CITIGROUP INC (Form: 10-Q, Received: 10/30/2015 16:31:04)

Three months ended
September 30,

In billions of dollars

Proceeds from new securitizations

Cash flows received on retained interests and other net cash flows

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2015

Commission file number 1-9924

Citigroup Inc.

(Exact name of registrant as specified in its charter)



Delaware (State or other jurisdiction of incorporation or organization)		52-1568099 (I.R.S. Employer Identification No.)
399 Park Avenue, New York, NY (Address of principal executive offices)		10022 (Zip code)
(212) 559-1000 (Registrant's telephone number, including area code)

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

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

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



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

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

Number of shares of Citigroup Inc. common stock outstanding on September 30, 2015: 2,978,990,460

Available on the web at www.citigroup.com

CITIGROUP INC THIRD QUARTER 2015—FORM 10-Q



OVERVIEW	2
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS	4
Executive Summary	4
Summary of Selected Financial Data	7
SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES	9
CITICORP	12
Global Consumer Banking (GCB)	13
North America GCB	15
Latin America GCB	17
Asia GCB	19
Institutional Clients Group	21
Corporate/Other	25
CITI HOLDINGS	26
BALANCE SHEET REVIEW	28
OFF-BALANCE SHEET ARRANGEMENTS	31
CAPITAL RESOURCES	32
Overview
Capital Management
Current Regulatory Capital Standards
Basel III (Full Implementation)
Regulatory Capital Standards Developments
Tangible Common Equity, Tangible Book Value Per Share and Book Value Per Share
Managing Global Risk Table of Contents — Credit, Market (including Funding and Liquidity), and Country and Risk Sections	51
MANAGING GLOBAL RISK	52
INCOME TAXES	95
DISCLOSURE CONTROLS AND PROCEDURES	96
DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT	96
FORWARD-LOOKING STATEMENTS	97
FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS	100
CONSOLIDATED FINANCIAL STATEMENTS	101
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS	109
Legal Proceedings (See Note 25 to the Consolidated Financial Statements)
UNREGISTERED SALES OF EQUITY, PURCHASES OF EQUITY SECURITIES, DIVIDENDS	229

OVERVIEW

This Quarterly Report on Form 10-Q should be read in conjunction with Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2014 filed with the U.S. Securities and Exchange Commission (SEC) on February 25, 2015, including the historical audited consolidated financial statements of Citigroup reflecting the adoption of an accounting change (See Note 1 to the Consolidated Financial Statements) and certain realignments and reclassifications set forth in Citigroup’s Current Report on Form 8-K filed with the SEC on May 27, 2015 (2014 Annual Report on Form 10-K), and Citigroup’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2015 and June 30, 2015 filed with the SEC on May 11, 2015 (First Quarter of 2015 Form 10-Q) and August 3, 2015 (Second Quarter of 2015 Form 10-Q).

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

Certain other reclassifications have been made to the prior periods’ presentation.

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

Citigroup is managed pursuant to the following segments:


(1)	For reporting purposes, Asia GCB includes the results of operations of EMEA GCB for all periods presented.

Note: Reflects certain readjustments and reclassifications. See “Overview” above for additional information.

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

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION

AND RESULTS OF OPERATIONS

EXECUTIVE SUMMARY

Third Quarter of 2015—Solid Results and Progress on Execution Priorities Despite Continued Challenging Environment

Citi’s third quarter of 2015 reflected solid overall results and steady progress on its execution priorities, including:

•

Efficient resource allocation and disciplined expense management: Citi maintained disciplined expense management during the third quarter of 2015, even as it continued to absorb increased regulatory and compliance costs in Citicorp. Citi’s expense management in the current quarter was further aided by lower legal and related expenses and lower repositioning expenses in Citicorp as compared to the prior-year period, as discussed further below.

•

Continued wind down of Citi Holdings, while maintaining profitability: Citi continued to wind down Citi Holdings, including reducing its assets by $27 billion, or 20%, from the prior-year period. In addition, as of September 30, 2015, Citi had executed agreements to sell approximately $37 billion of additional assets in Citi Holdings, including OneMain Financial (for additional information, see “Citi Holdings” below). As discussed further below, Citi Holdings also maintained profitability in the third quarter of 2015.


•	Utilization of deferred tax assets (DTAs): Citi utilized approximately $2.1 billion in DTAs during the first nine months of 2015, including approximately $700 million during the third quarter of 2015 (for additional information, see “Income Taxes” below).

Citi was able to achieve these results and make ongoing progress on its execution priorities during a quarter with continued market volatility and uncertainties, including macroeconomic uncertainties, slower global growth and market volatility resulting from, among other things, expectations as to when U.S. interest rates may begin to rise. For more information on these and other ongoing trends and risks that could impact Citi’s businesses, results of operations and financial condition, see the discussion of each businesses’ results of operations, “Forward-Looking Statements” and Note 25 to the Consolidated Financial Statements below, as well as the “Risk Factors” section of Citi’s 2014 Annual Report on Form 10-K.

Third Quarter of 2015 Summary Results

Citigroup

Citigroup reported net income of $4.3 billion or $1.35 per diluted share, compared to $2.8 billion or $0.88 per share in the prior-year period. Results in the third quarter of 2015 included $196 million ($127 million after-tax) of CVA/DVA, compared to negative $371 million (negative $228 million after-tax) in the third quarter of 2014.

Excluding the impact of CVA/DVA in both periods, Citi reported net income of $4.2 billion in the third quarter of 2015, or $1.31 per diluted share, compared to $3.1 billion, or $0.95 per share, in the prior-year period. (Citi’s results of operations excluding the impact of CVA/DVA are a non-GAAP financial measure.) The 36% increase from the prior-year period was primarily driven by lower expenses, lower net credit losses and a lower effective tax rate (for additional information, see “Income Taxes” below), partially offset by lower revenues and a reduced net loan loss reserve release.

Citi’s revenues, net of interest expense, were $18.7 billion in the third quarter of 2015, a decrease of 5% from the prior-year period. Excluding CVA/DVA, revenues were $18.5 billion, down 8% from the prior-year period, as Citicorp revenues decreased by 5% and Citi Holdings revenues decreased 32%. Excluding CVA/DVA and the impact of foreign exchange translation into U.S. dollars for reporting purposes (FX translation), Citigroup revenues decreased 2% from the prior-year period, as a 1% increase in Citicorp revenues was more than offset by the decrease in Citi Holdings revenues. (Citi’s results of operations excluding the impact of FX translation are non-GAAP financial measures.)

Expenses

Citigroup expenses decreased 18% versus the third quarter of 2014 to $10.7 billion driven by lower legal and related expenses ($376 million compared to $1.6 billion in the prior-year period) and repositioning costs ($81 million compared to $382 million in the prior-year period), as well as the impact of FX translation (which lowered expenses by approximately $759 million in the third quarter of 2015 compared to the prior-year period). Excluding the impact of FX translation, Citigroup’s expenses declined 13%, mainly driven by the lower legal and related expenses and repositioning costs.

Excluding the impact of FX translation on Citicorp, which lowered reported expenses by approximately $698 million in the third quarter of 2015 compared to the prior-year period, Citicorp expenses decreased 13% mainly driven by significantly lower legal and related expenses and repositioning costs. Citicorp expenses in the third quarter of 2015 included legal and related expenses of $259 million, compared to $1.4 billion in the prior-year period, and $41 million of repositioning charges, compared to $370 million in the prior-year period.

Citi Holdings’ expenses were $1.1 billion, down 15% from the prior-year period, primarily driven by the ongoing decline in Citi Holdings assets.

Credit Costs

Citi’s total provisions for credit losses and for benefits and claims of $1.8 billion increased 5% from the prior-year period, as a lower net loan loss reserve release was partially offset by lower net credit losses.

Net credit losses of $1.7 billion declined 21% versus the prior-year period. Consumer net credit losses declined 24% to $1.6 billion, reflecting continued improvements in North

America Citi-branded cards and Citi retail services in Citicorp as well as the North America mortgage portfolio within Citi Holdings. Corporate net credit losses increased to $46 million from negative $18 million in the prior-year period, with the increase related to a limited number of corporate loans.

The net release of the allowance for loan losses and unfunded lending commitments was $16 million in the third quarter of 2015, compared to a $552 million release in the prior-year period. Citicorp’s net reserve build was $212 million, compared to a net loan loss reserve release of $414 million in the prior-year period. The build in the third quarter of 2015 was primarily driven by net loan loss reserve builds in the Institutional Clients Group ( ICG), including approximately $140 million for energy and energy-related exposures (for additional information, see “ Institutional Clients Group ” and “Credit Risk” below). Citi Holdings’ net reserve release increased $90 million from the prior-year period to $228 million, primarily reflecting the impact of asset sales.

For additional information on Citi’s credit costs and allowance for loan losses, including delinquency trends in its credit portfolios, see “Credit Risk” below.

Capital

Citi continued to grow its regulatory capital during the third quarter of 2015, even as it returned approximately $2.1 billion of capital to its shareholders in the form of common stock repurchases and dividends. Citigroup’s Tier 1 Capital and Common Equity Tier 1 Capital ratios, on a fully implemented basis, were 12.9% and 11.7% as of September 30, 2015, respectively, compared to 11.4% and 10.6% as of September 30, 2014 (all based on the Basel III Advanced Approaches for determining risk-weighted assets). Citigroup’s Supplementary Leverage ratio as of September 30, 2015, on a fully implemented basis, was 6.9%, compared to 6.0% as of September 30, 2014. For additional information on Citi’s capital ratios and related components, including the impact of Citi’s DTAs on its capital ratios, see “Capital Resources” and “Income Taxes” below.

Citicorp

Citicorp net income increased 62% from the prior-year period to $4.3 billion. CVA/DVA, recorded in ICG , was $221 million ($143 million after-tax) in the third quarter of 2015, compared to negative $316 million (negative $194 million after-tax) in the prior-year period (for a summary of CVA/DVA by business within ICG , see “ Institutional Clients Group ” below).

Excluding CVA/DVA, Citicorp’s net income was $4.1 billion, up 46% from the prior-year period, primarily driven by lower expenses and a lower effective tax rate, partially offset by lower revenues and the higher cost of credit.

Citicorp revenues, net of interest expense, decreased 2% from the prior-year period to $17.3 billion. Excluding CVA/DVA, Citicorp revenues were $17.1 billion in the third quarter of 2015, down 5% from the prior-year period, reflecting a 3% decline in ICG and an 8% decrease in Global Consumer Banking ( GCB) revenues. As referenced above, excluding CVA/DVA and the impact of FX translation, Citicorp’s revenues grew 1%.

GCB revenues of $8.5 billion decreased 8% versus the prior-year period. Excluding the impact of FX translation, GCB revenues decreased 1%, as decreases in North America GCB and Asia GCB were partially offset by an increase in Latin America GCB . North America GCB revenues decreased 4% to $4.8 billion, as lower revenues in Citi-branded cards and Citi retail services were partially offset by higher retail banking revenues. Citi-branded cards revenues of $1.9 billion were down 9% versus the prior-year period, reflecting the continued impact of lower average loans as well as an increase in acquisition and rewards costs related to new account acquisitions. Citi retail services revenues of $1.6 billion declined 2% versus the prior-year period, reflecting the continued impact of lower fuel prices and higher contractual partner payments. Retail banking revenues increased 3% from the prior-year period to $1.3 billion, reflecting continued loan and deposit growth and improved deposit spreads, partially offset by a lower mortgage repurchase reserve release as compared to the prior-year period. North America GCB average deposits of $172 billion increased 1% year-over-year and average retail loans of $50 billion grew 7%. Average card loans of $107 billion decreased 2%, while purchase sales of $66 billion increased 5% versus the prior-year period. For additional information on the results of operations of North America GCB for the third quarter of 2015, see “ Global Consumer Banking — North America GCB ” below.

International GCB revenues (consisting of EMEA GCB, Latin America GCB and Asia GCB ) decreased 13% versus the prior-year period to $3.6 billion. Excluding the impact of FX translation, international GCB revenues increased 2% versus the prior-year period. Latin America GCB revenues increased 11% versus the prior-year period , including a gain of approximately $180 million related to the sale of Citi’s merchant acquiring business in Mexico. Excluding the gain, Latin America GCB revenues were approximately unchanged from the prior-year period, as modest increases in loan and deposit balances were offset by the continued impact of spread compression. Asia GCB revenues declined 6% versus the prior-year period, reflecting lower investment sales revenues as well as continued high payment rates and the ongoing impact of regulatory changes in cards, partially offset by growth in lending, deposit and insurance products. For additional information on the results of operations of Latin America GCB and Asia GCB (which includes the results of operations of EMEA GCB for reporting purposes) for the third quarter of 2015, including the impact of FX translation, see “ Global Consumer Banking ” below. Year-over-year, international GCB average deposits of $126 billion increased 4%, average retail loans of $97 billion increased 3%, investment sales of $18 billion decreased 27%, average card loans of $25 billion increased 2% and card purchase sales of $25 billion increased 5%, all excluding the impact of FX translation.

ICG revenues were $8.6 billion in the third quarter of 2015, up 3% from the prior-year period. Excluding CVA/DVA, ICG revenues were $8.4 billion, down 3% from the prior-year period. Banking revenues of $4.0 billion, excluding CVA/DVA and the impact of mark-to-market gains on hedges related to accrual loans within corporate lending (see below),

decreased 7% from the prior-year period, as lower underwriting activity and advisory revenues within investment banking as well as the impact of FX translation was only partially offset by continued growth in the private bank. Investment banking revenues of $937 million decreased 25% versus the prior-year period. Advisory revenues decreased 24% from strong results in the prior-year period to $243 million. Debt underwriting revenues decreased 17% to $525 million, driven by high yield and leveraged loans, while equity underwriting decreased 43% to $169 million, reflecting lower industry-wide underwriting activity during the quarter. Private bank revenues, excluding CVA/DVA, increased 8% to $715 million from the prior-year period, driven by strong growth in managed investments revenue as well as higher loan and deposit balances.

Corporate lending revenues increased 41% to $755 million, including $352 million of mark-to-market gains on hedges related to accrual loans, compared to a $91 million gain in the prior-year period. Excluding the mark-to-market impact on hedges related to accrual loans in both periods, corporate lending revenues declined 9% versus the prior-year period to $403 million. Excluding the impact of FX translation and the mark-to-market impact of loan hedges, corporate lending revenues decreased 4% year-over-year, as growth in average loans was more than offset by the impact of lower spreads and the impact of loan sale activity. Treasury and trade solutions revenues of $1.9 billion were approximately unchanged versus the prior-year period. Excluding the impact of FX translation, treasury and trade solutions revenues increased 7%, as continued growth in deposit balances and spreads was partially offset by lower trade revenues.

Markets and securities services revenues of $4.0 billion, excluding CVA/DVA, decreased 5% from the prior-year period. Fixed income markets revenues of $2.6 billion, excluding CVA/DVA, decreased 16% from the prior-year period, reflecting lower client activity levels and a less favorable trading environment versus the prior-year period. Equity markets revenues of $996 million, excluding CVA/DVA, increased 31% versus the prior-year period. Excluding the impact of reversing $140 million of the previously-disclosed valuation adjustment recognized in the second quarter of 2015 ($175 million), equity markets revenues increased 12% from the prior-year period driven by growth in derivatives. Securities services revenues of $513 million decreased 4% versus the prior-year period, but increased 7% excluding the impact of FX translation, reflecting increased activity and higher client balances. For additional information on the results of operations of ICG for the third quarter of 2015, including the impact of CVA/DVA on the applicable businesses, see “ Institutional Clients Group ” below.

Corporate/Other revenues were $218 million, a $136 million increase from the prior-year period, primarily driven by gains on debt buybacks. For additional information on the results of operations of Corporate/Other for the third quarter of 2015, see “ Corporate/Other ” below.

Citicorp end-of-period loans were approximately unchanged from the prior-year period at $567 billion, as consumer loans decreased 5% while corporate loans increased

4%. Excluding the impact of FX translation, Citicorp loans grew 5%, with 8% growth in corporate loans and 2% growth in consumer loans.

Citi Holdings

Citi Holdings’ net income was $31 million in the third quarter of 2015, compared to $212 million in the prior-year period. CVA/DVA was negative $25 million (negative $16 million after-tax) in the third quarter of 2015, compared to negative $55 million (negative $34 million after-tax) in the prior-year period. Excluding the impact of CVA/DVA in both periods, Citi Holdings’ net income was $47 million in the current quarter, compared to $246 million in the prior-year period, primarily reflecting lower revenues, partially offset by lower expenses and lower cost of credit.

Citi Holdings’ revenues decreased 32% to $1.4 billion from the prior-year period, primarily driven by a lower level of net gains on asset sales as well as the overall wind-down of the portfolio. For additional information on the results of operations of Citi Holdings in the third quarter of 2015, see “Citi Holdings” below.

At the end of the current quarter, Citi Holdings’ assets were $110 billion, 20% below the prior-year period, and represented approximately 6% of Citi’s total GAAP assets and 13% of its risk-weighted assets under Basel III (based on the Advanced Approaches for determining risk-weighted assets).

RESULTS OF OPERATIONS

SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1

Citigroup Inc. and Consolidated Subsidiaries



	Third Quarter								Nine Months
In millions of dollars, except per-share amounts and ratios	2015			2014			% Change		2015			2014			% Change
Net interest revenue	$	11,773		$	12,187		(3	)%	$	35,167		$	35,892		(2	)%
Non-interest revenue	6,919			7,502			(8	)	22,731			23,428			(3	)%
Revenues, net of interest expense	$	18,692		$	19,689		(5	)%	$	57,898		$	59,320		(2	)%
Operating expenses	10,669			12,955			(18	)	32,481			40,625			(20	)%
Provisions for credit losses and for benefits and claims	1,836			1,750			5		5,399			5,454			(1	)%
Income from continuing operations before income taxes	$	6,187		$	4,984		24	%	$	20,018		$	13,241		51	%
Income taxes	1,881			2,068			(9	)	6,037			6,120			(1	)%
Income from continuing operations	$	4,306		$	2,916		48	%	$	13,981		$	7,121		96	%
Income (loss) from discontinued operations, net of taxes ⁽¹⁾	(10		)	(16		)	38	%	(9		)	(1		)	NM
Net income before attribution of noncontrolling interests	$	4,296		$	2,900		48	%	$	13,972		$	7,120		96	%
Net income attributable to noncontrolling interests	5			59			(92	)	65			154			(58	)%
Citigroup’s net income	$	4,291		$	2,841		51		$	13,907		$	6,966		100	%
Less:
Preferred dividends—Basic	$	174		$	128		36	%	$	504		$	352		43	%
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS	56			44			27		182			108			69	%
Income allocated to unrestricted common shareholders for basic and diluted EPS	$	4,061		$	2,669		52	%	$	13,221		$	6,506		NM
Earnings per share
Basic
Income from continuing operations	$	1.36		$	0.89		53	%	$	4.39		$	2.14		NM
Net income	1.36			0.88			55		4.38			2.14			NM
Diluted
Income from continuing operations	$	1.36		$	0.88		55	%	$	4.38		$	2.14		NM
Net income	1.35			0.88			53		4.38			2.14			NM
Dividends declared per common share	0.05			0.01			NM		0.11			0.03			NM

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

SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2



	Citigroup Inc. and Consolidated Subsidiaries
	Third Quarter								Nine Months
In millions of dollars, except per-share amounts, ratios and direct staff	2015			2014			% Change		2015		2014		% Change
At September 30:
Total assets	$	1,808,356		$	1,882,505		(4	)%
Total deposits ⁽²⁾	904,243			942,655			(4	)
Long-term debt	213,533			223,842			(5	)
Citigroup common stockholders’ equity	205,630			202,960			1
Total Citigroup stockholders’ equity	220,848			211,928			4
Direct staff (in thousands)	239			243			(2	)
Performance metrics
Return on average assets	0.94		%	0.59		%			1.01	%	0.49	%
Return on average common stockholders’ equity ⁽³⁾	8.0			5.3					8.8		4.4
Return on average total stockholders’ equity ⁽³⁾	7.7			5.3					8.6		4.4
Efficiency ratio (Operating expenses/Total revenues)	57			66					56		68
Basel III ratios—full implementation
Common Equity Tier 1 Capital ⁽⁴⁾	11.67		%	10.64		%
Tier 1 Capital ⁽⁴⁾	12.91			11.41
Total Capital ⁽⁴⁾	14.60			12.76
Supplementary Leverage ratio ⁽⁵⁾	6.85			5.98
Citigroup common stockholders’ equity to assets	11.37		%	10.78		%
Total Citigroup stockholders’ equity to assets	12.21			11.26
Dividend payout ratio ⁽⁶⁾	4			1
Book value per common share	$	69.03		$	66.99		3	%
Ratio of earnings to fixed charges and preferred stock dividends	2.92x			2.40x					3.04x		2.18x


(1)	Discontinued operations include Credicard, Citi Capital Advisors and Egg Banking credit card business. See Note 2 to the Consolidated Financial Statements for additional information on Citi’s discontinued operations.


(2)	Reflects reclassification of approximately $21 billion of deposits to held-for-sale ( Other liabilities) as a result of the agreement in December 2014 to sell Citi’s retail banking business in Japan. See Note 2 to the Consolidated Financial Statements.


(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)	Capital ratios based on the U.S. Basel III rules, with full implementation assumed for capital components; risk-weighted assets based on the Advanced Approaches for determining total risk-weighted assets. See “Capital Resources” below.

(5)

Citi’s Supplementary Leverage ratio (SLR) is based on the U.S. Basel III rules, on a fully-implemented basis. Citi’s SLR represents the ratio of Tier 1 Capital to Total Leverage Exposure (TLE). TLE is 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. See “Capital Resources” below.

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

NM Not meaningful

SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES

The following tables show the income (loss) and revenues for Citigroup on a segment and business view:

CITIGROUP INCOME



	Third Quarter						% Change		Nine Months						% Change
In millions of dollars	2015			2014			% Change		2015			2014			% Change
Income (loss) from continuing operations
CITICORP
Global Consumer Banking
North America	$	1,063		$	1,183		(10	)%	$	3,270		$	3,275		—	%
Latin America	312			329			(5	)	781			895			(13	)
Asia ⁽¹⁾	307			382			(20	)	986			961			3
Total	$	1,682		$	1,894		(11	)%	$	5,037		$	5,131		(2	)%
Institutional Clients Group
North America	$	928		$	920		1	%	$	2,921		$	3,321		(12	)%
EMEA	522			477			9		2,063			1,839			12
Latin America	389			294			32		1,272			1,061			20
Asia	571			652			(12	)	1,953			1,636			19
Total	$	2,410		$	2,343		3	%	$	8,209		$	7,857		4	%
Corporate/Other	$	183		$	(1,537	)	NM		$	394		$	(2,309	)	NM
Total Citicorp	$	4,275		$	2,700		58	%	$	13,640		$	10,679		28	%
Citi Holdings	$	31		$	216		(86	)%	$	341		$	(3,558	)	NM
Income from continuing operations	$	4,306		$	2,916		48	%	$	13,981		$	7,121		96	%
Discontinued operations	$	(10	)	$	(16	)	38	%	$	(9	)	$	(1	)	NM
Net income attributable to noncontrolling interests	5			59			(92	)%	65			154			(58	)%
Citigroup’s net income	$	4,291		$	2,841		51	%	$	13,907		$	6,966		100	%


(1)	For reporting purposes, Asia GCB includes the results of operations of EMEA GCB for all periods presented.

NM Not meaningful

CITIGROUP REVENUES



	Third Quarter				% Change		Nine Months				% Change
In millions of dollars	2015		2014		% Change		2015		2014		% Change
CITICORP
Global Consumer Banking
North America	$	4,821	$	4,996	(4	)%	$	14,638	$	14,573	—	%
Latin America	1,923		2,172		(11	)	5,606		6,391		(12	)
Asia ⁽¹⁾	1,716		2,033		(16	)	5,427		6,025		(10	)
Total	$	8,460	$	9,201	(8	)%	$	25,671	$	26,989	(5	)%
Institutional Clients Group
North America	$	3,273	$	3,219	2	%	$	9,861	$	9,934	(1	)%
EMEA	2,417		2,252		7		7,723		7,453		4
Latin America	1,069		1,014		5		3,245		3,264		(1	)
Asia	1,838		1,851		(1	)	5,674		5,241		8
Total	$	8,597	$	8,336	3	%	$	26,503	$	25,892	2	%
Corporate/Other	$	218	$	82	NM		$	800	$	394	NM
Total Citicorp	$	17,275	$	17,619	(2	)%	$	52,974	$	53,275	(1	)%
Citi Holdings	$	1,417	$	2,070	(32	)%	$	4,924	$	6,045	(19	)%
Total Citigroup net revenues	$	18,692	$	19,689	(5	)%	$	57,898	$	59,320	(2	)%


(1)	For reporting purposes, Asia GCB includes the results of operations of EMEA GCB for all periods presented.

NM Not meaningful.

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CITICORP

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

Citicorp consists of the following operating businesses: Global Consumer Banking (which consists of consumer banking in North America, Latin America, EMEA and Asia ) and Institutional Clients Group (which includes Banking and Markets and securities services ). Citicorp also includes Corporate/Other . At September 30, 2015, Citicorp had $1.7 trillion of assets and $897 billion of deposits, representing 94% of Citi’s total assets and 99% of Citi’s total deposits, respectively.



	Third Quarter								Nine Months						% Change
In millions of dollars except as otherwise noted	2015			2014			% Change		2015			2014			% Change
Net interest revenue	$	10,799		$	11,068		(2	)%	$	32,137		$	32,360		(1	)%
Non-interest revenue	6,476			6,551			(1	)	20,837			20,915			—
Total revenues, net of interest expense	$	17,275		$	17,619		(2	)%	$	52,974		$	53,275		(1	)%
Provisions for credit losses and for benefits and claims
Net credit losses	$	1,445		$	1,692		(15	)%	$	4,656		$	5,305		(12	)%
Credit reserve build (release)	128			(387		)	NM		(113		)	(1,085		)	90
Provision for loan losses	$	1,573		$	1,305		21	%	$	4,543		$	4,220		8	%
Provision for benefits and claims	28			38			(26	)	77			105			(27	)
Provision for unfunded lending commitments	84			(27		)	NM		5			(78		)	NM
Total provisions for credit losses and for benefits and claims	$	1,685		$	1,316		28	%	$	4,625		$	4,247		9	%
Total operating expenses	$	9,524		$	11,609		(18	)%	$	29,075		$	32,239		(10	)%
Income from continuing operations before taxes	$	6,066		$	4,694		29	%	$	19,274		$	16,789		15	%
Income taxes	1,791			1,994			(10	)	5,634			6,110			(8	)
Income from continuing operations	$	4,275		$	2,700		58	%	$	13,640		$	10,679		28	%
Income (loss) from discontinued operations, net of taxes	(10		)	(16		)	38		(9		)	(1		)	NM
Noncontrolling interests	5			55			(91	)	64			148			(57	)
Net income	$	4,260		$	2,629		62	%	$	13,567		$	10,530		29	%
Balance sheet data (in billions of dollars)
Total end-of-period (EOP) assets	$	1,698		$	1,746		(3	)%
Average assets	1,705			1,752			(3	)	1,718			1,748			(2	)%
Return on average assets	0.99		%	0.60		%			1.06		%	0.81		%
Efficiency ratio	55		%	66		%			55		%	61		%
Total EOP loans	$	567		$	569		—
Total EOP deposits	$	897		$	898		—

NM Not meaningful

GLOBAL CONSUMER BANKING

Global Consumer Banking (GCB) consists of Citigroup’s four geographical consumer banking businesses that provide traditional banking services to retail customers through retail banking, commercial banking, Citi-branded cards and Citi retail services (for additional information on these businesses, see “Citigroup Segments” above). GCB is a globally diversified business with 3,004 branches in 24 countries around the world as of September 30, 2015. At September 30, 2015, GCB had $388 billion of assets and $297 billion of deposits.

