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, 2022
In millions of dollars	2022		2021		2020		2019		2018		Prior
Investment grade(3)
Commercial and industrial(4)	$	50,086	$	5,716	$	2,454	$	2,348	$	1,129	$	1,776	$	38,359	$	101,868
Financial institutions(4)	13,547		3,174		813		593		284		713		37,463		56,587
Mortgage and real estate	7,321		3,876		3,379		1,205		577		775		152		17,285
Other(5)	12,257		1,171		494		148		688		3,496		26,807		45,061
Total investment grade	$	83,211	$	13,937	$	7,140	$	4,294	$	2,678	$	6,760	$	102,781	$	220,801
Non-investment grade(3)
Accrual
Commercial and industrial(4)	$	21,877	$	3,114	$	1,371	$	800	$	661	$	402	$	16,850	$	45,075
Financial institutions(4)	5,110		626		247		65		36		11		2,073		8,168
Mortgage and real estate	1,081		989		470		556		562		501		472		4,631
Other(5)	1,938		360		466		107		7		64		1,292		4,234
Non-accrual
Commercial and industrial(4)	80		31		90		53		44		83		479		860
Financial institutions	41		35		—		—		—		—		76		152
Mortgage and real estate	2		11		—		—		2		18		—		33
Other(5)	7		26		1		8		10		9		16		77
Total non-investment grade	$	30,136	$	5,192	$	2,645	$	1,589	$	1,322	$	1,088	$	21,258	$	63,230
Loans at fair value(6)															$	5,123
Corporate loans, net of unearned income	$	113,347	$	19,129	$	9,785	$	5,883	$	4,000	$	7,848	$	124,039	$	289,154


	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

(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.

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, 2022


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	$	860	$	1,440	$	268	$	1,210	$	56
Financial institutions	152		205		51		115		—
Mortgage and real estate	33		33		4		85		4
Lease financing	10		10		—		12		—
Other	67		89		—		111		6
Total non-accrual corporate loans	$	1,122	$	1,777	$	323	$	1,533	$	66


	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


	December 31, 2022				December 31, 2021
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	$	583	$	268	$	637	$	198
Financial institutions	149		51		—		—
Mortgage and real estate	33		4		29		10
Other	—		—		37		4
Total non-accrual corporate loans with specific allowances	$	765	$	323	$	703	$	212
Non-accrual corporate loans without specific allowances
Commercial and industrial	$	277			$	626
Financial institutions	3				2
Mortgage and real estate	—				107
Lease financing	10				14
Other	67				101
Total non-accrual corporate loans without specific allowances	$	357	N/A		$	850	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, 2020 was $35 million.

N/A Not applicable

Corporate Troubled Debt Restructurings

For the year ended December 31, 2022


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	$	61	$	—	$	—	$	61

Mortgage and real estate	2		1		—		1
Other	30		—				30

Total	$	93	$	1	$	—	$	92

For the year ended December 31, 2021(1)


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

(1)The 2021 table does 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, 2022		TDR loans that re-defaulted in 2022 within one year of modification		TDR balances at December 31, 2021		TDR loans that re-defaulted in 2020 within one year of modification
Commercial and industrial	$	85	$	—	$	236	$	—
Mortgage and real estate	13		—		20		—
Other	12		—		28		—
Total(1)	$	110	$	—	$	284	$	—

(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 tables below present details about these loans, including the following loan categories:

•Residential first mortgages and Home equity loans in North America offices primarily represent secured mortgage lending to customers of Retail banking and Global Wealth (primarily Private bank and Citigold).

•Credit cards in North America offices primarily represent unsecured credit card lending to customers of Branded cards and Retail services.

•Personal, small business and other loans in North America are primarily composed of classifiably managed loans to customers of Global Wealth (mostly within the Private bank) who are typically high credit quality borrowers that historically experienced minimal delinquencies and credit losses. Loans to these borrowers are generally well collateralized in the form of liquid securities and other forms of collateral.

•Residential mortgage loans in offices outside North America primarily represent secured mortgage lending to customers of Global Wealth (primarily Private bank and Citigold) as well as customers of Legacy Franchises.

•Credit cards in offices outside North America primarily represent unsecured credit card lending to customers of Legacy Franchises, primarily in Asia and Mexico.

