its annual stress testing requirements, several parameters of the annual stress testing process may be altered from time to time, including the severity of the stress test scenario, the Federal Reserve Board modeling of Citi’s balance sheet and the addition of components deemed important by the Federal Reserve Board (e.g., additional macroprudential considerations such as funding and liquidity shocks).

Moreover, during the latter part of 2016, senior officials at the Federal Reserve Board indicated that the Board was considering integration of the annual stress testing requirements with ongoing regulatory capital requirements. While there has been no formal proposal from the Federal Reserve Board to date, changes to the stress testing regime being discussed, among others, include introduction of a firm-specific “stress capital buffer” (SCB) which would be equal to the maximum decline in a firm’s Common Equity Tier 1 Capital ratio under a severely adverse scenario over a nine-

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quarter CCAR measurement period, subject to a minimum requirement of 2.5%. Accordingly, a firm’s SCB would change annually based on its stress test results in the prior year. Officials discussed the idea that the SCB would replace the capital conservation buffer in both the firm’s ongoing regulatory capital requirements and as part of the floor for capital distributions in the CCAR process. Federal Reserve Board senior officials also noted that introduction of the SCB would have the effect of incorporating a firm’s then-effective GSIB surcharge into its post-stress test minimum capital requirements, which the Board has previously indicated it is considering.

Although various uncertainties exist regarding the extent of, and the ultimate impact to Citi from, these changes to the Federal Reserve Board’s stress testing and CCAR regimes, these changes would likely further increase the level of capital Citi must hold as part of the stress tests, thus potentially impacting the extent to which Citi is able to return capital to shareholders.

Citi, its Management and Businesses Must Continually Review, Analyze and Successfully Adapt to Ongoing Regulatory Uncertainties and Changes in the U.S. and Globally.

Despite the adoption of final regulations in numerous areas impacting Citi and its businesses over the past several years, Citi, its management and businesses continually face ongoing regulatory uncertainties and changes, both in the U.S. and globally. While the areas of ongoing regulatory uncertainties and changes facing Citi are too numerous to list completely, various examples include, but are not limited to: (i) uncertainties and potential changes arising from a new U.S. Presidential administration and Congress, including the potential modification or repeal of regulatory requirements enacted and implemented by Citi in recent years; (ii) potential changes to various aspects of the regulatory capital framework applicable to Citi (see the CCAR risk factor and “Capital Resources—Regulatory Capital Standards Developments” above); and (iii) the terms of and other uncertainties resulting from the U.K.’s vote to withdraw from the European Union (EU) (see the U.K. referendum risk factor below).

Ongoing regulatory uncertainties and changes make Citi’s and its management’s long-term business, balance sheet and budget planning difficult or subject to change. For example, the new U.S. Presidential administration has discussed various changes to certain regulatory requirements, which would require ongoing assessment by management as to the impact to Citi, its businesses and business planning. Business planning is required to be based on possible or proposed rules or outcomes, which can change dramatically upon finalization, or upon implementation or interpretive guidance from numerous regulatory bodies worldwide, and such guidance can change.

Moreover, U.S. and international regulatory initiatives have not always been undertaken or implemented on a coordinated basis, and areas of divergence have developed and continue to develop with respect to the scope, interpretation, timing, structure or approach, leading to inconsistent or even conflicting regulations, including within a single jurisdiction.

For example, during the latter part of 2016, the European Commission proposed to introduce a new requirement for major banking groups headquartered outside the EU (which would include Citi) to establish an intermediate EU holding company where the foreign bank has two or more institutions (broadly meaning banks, broker-dealers and similar financial firms) established in the EU. While the proposal mirrors an existing U.S. requirement for non-U.S. banking organizations to form U.S. intermediate holding companies, if adopted, it could lead to additional complexity with respect to Citi’s resolution planning, capital and liquidity allocation and efficiency in various jurisdictions. Regulatory changes have also significantly increased Citi’s compliance risks and costs (see “Operational Risks” below).

Uncertainties Arising as a Result of the Vote in the U.K. to Withdraw from the EU Could Negatively Impact Citi’s Businesses, Results of Operations or Financial Condition.

As a result of a referendum held in June 2016, the U.K. elected to withdraw from the EU. The result of the referendum has raised numerous uncertainties, including as to when the U.K. may begin the official process of withdrawal (despite indications this may occur by the end of March 2017) and the commencement of negotiations with the EU regarding the withdrawal as well as the terms of the withdrawal.

Additional areas of uncertainty that could impact Citi include, among others: (i) whether Citi will need to make changes to its legal entity and booking model strategy and/or structure in both the U.K. and the EU based on the outcome of negotiations relating to the regulation of financial services; (ii) the potential impact of the withdrawal to the U.K. economy as well as more broadly throughout Europe; (iii) the potential impact to Citi’s exposures to counterparties as a result of any macroeconomic slowdown; (iv) the impact of any withdrawal or the terms of the withdrawal on U.S. monetary policy, such as changes to interest rates; and (v) the potential impact to foreign exchange rates, particularly the Euro and the pound sterling, and the resulting impacts to Citi’s results of operations or financial condition. These or other uncertainties arising from any U.K. decision to withdraw from the EU could negatively impact Citi’s businesses, results of operations or financial condition.

The Value of Citi’s DTAs Could Be Significantly Reduced if Corporate Tax Rates in the U.S. or Certain State, Local or Foreign Jurisdictions Decline or as a Result of Other Changes in the U.S. Corporate Tax System.

Over the past several years, there have been discussions regarding decreasing the U.S. federal corporate tax rate, and such discussions have taken on a new focus and prominence given the new U.S. presidential administration and Congress. Similar discussions have taken place in certain local, state and foreign jurisdictions.

While Citi may benefit on a prospective net income basis from any decrease in corporate tax rates, proposals being discussed currently—such as lowering the corporate tax rate or moving from a worldwide tax system to a territorial tax system—could result in a material decrease in the value of Citi’s DTAs, which would also result in a material reduction to

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Citi’s net income during the period in which the change is enacted. Citi’s regulatory capital could also be reduced if the decrease in the value of Citi’s DTAs exceeds certain levels (for additional information on the potential impact to Citi’s regulatory capital arising from U.S. corporate tax reform, see the notes to the tables regarding the components of Citi’s regulatory capital under both current (transitional) and Basel III full implementation in “Capital Resources” above). Given the number of uncertainties relating to the ultimate form any corporate tax reform may take, it is not possible to quantify the potential negative impact to Citi’s income or regulatory capital that could result from corporate tax reform.

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

At December 31, 2016, Citi’s net DTAs were approximately $46.7 billion, of which approximately $29.3 billion was excluded from Citi’s Common Equity Tier 1 Capital, on a fully implemented basis, under the U.S. Basel III rules (for additional information, see “Capital Resources—Components of Citigroup Capital Under Basel III (Advanced Approaches with Full Implementation)” above). In addition, of the net DTAs as of year-end 2016, approximately $14.2 billion related to foreign tax credit carry-forwards (FTCs). The carry-forward utilization period for FTCs is 10 years and represents the most time-sensitive component of Citi’s DTAs. Of the FTCs at year-end 2016, approximately $2.7 billion expire in 2018 and the remaining $11.5 billion expire over the period of 2019-2025. Citi must utilize any FTCs generated in the then-current year tax return prior to utilizing any carry-forward FTCs.

The accounting treatment for realization of DTAs, including FTCs, is complex and requires significant judgment and estimates regarding future taxable earnings in the jurisdictions in which the DTAs arise and available tax planning strategies. Citi’s ability to utilize its DTAs, including the FTC components, and thus use the capital supporting the DTAs for more productive purposes, will be dependent upon Citi’s ability to generate U.S. taxable income in the relevant tax carry-forward periods. Failure to realize any portion of the DTAs would also have a corresponding negative impact on Citi’s net income.

In addition, with regard to FTCs, utilization will be influenced by actions to optimize U.S. taxable earnings for the purpose of consuming the FTC carry-forward component of the DTAs prior to expiration.  These FTC actions, however, may serve to increase the DTAs for other less time sensitive components.  Moreover, tax return limitations on FTCs and general business credits that cause Citi to incur current tax expense, notwithstanding its tax carry-forward position, could impact the rate of overall DTA utilization. DTA utilization will also continue to be driven by movements in Citi’s AOCI, which can be impacted by changes in interest rates and foreign exchange rates.

For additional information on Citi’s DTAs, including the FTCs, see “Significant Accounting Policies and Significant

Estimates—Income Taxes” below and Note 9 to the Consolidated Financial Statements.

Citi’s Interpretation or Application of the Extensive Tax Laws to Which It Is Subject Could Differ from Those of the Relevant Governmental Authorities, Which Could Result in the Payment of Additional Taxes, Penalties or Interest.

Citi is subject to the various tax laws of the U.S. and its states and municipalities, as well as the numerous foreign jurisdictions in which it operates. These tax laws are inherently complex and Citi must make judgments and interpretations about the application of these laws to its entities, operations and businesses. Citi’s interpretations and application of the tax laws, including with respect to withholding tax obligations and stamp and other transactional taxes, could differ from that of the relevant governmental taxing authority, which could result in the payment of additional taxes, penalties or interest, which could be material.

Citi’s Ongoing Investments in Its Businesses May Not Be as Successful as it Projects or Expects.

Citi continues to make targeted investments in its businesses, including in its global cards and wealth management businesses in Global Consumer Banking as well as in certain businesses in Institutional Clients Group. Citi also continues to invest in its technology systems to enhance its digital capabilities. In addition, during the latter part of 2016, Citi announced a more than $1 billion investment in Citibanamex expected to be completed by 2020. Citi’s investment strategy will likely continue to evolve and change as its business strategy and priorities change.

There is no guarantee that investments Citi has made, or may make, in its businesses or operations will be as productive or effective as Citi expects or at all. Further, Citi’s ability to achieve its expected returns on its investments in part depends on factors which it cannot control, such as macroeconomic conditions, customer and client reactions, and ongoing regulatory changes, among others.

Citi Has Co-Branding and Private Label Credit Card Relationships with Various Retailers and Merchants and the Failure to Maintain These Relationships Could Have a Negative Impact on Citi’s Results of Operations or Financial Condition.

Through its Citi-branded cards and Citi retail services credit card businesses, Citi has co-branding and private label relationships with various retailers and merchants globally in the ordinary course of business whereby Citi issues credit cards to customers of the retailers or merchants. Citi’s co-branding and private label agreements provide for shared economics between the parties and generally have a fixed term. The five largest relationships constituted an aggregate of approximately 11% of Citi’s revenues for 2016.

Competition among card issuers, including Citi, for these relationships is significant and it has become increasingly difficult in recent years to maintain such relationships on the same terms or at all. These relationships could also be negatively impacted due to, among other things, operational difficulties of the retailer or merchant, termination due to a

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breach by Citi, the retailer or merchant of its responsibilities, or external factors, including bankruptcies, liquidations, restructurings, consolidations and other similar events. While various mitigating factors could be available to Citi if any of these events were to occur—such as by replacing the retailer or merchant or offering other card products—such events could negatively impact Citi’s results of operations or financial condition, including as a result of loss of revenues, impairment of purchased credit card relationships and contract related intangibles or other losses (for information on Citi’s credit card related intangibles generally, see Note 16 to the Consolidated Financial Statements).

Macroeconomic and Geopolitical Challenges Globally Could Have a Negative Impact on Citi’s Businesses and Results of Operations.

Citi has experienced, and could experience in the future, negative impacts to its businesses and results of operations as a result of macroeconomic and geopolitical challenges, uncertainties and volatility.

For example, energy and other commodity prices significantly deteriorated during the second half of 2015 and into 2016, which impacted various financial markets, countries and industries. The economic and fiscal situations of several European countries remain fragile, and concerns and uncertainties remain in Europe over the potential exit of additional countries from the EU. In addition, governmental fiscal and monetary actions, or expected actions, have impacted the volatilities of global financial markets, foreign exchange rates and capital flows among countries. Moreover, the new U.S. Presidential administration has indicated it may pursue protectionist trade and other policies, which could result in additional macroeconomic and/or geopolitical challenges, uncertainties and volatilities.

These and other global macroeconomic and geopolitical challenges, uncertainties and volatilities have negatively impacted, and could continue to negatively impact, Citi’s businesses, results of operations and financial condition, including its credit costs, revenues in its Markets and securities services and other businesses, and AOCI (which would in turn negatively impact Citi’s book and tangible book value).

Citi’s Presence in the Emerging Markets Subjects It to Various Risks as well as Increased Compliance and Regulatory Risks and Costs.

During 2016, emerging markets revenues accounted for approximately 36% of Citi’s total revenues (Citi generally defines emerging markets as countries in Latin America, Asia (other than Japan, Australia and New Zealand), Central and Eastern Europe, the Middle East and Africa).

Citi’s presence in the emerging markets subjects it to a number of risks, including sovereign volatility, political events, foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyper-inflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets. For example, Citi operates in several countries that

have, or have had in the recent past, strict foreign exchange controls, such as Argentina andVenezuela, that limit its ability to convert local currency into U.S. dollars and/or transfer funds outside the country. In prior years, Citi has also discovered fraud in certain emerging markets in which it operates. Political turmoil and other instability have occurred in certain countries, such as in Russia, Ukraine and the Middle East, which have required management time and attention in prior years (e.g., monitoring the impact of sanctions on the Russian economy as well as Citi’s businesses and results of operations).

Citi’s emerging markets presence also increases its compliance and regulatory risks and costs. For example, Citi’s operations in emerging markets, including facilitating cross-border transactions on behalf of its clients, subject it to higher compliance risks under U.S. regulations primarily focused on various aspects of global corporate activities, such as anti-money-laundering regulations and the Foreign Corrupt Practices Act. These risks can be more acute in less developed markets and thus require substantial investment in compliance infrastructure or could result in a reduction in certain of Citi’s business activities. Any failure by Citi to comply with applicable U.S. regulations, as well as the regulations in the countries and markets in which it operates as a result of its global footprint, could result in fines, penalties, injunctions or other similar restrictions, any of which could negatively impact Citi’s results of operations and its reputation.

The Federal Reserve Board’s Recently Issued Final Total Loss-Absorbing Capacity Requirements Raise Uncertainties Regarding the Consequences of Noncompliance and the Potential Impact on Citi’s Estimates of its Eligible Debt.

Title II of the Dodd-Frank Act grants the FDIC the authority, under certain circumstances, to resolve systemically important financial institutions, including Citi. The FDIC has released a notice describing its preferred “single point of entry strategy” for such resolution, pursuant to which, generally, a bank holding company, such as Citigroup, would be placed into resolution, Citi’s operating subsidiaries would be recapitalized and remain outside of any resolution proceedings, and the shareholders and unsecured creditors of Citigroup—including unsecured long-term debt holders—would bear any losses resulting from Citi’s resolution.

Consistent with this strategy, on December 15, 2016, the Federal Reserve Board issued final rules requiring GSIBs, including Citi, to (i) issue and maintain minimum levels of external “total loss-absorbing capacity” (TLAC) and long-term debt (LTD), and (ii) adhere to various “clean holding company” requirements at the bank holding company level. For a summary of the final TLAC requirements, see “Liquidity Risk—Total Loss-Absorbing Capacity (TLAC)” below.

While the final TLAC rules addressed several areas of uncertainty arising from the proposed rules, uncertainties regarding certain key aspects of the recently-issued rules remain and will likely require additional clarification or interpretive guidance. First, the consequences of a breach of the external LTD requirement are not clear. Given that there is no “cure” period in the final rules, Citi could be required to issue additional external LTD above the minimum

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requirements to ensure compliance. Similarly, the consequences of a breach of the clean holding company requirements are uncertain, and there is no cure period. Accordingly, Citi will need to determine if it should reduce its third party, non-contingent liabilities at the bank holding company level to well below the 5% cap required under the clean holding company requirements in order to avoid inadvertently breaching the 5% cap, particularly since certain of the liabilities at issue are outside of Citi’s control.

In addition, the final rules introduced a new “anti-evasion” provision that authorizes the Federal Reserve Board to exclude from a bank holding company’s outstanding external LTD any debt having certain features that would, in the Board’s view, “significantly impair” the debt’s ability to absorb losses. In effect, this provision could allow the Federal Reserve Board, after notice and opportunity for Citi to respond, to exclude certain LTD, such as certain customer-related debt, from Citi’s reported external LTD. This could result in noncompliance with the required external LTD minimums, leading to the uncertainty described above, and negatively impact Citi’s reputation in the market.

CREDIT RISKS

Concentrations of Risk Can Increase the Potential for Citi to Incur Significant Losses.

Concentrations of risk, particularly credit and market risk, can increase Citi’s risk of significant losses. As of December 31, 2016, Citi’s most significant concentration of credit risk was with the U.S. government and its agencies, which primarily results from trading assets and investments issued by the U.S. government and its agencies (for additional information, see Note 23 to the Consolidated Financial Statements). Citi also routinely executes a high volume of securities, trading, derivative and foreign exchange transactions with counterparties in the financial services industry, including banks, insurance companies, investment banks, governments, central banks and other financial institutions.

To the extent regulatory or market developments lead to increased centralization of trading activity through particular clearing houses, central agents, exchanges or other financial market utilities, Citi could also experience an increase in concentration of risk to these industries. These concentrations of risk as well as the risk of failure of a large counterparty, central counterparty clearing house or financial market utility could limit the effectiveness of Citi’s hedging strategies and cause Citi to incur significant losses.

LIQUIDITY RISKS

The Maintenance of Adequate Liquidity and Funding Depends on Numerous Factors, Including Those Outside of Citi’s Control, Such as Market Disruptions and Increases in Citi’s Credit Spreads.

As a global financial institution, adequate liquidity and sources of funding are essential to Citi’s businesses. Citi’s liquidity and sources of funding can be significantly and negatively impacted by factors it cannot control, such as general disruptions in the financial markets, governmental

fiscal and monetary policies, regulatory changes or negative investor perceptions of Citi’s creditworthiness.

In addition, Citi’s costs to obtain and access deposits, secured funding and long-term unsecured funding are directly related to its credit spreads. Changes in credit spreads constantly occur and are market driven, including both external market factors and factors specific to Citi, and can be highly volatile. Citi’s credit spreads may also be influenced by movements in the costs to purchasers of credit default swaps referenced to Citi’s long-term debt, which are also impacted by these external and Citi-specific factors.

Moreover, Citi’s ability to obtain funding may be impaired if other market participants are seeking to access the markets at the same time, or if market appetite is reduced, as is likely to occur in a liquidity or other market crisis. A sudden drop in market liquidity could also cause a temporary or more lengthy dislocation of underwriting and capital markets activity. In addition, clearing organizations, regulators, clients and financial institutions with which Citi interacts may exercise the right to require additional collateral based on these market perceptions or market conditions, which could further impair Citi’s access to and cost of funding.

As a holding company, Citi relies on interest, dividends, distributions and other payments from its subsidiaries to fund dividends as well as to satisfy its debt and other obligations. Several of Citi’s U.S. and non-U.S. subsidiaries are or may be subject to capital adequacy or other regulatory or contractual restrictions on their ability to provide such payments, including any local regulatory stress test requirements. Limitations on the payments that Citi receives from its subsidiaries could also impact its liquidity.

The Credit Rating Agencies Continuously Review the Credit Ratings of Citi and Certain of Its Subsidiaries, and Ratings Downgrades Could Have a Negative Impact on Citi’s Funding and Liquidity Due to Reduced Funding Capacity and Increased Funding Costs, Including Derivatives Triggers That Could Require Cash Obligations or Collateral Requirements.

The credit rating agencies, such as Fitch, Moody’s and S&P, continuously evaluate Citi and certain of its subsidiaries, and their ratings of Citi and its more significant subsidiaries’ long-term/senior debt and short-term/commercial paper, as applicable, are based on a number of factors, including standalone financial strength, as well as factors not entirely within the control of Citi and its subsidiaries, such as the agencies’ proprietary rating agency methodologies and assumptionsand conditions affecting the financial services industry and markets generally.

Citi and its subsidiaries may not be able to maintain their current respective ratings. Ratings downgrades could negatively impact Citi’s ability to access the capital markets and other sources of funds as well as the costs of those funds, and its ability to maintain certain deposits. A ratings downgrade could also have a negative impact on Citi’s funding and liquidity due to reduced funding capacity, as well as the impact of derivative triggers, which could require Citi to meet cash obligations and collateral requirements. In addition, a ratings downgrade could also have a negative impact on

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other funding sources, such as secured financing and other margined transactions for which there may be no explicit triggers, as well as on contractual provisions and other credit requirements of Citi’s counterparties and clients, which may contain minimum ratings thresholds in order for Citi to hold third-party funds.

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

OPERATIONAL RISKS

A Disruption of Citi’s Operational Systems Could Negatively Impact Citi’s Reputation, Customers, Clients, Businesses or Results of Operations and Financial Condition.

A significant portion of Citi’s operations relies heavily on the secure processing, storage and transmission of confidential and other information as well as the monitoring of a large number of complex transactions on a minute-by-minute basis. For example, through its Global Consumer Banking and credit card and securities services businesses in Institutional Clients Group, Citi obtains and stores an extensive amount of personal and client-specific information for its retail, corporate and governmental customers and clients and must accurately record and reflect their extensive account transactions.

With the evolving proliferation of new technologies and the increasing use of the Internet, mobile devices and cloud technologies to conduct financial transactions, large, global financial institutions such as Citi have been, and will continue to be, subject to an increasing risk of operational disruption or cyber or information security incidents from these activities (for additional information on cybersecurity risk, see the discussion below). These incidents are unpredictable and can arise from numerous sources, not all of which are in Citi’s control, including among others human error, fraud or malice on the part of employees, accidental technological failure, electrical or telecommunication outages, failures of computer servers or other similar damage to Citi’s property or assets. These issues can also arise as a result of failures by third parties with which Citi does business such as failures by Internet, mobile technology, cloud service providers or other vendors to adequately safeguard their systems and prevent system disruptions or cyber attacks.

Such events could cause interruptions or malfunctions in the operations of Citi (such as the temporary loss of availability of Citi’s online banking system or mobile banking platform), as well as the operations of its clients, customers or

other third parties. Given Citi’s global footprint and the high volume of transactions processed by Citi, certain errors or actions may be repeated or compounded before they are discovered and rectified, which would further increase these costs and consequences. Any such events could also result in financial losses as well as misappropriation, corruption or loss of confidential and other information or assets, which could negatively impact Citi’s reputation, customers, clients, businesses or results of operations and financial condition, perhaps significantly.

Citi’s Computer Systems and Networks Have Been, and Will Continue to Be, Subject to an Increasing Risk of Continually Evolving Cybersecurity Risks Which Could Result in the Theft, Loss, Misuse or Disclosure of Confidential Client or Customer Information, Damage to Citi’s Reputation, Additional Costs to Citi, Regulatory Penalties, Legal Exposure and Financial Losses.

Citi’s computer systems, software and networks are subject to ongoing cyber incidents such as unauthorized access, loss or destruction of data (including confidential client information), account takeovers, unavailability of service, computer viruses or other malicious code, cyber attacks and other similar events.

These threats can arise from external parties, including criminal organizations, extremist parties and certain foreign state actors that engage in cyber activities. Third parties with which Citi does business, as well as retailers and other third parties with which Citi’s customers do business, may also be sources of cybersecurity risks, particularly where activities of customers are beyond Citi’s security and control systems. For example, Citi outsources certain functions, such as processing customer credit card transactions, uploading content on customer-facing websites, and developing software for new products and services. These relationships allow for the storage and processing of customer information by third-party hosting of or access to Citi websites, which could result in compromise or the potential to introduce vulnerable or malicious code, resulting in security breaches impacting Citi customers. Furthermore, because financial institutions are becoming increasingly interconnected with central agents, exchanges and clearing houses, including as a result of the derivatives reforms over the last few years, Citi has increased exposure to cyber attacks through third parties.

As further evidence of the increasing and potentially significant impact of cyber incidents, in recent years, several U.S. retailers and financial institutions and other multinational companies reported cyber incidents that compromised customer data, resulted in theft of funds or theft or destruction of corporate information or other assets. In addition, in prior years, the U.S. government as well as several multinational companies reported cyber incidents affecting their computer systems that resulted in the data of millions of customers and employees being compromised.

While Citi has not been materially impacted by these reported or other cyber incidents, Citi has been subject to other intentional cyber incidents from external sources over the last several years, including (i) denial of service attacks, which attempted to interrupt service to clients and customers; (ii)

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

Further, although Citi devotes significant resources to implement, maintain, monitor and regularly upgrade its systems and networks with measures such as intrusion detection and prevention and firewalls to safeguard critical business applications, there is no guarantee that these measures or any other measures can provide absolute security. In addition, because the methods used to cause cyber attacks change frequently or, in some cases, are not recognized until launched, Citi may be unable to implement effective preventive measures or proactively address these methods until they are discovered. In addition, while Citi engages in certain actions to reduce the exposure resulting from outsourcing, such as performing onsite security control assessments and limiting third-party access to the least privileged level necessary to perform job functions, these actions cannot prevent all external cyber attacks, information breaches or similar losses.

Cyber incidents can result in the disclosure of personal, confidential or proprietary customer or client information, damage to Citi’s reputation with its clients and the market, customer dissatisfaction, additional costs (including credit costs) to Citi (such as repairing systems, replacing customer payment cards or adding new personnel or protection technologies), regulatory penalties, exposure to litigation and other financial losses, including loss of funds, to both Citi and its clients and customers (for additional information on the potential impact from cyber incidents, see the operational systems risk factor above).

While Citi maintains insurance coverage that may, subject to policy terms and conditions including significant self-insured deductibles, cover certain aspects of cyber risks, such insurance coverage may be insufficient to cover all losses.

Incorrect Assumptions or Estimates in Citi’s Financial Statements Could Cause Significant Unexpected Losses in the Future, and Changes to Financial Accounting and Reporting Standards or Interpretations Could Have a Material Impact on How Citi Records and Reports Its Financial Condition and Results of Operations.

Citi is required to use certain assumptions and estimates in preparing its financial statements under U.S. GAAP, including reserves related to litigation and regulatory exposures, valuation of DTAs, the estimate of the allowance for credit losses and the fair values of certain assets and liabilities, among other items. If Citi’s assumptions or estimates underlying its financial statements are incorrect or differ from

actual future events, Citi could experience unexpected losses, some of which could be significant.

The Financial Accounting Standards Board (FASB) has issued several financial accounting and reporting standards that will govern key aspects of Citi’s financial statements or interpretations thereof when those standards become effective, including those areas where Citi is required to make assumptions or estimates. For example, the FASB’s new accounting standard on credit losses, which will become effective for Citi on January 1, 2020, will require earlier recognition of credit losses on financial assets. The new accounting model requires that lifetime “expected credit losses” on financial assets not recorded at fair value through net income, such as loans and held-to-maturity securities, be recorded at inception of the financial asset, replacing the multiple existing impairment models under U.S. GAAP which generally require that a loss be “incurred” before it is recognized (for additional information on this and other accounting standards, see Note 1 to the Consolidated Financial Statements).

Changes to financial accounting or reporting standards or interpretations, whether promulgated or required by the FASB or other regulators, could present operational challenges and could require Citi to change certain of the assumptions or estimates it previously used in preparing its financial statements, which could negatively impact how it records and reports its financial condition and results of operations generally and/or with respect to particular businesses. For additional information on the key areas for which assumptions and estimates are used in preparing Citi’s financial statements, see “Significant Accounting Policies and Significant Estimates” below and Note 27 to the Consolidated Financial Statements.

