CITIGROUP INC (C) FY 2021 MD&A

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

EXECUTIVE SUMMARY

As described further throughout this Executive Summary, Citi demonstrated continued progress across the franchise during 2021:

•Citi’s earnings increased significantly versus the prior year, largely reflecting an allowance for credit loss (ACL) release of approximately $8.8 billion as a result of continued improvement in both the macroeconomic environment and portfolio credit quality.

•Citi’s revenues declined 5% from the prior year. Excluding a pretax loss of approximately $0.7 billion (approximately $0.6 billion after-tax) related to Citi’s agreement to sell its Australia consumer banking business in Asia Global Consumer Banking (GCB) (see “Citigroup” below), Citi’s revenues declined 4%, as strength in investment banking, equity markets, the private bank and securities services in Institutional Clients Group (ICG) was more than offset by normalization in market activity in fixed income markets within ICG, as well as the impact of lower deposit spreads and card loans across GCB.

•Citi’s expenses included pretax costs of approximately $1.2 billion ($1.1 billion after-tax) primarily related to charges incurred from the voluntary early retirement program (VERP) in connection with the wind-down of the Korea consumer banking business (for additional information, see “Asia GCB” below).

•Citi continued to invest in its transformation, including infrastructure supporting its risk and control environment, and make business-led investments.

•Citi had broad-based deposit growth across ICG and GCB (up 3% and 5%, respectively), reflecting continued engagement across both corporate and consumer clients.

•Citi returned approximately $11.8 billion of capital to its common shareholders in the form of $4.2 billion in dividends and $7.6 billion in common share repurchases, totaling approximately 105 million common shares, while maintaining robust regulatory capital ratios.

•In addition to the sale announcements related to Asia GCB, Citi also announced it intends to exit the consumer, small business and middle-market banking operations of Citibanamex in Mexico. Citi’s planned divestitures of its consumer businesses across Mexico, Asia and EMEA are aligned with the repositioning of its consumer operations to focus on global wealth centers, as well as payments and lending and a targeted retail presence in the U.S. (For additional information on the exit markets and Citi’s revised reporting structure effective for the first quarter of 2022, see “Strategic Refresh—Market Exits and Revised Reporting Strategy” above and “Latin America GCB” and “Asia GCB” below.)

Although economic growth and employment rates have continued to recover from pandemic-related lows, particularly in the U.S., various macroeconomic and other challenges and uncertainties related to, among other things, the duration and

severity of the pandemic-related public health crisis, disruptions of global supply chains, inflationary pressures, increasing interest rates and geopolitical tensions involving Eastern Europe, will continue to create uncertainty around Citi’s businesses and results.

For a discussion of trends, uncertainties and risks that will or could impact Citi’s businesses, results of operations and financial condition during 2022, see “2021 Results Summary,” “Risk Factors,” each respective business’s results of operations and “Managing Global Risk” below.

2021 Results Summary

Citigroup

Citigroup reported net income of $22.0 billion, or $10.14 per share, compared to net income of $11.0 billion, or $4.72 per share, in the prior year. The increase in net income was driven by lower cost of credit, partially offset by higher expenses and lower revenues. Citigroup’s effective tax rate was 20%, up modestly from 19% in the prior year. Earnings per share increased significantly, primarily driven by net income.

Citigroup revenues of $71.9 billion decreased 5% from the prior year. Excluding the Australia loss on sale, Citigroup revenues decreased 4%, primarily driven by lower revenues in both ICG and GCB, partially offset by higher revenues in Corporate/Other.

As discussed above, Citi’s 2021 results include the impacts of divestitures of Citi’s consumer banking businesses in Asia. Reported revenues include the Australia loss on sale (approximately $0.7 billion pretax, $0.6 billion after-tax), primarily reflecting the impact of a currency translation adjustment (CTA) loss (net of hedges) already reflected in the Accumulated other comprehensive income (AOCI) component of equity. Upon closing, the CTA balance will be removed from the AOCI component of equity, resulting in a neutral impact to Citi’s Common Equity Tier 1 Capital.

Reported expenses include the impact of the Korea VERP of approximately $1.1 billion (approximately $0.8 billion after-tax) and contract modification costs related to the Asia divestitures of approximately $119 million (approximately $98 million after-tax). (As used throughout this Form 10-K, Citi’s results of operations and financial condition excluding the impact of the Australia loss on sale, Korea VERP and other Asia divestiture-related costs are non-GAAP financial measures. Citi believes the presentation of its results of operations and financial condition excluding the divestiture-related impacts described above provides a meaningful depiction of the underlying fundamentals of its broader results and Asia GCB businesses’ results for investors, industry analysts and others.)

Citigroup’s end-of-period loans decreased 1% from the prior year to $668 billion. Excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation), Citigroup’s end-of-period loans were largely unchanged, as growth in ICG was offset by lower loans in GCB and Corporate/Other. Citigroup’s end-of-period deposits

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increased 3% to $1.3 trillion. Excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 4%, reflecting growth in both GCB and ICG. (As used throughout this Form 10-K, 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 and financial condition excluding the impact of FX translation provides a meaningful depiction of the underlying fundamentals of its businesses for investors, industry analysts and others.)

Expenses

Citigroup operating expenses of $48.2 billion increased 9% versus the prior year. Excluding the impact of the Asia divestitures, expenses of $47.0 billion increased 6%, primarily reflecting investments in Citi’s transformation, including infrastructure supporting its risk and control environment, business-led investments and revenue- and transaction-related expenses, partially offset by productivity savings. Citi expects expenses in 2022 to continue to be impacted by its transformation-related and business-led investments.

Cost of Credit

Citi’s total provisions for credit losses and for benefits and claims were a benefit of $3.8 billion, compared to a cost of $17.5 billion in the prior year primarily related to the pandemic. The decreased cost of credit was driven by a net ACL reserve release of $8.8 billion (versus a build of $9.8 billion in the prior year) as well as lower net credit losses. Citi’s net ACL release primarily reflected improvement in Citi’s macroeconomic outlook and portfolio credit quality. Citi could experience higher credit costs in 2022, as the level of ACL releases from 2021 are unlikely to continue, and Citi expects to build ACL reserves for new lending volumes.

For further information on the drivers of Citi’s ACL, see “Significant Accounting Policies and Significant Estimates—Citi’s Allowance for Credit Losses (ACL)” below.

Net credit losses of $4.9 billion declined 36% from the prior year. Consumer net credit losses of $4.5 billion decreased 32%, primarily reflecting lower loan volumes and improved delinquencies in the North America cards portfolios. Corporate net credit losses of $395 million decreased 60%, primarily reflecting improvements in portfolio credit quality.

For additional information on Citi’s consumer and corporate credit costs and ACL, see each respective business’s results of operations and “Credit Risk” below.

Capital

Citigroup’s Common Equity Tier 1 Capital ratio was 12.2% as of December 31, 2021, based on the Basel III Standardized Approach framework for determining risk-weighted assets, compared to 11.5% as of December 31, 2020, based on the Basel III Advanced Approaches for determining risk-weighted assets. The increase in the ratio primarily reflected actions to reduce risk-weighted assets (RWA) and a temporary pause in common share repurchases in the fourth quarter of 2021, in preparation for the implementation of the Standardized Approach for Counterparty Credit Risk (SA-CCR) on January 1, 2022. Citi resumed common share repurchases in January 2022.