•Personal, small business and other loans in offices outside North America are primarily composed of secured and unsecured loans to customers of PBWM and Legacy Franchises. A significant portion of PBWM loans is classifiably managed and represents loans to high credit quality Private bank customers who historically experienced minimal delinquencies and credit losses. Loans to these borrowers are generally well collateralized in the form of liquid securities and other forms of collateral.

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

Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2022


In millions of dollars	Total current(1)(2)		30–89 days past due(3)		≥ 90 days past due(3)		Past due government guaranteed(6)		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(7)
Residential first mortgages(8)	$	95,023	$	421	$	316	$	279	$	96,039	$	86	$	434	$	520	$	163
Home equity loans(9)(10)	4,407		38		135		—		4,580		51		151		202		—
Credit cards	147,717		1,511		1,415		—		150,643		—		—		—		1,415
Personal, small business and other(11)	37,635		88		22		7		37,752		3		23		26		11
Total	$	284,782	$	2,058	$	1,888	$	286	$	289,014	$	140	$	608	$	748	$	1,589
In offices outside North America(7)
Residential mortgages(8)	$	27,946	$	62	$	106	$	—	$	28,114	$	—	$	305	$	305	$	13
Credit cards	12,659		147		149		—		12,955		—		127		127		56
Personal, small business and other(11)	37,869		105		10		—		37,984		—		137		137		—
Total	$	78,474	$	314	$	265	$	—	$	79,053	$	—	$	569	$	569	$	69
Total Citigroup(12)(13)	$	363,256	$	2,372	$	2,153	$	286	$	368,067	$	140	$	1,177	$	1,317	$	1,658

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)(5)		≥ 90 days past due(3)(4)(5)		Past due government guaranteed(5)(6)		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(7)
Residential first mortgages(8)	$	82,087	$	381	$	499	$	394	$	83,361	$	134	$	559	$	693	$	282
Home equity loans(9)(10)	5,546		43		156		—		5,745		64		221		285		—
Credit cards	132,050		947		871		—		133,868		—		—		—		871
Personal, small business and other(14)	40,533		126		16		38		40,713		2		70		72		30
Total	$	260,216	$	1,497	$	1,542	$	432	$	263,687	$	200	$	850	$	1,050	$	1,183
In offices outside North America(7)
Residential mortgages(8)	$	37,566	$	165	$	158	$	—	$	37,889	$	—	$	409	$	409	$	10
Credit cards	17,428		192		188		—		17,808		—		140		140		133
Personal, small business and other(14)	56,930		145		75		—		57,150		—		227		227		—
Total	$	111,924	$	502	$	421	$	—	$	112,847	$	—	$	776	$	776	$	143
Total Citigroup(13)	$	372,140	$	1,999	$	1,963	$	432	$	376,534	$	200	$	1,626	$	1,826	$	1,326

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

(2)Includes $237 million and $12 million at December 31, 2022 and 2021, respectively, of residential first mortgages recorded at fair value.

(3)Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes $31.5 billion and $17.8 billion of classifiably managed Private bank loans in North America and outside North America, respectively, at December 31, 2022. Excludes $35.3 billion and $24.5 billion of classifiably managed Private bank loans in North America and outside North America, respectively, at December 31, 2021.

(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).

(5)Conformed to be consistent with the current period’s delineation between delinquency-managed and classifiably managed loans.

(6)Consists of loans that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and $0.1 billion and 90 days or more past due of $0.2 billion and $0.3 billion at December 31, 2022 and 2021, respectively.

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

(8)Includes approximately $0.1 billion and $0.0 billion of residential first mortgage loans in process of foreclosure in North America and outside North America, respectively, and $19.8 billion of residential mortgages outside North America related to the Global Wealth business at December 31, 2022. Includes

approximately $0.1 billion and $0.1 billion of residential first mortgage loans in process of foreclosure in North America and outside North America, respectively, and $19.8 billion of residential mortgages outside North America related to the Global Wealth business at December 31, 2021.

(9)Includes approximately $0.1 billion and $0.1 billion at December 31, 2022 and 2021, respectively, of home equity loans in process of foreclosure in North America.

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

(11)Includes loans related to the Global Wealth business: $34.0 billion in North America, approximately $31.5 billion of which are classifiably managed, and as of December 31, 2022 approximately 98% were rated investment grade; and $26.6 billion outside North America, approximately $17.8 billion of which are classifiably managed, and as of December 31, 2022 approximately 94% were rated investment grade. The classifiably managed portion of these loans is shown as “current” because the delinquency status is not applicable, since these loans are primarily evaluated for credit risk based on their internal risk classification.