Ongoing Implementation and Interpretation of Regulatory Changes and Requirements in the U.S. and Globally Have Increased Citi’s Compliance Risks and Costs.

As referenced above, over the past several years, Citi has been required to implement a significant number of regulatory changes across all of its businesses and functions, and these changes continue. In some cases, Citi’s implementation of a regulatory requirement is occurring simultaneously with changing or conflicting regulatory guidance, legal challenges or legislative action to modify or repeal final rules. Moreover, in many cases, these are entirely new regulatory requirements or regimes, resulting in much uncertainty regarding regulatory expectations as to what is definitely required in order to be in compliance with the requirements. Accompanying this compliance uncertainty is heightened regulatory scrutiny and expectations in the U.S. and globally for the financial services industry with respect to governance and risk management practices, including its compliance and regulatory risks (for a discussion of heightened regulatory expectations on “conduct risk” at, and the overall “culture” of, financial institutions such as Citi, see the legal and regulatory proceedings risk factor below). All of these factors have resulted in increased compliance risks and costs for Citi.

Examples of regulatory changes that have resulted in increased compliance risks and costs include (i) the Volcker

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Rule, which requires Citi to maintain an extensive global compliance regime, including significant documentation to support the prohibition against proprietary trading, and (ii) a proliferation of laws relating to the limitation of cross-border data movement, including data localization and protection and privacy laws, which can conflict with or increase compliance complexity with respect to anti-money laundering laws.

Extensive compliance requirements can result in increased reputational and legal risks, as failure to comply with regulations and requirements, or failure to comply as expected, can result in enforcement and/or regulatory proceedings (for additional discussion, see the legal and regulatory proceedings risk factor below). In addition, increased and ongoing compliance requirements and uncertainties have resulted in higher costs for Citi. For example, Citi employed approximately 29,000 risk, regulatory and compliance staff as of year-end 2016, out of a total employee population of 219,000, compared to approximately 14,000 as of year-end 2008 with a total employee population of 323,000. These higher regulatory and compliance costs can impede Citi’s ongoing, business-as-usual cost reduction efforts, and can also require management to reallocate resources, including potentially away from ongoing business investment initiatives, as discussed above.

Citi Is Subject to Extensive Legal and Regulatory Proceedings, Investigations and Inquiries That Could Result in Significant Penalties and Other Negative Impacts on Citi, Its Businesses and Results of Operations.

At any given time, Citi is defending a significant number of legal and regulatory proceedings and is subject to numerous governmental and regulatory examinations, investigations and other inquiries. Over the last several years, the frequency with which such proceedings, investigations and inquiries are initiated have increased substantially, and the global judicial, regulatory and political environment has generally been unfavorable for large financial institutions. The complexity of the federal and state regulatory and enforcement regimes in the U.S., coupled with the global scope of Citi’s operations, also means that a single event or issue may give rise to a large number of overlapping investigations and regulatory proceedings, either by multiple federal and state agencies in the U.S. or by multiple regulators and other governmental entities in different jurisdictions.

Moreover, U.S. and non-U.S. regulators have been increasingly focused on “conduct risk,” a term that is used to describe the risks associated with behavior by employees and agents, including third-party vendors utilized by Citi, that could harm clients, customers, investors or the markets, such as improperly creating, selling, marketing or managing products and services or improper incentive compensation programs with respect thereto, failures to safeguard a party’s personal information, or failures to identify and manage conflicts of interest.In addition to increasing Citi’s compliance risks, this focus on conduct risk could lead to more regulatory or other enforcement proceedings and civil litigation, including for practices which historically were acceptable but are now receiving greater scrutiny. Further, while Citi takes numerous steps to prevent and detect conduct

by employees and agents that could potentially harm clients, customers, investors or the markets, such behavior may not always be deterred or prevented. Banking regulators have also focused on the overall culture of financial services firms, including Citi. In addition to regulatory restrictions or structural changes that could result from perceived deficiencies in Citi’s culture, such focus could also lead to additional regulatory proceedings.

Further, the severity of the remedies sought in legal and regulatory proceedings to which Citi is subject has increased substantially in recent years. U.S. and certain international governmental entities have increasingly brought criminal actions against, or have sought criminal convictions from, financial institutions, and criminal prosecutors in the U.S. have increasingly sought and obtained criminal guilty pleas or deferred prosecution agreements against corporate entities and other criminal sanctions from those institutions. In May 2015 an affiliate of Citi pleaded guilty to an antitrust violation and paid a substantial fine to resolve a DOJ investigation into Citi’s foreign exchange business practices. These types of actions by U.S. and international governmental entities may, in the future, have significant collateral consequences for a financial institution, including loss of customers and business, and the inability to offer certain products or services and/or operate certain businesses. Citi may be required to accept or be subject to similar types of criminal remedies, consent orders, sanctions, substantial fines and penalties or other requirements in the future, including for matters or practices not yet known to Citi, any of which could materially and negatively affect Citi’s businesses, business practices, financial condition or results of operations, require material changes in Citi’s operations or cause Citi reputational harm.

Further, many large claims—both private civil and regulatory—asserted against Citi are highly complex, slow to develop and may involve novel or untested legal theories. The outcome of such proceedings is difficult to predict or estimate until late in the proceedings. Although Citi establishes accruals for its legal and regulatory matters according to accounting requirements, Citi’s estimates of, and changes to, these accruals, involve significant judgment and may be subject to significant uncertainty and the amount of loss ultimately incurred in relation to those matters may be substantially higher than the amounts accrued. In addition, certain settlements are subject to court approval and may not be approved.

For additional information relating to Citi’s legal and regulatory proceedings and matters, including Citi’s policies on establishing legal accruals, see Note 27 to the Consolidated Financial Statements.

If Citi’s Risk Models Are Ineffective or Require Modification or Enhancement, Citi Could Incur Significant Losses or Its Regulatory Capital and Capital Ratios Could Be Negatively Impacted.

Citi utilizes models extensively as part of its risk management and mitigation strategies, including in analyzing and monitoring the various risks Citi assumes in conducting its activities. For example, Citi uses models as part of its various stress testing initiatives across the firm.Management of these

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risks is made even more challenging within a global financial institution such as Citi, particularly given the complex, diverse and rapidly changing financial markets and conditions in which Citi operates.

These models and strategies are inherently limited because they involve techniques, including the use of historical data in many circumstances, and judgments that cannot anticipate every economic and financial outcome in the markets in which Citi operates, nor can they anticipate the specifics and timing of such outcomes. Citi could incur significant losses if its risk management models or strategies are ineffective in properly anticipating or managing these risks.

Moreover, Citi’s Basel III regulatory capital models, including its credit, market and operational risk models, currently remain subject to ongoing regulatory review and approval, which may result in refinements, modifications or enhancements (required or otherwise) to these models. Modifications or requirements resulting from these ongoing reviews, as well as any future changes or guidance provided by the U.S. banking agencies regarding the regulatory capital framework applicable to Citi, have resulted in, and could continue to result in, significant changes to Citi’s risk-weighted assets. These changes can negatively impact Citi’s capital ratios and its ability to achieve its regulatory capital requirements as it projects or as required.

Citi’s Performance and the Performance of Its Individual Businesses Could Be Negatively Impacted if Citi Is Not Able to Hire and Retain Highly Qualified Employees for Any Reason.

Citi’s performance and the performance of its individual businesses is largely dependent on the talents and efforts of highly skilled employees. Specifically, Citi’s continued ability to compete in its businesses, to manage its businesses effectively and to continue to execute its overall global strategy depends on its ability to attract new employees and to retain and motivate its existing employees. If Citi is unable to continue to attract and retain the most highly qualified employees for any reason, Citi’s performance, including its competitive position, the successful execution of its overall strategy and its results of operations could be negatively impacted.

Citi’s ability to attract and retain employees depends on numerous factors, some of which are outside of its control. For example, given the heightened regulatory and political environment in which Citi operates relative to competitors for talent both within and outside of the financial services area, it may be more difficult for Citi to hire or retain highly qualified employees in the future. Other factors that impact Citi’s ability to attract and retain employees include its culture, compensation, the management and leadership of the company as well as its individual businesses, Citi’s presence in the particular market or region at issue and the professional opportunities it offers. Generally, the banking industry is subject to more stringent regulation of executive and employee compensation than other industries, including deferral and clawback requirements for incentive compensation and other limitations. Citi often competes in the

market for talent with entities that are not subject to such significant regulatory restrictions on the structure of incentive compensation.

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Managing Global Risk Table of Contents

MANAGING GLOBAL RISK	64
Overview	64
CREDIT RISK(1)	68
Overview	68
Consumer Credit	69
Corporate Credit	78
Additional Consumer and Corporate Credit Details	81
Loans Outstanding	81
Details of Credit Loss Experience	82
Allowance for Loan Losses	84
Non-Accrual Loans and Assets and Renegotiated Loans	85
Forgone Interest Revenue on Loans	88
LIQUIDITY RISK	89
Overview	89
High-Quality Liquid Assets (HQLA)	89
Loans	90
Deposits	91
Long-Term Debt	91
Secured Funding Transactions and Short-Term Borrowings	94
Liquidity Monitoring and Measurement	96
Credit Ratings	97
MARKET RISK(1)	99
Overview	99
Market Risk of Non-Trading Portfolios	99
Net Interest Revenue at Risk	99
Interest Rate Risk of Investment Portfolios—Impact on AOCI	99
Changes in Foreign Exchange Rates—Impacts on AOCI and Capital	101
Interest Revenue/Expense and Net Interest Margin	102
Additional Interest Rate Details	103
Market Risk of Trading Portfolios	107
Factor Sensitivities	108
Value at Risk (VAR)	108
Stress Testing	112
OPERATIONAL RISK	113
Overview	113
Compliance Risk	113
Conduct Risk	114
Legal Risk	115
Reputational Risk	115
STRATEGIC RISK	115
Country Risk	116

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

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MANAGING GLOBAL RISK

Overview

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, the key principles that guide it, and Citi's risk appetite.

Risk management must be built on a foundation of ethical culture. Under Citi’s mission and value proposition, which was developed by Citi’s senior leadership and distributed throughout the firm, Citi strives to serve its clients as a trusted partner by responsibly providing financial services that enable growth and economic progress while earning and maintaining the public’s trust by constantly adhering to the highest ethical standards. As such, Citi asks all employees to ensure that their decisions pass three tests: they are in our clients’ interests, create economic value and are always systemically responsible. Additionally, Citi evaluates employees’ performance against behavioral expectations set out in Citi’s leadership standards, which were designed in part to effectuate Citi’s mission and value proposition. Other culture-related efforts in connection with conduct risk, ethics and leadership, escalation, and treating customers fairly help Citi to execute its mission and value proposition.

Citi’s firm-wide Risk Governance Framework consists of the policies, procedures, and processes through which Citi identifies, measures, manages, monitors, reports, and controls risks across the firm. It also emphasizes Citi’s risk culture and lays out standards, procedures and programs that are designed and undertaken to enhance the firm’s risk culture, embed this culture deeply within the organization, and give employees tools to make sound and ethical risk decisions and to escalate issues appropriately. The Risk Governance Framework has been developed in alignment with the expectations of the Office of the Comptroller of the Currency (OCC) Heightened Standards. It is also aligned with the relevant components of the Basel Committee on Banking Supervision’s corporate governance principles for banks and relevant components of the Federal Reserve’s Enhanced Prudential Standards for Bank Holding Companies and Foreign Banking Organizations.

Four key principles—common purpose, responsible finance, ingenuity and leadership—guide Citi as it performs its mission. Citi’s risk appetite, which is approved by the Citigroup Board of Directors, specifies the aggregate levels and types of risk the Board and management are willing to assume to achieve Citi’s strategic objectives and business plan, consistent with applicable capital, liquidity and other regulatory requirements.

Citi selectively takes risks in support of its underlying business strategy, while striving to ensure it operates within its mission and value proposition and risk appetite.

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

• Credit risk is the risk of loss resulting from the failure of a borrower, counterparty, third party or issuer to honor its financial or contractual obligations.

• Liquidity risk is the risk that the firm will not be able to efficiently meet both expected and unexpected current and future cash flow and collateral needs without adversely affecting either daily operations or financial conditions of the firm. The risk may be exacerbated by the inability of the firm to access funding sources or monetize assets and the composition of liability funding and liquidity assets.

• Market risk is the risk of loss arising from changes in the value of Citi’s assets and liabilities resulting from changes in market variables, such as interest rates, exchange rates or credit spreads. Losses can be exacerbated by the presence of basis or correlations risks.

• Operational risk is the risk of loss resulting from inadequate or failed internal processes, systems, or human factors, or from external events. It includes risk of failing to comply with applicable laws and regulations, but excludes strategic risk (see below). It also includes the reputation and franchise risk associated with business practices or market conduct in which Citi is involved. Operational risk is inherent in Citi’s global business activities, as well as the internal processes that support those business activities, and can result in losses arising from events related to fraud, theft and unauthorized activity; employment practices and workplace environment; clients, products and business practices; physical assets and infrastructure; and execution, delivery and process management. Operational risk includes compliance, conduct, reputational and legal risks:

• Compliance risk is the risk arising from violations of, or non-conformance with, local, national, or cross-border laws, rules, or regulations, Citi’s internal policies and procedures, or other relevant standards of conduct.

• Conduct risk is the risk that Citi’s employees or agents may (intentionally or through negligence) harm customers, clients, or the integrity of the markets, and thereby the integrity of Citi.

• Reputational risk is the risk to current or anticipated earnings, capital, or franchise or enterprise value arising from negative public opinion.

• Legal risk includes the risk from uncertainty due to legal or regulatory actions, proceedings, or investigations, or uncertainty in the applicability or interpretation of contracts, laws or regulations.

• Strategic risk is the risk to current or anticipated earnings, capital, or franchise or enterprise value arising from flawed business decisions, an inability to adapt to changes in the operating environment, or other external factors that may impair the ability to carry out a business strategy. Strategic risk also includes:

• Country risk which is the risk that an event in a country (precipitated by developments within or

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external to a country) will impair the value of Citi’s franchise or will adversely affect the ability of obligors within that country to honor their obligations. Country risk events may include sovereign defaults, banking crises, currency crises, currency convertibility and/or transferability restrictions, or political events.

Citi manages its risks through each of its three lines of defense: (i) business management, (ii) independent control functions and (iii) Internal Audit. The three lines of defense collaborate with each other in structured forums and processes to bring various perspectives together and to steer the organization toward outcomes that are in clients’ interests, create economic value and are systemically responsible.

First Line of Defense: Business Management

Each of Citi’s businesses owns its risks and is responsible for assessing and managing its risks. Each business is also responsible for having controls in place to mitigate key risks, assessing internal controls and promoting a culture of compliance and control. In doing so, a business is required to maintain appropriate staffing and implement appropriate procedures to fulfill its risk governance responsibilities.

The CEOs of each region and business report to the Citigroup CEO. The Head of Operations and Technology and the Head of Productivity, who are considered part of the first line of defense, also report to the Citigroup CEO.

Businesses at Citi organize and chair many committees and councils that cover risk considerations with participation from independent control functions, including committees or councils that are designed to consider matters related to capital, assets and liabilities, business practices, business risks and controls, mergers and acquisitions, the Community Reinvestment Act and fair lending and incentives.

Second Line of Defense: Independent Control Functions

Citi’s independent control functions, including Risk, Compliance, Human Resources, Legal, Finance and Finance & Risk Infrastructure, set standards by which Citi and its businesses are expected to manage and oversee risks, including compliance with applicable laws, regulatory requirements, policies and other relevant standards of conduct. Additionally, among other responsibilities, the independent control functions provide advice and training to Citi’s businesses and establish tools, methodologies, processes and oversight for controls used by the businesses to foster a culture of compliance and control.

Risk

The Risk organization is designed to act as an independent partner of the business to manage market, credit and operational risk in a manner consistent with Citi’s risk appetite. Risk establishes policies and guidelines for risk assessments and risk management and contributes to controls and tools to manage, measure and mitigate risks taken by the firm.

The Chief Risk Officer reports to the Citigroup CEO and the Risk Management Committee of the Citigroup Board of

Directors. The Chief Risk Officer has regular and unrestricted access to the Risk Management Committee of the Board and also to the Citigroup Board of Directors to address risks and issues identified through Risk’s activities.

Compliance

The Compliance organization is designed to protect Citi not only by managing adherence to applicable laws, regulations, and other standards of conduct, but also by promoting business behavior that is consistent with Citi’s mission and value proposition, the principle of responsible finance and Citi’s compliance risk appetite. For further information on Citi’s compliance risk appetite, see “Compliance, Conduct and Legal Risk” below.

The Chief Compliance Officer reports to the Citigroup CEO and has regular and unrestricted access to the Audit Committee, Ethics and Culture Committee and other ad hoc committees of the Citigroup Board of Directors to report on, among other items, possible breaches of Citi’s compliance risk appetite.

Human Resources

The Human Resources organization provides personnel support and governance in connection with, among other things: recognizing and rewarding employees who demonstrate Citi’s values and excel in their roles and responsibilities; setting ethical- and performance-related expectations and developing and promoting employees who meet those expectations; and searching for, assessing, and hiring staff who exemplify Citi’s leadership standards, which outline Citi’s expectations of its employees’ behavior.

The Head of Human Resources reports to the Citigroup CEO and interacts regularly with the Personnel and Compensation Committee of the Citigroup Board of Directors.

Legal

The Legal organization is involved in a number of activities designed to promote the appropriate management of Citi’s exposure to legal risk, which includes the risk of loss, whether financial or reputational, due to legal or regulatory actions, proceedings, or investigations, or uncertainty in the applicability or interpretation of contracts, laws or regulations.  Activities designed to promote appropriate management of legal risk include, among others: promoting and supporting Citigroup’s governance processes; advising business management, other independent control functions, the Citigroup Board of Directors and committees of the Board regarding analysis of laws and regulations, regulatory matters, disclosure matters, and potential risks and exposures on key litigation and transactional matters, among other things; advising other independent control functions in their efforts to ensure compliance with applicable laws and regulations as well as internal standards of conduct; serving on key management committees; reporting and escalating key legal issues to senior management or other independent control functions; participating in internal investigations and overseeing regulatory investigations; and advising businesses on a day-to-day basis on legal, regulatory and contractual matters.

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The General Counsel reports to the Citigroup CEO and is responsible to the full Citigroup Board. In addition to having regular and unrestricted access to the full Citigroup Board of Directors, the General Counsel or his/her delegates regularly attend meetings of the Risk Management Committee, Audit Committee, Personnel and Compensation Committee, Ethics and Culture Committee, Operations and Technology Committee, and Nomination, Governance and Public Affairs Committee as well as other ad hoc committees of the Citigroup Board of Directors.

Finance

The Finance organization is primarily composed of the following disciplines: treasury, controllers, tax and financial planning and analysis. These disciplines partner with the businesses, providing key data and consultation to facilitate sound decisions in support of the businesses’ objectives. Through these activities, Finance serves as an independent control function advising business management, escalating identified risks and establishing policies or processes to manage risk.

Through the treasury discipline, Finance has overall responsibility for managing Citi’s balance sheet and accordingly partners with the businesses to manage Citi’s liquidity and interest rate risk (price risk for non-trading portfolios). Treasury works with the businesses to establish balance sheet targets and limits, as well as sets policies on funding costs charged for business assets based on their liquidity and duration.

Principally through the controllers discipline, Finance is responsible for establishing a strong control environment over Citi’s financial reporting processes consistent with the 2013 Committee of Sponsoring Organizations of the Treadway Commission, or COSO, Internal Control—Integrated Framework.

Finance is led by Citi’s Chief Financial Officer (CFO), who reports directly to the Citigroup CEO. The CFO chairs or co-chairs several management committees that serve as key governance and oversight forums for business activities. In addition, the CFO has regular and unrestricted access to the full Citigroup Board of Directors as well as to the Audit Committee of the Board of Directors.

Finance & Risk Infrastructure

Finance & Risk Infrastructure (FRI) is a Citi global function that was formed in April 2016 from groups within the Finance and Risk global functions. FRI was established to globally implement common data and data standards, common processes and integrated technology platforms as well as integrate infrastructure activities across both Finance and Risk. FRI works to drive straight through data processing and produce more effective and efficient processes and governance aimed at supporting both the Finance and Risk organizations.

The co-heads of the FRI global function report jointly to Citi’s CFO and Chief Risk Officer.

Third Line of Defense: Internal Audit

Citi’s Internal Audit function independently reviews activities of the first two lines of defense based on a risk-based audit plan and methodology approved by the Audit Committee of the Citigroup Board of Directors. Internal Audit also provides independent assurance to the Citigroup Board of Directors, the Audit Committee of the Board, senior management and regulators regarding the effectiveness of Citi’s governance and controls designed to mitigate Citi’s exposure to risks and to enhance Citi’s culture of compliance and control.

The Chief Auditor reports functionally to the Chairman of the Citigroup Audit Committee and administratively to the CEO of Citigroup. Internal Audit’s responsibilities are carried out independently under the oversight of the Audit Committee. Internal Audit’s employees accordingly report to the Chief Auditor and do not have reporting lines to front-line units or senior management. Internal Audit’s staff members are not permitted to provide internal-audit services for a business line or function in which they had business line or function responsibilities within the previous 12 months.

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Three Lines of Defense

Citigroup Board of Directors and Committees of the Board

Citigroup’s Board of Directors oversees Citi’s risk-taking activities. To do so, directors review risk assessments and reports prepared by Risk, Compliance, Human Resources, Legal, Finance and Internal Audit and exercise independent judgment to question, challenge and, when necessary, oppose recommendations and decisions made by senior management that could cause Citi’s risk profile to exceed its risk appetite or jeopardize the safety and soundness of the firm.

The standing committees of the Citigroup Board of Directors are the Executive Committee, Risk Management Committee, Audit Committee, Personnel and Compensation Committee, Ethics and Culture Committee, Operations and Technology Committee and Nomination, Governance and Public Affairs Committee. In addition to the standing committees, the Board creates ad hoc committees from time to time in response to regulatory, legal or other requirements.

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CREDIT RISK

Overview

Credit risk is the potential for financial loss resulting from the deterioration in creditworthiness or the failure of a borrower, counterparty or others to honor its financial or contractual obligations. Credit risk arises in many of Citigroup’s business activities, including:

• consumer, commercial and corporate lending;

• capital markets derivative transactions;

• structured finance; and

• securities financing transactions (repurchase and reverse repurchase agreements, securities loaned and borrowed).

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

Credit risk is one of the most significant risks Citi faces as an institution. As a result, Citi has a well-established framework in place for managing credit risk across all businesses. This includes a defined risk appetite, credit limits and credit policies, both at the business level as well as at the company-wide level. Citi’s credit risk management also includes processes and policies with respect to problem recognition, including “watch lists,” portfolio reviews, stress tests, updated risk ratings and classification triggers.

With respect to Citi’s settlement and clearing activities, intra-day client usage of lines is monitored against limits, as well as against usage patterns. To the extent a problem develops, Citi typically moves the client to a secured (collateralized) operating model. Generally, Citi’s intra-day settlement and clearing lines are uncommitted and cancelable at any time.

To manage concentration of risk within credit risk, Citi has in place a correlation framework consisting of industry limits, an idiosyncratic framework consisting of single name concentrations for each business and across Citigroup and a specialized framework consisting of product limits.

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

The credit risk associated with these credit exposures is a function of the idiosyncratic creditworthiness of the obligor, as well as the terms and conditions of the specific obligation. Citi assesses the credit risk associated with its credit exposures on a regular basis through its loan loss reserve process (see “Significant Accounting Policies and Significant Estimates—Allowance for Credit Losses” below and Notes 1 and 15 to the Consolidated Financial Statements), as well as through regular stress testing at the company, business, geography and product levels. These stress-testing processes typically estimate

potential incremental credit costs that would occur as a result of either downgrades in the credit quality or defaults of the obligors or counterparties.

There is an independent Chief Risk Officer for each of Citi’s consumer, commercial and corporate lending businesses within ICG and GCB (Business CROs). Each of these Business CROs reports directly to Citi’s Chief Risk Officer. The Business CROs are the focal point for most day-to-day risk decisions, such as setting risk limits and approving transactions within the businesses. In addition there are Regional and Legal Entity Chief Risk Officers. There is an independent Chief Risk Officer for Asia, EMEA and Latin America, including Mexico (Regional CROs). Each of these Regional CROs reports directly to Citi’s Chief Risk Officer. The Regional CROs are accountable for overseeing the management of all risks in their geographic areas, across businesses, and are the primary risk contacts for the Regional Chief Executive Officers and local regulators. Legal Entity Chief Risk Officers are responsible for identifying and managing risks in Citibank as well as other specific legal entities, with Citibank’s Chief Risk Officer reporting directly to Citi’s Chief Risk Officer.

For additional information on Citi’s credit risk management, see Note 14 to the Consolidated Financial Statements.

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Consumer Credit

Citi provides traditional retail banking, including commercial banking, and credit card products in 19 countries through North America GCB, Latin America GCB and Asia GCB in Citicorp. The retail banking products include consumer mortgages, home equity, personal, commercial loans and lines of credit, and similar related products with a focus on lending to prime customers. Citi uses its risk appetite framework to define its lending parameters. In addition, Citi uses proprietary scoring models for new customer approvals. As stated in “Citicorp—Global Consumer Banking” above, GCB’s overall strategy is to leverage Citi’s global footprint and seek to be the preeminent bank for the affluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies. GCB’s commercial banking business focuses on small to mid-sized businesses.

Consumer Credit Portfolio

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

In billions of dollars	4Q’15			1Q’16			2Q’16			3Q’16			4Q’16
Retail banking:
Mortgages	$	80.2		$	82.2		$	81.6		$	81.4		$	79.4
Commercial banking	31.8			32.1			32.6			33.5			32.3
Personal and other	28.7			28.0			27.6			27.0			24.9
Total retail banking	$	140.7		$	142.3		$	141.8		$	141.9		$	136.6
Cards:
Citi-branded cards(2)	$	90.2		$	87.8		$	100.1		$	103.9		$	108.3
Citi retail services	46.1			42.5			43.3			43.9			47.3
Total cards	$	136.3		$	130.3		$	143.4		$	147.8		$	155.6
Total Citicorp	$	277.0		$	272.6		$	285.2		$	289.7		$	292.2
Citicorp regional distribution:
North America	60		%	59		%	61		%	62		%	64		%
Latin America	9			9			9			8			8
Asia(3)	31			32			30			30			28
Total Citicorp	100		%	100		%	100		%	100		%	100		%
Citi Holdings	$	48.8		$	45.3		$	41.2		$	39.0		$	33.2
Total consumer loans	$	325.8		$	317.9		$	326.4		$	328.7		$	325.4

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

(2) In the second quarter of 2016, Citi completed the acquisition of the $10.6 billion Costco U.S. co-brand credit card portfolio.

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

For information on changes to Citi’s end-of-period consumer loans, see “Liquidity Risk—Loans” below.

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Overall Consumer Credit Trends

The following charts show the quarterly trends in delinquencies and net credit losses across both retail banking, including commercial banking, and cards for total GCB and by region.