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



	Third Quarter								Nine Months
In millions of dollars except as otherwise noted	2015			2014			% Change		2015			2014			% Change
Net interest revenue	$	6,731		$	7,120		(5	)%	$	20,124		$	20,854		(4	)%
Non-interest revenue	1,729			2,081			(17	)	5,547			6,135			(10	)
Total revenues, net of interest expense	$	8,460		$	9,201		(8	)%	$	25,671		$	26,989		(5	)%
Total operating expenses	$	4,483		$	4,975		(10	)%	$	13,653		$	14,966		(9	)%
Net credit losses	$	1,411		$	1,680		(16	)%	$	4,541		$	5,150		(12	)%
Credit reserve build (release)	(64		)	(379		)	83		(280		)	(894		)	69
Provision (release) for unfunded lending commitments	1			(2		)	NM		(1		)	(8		)	88
Provision for benefits and claims	28			38			(26	)	77			105			(27	)
Provisions for credit losses and for benefits and claims	$	1,376		$	1,337		3	%	$	4,337		$	4,353		—	%
Income from continuing operations before taxes	$	2,601		$	2,889		(10	)%	$	7,681		$	7,670		—	%
Income taxes	919			995			(8	)	2,644			2,539			4
Income from continuing operations	$	1,682		$	1,894		(11	)%	$	5,037		$	5,131		(2	)%
Noncontrolling interests	8			9			(11	)	8			22			(64	)
Net income	$	1,674		$	1,885		(11	)%	$	5,029		$	5,109		(2	)%
Balance Sheet data (in billions of dollars)
Average assets	$	387		$	410		(6	)%	$	392		$	408		(4	)%
Return on average assets	1.72		%	1.82		%			1.72		%	1.68		%
Efficiency ratio	53		%	54		%			53		%	55		%
Total EOP assets	$	388		$	410		(5	)
Average deposits	299			306			(3	)	$	301		$	306		(2	)
Net credit losses as a percentage of average loans	2.01		%	2.28		%			2.16		%	2.37		%
Revenue by business
Retail banking	$	3,732		$	3,936		(5	)%	$	11,282		$	11,570		(2	)%
Cards ⁽¹⁾	4,728			5,265			(10	)	14,389			15,419			(7	)
Total	$	8,460		$	9,201		(8	)%	$	25,671		$	26,989		(5	)%
Income from continuing operations by business
Retail banking	$	566		$	536		6	%	$	1,695		$	1,319		29	%
Cards ⁽¹⁾	1,116			1,358			(18	)	3,342			3,812			(12	)
Total	$	1,682		$	1,894		(11	)%	$	5,037		$	5,131		(2	)%

(Table continues on next page.)



Foreign currency (FX) translation impact
Total revenue—as reported	$	8,460	$	9,201		(8	)%	$	25,671	$	26,989		(5	)%
Impact of FX translation ⁽²⁾	—		(633		)			—		(1,489		)
Total revenues—ex-FX	$	8,460	$	8,568		(1	)%	$	25,671	$	25,500		1	%
Total operating expenses—as reported	$	4,483	$	4,975		(10	)%	$	13,653	$	14,966		(9	)%
Impact of FX translation ⁽²⁾	—		(369		)			—		(884		)
Total operating expenses—ex-FX	$	4,483	$	4,606		(3	)%	$	13,653	$	14,082		(3	)%
Total provisions for LLR & PBC-as reported	$	1,376	$	1,337		3	%	$	4,337	$	4,353		—	%
Impact of FX translation ⁽²⁾	—		(134		)			—		(348		)
Total provisions for LLR & PBC—ex-FX	$	1,376	$	1,203		14	%	$	4,337	$	4,005		8	%
Net income—as reported	$	1,674	$	1,885		(11	)%	$	5,029	$	5,109		(2	)%
Impact of FX translation ⁽²⁾	—		(81		)			—		(155		)
Net income—ex-FX	$	1,674	$	1,804		(7	)%	$	5,029	$	4,954		2	%


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


(2)	Reflects the impact of foreign exchange (FX) translation into U.S. dollars at the third quarter of 2015 average exchange rates for all periods presented.

NM Not meaningful

NORTH AMERICA GCB

North America GCB provides traditional banking and Citi-branded cards and Citi retail services to retail customers and small to mid-size businesses in the U.S. North America GCB ’s 779 retail bank branches as of September 30, 2015 were largely concentrated in the greater metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. North America GCB continues to rationalize its branch footprint, including, as previously announced, the planned exit of approximately 50 branches by the end of the first quarter of 2016, which includes North America GCB’s branches in the Boston metropolitan area.

At September 30, 2015, North America GCB had approximately 11.0 million retail banking customer accounts, $50.6 billion of retail banking loans and $170.9 billion of deposits. In addition, North America GCB had approximately 112.8 million Citi-branded and Citi retail services credit card accounts, with $107.9 billion in outstanding card loan balances.



	Third Quarter						% Change		Nine Months						% Change
In millions of dollars, except as otherwise noted	2015			2014			% Change		2015			2014			% Change
Net interest revenue	$	4,423		$	4,363		1	%	$	13,008		$	12,761		2	%
Non-interest revenue	398			633			(37	)	1,630			1,812			(10	)
Total revenues, net of interest expense	$	4,821		$	4,996		(4	)%	$	14,638		$	14,573		—	%
Total operating expenses	$	2,270		$	2,411		(6	)%	$	6,829		$	7,199		(5	)%
Net credit losses	$	878		$	1,019		(14	)%	$	2,839		$	3,193		(11	)%
Credit reserve build (release)	(61		)	(341		)	82		(270		)	(1,009		)	73
Provisions for benefits and claims	11			12			(8	)	30			30			—
Provision for unfunded lending commitments	—			—			—		1			3			(67	)
Provisions for credit losses and for benefits and claims	$	828		$	690		20	%	$	2,600		$	2,217		17	%
Income from continuing operations before taxes	$	1,723		$	1,895		(9	)%	$	5,209		$	5,157		1	%
Income taxes	660			712			(7	)	1,939			1,882			3
Income from continuing operations	$	1,063		$	1,183		(10	)%	$	3,270		$	3,275		—	%
Noncontrolling interests	1			—			100		—			(1		)	100
Net income	$	1,062		$	1,183		(10	)%	$	3,270		$	3,276		—	%
Balance Sheet data (in billions of dollars)
Average assets	$	208		$	211		(1	)%	$	207		$	210		(1	)%
Return on average assets	2.03		%	2.22		%			2.11		%	2.09		%
Efficiency ratio	47		%	48		%			47		%	49		%
Average deposits	$	172.3		$	170.4		1		$	171.6		$	170.7		1
Net credit losses as a percentage of average loans	2.22		%	2.59		%			2.44		%	2.75		%
Revenue by business
Retail banking	$	1,275		$	1,232		3	%	$	3,930		$	3,553		11	%
Citi-branded cards	1,930			2,118			(9	)	5,872			6,168			(5	)
Citi retail services	1,616			1,646			(2	)	4,836			4,852			—
Total	$	4,821		$	4,996		(4	)%	$	14,638		$	14,573		—	%
Income from continuing operations by business
Retail banking	$	144		$	107		35	%	$	530		$	215		NM
Citi-branded cards	522			636			(18	)	1,560			1,755			(11	)
Citi retail services	397			440			(10	)	1,180			1,305			(10	)
Total	$	1,063		$	1,183		(10	)%	$	3,270		$	3,275		—	%

NM Not meaningful

3Q15 vs. 3Q14

Net income decreased 10% due to a lower net loan loss reserve release and lower revenues, partially offset by lower expenses and lower net credit losses.

Revenues decreased 4%, reflecting lower revenues in Citi-branded cards and Citi retail services, partially offset by higher revenues in retail banking. Net interest revenue increased 1%, primarily due to continued volume growth in retail banking and improved deposit spreads, which more than offset the continued impact of lower average loans in Citi-branded cards. Non-interest revenue decreased 37%, largely driven by an increase in acquisition and rewards costs related to new account acquisitions in Citi-branded cards as well as the impact of a lower mortgage repurchase reserve release in retail banking as compared to the prior-year period (approximately $50 million). The decrease in non-interest revenues was also due to a continued decline in Citi retail services non-interest revenues, primarily reflecting higher contractual partner payments.

Retail banking revenues increased 3% due to 7% growth in average loans, 7% growth in checking deposits and the improved deposit spreads, partially offset by lower mortgage origination revenues and the lower mortgage repurchase reserve release. This growth occurred despite the fact that, consistent with GCB ’s strategy, since the third quarter of 2014, North America GCB has closed or sold 116 branches (a 13% decline from the prior-year period).

Cards revenues declined 6% due to a 2% decrease in average loans, partially offset by a 5% increase in purchase sales. In Citi-branded cards, revenues decreased 9%, primarily reflecting the increase in acquisition and rewards costs related to new account acquisitions and the continued impact of lower average loans (down 3%), partially offset by an 8% increase in purchase sales. The modest decline in average loans was driven primarily by continued high customer payment rates. North America GCB expects these trends in its Citi-branded cards businesses to continue in the near term.

Citi retail services revenues declined 2% driven by the continued impact of lower fuel prices and higher contractual partner payments, as the business continued to share the benefits of higher yields and lower net credit losses with its retail partners, partially offset by the impact of higher spreads and volumes. Purchase sales in Citi retail services increased 1% from the prior-year period, as the continued impact of lower fuel prices was offset by volume growth.

Expenses decreased 6%, primarily due to ongoing cost reduction initiatives, including as a result of the branch rationalization strategy, and lower repositioning charges, partially offset by increased investment spending in Citi-branded cards.

Provisions increased 20% due to lower net loan loss reserve releases (82%), partially offset by lower net credit losses (14%). Net credit losses declined in Citi-branded cards (down 16% to $443 million) and in Citi retail services (down 12% to $401 million). The lower net loan loss reserve release reflected continued stabilization in the cards portfolios.

2015 YTD vs. 2014 YTD

Year-to-date, North America GCB has experienced similar trends to those described above. Net income was unchanged, as lower expenses and lower net credit losses were offset by a lower net loan loss reserve release.

Revenues were unchanged, as higher revenues in retail banking were offset by lower revenues in Citi-branded cards. Retail banking revenues increased 11%, primarily due to the same factors described above. Cards revenues decreased 3%, as Citi-branded cards revenues decreased 5%, driven by the same factors described above. Citi retail services revenues were unchanged, as the continued impact of lower fuel prices and higher contractual payments were offset by the impact of higher spreads and volumes.

Expenses decreased 5%, driven by the same factors described above.

Provisions increased 17% due to the lower net loan loss reserve releases (73%), partially offset by lower net credit losses (11%) driven by improvement in cards.

LATIN AMERICA GCB

Latin America GCB provides traditional banking and Citi-branded card services to retail customers and small to mid-size businesses, with the largest presence in Mexico. Latin America GCB includes branch networks throughout Latin America as well as Banco Nacional de Mexico, or Banamex, Mexico’s second-largest bank, with 1,495 branches as of September 30, 2015.

At September 30, 2015, Latin America GCB had 1,697 retail branches, with approximately 31.5 million retail banking customer accounts, $23.9 billion in retail banking loans and $38.8 billion in deposits. In addition, the business had approximately 7.9 million Citi-branded card accounts with $7.5 billion in outstanding loan balances.



	Third Quarter						% Change		Nine Months						% Change
In millions of dollars, except as otherwise noted	2015			2014			% Change		2015			2014			% Change
Net interest revenue	$	1,187		$	1,472		(19	)%	$	3,670		$	4,268		(14	)%
Non-interest revenue	736			700			5		1,936			2,123			(9	)
Total revenues, net of interest expense	$	1,923		$	2,172		(11	)%	$	5,606		$	6,391		(12	)%
Total operating expenses	$	1,080		$	1,272		(15	)%	$	3,322		$	3,729		(11	)%
Net credit losses	$	355		$	460		(23	)%	$	1,164		$	1,350		(14	)%
Credit reserve build (release)	61			(4		)	NM		90			156			(42	)
Provision (release) for unfunded lending commitments	1			(1		)	NM		1			(1		)	NM
Provision for benefits and claims	17			26			(35	)	47			75			(37	)
Provisions for credit losses and for benefits and claims (LLR & PBC)	$	434		$	481		(10	)%	$	1,302		$	1,580		(18	)%
Income from continuing operations before taxes	$	409		$	419		(2	)%	$	982		$	1,082		(9	)%
Income taxes	97			90			8		201			187			7
Income from continuing operations	$	312		$	329		(5	)%	$	781		$	895		(13	)%
Noncontrolling interests	1			2			(50	)	3			6			(50	)
Net income	$	311		$	327		(5	)%	$	778		$	889		(12	)%
Balance Sheet data (in billions of dollars)
Average assets	$	60		$	76		(21	)%	$	65		$	76		(14	)%
Return on average assets	2.06		%	1.71		%			1.60		%	1.58		%
Efficiency ratio	56		%	59		%			59		%	58		%
Average deposits	$	39.6		$	45.0		(12	)	$	41.2		$	44.7		(8	)
Net credit losses as a percentage of average loans	4.42		%	4.75		%			4.65		%	4.76		%
Revenue by business
Retail banking	$	1,369		$	1,452		(6	)%	$	3,889		$	4,303		(10	)%
Citi-branded cards	554			720			(23	)	1,717			2,088			(18	)
Total	$	1,923		$	2,172		(11	)%	$	5,606		$	6,391		(12	)%
Income from continuing operations by business
Retail banking	$	235		$	189		24	%	$	532		$	599		(11	)%
Citi-branded cards	77			140			(45	)	249			296			(16	)
Total	$	312		$	329		(5	)%	$	781		$	895		(13	)%
Foreign currency (FX) translation impact
Total revenues—as reported	$	1,923		$	2,172		(11	)%	$	5,606		$	6,391		(12	)%
Impact of FX translation ⁽¹⁾	—			(433		)			—			(1,028		)
Total revenues—ex-FX	$	1,923		$	1,739		11	%	$	5,606		$	5,363		5	%
Total operating expenses—as reported	$	1,080		$	1,272		(15	)%	$	3,322		$	3,729		(11	)%
Impact of FX translation ⁽¹⁾	—			(234		)			—			(544		)
Total operating expenses—ex-FX	$	1,080		$	1,038		4	%	$	3,322		$	3,185		4	%
Provisions for LLR & PBC—as reported	$	434		$	481		(10	)%	$	1,302		$	1,580		(18	)%
Impact of FX translation ⁽¹⁾	—			(107		)			—			(279		)
Provisions for LLR & PBC—ex-FX	$	434		$	374		16	%	$	1,302		$	1,301		—	%
Net income—as reported	$	311		$	327		(5	)%	$	778		$	889		(12	)%
Impact of FX translation ⁽¹⁾	—			(62		)			—			(138		)
Net income—ex-FX	$	311		$	265		17	%	$	778		$	751		4	%


(1)	Reflects the impact of foreign exchange (FX) translation into U.S. dollars at the third quarter of 2015 average exchange rates for all periods presented.

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.

3Q15 vs. 3Q14

Net income increased 17%, primarily due to higher revenues, partially offset by higher expenses and higher credit costs.

Revenues increased 11%, primarily due to the approximately $180 million gain on sale related to the Mexico merchant acquiring business. Excluding this gain, revenues were relatively unchanged, as the impact of modest volume growth was offset by the continued impact of spread compression, as well as continued slow economic growth in the region. Net interest revenue increased 2% due to loan and deposit growth, partially offset by the ongoing spread compression. Non-interest revenue increased 29%, primarily driven by the gain on sale related to the merchant acquiring business in Mexico.

Retail banking revenues increased 1%, excluding the gain on sale related to the merchant acquiring business, reflecting volume growth, including an increase in average loans (5%) and average deposits (4%). Cards revenues decreased 2%, primarily driven by Mexico, due to declines in average loans and slower growth in purchase sales in Mexico resulting from lower economic growth and ongoing shifts in consumer behavior, including due to the previously disclosed fiscal reforms. Latin America GCB expects cards revenues in Mexico could continue to be impacted by these trends in the near term.

Expenses increased 4%, primarily due to increased regulatory and compliance spending, mandatory salary increases in certain countries and technology infrastructure upgrades, partially offset by lower legal and related costs, lower repositioning charges and efficiency savings.

Provisions increased 16%, primarily due to a higher net loan loss reserve build, partially offset by a 1% decline in net credit losses. The net loan loss reserve build increased by $63 million in part due to a weaker macroeconomic environment in Brazil. Despite this increase and the continued weaker economic environment in Brazil, Citi does not currently expect its consumer exposure in Brazil will have a material impact on its overall GCB cost of credit going forward (for additional information on Citi’s consumer exposures in Brazil, see “Managing Global Risk—Country Risk” below).

Argentina/Venezuela

For additional information on Citi’s exposures and risks in Argentina and Venezuela, see “Risk Factors” in Citi’s 2014 Annual Report on Form 10-K and “Managing Global Risk—Country Risk” below.

2015 YTD vs. 2014 YTD

Year-to-date, Latin America GCB has experienced similar trends to those described above. Net income increased 4%, primarily due to higher revenues, partially offset by higher expenses.

Revenues increased 5%, primarily due to the gain on sale related to the merchant acquiring business in Mexico. Excluding this gain, revenues increased 1%, as volume growth (3% increase in average loans and 5% increase in average deposits) was partially offset by the impact of business divestitures in the prior-year period, including the sale of the Honduras consumer business in the second quarter of 2014 and the partial sale of Citi’s indirect investment in Banco de Chile in the first quarter of 2014. Net interest revenue increased 3% due to loan and deposit growth, partially offset by ongoing spread compression and the impact of the business divestitures in the prior-year period. Non-interest revenue increased 7%, primarily due to the gain on sale related to the merchant acquiring business in Mexico, partially offset by the impact of the business divestitures in the prior-year period. Retail banking revenues increased 8%, mainly driven by the net impact of the gain on sale related to the merchant acquiring business in Mexico and the partial sale of Citi’s indirect investment in Banco de Chile in the prior-year period. Cards revenues declined 1%, driven by the same factors described above.

Expenses increased 4%, driven by the factors described above.

Provisions were unchanged, as a lower net loan loss reserve build, was offset by higher net credit losses. Net credit losses increased 5%, primarily driven by portfolio growth. The net loan loss reserve build declined 32% due to a lower build related to Mexico cards, partially offset by higher builds in Brazil.

ASIA GCB

Asia GCB provides traditional banking and Citi-branded card services to retail customers and small to mid-size businesses, with the largest Citi presence in Singapore, Korea, Hong Kong, India, Australia, Taiwan, China, Thailand, Malaysia and the Philippines as of September 30, 2015. In addition, for reporting purposes, Asia GCB includes the results of operations of EMEA GCB , which provides traditional banking and Citi-branded card services to retail customers and small to mid-size businesses, primarily in Poland, Russia and the United Arab Emirates.

At September 30, 2015, on a combined basis, the businesses had 528 retail branches, approximately 17.7 million retail banking customer accounts, $71.4 billion in retail banking loans and $87.1 billion in deposits. In addition, the businesses had approximately 17.1 million Citi-branded card accounts with $17.0 billion in outstanding loan balances.



	Third Quarter						% Change		Nine Months						% Change
In millions of dollars, except as otherwise noted ⁽¹⁾	2015			2014			% Change		2015			2014			% Change
Net interest revenue	$	1,121		$	1,285		(13	)%	$	3,446		$	3,825		(10	)%
Non-interest revenue	595			748			(20	)	1,981			2,200			(10	)
Total revenues, net of interest expense	$	1,716		$	2,033		(16	)%	$	5,427		$	6,025		(10	)%
Total operating expenses	$	1,133		$	1,292		(12	)%	$	3,502		$	4,038		(13	)%
Net credit losses	$	178		$	201		(11	)%	$	538		$	607		(11	)%
Credit reserve build (release)	(64		)	(34		)	(88	)	(100		)	(41		)	NM
Provision for unfunded lending commitments	—			(1		)	100		(3		)	(10		)	70
Provisions for credit losses	$	114		$	166		(31	)%	$	435		$	556		(22	)%
Income from continuing operations before taxes	$	469		$	575		(18	)%	$	1,490		$	1,431		4	%
Income taxes	162			193			(16	)	504			470			7
Income from continuing operations	$	307		$	382		(20	)%	$	986		$	961		3	%
Noncontrolling interests	6			7			(14	)	5			17			(71	)
Net income	$	301		$	375		(20	)%	$	981		$	944		4	%
Balance Sheet data (in billions of dollars)
Average assets	$	119		$	123		(3	)%	$	120		$	122		(2	)%
Return on average assets	1.00		%	1.21		%			1.09		%	1.03		%
Efficiency ratio	66		%	64		%			65		%	67		%
Average deposits	$	86.6		$	91.0		(5	)	$	88.2		$	90.2		(2	)
Net credit losses as a percentage of average loans	0.79		%	0.81		%			0.78		%	0.84		%
Revenue by business
Retail banking	$	1,088		$	1,252		(13	)%	$	3,463		$	3,714		(7	)%
Citi-branded cards	628			781			(20	)	1,964			2,311			(15	)
Total	$	1,716		$	2,033		(16	)%	$	5,427		$	6,025		(10	)%
Income from continuing operations by business
Retail banking	$	187		$	240		(22	)%	$	633		$	505		25	%
Citi-branded cards	120			142			(15	)	353			456			(23	)
Total	$	307		$	382		(20	)%	$	986		$	961		3	%



Foreign currency (FX) translation impact
Total revenues—as reported	$	1,716	$	2,033		(16	)%	$	5,427	$	6,025		(10	)%
Impact of FX translation ⁽²⁾	—		(200		)			—		(461		)
Total revenues—ex-FX	$	1,716	$	1,833		(6	)%	$	5,427	$	5,564		(2	)%
Total operating expenses—as reported	$	1,133	$	1,292		(12	)%	$	3,502	$	4,038		(13	)%
Impact of FX translation ⁽²⁾	—		(135		)			—		(340		)
Total operating expenses—ex-FX	$	1,133	$	1,157		(2	)%	$	3,502	$	3,698		(5	)%
Provisions for loan losses—as reported	$	114	$	166		(31	)%	$	435	$	556		(22	)%
Impact of FX translation ⁽²⁾	—		(27		)			—		(69		)
Provisions for loan losses—ex-FX	$	114	$	139		(18	)%	$	435	$	487		(11	)%
Net income—as reported	$	301	$	375		(20	)%	$	981	$	944		4	%
Impact of FX translation ⁽²⁾	—		(19		)			—		(17		)
Net income—ex-FX	$	301	$	356		(15	)%	$	981	$	927		6	%


(1)	For reporting purposes, Asia GCB includes the results of operations of EMEA GCB for all periods presented.


(2)	Reflects the impact of foreign exchange (FX) translation into U.S. dollars at the third quarter of 2015 average exchange rates for all periods presented.


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.

3Q15 vs. 3Q14

Net income decreased 15%, primarily due to lower revenues, partially offset by lower expenses and lower credit costs.

Revenues decreased 6% driven by an industry-wide slowdown in activity in the region during the quarter, reflecting changes in consumer sentiment due to slowing economic growth and volatility in the capital markets. Non-interest revenue decreased 14%, primarily due to lower investment sales revenues. Net interest revenue decreased 2% driven by the ongoing impact of regulatory changes and continued spread compression in cards.

Retail banking revenues decreased 5%, primarily due to a 20% decline in investment sales driven by the market and consumer sentiment factors described above, partially offset by increased lending (2% increase in average loans) and deposit products (4% increase in average deposits) and higher insurance fee revenues.

Cards revenues decreased 8%, primarily due to continued high payment rates, spread compression and the ongoing impact of regulatory changes, particularly in Singapore, Taiwan, Australia, Malaysia and Poland. While purchase sales grew 3% and average loans grew 3%, such growth was negatively impacted by the continued high payment rates. Asia GCB expects these negative impacts to cards revenues could continue in the near term.

Expenses decreased 2%, largely due to lower repositioning charges and efficiency savings, partially offset by higher regulatory and compliance costs.

Provisions decreased 18%, primarily due to a higher net loan loss reserve release, primarily in Malaysia and Korea, partially offset by higher net credit losses driven by portfolio growth.

Russia

For additional information on Citi’s exposures and risks in Russia, see “ EMEA GCB ” and “Risk Factors” in Citi’s 2014 Annual Report on Form 10-K and “Managing Global Risk—Country Risk” below.

2015 YTD vs. 2014 YTD

Year-to-date, Asia GCB has experienced similar trends to those described above. Net income increased 6%, primarily due to lower expenses and lower credit costs, partially offset by lower revenues.

Revenues decreased 2%. Non-interest revenue decreased 4%, primarily driven by lower fee revenues. Net interest revenue decreased 1%, driven by the same factors described above. Retail banking revenues were unchanged, as higher insurance fee revenue and volumes (average retail deposits increased 5%, average retail loans increased 3% and investment sales increased 8%) were offset by continued spread compression and regulatory changes, particularly in Poland. Cards revenues decreased 6%, driven by the same factors described above.

Expenses decreased 5%, largely due to lower repositioning charges, including the absence of approximately $270 million of repositioning charges in Korea in the second quarter of 2014, and efficiency savings, partially offset by higher regulatory and compliance costs, investment spending and volume-related growth.

Provisions decreased 11%, primarily due to a higher net loan loss reserve release and modestly lower net credit losses.

INSTITUTIONAL CLIENTS GROUP

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

ICG revenue is generated primarily from fees and spreads associated with these activities. ICG earns fee income for assisting clients in clearing transactions, providing brokerage and investment banking services and other such activities. Revenue generated from these activities is recorded in Commissions and fees and Investment banking . 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 . Interest income earned on inventory and loans held less interest paid to customers on deposits is recorded as Net interest revenue . Revenue is also generated from transaction processing and assets under custody and administration.

ICG ’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in over 95 countries and jurisdictions. At September 30, 2015, ICG had approximately $1.3 trillion of assets and $595 billion of deposits, while two of its businesses, securities services and issuer services, managed approximately $14.9 trillion of assets under custody compared to $15.0 trillion at the end of the prior-year period.



	Third Quarter						% Change		Nine Months						% Change
In millions of dollars, except as otherwise noted	2015			2014			% Change		2015			2014			% Change
Commissions and fees	$	954		$	1,015		(6	)%	$	2,935		$	3,021		(3	)%
Administration and other fiduciary fees	590			626			(6	)%	1,856			1,901			(2	)
Investment banking	828			1,047			(21	)%	3,082			3,261			(5	)
Principal transactions	1,208			1,396			(13	)%	5,203			5,576			(7	)
Other	885			241			NM		1,300			484			NM
Total non-interest revenue	$	4,465		$	4,325		3	%	$	14,376		$	14,243		1	%
Net interest revenue (including dividends)	4,132			4,011			3	%	12,127			11,649			4
Total revenues, net of interest expense	$	8,597		$	8,336		3	%	$	26,503		$	25,892		2	%
Total operating expenses	$	4,692		$	4,912		(4	)%	$	14,145		$	14,513		(3	)%
Net credit losses	$	34		$	12		NM		$	115		$	155		(26	)%
Credit reserve build (release)	192			(8		)	NM		167			(191		)	NM
Provision (release) for unfunded lending commitments	83			(25		)	NM		6			(70		)	NM
Provisions for credit losses	$	309		$	(21	)	NM		$	288		$	(106	)	NM
Income from continuing operations before taxes	$	3,596		$	3,445		4	%	$	12,070		$	11,485		5	%
Income taxes	1,186			1,102			8	%	3,861			3,628			6
Income from continuing operations	$	2,410		$	2,343		3	%	$	8,209		$	7,857		4	%
Noncontrolling interests	(6		)	42			NM		45			87			(48	)
Net income	$	2,416		$	2,301		5	%	$	8,164		$	7,770		5	%
Average assets (in billions of dollars)	$	1,260		$	1,279		(1	)%	$	1,271		$	1,284		(1	)%
Return on average assets	0.76		%	0.71		%			0.86		%	0.81		%
Efficiency ratio	55		%	59		%			53		%	56		%
CVA/DVA after-tax	$	143		$	(194	)	NM		$	289		$	(218	)	NM
Net income ex-CVA/DVA	$	2,273		$	2,495		(9	)%	$	7,875		$	7,988		(1	)%
Revenues by region
North America	$	3,273		$	3,219		2	%	$	9,861		$	9,934		(1	)%
EMEA	2,417			2,252			7	%	7,723			7,453			4
Latin America	1,069			1,014			5	%	3,245			3,264			(1	)
Asia	1,838			1,851			(1	)%	5,674			5,241			8
Total	$	8,597		$	8,336		3	%	$	26,503		$	25,892		2	%



Income from continuing operations by region
North America	$	928	$	920	1	%	$	2,921	$	3,321	(12	)%
EMEA	522		477		9	%	2,063		1,839		12
Latin America	389		294		32	%	1,272		1,061		20
Asia	571		652		(12	)%	1,953		1,636		19
Total	$	2,410	$	2,343	3	%	$	8,209	$	7,857	4	%
Average loans by region (in billions of dollars)
North America	$	128	$	111	15	%	$	123	$	109	13	%
EMEA	59		58		2	%	59		58		2
Latin America	39		40		(3	)%	39		40		(3	)
Asia	62		69		(10	)%	62		69		(10	)
Total	$	288	$	278	4	%	$	283	$	276	3	%
EOP deposits by business (in billions of dollars)
Treasury and trade solutions	$	399	$	381	5	%
All other ICG businesses	196		182		8	%
Total	$	595	$	563	6	%

ICG Revenue Details—Excluding CVA/DVA and Gain/(Loss) on Loan Hedges ⁽¹⁾



	Third Quarter						% Change		Nine Months						% Change
In millions of dollars	2015			2014			% Change		2015			2014			% Change
Investment banking revenue details
Advisory	$	243		$	318		(24	)%	$	799		$	686		16	%
Equity underwriting	169			298			(43	)	696			994			(30	)
Debt underwriting	525			633			(17	)	1,923			1,961			(2	)
Total investment banking	$	937		$	1,249		(25	)%	$	3,418		$	3,641		(6	)%
Treasury and trade solutions	1,933			1,934			—		5,777			5,835			(1	)
Corporate lending—excluding gain/(loss) on loan hedges	403			444			(9	)	1,293			1,316			(2	)
Private bank	715			664			8		2,169			1,992			9
Total banking revenues (ex-CVA/DVA and gain/(loss) on loan hedges)	$	3,988		$	4,291		(7	)%	$	12,657		$	12,784		(1	)%
Corporate lending—gain/(loss) on loan hedges ⁽²⁾	$	352		$	91		NM		$	338		$	30		NM
Total banking revenues (ex-CVA/DVA and including gain/(loss) on loan hedges)	$	4,340		$	4,382		(1	)%	$	12,995		$	12,814		1	%
Fixed income markets	$	2,577		$	3,064		(16	)%	$	9,122		$	10,073		(9	)%
Equity markets	996			763			31		2,522			2,304			9
Securities services	513			534			(4	)	1,613			1,540			5
Other	(50		)	(91		)	45		(204		)	(484		)	58
Total Markets and securities services (ex-CVA/DVA)	$	4,036		$	4,270		(5	)%	$	13,053		$	13,433		(3	)%
Total ICG (ex-CVA/DVA)	$	8,376		$	8,652		(3	)%	$	26,048		$	26,247		(1	)%
CVA/DVA (excluded as applicable in lines above) ⁽³⁾	221			(316		)	NM		455			(355		)	NM
Fixed income markets	187			(306		)	NM		394			(368		)	NM
Equity markets	37			(4		)	NM		61			17			NM
Private bank	(3		)	(6		)	50		—			(4		)	100
Total revenues, net of interest expense	$	8,597		$	8,336		3	%	$	26,503		$	25,892		2	%


(1)	Revenue details excluding CVA/DVA and gain/(loss) on loan hedges are non-GAAP financial measures. The reconciliation to the relevant GAAP financial measures are included in the table below.


