Citigroup has a risk management process to monitor, evaluate and manage the principal risks associated with its corporate loan portfolio. As part of its risk management process, Citi assigns numeric risk ratings to its corporate loan facilities based on quantitative and qualitative assessments of the obligor and facility. These risk ratings are reviewed at least annually or more often if material events related to the obligor or facility warrant. Factors considered in assigning the risk ratings include financial condition of the obligor, qualitative assessment of management and strategy, amount and sources of repayment, amount and type of collateral and guarantee arrangements, amount and type of any contingencies associated with the obligor and the obligor’s industry and geography.

The obligor risk ratings are defined by ranges of default probabilities. The facility risk ratings are defined by ranges of loss norms, which are the product of the probability of default and the loss given default. The investment-grade rating categories are similar to the category BBB-/Baa3 and above as defined by S&P and Moody’s. Loans classified according to the bank regulatory definitions as special mention, substandard, doubtful and loss will have risk ratings within the non-investment-grade categories.

Corporate Loans Credit Quality Indicators


	Recorded investment in loans(1)
	Term loans by year of origination												Revolving line of credit arrangements(2)		December 31, 2021
In millions of dollars	2021		2020		2019		2018		2017		Prior
Investment grade(3)
Commercial and industrial(4)	$	42,422	$	5,529	$	4,642	$	3,757	$	2,911	$	8,392	$	30,588	$	98,241
Financial institutions(4)	12,862		1,678		1,183		1,038		419		1,354		43,630		62,164
Mortgage and real estate	2,423		3,660		3,332		2,015		1,212		1,288		141		14,071
Other(5)	9,037		3,099		1,160		2,789		330		4,601		18,727		39,743
Total investment grade	$	66,744	$	13,966	$	10,317	$	9,599	$	4,872	$	15,635	$	93,086	$	214,219
Non-investment grade(3)
Accrual
Commercial and industrial(4)	$	16,783	$	2,281	$	2,343	$	2,024	$	1,412	$	3,981	$	18,676	$	47,500
Financial institutions(4)	4,325		347		567		101		71		511		3,679		9,601
Mortgage and real estate	1,275		869		1,228		1,018		493		586		615		6,084
Other(5)	1,339		349		554		364		119		245		3,236		6,206
Non-accrual
Commercial and industrial(4)	53		119		64		104		94		117		712		1,263
Financial institutions	—		—		—		—		—		—		2		2
Mortgage and real estate	11		8		2		49		10		25		31		136
Other(5)	19		5		19		19		—		90		—		152
Total non-investment grade	$	23,805	$	3,978	$	4,777	$	3,679	$	2,199	$	5,555	$	26,951	$	70,944
Loans at fair value(6)															6,070
Corporate loans, net of unearned income	$	90,549	$	17,944	$	15,094	$	13,278	$	7,071	$	21,190	$	120,037	$	291,233


	Recorded investment in loans(1)
	Term loans by year of origination												Revolving line of credit arrangements(2)		December 31, 2020
In millions of dollars	2020		2019		2018		2017		2016		Prior
Investment grade(3)
Commercial and industrial(4)	$	37,685	$	7,342	$	5,713	$	3,663	$	1,929	$	8,395	$	23,457	$	88,184
Financial institutions(4)	9,039		2,722		1,828		694		356		1,709		36,119		52,467
Mortgage and real estate	3,633		4,187		3,591		1,599		648		943		90		14,691
Other(5)	8,000		2,165		4,274		667		577		4,255		19,757		39,695
Total investment grade	$	58,357	$	16,416	$	15,406	$	6,623	$	3,510	$	15,302	$	79,423	$	195,037
Non-investment grade(3)
Accrual
Commercial and industrial(4)	$	19,566	$	4,769	$	4,584	$	2,883	$	1,151	$	4,540	$	23,239	$	60,732
Financial institutions(4)	7,149		611		625		231		126		193		2,616		11,551
Mortgage and real estate	1,135		1,352		1,550		1,192		553		653		512		6,947
Other(5)	1,064		796		602		333		138		567		1,756		5,256
Non-accrual
Commercial and industrial(4)	260		194		191		143		57		223		1,716		2,784
Financial institutions	—		—		—		—		—		—		33		33
Mortgage and real estate	9		1		3		18		8		30		36		105
Other(5)	14		3		12		29		2		62		2		124
Total non-investment grade	$	29,197	$	7,726	$	7,567	$	4,829	$	2,035	$	6,268	$	29,910	$	87,532
Loans at fair value(6)															6,840
Corporate loans, net of unearned income	$	87,554	$	24,142	$	22,973	$	11,452	$	5,545	$	21,570	$	109,333	$	289,409

(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.