Global Consumer Banking

North America

Latin America

Asia⁽¹⁾

(1) Asia includes GCB activities in certain EMEA countries for all periods presented.

North America GCB provides mortgages, home equity loans, personal loans and commercial banking products through Citi’s retail banking network, and card products through Citi-branded cards and Citi retail services businesses. The retail bank is concentrated in six major metropolitan cities in the United States (for additional information on the U.S. retail bank, see “Citicorp—North America GCB” above).

As of December 31, 2016, approximately 71% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards and thus the credit performance of these portfolios drive North America GCB’s overall credit performance (for additional information on North America GCB’s cards portfolios, including delinquencies and net credit losses, see “Credit Card Trends” below).

Latin America GCB operates in Mexico through Citibanamex, one of Mexico’s largest banks, and provides credit cards, consumer mortgages, personal loans and commercial banking products. Latin America GCB serves a more mass market segment in Mexico and focuses on developing multi-product relationships with customers.

As set forth in the chart above, 90+ days past due delinquencies and net credit loss rates improved in Latin America GCB year-over-year as of the fourth quarter of 2016, while the delinquency rate improved and the net credit loss rate was largely unchanged quarter-over-quarter. The improvements were primarily driven by higher payment rates in Mexico resulting from improved credit quality in the portfolio.

Asia GCB operates in 17 countries in Asia and EMEA and provides credit cards, consumer mortgages, personal loans and commercial banking products.

As shown in the chart above, 90+ days past due and net credit loss rates were largely stable in Asia GCB year-over-year and quarter-over-quarter as of the fourth quarter of 2016. This stability reflects the strong credit profiles in Asia GCB’s target customer segments. In addition, regulatory changes in many markets in Asia over the past few years have resulted in stable or improved portfolio credit quality, despite weaker macroeconomic conditions in several countries.

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

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Credit Card Trends

The following charts show the quarterly trends in delinquencies and net credit losses for total GCB cards, Citi’s North America Citi-branded cards and Citi retail services portfolios in Citicorp as well as for Citi’s Latin America and Asia Citi-branded cards portfolios.

Total Cards

North America Citi-Branded Cards

North America Citi Retail Services

Latin America Citi-Branded Cards

Asia Citi-Branded Cards⁽¹⁾

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

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North America GCB’s Citi-branded cards portfolio issues proprietary and co-branded cards. As shown in the chart above, 90+ days past due delinquency rates in Citi-branded cards increased year-over-year and quarter-over-quarter as of the fourth quarter of 2016, primarily driven by seasoning and the impact of regulatory changes on collections. Net credit loss rates decreased modestly year-over-year, but increased sequentially as of the fourth quarter of 2016 reflecting the above delinquency rate trends and lower asset sale volumes. Net credit losses also increased as the business began to incur losses in the Costco portfolio.

Citi retail services partners directly with more than 20 retailers and dealers to offer private-label and co-brand consumer and commercial cards. Citi retail services’ target market is focused on select industry segments such as specialty retail, consumer electronics, and fuel. Citi retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.

Citi retail services’ delinquency and net credit loss rates increased year-over-year and quarter-over-quarter as of the fourth quarter of 2016, primarily due to seasoning as well as the impact of regulatory changes on collections.

Latin America GCB issues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency and net credit loss rates have continued to improve or remained stable, primarily driven by the higher payment rates in Mexico resulting from improved credit quality in the portfolio.

Asia GCB issues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency and net credit loss rates have remained broadly stable, driven by mature and well-diversified cards portfolios. 

For additional information on cost of credit, delinquency and other information for Citi’s cards portfolios, see each respective business’s results of operations above and Note 14 to the Consolidated Financial Statements.

North America Cards FICO Distribution

The following tables show the current FICO score distributions for Citi’s North America Citi-branded cards and Citi retail services portfolios. FICO scores are updated monthly for substantially all of the portfolio and on a quarterly basis for the remaining portfolio.

Citi-Branded

	December 31,
FICO distribution	2016		2015
> 720	64	%	60	%
660 - 720	26		29
620 - 660	6		7
< 620	4		4
Total	100	%	100	%

Citi Retail Services

	December 31,
FICO distribution	2016		2015
> 720	42	%	42	%
660 - 720	35		35
620 - 660	13		13
< 620	10		10
Total	100	%	100	%

The improvement in Citi-branded cards’ FICO distribution was primarily driven by the impact of the strong underlying credit quality of the Costco portfolio, while Citi retail services’ FICO distribution has remained stable.

For additional information on FICO scores, see Note 14 to the Consolidated Financial Statements.

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North America Consumer Mortgage Portfolio

Citi’s North America consumer mortgage portfolio consists of both residential first mortgages and home equity loans. The following table shows the outstanding quarterly end-of-period loans for Citi’s North America residential first mortgage and home equity loan portfolios:

In billions of dollars	4Q’15		1Q’16		2Q’16		3Q’16		4Q’16
Citicorp:
Residential firsts	$	38.3	$	39.2	$	40.1	$	40.1	$	40.2
Home equity	3.6		3.7		3.8		3.9		4.0
Total Citicorp	$	41.9	$	42.9	$	43.9	$	44.0	$	44.2
Citi Holdings:
Residential firsts	$	18.7	$	17.6	$	15.8	$	14.8	$	13.4
Home equity	19.1		18.3		17.3		16.1		15.0
Total Citi Holdings	$	37.8	$	35.9	$	33.1	$	30.9	$	28.4
Total Citigroup— North America	$	79.7	$	78.8	$	77.0	$	74.9	$	72.6

For additional information on delinquency and net credit loss trends in Citi’s consumer mortgage portfolio, see “Additional Consumer Credit Details” below.

Home Equity Loans—Revolving HELOCs

As set forth in the table above, Citi had $19.0 billion of home equity loans as of December 31, 2016, of which $5.0 billion are fixed-rate home equity loans and $14.0 billion are extended under home equity lines of credit (Revolving HELOCs). Fixed-rate home equity loans are fully amortizing. Revolving HELOCs allow for amounts to be drawn for a period of time with the payment of interest only and then, at the end of the draw period, the then-outstanding amount is converted to an amortizing loan, or “reset” (the interest-only payment feature during the revolving period is standard for this product across the industry). Upon reset, these borrowers will be required to pay both interest, usually at a variable rate, and principal that amortizes typically over 20 years, rather than the standard 30-year amortization.

Of the Revolving HELOCs at December 31, 2016, $6.2 billion had reset (compared to $4.2 billion at December 31, 2015) and $7.8 billion were still within their revolving period and had not reset (compared to $12.3 billion at December 31, 2015). The following chart indicates the FICO and combined loan-to-value (CLTV) characteristics of Citi’s Revolving HELOCs portfolio and the year in which they reset:

North America Home Equity Lines of Credit Amortization – Citigroup

Total ENR by Reset Year

In billions of dollars as of December 31, 2016

Note: Totals may not sum due to rounding.

Approximately 44% of Citi’s total Revolving HELOCs portfolio had reset as of December 31, 2016 (compared to 25% as of December 31, 2015). Of the remaining Revolving HELOCs portfolio, approximately 42% will reset during 2017. Citi’s customers with Revolving HELOCs that reset could experience “payment shock” due to the higher required payments on the loans. Citi currently estimates that the monthly loan payment for its Revolving HELOCs that reset during 2017 could increase on average by approximately $362, or 151%. Increases in interest rates could further increase these payments given the variable nature of the interest rates on these loans post-reset. Of the Revolving HELOCs that will reset during 2017, approximately $111 million, or 3%, of the loans have a CLTV greater than 100% as of December 31, 2016. Borrowers’ high loan-to-value positions, as well as the cost and availability of refinancing options, could limit borrowers’ ability to refinance their Revolving HELOCs as these loans reset.

Approximately 6.7% of the Revolving HELOCs that have reset as of December 31, 2016 were 30+ days past due, compared to 3.9% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 6.7% and 3.2%, respectively, as of December 31, 2015. As newly amortizing loans continue to season, the delinquency rate of Citi’s total home equity loan portfolio could continue to increase. In addition, resets to date have generally occurred during a period of historically low interest rates, which Citi believes has likely reduced the overall “payment shock” to the borrower.

Citi monitors this reset risk closely and will continue to consider any potential impact in determining its allowance for loan loss reserves. In addition, management continues to review and take additional actions to offset potential reset risk, such as a borrower outreach program to provide reset risk education and proactively working with high-risk borrowers through a specialized single point of contact unit.

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GCB Commercial Banking Exposure to the Energy and Energy-Related Sector

In addition to the total corporate credit exposure to the energy and energy-related sector described under “Corporate Credit” below, Citi’s commercial banking business, reported within GCB retail banking, had total credit exposure to the energy and energy-related sector of approximately $1.9 billion as of December 31, 2016, with approximately $1.3 billion of direct outstanding funded loans, or 4%, of the total outstanding commercial banking loans. This compared to $2.0 billion and $2.4 billion of total credit exposure as of September 30, 2016 and December 31, 2015, respectively.

As of December 31, 2016, approximately 90% of commercial banking’s total credit exposure to the energy and energy-related sector was in the U.S., compared to 89% and 85% as of September 30, 2016 and December 31, 2015, respectively. Approximately 53% of commercial banking’s total energy and energy-related exposure was rated investment grade at December 31, 2016, compared to approximately 39% and 52% as of September 30, 2016 and December 31, 2015, respectively. During the fourth quarter of 2016, Citi released additional energy and energy-related loan loss reserves of approximately $51 million, and incurred net credit losses of approximately $49 million on this commercial banking portfolio. As of December 31, 2016, Citi held loan loss reserves against its funded energy and energy-related commercial banking loans equal to approximately 5.5% of these loans (compared to approximately 8.7% and 4.0% as of September 30, 2016 and December 31, 2015, respectively).

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Additional Consumer Credit Details

Consumer Loan Delinquency Amounts and Ratios

	EOP loans(1)		90+ days past due(2)									30–89 days past due(2)
	December 31,		December 31,									December 31,
In millions of dollars, except EOP loan amounts in billions	2016		2016			2015			2014			2016			2015			2014
Citicorp(3)(4)
Total	$	292.2	$	2,296		$	2,119		$	2,444		$	2,542		$	2,418		$	2,586
Ratio			0.79		%	0.77		%	0.87		%	0.87		%	0.88		%	0.92		%
Retail banking
Total	$	136.6	$	474		$	523		$	736		$	726		$	739		$	794
Ratio			0.35		%	0.37		%	0.52		%	0.53		%	0.53		%	0.56		%
North America	55.3		181			165			225			214			221			212
Ratio			0.33		%	0.32		%	0.49		%	0.39		%	0.43		%	0.46		%
Latin America	18.3		136			185			325			185			184			235
Ratio			0.74		%	0.92		%	1.53		%	1.01		%	0.92		%	1.10		%
Asia(5)	63.0		157			173			186			327			334			347
Ratio			0.25		%	0.25		%	0.25		%	0.52		%	0.49		%	0.47		%
Cards
Total	$	155.6	$	1,822		$	1,596		$	1,708		$	1,816		$	1,679		$	1,792
Ratio			1.17		%	1.17		%	1.23		%	1.17		%	1.23		%	1.29		%
North America—Citi-branded	86.0		748			538			593			688			523			568
Ratio			0.87		%	0.80		%	0.88		%	0.80		%	0.78		%	0.84		%
North America—Citi retail services	47.3		761			705			678			777			773			748
Ratio			1.61		%	1.53		%	1.46		%	1.64		%	1.68		%	1.61		%
Latin America	4.8		130			173			242			125			157			220
Ratio			2.71		%	3.20		%	3.61		%	2.60		%	2.91		%	3.28		%
Asia(5)	17.5		183			180			195			226			226			256
Ratio			1.05		%	1.02		%	1.05		%	1.29		%	1.28		%	1.38		%
Citi Holdings(6)(7)
Total	$	33.2	$	834		$	927		$	2,188		$	735		$	1,036		$	1,928
Ratio			2.62		%	1.99		%	2.69		%	2.31		%	2.23		%	2.37		%
International	2.4		94			157			225			49			179			265
Ratio			3.92		%	1.91		%	1.56		%	2.04		%	2.18		%	1.84		%
North America	30.8		740			770			1,963			686			857			1,663
Ratio			2.52		%	2.01		%	2.94		%	2.33		%	2.24		%	2.49		%
Total Citigroup	$	325.4	$	3,130		$	3,046		$	4,632		$	3,277		$	3,454		$	4,514
Ratio			0.97		%	0.94		%	1.28		%	1.01		%	1.07		%	1.25		%

(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 balances for North America—Citi-branded and North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.

(4) The 90+ days and 30–89 days past due and related ratios forCiticorp North America exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $327 million ($0.7 billion), $491 million ($1.1 billion) and $562 million ($1.1 billion) at December 31, 2016, 2015 and 2014, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $70 million, $87 million and $122 million at December 31, 2016, 2015 and 2014, respectively.

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

(6) The 90+ days and 30–89 days past due and related ratios for Citi Holdings North America exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due (and EOP loans) were $0.9 billion ($1.4 billion), $1.5 billion ($2.2 billion) and $2.2 billion ($4.0 billion) at December 31, 2016, 2015 and 2014, respectively.

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The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.2 billion, $0.2 billion and $0.5 billion at December 31, 2016, 2015 and 2014, respectively.

(7) The December 31, 2016, 2015 and 2014 loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $7 million, $11 million and $14 million, respectively, of loans that are carried at fair value.

Consumer Loan Net Credit Losses and Ratios

	Average loans(1)		Net credit losses(2)(3)(4)
In millions of dollars, except average loan amounts in billions	2016		2016			2015			2014
Citicorp
Total	$	280.0	$	5,612		$	5,752		$	6,512
Ratio			2.00		%	2.11		%	2.32		%
Retail banking
Total	$	140.5	$	1,009		$	1,058		$	1,156
Ratio			0.72		%	0.75		%	0.80		%
North America	54.3		207			150			139
Ratio			0.38		%	0.30		%	0.30		%
Latin America	19.3		541			589			699
Ratio			2.80		%	2.85		%	3.01		%
Asia(5)	66.9		261			319			318
Ratio			0.39		%	0.45		%	0.43		%
Cards
Total	$	139.5	$	4,603		$	4,694		$	5,356
Ratio			3.30		%	3.59		%	3.94		%
North America—Citi-branded	73.2		1,909			1,892			2,197
Ratio			2.61		%	2.96		%	3.31		%
North America—Retail services	43.8		1,805			1,709			1,866
Ratio			4.12		%	3.94		%	4.32		%
Latin America	5.1		499			691			816
Ratio			9.78		%	11.71		%	11.18		%
Asia(4)	17.4		390			402			477
Ratio			2.24		%	2.28		%	2.51		%
Citi Holdings(3)(4)
Total	$	41.2	$	438		$	1,306		$	2,163
Ratio			1.06		%	1.96		%	2.24		%
International	5.2		269			443			605
Ratio			5.17		%	4.43		%	3.31		%
North America	36.0		169			863			1,558
Ratio			0.47		%	1.52		%	1.97		%
Total Citigroup	$	321.2	$	6,050		$	7,058		$	8,675
Ratio			1.88		%	2.08		%	2.30		%

(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) As a result of Citigroup's entry into agreements in October 2016 to sell its Brazil and Argentina consumer banking businesses, these businesses were classified as held-for-sale (HFS) at the end of the fourth quarter 2016. Loans HFS are excluded from this table as they are recorded in Other assets. In addition, as a result of HFS accounting treatment, approximately $42 million of net credit losses (NCLs) was recorded as a reduction in revenue (Other revenue) during 2016. Accordingly, these NCLs are not included in this table.

(4) As a result of the entry into an agreement to sell OneMain Financial (OneMain), OneMain was classified as HFS beginning March 31, 2015. Loans HFS are excluded from this table as they are recorded in Other assets. In addition, as a result of HFS accounting treatment, approximately $350 million of NCLs were recorded as a reduction in revenue (Other revenue) during 2015. Accordingly, these NCLs are not included in this table. The OneMain sale was completed on November 15, 2015.

(5) Asia includes average loans and NCLs in certain EMEA countries for all periods presented.

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Loan Maturities and Fixed/Variable Pricing

U.S. Consumer Mortgages

In millions of dollars at year end 2016	Due within 1 year		Greater than 1 year but within 5 years		Greater than 5 years		Total
U.S. consumer mortgage loan portfolio
Residential first mortgages	$	100	$	682	$	54,091	$	54,873
Home equity loans	28		963		17,093		18,084
Total	$	128	$	1,645	$	71,184	$	72,957
Fixed/variable pricing of U.S. consumer mortgage loans with maturities due after one year
Loans at fixed interest rates			$	1,319	$	40,879
Loans at floating or adjustable interest rates			327		30,305
Total			$	1,646	$	71,184

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Corporate Credit

Consistent with its overall strategy, Citi’s corporate clients are typically large, multi-national corporations which value Citi’s global network. Citi aims to establish relationships with these clients that encompass multiple products, consistent with client needs, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory.

Corporate Credit Portfolio

The following table sets forth Citi’s corporate credit portfolio within ICG (excluding private bank), before consideration of collateral or hedges, by remaining tenor for the periods indicated:

	At December 31, 2016								At September 30, 2016								At December 31, 2015
In billions of dollars	Due within 1 year		Greater than 1 year but within 5 years		Greater than 5 years		Total exposure		Due within 1 year		Greater than 1 year but within 5 years		Greater than 5 years		Total exposure		Due within 1 year		Greater than 1 year but within 5 years		Greater than 5 years		Total exposure
Direct outstandings (on-balance sheet)(1)	$	109	$	94	$	22	$	225	$	109	$	102	$	24	$	235	$	98	$	97	$	25	$	220
Unfunded lending commitments (off-balance sheet)(2)	103		218		23		344		102		209		27		338		99		231		26		356
Total exposure	$	212	$	312	$	45	$	569	$	211	$	311	$	51	$	573	$	197	$	328	$	51	$	576

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

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

Portfolio Mix—Geography, Counterparty and Industry

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

	December 31, 2016		September 30, 2016		December 31, 2015
North America	55	%	54	%	56	%
EMEA	26		26		25
Asia	12		12		12
Latin America	7		8		7
Total	100	%	100	%	100	%

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

Citigroup also has incorporated climate risk assessment and reporting criteria for certain obligors, as necessary. Factors evaluated include consideration of climate risk to an

obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.

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

	Total exposure
	December 31, 2016		September 30, 2016		December 31, 2015
AAA/AA/A	48	%	49	%	48	%
BBB	34		34		35
BB/B	16		15		15
CCC or below	2		2		2
Total	100	%	100	%	100	%

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

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

	Total exposure
	December 31, 2016		September 30, 2016		December 31, 2015
Transportation and   industrial	22	%	21	%	20	%
Consumer retail and health	16		16		16
Technology, media   and telecom	12		11		12
Power, chemicals, commodities and metals and mining	11		11		11
Energy(1)	9		8		9
Real estate	7		7		6
Banks/broker-dealers/finance companies	6		6		7
Hedge funds	5		5		5
Insurance and special purpose entities	5		5		5
Public sector	5		5		5
Other industries	2		5		4
Total	100	%	100	%	100	%

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

(1) In addition to this exposure, Citi has energy-related exposure within the “Public sector” (e.g., energy-related state-owned entities) and “Transportation and industrial” sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2016, Citi’s total exposure to these energy-related entities remained largely consistent with the prior quarter, at approximately $7 billion, of which approximately $4 billion consisted of direct outstanding funded loans.

Exposure to the Energy and Energy-Related Sector

As of December 31, 2016, Citi’s total corporate credit exposure to the energy and energy-related sector (see footnote 1 to the table above) was $55.2 billion, with $19.8 billion consisting of direct outstanding funded loans, or 3% of Citi’s total outstanding loans. This compared to $55.0 billion and $58.0 billion of total exposure and $20.6 billion and $21.0 billion of funded loans as of September 30, 2016 and December 31, 2015, respectively. In addition, as of December 31, 2016, approximately 72% of ICG’s total corporate credit energy and energy-related exposure was in the United States, United Kingdom and Canada(unchanged from September 30, 2016 and December 31, 2015). Also, as of December 31, 2016, approximately 76% of Citi’s total energy and energy-related exposures were rated investment grade (compared to approximately 74% and 80% as of September 30, 2016 and December 31, 2015, respectively).

During the fourth quarter of 2016, Citi released $62 million of energy and energy-related loan loss reserves and recognized $32 million of net credit losses in the energy and energy-related loan portfolio. As of December 31, 2016, Citi held loan loss reserves against its funded energy and energy-

related loans equal to approximately 3.8% of these loans (down slightly from 4.0% as of September 30, 2016 and unchanged from 3.8% as of December 31, 2015), with a funded reserve ratio of approximately 10.4% on the non-investment grade portion of the portfolio (down slightly from 10.6% as of September 30, 2016 and up from 10.3% as of December 31, 2015).

For information on Citi’s energy and energy-related exposures within GCB’s commercial banking business within retail banking, see “Consumer Credit—GCB Commercial Banking Exposure to the Energy and Energy-Related Sector” above.

Exposure to Banks, Broker-Dealers and Finance Companies

As of December 31, 2016, Citi’s total corporate credit exposure to banks, broker-dealers and finance companies was approximately $36.5 billion, of which $25.1 billion represented direct outstanding funded loans, or 4% of Citi’s total outstanding loans. This compared to $35.5 billion and $38.5 billion of total exposure and $24.9 billion and $27.5 billion of funded loans as of September 30, 2016 and December 31, 2015, respectively. Also as of December 31, 2016, September 30, 2016 and December 31, 2015, approximately 77%, 78% and 83%, respectively, of Citi’s banks, broker-dealers and finance companies total corporate credit exposure was rated investment grade.

Included in the amounts above, as of December 31, 2016, September 30, 2016 and December 31, 2015, Citi’s total corporate credit exposure to banks was approximately $24.3 billion, $23.8 billion and $26.1 billion, respectively, with approximately $19.0 billion, $18.5 billion and $20.7 billion, respectively, consisting of direct outstanding funded loans. As of December 31, 2016, the direct outstanding loans to banks represented approximately 3% of Citi’s total outstanding loans. Of the approximately $24.3 billion as of December 31, 2016, approximately 30% related to Asia, 26% related to EMEA, 20% related to North America and 24% related to Latin America. Approximately two-thirds of Citi’s total corporate credit exposure to banks had a tenor of less than 12 months as of December 31, 2016.

In addition to the amounts above, Citi has additional exposure to banks, broker-dealers and finance companies in the form of derivatives and securities financing transactions, which are typically executed as repurchase and reverse repurchase agreements or securities loaned or borrowed arrangements. As of December 31, 2016, September 30, 2016 and December 31, 2015, Citi had net derivative credit exposure to banks, broker-dealers and finance companies of approximately $9.6 billion, $9.0 billion and $5.0 billion, respectively, after the application of netting arrangements, legally enforceable margin agreements and other collateral arrangements. The collateral considered as part of the net derivative credit exposure was represented primarily by high quality, liquid assets. As of December 31, 2016, September 30, 2016 and December 31, 2015, Citi had net credit exposure to banks, broker-dealers and finance companies in the form of securities financing transactions of approximately $4.8 billion, $5.0 billion and $7.0 billion, respectively, after the application of netting and collateral arrangements. The collateral

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considered in the net exposure for the securities financing transactions exposure was primarily cash and highly liquid investment grade securities.

Credit Risk Mitigation

As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Other revenue on the Consolidated Statement of Income.

As of December 31, 2016, September 30, 2016 and December 31, 2015, $29.5 billion, $37.8 billion and $34.5 billion, respectively, of the corporate credit portfolio was economically hedged. Citigroup’s expected loss model used in the calculation of its loan loss reserve 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 corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure

	December 31, 2016		September 30, 2016		December 31, 2015
AAA/AA/A	16	%	20	%	21	%
BBB	49		53		48
BB/B	31		24		27
CCC or below	4		3		4
Total	100	%	100	%	100	%

The credit protection was economically hedging underlying corporate credit portfolio exposures with the following industry distribution:

Industry of Hedged Exposure

	December 31, 2016		September 30, 2016		December 31, 2015
Transportation and industrial	29	%	28	%	28	%
Energy	20		16		13
Technology, media and telecom	13		14		16
Power, chemicals, commodities and metals and mining	12		12		12
Consumer retail and health	10		16		17
Public sector	5		4		4
Banks/broker-dealers	4		3		4
Insurance and special purpose entities	3		3		5
Other industries	4		4		1
Total	100	%	100	%	100	%

Loan Maturities and Fixed/Variable Pricing of Corporate

Loans

In millions of dollars at December 31, 2016	Due within 1 year		Over 1 year but within 5 years		Over 5 years		Total
Corporate loans
In U.S. offices
Commercial and industrial loans	$	21,851	$	15,799	$	11,936	$	49,586
Financial institutions	15,652		11,316		8,549		35,517
Mortgage and real estate	17,051		12,327		9,313		38,691
Installment, revolving credit and other	15,203		10,993		8,305		34,501
Lease financing	669		484		365		1,518
In offices outside the U.S.	93,993		35,808		10,093		139,894
Total corporate loans	$	164,419	$	86,727	$	48,561	$	299,707
Fixed/variable pricing of corporate loans with maturities due after one year(1)
Loans at fixed interest rates			$	11,017	$	13,065
Loans at floating or adjustable interest rates			75,710		35,496
Total			$	86,727	$	48,561

(1) Based on contractual terms. Repricing characteristics may effectively

be modified from time to time using derivative contracts. See Note 22

to the Consolidated Financial Statements.