(2)	Hedges on accrual loans reflect the mark-to-market on credit derivatives used to economically hedge the corporate loan accrual portfolio. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection.


(3)	Funding valuation adjustments (FVA) is included within CVA for presentation purposes. For additional information, see Note 22 to the Consolidated Financial Statements.

NM Not meaningful

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

3Q15 vs. 3Q14

Net income decreased 9%, primarily driven by lower revenues and an increase in the cost of credit, partially offset by lower expenses.


•	Revenues decreased 3%, reflecting lower revenues in each of Markets and securities services (decrease of 5%) and Banking (decrease of 1%, or 7% excluding the gains/(losses) on hedges on accrual loans).

Within Banking :

•

Investment banking revenues decreased 25% reflecting lower industry-wide underwriting activity across all regions. Advisory revenues decreased 24% from a strong prior-year period. Equity underwriting revenues decreased 43%, particularly in Asia and EMEA , due to the lower industry-wide activity and a modest decline in wallet share resulting from continued share fragmentation. Debt underwriting revenues decreased 17%, driven by high yield debt and leveraged loans.

•

Treasury and trade solutions revenues were unchanged. Excluding the impact of FX translation, revenues increased 7%, as continued growth in deposit balances and improved spreads, particularly in EMEA and Latin America , were partially offset by continued declines in trade balances and spreads. End-of-period deposit balances increased 5% (10% excluding the impact of FX translation), while average trade loans decreased 11% (8% excluding the impact of FX translation).

•

Corporate lending revenues increased 41%. Excluding the gains/(losses) on hedges on accrual loans, revenues decreased 9% versus the prior-year period. Excluding the impact of FX translation and the gains/(losses) on hedges on accrual loans, corporate lending revenues decreased 4%, as lower spreads and the impact of loan sale activity were partially offset by continued growth in average loan balances.


•	Private bank revenues increased 8%, largely due to strength in North America , as growth in managed investments fee revenues as well as higher loan and deposit balances were partially offset by continued spread compression in lending and lower capital markets activity, particularly in Asia .

Within Markets and securities services :

•

Fixed income markets revenues decreased 16%, driven by lower client activity levels and a less favorable trading environment, particularly in spread products and G10 foreign exchange. The decline in revenues was primarily in North America and western Europe, partially offset by a 4% increase in revenues in the emerging markets. Spread products revenues declined due to lower activity levels in securitized and high yield credit products, particularly in North America , compared to a strong

performance in the prior-year period. This decline was partially offset by increased municipals and investment-grade credit revenues. Rates and currencies revenues decreased, driven by G10 foreign exchange due to decreased client flows from a strong prior-year period.


•	Equity markets revenues increased 31% largely reflecting the impact of reversing $140 million of the previously-disclosed valuation adjustment recognized in the second quarter of 2015 ($175 million). Excluding the adjustment, revenues increased 12%, primarily reflecting growth in derivatives, particularly in North America and Asia , partially offset by lower revenues in EMEA .


•	Securities services revenues decreased 4%. Excluding the impact of FX translation, revenues increased 7%, particularly in Asia and EMEA , reflecting increased client activity and higher client balances, which drove growth in net interest revenue and custody and clearing fees.

Expenses decreased 4%, as higher regulatory and compliance costs were more than offset by the impact of FX translation, lower compensation expense, lower repositioning charges and efficiency savings.

Provisions increased $330 million, primarily due to a net loan loss reserve build ($275 million), compared to a net release ($33 million) in the prior-year period. The net loan loss reserve build included approximately $140 million for energy and energy-related exposures, with the remainder attributable to other corporate loan portfolios as well as overall volume growth (for additional information on Citi’s energy-related exposures, including the increase in corporate non-accrual loans during the third quarter of 2015, see “Managing Global Risk—Corporate Credit Risk Details” below). Continued low, or further deterioration in, energy and other commodity prices could lead to further energy-related loan loss reserve builds in the future. Net credit losses in the corporate credit portfolios during the third quarter of 2015 were $34 million.

Russia/Greece

For additional information on Citi’s exposures and risks in Russia, see “ Institutional Clients Group ” and “Risk Factors” in Citi’s 2014 Annual Report on Form 10-K and “Managing Global Risk—Country Risk” below. For additional information on Citi’s exposures and risks in Greece, see “Risk Factors” in Citi’s 2014 Annual Report on Form 10-K and “Managing Global Risk—Country Risk” below.

2015 YTD vs. 2014 YTD

Net income decreased 1%, primarily driven by lower revenues and an increase in the cost of credit, partially offset by lower expenses.


•	Revenues decreased 1%, reflecting lower revenues in Markets and securities services (decrease of 3%), partially offset by higher revenues in Banking (increase of 1%, a decrease of 1% excluding the gains/(losses) on hedges on accrual loans).

Within Banking :

•

Investment banking revenues decreased 6%, largely reflecting lower industry-wide underwriting activity. Advisory revenues increased 16%, reflecting strength in the overall M&A market and sustained wallet share gains. Equity underwriting revenues decreased 30% due in part to the lower industry-wide activity as well as a decline in wallet share resulting from continued share fragmentation. Debt underwriting revenues decreased 2%, driven by the lower industry-wide activity, partially offset by wallet share gains in investment grade debt, primarily in North America .


•	Treasury and trade solutions revenues decreased 1%. Excluding the impact of FX translation, revenues increased 5%, driven by the same factors described above. Average trade loans decreased 13% (10% excluding the impact of FX translation).


•	Corporate lending revenues increased 21%. Excluding the gains/(losses) on hedges on accrual loans, revenues decreased 2%, as the impact of FX translation and lower spreads were partially offset by continued growth in average loan balances, lower hedge premium costs and an improvement in mark-to-market adjustments.


•	Private bank revenues increased 9%, primarily due to continued growth in loan and deposit balances as well as higher capital markets activity and managed investments fee revenues, partially offset by continued spread compression in lending.

Within Markets and securities services :

•

Fixed income markets revenues decreased 9%, driven by a decrease in spread products revenues, partially offset by growth in rates and currencies revenues. Spread products revenues declined, particularly credit markets and securitized markets in North America , due to lower activity in the period, as well as strong performance in the prior-year period. High yield credit, structured credit, securitized markets and municipals products all experienced lower activity levels due to lower risk appetite across the credit markets, partially offset by increased client activity in investment-grade credit products. Rates and currencies revenues increased, particularly in EMEA , due to increased client flows in G10 rates and local markets, driven in part by central bank actions and increased foreign exchange volatility, combined with strength in Asia . This increase was partially offset by the previously-disclosed modest loss on the Swiss franc revaluation early in the first quarter of 2015.


•	Equity markets revenues increased 9%, primarily due to growth in derivatives, particularly in Asia , partially offset by lower revenues in Latin America .


•	Securities services revenues increased 5%. Excluding the impact of FX translation, revenues increased 16%, driven by the same factors described above.

Expenses decreased 3%, primarily due to the impact of FX translation, lower repositioning charges and ongoing efficiency savings, partially offset by increased regulatory and compliance costs and increased investments.

Provisions increased $394 million, primarily due to a net loan loss reserve build ($173 million), compared to a net release ($261 million) in the prior-year period. The net loan loss reserve build primarily reflected builds for energy and energy-related exposures, partially offset by the release of previously-established loan loss reserves in the second quarter of 2015.

CORPORATE/OTHER

Corporate/Other includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses, Corporate Treasury and discontinued operations. At September 30, 2015, Corporate/Other had $52 billion of assets, or 3% of Citigroup’s total assets. For additional information, see “Balance Sheet Review” and “Managing Global Risk—Market Risk—Funding and Liquidity” below.



	Third Quarter						% Change		Nine Months						% Change
In millions of dollars	2015			2014			% Change		2015			2014			% Change
Net interest revenue	$	(64	)	$	(63	)	(2	)%	$	(114	)	$	(143	)	20	%
Non-interest revenue	282			145			94		914			537			70
Total revenues, net of interest expense	$	218		$	82		NM		$	800		$	394		NM
Total operating expenses	$	349		$	1,722		(80	)%	$	1,277		$	2,760		(54	)%
Provisions for loan losses and for benefits and claims	—			—			—	%	—			—			—	%
Loss from continuing operations before taxes	$	(131	)	$	(1,640	)	92	%	$	(477	)	$	(2,366	)	80	%
Income taxes (benefits)	(314		)	(103		)	NM		(871		)	(57		)	NM
Income (loss) from continuing operations	$	183		$	(1,537	)	NM		$	394		$	(2,309	)	NM
Income (loss) from discontinued operations, net of taxes	(10		)	(16		)	38	%	(9		)	(1		)	NM
Net income (loss) before attribution of noncontrolling interests	$	173		$	(1,553	)	NM		$	385		$	(2,310	)	NM
Noncontrolling interests	3			4			(25	)%	11			39			(72	)%
Net income (loss)	$	170		$	(1,557	)	NM		$	374		$	(2,349	)	NM

NM Not meaningful

3Q15 vs. 3Q14

Net income was $170 million, compared to a net loss of $1.6 billion in the prior-year period, due to lower expenses and a lower effective tax rate.

Revenues increased $136 million to $218 million, primarily due to gains on debt buybacks.

Expenses decreased $1.4 billion to $349 million, primarily due to lower legal and related expenses ($167 million compared to $1.3 billion in the prior-year period) and lower repositioning charges.

2015 YTD vs. 2014 YTD

Year-to-date, Corporate/Other has experienced similar trends to those described above. Net income was $374 million, compared to a net loss of $2.3 billion in the prior-year period, primarily due to lower expenses, higher revenues and a lower tax rate due to the legal entity restructurings and the previously-disclosed resolution of certain state and local audits in the second quarter of 2015.

Revenues increased $406 million to $800 million, primarily due to the gains on debt buybacks and real estate sales in the second quarter of 2015 as well as higher revenues from sales of available-for-sale securities, partially offset by hedging activities.

Expenses decreased 54%, primarily due to lower legal and related expenses ($626 million compared to $1.7 billion in the prior-year period), the benefit of FX translation and lower repositioning charges.

CITI HOLDINGS

Citi Holdings contains businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses. As of September 30, 2015, Citi Holdings assets were approximately $110 billion, a decrease of 20% year-over-year and 5% from June 30, 2015. The decline in assets of $6 billion from June 30, 2015 primarily consisted of divestitures and run-off. As of September 30, 2015, Citi had executed agreements to sell approximately $37 billion of additional assets, including the consumer businesses in Japan, Egypt, Costa Rica, Panama, Guatemala, Hungary and the Czech Republic, hedge fund services as well as OneMain Financial. Approximately $31 billion of these asset sales are currently expected to close prior to year-end, subject to regulatory approvals and other closing conditions.

As of September 30, 2015, consumer assets in Citi Holdings were approximately $98 billion, or approximately 89% of Citi Holdings assets. Of the consumer assets, approximately $48 billion, or 49%, consisted of North America mortgages (residential first mortgages and home equity loans). As of September 30, 2015, Citi Holdings represented approximately 6% of Citi’s GAAP assets and 13% of its risk-weighted assets under Basel III (based on the Advanced Approaches for determining risk-weighted assets).



	Third Quarter						% Change		Nine Months						% Change
In millions of dollars, except as otherwise noted	2015			2014			% Change		2015			2014			% Change
Net interest revenue	$	974		$	1,119		(13	)%	$	3,030		$	3,532		(14	)%
Non-interest revenue	443			951			(53	)	1,894			2,513			(25	)
Total revenues, net of interest expense	$	1,417		$	2,070		(32	)%	$	4,924		$	6,045		(19	)%
Provisions for credit losses and for benefits and claims
Net credit losses	$	218		$	405		(46	)%	$	884		$	1,420		(38	)%
Credit reserve release	(209		)	(135		)	(55	)	(575		)	(693		)	17
Provision for loan losses	$	9		$	270		(97	)%	$	309		$	727		(57	)%
Provision for benefits and claims	161			167			(4	)	490			490			—
Release for unfunded lending commitments	(19		)	(3		)	NM		(25		)	(10		)	NM
Total provisions for credit losses and for benefits and claims	$	151		$	434		(65	)%	$	774		$	1,207		(36	)%
Total operating expenses	$	1,145		$	1,346		(15	)%	$	3,406		$	8,386		(59	)%
Income (loss) from continuing operations before taxes	$	121		$	290		(58	)%	$	744		$	(3,548	)	NM
Income taxes (benefits)	90			74			22		403			10			NM
Income (loss) from continuing operations	$	31		$	216		(86	)%	$	341		$	(3,558	)	NM
Noncontrolling interests	—			4			(100	)%	$	1		$	6		(83	)%
Net Income (loss)	$	31		$	212		(85	)%	$	340		$	(3,564	)	NM
Total revenues, net of interest expense (excluding CVA/DVA)
Total revenues-as reported	$	1,417		$	2,070		(32	)%	$	4,924		$	6,045		(19	)%
CVA/DVA ⁽¹⁾	(25		)	(55		)	55		(20		)	(42		)	52	%
Total revenues-excluding CVA/DVA	$	1,442		$	2,125		(32	)%	$	4,944		$	6,087		(19	)%
Balance sheet data (in billions of dollars)
Average assets	$	113		$	143		(21	)%	$	119		$	148		(20	)%
Return on average assets	0.11		%	0.59		%			0.38		%	(3.22		)%
Efficiency ratio	81		%	65		%			69		%	139		%
Total EOP assets	$	110		$	137		(20	)%
Total EOP loans	55			85			(35	)
Total EOP deposits	7			45			(84	)


(1)	FVA is included within CVA for presentation purposes. For additional information, see Note 22 to the Consolidated Financial Statements.

NM Not meaningful

The discussion of the results of operations for Citi Holdings below excludes the impact of CVA/DVA for all periods presented. Presentations of the results of operations, excluding the impact of CVA/DVA, are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.

3Q15 vs. 3Q14

Net income decreased 81% to $47 million, primarily driven by lower revenues, partially offset by lower expenses and lower credit costs.

Revenues decreased 32%, primarily driven by a lower level of net gains on asset sales and the overall continued wind-down of the portfolio.

Expenses decreased 15%, primarily reflecting the ongoing decline in assets.

Provisions decreased 65%, driven by lower net credit losses and a higher net loss reserve release. Net credit losses declined 46%, primarily due to continued improvement in North America mortgages as well as divestiture activity. The net reserve release increased 65% to $228 million, primarily reflecting the impact of asset sales.

2015 YTD vs. 2014 YTD

Year-to-date, Citi Holdings has experienced similar trends to those described above. Net income was $353 million, an improvement from a net loss of $3.5 billion in the prior-year period, largely due to the impact of a $3.8 billion charge in the second quarter of 2014, which consisted of $3.7 billion of legal expenses and a $55 million loan loss reserve build ($3.7 billion after-tax), to settle legacy RMBS and CDO-related claims. Excluding the mortgage settlement, net income was $353 million, compared to net income of $188 million in the prior-year period, primarily reflecting lower expenses and lower credit costs, partially offset by lower revenues.

Revenues decreased 19%, primarily driven by the overall continued wind-down of the portfolio, lower gains on asset sales and the impact of recording of OneMain Financial net credit losses as a reduction in revenue beginning in the second quarter of 2015.

Expenses decreased 59%. Excluding the impact of the mortgage settlement, expenses decreased 27%, primarily reflecting lower legal and related expenses ($260 million compared to $925 million in the prior-year period) and the ongoing decline in assets.

Provisions decreased 36%. Excluding the impact of the mortgage settlement, provisions decreased 33%, driven by lower net credit losses, partially offset by a lower net loss reserve release. Net credit losses declined 38%, primarily due to the impact of the recording of OneMain Financial net credit losses as a reduction in revenue, continued improvements in North America mortgages and overall lower asset levels. Excluding the impact of the mortgage settlement, the net reserve release decreased 21% to $600 million, primarily due to lower releases related to the North America mortgage portfolio, partially offset by higher reserve releases related to asset sales.

Payment Protection Insurance (PPI)

As previously disclosed, the selling of PPI by financial institutions in the U.K. has been the subject of intense review and focus by U.K. regulators and, more recently, the U.K. Supreme Court (for additional information, see “Citi Holdings” in each of Citi’s Second Quarter of 2015 Form 10-Q and Annual Report on Form 10-K for the year ended December 31, 2013 filed with the SEC on March 3, 2014).

On October 2, 2015, the U.K. Financial Conduct Authority (FCA) announced that it would issue a consultation paper by the end of 2015 likely covering various topics relating to PPI, including determination of a “fair” sales commission and a framework for introducing a deadline for PPI complaints. It is currently uncertain when any final FCA rules on these matters will be effective (which the FCA anticipates would not be before spring 2016), or what impact, if any, the final rules or any renewed market attention on PPI will have on PPI customer complaints or Citi’s potential liability with respect thereto.

BALANCE SHEET REVIEW

The following sets forth a general discussion of the changes in certain of the more significant line items of Citi’s Consolidated Balance Sheet. For a description of and additional information on each of these balance sheet categories, see Notes 10, 12, 13, 14 and 17 to the Consolidated Financial Statements. For additional information on Citigroup’s liquidity resources, including its deposits, short-term and long-term debt and secured financing transactions, see “Managing Global Risk-Market Risk-Funding and Liquidity Risk” below.



In billions of dollars	Sept. 30, 2015			June 30, 2015			Dec. 31, 2014			Sept. 30, 2014			EOP 3Q15 vs. 2Q15 Increase (decrease)			% Change		EOP 3Q15 vs. 4Q14 Increase (decrease)			% Change		EOP 3Q15 vs. 3Q14 Increase (decrease)			% Change
Assets
Cash and deposits with banks	$	160		$	154		$	160		$	179		$	6		4	%	$	—		—	%	$	(19	)	(11	)%
Federal funds sold and securities borrowed or purchased under agreements to resell	232			237			243			245			(5		)	(2	)	(11		)	(5	)	(13		)	(5	)
Trading account assets	267			279			297			291			(12		)	(4	)	(30		)	(10	)	(24		)	(8	)
Investments	342			332			333			333			10			3		9			3		9			3
Loans, net of unearned income	622			632			645			654			(10		)	(2	)	(23		)	(4	)	(32		)	(5	)
Allowance for loan losses	(14		)	(14		)	(16		)	(17		)	—			—		2			(13	)	3			(18	)
Loans, net	609			618			629			637			(9		)	(1	)	(20		)	(3	)	(28		)	(4	)
Other assets	198			209			180			198			(11		)	(5	)	18			10		—			—
Total assets	$	1,808		$	1,829		$	1,842		$	1,883		$	(21	)	(1	)%	$	(34	)	(2	)%	$	(75	)	(4	)%
Liabilities
Deposits	$	904		$	908		$	899		$	943		$	(4	)	—	%	$	5		1	%	$	(39	)	(4	)%
Federal funds purchased and securities loaned or sold under agreements to repurchase	169			177			173			176			(8		)	(5	)	(4		)	(2	)	(7		)	(4	)
Trading account liabilities	126			136			139			137			(10		)	(7	)	(13		)	(9	)	(11		)	(8	)
Short-term borrowings	23			26			58			65			(3		)	(12	)	(35		)	(60	)	(42		)	(65	)
Long-term debt	214			212			223			224			2			1		(9		)	(4	)	(10		)	(4	)
Other liabilities	150			149			138			124			1			1		12			9		26			21
Total liabilities	$	1,586		$	1,608		$	1,630		$	1,669		$	(22	)	(1	)%	$	(44	)	(3	)%	$	(83	)	(5	)%
Total equity	222			221			212			214			1			—		10			5		8			4
Total liabilities and equity	$	1,808		$	1,829		$	1,842		$	1,883		$	(21	)	(1	)%	$	(34	)	(2	)%	$	(75	)	(4	)%

ASSETS

Cash and Deposits with Banks

Cash and deposits with banks decreased from the prior-year period as Citi continued to reduce its short-term and long-term borrowings and deploy its excess cash into its investment portfolio (see discussion below). Sequentially, cash and deposits with banks increased modestly due to increased deposits (excluding the impact of FX translation). Average cash balances were $161 billion in the third quarter of 2015 compared to $156 billion in the second quarter of 2015 and $193 billion in the third quarter of 2014.

Federal Funds Sold and Securities Borrowed or Purchased Under Agreements to Resell (Reverse Repos)

Reverse repos and securities borrowing transactions declined from the prior-year period primarily due to the impact of FX translation (for additional information, see “Managing Global Risk - Market Risk - Funding and Liquidity Risk” below).

Trading Account Assets

Trading account assets decreased versus the prior-year period primarily due to lower inventory in Markets and securities services . Average trading account assets were

$277 billion in the third quarter of 2015 compared to $293 billion in the third quarter of 2014.

Investments

The sequential and year-over-year increases in investments reflected Citi’s continued deployment of its excess cash (as referenced above) by investing in available-for-sale securities. The sequential growth was predominantly due to increases in foreign government debt securities and mortgage-backed securities. The year-over-year growth was predominantly due to increases in U.S. Treasuries. For further information on Citi’s investments, see Note 13 to the Consolidated Financial Statements.

Loans

The impact of FX translation on Citi’s reported loans was negative $28 billion versus the prior-year period. Excluding the impact of FX translation, Citigroup end of period loans declined 1% year-over-year to $622 billion as 5% growth in Citicorp was more than offset by the continued wind-down of Citi Holdings.

Citicorp consumer loans grew 2% year-over-year, with modest growth in each region. Corporate loans grew 8% year-over-year. The corporate lending portfolio increased 9% due to new loans as well as funding of prior commitments, each in support of Citi’s target clients. Treasury and trade services loans declined 2%, as Citi continued to distribute a significant portion of its trade loan originations, which allowed it to continue to support clients while maintaining balance sheet discipline in a continued low spread environment.

Citi Holdings loans decreased 34% year-over-year driven by an approximately $15 billion reduction in North America mortgages, as well as the previously-announced impact of the agreements to sell OneMain Financial and Citi’s Japan credit card business.

During the third quarter of 2015, average loans of $623 billion yielded an average rate of 6.4%, compared to $659 billion and 6.7% in the third quarter of 2014.

For further information on Citi’s loan portfolios, see “Managing Global Risk—Credit Risk” and “Country Risk” below.

Other Assets

Other assets remained flat year-over-year as the increase from the previously-announced reclassification to held-for-sale of OneMain Financial and Citi’s Japan credit card businesses was offset by the impact of FX translation. Other assets were down sequentially primarily driven by the impact of FX translation.

LIABILITIES

Deposits

For a discussion of Citi’s deposits, see “Managing Global Risk-Market Risk-Funding and Liquidity Risk” below.

Federal Funds Purchased and Securities Loaned or Sold Under Agreements to Repurchase (Repos)

Repos decreased from the prior-year period, primarily driven by the impact of FX translation. For further information on Citi’s secured financing transactions, see “Managing Global Risk—Market Risk—Funding and Liquidity” below.

Trading Account Liabilities

Trading account liabilities decreased from the prior-year period primarily due to lower inventory in Markets and securities services . Average trading account liabilities were $144 billion during the third quarter of 2015, compared to $129 billion in the third quarter of 2014.

Debt

For information on Citi’s long-term and short-term debt borrowings, see “Managing Global Risk—Market Risk—Funding and Liquidity Risk” below.

Other Liabilities

The increase in other liabilities from the prior-year period was primarily driven by the previously-announced reclassification to held-for-sale of Citi’s Japan retail banking business.

Segment Balance Sheet ⁽¹⁾



In millions of dollars	Global Consumer Banking			Institutional Clients Group		Corporate/Other and Consolidating Eliminations ⁽²⁾			Subtotal Citicorp			Citi Holdings		Citigroup Parent Company- Issued Long-Term Debt and Stockholders’ Equity ⁽³⁾			Total Citigroup Consolidated
Assets
Cash and deposits with banks	$	10,006		$	72,115	$	76,777		$	158,898		$	763	$	—		$	159,661
Federal funds sold and securities borrowed or purchased under agreements to resell	419			230,081		—			230,500			1,195		—			231,695
Trading account assets	5,754			255,988		1,547			263,289			3,657		—			266,946
Investments	18,618			101,512		214,292			334,422			8,017		—			342,439
Loans, net of unearned income and
allowance for loan losses ⁽⁴⁾	270,265			286,373		—			556,638			52,180		—			608,818
Other assets	43,266			87,836		45,185			176,287			22,510		—			198,797
Liquidity assets ⁽⁵⁾	39,933			224,325		(285,919		)	(21,661		)	21,661		—			—
Total assets	$	388,261		$	1,258,230	$	51,882		$	1,698,373		$	109,983	$	—		$	1,808,356
Liabilities and equity
Total deposits ⁽⁶⁾	$	296,822		$	594,887	$	5,233		$	896,942		$	7,301	$	—		$	904,243
Federal funds purchased and securities loaned or sold under agreements to repurchase	5,302			163,244		—			168,546			58		—			168,604
Trading account liabilities	(3		)	125,335		(203		)	125,129			852		—			125,981
Short-term borrowings	133			22,111		252			22,496			83		—			22,579
Long-term debt	1,938			34,413		20,581			56,932			4,002		152,599			213,533
Other liabilities	15,704			81,696		18,479			115,879			35,400		—			151,279
Net inter-segment funding (lending) ⁽³⁾	68,365			236,544		6,251			311,160			62,287		(373,447		)	—
Total liabilities	$	388,261		$	1,258,230	$	50,593		$	1,697,084		$	109,983	$	(220,848	)	$	1,586,219
Total equity	—			—		1,289			1,289			—		220,848			222,137
Total liabilities and equity	$	388,261		$	1,258,230	$	51,882		$	1,698,373		$	109,983	$	—		$	1,808,356

(1)

The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of September 30, 2015 . The respective segment information depicts the assets and liabilities managed by each segment as of such date. While this presentation is not defined by GAAP, Citi believes that these non-GAAP financial measures enhance investors’ understanding of the balance sheet components managed by the underlying business segments, as well as the beneficial inter-relationships of the asset and liability dynamics of the balance sheet components among Citi’s business segments.


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


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


(4)	Reflects reclassification of approximately $8 billion of consumer loans to held-for-sale ( Other assets) as a result of the agreement in March 2015 to sell Citi’s OneMain Financial business.


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


(6)	Reflects reclassification of approximately $21 billion of deposits to held-for-sale ( Other liabilities) as a result of the agreement in December 2014 to sell Citi’s retail banking business in Japan.

OFF-BALANCE SHEET ARRANGEMENTS

The table below shows where a discussion of Citi’s various off-balance sheet arrangements may be found in this Form 10-Q. For additional information on Citi’s off-balance sheet arrangements, see “Off-Balance Sheet Arrangements,” “Significant Accounting Policies and Significant Estimates—Securitizations” and Notes 1, 22 and 27 to the Consolidated Financial Statements in Citigroup’s 2014 Annual Report on Form 10-K.