(12)Not included in the balances above is approximately $1 billion of accrued interest receivable at December 31, 2022, which is included in Other assets on the Consolidated Balance Sheet, except for credit card loans (which include accrued interest and fees). When a loan becomes non-accrual or, if not subject to a non-accrual policy, is charged-off per the Company’s charge-off policy, any accrued interest receivable is also reversed against the interest income. During the years ended December 31, 2022 and 2021, the Company reversed accrued interest of approximately $0.6 billion and $0.8 billion, respectively, primarily related to credit card loans.

(13)Consumer loans were net of unearned income of $712 million and $629 million at December 31, 2022 and 2021, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.

(14)Includes loans related to the Global Wealth business: $37.9 billion in North America, approximately $35.3 billion of which are classifiably managed, and as of December 31, 2021 approximately 95% were rated investment grade; and $34.6 billion outside North America, approximately $24.5 billion of which are classifiably managed, and as of December 31, 2021 approximately 94% were rated investment grade. The classifiably managed portion of these loans is shown as “current” because the delinquency status is not applicable, since these loans are primarily evaluated for credit risk based on their internal risk classification.

Interest Income Recognized for Non-Accrual Consumer Loans


	For the years ended December 31,
In millions of dollars	2022		2021
In North America offices(1)
Residential first mortgages	$	12	$	13
Home equity loans	5		7
Credit cards	—		—
Personal, small business and other	2		—
Total	$	19	$	20
In offices outside North America(1)
Residential mortgages	$	4	$	1
Credit cards	—		—
Personal, small business and other	4		—
Total	$	8	$	1
Total Citigroup	$	27	$	21

(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, 2022 and 2021, the Company sold and/or reclassified to HFS $582 million and $1,473 million of consumer loans, respectively. Loans held by a business for sale are not included in the above. The Company did not have significant purchases of consumer loans classified as held-for-investment during the years ended December 31, 2022 and 2021. See Note 2 for additional information regarding Citigroup’s businesses for sale.

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.

For Citi’s $80.5 billion and $114.3 billion in the consumer loan portfolio outside of the U.S. as of December 31, 2022 and 2021, respectively, various country-specific or regional credit risk metrics and acquisition and behavior scoring models are leveraged as one of the factors to evaluate the credit quality of customers (for additional information on loans outside of the U.S., see “Consumer Loans and Ratios Outside of North America” below). As a result, details of relevant credit quality indicators for those loans are not comparable to the below FICO score distribution for the U.S. portfolio.


FICO score distribution—U.S. portfolio(1)(2)	December 31, 2022
In millions of dollars	Less than 680		680 to 760		Greater than 760		Classifiably managed(3)		FICO not available(4)		Total loans
Residential first mortgages
2022	$	691	$	7,530	$	12,928
2021	639		5,933		12,672
2020	431		4,621		10,936
2019	321		2,505		5,445
2018	302		1,072		1,899
Prior	2,020		6,551		12,649
Total residential first mortgages	$	4,404	$	28,212	$	56,529			$	6,894	$	96,039
Home equity line of credit (pre-reset)	$	552	$	1,536	$	1,876
Home equity line of credit (post-reset)	62		65		40
Home equity term loans	106		151		117
2022	—		—		—
2021	—		1		1
2020	1		2		2
2019	1		2		2
2018	1		2		1
Prior	103		144		111
Total home equity loans	$	720	$	1,752	$	2,033			$	75	$	4,580
Credit cards	$	27,901	$	58,213	$	60,896
Revolving loans converted to term loans(5)	766		354		54
Total credit cards(6)	$	28,667	$	58,567	$	60,950			$	1,914	$	150,098
Personal, small business and other
2022	$	247	$	546	$	800
2021	96		170		210
2020	15		20		30
2019	21		23		28
2018	10		10		9
Prior	126		190		144
Total personal, small business and other(7)(8)	$	515	$	959	$	1,221	$	31,478	2,639		$	36,812
Total	$	34,306	$	89,490	$	120,733	$	31,478	$	11,522	$	287,529