80

Additional Consumer and Corporate Credit Details

Loans Outstanding

	December 31,
In millions of dollars	2016			2015			2014			2013			2012
Consumer loans
In U.S. offices
Mortgage and real estate(1)	$	72,957		$	80,281		$	96,533		$	108,453		$	125,946
Installment, revolving credit and other	3,395			3,480			14,450			13,398			14,070
Cards	132,654			112,800			112,982			115,651			111,403
Commercial and industrial	7,159			6,407			5,895			6,592			5,344
	$	216,165		$	202,968		$	229,860		$	244,094		$	256,763
In offices outside the U.S.
Mortgage and real estate(1)	$	42,803		$	47,062		$	54,462		$	55,511		$	54,709
Installment, revolving credit and other	24,887			29,480			31,128			33,182			33,958
Cards	23,783			27,342			32,032			36,740			40,653
Commercial and industrial	16,871			17,741			18,594			20,623			19,415
Lease financing	81			362			546			710			747
	$	108,425		$	121,987		$	136,762		$	146,766		$	149,482
Total consumer loans	$	324,590		$	324,955		$	366,622		$	390,860		$	406,245
Unearned income(2)	776			830			(679		)	(567		)	(411		)
Consumer loans, net of unearned income	$	325,366		$	325,785		$	365,943		$	390,293		$	405,834
Corporate loans
In U.S. offices
Commercial and industrial	$	49,586		$	46,011		$	39,542		$	36,993		$	30,586
Loans to financial institutions	35,517			36,425			36,324			25,130			18,179
Mortgage and real estate(1)	38,691			32,623			27,959			25,075			21,052
Installment, revolving credit and other	34,501			33,423			29,246			34,467			32,478
Lease financing	1,518			1,780			1,758			1,647			1,410
	$	159,813		$	150,262		$	134,829		$	123,312		$	103,705
In offices outside the U.S.
Commercial and industrial	$	81,579		$	82,358		$	83,206		$	86,147		$	85,748
Loans to financial institutions	26,886			28,704			33,269			38,372			37,739
Mortgage and real estate(1)	5,363			5,106			6,031			6,274			6,485
Installment, revolving credit and other	19,965			20,853			19,259			18,714			14,959
Lease financing	251			303			419			586			639
Governments and official institutions	5,850			4,911			2,236			2,341			1,159
	$	139,894		$	142,235		$	144,420		$	152,434		$	146,729
Total corporate loans	$	299,707		$	292,497		$	279,249		$	275,746		$	250,434
Unearned income(3)	(704		)	(665		)	(557		)	(567		)	(804		)
Corporate loans, net of unearned income	$	299,003		$	291,832		$	278,692		$	275,179		$	249,630
Total loans—net of unearned income	$	624,369		$	617,617		$	644,635		$	665,472		$	655,464
Allowance for loan losses—on drawn exposures	(12,060		)	(12,626		)	(15,994		)	(19,648		)	(25,455		)
Total loans—net of unearned income  and allowance for credit losses	$	612,309		$	604,991		$	628,641		$	645,824		$	630,009
Allowance for loan losses as a percentage of total loans— net of unearned income(4)	1.94		%	2.06		%	2.50		%	2.97		%	3.92		%
Allowance for consumer loan losses as a percentage of total consumer loans—net of unearned income(4)	2.88		%	3.02		%	3.70		%	4.36		%	5.58		%
Allowance for corporate loan losses as a percentage of total corporate loans—net of unearned income(4)	0.91		%	0.97		%	0.90		%	0.99		%	1.17		%

(1) Loans secured primarily by real estate.

(2) Unearned income on consumer loans primarily represents unamortized origination fees, costs, premiums and discounts. Prior to December 31, 2015, these items were more than offset by prepaid interest on loans outstanding issued by OneMain Financial. The sale of OneMain Financial was completed on November 15, 2015.

(3) Unearned income on corporate loans primarily represents interest received in advance but not yet earned on loans originated on a discount basis.

(4) All periods exclude loans that are carried at fair value.

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Details of Credit Loss Experience

In millions of dollars	2016			2015			2014			2013			2012
Allowance for loan losses at beginning of period	$	12,626		$	15,994		$	19,648		$	25,455		$	30,115
Provision for loan losses
Consumer	$	6,323		$	6,228		$	6,695		$	7,587		$	10,312
Corporate	426			880			133			17			146
	$	6,749		$	7,108		$	6,828		$	7,604		$	10,458
Gross credit losses
Consumer
In U.S. offices(1)(2)	$	4,970		$	5,500		$	6,780		$	8,402		$	12,226
In offices outside the U.S.	2,674			3,192			3,870			3,922			4,107
Corporate
Commercial and industrial, and other
In U.S. offices	274			112			66			125			154
In offices outside the U.S.	254			182			314			220			337
Loans to financial institutions
In U.S. offices	5			—			2			2			33
In offices outside the U.S.	5			4			13			7			68
Mortgage and real estate
In U.S offices	34			8			8			62			59
In offices outside the U.S.	6			43			55			29			21
	$	8,222		$	9,041		$	11,108		$	12,769		$	17,005
Credit recoveries(3)
Consumer
In U.S. offices	$	980		$	975		$	1,122		$	1,073		$	1,302
In offices outside the U.S.	614			659			853			1,008			1,068
Corporate
Commercial and industrial, and other
In U.S. offices	23			22			64			62			243
In offices outside the U.S.	41			67			84			109			82
Loans to financial institutions
In U.S. offices	1			7			1			1			—
In offices outside the U.S.	1			2			11			20			43
Mortgage and real estate
In U.S. offices	1			7			—			31			17
In offices outside the U.S.	—			—			—			2			19
	$	1,661		$	1,739		$	2,135		$	2,306		$	2,774
Net credit losses
In U.S. offices	$	4,278		$	4,609		$	5,669		$	7,424		$	10,910
In offices outside the U.S.	2,283			2,693			3,304			3,039			3,321
Total	$	6,561		$	7,302		$	8,973		$	10,463		$	14,231
Other—net(4)(5)(6)(7)(8)(9)(10)	$	(754	)	$	(3,174	)	$	(1,509	)	$	(2,948	)	$	(887	)
Allowance for loan losses at end of period	$	12,060		$	12,626		$	15,994		$	19,648		$	25,455
Allowance for loan losses as a percentage of total loans(11)	1.94		%	2.06		%	2.50		%	2.97		%	3.92		%
Allowance for unfunded lending commitments(10)(12)	$	1,418		$	1,402		$	1,063		$	1,229		$	1,119
Total allowance for loan losses and unfunded lending commitments	$	13,478		$	14,028		$	17,057		$	20,877		$	26,574
Net consumer credit losses	$	6,050		$	7,058		$	8,675		$	10,243		$	13,963
As a percentage of average consumer loans	1.88		%	2.08		%	2.31		%	2.63		%	3.42		%
Net corporate credit losses	$	511		$	244		$	298		$	220		$	268

82

As a percentage of average corporate loans	0.17		%	0.08		%	0.11		%	0.09		%	0.11		%
Allowance for loan losses at end of period(13)
Citicorp	$	10,721		$	10,331		$	10,809		$	12,410		$	13,775
Citi Holdings	1,339			2,295			5,185			7,238			11,680
Total Citigroup	$	12,060		$	12,626		$	15,994		$	19,648		$	25,455
Allowance by type
Consumer	$	9,358		$	9,835		$	13,547		$	16,974		$	22,585
Corporate	2,702			2,791			2,447			2,674			2,870
Total Citigroup	$	12,060		$	12,626		$	15,994		$	19,648		$	25,455

(1) 2012 includes approximately $635 million of incremental charge-offs related to the Office of the Comptroller of the Currency (OCC) guidance issued in the third quarter of 2012, which required mortgage loans to borrowers that have gone through Chapter 7 U.S. Bankruptcy Code to be written down to collateral value. There was a corresponding approximate $600 million release in the third quarter of 2012 Allowance for loan losses related to these charge-offs. 2012 also includes a benefit to charge-offs of approximately $40 million related to finalizing the impact of the OCC guidance in the fourth quarter of 2012.

(2) 2012 includes approximately $370 million of incremental charge-offs related to previously deferred principal balances on modified loans in the first quarter of 2012. These charge-offs were related to anticipated forgiveness of principal in connection with the national mortgage settlement. There was a corresponding approximate $350 million reserve release in the first quarter of 2012 related to these charge-offs.

(3) Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.

(4) 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.

(5) 2016 includes reductions of approximately $574 million related to the sale or transfer to held-for-sale (HFS) of various loan portfolios, which includes approximately $106 million related to the transfer of various real estate loan portfolios to HFS. Additionally, 2016 includes a reduction of approximately $199 million related to FX translation.

(6) 2015 includes reductions of approximately $2.4 billion related to the sale or transfer to held-for-sale (HFS) of various loan portfolios, which includes approximately $1.5 billion related to the transfer of various real estate loan portfolios to HFS. Additionally, 2015 includes a reduction of approximately $474 million related to FX translation.

(7) 2014 includes reductions of approximately $1.1 billion related to the sale or transfer to HFS of various loan portfolios, which includes approximately $411 million related to the transfer of various real estate loan portfolios to HFS, approximately $204 million related to the transfer to HFS of a business in Greece, approximately $177 million related to the transfer to HFS of a business in Spain, approximately $29 million related to the transfer to HFS of a business in Honduras, and approximately $108 million related to the transfer to HFS of various EMEA loan portfolios. Additionally, 2014 includes a reduction of approximately $463 million related to FX translation.

(8) 2013 includes reductions of approximately $2.4 billion related to the sale or transfer to HFS of various loan portfolios, which includes approximately $360 million related to the sale of Credicard and approximately $255 million related to a transfer to HFS of a loan portfolio in Greece, approximately $230 million related to a non-provision transfer of reserves associated with deferred interest to other assets which includes deferred interest and approximately $220 million related to FX translation.

(9) 2012 includes reductions of approximately $875 million related to the sale or transfer to HFS of various U.S. loan portfolios.

(10) 2015 includes a reclassification of $271 million of Allowance for loan losses to allowance for unfunded lending commitments, included in the Other line item. This reclassification reflects the re-attribution of $271 million in allowance for credit losses between the funded and unfunded portions of the corporate credit portfolios and does not reflect a change in the underlying credit performance of these portfolios.

(11) December 31, 2016, December 31, 2015, December 31, 2014, December 31, 2013 and December 31, 2012 exclude $3.5 billion, $5.0 billion, $5.9 billion, $5.0 billion and $5.3 billion, respectively, of loans which are carried at fair value.

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

(13) Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and troubled debt restructurings. See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements below. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.

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Allowance for Loan Losses

The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios:

	December 31, 2016
In billions of dollars	Allowance for loan losses		Loans, net of unearned income		Allowance as a percentage of loans(1)
North America cards(2)	$	5.2	$	133.3	3.9	%
North America mortgages(3)	1.1		72.6		1.5
North America other	0.5		13.6		3.7
International cards	1.2		23.1		5.2
International other(4)	1.4		82.8		1.7
Total consumer	$	9.4	$	325.4	2.9	%
Total corporate	2.7		299.0		0.9
Total Citigroup	$	12.1	$	624.4	1.9	%

(1) Allowance as a percentage of loans excludes loans that are carried at fair value.

(2) Includes both Citi-branded cards and Citi retail services. The $5.2 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.

(3) Of the $1.1 billion, approximately $1.0 billion was allocated to North America mortgages in Citi Holdings. Of the $1.1 billion, approximately $0.4 billion and $0.7 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $72.6 billion in loans, approximately $67.7 billion and $4.8 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 15 to the Consolidated Financial Statements.

(4) Includes mortgages and other retail loans.

	December 31, 2015
In billions of dollars	Allowance for loan losses		Loans, net of unearned income		Allowance as a percentage of loans(1)
North America cards(2)	$	4.5	$	113.4	4.0	%
North America mortgages(3)	1.7		79.6		2.1
North America other	0.5		13.0		3.8
International cards	1.6		26.7		6.0
International other(4)	1.5		93.1		1.6
Total consumer	$	9.8	$	325.8	3.0	%
Total corporate	2.8		291.8		1.0
Total Citigroup	$	12.6	$	617.6	2.1	%

(1) Allowance as a percentage of loans excludes loans that are carried at fair value.

(2) Includes both Citi-branded cards and Citi retail services. The $4.5 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.

(3) Of the $1.7 billion, approximately $1.6 billion was allocated to North America mortgages in Citi Holdings. Of the $1.7 billion, approximately $0.6 billion and $1.1 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $79.6 billion in loans, approximately $72.3 billion and $7.1 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 15 to the Consolidated Financial Statements.

(4) Includes mortgages and other retail loans.

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Non-Accrual Loans and Assets and Renegotiated Loans

There is a certain amount of overlap among non-accrual loans and assets and renegotiated loans. The following summary provides a general description of each category:

Non-Accrual Loans and Assets:

• Corporate and consumer (including commercial banking) non-accrual status is based on the determination that payment of interest or principal is doubtful.

• A corporate loan may be classified as non-accrual and still be performing under the terms of the loan structure. Payments received on corporate non-accrual loans are generally applied to loan principal and not reflected as interest income. Approximately 64%, 67% and 54% of Citi’s corporate non-accrual loans were performing at December 31, 2016, September 30, 2016 and December 31, 2015, respectively.

• Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments.

• Mortgage loans in regulated bank entities discharged through Chapter 7 bankruptcy, other than FHA insured loans, are classified as non-accrual. Non-bank mortgage loans discharged through Chapter 7 bankruptcy are classified as non-accrual at 90 days or more past due. In addition, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage loan is 90 days or more past due.

• North America Citi-branded cards and Citi retail services are not included because, under industry standards, credit card loans accrue interest until such loans are charged off, which typically occurs at 180 days contractual delinquency.

Renegotiated Loans:

• Includes both corporate and consumer loans whose terms have been modified in a troubled debt restructuring (TDR).

• Includes both accrual and non-accrual TDRs.

85

Non-Accrual Loans

The table below summarizes Citigroup’s non-accrual loans as of the periods indicated. Non-accrual loans may still be current on interest payments. In situations where Citi reasonably expects that only a portion of the principal owed

will ultimately be collected, all payments received are reflected as a reduction of principal and not as interest income. For all other non-accrual loans, cash interest receipts are generally recorded as revenue.

	December 31,
In millions of dollars	2016		2015		2014		2013		2012
Citicorp	$	3,858	$	2,991	$	2,884	$	3,660	$	3,734
Citi Holdings	1,721		2,263		4,223		5,343		7,796
Total non-accrual loans	$	5,579	$	5,254	$	7,107	$	9,003	$	11,530
Corporate non-accrual loans(1)(2)
North America	$	984	$	818	$	321	$	735	$	735
EMEA	904		347		285		812		1,195
Latin America	379		303		417		132		125
Asia	154		128		179		279		339
Total corporate non-accrual loans	$	2,421	$	1,596	$	1,202	$	1,958	$	2,394
Citicorp	$	2,376	$	1,543	$	1,145	$	1,630	$	1,971
Citi Holdings	45		53		57		328		423
Total corporate non-accrual loans	$	2,421	$	1,596	$	1,202	$	1,958	$	2,394
Consumer non-accrual loans(1)(3)
North America	$	2,160	$	2,515	$	4,411	$	5,239	$	7,150
Latin America	711		874		1,188		1,420		1,288
Asia(4)	287		269		306		386		698
Total consumer non-accrual loans	$	3,158	$	3,658	$	5,905	$	7,045	$	9,136
Citicorp	$	1,482	$	1,448	$	1,739	$	2,030	$	1,763
Citi Holdings	1,676		2,210		4,166		5,015		7,373
Total consumer non-accrual loans	$	3,158	$	3,658	$	5,905	$	7,045	$	9,136

(1) Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $187 million at December 31, 2016, $250 million at December 31, 2015, $421 million at December 31, 2014, $703 million at December 31, 2013 and $537 million at December 31, 2012.

(2) The increase in corporate non-accrual loans from December 31, 2015 to December 31, 2016 was primarily related to Citi’s North America and EMEA energy and energy-related corporate credit exposure during 2016. For additional information, see “Corporate Credit Details” above.

(3) 2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans, held-for-sale (HFS) (included within Other assets).

(4) Asia includes balances in certain EMEA countries for all periods presented.

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

	Year ended									Year ended
	December 31, 2016									December 31, 2015
In millions of dollars	Corporate			Consumer			Total			Corporate			Consumer			Total
Non-accrual loans at beginning of period	$	1,596		$	3,658		$	5,254		$	1,202		$	5,905		$	7,107
Additions	2,713			4,460			7,173			1,318			5,219			6,537
Sales and transfers to held-for-sale	(82		)	(738		)	(820		)	(222		)	(2,249		)	(2,471		)
Returned to performing	(150		)	(606		)	(756		)	(64		)	(1,080		)	(1,144		)
Paydowns/settlements	(1,198		)	(1,648		)	(2,846		)	(459		)	(1,255		)	(1,714		)
Charge-offs	(386		)	(1,855		)	(2,241		)	(145		)	(2,659		)	(2,804		)
Other	(72		)	(113		)	(185		)	(34		)	(223		)	(257		)
Ending balance	$	2,421		$	3,158		$	5,579		$	1,596		$	3,658		$	5,254

86

Non-Accrual Assets

The table below summarizes Citigroup’s other real estate owned (OREO) assets as of the periods indicated. 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:

	December 31,
In millions of dollars	2016			2015			2014			2013			2012
OREO(1)
Citicorp	$	86		$	70		$	90		$	71		$	35
Citi Holdings	100			139			170			345			406
Total OREO	$	186		$	209		$	260		$	416		$	441
North America	$	161		$	166		$	196		$	304		$	299
EMEA	—			1			7			59			99
Latin America	18			38			47			47			41
Asia	7			4			10			6			2
Total OREO	$	186		$	209		$	260		$	416		$	441
Other repossessed assets	$	—		$	—		$	—		$	—		$	1
Non-accrual assets—Total Citigroup
Corporate non-accrual loans	$	2,421		$	1,596		$	1,202		$	1,958		$	2,394
Consumer non-accrual loans(2)	3,158			3,658			5,905			7,045			9,136
Non-accrual loans (NAL)	$	5,579		$	5,254		$	7,107		$	9,003		$	11,530
OREO	$	186		$	209		$	260		$	416		$	441
Non-accrual assets (NAA)	$	5,765		$	5,463		$	7,367		$	9,419		$	11,972
NAL as a percentage of total loans	0.89		%	0.85		%	1.10		%	1.35		%	1.76		%
NAA as a percentage of total assets	0.32			0.32			0.40			0.50			0.64
Allowance for loan losses as a percentage of NAL(3)	216			240			225			218			221

	December 31,
Non-accrual assets—Total Citicorp	2016			2015			2014			2013			2012
Non-accrual loans (NAL)	$	3,858		$	2,991		$	2,884		$	3,660		$	3,734
OREO	86			70			90			71			35
Non-accrual assets (NAA)	$	3,944		$	3,061		$	2,974		$	3,731		$	3,769
NAA as a percentage of total assets	0.23		%	0.19		%	0.17		%	0.22		%	0.23		%
Allowance for loan losses as a percentage of NAL(3)	278			345			375			339			369
Non-accrual assets—Total Citi Holdings
Non-accrual loans (NAL)(2)	$	1,721		$	2,263		$	4,223		$	5,343		$	7,796
OREO	100			139			170			345			406
Non-accrual assets (NAA)	$	1,821		$	2,402		$	4,393		$	5,688		$	8,202
NAA as a percentage of total assets	3.37		%	2.97		%	3.18		%	3.47		%	3.89		%
Allowance for loan losses as a percentage of NAL(3)	78			101			123			135			150

(1) Reflects a decrease of $130 million related to the adoption of ASU 2014-14 in the fourth quarter of 2014, which requires certain government guaranteed mortgage loans to be recognized as separate other receivables upon foreclosure. Prior periods have not been restated.

(2) 2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans, held-for-sale (HFS) (included within Other assets).

(3) The allowance for loan losses includes the allowance for Citi’s credit card portfolios and purchased distressed loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios) and purchased distressed loans as these continue to accrue interest until charge-off.

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Renegotiated Loans

The following table presents Citi’s loans modified in TDRs.

In millions of dollars	Dec. 31, 2016		Dec. 31, 2015
Corporate renegotiated loans(1)
In U.S. offices
Commercial and industrial(2)	$	89	$	25
Mortgage and real estate(3)	84		104
Loans to financial institutions	9		5
Other	228		273
	$	410	$	407
In offices outside the U.S.
Commercial and industrial(2)	$	319	$	111
Mortgage and real estate(3)	3		33
Other	—		45
	$	322	$	189
Total corporate renegotiated loans	$	732	$	596
Consumer renegotiated loans(4)(5)(6)(7)
In U.S. offices
Mortgage and real estate(8)	$	4,695	$	7,058
Cards	1,313		1,396
Installment and other	117		79
	$	6,125	$	8,533
In offices outside the U.S.
Mortgage and real estate	$	447	$	517
Cards	435		555
Installment and other	443		471
	$	1,325	$	1,543
Total consumer renegotiated loans	$	7,450	$	10,076

(1) Includes $445 million and $258 million of non-accrual loans included in the non-accrual loans table above at December 31, 2016 and December 31, 2015, respectively. The remaining loans are accruing interest.

(2) In addition to modifications reflected as TDRs at December 31, 2016 and December 31, 2015, Citi also modified $257 million and $173 million, respectively, and $217 million and $17 million, respectively, of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices inside and outside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession (a required element of a TDR for accounting purposes).

(3) In addition to modifications reflected as TDRs at December 31, 2015, Citi also modified $22 million of commercial real estate loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices inside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession (a required element of a TDR for accounting purposes). There were no such non-TDR modifications in 2016.

(4) Includes $1,502 million and $1,852 million of non-accrual loans included in the non-accrual loans table above at December 31, 2016 and 2015, respectively. The remaining loans are accruing interest.

(5) Includes $58 million and $96 million of commercial real estate loans at December 31, 2016 and 2015, respectively.

(6) Includes $105 million and $85 million of other commercial loans at December 31, 2016 and 2015, respectively.

(7) Smaller-balance homogeneous loans were derived from Citi’s risk management systems.

(8) Reduction in 2016 includes $1,818 million related to TDRs sold or transferred to held-for-sale.

Forgone Interest Revenue on Loans⁽¹⁾ 

In millions of dollars	In U.S. offices		In non- U.S. offices		2016 total
Interest revenue that would have been accrued at original contractual rates(2)	$	798	$	514	$	1,312
Amount recognized as interest revenue(2)	342		171		513
Forgone interest revenue	$	456	$	343	$	799

(1) Relates to corporate non-accrual loans, renegotiated loans and consumer loans on which accrual of interest has been suspended.

(2) Interest revenue in offices outside the U.S. may reflect prevailing local interest rates, including the effects of inflation and monetary correction in certain countries.

88

LIQUIDITY RISK

Overview

Adequate and diverse sources of funding and liquidity are essential to Citi’s businesses.  Funding and liquidity risks arise from several factors, many of which are mostly or entirely outside Citi’s control, such as disruptions in the financial markets, changes in key funding sources, credit spreads, changes in Citi’s credit ratings and political and economic conditions in certain countries. For additional information, see “Risk Factors” above.

Citi’s funding and liquidity objectives are aimed at (i) funding its existing asset base; (ii) growing its core businesses in Citicorp; (iii) maintaining sufficient liquidity, structured appropriately, so that Citi can operate under a variety of adverse circumstances, including potential firm-specific and/or market liquidity events in varying durations and severity; and (iv) satisfying regulatory requirements. Citigroup’s primary liquidity objectives are established by entity, and in aggregate, across two major categories:

• Citibank; and

• the non-bank and other, which includes the parent holding company (Citigroup), Citi’s broker-dealer subsidiaries and other non-bank subsidiaries that are consolidated into Citigroup, as well as Citibanamex and Citibank (Switzerland) AG.

At an aggregate level, Citigroup’s goal is to maintain sufficient funding in amount and tenor to fully fund customer assets and to provide an appropriate amount of cash and high-quality liquid assets (as discussed further below), even in times of stress. The liquidity risk management framework provides that certain entities be self-sufficient or net providers of liquidity, including in conditions established under their designated stress tests.

Citi’s primary sources of funding include (i) deposits via Citi’s bank subsidiaries, which are Citi’s most stable and lowest cost source of long-term funding, (ii) long-term debt (primarily senior and subordinated debt) primarily issued at the parent and certain bank subsidiaries, and (iii) stockholders’ equity. These sources may be supplemented by short-term borrowings, primarily in the form of secured funding transactions.

As referenced above, Citigroup works to ensure that the structural tenor of these funding sources is sufficiently long in relation to the tenor of its asset base. The goal of Citi’s asset/liability management is to ensure that there is excess tenor in the liability structure relative to the liquidity profile of the assets. This reduces the risk that liabilities will become due before asset maturities or monetizations through sale, and in turn generates liquidity. This liquidity is held primarily in the form of high-quality liquid assets (HQLA), as set forth in the table below.

Citi’s Treasurer has overall responsibility for management of Citi’s HQLA. Citi’s liquidity is managed via a centralized treasury model by Corporate Treasury, in conjunction with regional and in-country treasurers. Pursuant to this approach, Citi’s HQLA is managed with emphasis on asset-liability management and entity-level liquidity adequacy throughout Citi.

Citi’s Chief Risk Officer is responsible for the overall risk profile of Citi’s HQLA. The Chief Risk Officer and Citi’s CFO co-chair Citi’s Asset Liability Management Committee (ALCO), which includes Citi’s Treasurer and other senior executives. ALCO sets the strategy of the liquidity portfolio and monitors its performance. Significant changes to portfolio asset allocations need to be approved by ALCO.

High-Quality Liquid Assets (HQLA)

	Citibank						Non-bank and Other(1)						Total
In billions of dollars	Dec. 31, 2016		Sept. 30, 2016		Dec. 31, 2015		Dec. 31, 2016		Sept. 30, 2016		Dec. 31, 2015		Dec. 31, 2016		Sept. 30, 2016		Dec. 31, 2015
Available cash	$	68.3	$	71.1	$	52.4	$	19.8	$	19.2	$	16.9	$	88.1	$	90.2	$	69.3
U.S. sovereign	123.0		122.3		110.0		22.5		21.8		32.4		145.5		144.1		142.4
U.S. agency/agency MBS	61.7		62.6		63.9		0.6		0.2		1.0		62.3		62.8		64.9
Foreign government debt(2)	87.9		89.2		84.8		15.6		15.5		14.9		103.5		104.7		99.7
Other investment grade	0.3		1.0		1.0		1.2		1.5		1.2		1.5		2.5		2.2
Total HQLA (EOP)	$	341.2	$	346.2	$	312.1	$	59.7	$	58.2	$	66.4	$	400.9	$	404.3	$	378.5
Total HQLA (AVG)	$	345.7	$	344.0	$	325.8	$	58.0	$	59.8	$	63.4	$	403.7	$	403.8	$	389.2

Note: Except as indicated, amounts set forth in the table above are as of period end and may increase or decrease intra-period in the ordinary course of business. For securities, the amounts represent the liquidity value that potentially could be realized, and thus exclude any securities that are encumbered, as well as the haircuts that would be required for securities financing transactions. The Federal Reserve Board adopted final rules requiring disclosure of HQLA, the Liquidity Coverage Ratio and related components on an average basis each quarter, as compared to end-of-period starting on April 1, 2017 (for additional information, see “Liquidity Coverage Ratio (LCR)” below). Citi has presented in this Form 10-K the average information on these metrics currently available, which includes average total HQLA, average LCR and average net outflows under the LCR; other component information is not currently available.

(1) Citibanamex and Citibank (Switzerland) AG account for approximately $5 billion of the “Non-Bank and Other” HQLA balance as of December 31, 2016.

(2) 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 Hong Kong, Taiwan, Korea, Singapore, India, Brazil and Mexico.

89

As set forth in the table above, sequentially, Citi’s total HQLA decreased on an end-of-period basis and remained largely unchanged on an average basis. The end-of-period decrease was driven primarily bya slight decline in deposits.

Citi’s HQLA as set forth above does not include Citi’s available borrowing capacity from the Federal Home Loan Banks (FHLB) of which Citi is a member, which was approximately $21 billion as of December 31, 2016 (compared to $24 billion as of September 30, 2016 and $36 billion as of December 31, 2015) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.

In general, Citi’s liquidity is fungible across legal entities within its bank group. Citi’s bank subsidiaries, including Citibank, can lend to the Citi parent and broker-dealer entities in accordance with Section 23A of the Federal Reserve Act. As of December 31, 2016, the capacity available for lending to these entities under Section 23A was approximately $15 billion, unchanged from September 30, 2016 and compared to $17 billion as of December 31, 2015, subject to certain eligible non-cash collateral requirements.