(2)There were no significant revolving line of credit arrangements that converted to term loans during the year.

(3)Held-for-investment loans are accounted for on an amortized cost basis.

(4)Includes certain short-term loans with less than one year in tenor.

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

(6)Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.

Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying collateral with no other available and reliable sources of repayment, are written down to the lower of carrying value or collateral value, less cost to sell. Cash-basis loans are returned to an accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance, generally six months, in accordance with the contractual terms of the loan.

Non-Accrual Corporate Loans

The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans:


	At and for the year ended December 31, 2021


In millions of dollars	Recorded investment(1)		Unpaid principal balance		Related specific allowance		Average carrying value(2)		Interest income recognized(3)
Non-accrual corporate loans
Commercial and industrial	$	1,263	$	1,858	$	198	$	1,839	$	37
Financial institutions	2		55		—		4		—
Mortgage and real estate	136		285		10		163		—
Lease financing	14		14		—		21		—
Other	138		165		4		134		17
Total non-accrual corporate loans	$	1,553	$	2,377	$	212	$	2,161	$	54


	At and for the year ended December 31, 2020

In millions of dollars	Recorded investment(1)		Unpaid principal balance		Related specific allowance		Average carrying value(2)		Interest income recognized(3)
Non-accrual corporate loans
Commercial and industrial	$	2,784	$	3,649	$	438	$	2,635	$	36
Financial institutions	33		122		13		29		—
Mortgage and real estate	105		319		15		92		—
Lease financing	24		24		—		35		—
Other	100		224		12		176		15
Total non-accrual corporate loans	$	3,046	$	4,338	$	478	$	2,967	$	51


	December 31, 2021				December 31, 2020
In millions of dollars	Recorded investment(1)		Related specific allowance		Recorded investment(1)		Related specific allowance
Non-accrual corporate loans with specific allowances
Commercial and industrial	$	637	$	198	$	1,514	$	438
Financial institutions	—		—		31		13
Mortgage and real estate	29		10		37		15
Other	37		4		67		12
Total non-accrual corporate loans with specific allowances	$	703	$	212	$	1,649	$	478
Non-accrual corporate loans without specific allowances
Commercial and industrial	$	626			$	1,270
Financial institutions	2				2
Mortgage and real estate	107				68
Lease financing	14				24
Other	101				33
Total non-accrual corporate loans without specific allowances	$	850	N/A		$	1,397	N/A

(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.

(2)Average carrying value represents the average recorded investment balance and does not include related specific allowances.

(3)Interest income recognized for the year ended December 31, 2019 was $42 million.

N/A Not applicable

Corporate Troubled Debt Restructurings(1)

For the year ended December 31, 2021


In millions of dollars	Carrying value of TDRs modified during the year		TDRs involving changes in the amount and/or timing of principal payments(2)		TDRs involving changes in the amount and/or timing of interest payments(3)		TDRs involving changes in the amount and/or timing of both principal and interest payments
Commercial and industrial	$	82	$	—	$	—	$	82

Mortgage and real estate	4		—		—		4
Other	6		—				6

Total	$	92	$	—	$	—	$	92

For the year ended December 31, 2020


In millions of dollars	Carrying value of TDRs modified during the year		TDRs involving changes in the amount and/or timing of principal payments(2)		TDRs involving changes in the amount and/or timing of interest payments(3)		TDRs involving changes in the amount and/or timing of both principal and interest payments
Commercial and industrial	$	249	$	—	$	—	$	249

Mortgage and real estate	3		—		—		3
Other	13		—		—		13

Total	$	265	$	—	$	—	$	265

(1)The above tables do not include loan modifications that meet the TDR relief criteria in the CARES Act or the interagency guidance.

(2)TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectible may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.

(3)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.

The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.