FICO score distribution—U.S. portfolio(1)(2)	December 31, 2021
In millions of dollars	Less than 680		680 to 760		Greater than 760		Classifiably managed(3)		FICO not available(4)		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 line of credit (pre-reset)	$	659	$	1,795	$	2,506
Home equity line of credit (post-reset)	75		72		37
Home equity term loans	168		210		156
2021	—		1		1
2020	—		3		2
2019	1		2		2
2018	1		2		1
2017	1		2		2
Prior	165		201		149
Total home equity loans	$	902	$	2,077	$	2,699			$	67	$	5,745
Credit cards	$	22,342	$	52,481	$	55,076
Revolving loans converted to term loans(5)	773		426		61
Total credit cards(6)	$	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(7)(8)	$	284	$	517	$	640	$	35,324	$	3,041	$	39,806
Total	$	28,598	$	79,581	$	106,515	$	35,324	$	12,245	$	262,263

(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)These personal, small business and other loans without a FICO score available include $31.5 billion and $35.3 billion of Private bank loans as of December 31, 2022 and 2021, respectively, which are classifiably managed within Global Wealth and are primarily evaluated for credit risk based on their internal risk ratings. As of December 31, 2022 and 2021, approximately 98% and 95% of these loans, respectively, were rated investment grade.

(4)FICO scores not available related to loans guaranteed by government-sponsored enterprises for which FICO scores are generally not utilized.

(5)Not included in the tables above are $75 million and $313 million of revolving credit card loans outside of the U.S. that were converted to term loans as of December 31, 2022 and 2021, respectively.

(6)Excludes $545 million and $517 million of balances related to Canada for December 31, 2022 and 2021, respectively.

(7)Excludes $940 million and $907 million of balances related to Canada for December 31, 2022 and 2021, respectively.

(8)Includes approximately $67 million and $74 million of personal revolving loans that were converted to term loans for December 31, 2022 and 2021, respectively.

Loan to Value (LTV) Ratios—U.S. Consumer Mortgages

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

The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios by year of origination. LTV ratios are updated monthly using the most

recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.


LTV distribution—U.S. portfolio	December 31, 2022
In millions of dollars	Less than or equal to 80%		> 80% but less than or equal to 100%		Greater than 100%		LTV not available(1)		Total
Residential first mortgages
2022	$	15,644	$	6,497	$	40
2021	19,104		1,227		33
2020	16,935		267		1
2019	8,789		140		23
2018	3,598		74		9
Prior	22,367		132		74
Total residential first mortgages	$	86,437	$	8,337	$	180	$	1,085	$	96,039
Home equity loans (pre-reset)	$	3,677	$	36	$	56
Home equity loans (post-reset)	627		12		27
Total home equity loans	$	4,304	$	48	$	83	$	145	$	4,580
Total	$	90,741	$	8,385	$	263	$	1,230	$	100,619


LTV distribution—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(1)		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

(1)Residential first mortgages with no LTV information available are primarily due to government-guaranteed loans that do not require LTV information for credit risk assessment and fair value loans.

Loan-to-Value (LTV) Ratios—Outside of U.S. Consumer Mortgages

The following tables provide details on the LTV ratios for Citi’s consumer mortgage portfolio outside of the U.S. by year of origination:


LTV distribution—outside of U.S. portfolio(1)	December 31, 2022
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 mortgages
2022	$	3,106	$	975	$	294
2021	4,144		964		273
2020	3,293		502		25
2019	3,048		92		1
2018	2,074		48		—
Prior	9,201		36		7
Total	$	24,866	$	2,617	$	600	$	31	$	28,114


LTV distribution—outside of U.S. portfolio(1)	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 mortgages
2021	$	6,334	$	989	$	—
2020	5,996		292		—
2019	5,293		116		1
2018	3,729		32		—
2017	2,739		38		—
Prior	12,190		102		14
Total	$	36,281	$	1,569	$	15	$	24	$	37,889

(1)Mortgage portfolios outside of the U.S. are primarily in Global Wealth. As of December 31, 2022 and 2021, mortgage portfolios outside of the U.S. have an average LTV of approximately 51% and 46%, respectively.