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



Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEs	See Note 20 to the Consolidated Financial Statements.
Letters of credit, and lending and other commitments	See Note 24 to the Consolidated Financial Statements.
Guarantees	See Note 24 to the Consolidated Financial Statements.

CAPITAL RESOURCES

Overview

Capital is used principally to support assets in Citi’s businesses and to absorb credit, market and operational losses. Citi primarily generates capital through earnings from its operating businesses. Citi may augment its capital through issuances of common stock, noncumulative perpetual preferred stock and equity issued through awards under employee benefit plans, among other issuances. During the third quarter of 2015, Citi continued to raise capital through a noncumulative perpetual preferred stock issuance amounting to approximately $1.3 billion, resulting in a total of approximately $15.2 billion outstanding as of September 30, 2015 . In addition, during the third quarter of 2015, Citi returned a total of $2.1 billion of capital to common shareholders in the form of share repurchases (approximately 36 million common shares) and dividends.

Further, Citi’s capital levels may also be affected by changes in accounting and regulatory standards as well as the impact of future events on Citi’s business results, such as corporate and asset dispositions.

Capital Management

Citigroup’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 and all applicable regulatory standards and guidelines. For additional information regarding Citigroup’s capital management, see “Capital Resources—Capital Management” in Citigroup’s 2014 Annual Report on Form 10-K.

Current Regulatory Capital Standards

Citi is subject to regulatory capital standards issued by the Federal Reserve Board which, commencing with 2014, constitute the U.S. Basel III rules. These rules establish an integrated capital adequacy framework, encompassing both risk-based capital ratios and leverage ratios.

Risk-Based Capital Ratios

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

The U.S. Basel III rules establish stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios for substantially all U.S. banking organizations, including Citi and Citibank, N.A. Moreover, these rules provide for both a fixed Capital Conservation Buffer and a discretionary Countercyclical Capital Buffer, which would be available to absorb losses in advance of any potential impairment of regulatory capital below the stated minimum risk-based capital ratio requirements.

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, such as Citi and Citibank, N.A., to calculate each of the three risk-based capital ratios (Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital) under both the Standardized Approach starting on January 1, 2015 (or, for 2014, prior to the effective date of the Standardized Approach, the Basel I credit risk and Basel II.5 market risk capital rules) and the Advanced Approaches and publicly report (as well as measure compliance against) the lower of each of the resulting risk-based capital ratios.

GSIB Surcharge

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

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

A U.S. bank holding company that is designated a GSIB under the established methodology will be required to calculate a surcharge using two methods and will be subject to the higher of the resulting two surcharges. The first method (“method 1”) is based on the same five broad categories of systemic importance used to identify a GSIB. Under the second method (“method 2”), the substitutability indicator is replaced with a measure intended to assess the extent of a GSIB’s reliance on short-term wholesale funding.

GSIB surcharges under the final rule, which are required to be comprised entirely of Common Equity Tier 1 Capital, initially range from 1.0% to 4.5% of total risk-weighted assets. Citi currently estimates its GSIB surcharge under the Federal Reserve Board’s final rule as being 3.5%.

Transition Provisions

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

The following chart sets forth the transitional progression to full implementation by January 1, 2019 of the regulatory capital components (i.e., inclusive of the mandatory 2.5% Capital Conservation Buffer and an estimated 3.5% GSIB surcharge, but exclusive of the potential imposition of an additional Countercyclical Capital Buffer) comprising the effective minimum risk-based capital ratios.

Basel III Transition Arrangements: Minimum Risk-Based Capital Ratios

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

Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions



	January 1
	2014		2015		2016		2017		2018
Phase-in of Significant Regulatory Capital Adjustments and Deductions

Common Equity Tier 1 Capital ⁽¹⁾	20	%	40	%	60	%	80	%	100	%

Common Equity Tier 1 Capital ⁽²⁾	20	%	40	%	60	%	80	%	100	%
Additional Tier 1 Capital ⁽²⁾⁽³⁾	80	%	60	%	40	%	20	%	0	%
	100	%	100	%	100	%	100	%	100	%

Phase-out of Significant AOCI Regulatory Capital Adjustments

Common Equity Tier 1 Capital ⁽⁴⁾	80	%	60	%	40	%	20	%	0	%

(1)

Includes the phase-in of Common Equity Tier 1 Capital deductions for all intangible assets other than goodwill and mortgage servicing rights (MSRs); and excess over 10%/15% limitations for deferred tax assets (DTAs) arising from temporary differences, significant common stock investments in unconsolidated financial institutions and MSRs. Goodwill (including goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions) is fully deducted in arriving at Common Equity Tier 1 Capital commencing January 1, 2014. The amount of other intangible assets, aside from MSRs, not deducted in arriving at Common Equity Tier 1 Capital are risk-weighted at 100%, as are the excess over the 10%/15% limitations for DTAs arising from temporary differences, significant common stock investments in unconsolidated financial institutions and MSRs prior to full implementation of the U.S. Basel III rules. Upon full implementation, the amount of temporary difference DTAs, significant common stock investments in unconsolidated financial institutions and MSRs not deducted in arriving at Common Equity Tier 1 Capital are risk-weighted at 250%.

(2)

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


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


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

Tier 1 Leverage Ratio

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

Supplementary Leverage Ratio

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

commencing on January 1, 2018, but commenced publicly disclosing this ratio on January 1, 2015.

Further, U.S. GSIBs, and their subsidiary insured depository institutions, including Citi and Citibank, N.A., are subject to enhanced Supplementary Leverage ratio standards. The enhanced Supplementary Leverage ratio standards establish a 2% leverage buffer for U.S. GSIBs in addition to the stated 3% minimum Supplementary Leverage ratio requirement in the U.S. Basel III rules. If a U.S. GSIB fails to exceed the 2% leverage buffer, it will be subject to increasingly onerous restrictions (depending upon the extent of the shortfall) regarding capital distributions and discretionary executive bonus payments. Accordingly, U.S. GSIBs are effectively subject to a 5% minimum Supplementary Leverage ratio requirement. Additionally, insured depository institution subsidiaries of U.S. GSIBs, including Citibank, N.A., are required to maintain a Supplementary Leverage ratio of 6% to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) framework established by the U.S. Basel III rules. Citi and Citibank, N.A. are required to be compliant with these higher effective minimum ratio requirements on January 1, 2018.

Prompt Corrective Action Framework

The U.S. Basel III rules revised the PCA regulations applicable to insured depository institutions in certain respects.

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

Accordingly, beginning January 1, 2015, an insured depository institution, such as Citibank, N.A., would need minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital, and Tier 1 Leverage ratios of 6.5%, 8%, 10% and 5%, respectively, to be considered “well capitalized.” Additionally, Advanced Approaches insured depository institutions, such as Citibank, N.A., would need a minimum Supplementary Leverage ratio of 6%, effective January 1, 2018, to be considered “well capitalized.”

Citigroup’s Capital Resources Under Current Regulatory Standards

During 2015 and thereafter, Citi is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6% and 8%, respectively. The stated minimum Common Equity Tier 1 Capital and Tier 1 Capital ratio requirements in 2014 were 4% and 5.5%, respectively, while the stated minimum Total Capital ratio requirement of 8% remained unchanged.

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

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

The following tables set forth the capital tiers, risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citi as of September 30, 2015 and December 31, 2014 .

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



	September 30, 2015						December 31, 2014 ⁽¹⁾
In millions of dollars, except ratios	Advanced Approaches			Standardized Approach			Advanced Approaches			Standardized Approach ⁽²⁾
Common Equity Tier 1 Capital	$	173,345		$	173,345		$	166,663		$	166,663
Tier 1 Capital	174,276			174,276			166,663			166,663
Total Capital (Tier 1 Capital + Tier 2 Capital) ⁽³⁾	195,629			208,859			184,959			197,707
Risk-Weighted Assets	1,229,667			1,168,293			1,274,672			1,211,358
Common Equity Tier 1 Capital ratio ⁽⁴⁾	14.10		%	14.84		%	13.07		%	13.76		%
Tier 1 Capital ratio ⁽⁴⁾	14.17			14.92			13.07			13.76
Total Capital ratio ⁽⁴⁾	15.91			17.88			14.51			16.32



In millions of dollars, except ratios	September 30, 2015				December 31, 2014 ⁽¹⁾
Quarterly Adjusted Average Total Assets ⁽⁵⁾		$	1,766,906			$	1,849,325
Total Leverage Exposure ⁽⁶⁾		2,372,340				2,518,115
Tier 1 Leverage ratio		9.86		%		9.01		%
Supplementary Leverage ratio		7.35				6.62


(1)	Restated to reflect the retrospective adoption of ASU 2014-01 for Low Income Housing Tax Credit (LIHTC) investments, consistent with current period presentation.


(2)	Pro forma presentation to reflect the application of the Basel III 2015 Standardized Approach, consistent with current period presentation.

(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 the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is includable 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.


(4)	As of September 30, 2015 and December 31, 2014 , 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.


(5)	Tier 1 Leverage ratio denominator.


(6)	Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s capital ratios at September 30, 2015 were in excess of the stated minimum requirements under the U.S. Basel III rules. In

addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of September 30, 2015 .

Components of Citigroup Capital Under Current Regulatory Standards

(Basel III Advanced Approaches with Transition Arrangements)



In millions of dollars	September 30, 2015			December 31, 2014 ⁽¹⁾
Common Equity Tier 1 Capital
Citigroup common stockholders’ equity ⁽²⁾	$	205,772		$	199,841
Add: Qualifying noncontrolling interests	373			539
Regulatory Capital Adjustments and Deductions:
Less: Net unrealized gains on securities AFS, net of tax ⁽³⁾⁽⁴⁾	134			46
Less: Defined benefit plans liability adjustment, net of tax ⁽⁴⁾	(3,019		)	(4,127		)
Less: Accumulated net unrealized losses on cash flow hedges, net of tax ⁽⁵⁾	(542		)	(909		)
Less: Cumulative unrealized net gain related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax ⁽⁴⁾⁽⁶⁾	287			56
Less: Intangible assets:
Goodwill, net of related deferred tax liabilities (DTLs) ⁽⁷⁾	21,732			22,805
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs ⁽⁴⁾	1,564			875
Less: Defined benefit pension plan net assets ⁽⁴⁾	362			187
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general business credit carry-forwards ⁽⁴⁾⁽⁸⁾	9,318			4,725
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments, and MSRs ^(4)(8)(9)	2,964			1,977
Less: Deductions applied to Common Equity Tier 1 Capital due to insufficient amount of Additional Tier 1 Capital to cover deductions ⁽⁴⁾	—			8,082
Total Common Equity Tier 1 Capital	$	173,345		$	166,663
Additional Tier 1 Capital
Qualifying perpetual preferred stock ⁽²⁾	$	15,076		$	10,344
Qualifying trust preferred securities ⁽¹⁰⁾	1,716			1,719
Qualifying noncontrolling interests	13			7
Regulatory Capital Adjustment and Deductions:
Less: Cumulative unrealized net gain related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax ⁽⁴⁾⁽⁶⁾	430			223
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries ⁽¹¹⁾	247			279
Less: Defined benefit pension plan net assets ⁽⁴⁾	542			749
Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards ⁽⁴⁾⁽⁸⁾	13,977			18,901
Less: Permitted ownership interests in covered funds ⁽¹²⁾	678			—
Less: Deductions applied to Common Equity Tier 1 Capital due to insufficient amount of Additional Tier 1 Capital to cover deductions ⁽⁴⁾	—			(8,082		)
Total Additional Tier 1 Capital	$	931		$	—
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)	$	174,276		$	166,663
Tier 2 Capital
Qualifying subordinated debt ⁽¹³⁾	$	21,021		$	17,386
Qualifying noncontrolling interests	17			12
Excess of eligible credit reserves over expected credit losses ⁽¹⁴⁾	557			1,177
Regulatory Capital Adjustment and Deduction:
Add: Unrealized gains on available-for-sale equity exposures includable in Tier 2 capital	5			—
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries ⁽¹¹⁾	247			279
Total Tier 2 Capital	$	21,353		$	18,296
Total Capital (Tier 1 Capital + Tier 2 Capital)	$	195,629		$	184,959

Citigroup Risk-Weighted Assets Under Current Regulatory Standards

(Basel III Advanced Approaches with Transition Arrangements)



In millions of dollars	September 30, 2015		December 31, 2014 ⁽¹⁾
Credit Risk ⁽¹⁵⁾	$	819,830	$	861,691
Market Risk	84,837		100,481
Operational Risk	325,000		312,500
Total Risk-Weighted Assets	$	1,229,667	$	1,274,672


(1)	Restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.


(2)	Issuance costs of $142 million and $124 million related to preferred stock outstanding at September 30, 2015 and December 31, 2014 , respectively, are excluded from common stockholders’ equity and netted against preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.


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


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


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


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


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

(8)

Of Citi’s approximately $47.2 billion of net DTAs at September 30, 2015 , approximately $23.0 billion of such assets were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $24.2 billion of such assets were excluded in arriving at regulatory capital. Comprising the excluded net DTAs was an aggregate of approximately $26.3 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences, of which $12.3 billion were deducted from Common Equity Tier 1 Capital and $14.0 billion were deducted from Additional Tier 1 Capital. In addition, approximately $2.1 billion of net DTLs, primarily consisting of DTLs associated with goodwill and certain other intangible assets, partially offset by DTAs related to cash flow hedges, are permitted to be excluded prior to deriving the amount of net DTAs subject to deduction under these rules. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital, while Citi’s current cash flow hedges and the related deferred tax effects are not required to be reflected in regulatory capital.


(9)	Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At September 30, 2015 and December 31, 2014, the deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation.

(10)

Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules, as well as non-grandfathered trust preferred securities which are eligible for inclusion in an amount up to 25% and 50%, respectively, during 2015 and 2014, of the aggregate outstanding principal amounts of such issuances as of January 1, 2014. The remaining 75% and 50% of non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital during 2015 and 2014, respectively, in accordance with the transition arrangements for non-qualifying capital instruments under the U.S. Basel III rules. As of September 30, 2015 and December 31, 2014, however, the entire amount of non-grandfathered trust preferred securities was included within Tier 1 Capital, as the amounts outstanding did not exceed the respective threshold for exclusion from Tier 1 Capital.


(11)	50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.

(12)

Effective July 2015, banking entities are required to be in compliance with the so-called “Volcker Rule” of the Dodd-Frank Act that prohibits banking entities from conducting certain proprietary investment activities and limits their ownership of, and relationship with, hedge funds and private equity funds, also called covered funds. Commencing with September 30, 2015, Citi is required by the “Volcker Rule” to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013.

(13)

Under the transition arrangements of the U.S. Basel III rules, non-qualifying subordinated debt issuances which consist of those with a fixed-to-floating rate step-up feature where the call/step-up date has not passed are eligible for inclusion in Tier 2 Capital during 2015 and 2014 up to 25% and 50%, respectively, of the aggregate outstanding principal amounts of such issuances as of January 1, 2014.


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


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

Citigroup Capital Rollforward Under Current Regulatory Standards

(Basel III Advanced Approaches with Transition Arrangements)



In millions of dollars	Three Months Ended September 30, 2015			Nine Months Ended September 30, 2015 ⁽¹⁾
Common Equity Tier 1 Capital
Balance, beginning of period	$	172,747		$	166,663
Net income	4,291			13,907
Dividends declared	(324		)	(838		)
Net increase in treasury stock acquired	(1,952		)	(3,802		)
Net increase in additional paid-in capital ⁽²⁾	300			705
Net increase in foreign currency translation adjustment net of hedges, net of tax	(2,493		)	(4,703		)
Net increase in unrealized gains on securities AFS, net of tax ⁽³⁾	205			79
Net increase in defined benefit plans liability adjustment, net of tax ⁽³⁾	(144		)	(980		)
Net increase in cumulative unrealized net gain related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax	(97		)	(231		)
Net decrease in goodwill, net of related deferred tax liabilities (DTLs)	580			1,073
Net change in identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs	97			(689		)
Net increase in defined benefit pension plan net assets	(36		)	(175		)
Net change in deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general business credit carry-forwards	186			(4,593		)
Net change in excess over 10%/15% limitations for other DTAs, certain common stock investments and MSRs	21			(987		)
Net decrease in regulatory capital deduction applied to Common Equity Tier 1 Capital due to insufficient Additional Tier 1 Capital to cover deductions	—			8,082
Other	(36		)	(166		)
Net increase in Common Equity Tier 1 Capital	$	598		$	6,682
Common Equity Tier 1 Capital Balance, end of period	$	173,345		$	173,345
Additional Tier 1 Capital
Balance, beginning of period	$	259		$	—
Net increase in qualifying perpetual preferred stock ⁽⁴⁾	1,246			4,732
Net decrease in qualifying trust preferred securities	(1		)	(3		)
Net increase in cumulative unrealized net gain related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax	(146		)	(207		)
Net change in defined benefit pension plan net assets	(53		)	207
Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards	279			4,924
Net increase in permitted ownership interests in covered funds	(678		)	(678		)
Net decrease in regulatory capital deduction applied to Common Equity Tier 1 Capital due to insufficient Additional Tier 1 Capital to cover deductions	—			(8,082		)
Other	25			38
Net increase in Additional Tier 1 Capital	$	672		$	931
Tier 1 Capital Balance, end of period	$	174,276		$	174,276
Tier 2 Capital
Balance, beginning of period	$	20,706		$	18,296
Net increase in qualifying subordinated debt	1,300			3,635
Net decrease in excess of eligible credit reserves over expected credit losses	(682		)	(620		)
Other	29			42
Net increase in Tier 2 Capital	$	647		$	3,057
Tier 2 Capital Balance, end of period	$	21,353		$	21,353
Total Capital (Tier 1 Capital + Tier 2 Capital)	$	195,629		$	195,629


(1)	The beginning balance of Common Equity Tier 1 Capital for the nine months ended September 30, 2015 has been restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.


(2)	Primarily represents an increase in additional paid-in capital related to employee benefit plans.


(3)	Presented net of impact of transition arrangements related to unrealized gains (losses) on securities AFS and defined benefit plans liability adjustment under the U.S. Basel III rules.


(4)	Citi issued approximately $1.3 billion and approximately $4.8 billion of qualifying perpetual preferred stock during the three and nine months ended September 30, 2015 , respectively, which were partially offset by the netting of issuance costs of $4 million and $18 million during those respective periods.

Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards

(Basel III Advanced Approaches with Transition Arrangements)



In millions of dollars	Three Months Ended September 30, 2015			Nine Months Ended September 30, 2015 ⁽¹⁾
Total Risk-Weighted Assets, beginning of period	$	1,253,875		$	1,274,672
Changes in Credit Risk-Weighted Assets
Net decrease in retail exposures ⁽²⁾	(7,925		)	(12,543		)
Net increase in wholesale exposures ⁽³⁾	6,703			14
Net decrease in repo-style transactions	(1,578		)	(1,080		)
Net decrease in securitization exposures	(3,354		)	(720		)
Net increase in equity exposures	930			474
Net decrease in over-the-counter (OTC) derivatives	(1,002		)	(3,883		)
Net decrease in derivatives CVA ⁽⁴⁾	(79		)	(3,628		)
Net decrease in other exposures ⁽⁵⁾	(6,567		)	(18,331		)
Net decrease in supervisory 6% multiplier ⁽⁶⁾	(768		)	(2,164		)
Net decrease in Credit Risk-Weighted Assets	$	(13,640	)	$	(41,861	)
Changes in Market Risk-Weighted Assets
Net decrease in risk levels ⁽⁷⁾	$	(7,666	)	$	(13,379	)
Net decrease due to model and methodology updates ⁽⁸⁾	(2,902		)	(2,265		)
Net decrease in Market Risk-Weighted Assets	$	(10,568	)	$	(15,644	)
Increase in Operational Risk-Weighted Assets ⁽⁹⁾	$	—		$	12,500
Total Risk-Weighted Assets, end of period	$	1,229,667		$	1,229,667


(1)	The beginning balance of Total Risk-Weighted Assets for the nine months ended September 30, 2015 has been restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.

(2)

Retail exposures decreased during the three months ended September 30, 2015 primarily due to reductions in loans and commitments and the impact of FX translation. Retail exposures decreased during the nine months ended September 30, 2015 primarily due to reductions in loans and commitments and the impact of FX translation, partially offset by the reclassification from other exposures of certain non-material portfolios.

(3)

Wholesale exposures increased during the three months ended September 30, 2015 primarily due to an increase in investment securities and commitments, and the reclassification from other exposures of certain non-material portfolios, partially offset by the impact of FX translation. Wholesale exposures increased slightly during the nine months ended September 30, 2015 primarily due to an increase in investment securities, and the reclassification from other exposures of certain non-material portfolios, largely offset by a reduction in commitments and the impact of FX translation.


(4)	Derivatives CVA decreased during both the three and nine months ended September 30, 2015 , driven by exposure reduction and credit spread changes.

(5)

Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures decreased during both the three and nine months ended September 30, 2015 as a result of the reclassification to retail exposures and wholesale exposures of certain non-material portfolios, in addition to decreases in other assets.


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

(7)

Risk levels decreased during the three months and nine months ended September 30, 2015 primarily as a result of a reduction in exposures subject to comprehensive risk, the ongoing assessment regarding the applicability of the market risk capital rules to certain securitization positions, and decreases in assets subject to standard specific risk charges. In addition, contributing to the decline of risk levels during the nine months ended September 30, 2015 were reductions in exposure levels subject to Value at Risk and Stressed Value at Risk.


(8)	Risk-weighted assets declined during the three months and nine months ended September 30, 2015 due to the implementation of the “Volcker Rule.”


(9)	Operational risk-weighted assets increased by $12.5 billion during the first quarter of 2015, reflecting an evaluation of ongoing events in the banking industry as well as continued enhancements to Citi’s operational risk model.

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

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

Citibank, N.A. Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)



	September 30, 2015						December 31, 2014 ⁽¹⁾
In millions of dollars, except ratios	Advanced Approaches			Standardized Approach			Advanced Approaches			Standardized Approach ⁽²⁾
Common Equity Tier 1 Capital	$	128,452		$	128,452		$	128,262		$	128,262
Tier 1 Capital	128,452			128,452			128,262			128,262
Total Capital (Tier 1 Capital + Tier 2 Capital) ⁽³⁾	139,117			150,962			139,246			151,124
Risk-Weighted Assets	904,523			1,014,164			945,407			1,044,768
Common Equity Tier 1 Capital ratio ⁽⁴⁾	14.20		%	12.67		%	13.57		%	12.28		%
Tier 1 Capital ratio ⁽⁴⁾	14.20			12.67			13.57			12.28
Total Capital ratio ⁽⁴⁾	15.38			14.89			14.73			14.46



In millions of dollars, except ratios	September 30, 2015				December 31, 2014 ⁽¹⁾
Quarterly Adjusted Average Total Assets ⁽⁵⁾		$	1,315,318			$	1,366,910
Total Leverage Exposure ⁽⁶⁾		1,864,459				1,954,833
Tier 1 Leverage ratio		9.77		%		9.38		%
Supplementary Leverage ratio		6.89				6.56


(1)	Restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.


(2)	Pro forma presentation to reflect the application of the Basel III 2015 Standardized Approach, consistent with current period presentation.

(3)


(4)	As of September 30, 2015 and December 31, 2014, Citibank, N.A.’s reportable Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Standardized Approach.


(5)	Tier 1 Leverage ratio denominator.


(6)	Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank N.A.’s capital ratios at September 30, 2015 were in excess of the stated minimum requirements under the U.S. Basel III rules. In addition, Citibank, N.A. was also “well capitalized” as of September 30, 2015 under the revised PCA regulations which became effective January 1, 2015.

Impact of Changes on Citigroup and Citibank, N.A. Capital Ratios Under Current Regulatory Capital Standards

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

September 30, 2015 . This information is provided for the purpose of analyzing the impact that a change in Citigroup’s or Citibank, N.A.’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets, or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.

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



	Common Equity Tier 1 Capital ratio		Tier 1 Capital ratio		Total Capital ratio
In basis points	Impact of $100 million change in Common Equity Tier 1 Capital	Impact of $1 billion change in risk- weighted assets	Impact of $100 million change in Tier 1 Capital	Impact of $1 billion change in risk- weighted assets	Impact of $100 million change in Total Capital	Impact of $1 billion change in risk- weighted assets
Citigroup
Advanced Approaches	0.8	1.1	0.8	1.2	0.8	1.3
Standardized Approach	0.9	1.3	0.9	1.3	0.9	1.5
Citibank, N.A.
Advanced Approaches	1.1	1.6	1.1	1.6	1.1	1.7
Standardized Approach	1.0	1.3	1.0	1.3	1.0	1.5

Impact of Changes on Citigroup and Citibank, N.A. Leverage Ratios (Basel III Transition Arrangements)



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

Citigroup Broker-Dealer Subsidiaries

At September 30, 2015 , 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 $6.1 billion, which exceeded the minimum requirement by $4.7 billion.

In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other broker-dealer subsidiaries were in compliance with

their capital requirements at September 30, 2015 .

Basel III (Full Implementation)

Citigroup’s Capital Resources Under Basel III

(Full Implementation)

Citi currently estimates that its effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratio requirements under the U.S. Basel III rules, on a fully implemented basis and assuming a 3.5% GSIB surcharge, may be 10.5%, 12% and 14%, respectively.

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

The following tables set forth the capital tiers, risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios, assuming full implementation under the U.S. Basel III rules, for Citi as of September 30, 2015 and December 31, 2014 .

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



	September 30, 2015						December 31, 2014 ⁽¹⁾
In millions of dollars, except ratios	Advanced Approaches			Standardized Approach			Advanced Approaches			Standardized Approach
Common Equity Tier 1 Capital	$	146,451		$	146,451		$	136,597		$	136,597
Tier 1 Capital	161,999			161,999			148,066			148,066
Total Capital (Tier 1 Capital + Tier 2 Capital) ⁽²⁾	183,096			196,513			165,454			178,413
Risk-Weighted Assets	1,254,473			1,191,882			1,292,605			1,228,488
Common Equity Tier 1 Capital ratio ⁽³⁾⁽⁴⁾	11.67		%	12.29		%	10.57		%	11.12		%
Tier 1 Capital ratio ⁽³⁾⁽⁴⁾	12.91			13.59			11.45			12.05
Total Capital ratio ⁽³⁾⁽⁴⁾	14.60			16.49			12.80			14.52



In millions of dollars, except ratios	September 30, 2015				December 31, 2014 ⁽¹⁾
Quarterly Adjusted Average Total Assets ⁽⁵⁾		$	1,758,073			$	1,835,637
Total Leverage Exposure ⁽⁶⁾		2,363,506				2,492,636
Tier 1 Leverage ratio ⁽⁴⁾		9.21		%		8.07		%
Supplementary Leverage ratio ⁽⁴⁾		6.85				5.94


(1)	Restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.

(2)


(3)	As of September 30, 2015 and December 31, 2014 , Citi’s Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.


(4)	Citi’s Basel III capital ratios, on a fully implemented basis, are non-GAAP financial measures.


(5)	Tier 1 Leverage ratio denominator.


(6)	Supplementary Leverage ratio denominator.

Common Equity Tier 1 Capital Ratio

Citi’s Common Equity Tier 1 Capital ratio was 11.7% at September 30, 2015 , compared to 11.4% at June 30, 2015 and 10.6% at December 31, 2014 (all based on application of the Advanced Approaches for determining total risk-weighted assets). The quarter-over-quarter increase in the ratio was largely attributable to Common Equity Tier 1 Capital benefits resulting from quarterly net income of $4.3 billion and the favorable effects attributable to DTA utilization of approximately $0.7 billion, partially offset by a $2.1 billion return of capital to common shareholders in the form of share repurchases and dividends. Similarly, the increase in Citi’s Common Equity Tier 1 Capital ratio from year-end 2014 reflected continued growth in Common Equity Tier 1 Capital resulting from net income of $13.9 billion and the favorable effects attributable to DTA utilization of approximately $2.1 billion, offset in part by the return of $4.1 billion of capital to common shareholders.