Loans

As part of its funding and liquidity objectives, Citi seeks to fund its existing asset base appropriately as well as maintain sufficient liquidity to grow its core businesses in Citicorp, including its loan portfolio. Citi maintains a diversified portfolio of loans to its consumer and institutional clients. The table below sets forth the end-of-period loans, by business and/or segment, and the total average loans for each of the periods indicated:

In billions of dollars	Dec. 31, 2016		Sept. 30, 2016		Dec. 31, 2015
Global Consumer Banking
North America	$	188.6	$	180.0	$	165.5
Latin America	23.1		23.9		25.5
Asia(1)	80.5		85.8		86.0
Total	$	292.2	$	289.7	$	277.0
Institutional Clients Group
Corporate lending	115.4		120.8		118.5
Treasury and trade solutions (TTS)	71.9		72.3		71.4
Private bank, Markets and securities services and other	111.6		116.5		101.7
Total	$	298.9	$	309.6	$	291.6
Total Citicorp	591.1		599.3		568.6
Total Citi Holdings	33.3		39.1		49.0
Total Citigroup loans (EOP)	$	624.4	$	638.4	$	617.6
Total Citigroup loans (AVG)	$	626.0	$	635.8	$	625.0

(1) Includes loans in certain EMEA countries for all periods presented.

End-of-period loans increased 1% year-over-year and declined 2% sequentially. Excluding the impact of FX translation, Citigroup’s end-of-period loans increased 3% year-over-year, as growth in Citicorp more than offset continued declines in Citi Holdings. Sequentially, Citigroup’s end-of-period loans decreased 1%, driven by declines in ICG and Citi Holdings, which more than offset the increase in GCB.

Excluding the impact of FX translation, Citicorp loans increased 6% year-over-year. GCB loans grew 8% year-over-year, driven by 14% growth in North America. Within North America, Citi-branded cards increased 28%, driven primarily by the acquisition of the Costco portfolio toward the end of the second quarter of 2016. International GCB loans declined 2%, as 7% growth in Mexico was more than offset by a 5% decline in Asia, reflecting Citi’s continued optimization of its portfolio in this region to generate higher returns. ICG loans grew 4% year-over-year, driven by growth in lending to the high net worth target clients in its private banking segment.Corporate lending declined 1%, primarily driven by repayments near the end of the fourth quarter of 2016. This type of activity is not unusual as changes in balances are driven by the episodic nature of clients’ needs. Treasury and trade solutions loans increased 1% as Citi continued to support its clients while utilizing its distribution capabilities to optimize the balance sheet and drive returns.

Excluding the impact of FX translation, Citi Holdings loans decreased 33% year-over-year, driven by over $9 billion of reductions in North America mortgages, including transfers to held-for-sale.

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Deposits

Deposits are Citi’s primary and lowest cost funding source. The table below sets forth the end-of-period deposits, by business and/or segment, and the total average deposits for each of the periods indicated:

In billions of dollars	Dec. 31, 2016		Sept. 30, 2016		Dec. 31, 2015
Global Consumer Banking
North America	$	185.0	$	185.6	$	181.6
Latin America	26.4		27.4		28.7
Asia(1)	89.9		93.6		87.6
Total	$	301.3	$	306.6	$	297.9
Institutional Clients Group
Treasury and trade solutions (TTS)	410.6		415.0		392.0
Banking ex-TTS	122.3		118.9		119.1
Markets and securities services	77.5		83.3		76.6
Total	$	610.4	$	617.2	$	587.7
Corporate/Other	15.5		10.6		12.0
Total Citicorp	$	927.2	$	934.4	$	897.6
Total Citi Holdings	2.2		5.9		10.3
Total Citigroup deposits (EOP)	$	929.4	$	940.3	$	907.9
Total Citigroup deposits (AVG)	$	935.1	$	944.2	$	908.8

(1) Includes deposits in certain EMEA countriesfor all periods presented.

End-of-period deposits increased 2% year-over-year and declined 1% sequentially. Excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 4% year-over-year and 1% sequentially, with continued high-quality deposit flows across the franchise.

Excluding the impact of FX translation, Citicorp deposits grew 5% year-over-year. Within Citicorp, GCB deposits increased 3% year-over-year, primarily driven by growth in international GCB. ICG deposits increased 6% year-over-year, driven primarily by growth in treasury and trade solutions.

Long-Term Debt

Long-term debt (generally defined as debt with original maturities of one year or more) represents the most significant component of Citi’s funding for the parent entities and is a supplementary source of funding for the bank entities.

Long-term debt is an important funding source due in part to its multi-year contractual maturity structure. The weighted-average maturities of unsecured long-term debt issued by Citigroup and its affiliates (including Citibank) with a remaining life greater than one year (excluding remaining trust preferred securities outstanding) was approximately 7.0 years as of December 31, 2016, unchanged sequentially and a slight increase from 6.9 years from the prior year.

Citi’s long-term debt outstanding at the parent includes senior and subordinated debt and what Citi refers to as customer-related debt, consisting of structured notes, such as equity- and credit-linked notes, as well as non-structured notes. Citi’s issuance of customer-related debt is generally driven by customer demand and supplements benchmark debt

issuance as a source of funding for Citi’s parent entities. Citi’s long-term debt at the bank also includes FHLB advances and securitizations.

Long-Term Debt Outstanding

The following table sets forth Citi’s total long-term debt outstanding for the periods indicated:

In billions of dollars	Dec. 31, 2016		Sept. 30, 2016		Dec. 31, 2015
Parent and other(1)
Benchmark debt:
Senior debt	$	99.9	$	97.1	$	90.3
Subordinated debt	26.8		28.8		26.9
Trust preferred	1.7		1.7		1.7
Customer-related debt
Structured debt	22.8		23.6		21.8
Non-structured debt	3.0		3.5		3.0
Local country and other(2)	2.5		2.7		2.4
Total parent and other	$	156.7	$	157.4	$	146.1
Bank
FHLB borrowings	$	21.6	$	21.6	$	17.8
Securitizations(3)	23.5		24.4		30.9
Local country and other(2)	4.4		5.7		6.5
Total bank	$	49.5	$	51.7	$	55.2
Total long-term debt	$	206.2	$	209.1	$	201.3

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

(1) “Parent and other” 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 December 31, 2016 “parent and other” included $9.4 billion of long-term debt issued by Citi’s broker-dealer subsidiaries.

(2) Local country debt includes debt issued by Citi’s affiliates in support of their local operations.

(3) Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

Citi’s total long-term debt outstanding increased year-over-year, but declined sequentially. The increase year-over-year was primarily driven by an increase in senior debt at the parent, partially offset by declines in securitizations at the bank. Sequentially, Citi’s long-term debt outstanding decreased modestly, driven primarily by a decline at the bank as parent debt remained relatively unchanged.

As part of its liability management, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such repurchases help reduce Citi’s overall funding costs and assist it in meeting regulatory changes and requirements. During 2016, Citi repurchased an aggregate of approximately $5.9 billion of its outstanding long-term debt, including early redemptions of FHLB advances.

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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:

	2016				2015				2014
In billions of dollars	Maturities		Issuances		Maturities		Issuances		Maturities		Issuances
Parent and other
Benchmark debt:
Senior debt	$	14.9	$	26.0	$	23.9	$	20.2	$	18.9	$	18.6
Subordinated debt	3.2		4.0		4.0		7.5		5.0		2.8
Trust preferred	—		—		—		—		2.1		—
Customer-related debt:
Structured debt	9.5		10.2		7.7		9.1		7.5		9.5
Non-structured debt	0.7		0.3		2.2		0.4		2.4		1.4
Local country and other	2.1		2.2		0.4		1.9		2.4		3.7
Total parent and other	$	30.4	$	42.7	$	38.2	$	39.1	$	38.3	$	36.0
Bank
FHLB borrowings	$	10.5	$	14.3	$	4.0	$	2.0	$	8.0	$	13.9
Securitizations	10.7		3.3		7.9		0.8		8.9		13.6
Local country and other	3.9		3.4		2.8		2.7		3.7		3.3
Total bank	$	25.1	$	21.0	$	14.7	$	5.5	$	20.6	$	30.8
Total	$	55.5	$	63.7	$	52.9	$	44.6	$	58.9	$	66.8

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) in 2016, as well as its aggregate expected annual long-term debt maturities as of December 31, 2016:

	Maturities
In billions of dollars	2016		2017		2018		2019		2020		2021		Thereafter		Total
Parent and other
Benchmark debt:
Senior debt	$	14.9	$	14.0	$	18.2	$	14.0	$	6.4	$	13.9	$	33.4	$	99.9
Subordinated debt	3.2		1.2		0.9		1.2		0.1		—		23.4		26.8
Trust preferred	—		—		—		—		—		—		1.7		1.7
Customer-related debt:
Structured debt	9.5		5.1		2.1		1.6		3.0		1.2		9.8		22.8
Non-structured debt	0.7		0.5		0.6		0.2		0.2		0.1		1.4		3.0
Local country and other	2.1		0.3		0.2		0.1		0.1		—		1.8		2.5
Total parent and other	$	30.4	$	21.1	$	22.0	$	17.1	$	9.8	$	15.2	$	71.5	$	156.7
Bank
FHLB borrowings	$	10.5	$	7.8	$	13.2	$	0.6	$	—	$	—	$	—	$	21.6
Securitizations	10.7		5.3		9.5		3.9		0.1		3.8		0.9		23.5
Local country and other	3.9		1.9		1.4		0.4		0.3		0.1		0.2		4.4
Total bank	$	25.1	$	15.0	$	24.1	$	4.9	$	0.4	$	3.9	$	1.1	$	49.5
Total long-term debt	$	55.5	$	36.1	$	46.1	$	22.0	$	10.2	$	19.1	$	72.6	$	206.2

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Resolution Plan

Under Title I of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd-Frank Act), Citigroup has developed a “single point of entry” resolution strategy and plan under the U.S. Bankruptcy Code (Resolution Plan). Under Citi’s Resolution Plan, only Citigroup, the parent holding company, would enter into bankruptcy, while Citigroup’s key operating subsidiaries, including Citibank, among others, would remain operational and outside of any resolution or insolvency proceedings. Citigroup believes its Resolution Plan has been designed to minimize the risk of systemic impact to the U.S. and global financial systems, while maximizing the value of the bankruptcy estate for the benefit of Citigroup’s creditors, including its unsecured long-term debt holders. In addition, in line with the Federal Reserve Board’s final TLAC rule, Citigroup believes it has developed the Resolution Plan so that Citigroup’s shareholders and unsecured creditors—including its unsecured long-term debt holders—bear any losses resulting from Citigroup’s bankruptcy.

In response to feedback received from the Federal Reserve Board and FDIC (the Agencies) on Citi’s 2015 Resolution Plan, Citi currently expects to take the following actions in connection with its 2017 Resolution Plan submission (to be submitted by July 1, 2017):

(i) Citicorp, an existing wholly owned subsidiary of Citigroup and current parent company of Citibank, would be established as an intermediate holding company (an IHC) for certain of Citigroup’s key operating subsidiaries;

(ii) subject to final approval of the Board of Directors of Citigroup, Citigroup would execute an inter-affiliate agreement with Citicorp, Citigroup’s key operating subsidiaries and certain other affiliated entities pursuant to which Citicorp would be required to provide liquidity and capital support to Citigroup’s key operating subsidiaries in the event Citigroup were to enter bankruptcy proceedings (Citi Support Agreement);

(iii) pursuant to the Citi Support Agreement:

• upon execution, Citigroup would make an initial contribution of assets, including certain HQLA and inter-affiliate loans (Contributable Assets), to Citicorp, and Citicorp would then become the business as usual funding vehicle for Citigroup’s key operating subsidiaries;

• Citigroup would be obligated to continue to transfer Contributable Assets to Citicorp over time, subject to certain amounts retained by Citigroup to, among other things, meet Citigroup’s near-term cash needs;

• in the event of a Citigroup bankruptcy, Citigroup would be required to contribute most of its remaining assets to Citicorp; and

(iv) the obligations of both Citigroup and Citicorp under the Citi Support Agreement, as well as the Contributable Assets, would be secured pursuant to a security agreement.

Citigroup also expects that the Citi Support Agreement will provide two mechanisms, besides Citicorp’s issuing of dividends to Citigroup, pursuant to which Citicorp would be required to transfer cash to Citigroup during business as usual so that Citigroup can fund its debt service as well as other operating needs: (i) one or more funding notes issued by Citicorp to Citigroup; and (ii) a committed line of credit under which Citicorp may make loans to Citigroup.

Total Loss-Absorbing Capacity(TLAC)

In December 2016, the Federal Reserve Board released a final rule which imposes minimum external loss-absorbing capacity (TLAC) and long-term debt (LTD) requirements on U.S. global systemically important bank holding companies (GSIBs), including Citi. The intended purpose of the final rule is to facilitate the orderly resolution of U.S. GSIBs under the U.S. Bankruptcy Code and Title II of the Dodd-Frank Act. The effective date for all requirements under the final rule is January 1, 2019. While final, there are uncertainties regarding certain key aspects of the final rule. For additional information, see “Risk Factors—Strategic Risks” above. For an additional discussion of the method 1 and method 2 GSIB capital surcharge methodology, see “Capital Resources— Current Regulatory Capital Standards” above.

Under the Federal Reserve Board’s final rule, U.S. GSIBs will be required to maintain minimum levels of TLAC and eligible LTD, each set by reference to the GSIB’s consolidated risk-weighted assets (RWA) and total leverage exposure and as described further below.

In response to the final TLAC rule, Citigroup supplemented its senior debt indenture in December 2016 to, among other things, limit the circumstances under which future issuances of senior debt issued pursuant to the indenture can be accelerated, as required by the final rule and referenced below.

Minimum TLAC Requirements

The minimum TLAC requirement is the greater of (i) 18% of the GSIB’s RWA plus the then-applicable RWA-based TLAC buffer (see below) and (ii) 7.5% of the GSIB’s total leverage exposure plus a leveraged-based TLAC buffer of 2% (i.e., 9.5%). The RWA-based TLAC buffer equals the 2.5% capital conservation buffer, plus any applicable countercyclical capital buffer (currently 0%), plus the GSIB’s capital surcharge as determined under method 1 of the GSIB surcharge rule (2.0% for Citi as of January 1, 2017). Accordingly, Citi estimates its total current minimum TLAC requirement is 22.5% of RWA under the final rule. Pursuant to the final rule, TLAC may generally only consist of the GSIB’s (i) Common Equity Tier 1 Capital and Additional Tier 1 Capital issued directly by the bank holding company (excluding qualifying trust preferred securities) plus (ii) eligible LTD (as discussed below). Breach of either the RWA- or leveraged-based TLAC buffer would result in restrictions on distributions and discretionary bonus payments.

Minimum Eligible LTD Requirements

The minimum LTD requirement is the greater of (i) 6% of the GSIB’s RWA plus its capital surcharge as determined under

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method 2 of the GSIB surcharge rule (3.0% for Citi as of January 1, 2017), for a total current requirement of 9% of RWA for Citi, and (ii) 4.5% of the GSIB’s total leverage exposure.

Generally, under the final rule, eligible LTD is defined as the unpaid principal balance of unsecured, “plain vanilla” debt securities (i.e., would not include certain of Citi’s customer-related debt) issued directly by the bank holding company, governed by U.S. law, with a remaining maturity greater than one year and which provides for acceleration only upon the occurrence of insolvency or non-payment of principal or interest for 30 days or more. Further, pursuant to what has been referred to as the “haircut” provision, otherwise eligible LTD with a remaining maturity between one and two years is subject to a 50% haircut for purposes of meeting the minimum LTD requirement (although such LTD would continue to count at full value for purposes of the minimum TLAC requirement; eligible LTD with a remaining maturity of less than one year would not count toward either the minimum TLAC or eligible LTD requirement). The final rule provides that debt issued prior to December 31, 2016 with acceleration provisions other than those summarized above or governed by non-U.S. law is permanently grandfathered and may count as eligible LTD, assuming it otherwise meets the requirements of eligible LTD.

Clean Holding Company Requirements

The final rule prohibits or limits certain financial arrangements at the bank holding company level, or what are referred to as “clean holding company” requirements. Pursuant to these requirements, Citi, as the bank holding company, is prohibited from having certain types of third-party liabilities, including short-term debt, certain derivatives and other qualified financial contracts, liabilities guaranteed by a subsidiary (i.e., upstream guarantees) and guarantees of subsidiary liabilities or similar arrangements, if the liability or guarantee includes a default right linked to the insolvency of the bank holding company (i.e., downstream guarantees with cross default provisions). In addition, the final rule limits third-party, non-contingent liabilities of the bank holding company (other than those related to TLAC or eligible LTD) to 5% of the U.S. GSIB’s outstanding TLAC. Examples of the types of liabilities subject to this 5% limit include structured notes and various operating liabilities, such as rent and obligations to employees, as well as litigation and similar liabilities.

Secured Funding Transactions and Short-Term Borrowings

As referenced above, Citi supplements its primary sources of funding with short-term borrowings. Short-term borrowings generally include (i) secured funding transactions (securities loaned or sold under agreements to repurchase, or repos) and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants (see Note 17 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).

Outside of secured funding transactions, Citi’s short-term borrowings increased both year-over-year (a 46% increase) and sequentially (a 4% increase), driven by an increase in FHLB borrowing, as Citi continued to optimize liquidity across its legal vehicles.

Secured Funding

Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both secured lending activity and a portion of securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which is typically collateralized by foreign government debt securities. Generally, daily 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 securities inventory.

Secured funding of $142 billion as of December 31, 2016 declined 3% from the prior-year period and 7% sequentially. Excluding the impact of FX translation, secured funding increased 1% from the prior-year period and decreased 5% sequentially, both driven by normal business activity. Average balances for secured funding were approximately $150 billion for the quarter ended December 31, 2016.

The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high quality, liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less liquid securities, including equity securities, corporate bonds and asset-backed securities. The tenor of Citi’s matched book liabilities is generally equal to or longer than the tenor of the corresponding matched book assets.

The remainder of the secured funding activity in the broker-dealer subsidiaries serves to fund securities inventory held in the context of market making and customer activities. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral, and stipulating financing tenor. The weighted average maturity of Citi’s secured funding of less liquid securities inventory was greater than 110 days as of December 31, 2016.

Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. Additionally, Citi maintains counterparty diversification by

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establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.

Overall Short-Term Borrowings

As required by SEC rules, the following table contains the year-end, average and maximum month-end amounts for the following respective short-term borrowings categories at the end of each of the three prior fiscal years:

	Federal funds purchased and securities sold under agreements to repurchase									Short-term borrowings(1)
										Commercial paper(2)									Other short-term borrowings(3)
In billions of dollars	2016			2015			2014			2016			2015			2014			2016			2015			2014
Amounts outstanding at year end	$	141.8		$	146.5		$	173.4		$	10.0		$	10.0		$	16.2		$	20.7		$	11.1		$	42.1
Average outstanding during the year(4)(5)	158.1			174.5			190.8			10.0			10.7			16.8			14.8			22.2			44.4
Maximum month-end outstanding	171.7			186.2			200.1			10.2			15.3			17.9			20.9			41.9			47.1
Weighted-average interest rate
During the year(4)(5)(6)	1.21		%	0.92		%	0.99		%	0.80		%	0.36		%	0.27		%	2.32		%	1.40		%	1.18		%
At year end(7)	0.63			0.59			0.49			0.79			0.22			0.23			1.39			1.50			0.53

(1) Original maturities of less than one year.

(2) Substantially all commercial paper outstanding was issued by certain Citibank entities for the periods presented.

(3) Other short-term borrowings include borrowings from the FHLB and other market participants.

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

(5) Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to ASC 210-20-45; average rates exclude the impact of ASC 210-20-45.

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

(7) Based on contractual rates at respective year ends; non-interest-bearing accounts are excluded from the weighted average interest rate calculated at year end.

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Liquidity Monitoring and Measurement

Stress Testing

Liquidity stress testing is performed for each of Citi’s major entities, operating subsidiaries and/or countries. Stress testing and scenario analyses are intended to quantify the potential impact of a liquidity event on the balance sheet and liquidity position, and to identify viable funding alternatives that can be utilized. These scenarios include assumptions about significant changes in key funding sources, market triggers (such as credit ratings), potential uses of funding and political and economic conditions in certain countries. These conditions include expected and stressed market conditions as well as Company-specific events.

Liquidity stress tests are conducted to ascertain potential mismatches between liquidity sources and uses over a variety of time horizons (overnight, one week, two weeks, one month, three months, one year) and over a variety of stressed conditions. Liquidity limits are set accordingly. To monitor the liquidity of an entity, these stress tests and potential mismatches are calculated with varying frequencies, with several tests performed daily.

Given the range of potential stresses, Citi maintains a series of contingency funding plans on a consolidated basis and for individual entities. These plans specify a wide range of readily available actions for a variety of adverse market conditions or idiosyncratic stresses.

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

In addition to internal measures that Citi has developed for a 30-day stress scenario, Citi also monitors its liquidity by reference to the LCR, as calculated pursuant to the U.S. LCR rules.

Generally, the LCR is designed to ensure that banks maintain an adequate level of HQLA to meet liquidity needs under an acute 30-day stress scenario. The LCR is calculated by dividing HQLA by estimated net outflows over a stressed 30-day period, with the net outflows determined by applying prescribed outflow factors to various categories of liabilities, such as deposits, unsecured and secured wholesale borrowings, unused lending commitments and derivatives-related exposures, partially offset by inflows from assets maturing within 30 days. Banks are required to calculate an add-on to address potential maturity mismatches between contractual cash outflows and inflows within the 30-day period in determining the total amount of net outflows. The minimum LCR requirement is 100%, effective January 2017.

In December 2016, the Federal Reserve Board adopted final rules which require additional disclosures relating to the LCR of large financial institutions, including Citi. Among other things, the final rules require Citi to disclose components of its average HQLA, LCR and inflows and outflows each quarter. In addition, the final rules require disclosure of Citi’s calculation of the maturity mismatch add-on as well as other qualitative disclosures. The effective date for these disclosures is April 1, 2017.

The table below sets forth the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:

In billions of dollars	Dec. 31, 2016	Sept. 30, 2016			Dec. 31, 2015
HQLA	$403.7	$	403.8		$	389.2
Net outflows	332.5	335.3			344.4
LCR	121%	120		%	113		%
HQLA in excess of net outflows	$71.3	$	68.5		$	44.8

Note: Amounts set forth in the table above are presented on an average basis.

As set forth in the table above, Citi’s LCR increased both year-over-year and sequentially. The increase year-over-year was driven by both an increase in HQLA and a reduction in net outflows. Sequentially, the increase was driven by a slight reduction in net outflows, as HQLA remained largely unchanged.

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

In the second quarter of 2016, the Federal Reserve Board, the FDIC and the OCC issued a proposed rule to implement the Basel III NSFR requirement.

The U.S.-proposed NSFR is largely consistent with the Basel Committee’s final NSFR rules. In general, the NSFR assesses the availability of a bank’s stable funding against a required level. A bank’s available stable funding would include portions of equity, deposits and long-term debt, while its required stable funding would be based on the liquidity characteristics of its assets, derivatives and commitments. Standardized weightings would be required to be applied to the various asset and liabilities classes. The ratio of available stable funding to required stable funding would be required to be greater than 100%. While Citi believes that it is compliant with the proposed U.S. NSFR rules as of December 31, 2016, it will need to evaluate any final version of the rules, which are expected to be released during 2017. The proposed rules would require full implementation of the U.S. NSFR beginning January 1, 2018.

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Credit Ratings

Citigroup’s funding and liquidity, funding capacity, ability to access capital markets and other sources of funds, the cost of these funds, and its ability to maintain certain deposits are partially dependent on its credit ratings.

The table below sets forth the ratings for Citigroup and Citibank as of December 31, 2016. While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Inc. (CGMI) were “A2/P-1” at Moody’s, “A+/A-1” at Standard & Poor’s and “A+/F1” at Fitch as of December 31, 2016. The long-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were “BBB+/A-2” at Standard & Poor’s and “A/F1” at Fitch as of December 31, 2016.

	Citigroup Inc.			Citibank, N.A.
	Senior debt	Commercial paper	Outlook	Long- term	Short- term	Outlook
Fitch Ratings (Fitch)	A	F1	Stable	A+	F1	Stable
Moody’s Investors Service (Moody’s)	Baa1	P-2	Stable	A1	P-1	Stable
Standard & Poor’s (S&P)	BBB+	A-2	Stable	A+	A-1	Stable

Recent Credit Rating Developments

On December 13, 2016, Fitch affirmed Citigroup Inc.’s Viability Rating (VR) and Long-Term Issuer Default Rating (IDR) at “a/A”, respectively. At the same time, Fitch affirmed Citibank’s VR and IDR at “a/A+”, respectively. The outlooks for the Long-Term IDRs are Stable.

On December 16, 2016, S&P amended its Additional Loss-Absorbing Capacity (ALAC) criteria to include existing senior unsecured debt and concluded their credit watch on four of the U.S. GSIBs, including Citigroup, resulting in a one-notch upgrade on their core and highly strategic operating subsidiaries. Consequently, S&P upgraded Citibank’s long-term rating from “A” to “A+” with its short-term rating remaining at “A-1”. Citibank’s ratings outlook was changed to “Stable” from “Credit Watch Positive”. As of December 31, 2016, Citigroup Inc. is in excess of the 8.5% threshold deemed necessary to receive the maximum two notches of ALAC support.

Potential Impacts of Ratings Downgrades

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

The following information is provided for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank of a hypothetical, simultaneous

ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, judgments and uncertainties. Uncertainties include potential ratings limitations that certain entities may have with respect to permissible counterparties, as well as general subjective counterparty behavior. For example, certain corporate customers and markets counterparties could re-evaluate their business relationships with Citi and limit

transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi’s funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors—Liquidity Risks” above.

Citigroup Inc. and Citibank—Potential Derivative Triggers

As of December 31, 2016, 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 $0.4 billion, compared to $0.5 billion as of September 30, 2016. Other funding sources, such as securities financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.

As of December 31, 2016, 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 by approximately $1.2 billion, compared to $1.3 billion as of September 30, 2016, due to derivative triggers.

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In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, across all three major rating agencies, could result in aggregate cash obligations and collateral requirements of approximately $1.6 billion, compared to $1.8 billion as of September 30, 2016 (see also Note 22 to the Consolidated Financial Statements). As set forth under “High-Quality Liquid Assets” above, the liquidity resources of Citibank were approximately $346 billion and the liquidity resources of Citi’s non-bank and other entities were approximately $58 billion, for a total of approximately $404 billion as of December 31, 2016. These liquidity resources are available in part as a contingency for the potential events described above.

In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending, and adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits, or borrowing from the FHLB or central banks. Citi believes these mitigating actions could substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.

Citibank—Additional Potential Impacts

In addition to the above derivative triggers, Citi believes that a potential one-notch downgrade of Citibank’s senior debt/long-term rating by S&P could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of December 31, 2016, Citibank had liquidity commitments of approximately $10.0 billion to consolidated asset-backed commercial paper conduits, compared to $10.1 billion as of September 30, 2016 (as referenced in Note 21 to the Consolidated Financial Statements).

In addition to the above-referenced liquidity resources of certain Citibank and Citibanamex 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.

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MARKET RISK

Overview

Market risk is the potential for losses arising from changes in the value of Citi’s assets and liabilities resulting from changes in market variables such as interest rates, foreign exchange rates, equity prices, commodity prices and credit spreads, as well as their implied volatilities.