Citigroup’s Supplementary Leverage ratio was 5.7% as of December 31, 2021, compared to 7.0% as of December 31, 2020. The decrease was primarily driven by the expiration of temporary relief granted by the Federal Reserve Board (FRB) as of the end of the first quarter of 2021. For additional information on SA-CCR and Citi’s capital ratios, see “Capital Resources” below.

Institutional Clients Group

ICG net income of $15.7 billion increased 36%, reflecting lower cost of credit, partially offset by higher expenses and lower revenues. ICG operating expenses increased 8% to $26.5 billion, reflecting continued investments in Citi’s transformation, business-led investments and revenue- and transaction-related expenses, partially offset by productivity savings.

ICG revenues of $43.9 billion decreased 3%, as a 7% increase in Banking revenues was more than offset by an 11% decline in Markets and securities services revenues. The increase in Banking revenues included the impact of $144 million of losses on loan hedges related to corporate lending and the private bank, compared to losses of $51 million in the prior year.

Banking revenues of $23.3 billion (excluding the impact of losses on loan hedges) increased 7%, as higher revenues in investment banking and the private bank were partially offset by lower revenues in treasury and trade solutions and corporate lending. Investment banking revenues of $7.5 billion increased 30%, reflecting growth across products, particularly in advisory and equity underwriting. Advisory revenues increased 78% to $1.8 billion, equity underwriting revenues increased 53% to $2.4 billion and debt underwriting revenues increased 3% to $3.3 billion.

Treasury and trade solutions revenues of $9.4 billion declined 4%, as higher fee revenues, including a recovery in commercial card revenues, as well as growth in trade were more than offset by the impact of lower deposit spreads. Private bank revenues increased 5%. Excluding the impact of gains on loan hedges, private bank revenues of $4.0 billion increased 6%, driven by higher loan volumes and spreads, as well as higher managed investments and deposits, partially offset by lower deposit spreads. Corporate lending revenues decreased 3%. Excluding the impact of losses on loan hedges, corporate lending revenues of $2.3 billion decreased 1%, as lower cost of funds was more than offset by lower loan volumes.

Markets and securities services revenues of $20.8 billion decreased 11%. Fixed income markets revenues of $13.7 billion decreased 22%, reflecting a normalization in market activity across rates and spread products. Equity markets revenues of $4.5 billion increased 25%, driven by growth across all products, reflecting solid client activity and favorable market conditions. Securities services revenues of $2.7 billion increased 6%, as strong fee revenues, driven by higher settlement volumes and higher assets under custody, were partially offset by lower deposit spreads. For additional information on the results of operations of ICG in 2021, see “Institutional Clients Group” below.

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Global Consumer Banking

GCB net income was $6.1 billion, compared to net income of $667 million in the prior year, reflecting lower cost of credit, partially offset by lower revenues and higher expenses. GCB operating expenses of $20.0 billion increased 12%. Excluding the impact of FX translation and the Asia divestitures, expenses increased 5%, reflecting continued investments in Citi’s transformation, as well as business-led investments and volume-related expenses, partially offset by productivity savings.

GCB revenues of $27.3 billion decreased 10% from the prior year. Excluding the impact of FX translation and the Australia loss on sale, revenues decreased 9%, as continued solid deposit growth and growth in assets under management were more than offset by lower card loans and lower deposit spreads. For additional information on GCB’s results of operations, including the impact of FX translation, see “Global Consumer Banking” below.

North America GCB revenues of $17.5 billion decreased 9%, with lower revenues across branded cards, retail services and retail banking. Branded cards revenues of $8.2 billion decreased 7%, reflecting continued higher payment rates. Retail services revenues of $5.1 billion decreased 15%, reflecting continued higher payment rates and lower average loans as well as higher partner payments. Retail banking revenues of $4.2 billion decreased 7%, as the benefit of stronger deposit volumes was more than offset by lower deposit spreads and lower mortgage revenues.

North America GCB average deposits of $206 billion increased 17% year-over-year and average retail banking loans of $50 billion decreased 4% year-over-year, while assets under management of $87 billion increased 8%. Average branded cards loans of $81 billion decreased 4% and average retail services loans decreased 7%, reflecting higher payment rates. Branded cards spend volume of $411 billion increased 21% and retail services spend volume of $92 billion increased 18%, reflecting a recovery in sales activity from the pandemic-driven low levels in the prior year. For additional information on the results of operations of North America GCB in 2021, 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 in certain EMEA countries)) of $9.8 billion declined 11% versus the prior year. Excluding the impact of FX translation and the Australia loss on sale, international GCB revenues declined 7%. Excluding the impact of FX translation, Latin America GCB revenues decreased 9%, driven by lower average loans and lower deposit spreads. Excluding the impact of FX translation and the Australia loss on sale, Asia GCB revenues decreased 6%, reflecting lower spreads, partially offset by higher investment revenues. For additional information on the results of operations of Latin America GCB and Asia GCB in 2021, including the impacts of FX translation, see “Global Consumer Banking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below. For additional information on Citi’s consumer banking business in Australia, see “Global Consumer Banking—Asia GCB” below.

Year-over-year, excluding the impact of FX translation, international GCB average deposits of $146 billion increased 5%, average retail banking loans of $72 billion decreased 3% and assets under management of $145 billion increased 5%. On this basis, international GCB average card loans of $20 billion decreased 13%, while credit card spend volumes of $100 billion increased 9%, reflecting a continued recovery in credit card spend activity from the pandemic-related low levels in the prior year.

Corporate/Other

Corporate/Other net income was $215 million, compared to a net loss of $1.1 billion in the prior year, reflecting higher revenues, lower expenses, lower cost of credit, and the release of a foreign tax credit (FTC) valuation allowance. Operating expenses of $1.6 billion decreased 14%, reflecting the absence of the prior year’s civil money penalty and the wind-down of legacy assets, partially offset by increases related to Citi’s transformation.

Corporate/Other revenues of $667 million compared to $71 million in the prior year, primarily driven by higher net revenue from the investment portfolio. For additional information on the results of operations of Corporate/Other in 2021, see “Corporate/Other” below.

CITI’S CONSENT ORDER COMPLIANCE

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

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

As discussed above, Citi’s efforts include continued investments in its transformation, including the remediation of its consent orders. Citi's CEO has made the strengthening of Citi's risk and control environment a strategic priority and has

established a Chief Administrative Officer organization to centralize program management. In addition, the Citigroup and Citibank Boards of Directors each formed a Transformation Oversight Committee, an ad hoc committee of each Board, to provide oversight of management’s remediation efforts under the consent orders.

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

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RESULTS OF OPERATIONS

SUMMARY OF SELECTED FINANCIAL DATA

Citigroup Inc. and Consolidated Subsidiaries

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SUMMARY OF SELECTED FINANCIAL DATA

(Continued)

Citigroup Inc. and Consolidated Subsidiaries

(1)    Revenue previously referred to as net interest revenue is now referred to as net interest income. During the fourth quarter of 2021, Citi reclassified deposit insurance expenses from Interest expense to Other operating expenses for all periods presented. Amounts reclassified for each year were $1,207 million for 2021, $1,203 million for 2020, $781 million for 2019, $1,182 million for 2018 and $1,249 million for 2017. See Note 1 to the Consolidated Financial Statements.

(2)    2017 includes the one-time impact related to enactment of the Tax Cuts and Jobs Act (Tax Reform). 2020, 2019 and 2018 reflect the tax rate structure post Tax Reform. RoTCE for 2017 excludes the one-time impact from Tax Reform and is a non-GAAP financial measure. For additional information, see “Significant Accounting Policies and Significant Estimates—Income Taxes” below.