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



In millions of dollars	September 30, 2015			December 31, 2014 ⁽¹⁾
Common Equity Tier 1 Capital
Citigroup common stockholders’ equity ⁽²⁾	$	205,772		$	199,841
Add: Qualifying noncontrolling interests	147			165
Regulatory Capital Adjustments and Deductions:
Less: Accumulated net unrealized gains on cash flow hedges, net of tax ⁽³⁾	(542		)	(909		)
Less: Cumulative unrealized net gain related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax ⁽⁴⁾	717			279
Less: Intangible assets:
Goodwill, net of related deferred tax liabilities (DTLs) ⁽⁵⁾	21,732			22,805
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs	3,911			4,373
Less: Defined benefit pension plan net assets	904			936
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general business credit carry-forwards ⁽⁶⁾	23,295			23,626
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments, and MSRs ⁽⁶⁾⁽⁷⁾	9,451			12,299
Total Common Equity Tier 1 Capital	$	146,451		$	136,597
Additional Tier 1 Capital
Qualifying perpetual preferred stock ⁽²⁾	$	15,076		$	10,344
Qualifying trust preferred securities ⁽⁸⁾	1,365			1,369
Qualifying noncontrolling interests	32			35
Regulatory Capital Deduction:
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries ⁽⁹⁾	247			279
Less: Permitted ownership interests in covered funds ⁽¹⁰⁾	678			—
Total Additional Tier 1 Capital	$	15,548		$	11,469
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)	$	161,999		$	148,066
Tier 2 Capital
Qualifying subordinated debt ⁽¹¹⁾	$	20,395		$	16,094
Qualifying trust preferred securities ⁽¹²⁾	351			350
Qualifying noncontrolling interests	41			46
Excess of eligible credit reserves over expected credit losses ⁽¹³⁾	557			1,177
Regulatory Capital Deduction:
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries ⁽⁹⁾	247			279
Total Tier 2 Capital	$	21,097		$	17,388
Total Capital (Tier 1 Capital + Tier 2 Capital) ⁽¹⁴⁾	$	183,096		$	165,454


(1)	Restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.


(2)	Issuance costs of $142 million and $124 million related to preferred stock outstanding at September 30, 2015 and December 31, 2014 , respectively, are excluded from common stockholders’ equity and netted against preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.


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


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


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

(6)

Of Citi’s approximately $47.2 billion of net DTAs at September 30, 2015 , approximately $16.5 billion of such assets were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $30.7 billion of such assets were excluded in arriving at Common Equity Tier 1 Capital. Comprising the excluded net DTAs was an aggregate of approximately $32.8 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences that were deducted from Common Equity Tier 1 Capital. In addition, approximately $2.1 billion of net DTLs, primarily consisting of DTLs associated with goodwill and certain other intangible assets, partially offset by DTAs related to cash flow hedges, are permitted to be excluded prior to deriving the amount of net DTAs subject to deduction under these rules. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital, while Citi’s current cash flow hedges and the related deferred tax effects are not required to be reflected in regulatory capital.

(7)

Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At September 30, 2015 , the deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation, while at December 31, 2014, the deduction related to all three assets which exceeded both the 10% and 15% limitations.


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


(9)	50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.

(10)


(11)	Non-qualifying subordinated debt issuances which consist of those with a fixed-to-floating rate step-up feature where the call/step-up date has not passed are excluded from Tier 2 Capital.


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


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


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

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



In millions of dollars	Three Months Ended September 30, 2015			Nine Months Ended September 30, 2015 ⁽¹⁾
Common Equity Tier 1 Capital
Balance, beginning of period	$	145,435		$	136,597
Net income	4,291			13,907
Dividends declared	(324		)	(838		)
Net increase in treasury stock acquired	(1,952		)	(3,802		)
Net increase in additional paid-in capital ⁽²⁾	300			705
Net increase in foreign currency translation adjustment net of hedges, net of tax	(2,493		)	(4,703		)
Net increase in unrealized gains on securities AFS, net of tax	511			167
Net change in defined benefit plans liability adjustment, net of tax	(360		)	128
Net increase in cumulative unrealized net gain related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax	(243		)	(438		)
Net decrease in goodwill, net of related deferred tax liabilities (DTLs)	580			1,073
Net decrease in identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs	242			462
Net change in defined benefit pension plan net assets	(89		)	32
Net decrease in deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general business credit carry-forwards	465			331
Net decrease in excess over 10%/15% limitations for other DTAs, certain common stock investments and MSRs	87			2,848
Other	1			(18		)
Net increase in Common Equity Tier 1 Capital	$	1,016		$	9,854
Common Equity Tier 1 Capital Balance, end of period	$	146,451		$	146,451
Additional Tier 1 Capital
Balance, beginning of period	$	14,956		$	11,469
Net increase in qualifying perpetual preferred stock ⁽³⁾	1,246			4,732
Net decrease in qualifying trust preferred securities	(1		)	(4		)
Net increase in permitted ownership interests in covered funds	(678		)	(678		)
Other	25			29
Net increase in Additional Tier 1 Capital	$	592		$	4,079
Tier 1 Capital Balance, end of period	$	161,999		$	161,999
Tier 2 Capital
Balance, beginning of period	$	20,455		$	17,388
Net increase in qualifying subordinated debt	1,300			4,301
Net decrease in excess of eligible credit reserves over expected credit losses	(682		)	(620		)
Other	24			28
Net increase in Tier 2 Capital	$	642		$	3,709
Tier 2 Capital Balance, end of period	$	21,097		$	21,097
Total Capital (Tier 1 Capital + Tier 2 Capital)	$	183,096		$	183,096


(1)	The beginning balance of Common Equity Tier 1 Capital for the nine months ended September 30, 2015 has been restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.


(2)	Primarily represents an increase in additional paid-in capital related to employee benefit plans.


(3)	Citi issued approximately $1.3 billion and approximately $4.8 billion of qualifying perpetual preferred stock during the three and nine months ended September 30, 2015 , respectively, which were partially offset by the netting of issuance costs of $4 million and $18 million during those respective periods.

Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at September 30, 2015



	Advanced Approaches						Standardized Approach
In millions of dollars	Citicorp		Citi Holdings		Total		Citicorp		Citi Holdings		Total
Credit Risk	$	740,867	$	103,769	$	844,636	$	1,019,349	$	87,303	$	1,106,652
Market Risk	80,669		4,168		84,837		81,014		4,216		85,230
Operational Risk	275,921		49,079		325,000		—		—		—
Total Risk-Weighted Assets	$	1,097,457	$	157,016	$	1,254,473	$	1,100,363	$	91,519	$	1,191,882

Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at December 31, 2014 ⁽¹⁾



	Advanced Approaches						Standardized Approach
In millions of dollars	Citicorp		Citi Holdings		Total		Citicorp		Citi Holdings		Total
Credit Risk	$	752,247	$	127,377	$	879,624	$	1,023,961	$	104,046	$	1,128,007
Market Risk	95,824		4,657		100,481		95,824		4,657		100,481
Operational Risk	255,155		57,345		312,500		—		—		—
Total Risk-Weighted Assets	$	1,103,226	$	189,379	$	1,292,605	$	1,119,785	$	108,703	$	1,228,488


(1)	Restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.

Total risk-weighted assets under both the Basel III Advanced Approaches and the Standardized Approach declined from year-end 2014, primarily due to a decrease in credit risk-weighted assets resulting from the impact of FX translation and the ongoing decline in Citi Holdings assets, as well as a decline in market risk-weighted assets. In addition, partially offsetting the decrease in total risk-weighted assets under the Advanced Approaches was an increase in operational risk-weighted assets reflecting an evaluation of ongoing events in the banking industry as well as continued enhancements to Citi’s operational risk model.

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



In millions of dollars	Three Months Ended September 30, 2015			Nine Months Ended September 30, 2015 ⁽¹⁾
Total Risk-Weighted Assets, beginning of period	$	1,278,593		$	1,292,605
Changes in Credit Risk-Weighted Assets
Net decrease in retail exposures ⁽²⁾	(7,925		)	(12,543		)
Net increase in wholesale exposures ⁽³⁾	6,703			14
Net decrease in repo-style transactions	(1,578		)	(1,080		)
Net decrease in securitization exposures	(3,354		)	(720		)
Net increase in equity exposures	899			599
Net decrease in over-the-counter (OTC) derivatives	(1,002		)	(3,883		)
Net decrease in derivatives CVA ⁽⁴⁾	(79		)	(3,628		)
Net decrease in other exposures ⁽⁵⁾	(6,453		)	(11,972		)
Net decrease in supervisory 6% multiplier ⁽⁶⁾	(763		)	(1,775		)
Net decrease in Credit Risk-Weighted Assets	$	(13,552	)	$	(34,988	)
Changes in Market Risk-Weighted Assets
Net decrease in risk levels ⁽⁷⁾	$	(7,666	)	$	(13,379	)
Net decrease due to model and methodology updates ⁽⁸⁾	(2,902		)	(2,265		)
Net decrease in Market Risk-Weighted Assets	$	(10,568	)	$	(15,644	)
Increase in Operational Risk-Weighted Assets ⁽⁹⁾	$	—		$	12,500
Total Risk-Weighted Assets, end of period	$	1,254,473		$	1,254,473


(1)	The beginning balance of Total Risk-Weighted Assets for the nine months ended September 30, 2015 has been restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.

(2)

(3)


(4)	Derivatives CVA decreased during both the three and nine months ended September 30, 2015 , driven by exposure reduction and credit spread changes.

(5)


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

(7)

Risk levels decreased during the three months and nine months ended September 30, 2015 primarily as a result of a reduction in exposures subject to comprehensive risk, the ongoing assessment regarding the applicability of the market risk capital rules to certain securitization positions, and decreases in assets subject to standard specific risk charges. In addition, contributing to the decline of risk levels during the nine months ended September 30, 2015, were reductions in exposure levels subject to Value at Risk and Stressed Value at Risk.


(8)	Risk-weighted assets declined during the three months and nine months ended September 30, 2015 due to the implementation of the “Volcker Rule.”


(9)	Operational risk-weighted assets increased by $12.5 billion during the first quarter of 2015, reflecting an evaluation of ongoing events in the banking industry as well as continued enhancements to Citi’s operational risk model.

Supplementary Leverage Ratio

Citigroup’s Supplementary Leverage ratio under the U.S. Basel III rules was 6.9% for the third quarter of 2015, compared to 6.7% for the second quarter of 2015 and an estimated 5.9% for the fourth quarter of 2014. The growth in the ratio quarter-over-quarter was principally driven by an increase in Tier 1 Capital attributable largely to net income of $4.3 billion and an approximately $1.3 billion noncumulative perpetual preferred stock issuance, partially offset by a $2.1 billion return of capital to common shareholders in the form of share repurchases and dividends. The growth in the ratio from the fourth quarter of 2014 was also principally driven by an increase in Tier 1

Capital attributable largely to year-to-date net income and approximately $4.8 billion of noncumulative perpetual preferred stock issuances, offset in part by the return of capital to common shareholders. Further, a decrease in Total Leverage Exposure also contributed to the growth in the ratio from the fourth quarter of 2014.

The following table sets forth Citi’s Supplementary Leverage ratio and related components, assuming full implementation under the U.S. Basel III rules, for the three months ended September 30, 2015 and December 31, 2014.

Citigroup Basel III Supplementary Leverage Ratios and Related Components (Full Implementation) ⁽¹⁾



In millions of dollars, except ratios	September 30, 2015			December 31, 2014 ⁽²⁾
Tier 1 Capital	$	161,999		$	148,066
Total Leverage Exposure (TLE)
On-balance sheet assets ⁽³⁾	$	1,818,290		$	1,899,955
Certain off-balance sheet exposures: ⁽⁴⁾
Potential future exposure (PFE) on derivative contracts	221,364			240,712
Effective notional of sold credit derivatives, net ⁽⁵⁾	79,884			96,869
Counterparty credit risk for repo-style transactions ⁽⁶⁾	25,454			28,073
Unconditionally cancellable commitments	59,375			61,673
Other off-balance sheet exposures	219,357			229,672
Total of certain off-balance sheet exposures	$	605,434		$	656,999
Less: Tier 1 Capital deductions	60,218			64,318
Total Leverage Exposure	$	2,363,506		$	2,492,636
Supplementary Leverage ratio	6.85		%	5.94		%


(1)	Citi’s Supplementary Leverage ratio, on a fully implemented basis, is a non-GAAP financial measure.


(2)	Restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.


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


(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 TLE 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 and securities borrowing or securities lending transactions.

Citibank, N.A.’s Supplementary Leverage ratio, assuming full implementation under the U.S. Basel III rules, was 6.7% for the third quarter of 2015, compared to 6.7% for the second quarter of 2015 and an estimated 6.2% for the fourth quarter of 2014. The ratio remained unchanged from the second quarter of 2015 as the growth in Tier 1 Capital resulting from quarterly net income was offset by cash dividends paid by Citibank, N.A. to its parent, Citicorp, and which were subsequently remitted to Citigroup. The increase in the ratio from fourth quarter 2014 was principally driven by Tier 1 Capital benefits resulting from year-to-date net income and DTA utilization, as well as an overall reduction in Total Leverage Exposure, partially offset by cash dividends paid by Citibank, N.A. to its parent, Citicorp, and which were subsequently remitted to Citigroup.

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

Tangible common equity (TCE), as currently defined by Citi, represents common equity less goodwill and other intangible assets (other than MSRs). Other companies may calculate TCE in a different manner. TCE and tangible book value per share are non-GAAP financial measures.



In millions of dollars or shares, except per share amounts	September 30, 2015		December 31, 2014 ⁽¹⁾
Total Citigroup stockholders’ equity	$	220,848	$	210,185
Less: Preferred stock	15,218		10,468
Common equity	$	205,630	$	199,717
Less:
Goodwill	22,444		23,592
Intangible assets (other than MSRs)	3,880		4,566
Goodwill and intangible assets (other than MSRs) related to assets held-for-sale	345		71
Tangible common equity (TCE)	$	178,961	$	171,488

Common shares outstanding (CSO)	2,979.0		3,023.9
Tangible book value per share (TCE/CSO)	$	60.07	$	56.71
Book value per share (common equity/CSO)	$	69.03	$	66.05


(1)	Restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.

Managing Global Risk Table of Contents




		Page
MANAGING GLOBAL RISK		52
CREDIT RISK ⁽¹⁾		53
Loans Outstanding		53
Details of Credit Loss Experience		54
Allowance for Loan Losses		56
Non-Accrual Loans and Assets and Renegotiated Loans		57
North America Consumer Mortgage Lending		61
Consumer Loan Details		66
Corporate Credit Details		68
MARKET RISK ⁽¹⁾		71
Funding and Liquidity Risk		71
High-Quality Liquid Assets		71
Deposits		72
Long-Term Debt		72
Secured Financing Transactions and Short-Term Borrowings		74
Liquidity Coverage Ratio (LCR)		75
Credit Ratings		76
Price Risk		78
Price Risk—Non-Trading Portfolios (including Interest Rate Exposure)		78
Price Risk—Trading Portfolios (including VAR)		89
COUNTRY RISK		91


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

MANAGING GLOBAL RISK

Citigroup believes that effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to monitor, evaluate and manage the principal risks it assumes in conducting its activities. These risks are generally categorized as credit risk, market risk, operational risk and country and cross-border risk. Compliance risk can be found in all of these risk types.

Citigroup’s risk management framework is designed to balance business ownership and accountability for risks with well defined independent risk management oversight and responsibility. Further, Citi’s risk management organization is structured to facilitate the management of risk across three dimensions: businesses, regions and critical products.

For more information on Citi’s risk management programs and risk management organization, see “Managing Global Risk” and “Risk Factors” in Citi’s 2014 Annual Report on Form 10-K.

CREDIT RISK

For additional information on Credit Risk, including Citi’s credit risk management, measurement and stress testing, see “Managing Global Risk—Credit Risk” in Citi’s 2014 Annual Report on Form 10-K.

Loans Outstanding



	3rd Qtr.			2nd Qtr.			1st Qtr.			4th Qtr.			3rd Qtr.
In millions of dollars	2015			2015			2015			2014			2014
Consumer loans
In U.S. offices
Mortgage and real estate ⁽¹⁾	$	89,155		$	90,715		$	92,005		$	96,533		$	101,583
Installment, revolving credit, and other	4,999			4,956			4,861			14,450			13,350
Cards	107,244			107,096			105,378			112,982			108,314
Commercial and industrial	6,437			6,493			6,532			5,895			6,870
Lease financing	—			—			—			—			—
	$	207,835		$	209,260		$	208,776		$	229,860		$	230,117
In offices outside the U.S.
Mortgage and real estate ⁽¹⁾	$	47,295		$	50,704		$	50,970		$	54,462		$	56,099
Installment, revolving credit, and other	29,702			30,958			31,396			31,128			34,270
Cards	26,865			28,662			28,681			32,032			32,410
Commercial and industrial	21,929			22,953			21,992			22,561			23,393
Lease financing	438			493			546			609			678
	$	126,229		$	133,770		$	133,585		$	140,792		$	146,850
Total Consumer loans	$	334,064		$	343,030		$	342,361		$	370,652		$	376,967
Unearned income	(691		)	(681		)	(655		)	(682		)	(649		)
Consumer loans, net of unearned income	$	333,373		$	342,349		$	341,706		$	369,970		$	376,318
Corporate loans
In U.S. offices
Commercial and industrial	$	40,435		$	40,697		$	37,537		$	35,055		$	36,516
Loans to financial institutions	38,034			37,360			36,054			36,272			31,916
Mortgage and real estate ⁽¹⁾	37,019			34,680			33,145			32,537			32,285
Installment, revolving credit, and other	32,129			31,882			29,267			29,207			30,378
Lease financing	1,718			1,707			1,755			1,758			1,737
	$	149,335		$	146,326		$	137,758		$	134,829		$	132,832
In offices outside the U.S.
Commercial and industrial	$	81,540		$	83,184		$	81,426		$	79,239		$	80,304
Loans to financial institutions	28,090			29,675			32,210			33,269			35,854
Mortgage and real estate ⁽¹⁾	6,602			5,948			6,311			6,031			6,243
Installment, revolving credit, and other	19,352			20,214			19,687			19,259			20,151
Lease financing	259			309			322			356			396
Governments and official institutions	4,503			4,714			2,174			2,236			2,264
	$	140,346		$	144,044		$	142,130		$	140,390		$	145,212
Total Corporate loans	$	289,681		$	290,370		$	279,888		$	275,219		$	278,044
Unearned income	(610		)	(601		)	(540		)	(554		)	(536		)
Corporate loans, net of unearned income	$	289,071		$	289,769		$	279,348		$	274,665		$	277,508
Total loans—net of unearned income	$	622,444		$	632,118		$	621,054		$	644,635		$	653,826
Allowance for loan losses—on drawn exposures	(13,626		)	(14,075		)	(14,598		)	(15,994		)	(16,915		)
Total loans—net of unearned income and allowance for credit losses	$	608,818		$	618,043		$	606,456		$	628,641		$	636,911
Allowance for loan losses as a percentage of total loans—net of unearned income ⁽²⁾	2.21		%	2.25		%	2.38		%	2.50		%	2.60		%
Allowance for Consumer loan losses as a percentage of total Consumer loans—net of unearned income ⁽²⁾	3.33		%	3.43		%	3.55		%	3.68		%	3.87		%
Allowance for Corporate loan losses as a percentage of total Corporate loans—net of unearned income ⁽²⁾	0.89		%	0.82		%	0.91		%	0.89		%	0.86		%


(1)	Loans secured primarily by real estate.


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

Details of Credit Loss Experience



	3rd Qtr.			2nd Qtr.			1st Qtr.			4th Qtr.			3rd Qtr.
In millions of dollars	2015			2015			2015			2014			2014
Allowance for loan losses at beginning of period	$	14,075		$	14,598		$	15,994		$	16,915		$	17,890
Provision for loan losses
Consumer	$	1,343		$	1,569		$	1,661		$	1,660		$	1,605
Corporate	239			(54		)	94			221			(30		)
	$	1,582		$	1,515		$	1,755		$	1,881		$	1,575
Gross credit losses
Consumer
In U.S. offices	$	1,244		$	1,393		$	1,596		$	1,588		$	1,595
In offices outside the U.S.	751			819			839			976			948
Corporate
In U.S. offices	30			5			10			44			10
In offices outside the U.S.	43			118			13			119			33
	$	2,068		$	2,335		$	2,458		$	2,727		$	2,586
Credit recoveries ⁽¹⁾
Consumer
In U.S. offices	$	222		$	228		$	296		$	242		$	232
In offices outside the U.S.	156			170			173			223			196
Corporate
In U.S offices	11			4			12			6			18
In offices outside the U.S.	16			13			20			8			43
	$	405		$	415		$	501		$	479		$	489
Net credit losses
In U.S. offices	$	1,041		$	1,166		$	1,298		$	1,384		$	1,355
In offices outside the U.S.	622			754			659			864			742
Total	$	1,663		$	1,920		$	1,957		$	2,248		$	2,097
Other - net ^{(2)(3)(4)(5)(6)(7)}	$	(368	)	$	(118	)	$	(1,194	)	(554		)	$	(453	)
Allowance for loan losses at end of period	$	13,626		$	14,075		$	14,598		$	15,994		$	16,915
Allowance for loan losses as a % of total loans ⁽⁸⁾	2.21		%	2.25		%	2.38		%	2.50		%	2.60		%
Allowance for unfunded lending commitments ⁽⁹⁾	$	1,036		$	973		$	1,023		$	1,063		$	1,140
Total allowance for loan losses and unfunded lending commitments	$	14,662		$	15,048		$	15,621		$	17,057		$	18,055
Net Consumer credit losses	$	1,617		$	1,814		$	1,966		$	2,098		$	2,115
As a percentage of average Consumer loans	1.91		%	2.13		%	2.22		%	2.23		%	2.21		%
Net Corporate credit losses (recoveries)	$	46		$	106		$	(9	)	$	150		$	(18	)
As a percentage of average Corporate loans	0.06		%	0.15		%	(0.01		)%	0.21		%	(0.03		)%
Allowance for loan losses at end of period ⁽¹⁰⁾
Citicorp	$	10,505		$	10,672		$	10,976		$	11,142		$	11,582
Citi Holdings	3,121			3,403			3,622			4,852			5,333
Total Citigroup	$	13,626		$	14,075		$	14,598		$	15,994		$	16,915
Allowance by type
Consumer	$	11,110		$	11,749		$	12,122		$	13,605		$	14,575
Corporate	2,516			2,326			2,476			2,389			2,340
Total Citigroup	$	13,626		$	14,075		$	14,598		$	15,994		$	16,915


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


(2)	Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, foreign currency translation, purchase accounting adjustments, etc.


(3)	The third quarter of 2015 includes a reduction of approximately $110 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of $14 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the third quarter includes a reduction of approximately $255 million related to FX translation.


(4)	The second quarter of 2015 includes a reduction of approximately $88 million related to the sale or transfers to held-for-sale (HFS) of various loan portfolios, including a reduction of $34 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the second quarter of 2015 includes a reduction of approximately $39 million related to FX translation.


(5)	The first quarter of 2015 includes a reduction of approximately $1.0 billion related to the sale or transfers to HFS of various loan portfolios, including a reduction of $281 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the first quarter of 2015 includes a reduction of approximately $145 million related to FX translation.


(6)	The fourth quarter of 2014 includes a reduction of approximately $250 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of $194 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the fourth quarter of 2014 includes a reduction of approximately $282 million related to FX translation.

(7)

The third quarter of 2014 includes a reduction of approximately $259 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of $151 million related to a transfer of a real estate loan portfolio to HFS and a reduction of approximately $108 million related to the transfer of various EMEA loan portfolios to HFS. Additionally, the third quarter of 2014 includes a reduction of approximately $181 million related to FX translation.


(8)	September 30, 2015 , June 30, 2015 , March 31, 2015, December 31, 2014 and September 30, 2014 exclude $5.5 billion , $6.5 billion , $6.6 billion , $5.9 billion , and $4.4 billion , respectively, of loans which are carried at fair value.


(9)	Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.

(10)

Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and troubled debt restructurings. See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements in Citi’s 2014 Annual Report on Form 10-K. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.

Allowance for Loan Losses

The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios as of September 30, 2015 and December 31, 2014 :



	September 30, 2015
In billions of dollars	Allowance for loan losses		Loans, net of unearned income		Allowance as a percentage of loans ⁽¹⁾
North America cards ⁽²⁾	$	4.6	$	107.9	4.3	%
North America mortgages ⁽³⁾⁽⁴⁾	2.7		85.5		3.2
North America other	0.5		15.9		3.1
International cards	1.5		25.0		6.0
International other ⁽⁵⁾	1.8		99.1		1.8
Total Consumer	$	11.1	$	333.4	3.3	%
Total Corporate	2.5		289.0		0.9
Total Citigroup	$	13.6	$	622.4	2.2	%


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


(2)	Includes both Citi-branded cards and Citi retail services. The $4.6 billion of loan loss reserves represented approximately 16 months of coincident net credit loss coverage.


(3)	Of the $2.7 billion , approximately $2.6 billion was allocated to North America mortgages in Citi Holdings. The $2.7 billion of loan loss reserves represented approximately 56 months of coincident net credit loss coverage (for both total North America mortgages and Citi Holdings North America mortgages).

(4)

Of the $2.7 billion in loan loss reserves, approximately $0.9 billion and $1.8 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $85.5 billion in loans, approximately $74.7 billion and $10.5 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 15 to the Consolidated Financial Statements.


(5)	Includes mortgages and other retail loans.



	December 31, 2014
In billions of dollars	Allowance for loan losses		Loans, net of unearned income		Allowance as a percentage of loans ⁽¹⁾
North America cards ⁽²⁾	$	4.9	$	114.0	4.3	%
North America mortgages ⁽³⁾⁽⁴⁾	3.7		95.9		3.9
North America other	1.2		21.6		5.6
International cards	1.9		31.5		6.0
International other ⁽⁵⁾	1.9		106.9		1.8
Total Consumer	$	13.6	$	369.9	3.7	%
Total Corporate	2.4		274.7		0.9
Total Citigroup	$	16.0	$	644.6	2.5	%


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


(2)	Includes both Citi-branded cards and Citi retail services. The $4.9 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.


(3)	Of the $3.7 billion, approximately $3.5 billion was allocated to North America mortgages in Citi Holdings. The $3.7 billion of loan loss reserves represented approximately 53 months of coincident net credit loss coverage (for both total North America mortgages and Citi Holdings North America mortgages).

(4)

Of the $3.7 billion in loan loss reserves, approximately $1.2 billion and $2.5 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $95.9 billion in loans, approximately $80.4 billion and $15.2 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 15 to the Consolidated Financial Statements.


(5)	Includes mortgages and other retail loans.

Non-Accrual Loans and Assets and Renegotiated Loans

The following pages include information on Citi’s “Non-Accrual Loans and Assets” and “Renegotiated Loans.” There is a certain amount of overlap among these categories. The following summary provides a general description of each category:

Non-Accrual Loans and Assets:


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


•	A corporate loan may be classified as non-accrual and still be performing under the terms of the loan structure. Payments received on corporate non-accrual loans are generally applied to loan principal and not reflected as interest income. Approximately 40% of Citi’s corporate non-accrual loans were performing at September 30, 2015.


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

•

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


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

Renegotiated Loans:


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


•	Includes both accrual and non-accrual TDRs.

Non-Accrual Loans and Assets

The table below summarizes Citigroup’s non-accrual loans as of the periods indicated. Non-accrual loans may still be current on interest payments. In situations where Citi reasonably expects that only a portion of the principal owed will ultimately be collected, all payments received are reflected as a reduction of principal and not as interest income. For all other non-accrual loans, cash interest receipts are generally recorded as revenue.

Non-Accrual Loans



	Sept. 30,		Jun. 30,		Mar. 31,		Dec. 31,		Sept. 30,
In millions of dollars	2015		2015		2015		2014		2014
Citicorp	$	3,030	$	2,760	$	2,789	$	3,011	$	3,358
Citi Holdings	3,377		3,677		3,965		4,096		4,264
Total non-accrual loans	$	6,407	$	6,437	$	6,754	$	7,107	$	7,622
Corporate non-accrual loans ⁽¹⁾⁽²⁾
North America	$	830	$	467	$	347	$	321	$	365
EMEA	372		322		287		267		322
Latin America	227		224		376		416		481
Asia	129		145		151		179		182
Total Corporate non-accrual loans	$	1,558	$	1,158	$	1,161	$	1,183	$	1,350
Citicorp	$	1,505	$	1,103	$	1,108	$	1,126	$	1,290
Citi Holdings	53		55		53		57		67
Total Corporate non-accrual loans	$	1,558	$	1,158	$	1,161	$	1,183	$	1,357
Consumer non-accrual loans ⁽¹⁾
North America	$	3,630	$	3,934	$	4,192	$	4,412	$	4,546
Latin America	938		1,034		1,086		1,188		1,364
Asia ⁽³⁾	281		311		315		324		362
Total Consumer non-accrual loans	$	4,849	$	5,279	$	5,593	$	5,924	$	6,272
Citicorp	$	1,525	$	1,657	$	1,681	$	1,885	$	2,068
Citi Holdings	3,324		3,622		3,912		4,039		4,204
Total Consumer non-accrual loans	$	4,849	$	5,279	$	5,593	$	5,924	$	6,272


(1)	Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $ 320 million at September 30, 2015 , $ 343 million at June 30, 2015 , $398 million at March 31, 2015 , $421 million at December 31, 2014 , and $493 million at September 30, 2014 .