Consumer Loans and Ratios Outside of North America


					Delinquency-managed loans and ratios
In millions of dollars at December 31, 2022	Total loans outside of North America(1)		Classifiably managed loans(2)		Delinquency-managed loans		30–89 days past due ratio		≥ 90 days past due ratio		4Q22 NCL ratio
Residential mortgages(3)	$	28,114	$	—	$	28,114	0.22	%	0.38	%	0.10	%
Credit cards	12,955		—		12,955		1.13		1.15		3.18
Personal, small business and other(4)	37,984		17,762		20,222		0.52		0.05		0.76
Total	$	79,053	$	17,762	$	61,291	0.51	%	0.43	%	0.91	%

					Delinquency-managed loans and ratios
In millions of dollars at December 31, 2021	Total loans outside of North America(1)		Classifiably managed loans(2)		Delinquency-managed loans		30–89 days past due ratio		≥ 90 days past due ratio		4Q21 NCL ratio
Residential mortgages(3)	$	37,889	$	—	$	37,889	0.44	%	0.42	%	0.08	%
Credit cards	17,808		—		17,808		1.08		1.06		3.06
Personal, small business and other(4)	57,150		24,482		32,668		0.44		0.23		0.72
Total	$	112,847	$	24,482	$	88,365	0.57	%	0.48	%	0.88	%

(1) Mexico is included in offices outside of North America.

(2) Classifiably managed loans are primarily evaluated for credit risk based on their internal risk classification. As of December 31, 2022 and 2021, approximately 94% and 94% of these loans, respectively, were rated investment grade.

(3) Includes $19.8 billion and $19.8 billion as of December 31, 2022 and 2021, respectively, of residential mortgages related to the Global Wealth business.

(4) Includes $26.6 billion and $34.6 billion as of December 31, 2022 and 2021, respectively, of loans related to the Global Wealth business.

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, 2022
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	$	1,305	$	1,430	$	58	$	1,283	$	115
Home equity loans	254		322		—		261		10
Credit cards	1,255		1,256		491		1,246		62
Personal, small business and other	107		108		47		120		18
Total	$	2,921	$	3,116	$	596	$	2,910	$	205


	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

(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, 2022, $152 million of residential first mortgages and $73 million of home equity loans do not have a specific allowance. For December 31, 2021, $190 million of residential first mortgages and $94 million of home equity loans do not have a specific allowance because they are accounted for based on collateral value, and that value is in excess of the outstanding loan balance.

(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


	For the year ended December 31, 2022
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
In North America offices(7)
Residential first mortgages	1,133	$	263	$	—	$	—	$	—	—	%
Home equity loans	451	40		—		—		—		—
Credit cards	176,252	775		—		—		—		18
Personal, small business and other	575	7		—		—		—		5
Total(8)	178,411	$	1,085	$	—	$	—	$	—
In offices outside North America(7)
Residential mortgages	683	$	21	$	—	$	—	$	—	—	%
Credit cards	16,006	68		—		—		1		25
Personal, small business and other	2,432	29		—		—		1		8
Total(8)	19,121	$	118	$	—	$	—	$	2


	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)(9)		Deferred principal(4)		Contingent principal forgiveness(5)		Principal forgiveness(6)		Average interest rate reduction
In North America offices(7)
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(8)	167,624	$	1,056	$	—	$	—	$	—
In offices outside North America(7)
Residential mortgages	1,975	$	86	$	—	$	—	$	—	—	%
Credit cards	74,202	339		—		—		13		13
Personal, small business and other	28,208	202		—		—		7		10
Total(8)	104,385	$	627	$	—	$	—	$	20

(1)The 2021 table does 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 $5 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2022. These amounts include $3.8 million of residential first mortgages that were newly classified as TDRs during 2022, based on previously received OCC guidance. The remaining amounts were already classified as TDRs before being discharged in Chapter 7 bankruptcy.

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

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

(9) 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. The remaining amounts were already classified as TDRs before being discharged in Chapter 7 bankruptcy.

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	2022		2021
In North America offices(1)
Residential first mortgages	$	35	$	57
Home equity loans	4		8
Credit cards	250		252
Personal, small business and other	1		4
Total	$	290	$	321
In offices outside North America(1)
Residential mortgages	$	10	$	38
Credit cards	12		152
Personal, small business and other	3		96
Total	$	25	$	286

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

Purchased Credit-Deteriorated Assets


	Years ended December 31,
	2022						2021
In millions of dollars	Credit cards		Mortgages(1)		Installment and other		Credit cards		Mortgages(1)		Installment and other
Purchase price	$	—	$	23	$	—	$	—	$	23	$	—
Allowance for credit losses at acquisition date	—		—		—		—		—		—
Discount or premium attributable to non-credit factors	—		—		—		—		—		—
Par value (amortized cost basis)	$	—	$	23	$	—	$	—	$	23	$	—

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