Each business is required to establish, with approval from Citi’s market risk management, a market risk limit framework for identified risk factors that clearly defines approved risk profiles and is within the parameters of Citi’s overall risk appetite. These limits are monitored by the Risk organization, Citi’s country and business Asset and Liability Committees and the Citigroup Asset and Liability Committee. In all cases, the businesses are ultimately responsible for the market risks taken and for remaining within their defined limits.

Market risk emanates from both Citi’s trading and non-trading portfolios. Trading portfolios comprise all assets and liabilities marked-to-market, with results reflected in earnings. Non-trading portfolios include all other assets and liabilities.

Market Risk of Non-Trading Portfolios

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

Net Interest Revenue at Risk

Net interest revenue, for interest rate exposure purposes, is the difference between the yield earned on the non-trading portfolio assets (including customer loans) and the rate paid on the liabilities (including customer deposits or company borrowings). Net interest revenue is affected by changes in the level of interest rates, as well as the amounts and mix of assets and liabilities, and the timing of contractual and assumed repricing of assets and liabilities to reflect market rates.

Citi’s principal measure of risk to net interest revenue is interest rate exposure (IRE). IRE measures the change in expected net interest revenue in each currency resulting solely from unanticipated changes in forward interest rates.

Citi’s estimated IRE incorporates various assumptions including prepayment rates on loans, customer behavior and the impact of pricing decisions. For example, in rising interest rate scenarios, portions of the deposit portfolio may be assumed to experience rate increases that are less than the change in market interest rates.  In declining interest rate scenarios, it is assumed that mortgage portfolios experience higher prepayment rates. IRE assumes that businesses and/or Citi Treasury make no additional changes in balances or positioning in response to the unanticipated rate changes.

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

these and other strategies to reduce its interest rate risks and implements such strategies when it believes those actions are prudent.

Citi manages interest rate risk as a consolidated company-wide position. Citi’s client-facing businesses create interest-rate sensitive positions, including loans and deposits, as part of their ongoing activities. Citi Treasury aggregates these risk positions and manages them centrally. Operating within established limits, Citi Treasury makes positioning decisions and uses tools, such as Citi’s investment securities portfolio, company-issued debt, and interest rate derivatives, to target the desired risk profile. Changes in Citi’s interest rate risk position reflect the accumulated changes in all non-trading assets and liabilities, with potentially large and offsetting impacts, as well as, Citi Treasury’s positioning decisions.

Citigroup employs additional measurements, including stress testing the impact of non-linear interest rate movements on the value of the balance sheet; the analysis of portfolio duration and volatility, particularly as they relate to mortgage loans and mortgage-backed securities; and the potential impact of the change in the spread between different market indices.

Interest Rate Risk of Investment Portfolios—Impact on AOCI

Citi also 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 Common Equity Tier 1 and other regulatory capital ratios. Citi’s goal is to benefit from an increase in the market level of interest rates, while limiting the impact of changes in AOCI on its 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 Common Equity Tier 1 Capital ratio) relative to Citi’s capital generation capacity.

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The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point increase in interest rates.

In millions of dollars (unless otherwise noted)	Dec. 31, 2016			Sept. 30, 2016			Dec. 31, 2015
Estimated annualized impact to net interest revenue
U.S. dollar(1)	$	1,586		$	1,405		$	1,419
All other currencies	550			574			635
Total	$	2,136		$	1,979		$	2,054
As a percentage of average interest-earning assets	0.13		%	0.12		%	0.13		%
Estimated initial impact to AOCI (after-tax)(2)	$	(4,617	)	$	(4,868	)	$	(4,837	)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)	(53		)	(53		)	(57		)

(1) Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the estimated impact to net interest revenue in the table since these exposures are managed economically in combination with mark-to-market positions. The U.S. dollar interest rate exposure associated with these businesses was $(238) million for a 100 basis point instantaneous increase in interest rates as of December 31, 2016.

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

(3) The estimated initial impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi’s deferred tax asset position and is based on only the estimated initial AOCI impact above.

The 2016 increase in the estimated impact to net interest revenue primarily reflected Citi Treasury actions, including interest rate derivative positioning. The 2016 decrease in the estimated impact to AOCI and the Common Equity Tier 1 Capital ratio primarily reflected changes in the composition of Citi Treasury’s investment and interest rate derivatives portfolio.

In the event of an unanticipated parallel instantaneous 100 basis point increase in interest rates, Citi expects the negative impact to AOCI would be offset in shareholders’ equity through the combination of expected incremental net interest revenue and the expected recovery of the impact on AOCI

through accretion of Citi’s investment portfolio over a period of time. As of December 31, 2016, Citi expects that the negative $4.6 billion impact to AOCI in such a scenario could potentially be offset over approximately 22 months.

The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis) under four different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies. While Citi also monitors the impact of a parallel decrease in interest rates, a 100 basis point decrease in short-term rates is not meaningful, as it would imply negative interest rates in many of Citi’s markets.

In millions of dollars (unless otherwise noted)	Scenario 1			Scenario 2			Scenario 3			Scenario 4
Overnight rate change (bps)	100			100			—			—
10-year rate change (bps)	100			—			100			(100		)
Estimated annualized impact to net interest revenue
U.S. dollar	$	1,586		$	1,550		$	106		$	(124	)
All other currencies	550			509			31			(31		)
Total	$	2,136		$	2,059		$	137		$	(155	)
Estimated initial impact to AOCI (after-tax)(1)	$	(4,617	)	$	(2,677	)	$	(2,038	)	$	1,759
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(2)	(53		)	(30		)	(25		)	21

Note: Each scenario in the table above 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.

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

(2) The estimated initial impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi’s deferred tax asset position and is based on only the estimated AOCI impact above.

As shown in the table above, the magnitude of the impact to Citi’s net interest revenue and AOCI is greater under scenario 2 as compared to scenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter and intermediate term maturities.

Over the past year, a number of central banks, including the European Central Bank, the Bank of Japan and the Swiss National Bank, have implemented negative interest rates, and additional governmental entities could do so in the future.

While negative interest rates can adversely impact net interest revenue (as well as net interest margin), Citi has, to date, been able to partially offset the impact of negative rates in these jurisdictions through a combination of business and Citi Treasury interest rate risk mitigation activities, as discussed, including applying negative interest rates to client accounts.

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Changes in Foreign Exchange Rates—Impacts on AOCI and Capital

As of December 31, 2016, 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 $1.5 billion, or 0.9%, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the Euro, and the Australian dollar.

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 risk-weighted assets denominated in those 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 Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further impact the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.

The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 19 to the Consolidated Financial Statements.

	For the quarter ended
In millions of dollars (unless otherwise noted)	Dec. 31, 2016			Sept. 30, 2016			Dec. 31, 2015
Change in FX spot rate(1)	(5.2		)%	(0.2		)%	(1.1		)%
Change in TCE due to FX translation, net of hedges	$	(1,668	)	$	(412	)	$	(696	)
As a percentage of TCE	(0.9		)%	(0.2		)%	(0.4		)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due   to changes in FX translation, net of hedges (bps)	—			(2		)	—

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

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Interest Revenue/Expense and Net Interest Margin

In millions of dollars, except as otherwise noted	2016				2015				2014				Change   2016 vs. 2015			Change   2015 vs. 2014
Interest revenue(1)	$	58,077			$	59,040			$	62,180			(2	)%		(5	)%
Interest expense	12,511				11,921				13,690				5			(13	)
Net interest revenue(1)(2)	$	45,566			$	47,119			$	48,490			(3	)%		(3	)%
Interest revenue—average rate	3.64		%		3.68		%		3.72		%		(4	)	bps	(4	)	bps
Interest expense—average rate	1.03				0.95				1.02				8		bps	(7	)	bps
Net interest margin	2.86				2.93				2.90				(7	)	bps	3		bps
Interest rate benchmarks
Two-year U.S. Treasury note—average rate	0.83		%		0.69		%		0.46		%		14		bps	23		bps
10-year U.S. Treasury note—average rate	1.83				2.14				2.54				(31	)	bps	(40	)	bps
10-year vs. two-year spread	100			bps	145			bps	208			bps

Note: All interest expense amounts include FDIC deposit insurance assessments.

(1) Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $462 million, $487 million and $498 million for 2016, 2015 and 2014, respectively.

(2) Excludes expenses associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value.

Citi’s net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest earning assets. Citi’s NIM was 2.79% in the fourth quarter of

2016, a decrease of 7 basis points from the third quarter of 2016, driven primarily by lower trading NIM, higher funding costs and the higher mix of promotional rate balances in the U.S. cards portfolios. On a full-year basis, Citi’s NIM declined to 2.86%, compared to 2.93% in 2015, driven primarily by the divestiture of OneMain Financial, the impact of FX translation and lower trading NIM, partially offset by higher loan volumes (including from the Costco portfolio).

As noted in the tables above, Citi’s interest expense

includes the impact of FDIC deposit insurance assessments.

As part of the Dodd-Frank Act, the FDIC is required to ensure that its deposit insurance fund reserve ratio reaches 1.35% by September 30, 2020. In March 2016, the FDIC issued a final rule that imposes on insured depository institutions with at least $10 billion in assets, which includes Citibank, a surcharge of 4.5 basis points per annum until the fund reaches the required ratio, which the FDIC estimates would take approximately two years. As previously disclosed, based on its current assessment base, Citi estimates the net impact to Citibank would be approximately $500 million over the two-year period beginning in the third quarter of 2016.

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Additional Interest Rate Details

Average Balances and Interest Rates—Assets^(1)(2)(3)(4) 

	Average volume						Interest revenue						% Average rate
In millions of dollars, except rates	2016		2015		2014		2016		2015		2014		2016		2015		2014
Assets
Deposits with banks(5)	$	131,925	$	133,853	$	161,741	$	971	$	727	$	959	0.74	%	0.54	%	0.59	%
Federal funds sold and securities borrowed or purchased under agreements to resell(6)
In U.S. offices	$	147,734	$	150,340	$	153,703	$	1,483	$	1,215	$	1,034	1.00	%	0.81	%	0.67	%
In offices outside the U.S.(5)	85,142		84,013		101,184		1,060		1,301		1,332		1.24		1.55		1.32
Total	$	232,876	$	234,353	$	254,887	$	2,543	$	2,516	$	2,366	1.09	%	1.07	%	0.93	%
Trading account assets(7)(8)
In U.S. offices	$	103,610	$	113,475	$	113,716	$	3,791	$	3,945	$	3,471	3.66	%	3.48	%	3.05	%
In offices outside the U.S.(5)	94,603		96,333		113,563		2,095		2,140		2,540		2.21		2.22		2.24
Total	$	198,213	$	209,808	$	227,279	$	5,886	$	6,085	$	6,011	2.97	%	2.90	%	2.64	%
Investments
In U.S. offices
Taxable	$	225,764	$	214,683	$	188,909	$	3,980	$	3,812	$	3,285	1.76	%	1.78	%	1.74	%
Exempt from U.S. income tax	19,079		20,034		20,383		693		443		626		3.63		2.21		3.07
In offices outside the U.S.(5)	106,159		102,374		113,182		3,157		3,071		3,627		2.97		3.00		3.20
Total	$	351,002	$	337,091	$	322,474	$	7,830	$	7,326	$	7,538	2.23	%	2.17	%	2.34	%
Loans (net of unearned income)(9)
In U.S. offices	$	360,957	$	354,434	$	361,773	$	24,240	$	25,082	$	26,076	6.72	%	7.08	%	7.21	%
In offices outside the U.S.(5)	262,715		273,064		296,666		15,578		15,465		18,723		5.93		5.66		6.31
Total	$	623,672	$	627,498	$	658,439	$	39,818	$	40,547	$	44,799	6.38	%	6.46	%	6.80	%
Other interest-earning assets(10)	$	56,398	$	63,209	$	48,954	$	1,029	$	1,839	$	507	1.82	%	2.91	%	1.04	%
Total interest-earning assets	$	1,594,086	$	1,605,812	$	1,673,774	$	58,077	$	59,040	$	62,180	3.64	%	3.68	%	3.71	%
Non-interest-earning assets(7)	$	214,642	$	218,025	$	223,141
Total assets from discontinued operations	—		—		—
Total assets	$	1,808,728	$	1,823,837	$	1,896,915

(1) Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $462 million, $487 million and $498 million for 2016, 2015 and 2014, 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) Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.

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

(6) Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue 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 ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(9) Includes cash-basis loans.

(10) Includes brokerage receivables.

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Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue^(1)(2)(3)(4) 

	Average volume						Interest expense						% Average rate
In millions of dollars, except rates	2016		2015		2014		2016		2015		2014		2016		2015		2014
Liabilities
Deposits
In U.S. offices(5)	$	288,817	$	273,135	$	292,062	$	1,630	$	1,291	$	1,432	0.56	%	0.47	%	0.49	%
In offices outside the U.S.(6)	429,608		425,086		465,135		3,670		3,761		4,260		0.85		0.88		0.92
Total	$	718,425	$	698,221	$	757,197	$	5,300	$	5,052	$	5,692	0.74	%	0.72	%	0.75	%
Federal funds purchased and securities loaned or sold under agreements to repurchase(7)
In U.S. offices	$	100,472	$	108,320	$	102,672	$	1,024	$	614	$	657	1.02	%	0.57	%	0.64	%
In offices outside the U.S.(6)	57,588		66,130		88,080		888		998		1,238		1.54		1.51		1.41
Total	$	158,060	$	174,450	$	190,752	$	1,912	$	1,612	$	1,895	1.21	%	0.92	%	0.99	%
Trading account liabilities(8)(9)
In U.S. offices	$	29,481	$	24,711	$	29,263	$	242	$	107	$	74	0.82	%	0.43	%	0.25	%
In offices outside the U.S.(6)	44,669		45,252		47,904		168		110		94		0.38		0.24		0.20
Total	$	74,150	$	69,963	$	77,167	$	410	$	217	$	168	0.55	%	0.31	%	0.22	%
Short-term borrowings(10)
In U.S. offices	$	61,015	$	64,973	$	77,967	$	202	$	224	$	161	0.33	%	0.34	%	0.21	%
In offices outside the U.S.(6)	19,184		50,803		40,282		275		299		419		1.43		0.59		1.04
Total	$	80,199	$	115,776	$	118,249	$	477	$	523	$	580	0.59	%	0.45	%	0.49	%
Long-term debt(11)
In U.S. offices	$	175,342	$	182,347	$	191,364	$	4,179	$	4,308	$	5,093	2.38	%	2.36	%	2.66	%
In offices outside the U.S.(6)	6,426		7,642		7,346		233		209		262		3.63		2.73		3.57
Total	$	181,768	$	189,989	$	198,710	$	4,412	$	4,517	$	5,355	2.43	%	2.38	%	2.69	%
Total interest-bearing liabilities	$	1,212,602	$	1,248,399	$	1,342,075	$	12,511	$	11,921	$	13,690	1.03	%	0.95	%	1.02	%
Demand deposits in U.S. offices	$	38,120	$	26,144	$	26,227
Other non-interest-bearing liabilities(8)	328,822		330,104		316,061
Total liabilities from discontinued operations	—		—		—
Total liabilities	$	1,579,544	$	1,604,647	$	1,684,363
Citigroup stockholders’ equity(12)	$	228,065	$	217,875	$	210,863
Noncontrolling interest	1,119		1,315		1,689
Total equity(12)	$	229,184	$	219,190	$	212,552
Total liabilities and stockholders’ equity	$	1,808,728	$	1,823,837	$	1,896,915
Net interest revenue as a percentage of average interest-earning assets(13)
In U.S. offices	$	859,311	$	923,309	$	953,394	$	27,929	$	28,495	$	27,496	3.25	%	3.09	%	2.88	%
In offices outside the U.S.(6)	734,775		682,503		720,380		17,637		18,624		20,994		2.40		2.73		2.91
Total	$	1,594,086	$	1,605,812	$	1,673,774	$	45,566	$	47,119	$	48,490	2.86	%	2.93	%	2.90	%

(1) Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $462 million, $487 million and $498 million for 2016, 2015 and 2014, respectively.

(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) Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.

(5) Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts, and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.

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

(7) 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.

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(8) 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.

(9) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(10) Includes brokerage payables.

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

(12) Includes stockholders’ equity from discontinued operations.

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

Analysis of Changes in Interest Revenue^(1)(2)(3) 

	2016 vs. 2015									2015 vs. 2014
	Increase (decrease) due to change in:									Increase (decrease) due to change in:
In millions of dollars	Average volume			Average rate			Net change			Average volume			Average rate			Net change
Deposits with banks(4)	$	(11	)	$	255		$	244		$	(156	)	$	(76	)	$	(232	)
Federal funds sold and securities borrowed or   purchased under agreements to resell
In U.S. offices	$	(21	)	$	289		$	268		$	(23	)	$	204		$	181
In offices outside the U.S.(4)	17			(258		)	(241		)	(246		)	215			(31		)
Total	$	(4	)	$	31		$	27		$	(269	)	$	419		$	150
Trading account assets(5)
In U.S. offices	$	(354	)	$	200		$	(154	)	$	(7	)	$	481		$	474
In offices outside the U.S.(4)	(38		)	(7		)	(45		)	(383		)	(17		)	(400		)
Total	$	(392	)	$	193		$	(199	)	$	(390	)	$	464		$	74
Investments(1)
In U.S. offices	$	(167	)	$	585		$	418		$	464		$	(120	)	$	344
In offices outside the U.S.(4)	622			(536		)	86			(333		)	(223		)	(556		)
Total	$	455		$	49		$	504		$	131		$	(343	)	$	(212	)
Loans (net of unearned income)(6)
In U.S. offices	$	455		$	(1,297	)	$	(842	)	$	(524	)	$	(470	)	$	(994	)
In offices outside the U.S.(4)	(599		)	712			113			(1,423		)	(1,835		)	(3,258		)
Total	$	(144	)	$	(585	)	$	(729	)	$	(1,947	)	$	(2,305	)	$	(4,252	)
Other interest-earning assets(7)	$	(182	)	$	(628	)	$	(810	)	$	185		$	1,147		$	1,332
Total interest revenue	$	(278	)	$	(685	)	$	(963	)	$	(2,446	)	$	(694	)	$	(3,140	)

(1) The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation.

(2) Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.

(3) Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.

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

(5) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(6) Includes cash-basis loans.

(7) Includes brokerage receivables.

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Analysis of Changes in Interest Expense and Net Interest Revenue^(1)(2)(3) 

	2016 vs. 2015									2015 vs. 2014
	Increase (decrease) due to change in:									Increase (decrease) due to change in:
In millions of dollars	Average volume			Average rate			Net change			Average volume			Average rate			Net change
Deposits
In U.S. offices	$	77		$	262		$	339		$	(91	)	$	(50	)	$	(141	)
In offices outside the U.S.(4)	40			(131		)	(91		)	(358		)	(141		)	(499		)
Total	$	117		$	131		$	248		$	(449	)	$	(191	)	$	(640	)
Federal funds purchased and securities loaned or   sold under agreements to repurchase
In U.S. offices	$	(47	)	$	457		$	410		$	35		$	(78	)	$	(43	)
In offices outside the U.S.(4)	(131		)	21			(110		)	(326		)	86			(240		)
Total	$	(178	)	$	478		$	300		$	(291	)	$	8		$	(283	)
Trading account liabilities(5)
In U.S. offices	$	24		$	111		$	135		$	(13	)	$	46		$	33
In offices outside the U.S.(4)	(1		)	59			58			(5		)	21			16
Total	$	23		$	170		$	193		$	(18	)	$	67		$	49
Short-term borrowings(6)
In U.S. offices	$	(13	)	$	(9	)	$	(22	)	$	(30	)	$	93		$	63
In offices outside the U.S.(4)	(267		)	243			(24		)	92			(212		)	(120		)
Total	$	(280	)	$	234		$	(46	)	$	62		$	(119	)	$	(57	)
Long-term debt
In U.S. offices	$	(167	)	$	38		$	(129	)	$	(232	)	$	(553	)	$	(785	)
In offices outside the U.S.(4)	(37		)	61			24			10			(63		)	(53		)
Total	$	(204	)	$	99		$	(105	)	$	(222	)	$	(616	)	$	(838	)
Total interest expense	$	(522	)	$	1,112		$	590		$	(918	)	$	(851	)	$	(1,769	)
Net interest revenue	$	244		$	(1,797	)	$	(1,553	)	$	(1,528	)	$	157		$	(1,371	)

(1) The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation.

(2) Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.

(3) Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.

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

(5) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(6) Includes brokerage payables.

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Market Risk of Trading Portfolios

Trading portfolios include positions resulting from market making activities, hedges of certain available-for-sale (AFS) debt securities, the CVA relating from derivative counterparties and all associated hedges, fair value option loans, hedges to the loan portfolio and the leverage finance pipeline within capital markets origination within ICG.

The market risk of Citi’s trading portfolios is monitored using a combination of quantitative and qualitative measures, including, but not limited to:

• factor sensitivities;

• value at risk (VAR); and

• stress testing.

Each trading portfolio across Citi’s businesses has its own market risk limit framework encompassing these measures and other controls, including trading mandates, permitted product

lists and a new product approval process for complex products.

The following chart of total daily trading-related revenue (loss) captures trading volatility and shows the number of days in which revenues for Citi’s trading businesses fell within particular ranges. Trading-related revenue includes trading, net interest and other revenue associated with Citi’s trading businesses. It excludes DVA, FVA and CVA adjustments incurred due to changes in the credit quality of counterparties, as well as any associated hedges to that CVA. In addition, it excludes fees and other revenue associated with capital markets origination activities. Trading-related revenues are driven by both customer flows and the changes in valuation of the trading inventory. As shown in the chart, positive trading-related revenue was achieved for 99% of the trading days in 2016.

Daily Trading-Related Revenue (Loss) ⁽¹⁾— Twelve Months ended December 31, 2016
In millions of dollars

(1) Reflects the effects of asymmetrical accounting for economic hedges of certain AFS debt securities.  Specifically, the change in the fair value of hedging derivatives is included inTrading-related revenue, while the offsetting change in the fair value of hedged AFS debt securities is included in AOCI and not reflected above.

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Factor Sensitivities

Factor sensitivities are expressed as the change in the value of a position for a defined change in a market risk factor, such as a change in the value of a U.S. Treasury bill for a one basis point change in interest rates. Citi’s Market Risk Management, within the Risk organization, works to ensure that factor sensitivities are calculated, monitored and, in most cases, limited for all material risks taken in the trading portfolios.

Value at Risk (VAR)

VAR estimates, at a 99% confidence level, the potential decline in the value of a position or a portfolio under normal market conditions assuming a one-day holding period. VAR statistics, which are based on historical data, can be materially different across firms due to differences in portfolio composition, differences in VAR methodologies and differences in model parameters. As a result, Citi believes VAR statistics can be used more effectively as indicators of trends in risk-taking within a firm, rather than as a basis for inferring differences in risk-taking across firms.

Citi uses a single, independently approved Monte Carlo simulation VAR model (see “VAR Model Review and Validation” below), which has been designed to capture material risk sensitivities (such as first- and second-order sensitivities of positions to changes in market prices) of various asset classes/risk types (such as interest rate, credit spread, foreign exchange, equity and commodity risks). Citi’s VAR includes positions which are measured at fair value; it does not include investment securities classified as AFS or HTM. For information on these securities, see Note 13 to the Consolidated Financial Statements.

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 (three years) market volatility. The Monte Carlo simulation involves approximately 350,000 market factors, making use of approximately 200,000 time series, with sensitivities updated daily, volatility parameters updated daily to weekly and correlation parameters updated monthly. The conservative features of the VAR calibration contribute an approximate 25% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets.

As set forth in the table below, Citi’s average trading VAR decreased from 2015 to 2016, mainly due to changes in interest rate exposures from mark-to-market hedging activity against non-trading positions in the markets and securities services businesses within ICG. Additionally, foreign exchange risk declined mainly due to exposure changes throughout 2016. Average trading and credit portfolio VAR also declined, with the further decrease driven by reduction in average credit spreads and volatility affecting the credit portfolio, and by changes in the hedging related to lending activities in 2016. Trading VAR as of December 31, 2016 increased from December 31, 2015 mainly due to higher exposures in the municipals and commodities businesses within ICG.

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

In millions of dollars	December 31, 2016			2016 Average			December 31, 2015			2015 Average
Interest rate	$	37		$	35		$	37		$	44
Credit spread	63			62			56			69
Covariance adjustment(1)	(17		)	(28		)	(25		)	(26		)
Fully diversified interest rate and credit spread	$	83		$	69		$	68		$	87
Foreign exchange	32			24			27			34
Equity	13			14			17			17
Commodity	27			21			17			19
Covariance adjustment(1)	(70		)	(58		)	(53		)	(65		)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)	$	85		$	70		$	76		$	92
Specific risk-only component(3)	$	3		$	7		$	11		$	6
Total trading VAR—general market risk factors only (excluding credit portfolios)(2)	$	82		$	63		$	65		$	86
Incremental impact of the credit portfolio(4)	$	20		$	22		$	22		$	25
Total trading and credit portfolio VAR	$	105		$	92		$	98		$	117

(1) Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each individual risk type. The benefit reflects the fact that the risks within each 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 individual 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 from ICG and Citi Holdings, with the exception of hedges to 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 including Citi Treasury, the CVA relating to derivative counterparties and all associated CVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges to the loan portfolio, fair value option loans and hedges to the leveraged finance pipeline within capital markets origination within ICG.

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

	2016				2015
In millions of dollars	Low		High		Low		High
Interest rate	$	25	$	64	$	28	$	84
Credit spread	55		73		56		94
Fully diversified interest rate and credit spread	$	59	$	97	$	65	$	127
Foreign exchange	14		46		20		54
Equity	6		26		9		35
Commodity	10		33		12		37
Total trading	$	53	$	106	$	70	$	140
Total trading and credit portfolio	72		131		89		158

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 ICG, excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio:

In millions of dollars	Dec. 31, 2016
Total—all market risk factors, including general and specific risk	$	76
Average—during year	$	66
High—during year	99
Low—during year	51

VAR Model Review and Validation

Generally, Citi’s VAR review and model validation process entails reviewing the model framework, major assumptions, and implementation of the mathematical algorithm. In addition, as part of the model validation process, product specific back-testing on portfolios is periodically completed and reviewed with Citi’s U.S. banking regulators. Furthermore, Regulatory VAR back-testing (as described below) is performed against buy-and-hold profit and loss on a monthly basis for multiple sub-portfolios across the organization (trading desk level, ICG business segment and Citigroup) and the results are shared with U.S. banking regulators.

Significant VAR model and assumption changes must be independently validated within Citi’s risk management organization. This validation process includes a review by Citi’s model validation group and further approval from its model validation review committee, which is composed of senior quantitative risk management officers. In the event of significant model changes, parallel model runs are undertaken prior to implementation. In addition, significant model and assumption changes are subject to the periodic reviews and approval by Citi’s U.S. banking regulators.

Citi uses the same independently validated VAR model for both Regulatory VAR and Risk Management VAR (i.e., total trading and total trading and credit portfolios VARs) and, as such, the model review and oversight process for both purposes is as described above.