(2)	Included within the increase in corporate non-accrual loans from June 30, 2015 to September 30, 2015 is an approximate $340 million increase primarily related to Citi’s North America energy and energy-related corporate credit exposure. For additional information, see “Corporate Credit Details” below.

(3) For reporting purposes, includes the results of operations of EMEA GCB for all periods presented.

The changes in Citigroup’s non-accrual loans for the three months ended September 30, 2015 were as follows:



	Three months ended
	September 30, 2015
In millions of dollars	Corporate			Consumer			Total
Non-accrual loans at beginning of period	$	1,158		$	5,279		$	6,437
Additions	626			1,094			1,720
Sales and transfers to held-for-sale	(39		)	(275		)	(314		)
Returned to performing	(39		)	(258		)	(297		)
Paydowns/settlements	(95		)	(323		)	(418		)
Charge-offs	(34		)	(573		)	(607		)
Other	(19		)	(95		)	(114		)
Ending balance	$	1,558		$	4,849		$	6,407

The table below summarizes Citigroup’s other real estate owned (OREO) assets as of the periods indicated. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral.



	Sept. 30,			Jun. 30,			Mar. 31,			Dec. 31,			Sept. 30,
In millions of dollars	2015			2015			2015			2014			2014
OREO ⁽¹⁾
Citicorp	$	84		$	87		$	103		$	92		$	86
Citi Holdings	143			159			172			168			296
Total OREO	$	227		$	246		$	275		$	260		$	382
North America	$	177		$	190		$	221		$	195		$	303
EMEA	1			1			1			8			18
Latin America	44			50			48			47			49
Asia	5			5			5			10			12
Total OREO	$	227		$	246		$	275		$	260		$	382
Non-accrual assets—Total Citigroup
Corporate non-accrual loans	$	1,558		$	1,158		$	1,161		$	1,183		$	1,350
Consumer non-accrual loans	4,849			5,279			5,593			5,924			6,272
Non-accrual loans (NAL)	$	6,407		$	6,437		$	6,754		$	7,107		$	7,622
OREO	$	227		$	246		$	275		$	260		$	382
Non-accrual assets (NAA)	$	6,634		$	6,683		$	7,029		$	7,367		$	8,004
NAL as a percentage of total loans	1.03		%	1.02		%	1.09		%	1.10		%	1.17		%
NAA as a percentage of total assets	0.37			0.37			0.38			0.40			0.43
Allowance for loan losses as a percentage of NAL ⁽²⁾	213			219			216			225			222



	Sept. 30,			Jun. 30,			Mar. 31,			Dec. 31,			Sept. 30,
Non-accrual assets—Total Citicorp	2015			2015			2015			2014			2014
Non-accrual loans (NAL)	$	3,030		$	2,760		$	2,789		$	3,011		$	3,358
OREO	84			87			103			92			86
Non-accrual assets (NAA)	$	3,114		$	2,847		$	2,892		$	3,103		$	3,444
NAA as a percentage of total assets	0.18		%	0.17		%	0.17		%	0.18		%	0.20		%
Allowance for loan losses as a percentage of NAL ⁽²⁾	347			387			394			370			345
Non-accrual assets—Total Citi Holdings
Non-accrual loans (NAL)	$	3,377		$	3,677		$	3,965		$	4,096		$	4,264
OREO	143			159			172			168			296
Non-accrual assets (NAA)	$	3,520		$	3,836		$	4,137		$	4,264		$	4,560
NAA as a percentage of total assets	3.20		%	3.31		%	3.39		%	3.31		%	3.33		%
Allowance for loan losses as a percentage of NAL ⁽²⁾	92			93			91			118			125


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


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

Renegotiated Loans

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



In millions of dollars	Sept. 30, 2015		Dec. 31, 2014
Corporate renegotiated loans ⁽¹⁾
In U.S. offices
Commercial and industrial ⁽²⁾	$	36	$	12
Mortgage and real estate ⁽³⁾	110		106
Loans to financial institutions	1		—
Other	280		316
	$	427	$	434
In offices outside the U.S.
Commercial and industrial ⁽²⁾	$	90	$	105
Mortgage and real estate ⁽³⁾	34		1
Other	36		39
	$	160	$	145
Total Corporate renegotiated loans	$	587	$	579
Consumer renegotiated loans ^(4)(5)(6)(7)
In U.S. offices
Mortgage and real estate ⁽⁸⁾	$	10,788	$	15,514
Cards	1,444		1,751
Installment and other	73		580
	$	12,305	$	17,845
In offices outside the U.S.
Mortgage and real estate	$	633	$	695
Cards	554		656
Installment and other	452		586
	$	1,639	$	1,937
Total Consumer renegotiated loans	$	13,944	$	19,782


(1)	Includes $246 million and $135 million of non-accrual loans included in the non-accrual assets table above at September 30, 2015 and December 31, 2014, respectively. The remaining loans are accruing interest.

(2)

In addition to modifications reflected as TDRs at September 30, 2015 , Citi also modified $107 million and $25 million of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices inside and outside the U.S., respectively. These modifications were not considered TDRs because the modifications did not involve a concession (a required element of a TDR for accounting purposes).

(3)

In addition to modifications reflected as TDRs at September 30, 2015 , Citi also modified $22 million of commercial real estate loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices inside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession (a required element of a TDR for accounting purposes).


(4)	Includes $2,782 million and $3,132 million of non-accrual loans included in the non-accrual assets table above at September 30, 2015 and December 31, 2014 , respectively. The remaining loans are accruing interest.


(5)	Includes $140 million and $124 million of commercial real estate loans at September 30, 2015 and December 31, 2014 , respectively.


(6)	Includes $75 million and $184 million of other commercial loans at September 30, 2015 and December 31, 2014 , respectively.


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


(8)	Reduction in the nine months ended September 30, 2015 includes $3,924 million related to TDRs sold or transferred to held-for-sale.

North America Consumer Mortgage Lending

Overview

Citi’s North America consumer mortgage portfolio consists of both residential first mortgages and home equity loans. At September 30, 2015 , Citi’s North America consumer mortgage portfolio was $88.6 billion (compared to $90.1 billion at June 30, 2015), of which the residential first mortgage portfolio was $63.5 billion (compared to $64.0 billion at June 30, 2015), and the home equity loan portfolio was $25.0 billion (compared to $26.1 billion at June 30, 2015). At September 30, 2015 , $26.4 billion of first mortgages was recorded in Citi Holdings, with the remaining $37.1 billion recorded in Citicorp. At September 30, 2015 , $21.5 billion of home equity loans was recorded in Citi Holdings, with the remaining $3.5 billion recorded in Citicorp. For additional information on Citi’s North America consumer mortgage portfolio, including Citi’s representations and warranties repurchase reserve, see “Managing Global Risk—Credit Risk— North America Consumer Mortgage Lending” in Citi’s 2014 Annual Report on Form 10-K.

Citi’s residential first mortgage portfolio included $3.6 billion of loans with FHA insurance or Department of Veterans Affairs (VA) guarantees at September 30, 2015 , unchanged from June 30, 2015.

As of September 30, 2015 , Citi’s North America residential first mortgage portfolio contained approximately $2.8 billion of adjustable rate mortgages that are currently required to make a payment consisting of only accrued interest for the payment period, or an interest-only payment, compared to $3.1 billion at June 30, 2015.

North America Consumer Mortgage Quarterly Credit Trends—Net Credit Losses and Delinquencies—Residential First Mortgages

The following charts detail the quarterly credit trends for Citigroup’s residential first mortgage portfolio in North America .

North America Residential First Mortgage - EOP Loans

In billions of dollars

North America Residential First Mortgage - Net Credit Losses

In millions of dollars

Note: CMI refers to loans originated by CitiMortgage. CFNA refers to loans originated by CitiFinancial. Totals may not sum due to rounding.


(1)	The higher CitiFinancial residential first mortgage net credit loss rate beginning 4Q’14 was largely driven by ongoing loss mitigation activities.


(2)	Year-over-year change in the S&P/Case-Shiller U.S. National Home Price Index.


(3)	Year-over-year change as of July 2015.

North America Residential First Mortgage Delinquencies-Citi Holdings

In billions of dollars

Note: Days past due excludes (i) U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies because the potential loss predominantly resides with the U.S. agencies, and (ii) loans recorded at fair value. Totals may not sum due to rounding.

Residential first mortgage portfolio net credit losses of $85 million declined 18% from the second quarter of 2015, with total Citi Holdings net credit losses (CitiMortgage and CitiFinancial) declining 17% sequentially. The decrease was driven primarily by continued improvements in the home price index (HPI).

Residential first mortgages originated by CitiFinancial have a higher net credit loss rate (4.6%, compared to 0.2% for CitiMortgage as of the third quarter of 2015), as CitiFinancial borrowers tend to have higher loan-to-value ratios (LTVs) and lower FICO (Fair Isaac Corporation) scores than CitiMortgage borrowers. CitiFinancial’s residential first mortgages also have a significantly different geographic distribution, with different mortgage market conditions that tend to lag the overall improvements in HPI.

During the third quarter of 2015, continued management actions, primarily delinquent loans sold or transferred to held-for-sale, were the primary driver of the overall improvement in delinquencies within Citi Holdings’ residential first mortgage portfolio. Citi sold or transferred to held-for-sale approximately $0.2 billion of delinquent residential first mortgages in the third quarter of 2015 (unchanged from the second quarter of 2015). Loans 30-179 days delinquent increased slightly during the third quarter of 2015 due to fewer loans sold or transferred to held-for-sale within these delinquency categories. Credit performance from quarter to quarter could continue to be impacted by the amount of delinquent loan sales or transfers to held-for-sale, as well as overall trends in HPI and interest rates.

North America Residential First Mortgages—State Delinquency Trends

The following tables set forth, for total Citigroup, the six states and/or regions with the highest concentration of Citi’s residential first mortgages as of September 30, 2015 and June 30, 2015.



In billions of dollars	September 30, 2015									June 30, 2015
State ⁽¹⁾	ENR ⁽²⁾		ENR Distribution		90+DPD %		% LTV > 100% ⁽³⁾		Refreshed FICO	ENR ⁽²⁾		ENR Distribution		90+DPD %		% LTV > 100% ⁽³⁾		Refreshed FICO
CA	$	19.4	34	%	0.3	%	1	%	750	$	19.1	33	%	0.4	%	1	%	749
NY/NJ/CT ⁽⁴⁾	12.9		22		1.2		1		747	12.5		22		1.3		2		744
VA/MD	2.7		5		2.3		5		702	2.7		5		2.4		6		701
FL ⁽⁴⁾	2.5		4		2.2		6		710	2.6		4		2.2		9		706
TX	2.4		4		2.3		—		688	2.4		4		2.4		—		686
IL ⁽⁴⁾	2.4		4		1.7		5		725	2.4		4		2.0		8		721
Other	15.3		27		2.7		4		686	16.2		28		2.9		6		682
Total	$	57.6	100	%	1.5	%	2	%	725	$	58.0	100	%	1.6	%	3	%	721

Note: Totals may not sum due to rounding.


(1)	Certain of the states are included as part of a region based on Citi’s view of similar HPI within the region.


(2)	Ending net receivables. Excludes loans in Canada and Puerto Rico, loans guaranteed by U.S. government agencies, loans recorded at fair value and loans subject to LTSCs. Excludes balances for which FICO or LTV data are unavailable.


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


(4)	New York, New Jersey, Connecticut, Florida and Illinois are judicial states.

Foreclosures

A substantial majority of Citi’s foreclosure inventory consists of residential first mortgages. At September 30, 2015 , Citi’s foreclosure inventory included approximately $0.4 billion, or 0.7%, of the total residential first mortgage portfolio, unchanged from June 30, 2015 (based on the dollar amount of ending net receivables of loans in foreclosure inventory, excluding loans that are guaranteed by U.S. government agencies and loans subject to LTSCs).

Citi’s foreclosure inventory continues to be impacted by the ongoing extensive state and regulatory requirements related to the foreclosure process, which continue to result in longer foreclosure timelines. Citi’s average timeframes to move a loan out of foreclosure are two to three times longer than historical norms, and continue to be even more pronounced in judicial states, where Citi has a higher concentration of residential first mortgages in foreclosure. As of September 30, 2015 , approximately 22% of Citi’s total foreclosure inventory was active foreclosure units in process for over two years, compared to 21% as of June 30, 2015.

North America Consumer Mortgage Quarterly Credit Trends—Net Credit Losses and Delinquencies—Home Equity Loans

Citi’s home equity loan portfolio consists of both fixed-rate home equity loans and loans extended under home equity lines of credit. Fixed-rate home equity loans are fully amortizing. Home equity lines of credit allow for amounts to be drawn for a period of time with the payment of interest only and then, at the end of the draw period, the then-outstanding amount is converted to an amortizing loan (the interest-only payment feature during the revolving period is standard for this product across the industry). After conversion, the home equity loans typically have a 20-year amortization period.

Revolving HELOCs

At September 30, 2015 , Citi’s home equity loan portfolio of $25.0 billion included approximately $13.5 billion of home equity lines of credit (Revolving HELOCs) that are still within their revolving period and have not commenced amortization, or “reset,” compared to $14.8 billion at June 30, 2015. The following chart indicates the FICO and combined loan-to-value (CLTV) characteristics of Citi’s Revolving HELOCs portfolio and the year in which they reset:

North America Home Equity Lines of Credit Amortization – Citigroup

Total ENR by Reset Year

In billions of dollars as of September 30, 2015

Note: Totals may not sum due to rounding.

Approximately 21% of Citi’s total Revolving HELOCs portfolio had commenced amortization as of September 30, 2015 (compared to 16% as of June 30, 2015). Of the remaining Revolving HELOCs portfolio, approximately 69% will commence amortization during the remainder of 2015–2017. Before commencing amortization, Revolving HELOC borrowers are required to pay only interest on their loans. Upon amortization, these borrowers will be required to pay both interest, usually at a variable rate, and principal that amortizes typically over 20 years, rather than the typical 30-year amortization. As a result, Citi’s customers with Revolving HELOCs that reset could experience “payment shock” due to the higher required payments on the loans.

While it is not certain what ultimate impact this payment shock could have on Citi’s delinquency rates and net credit losses, Citi currently estimates that the monthly loan payment for its Revolving HELOCs that reset during the remainder of 2015–2017 could increase on average by approximately $360, or 165%. Increases in interest rates could further increase these payments given the variable nature of the interest rates on these loans post-reset. Of the Revolving HELOCs that will commence amortization during the remainder of 2015–2017, approximately $0.8 billion, or 8%, of the loans have a CLTV greater than 100% as of September 30, 2015 . Borrowers’ high loan-to-value positions, as well as the cost and availability of refinancing options, could limit borrowers’ ability to refinance their Revolving HELOCs as these loans begin to reset.

Approximately 6.1% of the Revolving HELOCs that have begun amortization as of September 30, 2015 were 30+ days past due, compared to 3.0% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 5.9% and 2.6%, respectively, as of June 30, 2015.

As newly amortizing loans continue to season, the delinquency rate of the amortizing Revolving HELOC portfolio and total home equity loan portfolio could continue to increase. In addition, the resets have generally occurred during a period of historically low interest rates, which Citi believes has likely reduced the overall “payment shock” to the borrower.

Citi continues to monitor this reset risk closely and will continue to consider any potential impact in determining its allowance for loan loss reserves. In addition, management continues to review and take additional actions to offset potential reset risk, such as establishment of a borrower outreach program to provide reset risk education, establishment of a reset risk mitigation unit and proactively contacting high-risk borrowers. For further information on reset risk, see “Risk Factors—Credit and Market Risks” in Citi’s 2014 Annual Report on Form 10-K.

Net Credit Losses and Delinquencies

The following charts detail the quarterly credit trends for Citi’s home equity loan portfolio in North America .

North America Home Equity - EOP Loans

In billions of dollars

North America Home Equity - Net Credit Losses

In millions of dollars

Note: Totals may not sum due to rounding.

North America Home Equity Loan Delinquencies - Citi Holdings

In billions of dollars

Note: Totals may not sum due to rounding.

As evidenced by the tables above, home equity loan net credit losses continued to improve during the third quarter of 2015, largely driven by the continued improvement in HPI. During the third quarter of 2015, loans 30-89 days delinquent increased primarily due to the increase in Revolving HELOCs commencing amortization.

Given the currently limited market in which to sell delinquent home equity loans, as well as the relatively smaller number of home equity loan modifications and modification programs (see Note 14 to the Consolidated Financial Statements), Citi’s ability to reduce delinquencies or net credit losses in its home equity loan portfolio in Citi Holdings, whether pursuant to deterioration of the underlying credit performance of these loans, the reset of the Revolving HELOCs (as discussed above) or otherwise, is more limited as compared to residential first mortgages.

North America Home Equity Loans—State Delinquency Trends

The following tables set forth, for total Citigroup, the six states and/or regions with the highest concentration of Citi’s home equity loans as of September 30, 2015 and June 30, 2015.



In billions of dollars	September 30, 2015									June 30, 2015
State ⁽¹⁾	ENR ⁽²⁾		ENR Distribution		90+DPD %		% CLTV > 100% ⁽³⁾		Refreshed FICO	ENR ⁽²⁾		ENR Distribution		90+DPD %		% CLTV > 100% ⁽³⁾		Refreshed FICO
CA	$	6.5	28	%	1.6	%	7	%	729	$	6.8	28	%	1.5	%	8	%	729
NY/NJ/CT ⁽⁴⁾	6.3		26		2.4		9		723	6.4		26		2.4		11		722
FL ⁽⁴⁾	1.6		7		1.9		26		710	1.7		7		1.9		29		709
VA/MD	1.5		6		1.9		22		707	1.5		6		1.7		27		707
IL ⁽⁴⁾	1.0		4		1.3		29		718	1.0		4		1.4		37		718
IN/OH/MI ⁽⁴⁾	0.7		3		1.8		20		689	0.8		3		1.6		33		690
Other	6.1		26		1.7		12		703	6.4		26		1.7		18		703
Total	$	23.7	100	%	1.9	%	12	%	716	$	24.7	100	%	1.8	%	16	%	716

Note: Totals may not sum due to rounding.


(1)	Certain of the states are included as part of a region based on Citi’s view of similar HPI within the region.


(2)	Ending net receivables. Excludes loans in Canada and Puerto Rico and loans subject to LTSCs. Excludes balances for which FICO or LTV data are unavailable.


(3)	Represents combined loan-to-value (CLTV) for both residential first mortgages and home equity loans. CLTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data.


(4)	New York, New Jersey, Connecticut, Indiana, Ohio, Florida and Illinois are judicial states.

CONSUMER LOAN DETAILS

Consumer Loan Delinquency Amounts and Ratios



	Total loans ⁽¹⁾		90+ days past due ⁽²⁾									30-89 days past due ⁽²⁾
In millions of dollars, except EOP loan amounts in billions	September 30, 2015		September 30, 2015			June 30, 2015			September 30, 2014			September 30, 2015			June 30, 2015			September 30, 2014
Citicorp ⁽³⁾⁽⁴⁾
Total	$	278.3	$	2,085		$	2,134		$	2,654		$	2,507		$	2,387		$	2,806
Ratio			0.75		%	0.75		%	0.91		%	0.90		%	0.84		%	0.96		%
Retail banking
Total	$	145.9	$	595		$	636		$	964		$	806		$	797		$	912
Ratio			0.41		%	0.43		%	0.63		%	0.56		%	0.53		%	0.60		%
North America	50.6		138			150			229			198			176			213
Ratio			0.28		%	0.31		%	0.49		%	0.40		%	0.37		%	0.46		%
Latin America	23.9		274			296			515			280			266			302
Ratio			1.15		%	1.15		%	1.83		%	1.17		%	1.04		%	1.07		%
Asia ⁽⁵⁾	71.4		183			190			220			328			355			397
Ratio			0.26		%	0.25		%	0.28		%	0.46		%	0.47		%	0.51		%
Cards
Total	$	132.4	$	1,490		$	1,498		$	1,690		$	1,701		$	1,590		$	1,894
Ratio			1.13		%	1.12		%	1.22		%	1.28		%	1.19		%	1.37		%
North America—Citi-branded	64.8		491			495			559			504			462			566
Ratio			0.76		%	0.77		%	0.84		%	0.78		%	0.72		%	0.85		%
North America—Citi retail services	43.1		621			567			630			758			652			729
Ratio			1.44		%	1.31		%	1.47		%	1.76		%	1.51		%	1.70		%
Latin America	7.5		207			245			294			219			229			322
Ratio			2.76		%	2.95		%	3.00		%	2.92		%	2.76		%	3.29		%
Asia ⁽⁵⁾	17.0		171			191			207			220			247			277
Ratio			1.01		%	1.06		%	1.10		%	1.29		%	1.36		%	1.47		%
Citi Holdings ⁽⁶⁾⁽⁷⁾
Total	$	54.8	$	1,431		$	1,540		$	2,204		$	1,348		$	1,272		$	2,156
Ratio			2.74		%	2.76		%	2.79		%	2.58		%	2.28		%	2.73		%
International	4.1		77			78			111			118			119			178
Ratio			1.88		%	1.86		%	1.22		%	2.88		%	2.83		%	1.96		%
North America	50.7		1,354			1,462			2,093			1,230			1,153			1,978
Ratio			2.81		%	2.84		%	2.99		%	2.56		%	2.24		%	2.83		%
Other ⁽⁸⁾	0.3
Total Citigroup	$	333.4	$	3,516		$	3,674		$	4,858		$	3,855		$	3,659		$	4,962
Ratio			1.07		%	1.08		%	1.31		%	1.17		%	1.08		%	1.34		%


(1)	Total loans include interest and fees on credit cards.


(2)	The ratios of 90+ days past due and 30–89 days past due are calculated based on end-of-period (EOP) loans, net of unearned income.


(3)	The 90+ days past due balances for North America—Citi-branded and North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.

(4)

The 90+ days and 30–89 days past due and related ratios for Citicorp North America exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $498 million ($0.9 billion), $423 million ($0.8 billion) and $604 million ($1.1 billion) at September 30, 2015, June 30, 2015 and September 30, 2014, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $79 million, $75 million and $126 million at September 30, 2015, June 30, 2015 and September 30, 2014, respectively.


(5)	For reporting purposes, Asia GCB includes the results of operations of EMEA GCB for all periods presented.

(6)

The 90+ days and 30–89 days past due and related ratios for Citi Holdings North America exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due (and EOP loans) for each period were $1.7 billion ($2.6 billion), $1.7 billion ($2.7 billion) and $2.6 billion ($5.0 billion) at September 30, 2015, June 30, 2015

and September 30, 2014, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.3 billion, $0.3 billion and $0.7 billion at September 30, 2015, June 30, 2015 and September 30, 2014, respectively.


(7)	The September 30, 2015, June 30, 2015 and September 30, 2014 loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $12 million, $12 million and $17 million, respectively, of loans that are carried at fair value.


(8)	Represents loans classified as Consumer loans on the Consolidated Balance Sheet that are not included in the Citi Holdings consumer credit metrics.

Consumer Loan Net Credit Losses and Ratios



	Average loans ⁽¹⁾		Net credit losses ⁽²⁾⁽³⁾
In millions of dollars, except average loan amounts in billions	3Q15		3Q15			2Q15			3Q14
Citicorp
Total	$	278.5	$	1,411		$	1,579		$	1,680
Ratio			2.01		%	2.24		%	2.28		%
Retail banking
Total	$	146.7	$	279		$	315		$	325
Ratio			0.75		%	0.84		%	0.84		%
North America	50.0		34			40			36
Ratio			0.27		%	0.33		%	0.30		%
Latin America	24.2		168			196			210
Ratio			2.75		%	3.06		%	2.92		%
Asia ⁽⁴⁾	72.5		77			79			79
Ratio			0.42		%	0.42		%	0.40		%
Cards
Total	$	131.8	$	1,132		$	1,264		$	1,355
Ratio			3.41		%	3.83		%	3.90		%
North America—Citi-branded	63.9		443			503			526
Ratio			2.75		%	3.19		%	3.16		%
North America—Retail services	43.1		401			457			457
Ratio			3.69		%	4.30		%	4.23		%
Latin America	7.7		187			196			250
Ratio			9.64		%	9.25		%	10.02		%
Asia ⁽⁴⁾	17.1		101			108			122
Ratio			2.34		%	2.39		%	2.53		%
Citi Holdings ⁽³⁾
Total	$	56.8	$	204		$	234		$	433
Ratio			1.42		%	1.57		%	1.88		%
International	4.1		38			41			64
Ratio			3.68		%	3.65		%	2.00		%
North America	52.7		166			193			369
Ratio			1.25		%	1.40		%	1.90		%
Other ⁽⁵⁾	—		2			1			2
Total Citigroup	$	335.3	$	1,617		$	1,814		$	2,115
Ratio			1.91		%	2.13		%	2.20		%


(1)	Average loans include interest and fees on credit cards.


(2)	The ratios of net credit losses are calculated based on average loans, net of unearned income.

(3)

As a result of the entry into an agreement in March 2015 to sell OneMain Financial (OneMain), OneMain was classified as held-for-sale (HFS) at the end of the first quarter 2015. As a result of HFS accounting treatment, approximately $160 million and $116 million of net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) during the second and third quarters of 2015, respectively. Accordingly, these NCLs are not included in this table.


(4)	For reporting purposes, Asia GCB includes the results of operations of EMEA GCB for all periods presented.


(5)	Represents NCLs on loans classified as Consumer loans on the Consolidated Balance Sheet that are not included in the Citi Holdings consumer credit metrics.

CORPORATE CREDIT DETAILS

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

Corporate Credit Portfolio

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



	At September 30, 2015								At June 30, 2015								At December 31, 2014
In billions of dollars	Due within 1 year		Greater than 1 year but within 5 years		Greater than 5 years		Total Exposure		Due within 1 year		Greater than 1 year but within 5 years		Greater than 5 years		Total exposure		Due within 1 year		Greater than 1 year but within 5 years		Greater than 5 years		Total exposure
Direct outstandings (on-balance sheet) ⁽¹⁾	$	95	$	99	$	30	$	224	$	97	$	98	$	29	$	224	$	95	$	85	$	33	$	213
Unfunded lending commitments (off-balance sheet) ⁽²⁾	91		222		36		349		93		202		36		331		92		207		33		332
Total exposure	$	186	$	321	$	66	$	573	$	190	$	300	$	65	$	555	$	187	$	292	$	66	$	545


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


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

Portfolio Mix—Geography, Counterparty and Industry

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



	September 30, 2015		June 30, 2015		December 31, 2014
North America	56	%	55	%	55	%
EMEA	25		25		25
Asia	12		13		13
Latin America	7		7		7
Total	100	%	100	%	100	%

The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived primarily through the use of validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of

the obligor and factors that affect the loss-given-default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are

considered investment grade, while those below are considered non-investment grade.

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

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

The following table presents the corporate credit portfolio by facility risk rating at September 30, 2015 , June 30, 2015 and December 31, 2014 , as a percentage of the total corporate credit portfolio:



	Total Exposure
	September 30, 2015		June 30, 2015		December 31, 2014
AAA/AA/A	49	%	51	%	49	%
BBB	35		33		33
BB/B	15		15		16
CCC or below	1		1		1
Unrated	—		—		1
Total	100	%	100	%	100	%

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

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



	Total Exposure
	September 30, 2015		June 30, 2015		December 31, 2014
Transportation and industrial	21	%	21	%	21	%
Consumer retail and health	16		15		17
Technology, media and telecom	10		11		9
Power, chemicals, commodities and metals and mining	10		10		10
Energy ⁽¹⁾	9		10		10
Banks/broker-dealers	7		8		8
Hedge funds	6		6		5
Real estate	6		5		6
Insurance and special purpose entities	6		5		5
Public sector	5		5		5
Other industries	4		4		4
Total	100	%	100	%	100	%

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

(1) In addition to this exposure, Citi also has energy-related exposure within the “Public sector” (e.g., energy-related state-owned entities) and “Transportation and industrial” sector (e.g., off-shore drilling entities) included in the table above. As of September 30, 2015, Citi’s total exposure to these energy-related entities remained largely consistent with the prior quarter, at approximately $7 billion, of which approximately $4 billion consisted of direct outstanding funded loans.

As of September 30, 2015, Citi’s total corporate credit exposure to the energy and energy-related sector (see footnote 1 to the table above) was approximately $61 billion, with approximately $21 billion, or 3%, of Citi’s total outstanding loans consisting of direct outstanding funded loans. This compared to approximately $60 billion of total corporate credit exposure and $22 billion of direct outstanding funded loans as of June 30, 2015. In addition, as of September 30, 2015, approximately 73% of Citi’s total corporate credit energy and energy-related exposure (based on the methodology described above) was in the United States, United Kingdom and Canada (compared to approximately 72% at June 30, 2015). Also, as of September 30, 2015, approximately 79% of Citi’s total energy and energy-related exposures were rated investment grade (compared to approximately 83% as of June 30, 2015), reflecting downgrades in the North America energy and energy-related portfolio during the quarter as well as the impact of new commitments.