(3)    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.

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

(5)    Citi’s risk-based capital and leverage ratios for 2017 are non-GAAP financial measures, which reflect full implementation of regulatory capital adjustments and deductions prior to the effective date of January 1, 2018.

(6)    Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach, and the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework as of December 31, 2021 and December 31, 2019 to 2017. 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 as of December 31, 2020.

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

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

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SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES

CITIGROUP INCOME

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

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CITIGROUP REVENUES

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

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SEGMENT BALANCE SHEET(1)—DECEMBER 31, 2021

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

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

(3)Total stockholders’ equity and the majority of long-term debt of Citigroup are reflected on the Citigroup parent company balance sheet. 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 liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.

(5)Corporate/Other equity represents noncontrolling interests.

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INSTITUTIONAL CLIENTS GROUP

As of December 31, 2021, Institutional Clients Group (ICG) included Banking and Markets and securities services (for additional information on these businesses, see “Citigroup Segments” above). ICG provided 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 transacted with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.

For information on Citi’s planned revision to its reporting structure, including the reporting of the private bank as part of a new reporting segment, Personal Banking and Wealth Management, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.

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

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

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

ICG’s management of the Markets businesses involves daily monitoring and evaluation of the above factors at the trading desk as well as the country level.

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

ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 95 countries and jurisdictions. At December 31, 2021, ICG had $1.8 trillion in assets and $950 billion in deposits. Securities services and issuer services managed $24.0 trillion in assets under custody and administration at December 31, 2021, of which Citi provides both custody and administrative services to certain clients related to $1.9 trillion of such assets. Managed assets under trust were $3.8 trillion at December 31, 2021. For additional information on these operations, see “Administration and Other Fiduciary Fees” in Note 5 to the Consolidated Financial Statements.

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(1)    2019 includes an approximate $350 million gain on Citi’s investment in Tradeweb.

(2)    2020 includes an approximate $390 million operational loss related to certain legal matters.

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ICG Revenue Details

(1)    Credit derivatives are used to economically hedge a portion of the private bank and corporate loan portfolio that includes both accrual loans and loans at fair value. Gains (losses) on loan hedges include the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium costs of these hedges are netted against the private bank and corporate lending revenues to reflect the cost of credit protection. Gains (losses) on loan hedges include $(131) million and $(74) million related to the corporate loan portfolio and $(13) million and $23 million related to the private bank for the years ended December 31, 2021 and 2020, respectively. All of gains (losses) on loan hedges are related to the corporate loan portfolio for the year ended December 31, 2019. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.

(2)    2019 includes an approximate $350 million gain on Citi’s investment in Tradeweb.

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

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

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

2021 vs. 2020

Net income of $15.7 billion increased 36% versus the prior year, primarily driven by lower cost of credit, partially offset by higher expenses and lower revenues.

Revenues decreased 3%, reflecting lower Markets and securities services revenues, partially offset by higher Banking revenues. Banking revenues were up 7% (both including and excluding the impact of losses on loan hedges), driven by higher revenues in investment banking and the private bank, partially offset by lower revenues in treasury and trade solutions and corporate lending. Markets and securities services revenues were down 11%, primarily reflecting a normalization in fixed income markets revenues, partially offset by growth in equity markets and securities services.

Citi expects that revenues in its markets and investment banking businesses will continue to reflect the overall market environment during 2022.

Within Banking:

•Investment banking revenues were up 30%, reflecting growth in the overall market wallet. Advisory revenues increased 78%, reflecting strength in North America and EMEA, driven by growth in the market wallet as well as wallet share gains. Equity underwriting revenues increased 53%, reflecting strength in North America and EMEA, driven by growth in the market wallet, as well as wallet share gains. Debt underwriting revenues increased 3%, reflecting strength in EMEA, as growth in the market wallet was partially offset by a decline in wallet share.

•Treasury and trade solutions revenues decreased 4% (both including and excluding the impact of FX translation), reflecting a decline in revenues in the cash business, partially offset by an increase in trade revenues. Cash revenues decreased, driven by the ongoing impact of lower deposit spreads. The decrease was partially offset by strong growth in fee revenues reflecting solid client engagement and growth in transaction volumes, including growth in USD clearing, commercial cards and cross-border solutions. The increase in trade revenues was driven by improved trade spreads and growth in loans, reflecting an increase in trade flows and originations, primarily in Asia and EMEA. Average trade loans increased 5% (both including and excluding the impact of FX translation).

•Corporate lending revenues decreased 3%, including the impact of losses on loan hedges. Excluding the impact of losses on loan hedges, revenues decreased 1%, as lower cost of funds was more than offset by lower loan volumes, reflecting muted demand given strong client liquidity positions. Average loans decreased 20% during the current year.

•Private bank revenues increased 5%. Excluding the impact of gains (losses) on loan hedges, revenues increased 6%, driven by strong performance in North America and EMEA. The higher revenues reflected continued momentum with new and existing clients,

resulting in higher loan volumes and spreads, higher managed investments revenues and higher deposit volumes. The increase in revenues was partially offset by lower deposit spreads due to the ongoing low interest rate environment and lower capital markets revenue.

Within Markets and securities services:

•Fixed income markets revenues decreased 22%, reflecting lower revenues across all regions, largely driven by a comparison to a strong prior year, as well as a normalization in market activity, particularly in rates and currencies, and spread products. Non-interest revenues decreased, reflecting lower investor client activity across rates and currencies and spread products. Net interest income also decreased, largely reflecting a change in the mix of trading positions.

Rates and currencies revenues decreased 27%, driven by the normalization in market activity, and a comparison to a strong prior year that included elevated levels of volatility related to the pandemic. Spread products and other fixed income revenues decreased 11%, driven by a comparison to a strong prior year and the normalization in market activity, particularly in flow trading and structured products, reflecting lower volatility and spreads, partially offset by strong securitization activity.

•Equity markets revenues increased 25%, driven by growth across all products. Equity derivatives revenues increased reflecting higher client activity, particularly in EMEA and North America. Prime finance revenues increased due to favorable market conditions as well as growth in client balances. Cash equities revenues increased modestly, reflecting higher client activity. Non-interest revenues increased, primarily due to higher principal transactions revenues, reflecting higher client activity.

•Securities services revenues increased 6%. Excluding the impact of FX translation, revenues increased 7%, as an increase in fee revenues with both new and existing clients, driven by growth in assets under custody and settlement volumes, was partially offset by lower deposit spreads.

Expenses were up 8%, primarily driven by continued investments in Citi’s transformation, business-led investments and higher incentive compensation, as well as transactional related expenses, partially offset by productivity savings.

Provisions reflected a benefit of $2.9 billion compared to costs of $5.6 billion in the prior year, driven by an ACL release and lower net credit losses.

Net credit losses declined to $396 million from $987 million in the prior year, driven by improvements in portfolio credit quality.

The ACL release was $3.3 billion compared to a build of $4.6 billion in the prior year. The release was primarily driven by improvements in portfolio credit quality as well as Citi’s improved macroeconomic outlook. For additional information

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on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

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

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

For additional information about trends, uncertainties and risks related to ICG’s future results, see “Managing Global Risk—Other Risks—Country Risk—Argentina” and “Risk Factors” below.

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GLOBAL CONSUMER BANKING

As of December 31, 2021, Global Consumer Banking (GCB) consisted of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provided traditional banking services to retail customers through retail banking, branded cards and, in the U.S., retail services (for information on consumer market exits related to Latin America GCB and Asia GCB as well as Citi’s planned revision to its reporting structure, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above).