Regulatory VAR, which is calculated in accordance with Basel III, differs from Risk Management VAR due to the fact that certain positions included in Risk Management VAR are

not eligible for market risk treatment in Regulatory VAR. The composition of Risk Management VAR is discussed under “Value at Risk” above. The applicability of the VAR model for positions eligible for market risk treatment under U.S. regulatory capital rules is periodically reviewed and approved by Citi’s U.S. banking regulators.

In accordance with Basel III, Regulatory VAR includes all trading book-covered positions and all foreign exchange and commodity exposures. Pursuant to Basel III, Regulatory VAR excludes positions that fail to meet the intent and ability to trade requirements and are therefore classified as non-trading book and categories of exposures that are specifically excluded as covered positions. Regulatory VAR excludes CVA on derivative instruments and DVA on Citi’s own fair value option liabilities. CVA hedges are excluded from Regulatory VAR and included in credit risk-weighted assets as computed under the Advanced Approaches for determining risk-weighted assets.

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 exceeded 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.

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The following graph shows the daily buy-and-hold profit and loss associated with Citi’s covered positions compared to Citi’s one-day Regulatory VAR during 2016. During 2016, there were two back-testing exceptions observed for Citi’s Regulatory VAR. As previously disclosed, trading losses on June 3, 2016 marginally exceeded the VAR estimate at the Citigroup level, driven by higher volatility in the interest rate and foreign exchange markets following the release of weak non-farm payroll data. Separately, trading losses on November 14, 2016 exceeded the VAR estimate at the Citigroup level, driven by the widening of municipal bond yields following the election results in the United States.

The difference between the 41% of days with buy-and-hold gains for Regulatory VAR back-testing and the 99% of days with trading, net interest and other revenue associated with Citi’s trading businesses, shown in the histogram of daily trading-related revenue below, reflects, among other things, that a significant portion of Citi’s trading-related revenue is not generated from daily price movements on these positions and exposures, as well as differences in the portfolio composition of Regulatory VAR and Risk Management VAR.

Regulatory Trading VAR and Associated Buy-and-Hold Profit and Loss ⁽¹⁾—12 Months ended December 31, 2016

In millions of dollars

(1) Buy-and-hold profit and loss, as defined by the banking regulators under Basel III, represents the daily mark-to-market revenue movement attributable to the trading position from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest intra-day trading profit and loss on new and terminated trades, as well as changes in reserves. Therefore, it is not comparable to the trading-related revenue presented in the chart of daily trading-related revenue above.

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Stress Testing

Citi performs stress testing on a regular basis to estimate the impact of extreme market movements. It is performed on individual positions and trading portfolios, as well as in aggregate, inclusive of multiple trading portfolios. Citi’s Market Risk management, after consultations with the businesses, develops both systemic and specific stress scenarios, reviews the output of periodic stress testing exercises, and uses the information to assess the ongoing appropriateness of exposure levels and limits. Citi uses two complementary approaches to market risk stress testing across all major risk factors (i.e., equity, foreign exchange, commodity, interest rate and credit spreads): top-down systemic stresses and bottom-up business-specific stresses. Systemic stresses are designed to quantify the potential impact of extreme market movements on an institution-wide basis, and are constructed using both historical periods of market stress and projections of adverse economic scenarios. Business-specific stresses are designed to probe the risks of particular portfolios and market segments, especially those risks that are not fully captured in VAR and systemic stresses.

The systemic stress scenarios and business-specific stress scenarios at Citi are used in several reports reviewed by senior management and also to calculate internal risk capital for trading market risk. In general, changes in market factors are defined over a one-year horizon. However, for the purpose of calculating internal risk capital, changes in a very limited number of the most liquid market factors are defined over a shorter two-month horizon. The limited set of market factors subject to the shorter two-month time horizon are those that in management’s judgment have historically remained very liquid during financial crises, even as the trading liquidity of most other market factors materially decreased.

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OPERATIONAL RISK

Overview

Operational risk is the risk of loss resulting from inadequate or failed internal processes, systems or human factors, or from external events. It includes risk of failing to comply with applicable laws and regulations, but excludes strategic risk. Operational risk includes the reputation and franchise risk associated with business practices or market conduct in which Citi is involved, as well as compliance, conduct and legal risks.

Operational risk is inherent in Citi’s global business activities, as well as related support processes, and can result in losses arising from events associated with the following, among others:

• fraud, theft and unauthorized activity;

• employment practices and workplace environment;

• clients, products and business practices;

• physical assets and infrastructure; and

• execution, delivery and process management.

Citi manages operational risk consistent with the overall framework described in “Managing Global Risk—Overview” above. The Company’s goal is to keep operational risk at appropriate levels relative to the characteristics of Citi’s businesses, the markets in which it operates, its capital and liquidity, and the competitive, economic and regulatory environment.

To anticipate, mitigate and control operational risk, Citi has established policies and a global framework for assessing, monitoring and communicating operational risks and the overall operating effectiveness of the internal control environment across Citigroup. As part of this framework, Citi has established a manager’s control assessment (MCA) process (a process through which managers at Citi identify, monitor, measure, report on and manage risks and the related controls) to help managers self-assess significant operational risks and key controls and identify and address weaknesses in the design and/or operating effectiveness of internal controls that mitigate significant operational risks.

Each major business segment must implement an operational risk process consistent with the requirements of this framework. The process for operational risk management includes the following steps:

• identify and assess key operational risks;

• design controls to mitigate identified risks;

• establish key risk indicators;

• implement a process for early problem recognition and timely escalation;

• produce comprehensive operational risk reporting; and

• ensure that sufficient resources are available to actively improve the operational risk environment and mitigate emerging risks.

As new products and business activities are developed, processes are designed, modified or sourced through alternative means and operational risks are considered.

An Operational Risk Management Committee has been established to provide oversight for operational risk across Citigroup and to provide a forum to assess Citi’s operational risk profile and ensure actions are taken so that Citi’s operational risk exposure is actively managed consistent with Citi’s risk appetite. The Committee seeks to ensure that these actions address the root causes that persistently lead to operational risk losses and create lasting solutions to minimize these losses. Members include Citi’s Chief Risk Officer and Citi’s Head of Operational Risk and senior members of their organizations. These members cover multiple dimensions of risk management and include business and regional Chief Risk Officers and senior operational risk managers.

In addition, Risk management, including Operational Risk Management, works proactively with the businesses and other independent control functions to embed a strong operational risk management culture and framework across Citi. Operational Risk Management engages with the businesses to ensure effective implementation of the Operational Risk Management framework by focusing on (i) identification, analysis and assessment of operational risks; (ii) effective challenge of key control issues and operational risks; and (iii) anticipation and mitigation of operational risk events.

Information about the businesses’ operational risk, historical operational risk losses and the control environment is reported by each major business segment and functional area. The information is summarized and reported to senior management, as well as to the Audit Committee of Citi’s Board of Directors.

Operational risk is measured and assessed through risk capital. Projected operational risk losses under stress scenarios are also required as part of the Federal Reserve Board’s CCAR process.

Compliance Risk

Compliance Risk Appetite Framework

Citi’s risk appetite framework outlines Citi’s compliance risk appetite, how Citi manages its adherence to its compliance risk appetite and how Citi evaluates the effectiveness of its controls for managing compliance risks. This framework is executed through:

• Establishing a risk appetite: Citi establishes its compliance risk appetite by setting limits on the types of business in which Citi will engage, the products and services Citi will offer, the types of customers which Citi will service, the counterparties with which Citi will deal and the locations where Citi will do business. These limits are guided by Citi’s mission and value proposition and the principle of responsible finance, Citi’s adherence to relevant standards of conduct, as well as to relevant and applicable laws, rules, regulations and Citi’s internal policies.

• Adhering to this risk appetite: Citi manages adherence to its compliance risk appetite through the execution of its compliance program, which includes governance arrangements, a policy framework, customer onboarding

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and maintenance processes, product development processes, transaction and communication surveillance processes, conduct- and culture-related programs, monitoring regulatory changes, new products, services and complex transactions approval processes and training. At Citi, it is the responsibility of each employee to escalate breaches of the compliance risk appetite in a timely manner.

• Evaluating the effectiveness of risk appetite controls: Each business and Compliance evaluate the effectiveness of controls for managing compliance risk through the manager’s control assessment (MCA) process. Citi also relies on compliance risk assessments; a policy framework; compliance testing and monitoring processes; compliance metrics related to key operating risks, key risk indicators, and control-effectiveness indicators; and Internal Audit’s examinations and reports.

Compliance Program

Compliance aims to operate Citi’s compliance risk appetite— and thus minimize, mitigate or manage compliance risks— through Citi’s compliance program. To achieve this mission, Compliance seeks to:

• Understand the regulatory environment, requirements and expectations to which Citi’s activities are subject. Compliance coordinates with Legal and other independent control functions, as appropriate, to identify, communicate and document key regulatory requirements and changes.

• Assess the compliance risks of business activities and the state of mitigating controls, including the risks and controls in legal entities in which activity is conducted. To facilitate the identification and assessment of compliance risk, Compliance works with the businesses and other independent control functions to review and provide credible challenge regarding significant compliance and regulatory issues and the results of testing, monitoring, and internal and external exams and audits.

• Define Citi’s appetite, in conjunction with senior management and Citigroup’s Board of Directors, for prudent compliance and regulatory risk consistent with its culture of compliance, control and responsible finance. As noted above, Citi has developed a compliance risk appetite framework that is designed to identify, measure, monitor, mitigate and control compliance risk.

• Develop controls and execute programs reasonably designed to promote conduct that is consistent with Citi’s compliance risk appetite and promptly detect and mitigate behavior that is inconsistent with this appetite. Compliance has product-related compliance functions, such as those for Global Consumer Banking and the Institutional Clients Group. Compliance also has regional programs together with thematic groups and programs, including the enterprise compliance risk management group and programs that focus on anti-bribery and corruption, conduct and culture, ethics, privacy and sanctions. Each of these functions, programs and groups aims to mitigate Citi’s exposure to conduct that is inconsistent with Citi’s compliance risk appetite.

• Detect, report on, escalate and remediate key compliance and franchise risks and control issues; test controls for design and operating effectiveness; promptly address issues and track remediation efforts. Compliance designs and implements policies, standards, procedures, guidelines, surveillance reports and other solutions for use by the business and Compliance to promptly detect, address and remediate issues, test controls for design and operating effectiveness and track remediation efforts.

• Engage with the Citigroup Board, business management, operating committees and Citi’s regulators to foster effective global governance. Compliance provides regular reports on emerging risks and other issues and their implications for Citi, as well as the performance of the compliance program, to the Citigroup Board of Directors, including the Audit and Ethics and Culture Committees, as well as other committees of the Board. Compliance also engages with business management on an ongoing basis through various mechanisms, including governance committees, and supports and advises the businesses and other global functions in managing regulatory relationships.

• Advise and train Citi personnel across businesses, functions, regions and legal entities in conforming to laws, regulations and other relevant standards of conduct. Compliance helps promote a strong culture of compliance and control by increasing awareness and capability across Citi on key compliance issues through training and communication programs. A fundamental element of Citi’s culture is the requirement that Citi conduct itself in accordance with the highest standards of ethical behavior. Compliance plays a key role in developing company-wide initiatives designed to further embed ethics in Citi’s culture.

• Enhance the compliance program. Compliance fulfills its obligation to enhance the compliance program in part by using results from its annual compliance risk assessment to shape annual and multi-year program enhancements.

Conduct Risk

Citi manages its exposure to conduct risk through the three lines of defense, as discussed above. Each employee in each line of defense is guided by Citi’s mission and value proposition and the principle of responsible finance. Citi’s leadership standards, which are aligned with Citi’s mission and value proposition, outline Citi’s expectations of employees’ behavior, and employees’ performance is evaluated against those standards. Citi’s businesses and functions are responsible for managing their conduct risks. Compliance advises Citi’s businesses and other functions on conduct risks and associated controls. Internal Audit, among other work, assesses the adequacy and effectiveness of Citi’s management of and controls for conduct risk.

Citi uses business self-assessment and control function assessments to assess the design and operation of controls that are utilized to manage the institution’s conduct risks. Citi also manages its conduct risk through other initiatives, including various culture-related efforts.

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Legal Risk

Citi views legal risk as qualitative in nature because it does not lend itself to an appetite expressed through a numerical limit and it cannot be reliably estimated or measured based on forecasts. As such, Citi seeks to manage this risk in accordance with its qualitative risk appetite principle, which generally states that activities in which Citi engages and the risks those activities generate must be consistent with Citi’s underlying commitment to the principle of responsible finance and managed with a goal to eliminate, minimize or mitigate this risk, as practicable. To accomplish this goal, legal risk is managed in accordance with the overall framework described in greater detail in “Managing Global Risk—Overview” above.

Reputational Risk

Citi’s reputation is a vital asset in building trust with its stakeholders and Citi is diligent in communicating its corporate values, including the importance of protecting Citi’s reputation, to its employees, customers and investors.  The responsibility for maintaining Citi’s reputation is shared by all employees, who are guided by Citi’s Code of Conduct.  Employees are expected to exercise sound judgment and common sense in every action they take and issues that present potential franchise, reputational and/or systemic risks are to be appropriately escalated.  The business practices committees for each of Citi’s businesses and regions are part of the governance infrastructure Citi has in place to properly review business activities, sales practices, product design, perceived conflicts of interest and other potential franchise or reputational risks that arise in these businesses and regions.  These committees may also raise potential franchise, reputational or systemic risks for due consideration by the business practices committee at the corporate level.   All of these committees, which are composed of Citi’s most senior executives, provide the guidance necessary for Citi’s business practices to meet the highest standards of professionalism, integrity and ethical behavior consistent with Citi’s mission and value proposition.

STRATEGIC RISK

Citi senior management, led by Citi’s CEO, is responsible for the development and execution of the strategy of the firm. Significant strategic actions are reviewed and approved by, or notified to, the Citigroup and Citibank Boards, as appropriate.  The Citigroup Board holds an annual strategic meeting and annual regional strategic meetings, and receives business presentations at its regular meetings, in order to monitor management’s execution of Citi’s strategy. At the business level, business heads are accountable for the interpretation and execution of the firm-wide strategy, as it applies to their area, including decisions on new business and product entries.

The management of strategic risk rests upon the foundational elements that include an annual financial operating plan encompassing all businesses, products and geographies and defined financial and operating targets, derived from the operating plan, which can be monitored throughout the year in order to assess strategic and operating performance.   Strategic risk is monitored through various

mechanisms including regular updates to senior management and the Board on performance against the operating plan, quarterly business reviews between the Citi CEO and business and regional CEOs where the performance and risks of each major business and region are discussed, ongoing reporting to senior management and executive management scorecards.

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Country Risk

Top 25 Country Exposures

The following table presents Citi’s top 25 exposures by

country (excluding the U.S.) as of December 31, 2016. 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, with respect to the U.K., only 23% of corporate

loans presented in the table below are to U.K. domiciled

entities (25% for unfunded commitments), with the balance of

the loans predominately to European domiciled counterparties.

Approximately 80% of the total U.K. funded loans and 88% of the total U.K. unfunded commitments were investment grade as of December 31, 2016. 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.

For a discussion of uncertainties arising as a result of the vote in the U.K. to withdraw from the EU, see “Risk Factors—Strategic Risks” above.

In billions of dollars	ICG loans(1)		GCB loans(2)		Other funded(3)		Unfunded(4)		Net MTM on Derivatives/Repos(5)		Total hedges (on loans and CVA)			Investment securities(6)		Trading account assets(7)			Total as of 4Q16		Total as of 3Q16		Total as of 4Q15
United Kingdom	$	28.9	$	—	$	3.4	$	56.8	$	11.7	$	(2.1	)	$	10.0	$	(1.2	)	$	107.5	$	112.2	$	110.4
Mexico	7.4		23.1		0.3		5.7		0.7		(0.8		)	13.4		2.6			52.4		56.1		60.4
Singapore	11.5		11.5		—		5.1		0.6		(0.3		)	7.4		0.6			36.4		38.1		36.7
Hong Kong	12.2		10.3		0.6		5.3		0.4		(0.7		)	5.6		2.2			35.9		35.2		35.2
Korea	2.4		17.9		0.3		3.7		2.0		(1.0		)	7.4		1.3			34.0		39.1		39.3
India	10.0		6.3		0.7		4.8		1.8		(1.3		)	7.4		1.2			30.9		30.6		33.0
Brazil	13.4		0.2		0.2		3.5		4.4		(2.7		)	3.4		4.4			26.8		31.3		23.2
Ireland	7.9		—		0.7		15.6		0.3		—			—		0.3			24.8		24.2		22.0
Australia	3.5		9.6		0.2		5.7		0.8		(0.9		)	4.1		(0.6		)	22.4		24.4		24.5
Japan	2.5		—		0.2		7.3		5.2		(1.6		)	3.3		1.4			18.3		17.6		9.1
China	5.4		4.1		0.2		1.4		1.4		(0.8		)	4.6		0.9			17.2		16.2		23.0
Canada	1.7		0.6		2.3		6.3		1.9		(1.1		)	4.6		0.7			17.0		17.0		16.5
Taiwan	4.4		8.0		0.1		1.1		0.7		(0.3		)	1.3		1.3			16.6		15.9		14.8
Germany	0.1		—		—		3.8		4.3		(3.2		)	10.9		0.1			16.0		18.7		18.8
Poland	2.9		1.6		—		2.5		0.2		(0.3		)	4.3		0.6			11.8		12.1		13.1
Malaysia	1.6		4.3		0.2		1.6		0.4		(0.2		)	0.5		0.9			9.3		10.5		9.2
United Arab Emirates	3.0		1.4		0.1		1.6		0.5		(0.4		)	—		(0.2		)	6.0		6.2		6.4
Thailand	0.8		2.0		—		1.1		—		—			1.7		0.2			5.8		6.3		5.4
Colombia	2.4		1.7		—		1.1		0.1		(0.1		)	0.4		—			5.6		5.6		5.7
Luxembourg	—		—		0.1		—		0.5		(0.2		)	4.8		0.2			5.4		6.0		4.9
Russia	2.0		0.9		—		0.9		0.5		(0.3		)	0.8		0.5			5.3		4.6		5.0
Italy	0.3		—		—		2.3		6.1		(5.1		)	0.2		1.5			5.3		6.7		6.6
Indonesia	1.8		1.1		—		1.1		—		(0.2		)	1.3		0.1			5.2		5.6		4.4
Netherlands	—		—		—		—		1.5		(0.7		)	5.0		(0.7		)	5.1		6.7		7.1
Chile	1.6		—		2.1		0.1		0.2		—			—		—			4.0		4.0		3.8

(1) ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of December 31, 2016, private bank loans in the table above totaled $18.5 billion, concentrated in Singapore ($6.6 billion), Hong Kong ($5.4 billion) and the U.K. ($5.1 billion).                    

(2) GCB loans include funded loans in Brazil and Colombia related to businesses that were transferred to Citi Holdings as of January 1, 2016.    

(3) Other funded includes other direct exposure such as accounts receivable, loans held-for-sale, other loans in Citi Holdings and investments accounted for under the equity method.                                        

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

(5) Net mark-to-market (MTM) on derivatives and securities lending / borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.                                        

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(6) Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost.                                        

(7) Trading account assets are shown on a net basis and include derivative exposure where the underlying reference entity is located in that country.

Argentina

As of December 31, 2016, Citi’s net investment in its Argentine operations was approximately $725 million, compared to $747 million at December 31, 2015.

Citi uses the Argentine peso as the functional currency in Argentina and translates its financial statements into U.S. dollars using the official exchange rate as published by the Central Bank of Argentina. The impact of devaluations of the Argentine peso on Citi’s net investment in Argentina, net of hedges, is reported as a translation loss in stockholders’ equity.

Although Citi currently uses the Argentine peso as the functional currency, an increase in inflation resulting in a cumulative three-year inflation rate of 100% or more would result in a change in the functional currency to the U.S. dollar. Citi has historically based its evaluation of the cumulative three-year inflation rate on the CPI (Consumer Price Index) inflation statistics published by INDEC, the Argentine government’s statistics agency.  However, for the period from November 2015 to April 2016, INDEC did not publish CPI statistics which has led to uncertainty about the cumulative three-year inflation rates. As of December 31, 2016, Citi evaluated the available CPI statistics as well as inflation statistics published by the Argentine Central Bank and concluded that Argentina’s cumulative three-year inflation rate had not reached 100%. However, uncertainty continues as to the cumulative three-year inflation rate and additional information received in future periods could result in a change of functional currency to the U.S. dollar in 2017.

While a change in the functional currency to the U.S. dollar would not result in any immediate gains or losses to Citi, it would result in future changes in the Argentine peso to U.S. dollar exchange rate being recorded in earnings for Citi’s Argentine peso-denominated assets and liabilities instead of stockholder’s equity. 

FFIEC—Cross-Border Claims on Third Parties and Local Country Assets

Citi’s cross-border disclosures are based on the country exposure bank regulatory reporting guidelines of the Federal Financial Institutions Examination Council (FFIEC). The following summarizes some of the FFIEC key reporting guidelines:

• Amounts are based on the domicile of the ultimate obligor, counterparty, collateral, issuer or guarantor, as applicable.

• Amounts do not consider the benefit of collateral received for securities financing transactions (i.e., repurchase agreements, reverse repurchase agreements and securities loaned and borrowed) and are reported based on notional amounts.

• Netting of derivatives receivables and payables, reported at fair value, is permitted, but only under a legally binding netting agreement with the same specific counterparty, and does not include the benefit of margin received or hedges.

• The netting of long and short positions for AFS securities and trading portfolios is not permitted.

• Credit default swaps (CDS) are included based on the gross notional amount sold and purchased and do not include any offsetting CDS on the same underlying entity.

• Loans are reported without the benefit of hedges.

Given the requirements noted above, Citi’s FFIEC cross-border exposures and total outstandings tend to fluctuate, in some cases, significantly, from period to period. As an example, because total outstandings under FFIEC guidelines do not include the benefit of margin or hedges, market volatility in interest rates, foreign exchange rates and credit spreads may cause significant fluctuations in the level of total outstandings, all else being equal.

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The tables below set forth each country whose total outstandings exceeded 0.75% of total Citigroup assets:

	December 31, 2016
	Cross-border claims on third parties and local country assets
In billions of U.S. dollars	Banks (a)		Public (a)		NBFIs(1) (a)		Other (corporate and households) (a)		Trading assets(2) (included in (a))		Short-term claims(2) (included in (a))		Total outstanding(3) (sum of (a))		Commitments  and guarantees(4)		Credit derivatives purchased(5)		Credit derivatives sold(5)
United Kingdom	$	15.0	$	18.1	$	35.4	$	23.2	$	8.7	$	47.0	$	91.7	$	23.2	$	100.0	$	98.8
Mexico	6.4		18.3		7.2		30.2		4.5		29.3		62.1		17.0		6.8		6.2
Japan	21.1		27.3		7.4		3.0		7.2		42.0		58.8		7.2		25.3		24.9
Cayman Islands	0.1		—		51.6		3.8		1.3		32.0		55.5		2.9		—		—
Germany	7.9		27.6		7.9		6.7		4.2		28.3		50.1		12.9		61.8		60.1
France	15.8		4.3		24.5		2.8		2.9		36.1		47.4		11.9		61.5		61.2
Korea	2.2		15.4		0.8		21.6		1.4		32.1		40.0		16.4		10.6		9.1
Singapore	2.6		17.4		2.3		14.3		1.1		28.1		36.6		11.0		1.3		1.3
India	5.7		11.5		2.1		13.3		2.8		23.2		32.6		7.8		2.0		1.5
Brazil	3.8		11.4		0.8		15.2		5.1		19.8		31.2		5.1		11.3		9.6
Australia	6.2		7.4		4.4		12.3		6.0		14.2		30.3		11.0		17.5		17.3
China	4.2		12.2		2.4		11.2		3.8		25.7		30.0		3.9		12.1		12.8
Hong Kong	0.9		10.3		2.7		13.5		4.9		24.5		27.4		11.7		3.5		2.7
Netherlands	4.8		9.9		6.0		4.6		2.1		14.3		25.3		7.7		27.1		27.1
Switzerland	1.9		13.1		1.1		4.8		0.7		17.1		20.9		5.5		18.9		18.8
Canada	4.2		4.5		5.1		6.2		2.2		8.4		20.0		13.9		6.0		6.3
Taiwan	0.9		5.8		1.7		11.4		1.9		15.5		19.8		12.6		0.1		0.1
Italy	2.4		8.7		1.3		0.7		3.8		5.9		13.1		2.7		63.7		62.1

	December 31, 2015
	Cross-border claims on third parties and local country assets
In billions of U.S. dollars	Banks (a)		Public (a)		NBFIs(1) (a)		Other (corporate and households) (a)		Trading assets(2) (included in (a))		Short-term claims(2) (included in (a))		Total outstanding(3) (sum of (a))		Commitments  and guarantees(4)		Credit derivatives purchased(5)		Credit derivatives sold(5)
United Kingdom	$	25.0	$	20.4	$	58.9	$	16.1	$	12.0	$	57.1	$	120.4	$	23.9	$	85.5	$	85.2
Mexico	7.6		22.9		6.7		34.9		6.5		34.9		72.1		17.9		7.1		6.5
Cayman Islands	0.1		—		59.2		2.6		1.5		40.3		61.9		2.5		—		—
Germany	10.8		17.7		10.1		6.9		5.3		17.1		45.5		10.5		66.3		66.3
France	20.4		3.7		17.4		3.2		3.6		27.5		44.7		11.0		71.3		71.1
Korea	1.1		17.5		0.8		23.5		1.7		34.1		42.9		12.8		11.6		9.7
Japan	11.4		18.8		4.1		2.5		6.3		26.7		36.8		3.2		27.5		27.2
China	9.5		10.7		3.5		11.5		5.3		25.1		35.2		4.1		11.8		12.5
India	6.4		12.7		3.5		12.4		5.8		24.4		35.0		7.7		2.2		1.8
Singapore	2.3		12.7		2.1		14.6		0.3		22.3		31.7		13.0		1.6		1.5
Australia	6.7		6.3		4.6		13.7		4.1		9.1		31.3		11.2		25.1		24.7
Netherlands	5.1		10.2		10.0		5.0		2.6		12.7		30.3		8.1		27.6		27.5
Brazil	4.5		9.0		1.1		14.2		3.6		17.7		28.8		4.8		12.1		10.2
Hong Kong	1.3		7.8		3.2		15.2		3.2		18.8		27.5		12.8		2.7		1.9
Switzerland	5.2		16.1		1.5		4.5		0.6		19.8		27.3		5.3		21.9		22.1
Canada	5.2		4.2		5.8		6.0		2.1		9.1		21.2		12.8		7.1		8.0
Taiwan	2.0		5.9		2.1		9.8		1.4		12.2		19.8		12.5		0.1		0.1
Italy	2.8		11.3		0.6		1.5		6.1		8.0		16.2		3.0		69.3		67.0

(1) Non-bank financial institutions.

(2) Included in total outstanding.

(3) Total outstanding includes cross-border claims on third parties, as well as local country assets. Cross-border claims on third parties include cross-border loans, securities, deposits with banks and other monetary assets, as well as net revaluation gains on foreign exchange and derivative products.

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(4) Commitments (not included in total outstanding) include legally binding cross-border letters of credit and other commitments and contingencies as defined by the FFIEC guidelines. The FFIEC definition of commitments includes commitments to local residents to be funded with local currency liabilities originated within the country.