During the third quarter of 2015, Citi built additional energy and energy-related loan loss reserves of

approximately $140 million, and incurred approximately $17 million of net credit losses in these portfolios. In addition, approximately $340 million of the increase in corporate non-accrual loans during the third quarter of 2015 reflected the downgrades primarily in the North America energy and energy-related portfolio during the quarter. Of the total increase in corporate non-accrual loans in the third quarter of 2015, approximately two-thirds remained performing as of September 30, 2015.

Credit Risk Mitigation

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

At September 30, 2015 , June 30, 2015 and December 31, 2014 , $33.0 billion, $25.2 billion and $27.6 billion, respectively, of the corporate credit portfolio was economically hedged. Citigroup’s expected loss model used in the calculation of its loan loss reserve does not include the favorable impact of credit derivatives and other mitigants that are marked-to-market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. At September 30, 2015 , June 30, 2015 and December 31, 2014 , the credit protection was economically hedging underlying corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure



	September 30, 2015		June 30, 2015		December 31, 2014
AAA/AA/A	24	%	23	%	24	%
BBB	44		38		42
BB/B	28		34		28
CCC or below	4		5		6
Total	100	%	100	%	100	%

At September 30, 2015 , June 30, 2015 and December 31, 2014 , the credit protection was economically hedging underlying corporate credit portfolio exposures with the following industry distribution:

Industry of Hedged Exposure



	September 30, 2015		June 30, 2015		December 31, 2014
Transportation and industrial	28	%	30	%	30	%
Technology, media and telecom	15		14		15
Consumer retail and health	15		12		11
Power, Chemicals, Commodities and Metals and Mining	13		13		15
Energy	13		13		10
Insurance and special purpose entities	6		4		4
Banks/broker-dealers	4		6		7
Public Sector	4		6		6
Other industries	2		2		2
Total	100	%	100	%	100	%

For additional information on Citi’s corporate credit portfolio, including allowance for loan losses, coverage ratios and corporate non-accrual loans, see “Credit Risk—Loans Outstanding, Details of Credit Loss Experience, Allowance for Loan Losses and Non-Accrual Loans and Assets” above.

MARKET RISK

Market risk encompasses funding and liquidity risk and price risk, each of which arise in the normal course of business of a global financial intermediary such as Citi. For additional information, see “Managing Global Risk—Market Risk” in Citi’s 2014 Annual Report on Form 10-K.

Funding and Liquidity Risk

For additional information on funding and liquidity risk at Citigroup, including Citi’s liquidity management, stress testing and certain of its additional liquidity measures, see “Market Risk—Funding and Liquidity Risk” and “Risk Factors” in Citi’s 2014 Annual Report on Form 10-K.

High-Quality Liquid Assets



	Parent ⁽¹⁾						Significant Citibank Entities ⁽²⁾						Other Citibank and Banamex Entities						Total
In billions of dollars	Sept. 30, 2015		Jun. 30, 2015		Sept. 30, 2014		Sept. 30, 2015		Jun. 30, 2015		Sept. 30, 2014		Sept. 30, 2015		Jun. 30, 2015		Sept. 30, 2014		Sept. 30, 2015		Jun. 30, 2015		Sept. 30, 2014
Available cash	$	21.5	$	17.8	$	27.3	$	59.6	$	63.7	$	77.8	$	9.3	$	8.2	$	8.5	$	90.4	$	89.7	$	113.6
Unencumbered liquid securities	35.0		29.0		31.8		217.0		210.7		197.5		56.5		56.4		73.6		$	308.5	$	296.1	$	302.9
Total	$	56.5	$	46.8	$	59.1	$	276.6	$	274.4	$	275.3	$	65.8	$	64.6	$	82.1	$	398.9	$	385.8	$	416.4

Note: Amounts set forth in the table above are based on the U.S. Liquidity Coverage Ratio (LCR) rules. All amounts are as of period end and may increase or decrease intra-period in the ordinary course of business.

(1) “Parent” consists of Citigroup, the parent holding company and Citi’s broker-dealer subsidiaries that are consolidated into Citigroup.

(2) “Significant Citibank Entities” consist of Citibank, N.A. units domiciled in the U.S., Western Europe, Hong Kong, Japan and Singapore.

As set forth in the table above, Citi’s high-quality liquid assets (HQLA) as of September 30, 2015 were $398.9 billion, compared to $385.8 billion as of June 30, 2015 and $416.4 billion as of September 30, 2014. Year-over-year, Citi was able to reduce its required levels of HQLA as it continued to improve the liquidity value of its deposits. The decrease in Citi’s HQLA from the prior-year period was driven primarily by reductions in short-term borrowings and corporate deposits. The increase in HQLA quarter-over-quarter was largely driven by a reduction in loans and illiquid trading assets, as well as an increase in long-term debt, partially offset by a reduction in deposits.

The following table shows further detail of the composition of Citi's HQLA by type of asset for the periods indicated. For securities, the amounts represent the liquidity value that potentially could be realized, and thus exclude any securities that are encumbered, as well as the haircuts that would be required for secured financing transactions.



In billions of dollars	Sept. 30, 2015		Jun. 30, 2015		Sept. 30, 2014
Available cash	$	90.4	$	89.7	$	113.6
U.S. Treasuries	142.0		138.2		117.1
U.S. Agencies/Agency MBS	61.1		59.7		60.7
Foreign government ⁽¹⁾	103.0		94.1		121.6
Other investment grade	2.3		4.0		3.4
Total	$	398.9	$	385.8	$	416.4

Note: Amounts set forth in the table above are based on the U.S. LCR rules.


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

Citi’s HQLA as set forth above does not include additional potential liquidity in the form of Citigroup’s borrowing capacity from the various Federal Home Loan Banks (FHLB), which was approximately $36 billion as of September 30, 2015 (compared to $37 billion as of June 30, 2015 and $22 billion as of September 30, 2014) and is maintained by pledged collateral to all such banks. The HQLA shown above also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or international central banks, which would be in addition to the resources noted above.

In general, Citigroup can freely fund legal entities within its bank vehicles. Citigroup’s bank subsidiaries, including Citibank, N.A., can lend to the Citigroup parent and broker-

dealer entities in accordance with Section 23A of the Federal Reserve Act. As of September 30, 2015, the amount available for lending to these entities under Section 23A was approximately $17 billion (unchanged from June 30, 2015 and September 30, 2014), subject to collateral requirements.

Deposits

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



In billions of dollars	Sept. 30, 2015		Jun. 30, 2015		Sept. 30, 2014
Global Consumer Banking
North America	$	170.9	$	173.5	$	171.7
Latin America	38.8		42.1		44.0
Asia ⁽¹⁾	87.1		89.6		90.5
Total	$	296.8	$	305.2	$	306.2
ICG
Treasury and trade solutions (TTS)	$	398.7	$	397.5	$	380.5
Banking ex-TTS	117.4		108.2		95.3
Markets and securities services	78.8		82.4		87.1
Total	$	594.9	$	588.1	$	562.9
Corporate/Other	5.4		7.0		29.0
Total Citicorp	$	897.1	$	900.3	$	898.1
Total Citi Holdings ⁽²⁾	7.1		7.7		44.6
Total Citigroup deposits (EOP)	$	904.2	$	908.0	$	942.7
Total Citigroup deposits (AVG)	$	903.1	$	906.4	$	954.2


(1)	For reporting purposes, includes EMEA GCB for all periods presented.


(2)	September 30, 2015 and June 30, 2015 deposit balances reflect the reclassification to held-for-sale of approximately $21 billion of deposits as a result of Citigroup’s entry into an agreement in December 2014 to sell its Japan retail banking business.

End-of-period deposits decreased 4% year-over-year and remained relatively unchanged quarter-over-quarter. Excluding the impact of FX translation, Citigroup’s end-of-period deposits were relatively unchanged year-over-year but increased slightly sequentially.

Excluding the impact of FX translation, Citicorp deposits grew 4% year-over-year, offset by a continued decline in Citi Holdings deposits. Within Citicorp, GCB deposits increased 2% year-over-year, driven by 5% growth in international deposits. ICG deposits increased 10% year-over-year, especially in North America and Asia, with continued deposit growth in treasury and trade solutions and private bank. The decline in Citi Holdings deposits from the prior-year period was primarily driven by the reclassification to held-for-sale of deposits relating to Citi’s Japan retail banking business (see note 2 to the table above), as well as the now complete transfer of MSSB deposits to Morgan Stanley. Average deposits declined 1% year-over-year, as the growth in Citicorp was more than offset by the reduction in Citi Holdings deposits.

Sequentially, excluding the impact of FX translation, deposits increased 1%, as growth in treasury and trade

solutions and private bank was only partially offset by a slight decline in GCB deposits. Average deposits grew 1% quarter-over-quarter, primarily due to 2% growth in ICG , partially offset by the ongoing reduction in Citi Holdings deposits.

Citi monitors its deposit base across multiple dimensions, including what Citi refers to as “LCR value” or the liquidity value of the deposit base under the U.S. LCR rules. Citi defines the liquidity value of deposits as the percentage of deposits assumed to remain following a 30-day period of liquidity stress. Under U.S. LCR rules, deposits are assigned liquidity values based on expected behavior under stress, determined by the type of deposit and the type of client. Generally, the U.S. LCR rules prioritize operating accounts of consumers (including retail and commercial banking deposits) and corporations, while assigning lower liquidity values to non-operating balances of financial institutions. As of September 30, 2015, Citi’s total deposits had a liquidity value of approximately 74% under the U.S. LCR rules, unchanged from June 30, 2015, with a liquidity value of approximately 86% for Citi’s GCB deposits and 68% for ICG deposits, including Corporate/Other .

Long-Term Debt

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

Long-term debt is an important funding source due in part to its multi-year contractual maturity structure. The weighted-average maturities of unsecured long-term debt issued by Citigroup and its affiliates (including Citibank, N.A.) with a remaining life greater than one year (excluding remaining trust preferred securities outstanding) was approximately 6.8 years as of September 30, 2015 , a slight increase from the prior quarter, due in part to the issuance of longer-dated debt securities during the third quarter of 2015.

Citi’s long-term debt outstanding at the parent includes benchmark debt and what Citi refers to as customer-related debt, consisting of structured notes, such as equity- and credit-linked notes, as well as non-structured notes. Citi’s issuance of customer-related debt is generally driven by customer demand and supplements benchmark debt issuance as a source of funding for Citi’s parent entities. Citi’s long-term debt at the bank also includes FHLB advances and securitizations.

Long-Term Debt Outstanding

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



In billions of dollars	Sept. 30, 2015		Jun. 30, 2015		Sept. 30, 2014
Parent ⁽¹⁾	$	156.8	$	155.1	$	155.9
Benchmark debt:
Senior debt	99.5		98.4		97.5
Subordinated debt	26.8		25.6		24.2
Trust preferred	1.7		1.7		1.7
Customer-Related debt:
Structured debt	23.1		23.7		22.3
Non-structured debt	3.6		4.5		6.4
Local Country and Other ⁽¹⁾⁽²⁾	2.1		1.2		3.8
Bank	$	56.7	$	56.7	$	67.9
FHLB Borrowings	17.3		16.8		23.3
Securitizations ⁽³⁾	32.0		32.0		38.2
Local Country and Other ⁽²⁾	7.4		7.9		6.4
Total long-term debt ⁽¹⁾	$	213.5	$	211.8	$	223.8

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


(1)	September 30, 2015 and June 30, 2015 long-term debt balances exclude approximately $6.2 billion and $5.9 billion, respectively, of long-term debt (consisting largely of personal loan securitizations) relating to OneMain Financial, classified as held-for-sale as a result of Citigroup’s entry into an agreement in March 2015 to sell its OneMain Financial business.


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


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

Citi’s total long-term debt outstanding decreased year-over-year but increased slightly quarter-over-quarter. Year-over-year, Citi’s total long-term debt outstanding decreased primarily due to continued reductions in securitizations and FHLB borrowings at the bank entities, as well as the reclassification to held-for-sale of long-term debt relating to OneMain Financial (see note 1 to the table above). Sequentially, Citi’s total long-term debt increased due to issuance of senior and subordinated debt at the parent level.

As part of its liability management, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such repurchases help reduce Citi’s overall funding costs. During the third quarter of 2015, Citi repurchased an aggregate of approximately $1.2 billion of its outstanding long-term debt.

Going forward, changes in Citi’s long-term debt outstanding will continue to reflect the funding needs of its businesses as well as the market and economic environment and any regulatory changes or requirements. For additional information on regulatory changes and requirements impacting Citi’s overall funding and liquidity, see “Market Risk - Funding and Liquidity Risk - Total Loss-Absorbing Capacity,” “Liquidity Management, Stress Testing and Measurement” and “Risk Factors” in Citi’s 2014 Annual Report on Form 10-K.

Long-Term Debt Issuances and Maturities

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



	3Q15				2Q15				3Q14
In billions of dollars	Maturities		Issuances		Maturities		Issuances		Maturities		Issuances
Parent ⁽¹⁾	$	5.9	$	7.6	$	7.0	$	12.5	$	11.5	$	9.8
Benchmark debt:
Senior debt	2.8		3.4		3.2		5.4		4.2		5.0
Subordinated debt	0.7		2.0		2.0		3.0		4.0		0.7
Trust preferred	—		—		—		—		—		—
Customer-related debt:
Structured debt	1.5		1.6		1.4		3.9		2.1		2.7
Non-structured debt	0.8		0.1		0.3		0.1		0.9		0.1
Local Country and Other ⁽¹⁾	0.1		0.5		0.1		0.1		0.3		1.3
Bank	$	1.8	$	2.0	$	3.6	$	1.7	$	4.5	$	9.0
FHLB borrowings	0.5		1.0		—		0.5		1.0		5.3
Securitizations	0.7		0.8		3.2		—		2.9		3.0
Local Country and Other	0.6		0.2		0.4		1.2		0.6		0.7
Total ⁽¹⁾	$	7.7	$	9.6	$	10.6	$	14.2	$	16.0	$	18.8

(1) As a result of OneMain Financial’s reclassification to held-for-sale in March 2015, 3Q15 and 2Q15 exclude issuances of $0.3 billion and $1.3 billion, respectively, relating to OneMain Financial.

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2015, as well as its aggregate expected annual long-term debt maturities as of September 30, 2015 :



	Maturities YTD'15
In billions of dollars			2015		2016		2017		2018		2019		2020		Thereafter		Total
Parent ⁽¹⁾	$	21.5	$	4.0	$	18.7	$	25.3	$	22.1	$	18.3	$	6.5	$	61.9	$	156.8
Benchmark debt:
Senior debt	11.1		2.5		11.8		19.2		18.1		15.1		4.1		28.7		99.5
Subordinated debt	3.1		—		1.5		2.9		1.1		1.3		—		20.0		26.8
Trust preferred	—		—		—		—		—		—		—		1.7		1.7
Customer-related debt:
Structured debt	5.4		1.0		4.8		2.6		2.3		1.6		2.1		8.7		23.1
Non-structured debt	1.5		0.5		0.5		0.5		0.4		0.2		0.2		1.3		3.6
Local Country and Other ⁽¹⁾	0.4		—		0.1		0.1		0.2		0.1		0.1		1.5		2.1
Bank	$	12.3	$	2.1	$	23.0	$	15.8	$	9.2	$	2.3	$	0.4	$	3.9	56.7
FHLB borrowings	4.0		—		9.6		7.1		0.5		—		—		0.1		17.3
Securitizations	6.7		1.2		10.3		6.5		8.4		2.0		0.1		3.5		32.0
Local Country and Other	1.5		0.9		3.1		2.2		0.3		0.3		0.3		0.3		7.4
Total long-term debt ⁽¹⁾	$	33.8	$	6.1	$	41.7	$	41.1	$	31.3	$	20.6	$	6.9	$	65.8	$	213.5

(1) Maturities exclude OneMain Financial long-term debt of approximately $6.2 billion (consisting largely of personal loan securitizations) reclassified to held-for-sale as a result of Citigroup’s entry into an agreement in March 2015 to sell its OneMain Financial business.

Secured Funding Transactions and Short-Term Borrowings

Secured Funding

Secured funding is primarily conducted through Citi’s broker-dealer subsidiaries to fund efficiently both secured lending activity and a portion of trading inventory. Citi also conducts a smaller portion of its secured funding transactions through its bank entities, which is typically collateralized by foreign government securities. Generally, daily changes in the level of Citi’s secured funding are primarily due to fluctuations in secured lending activity in the matched book (as described below) and trading inventory.

Secured funding of $169 billion as of September 30, 2015 declined 4% from the prior-year period and 5% sequentially. Excluding the impact of FX translation, secured funding increased 3% from the prior-year period and decreased 4% sequentially, both driven by normal business activity. Average balances for secured funding were approximately $174 billion for the quarter ended September 30, 2015 , compared to $183 billion for the quarter ended June 30, 2015 and $182 billion for the quarter ended September 30, 2014 .

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

The remainder of the secured funding activity in the broker-dealer subsidiaries serves to fund trading inventory. To maintain reliable funding under a wide range of market

conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral, and stipulating financing tenor. The weighted average maturity of Citi’s secured funding of less liquid trading inventory was greater than 110 days as of September 30, 2015 .

Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. Additionally, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.

Commercial Paper

The following table sets forth Citi’s commercial paper outstanding for each of its parent and significant Citibank entities, respectively, for each of the periods indicated.



In billions of dollars	Sept. 30, 2015		Jun. 30, 2015		Sept. 30, 2014
Commercial paper
Parent	$	—	$	—	$	0.2
Significant Citibank entities	9.4		10.0		17.6
Total	$	9.4	$	10.0	$	17.8

Other Short-Term Borrowings

At September 30, 2015 , Citi’s other short-term borrowings, which included borrowings from the FHLB and other market participants, were approximately $13 billion , compared to $16 billion at June 30, 2015 , and $47 billion at September 30, 2014 . Citi has purposefully reduced its other short-term borrowings, including FHLB borrowings, as it continued to grow its high-quality deposits.

Liquidity Coverage Ratio (LCR)

In addition to internal short-term liquidity measures that Citi has developed, Citi also monitors its short-term liquidity by reference to the LCR, as calculated pursuant to the U.S. LCR rules. For additional information on the LCR, see “Market Risk - Funding and Liquidity Risk - Short-Term Liquidity Measurement; Liquidity Coverage Ratio” in Citi’s 2014 Annual Report on Form 10-K.

The table below sets forth the components of Citi’s LCR calculation and HQLA in excess of net outflows as of the periods indicated.



in billions of dollars	Sept. 30, 2015			Jun. 30, 2015			Sept. 30, 2014
HQLA	$	398.9		$	385.8		$	416.4
Net outflows	$	355.6		$	347.3		$	374.5
LCR	112		%	111		%	111		%
HQLA in excess of net outflows	$	43.3		$	38.6		$	42.0

Note: Amounts set forth in the table above are based on the U.S. LCR rules.

As set forth in the table above, Citi’s LCR increased slightly both year-over-year and quarter-over-quarter. Year-over-year, Citi’s LCR increased as the reduction in Citi’s HQLA was offset by a reduction in net outflows, reflecting the improvement in the LCR liquidity value of Citi’s deposits. Quarter-over-quarter, Citi’s LCR increased slightly due to the increase in Citi’s HQLA, partially offset by an increase in outflows, driven by fluctuations in deposits as well as the impact of new credit extensions.

Credit Ratings

Citigroup’s funding and liquidity, its funding capacity, ability to access capital markets and other sources of funds, the cost of these funds, and its ability to maintain certain deposits are partially dependent on its credit ratings. The table below sets forth the ratings for Citigroup and Citibank, N.A. as of September 30, 2015 . While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Inc. (CGMI) were A/A-1 at Standard & Poor’s and A+/F1 at Fitch as of September 30, 2015 .

Debt Ratings as of September 30, 2015



	Citigroup Inc.			Citibank, N.A.
	Senior debt	Commercial paper	Outlook	Long- term	Short- term	Outlook
Fitch Ratings (Fitch)	A	F1	Stable	A+	F1	Stable
Moody’s Investors Service (Moody’s)	Baa1	P-2	Stable	A1	P-1	Stable
Standard & Poor’s (S&P)	A-	A-2	Negative	A	A-1	Positive

Potential Impacts of Ratings Downgrades

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

The following information is provided for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank, N.A. of a hypothetical, simultaneous

ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, and judgments and uncertainties. Uncertainties include potential ratings limitations that certain entities may have with respect to permissible counterparties, as well as general subjective counterparty behavior. For example, certain corporate customers and trading counterparties could re-evaluate their business relationships with Citi and limit the trading of certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi’s funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank, N.A. is unpredictable and may differ materially from the potential funding and liquidity impacts described below.

For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors—Liquidity Risks” in Citigroup’s 2014 Annual Report on Form 10-K.

Citigroup Inc. and Citibank, N.A.—Potential Derivative Triggers

As of September 30, 2015 , Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.7 billion, compared to $0.8 billion as of June 30, 2015. Other funding sources, such as secured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.

As of September 30, 2015 , Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank, N.A. across all three major rating agencies could impact Citibank, N.A.’s funding and liquidity by approximately $1.5 billion, compared to $1.3 billion as of June 30, 2015, due to derivative triggers.

In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, N.A., across all three major rating agencies, could result in aggregate cash obligations and collateral requirements of approximately $2.2 billion, compared to $2.1 billion as of June 30, 2015 (see also Note 21 to the Consolidated Financial Statements). As set forth under “High-Quality Liquid Assets” above, the liquidity resources of Citi’s parent entities were approximately $57 billion, and the liquidity resources of Citi’s significant Citibank entities and other Citibank and Banamex entities were approximately $342 billion, for a total of approximately $399 billion as of September 30, 2015 . These liquidity resources are available in part as a contingency for the potential events described above.

In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank, N.A.’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending, and adjusting the size of select trading books and collateralized borrowings from Citi’s significant bank subsidiaries. Mitigating actions available to Citibank, N.A. include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading books, reducing loan originations and renewals, raising additional deposits, or borrowing from the FHLB or central banks. Citi believes these mitigating actions could substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.

Citibank, N.A.—Additional Potential Impacts

In addition to the above derivative triggers, Citi believes that a potential one-notch downgrade of Citibank, N.A.’s senior debt/long-term rating by S&P and Fitch could also have an adverse impact on the commercial paper/short-term rating of Citibank, N.A. As of September 30, 2015 , Citibank, N.A. had liquidity commitments of approximately $9.4 billion to consolidated asset-backed commercial paper conduits, compared to $10.0 billion as of June 30, 2015 (as referenced in Note 20 to the Consolidated Financial Statements).

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

Price Risk

Price risk losses arise from fluctuations in the market value of non-trading and trading positions resulting from changes in interest rates, credit spreads, foreign exchange rates, equity and commodity prices, and in their implied volatilities. For additional information on Citi’s price risk measurement and stress testing, see “Managing Global Risk—Market Risk—Price Risk” in Citi’s 2014 Annual Report on Form 10-K.

Price Risk—Non-Trading Portfolios

For additional information on Citi’s net interest revenue (for interest rate exposure purposes), interest rate risk and interest rate risk measurement, see “Managing Global Risk—Market Risk—Price Risk—Non-Trading Portfolios” in Citi’s 2014 Annual Report on Form 10-K.

The following table sets forth the estimated impact to Citi’s net interest revenue, Accumulated Other Comprehensive Income (AOCI) and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point increase in interest rates.



In millions of dollars (unless otherwise noted)	Sept. 30, 2015			Jun. 30, 2015			Sept. 30, 2014
Estimated annualized impact to net interest revenue
U.S. dollar ⁽¹⁾	$	1,533		$	1,360		$	1,159
All other currencies	616			645			713
Total	$	2,149		$	2,005		$	1,872
As a % of average interest-earning assets	0.13		%	0.12		%	0.11		%
Estimated initial impact to AOCI (after-tax) ⁽²⁾	$	(4,450	)	$	(4,213	)	$	(3,621	)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) ⁽³⁾	(50		)	(47		)	(41		)

(1)

Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the estimated impact to net interest revenue in the table since these exposures are managed economically in combination with mark-to-market positions. The U.S. dollar interest rate exposure associated with these businesses was $(233) million for a 100 basis point instantaneous increase in interest rates as of September 30, 2015 .


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


(3)	The estimated initial impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi’s deferred tax asset position and is based on only the estimated initial AOCI impact above.

The sequential increase in the estimated impact to net interest revenue primarily reflected changes in balance sheet composition, including the increase in certain of Citi’s deposit balances. The sequential increase in the estimated impact to AOCI and the Common Equity Tier 1 Capital ratio primarily reflected changes in the composition of Citi Treasury’s investment and interest rate derivatives portfolio.

In the event of an unanticipated parallel instantaneous 100 basis point increase in interest rates, Citi expects the negative impact to AOCI would be offset in shareholders’ equity through the combination of expected incremental net interest revenue and the expected recovery of the impact on AOCI

through accretion of Citi’s investment portfolio over a period of time. As of September 30, 2015 , Citi expects that the negative $4.4 billion impact to AOCI in such a scenario could potentially be offset over approximately 23 months.

The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis) under four different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies. While Citi also monitors the impact of a parallel decrease in interest rates, a 100 basis point decrease in short-term interest rates is not meaningful, as it would imply negative interest rates in many of Citi’s markets.



In millions of dollars (unless otherwise noted)	Scenario 1			Scenario 2			Scenario 3			Scenario 4
Overnight rate change (bps)	100			100			—			—
10-year rate change (bps)	100			—			100			(100		)
Estimated annualized impact to net interest revenue
U.S. dollar	$	1,533		$	1,458		$	125		$	(218	)
All other Currencies	616			574			35			(35		)
Total	$	2,149		$	2,032		$	160		$	(253	)
Estimated initial impact to AOCI (after-tax) ⁽¹⁾	$	(4,450	)	$	(2,811	)	$	(1,798	)	$	1,509
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps) ⁽²⁾	(50		)	(32		)	(20		)	16

Note: Each scenario in the table above assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year are interpolated.


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


(2)	The estimated initial impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi’s deferred tax asset position and is based on only the estimated AOCI impact above.

As shown in the table above, the magnitude of the impact to Citi’s net interest revenue and AOCI is greater under scenario 2 as compared to scenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter and intermediate term maturities.

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital

As of September 30, 2015, Citi estimates that a simultaneous 5% appreciation of the U.S. dollar against all of Citi’s other currencies could reduce Citi’s tangible common equity (TCE) by approximately $1.6 billion, or 0.9% of TCE, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the British pound sterling, the euro, the Chinese yuan and the Australian dollar.

Despite this decrease in TCE, Citi believes its business model and management of foreign currency translation exposure work to minimize the effect of changes in foreign exchange rates on its Common Equity Tier 1 Capital ratio. Specifically, as currency movements change the value of Citi’s net investments in foreign-currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio.

The effect of Citi’s business model and management strategies on changes in foreign exchange rates are shown in the table below. For additional information in the changes in AOCI, see Note 18 to the Consolidated Financial Statements.



	For the quarter ended
In millions of dollars (unless otherwise noted)	Sept. 30, 2015			Jun. 30, 2015			Sept. 30, 2014
Change in FX spot rate ⁽¹⁾	(6.0		)%	0.2		%	(4.4		)%
Change in TCE due to foreign currency translation, net of hedges	$	(2,010	)	$	(44	)	$	(1,182	)
As a % of Tangible Common Equity	(1.1		)%	—		%	(0.7		)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due to changes in foreign currency translation, net of hedges (bps)	(5		)	(3		)	3


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

Interest Revenue/Expense and Yields



	3rd Qtr.				2nd Qtr.				3rd Qtr.				Change
In millions of dollars, except as otherwise noted	2015				2015				2014				3Q15 vs. 3Q14
Interest revenue ⁽¹⁾	$	14,832			$	14,995			$	15,636			(5	)%
Interest expense	$	2,941			3,051				3,325				(12	)
Net interest revenue ⁽¹⁾⁽²⁾	$	11,891			$	11,944			$	12,311			(3	)%
Interest revenue—average rate	3.67		%		3.71		%		3.70		%		(3	)	bps
Interest expense—average rate	0.93				0.97				0.98				(5	)	bps
Net interest margin	2.94		%		2.95		%		2.91		%		3		bps
Interest-rate benchmarks
Two-year U.S. Treasury note—average rate	0.69		%		0.61		%		0.52		%		17		bps
10-year U.S. Treasury note—average rate	2.22				2.16				2.50				(28	)	bps
10-year vs. two-year spread	153			bps	155			bps	198			bps


(1)	Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $118 million, $121 million, and $124 million for the three months ended September 30, 2015, June 30, 2015 and September 30, 2014, respectively.


(2)	Excludes expenses associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value with changes recorded in Principal transactions .