In millions of dollars	TDR balances at December 31, 2021		TDR loans that re-defaulted in 2021 within one year of modification		TDR balances at December 31, 2020		TDR loans that re-defaulted in 2020 within one year of modification
Commercial and industrial	$	236	$	—	$	325	$	—
Mortgage and real estate	20		—		29		—
Other	28		—		27		—
Total(1)	$	284	$	—	$	381	$	—

(1)The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.

Consumer Loans

Consumer loans represent loans and leases managed primarily by PBWM and Legacy Franchises, except Mexico SBMM.

Citigroup has established a risk management process to monitor, evaluate and manage the principal risks associated with its consumer loan portfolio. Credit quality indicators that are actively monitored include delinquency status, consumer credit scores under Fair Isaac Corporation (FICO) and loan to value (LTV) ratios, each as discussed in more detail below.

Delinquency Status

Delinquency status is monitored and considered a key indicator of credit quality of consumer loans. Principally, the U.S. residential first mortgage loans use the Mortgage Bankers Association (MBA) method of reporting delinquencies, which considers a loan delinquent if a monthly payment has not been received by the end of the day immediately preceding the loan’s next due date. All other loans use a method of reporting delinquencies that considers a loan delinquent if a monthly payment has not been received by the close of business on the loan’s next due date.

As a general policy, residential first mortgages, home equity loans and installment loans are classified as non-accrual when loan payments are 90 days contractually past due. Credit cards and unsecured revolving loans generally accrue interest until payments are 180 days past due. Home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage is 90 days or more past due. Mortgage loans, other than Federal Housing Administration (FHA)-insured loans, are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy.

The policy for re-aging modified U.S. consumer loans to current status varies by product. Generally, one of the conditions to qualify for these modifications is that a minimum number of payments (typically ranging from one to three) be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open-ended consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended consumer loans subject to FFIEC guidelines, one of the conditions for a loan to be re-aged to current status is that at least three consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years).

Furthermore, FHA and Department of Veterans Affairs (VA) loans are modified under those respective agencies’ guidelines and payments are not always required in order to re-age a modified loan to current.

The following tables provide Citi’s consumer loans by type:

Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2021


In millions of dollars	Total current(1)(2)		30–89 days past due(3)(4)		≥ 90 days past due(3)(4)		Past due government guaranteed(5)		Total loans		Non-accrual loans for which there is no ACLL		Non-accrual loans for which there is an ACLL		Total non-accrual		90 days past due and accruing
In North America offices(6)
Residential first mortgages(7)	$	82,234	$	454	$	279	$	394	$	83,361	$	134	$	558	$	692	$	282
Home equity loans(8)(9)	5,546		43		156		—		5,745		64		221		285		—
Credit cards	132,050		947		871		—		133,868		—		—		—		871
Personal, small business and other	39,977		534		164		38		40,713		2		71		73		30
Total	$	259,807	$	1,978	$	1,470	$	432	$	263,687	$	200	$	850	$	1,050	$	1,183
In offices outside North America(6)
Residential mortgages(7)	$	37,566	$	165	$	158	$	—	$	37,889	$	—	$	409	$	409	$	10
Credit cards	17,428		192		188		—		17,808		—		140		140		120
Personal, small business and other	56,930		145		75		—		57,150		—		227		227		22
Total	$	111,924	$	502	$	421	$	—	$	112,847	$	—	$	776	$	776	$	152
Total Citigroup(10)	$	371,731	$	2,480	$	1,891	$	432	$	376,534	$	200	$	1,626	$	1,826	$	1,335

Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2020


In millions of dollars	Total current(1)(2)		30–89 days past due(3)(4)		≥ 90 days past due(3)(4)		Past due government guaranteed(5)		Total loans		Non-accrual loans for which there is no ACLL		Non-accrual loans for which there is an ACLL		Total non-accrual		90 days past due and accruing
In North America offices(6)
Residential first mortgages(7)	$	82,497	$	554	$	381	$	524	$	83,956	$	136	$	698	$	834	$	351
Home equity loans(8)(9)	7,591		78		221		—		7,890		72		338		410		—
Credit cards	127,827		1,228		1,330		—		130,385		—		—		—		1,330
Personal, small business and other	38,535		595		129		—		39,259		2		255		257		1
Total	$	256,450	$	2,455	$	2,061	$	524	$	261,490	$	210	$	1,291	$	1,501	$	1,682
In offices outside North America(6)
Residential mortgages(7)	$	42,405	$	213	$	199	$	—	$	42,817	$	—	$	488	$	488	$	—
Credit cards	21,718		429		545		—		22,692		—		386		386		324
Personal, small business and other	59,028		319		128		—		59,475		—		247		247		52
Total	$	123,151	$	961	$	872	$	—	$	124,984	$	—	$	1,121	$	1,121	$	376
Total Citigroup(10)	$	379,601	$	3,416	$	2,933	$	524	$	386,474	$	210	$	2,412	$	2,622	$	2,058

(1)Loans less than 30 days past due are presented as current.

(2)Includes $12 million and $14 million at December 31, 2021 and 2020, respectively, of residential first mortgages recorded at fair value.

(3)Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes classifiably managed Private bank loans.

(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification. Most modified loans in North America would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020 and began to age at that time.

(5)Consists of loans that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and $0.2 billion and 90 days or more past due of $0.3 billion and $0.3 billion at December 31, 2021 and 2020, respectively.

(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

(7)Includes approximately $0.1 billion and $0.1 billion at December 31, 2021 and 2020, respectively, of residential first mortgage loans in process of foreclosure in North America and outside of North America, respectively.

(8)Includes approximately $0.1 billion and $0.1 billion at December 31, 2021 and 2020, respectively, of home equity loans in process of foreclosure in North America and outside of North America, respectively.

(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.

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

Interest Income Recognized for Non-Accrual Consumer Loans


	For the years ended
In millions of dollars	December 31, 2021		December 31, 2020
In North America offices(1)
Residential first mortgages	$	13	$	14
Home equity loans	7		8
Credit cards	—		—
Personal, small business and other	—		—
Total	$	20	$	22
In offices outside North America(1)
Residential mortgages	$	1	$	1
Credit cards	—		—
Personal, small business and other	—		—
Total	$	1	$	1
Total Citigroup	$	21	$	23

(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

During the years ended December 31, 2021 and 2020, the Company sold and/or reclassified to HFS $1,473 million and $414 million of consumer loans, respectively. Loans of businesses that are HFS are not included in the above. See Note 2 for additional information.

Consumer Credit Scores (FICO)

In the U.S., independent credit agencies rate an individual’s risk for assuming debt based on the individual’s credit history and assign every consumer a Fair Isaac Corporation (FICO) credit score. These scores are continually updated by the agencies based upon an individual’s credit actions (e.g., taking out a loan or missed or late payments).

The following tables provide details on the FICO scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables by year of origination. FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio.


FICO score distribution in U.S. portfolio(1)(2)	December 31, 2021
In millions of dollars	Less than 680		680 to 760		Greater than 760		FICO not available		Total loans
Residential first mortgages
2021	$	626	$	6,729	$	12,349
2020	508		5,102		12,153
2019	373		3,074		6,167
2018	394		1,180		2,216
2017	343		1,455		2,568
Prior	2,053		6,540		12,586
Total residential first mortgages	$	4,297	$	24,080	$	48,039	$	6,945	$	83,361
Home equity loans (pre-reset)	$	263	$	1,030	$	1,539
Home equity loans (post-reset)	639		1,047		1,160
Total home equity loans	$	902	$	2,077	$	2,699	$	67	$	5,745
Credit cards(3)	$	23,115	$	52,907	$	55,137	$	2,192	$	133,351
Personal, small business and other
2021	$	59	$	201	$	319
2020	22		41		64
2019	42		53		68
2018	34		35		37
2017	7		8		9
Prior	120		179		143
Total personal, small business and other(4)	$	284	$	517	$	640	$	38,365	$	39,806
Total	$	28,598	$	79,581	$	106,515	$	47,569	$	262,263