GCB’s markets in the U.S., Mexico and Asia had a combined 2,154 branches in 19 countries and jurisdictions as of December 31, 2021. At December 31, 2021, GCB had $267 billion in loans and $362 billion in retail banking deposits (excluding approximately $10 billion of loans and $8 billion of deposits reclassified to held-for-sale as a result of Citi’s agreements to sell its consumer banking businesses in Australia and the Philippines).

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(1)Includes both branded cards and retail services.

(2)Reflects the impact of FX translation into U.S. dollars at the 2021 average exchange rates for all periods presented.

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

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NORTH AMERICA GCB

As of December 31, 2021, North America GCB provided traditional retail banking and branded and retail services card products to retail and small business customers in the U.S. North America GCB’s U.S. cards product portfolio included its proprietary portfolio (Double Cash, Custom Cash, ThankYou and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within branded cards, as well as its co-brand and private label relationships (including, among others, The Home Depot, Sears, Best Buy and Macy’s) within retail services. For information on Citi’s planned revision to its reporting structure, including the reporting of North America GCB’s consumer banking businesses as part of a new reporting segment, Personal Banking and Wealth Management, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.

At December 31, 2021, North America GCB had 658 retail bank branches 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, 2021, North America GCB had $48.1 billion in retail banking loans and $219.3 billion in retail banking deposits. In addition, North America GCB had $133.9 billion in outstanding card loan balances.

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2021 vs. 2020

Net income was $5.9 billion, compared to a net loss of $46 million in the prior year, reflecting significantly lower cost of credit, partially offset by lower revenues and higher expenses.

Revenues decreased 9%, reflecting lower revenues in retail banking, branded cards and retail services.

Retail banking revenues decreased 7%, as the benefit of strong deposit growth and growth in assets under management (increase of 8%, reflecting favorable market conditions and strong client engagement) was more than offset by lower deposit spreads, as well as lower mortgage revenues. Average deposits increased 17%, driven by higher levels of consumer liquidity due to government stimulus, as well as continued strategic efforts to drive organic growth.

Cards revenues decreased 10%. Branded cards revenues decreased 7%, primarily driven by continued higher payment rates, reflecting increased customer liquidity from government stimulus and relief programs, partially offset by higher spending-related revenues. Credit card spend volume increased 21%, reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior year.

Retail services revenues decreased 15%, primarily driven by lower average loans (down 7%), reflecting higher payment rates from the increased customer liquidity from government stimulus and relief programs, as well as higher partner payments, reflecting higher income sharing as a result of lower net credit losses. For additional information on partner payments, see Note 5 to the Consolidated Financial Statements. Credit card spend volume increased 18%, reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior year.

Expenses increased 6%, primarily driven by continued investments in Citi’s transformation, as well as business-led investments and higher volume-related expenses, partially offset by productivity savings.

Provisions reflected a benefit of $1.0 billion, compared to costs of $9.1 billion in the prior year, primarily driven by a net ACL release compared to a net ACL build in the prior year, as well as lower net credit losses. Net credit losses decreased 41%, consisting of lower net credit losses in both branded cards (down 39% to $1.7 billion) and retail services (down 46% to $1.2 billion), primarily driven by lower loan volumes and improved delinquencies, primarily as a result of the higher payment rates.

The net ACL release was $4.0 billion, compared to a net build of $4.1 billion in the prior year, reflecting improvement in portfolio credit quality and the continued improvement in the macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

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

For additional information about trends, uncertainties and risks related to North America GCB’s future results, see “Executive Summary” above and “Risk Factors—Strategic Risks” below.

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LATIN AMERICA GCB

As of December 31, 2021, Latin America GCB provided traditional retail banking and branded card products to consumer and small business customers in Mexico through Citibanamex.

As discussed above, Citi intends to exit its consumer, small business and middle-market banking operations in Mexico. For additional information, see Citi’s Current Report on Form 8-K filed with the SEC on January 11, 2022. For information on Citi’s planned revision to its reporting structure, including the reporting of the Mexico consumer, small business and middle-market banking operations as part of a new reporting segment, Legacy Franchises, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.

At December 31, 2021, Latin America GCB had 1,276 retail branches in Mexico, with $8.6 billion in retail banking loans and $24.8 billion in deposits. In addition, the business had $4.7 billion in outstanding card loan balances.

(1)Reflects the impact of FX translation into U.S. dollars at the 2021 average exchange rates for all periods presented.

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

NM Not meaningful

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.

2021 vs. 2020

Net income was $798 million, compared to $250 million in the prior year, reflecting significantly lower cost of credit and modestly lower expenses, partially offset by lower revenues.

Revenues decreased 9%, reflecting lower cards and retail banking revenues, largely due to the continued impact of the pandemic.

Retail banking revenues decreased 4%, primarily driven by lower loan volumes and deposit spreads, partially offset by growth in assets under management. Average loans decreased 13%, reflecting the impact of the pandemic on customer activity. Assets under management increased 8%, reflecting favorable market conditions, as well as strong client engagement.

Cards revenues decreased 21%, primarily driven by lower average loans (down 11%), reflecting higher payment rates. Credit card spend volume increased 16%, reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior year.

Expenses decreased 2%, as productivity savings more than offset continued investments in Citi’s transformation.

Provisions of $174 million decreased 87%, primarily driven by a net ACL release compared to a net ACL build in the prior year, partially offset by higher net credit losses resulting from pandemic-related charge-offs.

The net ACL release was $826 million, compared to a build of $329 million in the prior year. The release reflected an improvement in portfolio credit quality, as well as continued improvement in the macroeconomic outlook and lower loan volumes. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on Latin America GCB’s retail banking and its branded cards portfolios, see “Credit Risk—Consumer Credit” below.

For additional information about trends, uncertainties and risks related to Latin America GCB’s future results, see “Executive Summary” above and “Risk Factors—Strategic Risks” below.

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ASIA GCB

As of December 31, 2021, Asia GCB provided traditional retail banking and branded card products to retail and small business customers. Included within Asia GCB were traditional retail banking and branded card products provided to retail customers in certain EMEA countries, primarily the UAE, Poland and Russia.

As discussed above, Citi is pursuing exits of its consumer franchises in 13 markets across Asia and EMEA and will focus its consumer banking franchise in the two regions on four wealth centers: Singapore, Hong Kong, the UAE and London. In 2021, Citi entered into agreements to sell its consumer banking businesses in Australia and the Philippines, and made a decision to wind down and close its Korea consumer banking business (for additional information, see Note 2 to the Consolidated Financial Statements).

In addition, in January 2022, Citi entered into agreements to sell its consumer banking businesses in Indonesia, Malaysia, Taiwan, Thailand and Vietnam. For information on Citi’s planned revision to its reporting structure, including the reporting of the 13 exit markets as part of a new reporting segment, Legacy Franchises, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.

At December 31, 2021, on a combined basis, the businesses had 220 retail branches, $58.9 billion in retail banking loans and $117.7 billion in deposits. In addition, the businesses had $13.1 billion in outstanding card loan balances. These amounts exclude approximately $10 billion of loans ($7 billion of retail banking loans and $3 billion of credit card loan balances) and $8 billion of deposits reclassified to held-for-sale (HFS) as a result of Citi’s agreements to sell its consumer banking businesses in Australia and the Philippines. Australia and the Philippines are the only consumer businesses reclassified as HFS at December 31, 2021. For additional information, see Note 2 to the Consolidated Financial Statements.