(5) CDS are not included in total outstanding.

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SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES

Note 1 to the Consolidated Financial Statements contains a summary of Citigroup’s significant accounting policies, including a discussion of recently issued accounting pronouncements. 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” above). 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. Substantially all of

these assets and liabilities are reflected at fair value on Citi’s

Consolidated Balance Sheet.

Citi purchases securities under agreements to

resell (reverse repos) and sells securities under agreements

to repurchase (repos), a majority of which are 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 the Consolidated Balance Sheet to meet

customer needs and to manage liquidity needs, interest rate risks and private equity investing.

When available, Citi generally uses quoted market prices 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 upon 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 value drivers to the valuation of an instrument and the degree of illiquidity and subsequent lack of observability in certain markets. These judgments have the potential to impact the Company’s financial performance for instruments where the changes in

fair value are recognized in either the Consolidated Statement of Income or in AOCI.

Moreover, for certain 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). Adjudicating the temporary nature of fair value impairments 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 1, 6, 24 and 25 to the Consolidated Financial Statements.

Allowance for Credit Losses

Management provides reserves for an estimate of probable losses inherent in the funded loan portfolio and in unfunded loan commitments and standby letters of credit on the Consolidated Balance Sheet in the Allowance for loan losses and in Other liabilities, respectively.

Estimates of these probable losses are based upon (i) Citigroup’s internal system of credit-risk ratings that are analogous to the risk ratings of the major credit rating agencies; and (ii) historical default and loss data, including rating agency information regarding default rates from 1983 to 2015, and internal data dating to the early 1970s on severity of losses in the event of default. Adjustments may be made to this data, including (i) statistically calculated estimates to cover the historical fluctuation of the default rates over the credit cycle, the historical variability of loss severity among defaulted loans and the degree to which there are large obligor concentrations in the global portfolio; and (ii) adjustments made for specifically known items, such as current environmental factors and credit trends.

In addition, representatives from both the risk management and finance staffs who cover business areas with delinquency-managed portfolios containing smaller balance homogeneous loans present their recommended reserve balances based upon leading credit indicators, including loan delinquencies and changes in portfolio size, as well as economic trends, including housing prices, unemployment and GDP. This methodology is applied separately for each individual product within each geographic region in which these portfolios exist.

This evaluation process is subject to numerous estimates and judgments. The frequency of default, risk ratings, loss recovery rates, the size and diversity of individual large credits, and the ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account during this review. Changes in these estimates could have a direct impact on Citi’s credit costs and the allowance in any period.

For a further description of the loan loss reserve and related accounts, see Notes 1 and 15 to the Consolidated Financial Statements.

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Goodwill

Citi tests goodwill for impairment annually on July 1 (the annual test) and between annual tests (the interim 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, such as 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 significant decline in Citi’s stock price. During 2016, annual and interim tests were performed, which resulted in no goodwill impairment as described in Note 16 to the Consolidated Financial Statements.

As of December 31, 2016, Citigroup consists of the following business segments: Global Consumer Banking, Institutional Clients Group and Citi Holdings. Goodwill impairment testing is performed at the level below the business segment (referred to as a reporting unit). Goodwill is recorded in a business combination under the acquisition method of accounting when the acquisition price is higher than the fair value of net assets, including identifiable intangible assets. At the time a business is acquired, goodwill is allocated to Citi’s applicable reporting units based on relative fair value. Once goodwill has been allocated to the reporting units, it generally no longer retains its identification with a particular acquisition, but instead becomes identified with the reporting unit as a whole. As a result, all of the fair value of each reporting unit is available to support the allocated goodwill. If any significant business reorganization occurs, Citi may reallocate the goodwill.

Consistent with prior years, Citi utilizes allocated equity as a proxy for the carrying value of its reporting units for purposes of goodwill impairment testing. The allocated equity in the reporting units is determined based on the capital the business would require if it were operating as a standalone entity, incorporating sufficient capital to be in compliance with regulatory capital requirements, including capital for specifically identified goodwill and intangible assets. The capital allocated to the businesses is incorporated into the annual budget process, which is reviewed by Citi’s Board of Directors.

Goodwill impairment testing involves management judgment, requiring an assessment of whether the carrying value of the reporting unit can be supported by the fair value of the reporting unit using widely accepted valuation techniques, such as the market approach (earnings multiples and/or transaction multiples) and/or the income approach (discounted cash flow (DCF) method). In applying these methodologies, Citi utilizes a number of factors, including actual operating results, future business plans, economic projections and market data.

Similar to 2015, Citigroup engaged an independent valuation specialist in 2016 to assist in Citi’s valuation for most of the reporting units employing both the market approach and the DCF method. For reporting units where both methods were utilized in 2016, the resulting fair values were relatively consistent and appropriate weighting was given to outputs from both methods.

The DCF method utilized at the time of each impairment test used discount rates that Citi believes adequately reflected the risk and uncertainty in the financial markets in the

internally generated cash flow projections. The DCF method employs a capital asset pricing model in estimating the discount rate. Citi continues to value the remaining reporting units where it believes the risk of impairment to be low, using primarily the market approach.

Since none of the Company’s reporting units are publicly traded, individual reporting unit fair-value determinations cannot be directly correlated to Citigroup’s common stock price. The sum of the fair values of the reporting units at July 1, 2016 exceeded the overall market capitalization of Citi as of July 1, 2016. However, Citi believes that it is not meaningful to reconcile the sum of the fair values of the Company’s reporting units to its market capitalization due to several factors. The market capitalization of Citigroup reflects the execution risk in a transaction involving Citigroup due to its size. However, the individual reporting units’ fair values are not subject to the same level of execution risk nor a business model that is perceived to be as complex. In addition, the market capitalization of Citigroup does not include consideration of the individual reporting unit’s control premium.

See Note 16 to the Consolidated Financial Statements for additional information on goodwill, including the changes in the goodwill balance year-over-year and the reporting unit goodwill balances as of December 31, 2016.

Income Taxes

Overview

Citi is subject to the income tax laws of the U.S., its states and local municipalities and the foreign jurisdictions in which Citi operates. These tax laws are complex and are subject to differing interpretations by the taxpayer and the relevant governmental taxing authorities. Disputes over interpretations of the tax laws may be subject to review and adjudication by the court systems of the various tax jurisdictions or may be settled with the taxing authority upon audit.

In establishing a provision for income tax expense, Citi must make judgments and interpretations about the application of these inherently complex tax laws. Citi must also make estimates about when in the future certain items will affect taxable income in the various tax jurisdictions, both domestic and foreign. Deferred taxes are recorded for the future consequences of events that have been recognized in the financial statements or tax returns, based upon enacted tax laws and rates. Deferred tax assets (DTAs) are recognized subject to management’s judgment that realization is more-likely-than-not.

DTAs

At December 31, 2016, Citi had recorded net DTAs of $46.7 billion. In the fourth quarter of 2016, Citi’s DTAs increased by $1.2 billion, driven by movements in AOCI, partially offset by earnings. On a full-year basis, Citi’s DTAs decreased $1.2 billion from $47.8 billion at December 31, 2015. The decrease in total DTAs year-over-year was primarily due to earnings partially offset by an increase in AOCI.

Foreign tax credits (FTCs) comprised approximately $14.2 billion of Citi’s DTAs as of December 31, 2016,

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compared to approximately $15.9 billion as of December 31, 2015. The decrease in FTCs year-over-year was due to the generation of U.S. taxable income and represented $1.7 billion of the $1.2 billion decrease in Citi’s overall DTAs noted above, offset by the increase in the AOCI-related DTAs. The FTCs carry-forward periods represent the most time-sensitive component of Citi’s DTAs. Accordingly, in 2017, Citi will continue to prioritize reducing the FTC carry-forward component of the DTAs. Secondarily, Citi’s actions will focus on reducing other DTA components and, thereby, reduce the total DTAs. Citi’s DTAs will decline primarily as additional domestic GAAP taxable income is generated.

While Citi’s net total DTAs decreased year-over-year, the time remaining for utilization has shortened, given the passage of time, particularly with respect to the FTCs component of the DTAs. Although realization is not assured, Citi believes that the realization of the recognized net DTAs of $46.7 billion at December 31, 2016 is more-likely-than-not based upon management’s expectations as to future taxable income in the jurisdictions in which the DTAs arise as well as available tax planning strategies (as defined in ASC 740, Income Taxes) that would be implemented, if necessary, to prevent a carry-forward from expiring.

Citi has concluded that it has the necessary positive evidence to support the full realization of its DTAs. Specifically, Citi forecasts sufficient U.S. taxable income in the carry-forward periods, exclusive of ASC 740 tax planning strategies. Citi’s forecasted taxable income, which will continue to be subject to overall market and global economic conditions, incorporates geographic business forecasts and taxable income adjustments to those forecasts (e.g., U.S. tax exempt income, loan loss reserves deductible for U.S. tax reporting in subsequent years), and actions intended to optimize its U.S. taxable earnings. In general, Citi would need to generate approximately $57 billion of U.S. taxable income during the FTCs carry-forward periods to prevent Citi’s FTCs from expiring unutilized.

In addition to its forecasted U.S. taxable income, Citi has tax planning strategies available to it under ASC 740 that would be implemented, if necessary, to prevent a carry-forward from expiring unutilized. These strategies include (i) repatriating low-taxed foreign source earnings for which an assertion that the earnings have been indefinitely reinvested has not been made; (ii) accelerating U.S. taxable income into, or deferring U.S. tax deductions out of, the latter years of the carry-forward period (e.g., selling appreciated assets, electing straight-line depreciation); (iii) accelerating deductible temporary differences outside the U.S.; and (iv) selling certain assets that produce tax-exempt income, while purchasing assets that produce fully taxable income. In addition, the sale or restructuring of certain businesses can produce significant U.S. taxable income within the relevant carry-forward periods.

Based upon the foregoing discussion, Citi believes the U.S. federal and New York state and city net operating loss carry-forward period of 20 years provides enough time to fully utilize the DTAs pertaining to the existing net operating loss carry-forwards and any net operating loss that would be created by the reversal of the future net deductions that have not yet been taken on a tax return.

With respect to the FTCs component of the DTAs, the carry-forward period is 10 years. Citi believes that it will generate sufficient U.S. taxable income within the 10-year carry-forward period to be able to fully utilize the FTCs, in addition to any FTCs produced in such period, which must be used prior to any carry-forward utilization.

For additional information on Citi’s income taxes, including its income tax provision, tax assets and liabilities,

and a tabular summary of Citi’s net DTAs balance as of December 31, 2016 (including the FTCs and applicable

expiration dates of the FTCs), see Note 9 to the Consolidated Financial Statements. For a discussion of the potential impact to Citi’s DTAs that could arise from U.S. corporate tax reform, see “Risk Factors—Strategic Risks” above.

Litigation Accruals

See the discussion in Note 27 to the Consolidated Financial Statements for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.

Accounting Changes and Future Application of Accounting Standards

See Note 1 to the Consolidated Financial Statements for a discussion of “Accounting Changes” and the “Future Application of Accounting Standards.”

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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 December 31, 2016 and, based on that evaluation, the CEO and CFO have concluded that at that date, Citigroup’s disclosure controls and procedures were effective.

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MANAGEMENT’S ANNUAL REPORT ON INTERNAL CONTROL OVER FINANCIAL REPORTING

Citi’s management is responsible for establishing and maintaining adequate internal control over financial reporting. Citi’s internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of its financial reporting and the preparation of financial statements for external reporting purposes in accordance with U.S. generally accepted accounting principles. Citi’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of Citi’s assets; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles and that Citi’s receipts and expenditures are made only in accordance with authorizations of Citi’s management and directors; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of Citi’s assets that could have a material effect on its financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect all misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. In addition, given Citi’s large size, complex operations and global footprint, lapses or deficiencies in internal controls may occur from time to time.

Citi’s management assessed the effectiveness of Citigroup’s internal control over financial reporting as of December 31, 2016 based on the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework (2013). Based on this assessment, management believes that, as of December 31, 2016, Citi’s internal control over financial reporting was effective. In addition, there were no changes in Citi’s internal control over financial reporting during the fiscal quarter ended December 31, 2016 that materially affected, or are reasonably likely to materially affect, Citi’s internal control over financial reporting.

The effectiveness of Citi’s internal control over financial reporting as of December 31, 2016 has been audited by KPMG LLP, Citi’s independent registered public accounting firm, as stated in their report below, which expressed an unqualified opinion on the effectiveness of Citi’s internal control over financial reporting as of December 31, 2016.

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FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-K, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the rules and regulations of the U.S. Securities and Exchange Commission (SEC). In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.

Generally, forward-looking statements are not based on historical facts, but instead represent Citigroup’s and its management’s beliefs regarding future events. Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate and similar expressions or future or conditional verbs such as will, should, would and could.

Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including, without limitation, the precautionary statements included within each individual business’s discussion and analysis of its results of operations and the factors listed and described under “Risk Factors” above.

Any forward-looking statements made by or on behalf of Citigroup speak only as to the date they are made and Citi does not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the date the forward-looking statements were made.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM—

INTERNAL CONTROL OVER FINANCIAL REPORTING

The Board of Directors and Stockholders

Citigroup Inc.:

We have audited Citigroup Inc. and subsidiaries’ (the “Company” or “Citigroup”) internal control over financial reporting as of December 31, 2016, based on criteria established in Internal Control-Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). The Company’s management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying management’s annual report on internal control over financial reporting. Our responsibility is to express an opinion on the Company’s internal control over financial reporting based on our audit.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects. Our audit included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audit also included performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.

A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s

internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the company’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

In our opinion, Citigroup maintained, in all material respects, effective internal control over financial reporting as of December 31, 2016, based on criteria established in Internal Control-Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission.

We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the consolidated balance sheet of Citigroup as of December 31, 2016 and 2015, and the related consolidated statements of income, comprehensive income, changes in stockholders’ equity and cash flows for each of the years in the three-year period ended December 31, 2016, and our report dated February 24, 2017 expressed an unqualified opinion on those consolidated financial statements.

/s/ KPMG LLP

New York, New York

February 24, 2017

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM—

CONSOLIDATED FINANCIAL STATEMENTS

The Board of Directors and Stockholders

Citigroup Inc.:

We have audited the accompanying consolidated balance sheet of Citigroup Inc. and subsidiaries (the “Company” or “Citigroup”) as of December 31, 2016 and 2015, and the related consolidated statements of income, comprehensive income, changes in stockholders’ equity and cash flows for each of the years in the three-year period ended December 31, 2016. These consolidated financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on these consolidated financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of Citigroup as of December 31, 2016 and 2015, and the results of its operations and its cash flows for each of the years in the three-year period ended December 31, 2016, in conformity with U.S. generally accepted accounting principles.

We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), Citigroup’s internal control over financial reporting as of December 31, 2016, based on criteria established in Internal Control-Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO), and our report dated February 24, 2017 expressed an unqualified opinion on the effectiveness of the Company’s internal control over financial reporting.

/s/ KPMG LLP

New York, New York

February 24, 2017

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FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS

CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Income— For the Years Ended December 31, 2016, 2015 and 2014	129
Consolidated Statement of Comprehensive Income— For the Years Ended December 31, 2016, 2015 and 2014	131
Consolidated Balance Sheet—December 31, 2016 and 2015	132
Consolidated Statement of Changes in Stockholders’ Equity—For the Years Ended December 31, 2016, 2015 and 2014	134
Consolidated Statement of Cash Flows— For the Years Ended December 31, 2016, 2015 and 2014	136

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Note 1—Summary of Significant Accounting Policies	138
Note 2—Discontinued Operations and Significant Disposals	150
Note 3—Business Segments	152
Note 4—Interest Revenue and Expense	153
Note 5—Commissions and Fees	154
Note 6—Principal Transactions	155
Note 7—Incentive Plans	156
Note 8—Retirement Benefits	160
Note 9—Income Taxes	174
Note 10—Earnings per Share	178
Note 11—Federal Funds, Securities Borrowed, Loaned and Subject to Repurchase Agreements	179
Note 12—Brokerage Receivables and Brokerage Payables	183
Note 13—Investments	184
Note 14—Loans	196
Note 15—Allowance for Credit Losses	208

Note 16—Goodwill and Intangible Assets	211
Note 17—Debt	214
Note 18—Regulatory Capital	216
Note 19—Changes in Accumulated Other Comprehensive Income (Loss)	217
Note 20—Preferred Stock	220
Note 21—Securitizations and Variable Interest Entities	222
Note 22—Derivatives Activities	235
Note 23—Concentrations of Credit Risk	250
Note 24—Fair Value Measurement	251
Note 25—Fair Value Elections	272
Note 26—Pledged Assets, Collateral, Guarantees and                    Commitments	276
Note 27—Contingencies	283
Note 28—Condensed Consolidating Financial Statements	292
Note 29—Subsequent Event	303
Note 30—Selected Quarterly Financial Data (Unaudited)	304

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CONSOLIDATED FINANCIAL STATEMENTS

CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries

	Years ended December 31,
In millions of dollars, except per share amounts	2016			2015			2014
Revenues(1)
Interest revenue	$	57,615		$	58,551		$	61,683
Interest expense	12,511			11,921			13,690
Net interest revenue	$	45,104		$	46,630		$	47,993
Commissions and fees	$	10,521		$	11,848		$	13,032
Principal transactions	7,585			6,008			6,698
Administration and other fiduciary fees	3,364			3,648			4,013
Realized gains on sales of investments, net	948			682			570
Other-than-temporary impairment losses on investments
Gross impairment losses	(620		)	(265		)	(432		)
Less: Impairments recognized in AOCI	—			—			8
Net impairment losses recognized in earnings	$	(620	)	$	(265	)	$	(424	)
Insurance premiums	$	836		$	1,845		$	2,110
Other revenue	2,137			5,958			3,227
Total non-interest revenues	$	24,771		$	29,724		$	29,226
Total revenues, net of interest expense	$	69,875		$	76,354		$	77,219
Provisions for credit losses and for benefits and claims
Provision for loan losses	$	6,749		$	7,108		$	6,828
Policyholder benefits and claims	204			731			801
Provision (release) for unfunded lending commitments	29			74			(162		)
Total provisions for credit losses and for benefits and claims	$	6,982		$	7,913		$	7,467
Operating expenses(1)
Compensation and benefits	$	20,970		$	21,769		$	23,959
Premises and equipment	2,542			2,878			3,178
Technology/communication	6,685			6,581			6,436
Advertising and marketing	1,632			1,547			1,844
Other operating	9,587			10,840			19,634
Total operating expenses	$	41,416		$	43,615		$	55,051
Income from continuing operations before income taxes	$	21,477		$	24,826		$	14,701
Provision for income taxes	6,444			7,440			7,197
Income from continuing operations	$	15,033		$	17,386		$	7,504
Discontinued operations
Income (loss) from discontinued operations	$	(80	)	$	(83	)	$	10
Provision (benefit) for income taxes	(22		)	(29		)	12
Loss from discontinued operations, net of taxes	$	(58	)	$	(54	)	$	(2	)
Net income before attribution of noncontrolling interests	$	14,975		$	17,332		$	7,502
Noncontrolling interests	63			90			192
Citigroup’s net income	$	14,912		$	17,242		$	7,310
Basic earnings per share(2)
Income from continuing operations	$	4.74		$	5.43		$	2.21
Loss from discontinued operations, net of taxes	(0.02		)	(0.02		)	—
Net income	$	4.72		$	5.41		$	2.21
Weighted average common shares outstanding	2,888.1			3,004.0			3,031.6

129

Diluted earnings per share(2)
Income from continuing operations	$	4.74		$	5.42		$	2.20
Income (loss) from discontinued operations, net of taxes	(0.02		)	(0.02		)	—
Net income	$	4.72		$	5.40		$	2.20
Adjusted weighted average common shares outstanding	2,888.3			3,007.7			3,037.0

(1) Certain prior-period revenue and expense lines and totals were reclassified to conform to the current period’s presentation. See Note 3 to the Consolidated Financial Statements.

(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.

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CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME Citigroup Inc. and Subsidiaries

	Years ended December 31,
In millions of dollars	2016			2015			2014
Net income before attribution of noncontrolling interests	$	14,975		$	17,332		$	7,502
Add: Citigroup’s other comprehensive income (loss)
Net change in unrealized gains and losses on investment securities, net of taxes	$	108		$	(964	)	$	1,697
Net change in debt valuation adjustment (DVA), net of taxes(1)	(337		)	—			—
Net change in cash flow hedges, net of taxes	57			292			336
Benefit plans liability adjustment, net of taxes(2)	(48		)	43			(1,170		)
Net change in foreign currency translation adjustment, net of taxes and hedges	(2,802		)	(5,499		)	(4,946		)
Citigroup’s total other comprehensive income (loss)	$	(3,022	)	$	(6,128	)	$	(4,083	)
Total comprehensive income before attribution of noncontrolling interests	$	11,953		$	11,204		$	3,419
Less: Net income attributable to noncontrolling interests	63			90			192
Citigroup’s comprehensive income	$	11,890		$	11,114		$	3,227

(1)    See Note 1 to the Consolidated Financial Statements.

(2)    Reflects adjustments based on the actuarial valuations of Citi’s pension and postretirement plans, including changes in the mortality assumptions at December 31, 2014, and amortization of amounts previously recognized in Accumulated other comprehensive income (loss). See Note 8 to the Consolidated Financial Statements.

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

131

CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries

	December 31,
In millions of dollars	2016			2015
Assets
Cash and due from banks (including segregated cash and other deposits)	$	23,043		$	20,900
Deposits with banks	137,451			112,197
Federal funds sold and securities borrowed or purchased under agreements to resell (including $133,204 and $137,964 as of December 31, 2016 and December 31, 2015, respectively, at fair value)	236,813			219,675
Brokerage receivables	28,887			27,683
Trading account assets (including $80,986 and $92,123 pledged to creditors at December 31, 2016 and December 31, 2015, respectively)	243,925			241,215
Investments:
Available for sale (including $8,239 and $10,698 pledged to creditors as of December 31, 2016 and December 31, 2015, respectively)	299,424			299,136
Held to maturity (including $843 and $3,630 pledged to creditors as of December 31, 2016 and December 31, 2015, respectively)	45,667			36,215
Non-marketable equity securities (including $1,774 and $2,088 at fair value as of December 31, 2016 and December 31, 2015, respectively)	8,213			7,604
Total investments	$	353,304		$	342,955
Loans:
Consumer (including $29 and $34 as of December 31, 2016 and December 31, 2015, respectively, at fair value)	325,366			325,785
Corporate (including $3,457 and $4,971 as of December 31, 2016 and December 31, 2015, respectively, at fair value)	299,003			291,832
Loans, net of unearned income	$	624,369		$	617,617
Allowance for loan losses	(12,060		)	(12,626		)
Total loans, net	$	612,309		$	604,991
Goodwill	21,659			22,349
Intangible assets (other than MSRs)	5,114			3,721
Mortgage servicing rights (MSRs)	1,564			1,781
Other assets (including $15,729 and $6,121 as of December 31, 2016 and December 31, 2015, respectively, at fair value)	128,008			133,743
Total assets	$	1,792,077		$	1,731,210

The following table presents certain assets of consolidated variable interest entities (VIEs), which are included in the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.

	December 31,
In millions of dollars	2016			2015
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs
Cash and due from banks	$	142		$	153
Trading account assets	602			583
Investments	3,636			5,263
Loans, net of unearned income
Consumer	53,401			58,772
Corporate	20,121			22,008
Loans, net of unearned income	$	73,522		$	80,780
Allowance for loan losses	(1,769		)	(2,135		)
Total loans, net	$	71,753		$	78,645
Other assets	158			150
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs	$	76,291		$	84,794

Statement continues on the next page.

132

CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries

(Continued)

	December 31,
In millions of dollars, except shares and per share amounts	2016			2015
Liabilities
Non-interest-bearing deposits in U.S. offices	$	136,698		$	139,249
Interest-bearing deposits in U.S. offices (including $434 and $923 as of December 31, 2016 and December 31, 2015, respectively, at fair value)	300,972			280,234
Non-interest-bearing deposits in offices outside the U.S.	77,616			71,577
Interest-bearing deposits in offices outside the U.S. (including $778 and $667 as of December 31, 2016 and December 31, 2015, respectively, at fair value)	414,120			416,827
Total deposits	$	929,406		$	907,887
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $33,663 and $36,843 as of December 31, 2016 and December 31, 2015, respectively, at fair value)	141,821			146,496
Brokerage payables	57,152			53,722
Trading account liabilities	139,045			117,512
Short-term borrowings (including $2,700 and $1,207 as of December 31, 2016 and December 31, 2015, respectively, at fair value)	30,701			21,079
Long-term debt (including $26,254 and $25,293 as of December 31, 2016 and December 31, 2015, respectively, at fair value)	206,178			201,275
Other liabilities (including $1,500 and $1,624 as of December 31, 2016 and December 31, 2015, respectively, at fair value)	61,631			60,147
Total liabilities	$	1,565,934		$	1,508,118
Stockholders’ equity
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of December 31, 2016 and 668,720 as of December 31, 2015, at aggregate liquidation value	$	19,253		$	16,718
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,482,042 as of December 31, 2016 and December 31, 2015	31			31
Additional paid-in capital	108,042			108,288
Retained earnings	146,477			133,841
Treasury stock, at cost: December 31, 2016—327,090,192 shares andDecember 31, 2015—146,203,311 shares	(16,302		)	(7,677		)
Accumulated other comprehensive income (loss)	(32,381		)	(29,344		)
Total Citigroup stockholders’ equity	$	225,120		$	221,857
Noncontrolling interest	1,023			1,235
Total equity	$	226,143		$	223,092
Total liabilities and equity	$	1,792,077		$	1,731,210

The following table presents certain liabilities of consolidated VIEs, which are included in the Consolidated Balance Sheet above. The liabilities in the table below 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.

	December 31,
In millions of dollars	2016		2015
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup
Short-term borrowings	$	10,697	$	11,965
Long-term debt	23,919		31,273
Other liabilities	1,275		2,099
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup	$	35,891	$	45,337

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

133

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

	Years ended December 31,
	Amounts									Shares
In millions of dollars, except shares in thousands	2016			2015			2014			2016	2015	2014
Preferred stock at aggregate liquidation value
Balance, beginning of year	$	16,718		$	10,468		$	6,738		669	419	270
Issuance of new preferred stock	2,535			6,250			3,730			101	250	149
Balance, end of period	$	19,253		$	16,718		$	10,468		770	669	419
Common stock and additional paid-in capital
Balance, beginning of year	$	108,319		$	108,010		$	107,224		3,099,482	3,082,038	3,062,099
Employee benefit plans	(251		)	357			798			—	17,438	19,928
Preferred stock issuance expense	(37		)	(23		)	(31		)	—	—	—
Other	42			(25		)	19			—	6	11
Balance, end of period	$	108,073		$	108,319		$	108,010		3,099,482	3,099,482	3,082,038
Retained earnings
Balance, beginning of year	$	133,841		$	117,852		$	110,821
Adjustment to opening balance, net of taxes(1)	15			—			—
Adjusted balance, beginning of period	$	133,856		$	117,852		$	110,821
Citigroup’s net income	14,912			17,242			7,310
Common dividends(2)	(1,214		)