FICO score distribution in U.S. portfolio(1)(2)	December 31, 2020
In millions of dollars	Less than 680		680 to 760		Greater than 760		FICO not available		Total loans
Residential first mortgages
2020	$	604	$	6,536	$	14,332
2019	457		4,030		9,241
2018	423		1,625		3,070
2017	438		1,797		3,780
2016	551		2,474		6,093
Prior	2,339		6,484		13,354
Total residential first mortgages	$	4,812	$	22,946	$	49,870	$	6,328	$	83,956
Home equity loans (pre-reset)	$	343	$	1,217	$	1,958
Home equity loans (post-reset)	1,094		1,640		1,614
Total home equity loans	$	1,437	$	2,857	$	3,572	$	24	$	7,890
Credit cards(3)	$	26,227	$	52,778	$	49,767	$	1,041	$	129,813
Personal, small business and other
2020	$	23	$	58	$	95
2019	79		106		134
2018	82		80		84
2017	26		27		30
2016	10		9		8
Prior	214		393		529
Total personal, small business and other(4)	$	434	$	673	$	880	$	36,413	$	38,400
Total	$	32,910	$	79,254	$	104,089	$	43,806	$	260,059

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

(2)FICO scores are updated on either a monthly or quarterly basis. For updates that are made only quarterly, certain current-period loans by year of origination are greater than those disclosed in the prior periods. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become available.

(3)Excludes $517 million and $572 million of balances related to Canada for December 31, 2021 and December 31, 2020, respectively.

(4)Excludes $907 million and $859 million of balances related to Canada for December 31, 2021 and December 31, 2020, respectively.

Loan to Value (LTV) Ratios

LTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data.

The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios by year of origination. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.


LTV distribution in U.S. portfolio	December 31, 2021
In millions of dollars	Less than or equal to 80%		> 80% but less than or equal to 100%		Greater than 100%		LTV not available		Total
Residential first mortgages
2021	$	18,107	$	2,723	$	34
2020	18,715		446		—
2019	10,047		269		29
2018	4,117		136		11
2017	4,804		103		4
Prior	22,161		128		14
Total residential first mortgages	$	77,951	$	3,805	$	92	$	1,513	$	83,361
Home equity loans (pre-reset)	$	2,637	$	46	$	69
Home equity loans (post-reset)	2,751		52		32
Total home equity loans	$	5,388	$	98	$	101	$	158	$	5,745
Total	$	83,339	$	3,903	$	193	$	1,671	$	89,106


LTV distribution in U.S. portfolio	December 31, 2020
In millions of dollars	Less than or equal to 80%		> 80% but less than or equal to 100%		Greater than 100%		LTV not available		Total
Residential first mortgages
2020	$	18,671	$	4,054	$	—
2019	12,674		1,836		35
2018	4,810		832		18
2017	6,127		489		12
2016	9,409		223		27
Prior	22,807		152		23
Total residential first mortgages	$	74,498	$	7,586	$	115	$	1,757	$	83,956
Home equity loans (pre-reset)	$	3,283	$	99	$	76
Home equity loans (post-reset)	3,970		296		65
Total home equity loans	$	7,253	$	395	$	141	$	101	$	7,890
Total	$	81,751	$	7,981	$	256	$	1,858	$	91,846

Impaired Consumer Loans

A loan is considered impaired when Citi believes it is probable that all amounts due according to the original contractual terms of the loan will not be collected. Impaired consumer loans include non-accrual loans, as well as smaller-balance homogeneous loans whose terms have been modified due to the borrower’s financial difficulties and where Citi has granted a concession to the borrower. These modifications may

include interest rate reductions and/or principal forgiveness. Impaired consumer loans exclude smaller-balance homogeneous loans that have not been modified and are carried on a non-accrual basis.

The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:


	At and for the year ended December 31, 2021
In millions of dollars	Recorded investment(1)(2)		Unpaid principal balance		Related specific allowance(3)(4)		Average carrying value(5)		Interest income recognized(6)
Mortgage and real estate
Residential first mortgages	$	1,521	$	1,595	$	87	$	1,564	$	88
Home equity loans	191		344		(1)		336		9
Credit cards	1,582		1,609		594		1,795		116
Personal, small business and other	454		461		133		505		52
Total	$	3,748	$	4,009	$	813	$	4,200	$	265


	At and for the year ended December 31, 2020
In millions of dollars	Recorded investment (1)(2)		Unpaid principal balance		Related specific allowance(3)		Average carrying value(5)		Interest income recognized(6)
Mortgage and real estate
Residential first mortgages	$	1,858	$	2,033	$	157	$	1,682	$	101
Home equity loans	479		652		60		527		13
Credit cards	1,982		2,135		918		1,926		106
Personal, small business and other	549		549		246		460		31
Total	$	4,868	$	5,369	$	1,381	$	4,595	$	251

(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.