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(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 2021 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.

2021 vs. 2020

Net loss was $675 million, compared to net income of $475 million in the prior year. The net loss included the following items related to the 13 exit markets: (i) approximately $1.1 billion (approximately $0.8 billion after-tax) related to charges incurred from the voluntary early retirement program (VERP) in connection with the wind-down of the Korea consumer banking business; (ii) an approximate $0.7 billion pretax loss ($0.6 billion after-tax) related to the agreement to sell the Australia consumer banking business, largely reflecting the impact of a CTA loss (net of hedges); and (iii) contract modification costs related to the Asia divestitures of $119 million ($98 million after-tax).

Excluding the above items, net income was $807 million compared to net income of $475 million in the prior year, reflecting significantly lower cost of credit, partially offset by higher expenses and lower revenues.

Revenues decreased 16%, including the Australia loss on sale. Excluding the Australia loss on sale, revenues declined 6%, reflecting lower retail banking and cards revenues, largely due to the continued impact of the pandemic, including lower interest rates.

Retail banking revenues decreased 22%, including the Australia loss on sale. Excluding the Australia loss on sale, revenues decreased 7%, as growth in both investment revenues and deposits was more than offset by lower deposit spreads due to lower interest rates and lower FX and insurance revenues. Assets under management increased 3%, reflecting the impact of improved market conditions, as well as client engagement. Average deposits increased 6% and average loans decreased 2%. The decline in retail banking revenues was also impacted by a 3% decrease in retail lending revenues, reflecting a decline in personal loans driven by spread compression.

Cards revenues decreased 5%, as lower average loans (down 14%, including the reclassification to held-for-sale related to Australia and the Philippines and higher payment rates) were partially offset by higher spending-related revenues (credit card spend volume up 8%), reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior year.

Expenses increased 30%, including approximately $1.2 billion of costs related to the Asia divestitures. Excluding the costs related to the Asia divestitures, expenses increased 6%, primarily driven by continued investments in Citi’s transformation, as well as business-led investments, partially offset by productivity savings.

Provisions decreased 74%, primarily driven by a net ACL release compared to a net ACL build in the prior year, as well as lower net credit losses. Net credit losses decreased 10%, primarily reflecting lower cards loan volumes and improved delinquencies.

The net ACL release was $376 million, compared to a build of $528 million in the prior year. The release reflected an improvement in portfolio credit quality. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on Asia GCB’s retail banking portfolios and its branded cards portfolios, see “Credit Risk—Consumer Credit” below.

For additional information about trends, uncertainties and risks related to Asia GCB’s future results, see “Executive Summary” above and “Risk Factors—Strategic Risks” and “Significant Accounting Policies and Significant Estimates” below.

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CORPORATE/OTHER

Activities not assigned to the operating segments (ICG and GCB) are included in Corporate/Other. As of December 31, 2021, Corporate/Other included certain unallocated costs of global staff functions (including certain finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as results of Corporate Treasury, certain North America legacy consumer loan portfolios, discontinued operations and other legacy assets. For information on Citi’s planned revision to its reporting structure, including the reporting of the North America legacy consumer loan portfolios, discontinued operations and other legacy assets as part of a new reporting segment, Legacy Franchises, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above. At December 31, 2021, Corporate/Other had $97 billion in assets.

NM Not meaningful

2021 vs. 2020

Net income was $215 million, compared to a net loss of $1.1 billion in the prior year, reflecting higher revenues, lower expenses and lower cost of credit.

Revenues of $667 million compared to $71 million in the prior year, primarily driven by higher net revenue from the investment portfolio.

Expenses decreased 14%, reflecting the absence of a civil money penalty in the prior year and the wind-down of legacy assets, partially offset by increases related to Citi’s transformation.

Provisions reflected a net benefit of $369 million, compared to costs of $178 million in the prior year, primarily driven by a net ACL release in the current year ($286 million compared to a net build of $200 million in the prior year). The release reflected the continued improvement in the macroeconomic outlook.

For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

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

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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 and noncumulative perpetual preferred stock, among other issuances. Further, Citi’s capital levels may also be affected by changes in accounting and regulatory standards, as well as 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. For additional information on capital-related trends, uncertainties and risks related to Citi’s legacy and exit businesses, including the impact of CTA losses, see “Executive Summary” above and “Risk Factors—Strategic Risks” and “—Operational Risks” below.

During 2021, Citi returned a total of $11.8 billion of capital to common shareholders in the form of $4.2 billion in dividends and $7.6 billion in share repurchases totaling approximately 105 million common shares.

Capital Management

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

The Citigroup Capital Committee, with oversight from the Risk Management Committee of Citigroup’s Board of Directors, has responsibility for Citi’s aggregate capital structure, including the capital assessment and planning process, which is integrated into Citi’s capital plan. Balance sheet management, including oversight of capital adequacy, for Citigroup’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 “Stress Testing Component of Capital Planning” 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. The Standardized Approach 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 currently calculated on a generally consistent basis under both approaches. The Standardized Approach excludes operational risk-weighted assets.

Under the U.S. Basel III rules, both Citi and Citibank, N.A. (Citibank) are required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6.0% and 8.0%, respectively. 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 and the Advanced Approaches and comply with the more binding of each of the resulting risk-based capital ratios.

Tier 1 Leverage Ratio

Under the U.S. Basel III rules, Citi is also required to maintain a minimum Tier 1 Leverage ratio of 4.0%. 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.

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Supplementary Leverage Ratio

Citi is also required to calculate a Supplementary Leverage ratio, which 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 are required to maintain a stated minimum Supplementary Leverage ratio of 3.0%.

Further, U.S. GSIBs, including Citi, are subject to enhanced Supplementary Leverage ratio standards. These enhanced standards establish a 2.0% leverage buffer in addition to the stated 3.0% minimum Supplementary Leverage ratio requirement, for a total effective minimum Supplementary Leverage ratio requirement of 5.0%. If a U.S. GSIB fails to exceed this requirement, it will be subject to increasingly onerous restrictions (depending upon the extent of the shortfall) regarding capital distributions and discretionary executive bonus payments.

Temporary Supplementary Leverage Ratio Relief

In April 2020, the Federal Reserve Board issued an interim final rule that temporarily changed the calculation of the Supplementary Leverage ratio for bank holding companies, including Citigroup, by excluding U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure.

The interim final rule was effective for Citigroup’s Supplementary Leverage ratio, as well as for Citigroup’s leverage-based total loss absorbing capacity (TLAC) and long-term debt (LTD) requirements, and expired as scheduled on March 31, 2021. Citigroup’s reported Supplementary Leverage ratio of 7.0% during the fourth quarter of 2020 benefited 109 basis points, as a result of the temporary relief.

Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology

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

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

In addition, for the ongoing impact of CECL, the agencies utilized a 25% scaling factor as an approximation of the increased reserve build under CECL compared to the previous incurred loss model and, therefore, allowed banks to add back to Common Equity Tier 1 Capital an amount equal to 25% of the change in CECL-based allowances in each quarter between January 1, 2020 and December 31, 2021. Beginning January 1, 2022, the cumulative 25% change in CECL-based allowances

between January 1, 2020 and December 31, 2021 will be phased in to regulatory capital (i) at 25% per year on January 1 of each year over the three-year transition period, and (ii) along with the delayed “Day One” impact.

Citigroup and Citibank elected the modified CECL transition provision provided by the rule beginning with the quarter ended March 31, 2020. Accordingly, the Day One regulatory capital effects resulting from adoption of the CECL methodology, as well as the ongoing adjustments for 25% of the change in CECL-based allowances in each quarter between January 1, 2020 and December 31, 2021, started to be phased in on January 1, 2022 and will be fully reflected in Citi’s regulatory capital as of January 1, 2025.

As of December 31, 2021, Citigroup’s reported Common Equity Tier 1 Capital ratio of 12.2% benefited from the deferrals of the CECL transition provision by 24 basis points (bps), which resulted in an approximate 6 bps decrease to Citigroup’s Common Equity Tier 1 Capital ratio upon commencement of the phase-in on January 1, 2022. In addition, this phase-in is expected to result in an additional 6 bps decrease to Citigroup’s Common Equity Tier 1 Capital ratio on January 1 of each year through January 1, 2025. For additional information on Citigroup’s and Citibank’s regulatory capital ratios excluding the impact of the CECL transition provision, see “Capital Resources (Full Adoption of CECL)” below.

TLAC Holdings

As previously disclosed, in January 2021, the U.S. banking agencies issued a final rule that created a new regulatory capital deduction applicable to Advanced Approaches banking organizations for certain investments in covered debt instruments issued by GSIBs. The final rule became effective for Citigroup and Citibank on April 1, 2021, and did not have a significant impact on either Citigroup’s or Citibank’s regulatory capital.

Regulatory Capital Buffers

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

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

As of December 31, 2021, Citi’s regulatory capital ratios exceeded effective regulatory minimum requirements. Accordingly, Citi is not subject to payout limitations as a result of Basel III requirements.

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Stress Capital Buffer

Citigroup is subject to the Federal Reserve Board’s Stress Capital Buffer (SCB) rule, which integrates the annual stress testing requirements with ongoing regulatory capital requirements. The SCB equals the peak-to-trough Common Equity Tier 1 Capital ratio decline under the Supervisory Severely Adverse scenario used in the Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST), plus four quarters of planned common stock dividends, subject to a floor of 2.5%. SCB-based minimum capital requirements will be reviewed and updated annually by the Federal Reserve Board as part of the CCAR process. For additional information regarding CCAR and DFAST, see “Stress Testing Component of Capital Planning” below. The fixed 2.5% Capital Conservation Buffer (for additional information, see below) will continue to apply under the Advanced Approaches.

In August 2021, the Federal Reserve Board finalized and announced Citi’s SCB requirement of 3.0%. Accordingly, effective October 1, 2021, Citigroup is required to maintain a 10.5% effective minimum Common Equity Tier 1 Capital ratio under the Standardized Approach. Previously, from October 1, 2020 through September 30, 2021, Citi had been subject to a 2.5% SCB, and a 10.0% effective minimum Common Equity Tier 1 Capital ratio under the Standardized Approach.

Capital Conservation Buffer and Countercyclical Capital Buffer

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

In addition, Advanced Approaches banking organizations, such as Citigroup and Citibank, are subject to a discretionary Countercyclical Capital Buffer. The Federal Reserve Board last voted to affirm the Countercyclical Capital Buffer amount at the current level of 0% in December 2020.

GSIB Surcharge

The Federal Reserve Board 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 SCB, Capital Conservation Buffer and, if invoked, any Countercyclical Capital Buffer.

A U.S. bank holding company that is designated a GSIB is required, on an annual basis, to calculate a surcharge using two methods and is subject to the higher of the resulting two surcharges. The first method (“method 1”) is based on the Basel Committee’s GSIB methodology. Under the second method (“method 2”), the substitutability category under the Basel Committee’s GSIB methodology is replaced with a quantitative measure intended to assess a GSIB’s reliance on short-term wholesale funding. In addition, method 1 incorporates relative measures of systemic importance across certain global banking organizations and a year-end spot foreign exchange rate, whereas method 2 uses fixed measures of systemic importance and application of an average foreign exchange rate over a three-year period. The GSIB surcharges

calculated under both method 1 and method 2 are based on measures of systemic importance from the year immediately preceding that in which the GSIB surcharge calculations are being performed (e.g., the method 1 and method 2 GSIB surcharges calculated during 2021 will be based on 2020 systemic indicator data). Generally, Citi’s surcharge determined under method 2 will result in a higher surcharge than its surcharge determined under method 1.

Should a GSIB’s systemic importance increase for more than one year, such that it becomes subject to a higher GSIB surcharge, the higher surcharge would not become effective for a full year after the second consecutive higher score (e.g., a higher surcharge calculated using data as of December 31, 2020 and December 30, 2021 would not become effective until January 1, 2023). However, if after two consecutive years of a higher score, 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 in the calendar year commencing one year later (e.g., a lower surcharge calculated using data as of December 31, 2022 would become effective January 1, 2024).

The following table sets forth Citi’s effective GSIB surcharge as determined under method 1 and method 2 during 2021 and 2020:

Citi’s GSIB surcharge effective during both 2021 and 2020 was 3.0%, as derived under the higher method 2 result. Citi’s GSIB surcharge effective for 2022 will remain unchanged at 3.0%, as derived under the higher method 2 result.

Citi expects that its method 2 GSIB surcharge will continue to remain higher than its method 1 GSIB surcharge. Accordingly, based on Citi’s method 2 result as of December 31, 2020, and its estimated method 2 result as of December 31, 2021, Citi’s GSIB surcharge is expected to increase to 3.5% effective January 1, 2023. Citi’s GSIB surcharge effective for 2024 will likely be based on the lower of its method 2 scores for year-end 2021 and 2022, and therefore is not expected to exceed 3.5%.

Prompt Corrective Action Framework

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

Accordingly, an insured depository institution, such as Citibank, must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized.” In addition, insured depository

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institution subsidiaries of U.S. GSIBs, including Citibank, must maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.” Citibank was “well capitalized” as of December 31, 2021.

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

Stress Testing Component of Capital Planning

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

For the largest and most complex firms, such as Citi, CCAR includes a qualitative evaluation of a firm’s abilities to determine its capital needs on a forward-looking basis. In conducting the qualitative assessment, the Federal Reserve Board evaluates firms’ capital planning practices, focusing on six areas of capital planning—namely, governance, risk management, internal controls, capital policies, incorporating stressful conditions and events, and estimating impact on capital positions. As part of the CCAR process, the Federal Reserve Board evaluates Citi’s capital adequacy, capital adequacy process and its planned capital distributions, such as dividend payments and common share repurchases. 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.

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

DFAST is a forward-looking quantitative evaluation of the impact of stressful economic and financial market conditions on Citi’s regulatory capital. This program serves to inform the Federal Reserve Board and the general public as to how Citi’s regulatory capital ratios might change using a hypothetical set of adverse economic conditions as designed by the 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.

Both CCAR and DFAST include an estimate of projected revenues, losses, reserves, pro forma regulatory capital ratios, and any other additional capital measures deemed relevant by Citi. Projections are required over a nine-quarter planning horizon under two supervisory scenarios (baseline and

severely adverse conditions). All risk-based capital ratios reflect application of the Standardized Approach framework under the U.S. Basel III rules.

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

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

Temporary Federal Reserve Board Limitations on Capital Distributions

From the third quarter of 2020 to the second quarter of 2021, the Federal Reserve Board placed temporary limitations on capital distributions for Citi and other large banking organizations, to ensure that large banks maintained a high level of capital resilience throughout the COVID-19 pandemic. Commencing July 1, 2021, Citi’s common

stock dividends and share repurchases were no longer subject to limitations based on the average of Citi’s net income for the

four preceding calendar quarters.