(2)For December 31, 2021, $190 million of residential first mortgages and $94 million of home equity loans do not have a specific allowance. For December 31, 2020, $211 million of residential first mortgages and $147 million of home equity loans do not have a specific allowance.

(3)Included in the Allowance for credit losses on loans.

(4)The negative allowance on home equity loans resulted from expected recoveries on previously written-off accounts.

(5)Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.

(6) Includes amounts recognized on both an accrual and cash basis.

Consumer Troubled Debt Restructurings(1)


	For the year ended December 31, 2021(1)
In millions of dollars, except number of loans modified	Number of loans modified	Post- modification recorded investment(2)(3)		Deferred principal(4)		Contingent principal forgiveness(5)		Principal forgiveness(6)		Average interest rate reduction
North America
Residential first mortgages	1,335	$	230	$	—	$	—	$	—	1	%
Home equity loans	191	19		—		—		—		—
Credit cards	165,098	794		—		—		—		18
Personal, small business and other	1,000	13		—		—		—		3
Total(7)	167,624	$	1,056	$	—	$	—	$	—
International
Residential mortgages	1,975	$	86	$	—	$	—	$	—	—	%
Credit cards	74,202	339		—		—		13		13
Personal, small business and other	28,208	202		—		—		7		10
Total(7)	104,385	$	627	$	—	$	—	$	20


	For the year ended December 31, 2020(1)
In millions of dollars, except number of loans modified	Number of loans modified	Post- modification recorded investment(2)(8)		Deferred principal(4)		Contingent principal forgiveness(5)		Principal forgiveness(6)		Average interest rate reduction
North America
Residential first mortgages	1,237	$	225	$	—	$	—	$	—	—	%
Home equity loans	302	31		—		—		—		1
Credit cards	215,466	1,038		—		—		—		17
Personal, small business and other	2,452	28		—		—		—		5
Total(7)	219,457	$	1,322	$	—	$	—	$	—
International
Residential mortgages	2,544	$	145	$	3	$	—	$	—	2	%
Credit cards	90,694	401		—		—		12		15
Personal, small business and other	41,079	301		—		—		8		9
Total(7)	134,317	$	847	$	3	$	—	$	20

(1)The above tables do not include loan modifications that meet the TDR relief criteria in the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) or the interagency guidance.

(2)Post-modification balances include past-due amounts that are capitalized at the modification date.

(3)Post-modification balances in North America include $15 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2021. These amounts include $5 million of residential first mortgages that were newly classified as TDRs during 2021, based on previously received OCC guidance.

(4)Represents the portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.

(5)Represents the portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.

(6)Represents the portion of contractual loan principal that was forgiven at the time of permanent modification.

(7) The above tables reflect activity for restructured loans that were considered TDRs during the year.

(8) Post-modification balances in North America include $13 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2020. These amounts include $9 million of residential first mortgages that were newly classified as TDRs during 2020, based on previously received OCC guidance.

The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due:


	Years ended December 31,
In millions of dollars	2021		2020
North America
Residential first mortgages	$	57	$	71
Home equity loans	8		14
Credit cards	252		317
Personal, small business and other	4		4
Total	$	321	$	406
International
Residential mortgages	$	38	$	26
Credit cards	152		178
Personal, small business and other	96		78
Total	$	286	$	282

Purchased Credit-Deteriorated Assets


	Years ended December 31,
	2021						2020
In millions of dollars	Credit cards		Mortgages(1)		Installment and other		Credit cards		Mortgages(1)		Installment and other
Purchase price	$	—	$	23	$	—	$	4	$	49	$	—
Allowance for credit losses at acquisition date	—		—		—		4		—		—
Discount or premium attributable to non-credit factors	—		—		—		—		—		—
Par value (amortized cost basis)	$	—	$	23	$	—	$	8	$	49	$	—

(1) Includes loans sold to agencies that were bought back at par due to repurchase agreements.