All large banks, including Citi, remain subject to limitations on capital distributions in the event of a breach of

any regulatory capital buffers, including the Stress Capital

Buffer, with the degree of such restrictions based on the extent

to which the buffers are breached. For additional information,

see “Regulatory Capital Buffers” above, and “Risk Factors—Strategic Risks” below.

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Citigroup’s Capital Resources

The following table sets forth Citi’s effective minimum risk-based capital requirements as of December 31, 2021, September 30, 2021 and December 31, 2020:

(1)Beginning October 1, 2021, Citi’s effective minimum risk-based capital requirements include the 3.0% SCB and 3.0% GSIB surcharge under the Standardized Approach, and the 2.5% Capital Conservation Buffer and 3.0% GSIB surcharge under the Advanced Approaches (all of which must be composed of Common Equity Tier 1 Capital). For prior periods presented, Citi’s effective minimum risk-based capital requirements included a 2.5% SCB and 3.0% GSIB surcharge under the Standardized Approach, and the 2.5% Capital Conservation Buffer and 3.0% GSIB surcharge under the Advanced Approaches.

The following tables set forth Citi’s capital components and ratios as of December 31, 2021, September 30, 2021 and December 31, 2020:

(1)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences, and the ACL upon the January 1, 2020 CECL adoption date were deferred and have commenced phase-in to regulatory capital at 25% per year beginning January 1, 2022. For the ongoing impact of CECL, Citigroup was allowed to adjust retained earnings and the ACL in an amount equal to 25% of the change in the ACL (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the ACL between January 1, 2020 and December 31, 2021 commenced phase-in to regulatory capital at 25% per year beginning January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. Additionally, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date were deducted from risk-weighted assets (RWA) and commenced phase-in to RWA at 25% per year beginning January 1, 2022.

(2)Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach as of December 31, 2021 and September 30, 2021, and under the Basel III Advanced Approaches framework as of December 31, 2020, whereas Citi’s reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework for all periods presented.

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

(4)Supplementary Leverage ratio denominator. Commencing with the second quarter of 2020 and continuing through the first quarter of 2021, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.

(5)Certain of the above prior-period amounts have been revised to conform with enhancements made in the current period.

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Common Equity Tier 1 Capital Ratio

As set forth in the table above, Citi’s Common Equity Tier 1 Capital ratio at December 31, 2021 increased from September 30, 2021, primarily due to a decrease in risk-weighted assets and a temporary pause in common share repurchases in the fourth quarter of 2021 in preparation for the implementation of the Standardized Approach for Counterparty Credit Risk (SA-CCR) on January 1, 2022. Citi’s Common Equity Tier 1

Capital ratio increased from year-end 2020, largely driven by net income of $22.0 billion, a net decrease in risk-weighted assets and a temporary pause in common share repurchases in the fourth quarter of 2021 in preparation for the implementation of SA-CCR, partially offset by the return of $11.8 billion of capital to common shareholders in the form of share repurchases and dividends, as well as adverse net movements in AOCI.

Components of Citigroup Capital

Footnotes continue on the following page.

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(1)Issuance costs of $131 million and $156 million related to noncumulative perpetual preferred stock outstanding at December 31, 2021 and 2020, respectively, are excluded from common stockholders’ equity and netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.

(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax) and the ACL upon the January 1, 2020 CECL adoption date were deferred and commenced phase-in to regulatory capital at 25% per year beginning January 1, 2022. For the ongoing impact of CECL, Citigroup was allowed to adjust retained earnings and the ACL in an amount equal to 25% of the change in the ACL (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the ACL between January 1, 2020 and December 31, 2021 have also commenced phase in to regulatory capital at 25% per year beginning January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date.

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

(4)Of Citi's $24.8 billion of net DTAs at December 31, 2021, $15.3 billion was included in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $9.5 billion was excluded. Excluded from Citi's Common Equity Tier 1 Capital as of December 31, 2021 was $11.3 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards. The amount excluded was reduced by $1.8 billion of net DTLs primarily associated with goodwill and certain other intangible assets that are separately deducted from capital. DTAs arising from tax carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under the U.S. Basel III rules. DTAs arising from temporary differences are required to be deducted from capital only if these DTAs exceed 10%/15% limitation under the U.S. Basel III rules. Citi’s DTAs do not currently exceed this limitation and, therefore, are not subject to deduction from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.

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

(6)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Commencing January 1, 2021, Citi no longer deducts permitted market-making positions in third-party covered funds from Tier 1 Capital, in accordance with the revised Volcker Rule 2.0 issued by the U.S. agencies in November 2019. Upon the removal of the capital deduction, permitted market-making positions in third-party covered funds are included in risk-weighted assets.

(7)Represents the amount of non-grandfathered trust preferred securities that were previously eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules. Commencing January 1, 2022, non-grandfathered trust preferred securities have been fully phased out of Tier 2 Capital.

(8)Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $4.4 billion and $5.2 billion at December 30, 2021 and December 31, 2020, respectively.

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Citigroup Capital Rollforward

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

(1)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions decreased during the three months and 12 months ended December 31, 2021, primarily due to exposure-driven decreases.

(2)Securitization exposures increased during the 12 months ended December 31, 2021, primarily due to increases in new deals.

(3)OTC derivatives decreased during the three months ended December 31, 2021, primarily due to decreases in mark-to-market and notional movement. OTC derivatives increased during the 12 months ended December 31, 2021, primarily due to increases in mark-to-market for bilateral derivatives.

(4)Other exposures include cleared transactions, unsettled transactions, and other assets. Other exposures decreased during the three months ended December 31, 2021 primarily due to decreases in cleared transactions. Other exposures increased during the 12 months ended December 31, 2021 primarily due to increases in various other assets.

(5)Market risk-weighted assets decreased during the three months and 12 months ended December 31, 2021, primarily due to exposure changes.

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

(1)Retail exposures decreased during the three months ended December 31, 2021, primarily driven by model recalibrations. Retail exposures decreased during the 12 months ended December 31, 2021, primarily driven by seasonal holiday spending repayments, less spending on qualifying revolving (card) exposures and model recalibrations.

(2)Wholesale exposures decreased during the three months and 12 months ended December 31, 2021, primarily due to reductions in commercial loans and wholesale loan commitments.

(3)Securitization exposures increased during the 12 months ended December 31, 2021, primarily due to increases in new deals.

(4)OTC derivatives decreased during the three months ended December 31,2021, primarily due to decreases in mark-to-market and notional movement.

(5)Derivatives CVA decreased during the three months ended December 31, 2021, primarily due to decreases in exposure and volatility, as well as lower credit spreads and sensitivity.

(6)Other exposures increased during the 12 months ended December 31, 2021, primarily due to increases in various other assets.

(7)Market risk-weighted assets decreased during the three months and 12 months ended December 31, 2021, primarily due to exposure changes.

(8)Operational risk-weighted assets decreased during the three months and 12 months ended December 31, 2021, primarily due to changes in operational loss severity and frequency.

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Supplementary Leverage Ratio

The following table sets forth Citi’s Supplementary Leverage ratio and related components as of December 31, 2021, September 30, 2021 and December 31, 2020:

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

(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in DTAs arising from temporary differences and the ACL upon the January 1, 2020 CECL adoption date were deferred and commenced phase-in to regulatory capital at 25% per year beginning January 1, 2022. For the ongoing impact of CECL, Citigroup was allowed to adjust the ACL in an amount equal to 25% of the change in the ACL (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to the ACL between January 1, 2020 and December 31, 2021 have also commenced phase in to regulatory capital at 25% per year beginning January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in Total Leverage Exposure.

(3)Commencing with the second quarter of 2020 and continuing through the first quarter of 2021, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.

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

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

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

As set forth in the table above, Citigroup’s Supplementary Leverage ratio was 5.7% at December 31, 2021, compared to 5.8% at September 30, 2021 and 7.0% at December 31, 2020. The quarter-over-quarter decrease was primarily driven by an increase in Total Leverage Exposure, primarily driven by an increase in average on-balance sheet assets, as well as adverse net movements in AOCI, partially offset by net income in the quarter. The year-over-year decrease was primarily driven by an increase in Total Leverage Exposure, largely due to an approximate 100 basis point impact from the expiration of the Federal Reserve Board’s temporary Supplementary Leverage ratio relief. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.

Capital Resources of Citigroup’s Subsidiary U.S.

Depository Institutions

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

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The following tables set forth the capital components and ratios for Citibank, Citi’s primary subsidiary U.S. depository institution, as of December 31, 2021, September 30, 2021 and December 31, 2020:

(1)For all periods presented, Citibank’s effective minimum risk-based capital requirements are inclusive of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).

(2)Citibank has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences, and the ACL upon the January 1, 2020 CECL adoption date were deferred and have commenced phase-in to regulatory capital at 25% per year beginning on January 1, 2022. For the ongoing impact of CECL, Citibank was allowed to adjust retained earnings and the ACL in an amount equal to 25% of the change in the ACL (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the ACL between January 1, 2020 and December 31, 2021 have also commenced phase-in to regulatory capital at 25% per year beginning January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. Additionally, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date were deducted from risk-weighted assets (RWA) and commenced phase-in to RWA at 25% per year beginning January 1, 2022.

(3)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the ACL is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess ACL being deducted in arriving at credit risk-weighted assets.

(4)Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented.

(5)Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.”

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

(7)Supplementary Leverage ratio denominator.

(8)Certain of the above prior-period amounts have been revised to conform with enhancements made in the current period.

As indicated in the table above, Citibank’s capital ratios at December 31, 2021 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of December 31, 2021.

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Impact of Changes on Citigroup and Citibank Capital Ratios

The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in 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 and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of December 31, 2021. 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.

Citigroup Broker-Dealer Subsidiaries

At December 31, 2021, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of $13 billion, which exceeded the minimum requirement by $8 billion.

Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total capital of $28 billion at December 31, 2021, 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 operate, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at December 31, 2021.

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Total Loss-Absorbing Capacity (TLAC)

U.S. GSIBs, including Citi, are required to maintain minimum

levels of TLAC and eligible long-term debt (LTD), each set by

reference to the GSIB’s consolidated risk-weighted assets

(RWA) and total leverage exposure.

Minimum External TLAC Requirement

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

The RWA-based TLAC buffer equals the 2.5% capital

conservation buffer, plus any applicable countercyclical

capital buffer (currently 0%), plus the GSIB’s capital

surcharge as determined under method 1 of the GSIB

surcharge rule (2.0% for Citi for 2021). Accordingly, Citi’s

total current minimum TLAC requirement was 22.5% of RWA for 2021.

Minimum LTD Requirement

The minimum LTD requirement is the greater of (i) 6% of the GSIB’s RWA plus its capital surcharge as determined under method 2 of the GSIB surcharge rule (3.0% for Citi for 2021), for a total current requirement of 9% of RWA for Citi, and (ii) 4.5% of the GSIB’s total leverage exposure.

The table below details Citi’s eligible external TLAC and

LTD amounts and ratios, and each effective minimum TLAC and LTD ratio requirement, as well as the surplus amount in dollars in excess of each requirement.

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

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

As of December 31, 2021, Citi exceeded each of the

minimum TLAC and LTD requirements, resulting in a $10

billion surplus above its binding TLAC requirement of LTD as

a percentage of Total Leverage Exposure.

For additional information on Citi’s TLAC-related requirements, see “Risk Factors—Compliance Risks” and “Liquidity Risk—Total Loss-Absorbing Capacity (TLAC)” below.

Capital Resources (Full Adoption of CECL)(1)

The following tables set forth Citigroup’s and Citibank’s capital components and ratios had the full impact of CECL been adopted as of December 31, 2021:

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

(2)The effective minimum requirements were applicable as of December 31, 2021. See “Stress Capital Buffer” above for additional information.

(3)Citibank’s effective minimum requirements were the same under the Standardized Approach and the Advanced Approaches Framework.

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Adoption of the Standardized Approach for Counterparty Credit Risk

In January 2020, the U.S. banking agencies issued a final rule to introduce the Standardized Approach for Counterparty Credit Risk (SA-CCR). SA-CCR replaced the Current Exposure Method (CEM), which was the previous methodology used to calculate exposure for all derivative contracts under the Standardized Approach, as well as RWA for derivative contracts under the Advanced Approaches in cases where internal models are not used. In addition, SA-CCR replaced CEM in numerous other instances throughout the regulatory framework, including but not limited to the Supplementary Leverage Ratio, certain components of the GSIB score, single counterparty credit limits and legal lending limits.

Under SA-CCR, a banking organization calculates the exposure amount of its derivative contracts at the netting set level. Multiple derivative contracts are generally considered to be under the same netting set as long as each derivative contract is subject to the same qualifying master netting agreement. SA-CCR also introduced the concept of hedging sets, which allows a banking organization to fully or partially net derivative contracts within the same netting set that share similar risk factors. Moreover, SA-CCR incorporated updated supervisory and maturity factors to calculate the potential future exposure of a derivative contract, and provides for improved recognition of collateral. Under the final rule, the exposure amount of a netting set is equal to an alpha factor of 1.4 multiplied by the sum of the replacement cost and potential future exposure of the netting set.

Citi adopted SA-CCR as of the mandatory compliance date of January 1, 2022. Adoption of SA-CCR increased Citigroup’s Standardized RWA by approximately $51 billion, which resulted in a 49 bps decrease to Citigroup’s Common Equity Tier 1 Capital ratio under the Standardized Approaches on January 1, 2022. Citigroup’s reported CET1 Capital ratio under the Standardized Approach as of December 31, 2021 was 12.25%, 75 bps above its 11.5% CET1 Capital target, and 175 bps above its 10.5% effective regulatory minimum CET1 Capital requirement under the Standardized Approach.

Adoption of SA-CCR also increased Citigroup’s Advanced RWA by approximately $29 billion, which resulted in a 29 bps decrease to Citigroup’s Common Equity Tier 1 Capital ratio under the Advanced Approaches on January 1, 2022. Citigroup’s reported CET1 Capital ratio under the Advanced Approaches as of December 31, 2021 was 12.35%, 85 bps above its 11.5% CET1 Capital target, and 235 bps above its 10.0% effective regulatory minimum CET1 Capital requirement under the Advanced Approaches.

Citigroup voluntarily suspended share repurchases during the fourth quarter of 2021, in anticipation of the adverse impact resulting from SA-CCR adoption. Citi resumed common share repurchases in January 2022.

Regulatory Capital Standards Developments

Basel III Revisions

As previously disclosed, the Basel Committee on Banking Supervision (Basel Committee) has finalized certain Basel III post-crisis regulatory reforms. The reforms relate to the methodologies in deriving credit, market and operational risk-weighted assets, the imposition of a new aggregate output floor for risk-weighted assets, and revisions to the leverage ratio framework.

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

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

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