Citi’s net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest earning assets. Citi’s NIM remained relatively unchanged quarter-over-quarter as trading NIM continued to be higher than expected. During the fourth quarter of 2015, Citi’s NIM will be dependent on a number of factors, including the level of trading NIM, the timing of expected divestitures from Citi Holdings, including OneMain Financial and the Japan retail banking business, as well as the magnitude and timing of any planned debt redemption actions.

Average Balances and Interest Rates—Assets ^(1)(2)(3)(4)

Taxable Equivalent Basis



	Average volume						Interest revenue						% Average rate
	3rd Qtr.		2nd Qtr.		3rd Qtr.		3rd Qtr.		2nd Qtr.		3rd Qtr.		3rd Qtr.		2nd Qtr.		3rd Qtr.
In millions of dollars, except rates	2015		2015		2014		2015		2015		2014		2015		2015		2014
Assets
Deposits with banks ⁽⁵⁾	$	139,349	$	134,641	$	159,432	$	187	$	168	$	235	0.53	%	0.50	%	0.58	%
Federal funds sold and securities borrowed or purchased under agreements to resell ⁽⁶⁾
In U.S. offices	$	150,455	$	149,577	$	147,640	$	313	$	307	$	256	0.83	%	0.82	%	0.69	%
In offices outside the U.S. ⁽⁵⁾	83,376		86,458		100,434		343		357		311		1.63	%	1.66	%	1.23	%
Total	$	233,831	$	236,035	$	248,074	$	656	$	664	$	567	1.11	%	1.13	%	0.91	%
Trading account assets ⁽⁷⁾⁽⁸⁾
In U.S. offices	$	114,360	$	118,896	$	116,659	$	1,024	$	985	$	878	3.55	%	3.32	%	2.99	%
In offices outside the U.S. ⁽⁵⁾	95,827		110,691		121,183		507		671		637		2.10	%	2.43	%	2.09	%
Total	$	210,187	$	229,587	$	237,842	$	1,531	$	1,656	$	1,515	2.89	%	2.89	%	2.53	%
Investments
In U.S. offices
Taxable	$	211,722	$	214,168	$	193,204	$	941	$	973	$	868	1.76	%	1.82	%	1.78	%
Exempt from U.S. income tax	19,745		19,818		20,599		101		99		158		2.03	%	2.00	%	3.04	%
In offices outside the U.S. ⁽⁵⁾	103,656		99,045		113,987		760		760		885		2.91	%	3.08	%	3.08	%
Total	$	335,123	$	333,031	$	327,790	$	1,802	$	1,832	$	1,911	2.13	%	2.21	%	2.31	%
Loans (net of unearned income) ⁽⁹⁾
In U.S. offices	$	354,572	$	347,779	$	360,917	$	6,472	$	6,292	$	6,544	7.24	%	7.26	%	7.19	%
In offices outside the U.S. ⁽⁵⁾	268,633		279,247		298,185		3,523		3,721		4,649		5.20	%	5.34	%	6.19	%
Total	$	623,205	$	627,026	$	659,102	$	9,995	$	10,013	$	11,193	6.36	%	6.41	%	6.74	%
Other interest-earning assets ⁽¹⁰⁾	$	60,459	$	62,656	$	43,703	$	661	$	662	$	215	4.34	%	4.24	%	1.95	%
Total interest-earning assets	$	1,602,154	$	1,622,976	$	1,675,943	$	14,832	$	14,995	$	15,636	3.67	%	3.71	%	3.70	%
Non-interest-earning assets ⁽⁷⁾	$	216,136	$	216,708	$	219,446
Total assets	$	1,818,290	$	1,839,684	$	1,895,389


(1)	Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $118 million, $121 million and $124 million for the three months ended September 30, 2015, June 30, 2015 and September 30, 2014, respectively.


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


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


(4)	Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations . See Note 2 to the Consolidated Financial Statements.


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


(6)	Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest revenue excludes the impact of FIN 41 (ASC 210-20-45).


(7)	The fair value carrying amounts of derivative contracts are reported net, pursuant to FIN 39 (ASC 815-10-45), in Non-interest-earning assets and Other non-interest-bearing liabilities .


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


(9)	Includes cash-basis loans.


(10)	Includes brokerage receivables.

Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue ^(1)(2)(3)(4)

Taxable Equivalent Basis



	Average volume						Interest expense						% Average rate
	3rd Qtr.		2nd Qtr.		3rd Qtr.		3rd Qtr.		2nd Qtr.		3rd Qtr.		3rd Qtr.		2nd Qtr.		3rd Qtr.
In millions of dollars, except rates	2015		2015		2014		2015		2015		2014		2015		2015		2014
Liabilities
Deposits
In U.S. offices ⁽⁵⁾	$	271,141	$	269,673	$	293,927	$	311	$	330	$	329	0.46	%	0.49	%	0.44	%
In offices outside the U.S. ⁽⁶⁾	425,741		431,305		459,656		904		958		1,088		0.84	%	0.89	%	0.94	%
Total	$	696,882	$	700,978	$	753,583	$	1,215	$	1,288	$	1,417	0.69	%	0.74	%	0.75	%
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁷⁾
In U.S. offices	$	111,629	$	112,690	$	98,735	$	177	$	183	$	136	0.63	%	0.65	%	0.55	%
In offices outside the U.S. ⁽⁶⁾	62,616		70,602		83,474		202		260		275		1.28	%	1.48	%	1.31	%
Total	$	174,245	$	183,292	$	182,209	$	379	$	443	$	411	0.86	%	0.97	%	0.89	%
Trading account liabilities ⁽⁸⁾⁽⁹⁾
In U.S. offices	$	24,673	$	26,008	$	31,773	$	29	$	27	$	14	0.47	%	0.42	%	0.17	%
In offices outside the U.S. ⁽⁶⁾	45,797		46,972		43,629		28		27		24		0.24	%	0.23	%	0.22	%
Total	$	70,470	$	72,980	$	75,402	$	57	$	54	$	38	0.32	%	0.30	%	0.20	%
Short-term borrowings ⁽¹⁰⁾
In U.S. offices	$	65,368	$	65,695	$	80,829	$	100	$	73	$	41	0.61	%	0.45	%	0.20	%
In offices outside the U.S. ⁽⁶⁾	66,653		48,584		44,164		59		84		100		0.35	%	0.69	%	0.90	%
Total	$	132,021	$	114,279	$	124,993	$	159	$	157	$	141	0.48	%	0.55	%	0.45	%
Long-term debt ⁽¹¹⁾
In U.S. offices	$	179,575	$	180,517	$	196,972	$	1,080	$	1,057	$	1,259	2.39	%	2.35	%	2.54	%
In offices outside the U.S. ⁽⁶⁾	8,061		7,393		7,028		51		52		59		2.51	%	2.82	%	3.33	%
Total	$	187,636	$	187,910	$	204,000	$	1,131	$	1,109	$	1,318	2.39	%	2.37	%	2.56	%
Total interest-bearing liabilities	$	1,261,254	$	1,259,439	$	1,340,187	$	2,941	$	3,051	$	3,325	0.93	%	0.97	%	0.98	%
Demand deposits in U.S. offices	$	27,781	$	24,670	$	25,209
Other non-interest-bearing liabilities ⁽⁸⁾	308,167		336,701		315,871
Total liabilities	$	1,597,202	$	1,620,810	$	1,681,267
Citigroup stockholders’ equity ⁽¹²⁾	$	219,839	$	217,522	$	212,513
Noncontrolling interest	1,249		1,352		1,609
Total equity ⁽¹²⁾	$	221,088	$	218,874	$	214,122
Total liabilities and stockholders’ equity	$	1,818,290	$	1,839,684	$	1,895,389
Net interest revenue as a percentage of average interest-earning assets ⁽¹³⁾
In U.S. offices	$	940,283	$	884,959	$	957,803	$	7,252	$	7,087	$	7,041	3.06	%	3.21	%	2.92	%
In offices outside the U.S. ⁽⁶⁾	661,871		738,017		718,140		4,639		4,857		5,270		2.78		2.64		2.91
Total	$	1,602,154	$	1,622,976	$	1,675,943	$	11,891	$	11,944	$	12,311	2.94	%	2.95	%	2.91	%


(1)	Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $118 million, $121 million and $124 million for the three months ended September 30, 2015, June 30, 2015 and September 30, 2014, respectively.


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


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


(4)	Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations . See Note 2 to the Consolidated Financial Statements.


(5)	Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts, and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance fees and charges.


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


(7)	Average volumes of securities sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest expense excludes the impact of FIN 41 (ASC 210-20-45).


(8)	The fair value carrying amounts of derivative contracts are reported net, pursuant to FIN 39 (ASC 815-10-45), in Non-interest-earning assets and Other non-interest-bearing liabilities .


(9)	Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue . Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities , respectively.


(10)	Includes brokerage payables.


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


(12)	Includes stockholders’ equity from discontinued operations.


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

Average Balances and Interest Rates—Assets ^(1)(2)(3)(4)

Taxable Equivalent Basis



	Average volume				Interest revenue				% Average rate
In millions of dollars, except rates	Nine Months 2015		Nine Months 2014		Nine Months 2015		Nine Months 2014		Nine Months 2015		Nine Months 2014
Assets
Deposits with banks ⁽⁵⁾	$	137,721	$	164,968	$	538	$	737	0.52	%	0.60	%
Federal funds sold and securities borrowed or purchased under agreements to resell ⁽⁶⁾
In U.S. offices	$	150,370	$	153,228	$	903	$	762	0.80	%	0.66	%
In offices outside the U.S. ⁽⁵⁾	86,645		103,002		1,059		991		1.63	%	1.29	%
Total	$	237,015	$	256,230	$	1,962	$	1,753	1.11	%	0.91	%
Trading account assets ⁽⁷⁾⁽⁸⁾
In U.S. offices	$	116,735	$	113,797	$	2,927	$	2,561	3.35	%	3.01	%
In offices outside the U.S. ⁽⁵⁾	105,942		121,695		1,694		1,960		2.14	%	2.15	%
Total	$	222,677	$	235,492	$	4,621	$	4,521	2.77	%	2.57	%
Investments
In U.S. offices
Taxable	$	213,107	$	184,876	$	2,854	$	2,384	1.79	%	1.72	%
Exempt from U.S. income tax	20,101		20,390		283		529		1.88	%	3.47	%
In offices outside the U.S. ⁽⁵⁾	101,623		114,333		2,289		2,734		3.01	%	3.20	%
Total	$	334,831	$	319,599	$	5,426	$	5,647	2.17	%	2.36	%
Loans (net of unearned income) ⁽⁹⁾
In U.S. offices	$	353,434	$	361,750	$	19,132	$	19,507	7.24	%	7.21	%
In offices outside the U.S. ⁽⁵⁾	274,931		299,210		11,439		14,239		5.56	%	6.36	%
Total	$	628,365	$	660,960	$	30,571	$	33,746	6.50	%	6.83	%
Other interest-earning assets ⁽¹⁰⁾	$	56,205	$	38,894	$	1,432	$	392	3.41	%	1.35	%
Total interest-earning assets	$	1,616,814	$	1,676,143	$	44,550	$	46,796	3.68	%	3.73	%
Non-interest-earning assets ⁽⁷⁾	$	220,217	$	219,754
Total assets	$	1,837,031	$	1,895,897


(1)	Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $363 million and $373 million for the nine months ended September 30, 2015 and September 30, 2014, respectively.


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


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


(4)	Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations . See Note 2 to the Consolidated Financial Statements.


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


(6)	Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest revenue excludes the impact of FIN 41 (ASC 210-20-45).


(7)	The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities .


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


(9)	Includes cash-basis loans.


(10)	Includes brokerage receivables.

Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue ^(1)(2)(3)(4)

Taxable Equivalent Basis



	Average volume				Interest expense				% Average rate
In millions of dollars, except rates	Nine Months 2015		Nine Months 2014		Nine Months 2015		Nine Months 2014		Nine Months 2015		Nine Months 2014
Liabilities
Deposits
In U.S. offices ⁽⁵⁾	$	274,111	$	289,555	$	997	$	1,087	0.49	%	0.50	%
In offices outside the U.S. ⁽⁶⁾	424,641		470,658		2,832		3,248		0.89	%	0.92	%
Total	$	698,752	$	760,213	$	3,829	$	4,335	0.73	%	0.76	%
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁷⁾
In U.S. offices	$	110,238	$	100,643	$	523	$	490	0.63	%	0.65	%
In offices outside the U.S. ⁽⁶⁾	67,979		90,243		675		983		1.33	%	1.46	%
Total	$	178,217	$	190,886	$	1,198	$	1,473	0.90	%	1.03	%
Trading account liabilities ⁽⁸⁾⁽⁹⁾
In U.S. offices	$	26,240	$	30,280	$	79	$	58	0.40	%	0.26	%
In offices outside the U.S. ⁽⁶⁾	45,976		46,577		79		69		0.23	%	0.20	%
Total	$	72,216	$	76,857	$	158	$	127	0.29	%	0.22	%
Short-term borrowings ⁽¹⁰⁾
In U.S. offices	$	67,708	$	79,008	$	194	$	130	0.38	%	0.22	%
In offices outside the U.S. ⁽⁶⁾	57,438		39,311		241		310		0.56	%	1.05	%
Total	$	125,146	$	118,319	$	435	$	440	0.46	%	0.50	%
Long-term debt ⁽¹¹⁾
In U.S. offices	$	183,882	$	193,970	$	3,247	$	3,942	2.36	%	2.72	%
In offices outside the U.S. ⁽⁶⁾	7,487		8,211		153		214		2.73	%	3.48	%
Total	$	191,369	$	202,181	$	3,400	$	4,156	2.38	%	2.75	%
Total interest-bearing liabilities	$	1,265,700	$	1,348,456	$	9,020	$	10,531	0.95	%	1.04	%
Demand deposits in U.S. offices	$	25,490	$	26,978
Other non-interest-bearing liabilities ⁽⁸⁾	327,998		308,658
Total liabilities	$	1,619,188	$	1,684,092
Citigroup stockholders’ equity ⁽¹²⁾	$	216,498	$	210,066
Noncontrolling interest	1,345		1,739
Total equity ⁽¹²⁾	$	217,843	$	211,805
Total liabilities and stockholders’ equity	$	1,837,031	$	1,895,897
Net interest revenue as a percentage of average interest-earning assets ⁽¹³⁾
In U.S. offices	$	922,720	$	950,484	$	21,342	$	20,357	3.09	%	2.86	%
In offices outside the U.S. ⁽⁶⁾	694,094		725,659		14,188		15,908		2.73	%	2.93	%
Total	$	1,616,814	$	1,676,143	$	35,530	$	36,265	2.94	%	2.89	%


(1)	Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $363 million and $373 million for the nine months ended September 30, 2015, and September 30, 2014, respectively.


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


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


(4)	Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations . See Note 2 to the Consolidated Financial Statements.


(5)	Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts, and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance fees and charges.


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


(7)	Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest expense excludes the impact of FIN 41 (ASC 210-20-45).


(8)	The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities .


(9)	Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue . Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities , respectively.


(10)	Includes brokerage payables.


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


(12)	Includes stockholders' equity from discontinued operations.


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

Analysis of Changes in Interest Revenue ^(1)(2)(3)



	3rd Qtr. 2015 vs. 2nd Qtr. 2015									3rd Qtr. 2015 vs. 3rd Qtr. 2014
	Increase (decrease) due to change in:									Increase (decrease) due to change in:
In millions of dollars	Average volume			Average rate			Net change			Average volume			Average rate			Net change
Deposits with banks ⁽⁴⁾	$	6		$	13		$	19		$	(28	)	$	(20	)	$	(48	)
Federal funds sold and securities borrowed or purchased under agreements to resell
In U.S. offices	$	2		$	4		$	6		$	5		$	52		$	57
In offices outside the U.S. ⁽⁴⁾	(13		)	(1		)	(14		)	(59		)	91			32
Total	$	(11	)	$	3		$	(8	)	$	(54	)	$	143		$	89
Trading account assets ⁽⁵⁾
In U.S. offices	$	(39	)	$	78		$	39		$	(18	)	$	164		$	146
In offices outside the U.S. ⁽⁴⁾	(84		)	(80		)	(164		)	(134		)	4			(130		)
Total	$	(123	)	$	(2	)	$	(125	)	$	(152	)	$	168		$	16
Investments ⁽¹⁾
In U.S. offices	$	(11	)	$	(19	)	$	(30	)	$	82		$	(66	)	$	16
In offices outside the U.S. ⁽⁴⁾	35			(35		)	—			(77		)	(48		)	(125		)
Total	$	24		$	(54	)	$	(30	)	$	5		$	(114	)	$	(109	)
Loans (net of unearned income) ⁽⁶⁾
In U.S. offices	$	124		$	56		$	180		$	(116	)	$	44		$	(72	)
In offices outside the U.S. ⁽⁴⁾	(140		)	(58		)	(198		)	(433		)	(693		)	(1,126		)
Total	$	(16	)	$	(2	)	$	(18	)	$	(549	)	$	(649	)	$	(1,198	)
Other interest-earning assets ⁽⁷⁾	$	(24	)	$	23		$	(1	)	$	106		$	340		$	446
Total interest revenue	$	(144	)	$	(19	)	$	(163	)	$	(672	)	$	(132	)	$	(804	)


(1)	The taxable equivalent adjustment is based on the U.S. federal statutory tax rate of 35% and is included in this presentation.


(2)	Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.


(3)	Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations . See Note 2 to the Consolidated Financial Statements.


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


(5)	Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue . Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities , respectively.


(6)	Includes cash-basis loans.


(7)	Includes brokerage receivables.

Analysis of Changes in Interest Expense and Interest Revenue ^(1)(2)(3)



	3rd Qtr. 2015 vs. 2nd Qtr. 2015									3rd Qtr. 2015 vs. 3rd Qtr. 2014
	Increase (decrease) due to change in:									Increase (decrease) due to change in:
In millions of dollars	Average volume			Average rate			Net change			Average volume			Average rate			Net change
Deposits
In U.S. offices	$	2		$	(21	)	$	(19	)	$	(26	)	$	8		$	(18	)
In offices outside the U.S. ⁽⁴⁾	(12		)	(42		)	(54		)	(77		)	(107		)	(184		)
Total	$	(10	)	$	(63	)	$	(73	)	$	(103	)	$	(99	)	$	(202	)
Federal funds purchased and securities loaned or sold under agreements to repurchase
In U.S. offices	$	(2	)	$	(4	)	$	(6	)	$	19		$	22		$	41
In offices outside the U.S. ⁽⁴⁾	(28		)	(30		)	(58		)	(67		)	(6		)	(73		)
Total	$	(30	)	$	(34	)	$	(64	)	$	(48	)	$	16		$	(32	)
Trading account liabilities ⁽⁵⁾
In U.S. offices	$	(1	)	$	3		$	2		$	(4	)	$	19		$	15
In offices outside the U.S. ⁽⁴⁾	(1		)	2			1			1			3			4
Total	$	(2	)	$	5		$	3		$	(3	)	$	22		$	19
Short-term borrowings ⁽⁶⁾
In U.S. offices	$	—		$	27		$	27		$	(9	)	$	68		$	59
In offices outside the U.S. ⁽⁴⁾	25			(50		)	(25		)	37			(78		)	(41		)
Total	$	25		$	(23	)	$	2		$	28		$	(10	)	$	18
Long-term debt
In U.S. offices	$	(6	)	$	29		$	23		$	(107	)	$	(72	)	$	(179	)
In offices outside the U.S. ⁽⁴⁾	4			(5		)	(1		)	8			(16		)	(8		)
Total	$	(2	)	$	24		$	22		$	(99	)	$	(88	)	$	(187	)
Total interest expense	$	(19	)	$	(91	)	$	(110	)	$	(225	)	$	(159	)	$	(384	)
Net interest revenue	$	(125	)	$	72		$	(53	)	$	(447	)	$	27		$	(420	)


(1)	The taxable equivalent adjustment is based on the U.S. federal statutory tax rate of 35% and is included in this presentation.


(2)	Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.


(3)	Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations . See Note 2 to the Consolidated Financial Statements.


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


(5)	Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue . Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities , respectively.


(6)	Includes brokerage payables.

Analysis of Changes in Interest Revenue, Interest Expense, and Net Interest Revenue ^(1)(2)(3)



	Nine Months 2015 vs. Nine Months 2014
	Increase (decrease) due to change in:
In millions of dollars	Average volume			Average rate			Net change ⁽²⁾
Deposits at interest with banks ⁽⁴⁾	$	(113	)	$	(86	)	$	(199	)
Federal funds sold and securities borrowed or purchased under agreements to resell
In U.S. offices	$	(14	)	$	155		$	141
In offices outside the U.S. ⁽⁴⁾	(173		)	241			68
Total	$	(187	)	$	396		$	209
Trading account assets ⁽⁵⁾
In U.S. offices	$	68		$	298		$	366
In offices outside the U.S. ⁽⁴⁾	(252		)	(14		)	(266		)
Total	$	(184	)	$	284		$	100
Investments ⁽¹⁾
In U.S. offices	$	382		$	(158	)	$	224
In offices outside the U.S. ⁽⁴⁾	(292		)	(153		)	(445		)
Total	$	90		$	(311	)	$	(221	)
Loans (net of unearned income) ⁽⁶⁾
In U.S. offices	$	(450	)	$	75		$	(375	)
In offices outside the U.S. ⁽⁴⁾	(1,098		)	(1,702		)	(2,800		)
Total	$	(1,548	)	$	(1,627	)	$	(3,175	)
Other interest-earning assets	$	235		$	805		$	1,040
Total interest revenue	$	(1,707	)	$	(539	)	$	(2,246	)
Deposits ⁽⁷⁾
In U.S. offices	$	(57	)	$	(33	)	$	(90	)
In offices outside the U.S. ⁽⁴⁾	(310		)	(106		)	(416		)
Total	$	(367	)	$	(139	)	$	(506	)
Federal funds purchased and securities loaned or sold under agreements to repurchase
In U.S. offices	$	46		$	(13	)	$	33
In offices outside the U.S. ⁽⁴⁾	(227		)	(81		)	(308		)
Total	$	(181	)	$	(94	)	$	(275	)
Trading account liabilities ⁽⁵⁾
In U.S. offices	$	(9	)	$	30		$	21
In offices outside the U.S. ⁽⁴⁾	(1		)	11			10
Total	$	(10	)	$	41		$	31
Short-term borrowings
In U.S. offices	$	(21	)	$	85		$	64
In offices outside the U.S. ⁽⁴⁾	110			(179		)	(69		)
Total	$	89		$	(94	)	$	(5	)
Long-term debt
In U.S. offices	$	(197	)	$	(498	)	$	(695	)
In offices outside the U.S. ⁽⁴⁾	(18		)	(43		)	(61		)
Total	$	(215	)	$	(541	)	$	(756	)
Total interest expense	$	(684	)	$	(827	)	$	(1,511	)
Net interest revenue	$	(1,023	)	$	288		$	(735	)


(1)	The taxable equivalent adjustment is based on the U.S. Federal statutory tax rate of 35% and is included in this presentation.


(2)	Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.


(3)	Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations .


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


(5)	Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue . Interest revenue and Interest expense on cash collateral positions are reported in Trading account assets and Trading account liabilities , respectively.


(6)	Includes cash-basis loans.


(7)	The interest expense on deposits includes the FDIC assessment and deposit insurance fees and charges of $849 million and $766 million for the nine months ended September 30, 2015 and September 30, 2014, respectively.

Price Risk—Trading Portfolios

For additional information on the measures Citi uses to monitor price risk in its trading portfolios, as well as additional information on value at risk (VAR) and Citi’s VAR model, see “Managing Global Risk—Market Risk—Price Risk—Trading Portfolios” in Citi’s 2014 Annual Report on Form 10-K.

Value at Risk

As of September 30, 2015, Citi estimates that the conservative features of its VAR calibration contribute an approximate 15% add-on (compared to 20% at June 30, 2015) to what would be a VAR estimated under the assumption of stable and perfectly normal distributed markets.

As set forth in the table below, Citi’s Trading and Credit Portfolio VAR as of September 30, 2015 increased sequentially due to changes in interest rate and foreign exchange exposures in the Markets businesses within ICG as well as additional hedging related to lending activities. Average Trading VAR increased sequentially due to a reduction in diversification benefit across businesses, caused by increases in overall market volatility.



				Third Quarter						Second Quarter						Third Quarter
In millions of dollars	September 30, 2015			2015 Average			June 30, 2015			2015 Average			September 30, 2014			2014 Average
Interest rate	$	59		$	40		$	33		$	42		$	79		$	80
Credit spread	64			67			64			70			$	66		$	70
Covariance adjustment ⁽¹⁾	(28		)	(22		)	(22		)	(25		)	(37		)	(41		)
Fully diversified interest rate and credit spread	$	95		$	85		$	75		$	87		$	108		$	109
Foreign exchange	43			36			32			34			29			32
Equity	18			17			24			21			22			22
Commodity	17			17			18			18			14			15
Covariance adjustment ⁽¹⁾	(62		)	(61		)	(66		)	(70		)	(70		)	(73		)
Total Trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios) ⁽²⁾	$	111		$	94		$	83		$	90		$	103		$	105
Specific risk-only component ⁽³⁾	$	6		$	5		$	7		$	6		$	6		$	9
Total Trading VAR—general market risk factors only (excluding credit portfolios) ⁽²⁾	$	105		$	89		$	76		$	84		$	97		$	96
Incremental Impact of the Credit Portfolio ⁽⁴⁾	$	29		$	22		$	15		$	23		$	24		$	16
Total Trading and Credit Portfolio VAR	$	140		$	116		$	98		$	113		$	127		$	121

(1)

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

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


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

(4)

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

The table below provides the range of market factor VARs associated with Citi’s Total Trading VAR, inclusive of specific risk, that was experienced during the following quarters:



	Third Quarter				Second Quarter				Third Quarter
	2015				2015				2014
In millions of dollars	Low		High		Low		High		Low		High
Interest rate	$	30	$	59	$	29	$	73	$	52	$	105
Credit spread	61		73		63		77		64		78
Fully diversified interest rate and credit spread	$	72	$	99	$	71	$	106	$	89	$	130
Foreign exchange	22		54		22		51		23		44
Equity	11		35		12		32		16		31
Commodity	12		22		15		22		11		21
Total Trading	$	78	$	111	$	71	$	107	$	84	$	124
Total Trading and Credit Portfolio	95		140		89		141		96		142

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

The following table provides the VAR for ICG during the third quarter of 2015, excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio.



In millions of dollars	Sept. 30, 2015
Total—all market risk factors, including general and specific risk	$	102
Average—during quarter	$	86
High—during quarter	102
Low—during quarter	74

Regulatory VAR Back-testing

In accordance with Basel III, Citi is required to perform back-testing to evaluate the effectiveness of its Regulatory VAR model (for additional information on Regulatory VAR, see “Managing Global Risk—Market Risk—Price Risk—Trading Portfolios” in Citi’s 2014 Annual Report on Form 10-K). Regulatory VAR back-testing is the process in which the daily one-day VAR, at a 99% confidence interval, is compared to the buy-and-hold profit and loss (e.g., the profit and loss impact if the portfolio is held constant at the end of the day and re-priced the following day). Buy-and-hold profit and loss represents the daily mark-to-market profit and loss attributable to price movements in covered positions from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, fees and commissions, intra-day trading profit and loss, and changes in reserves. Regulatory VAR back-testing is performed against buy-and-hold profit and loss on a monthly basis for multiple portfolios across the

organization (trading desk level, ICG business segment and

Citigroup) and the results are shared with the U.S. banking

regulators.

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

normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.

As of September 30, 2015, there were two back-testing exceptions observed for Citi’s Regulatory VAR for the prior 12 months, each as previously disclosed. The first exception occurred due to trading losses on October 15, 2014, which exceeded the VAR estimate at the Citigroup level due to significant market movements and volatility that impacted various fixed income as well as equities trading business. The second back-testing exception occurred on January 15, 2015 following the Swiss National Bank’s announcement removing the minimum exchange rate of Swiss franc per euro.

COUNTRY RISK

For an overview of, and additional information on, country and cross-border risk at Citi, including its risk management processes, see “Risk Factors,” “Managing Global Risk” and “Managing Global Risk—Country and Cross-Border Risk” in Citi’s 2014 Annual Report on Form 10-K.

COUNTRY RISK

Emerging Markets Exposures

Citi generally defines emerging markets as countries in Latin America , Asia (other than Japan, Australia and New Zealand), central and eastern Europe, the Middle East and Africa.

The following table presents Citicorp’s principal emerging markets assets as of September 30, 2015. For

purposes of the table below, loan amounts are generally based on the domicile of the borrower. For example, a loan to a Chinese subsidiary of a Switzerland-based corporation will generally be categorized as a loan in China. Trading account assets and investment securities are generally categorized below based on the domicile of the issuer of the security or the underlying reference entity (for additional information on the assets included in the table, see the footnotes to the table below).



As of September 30, 2015												As of June 30, 2015		As of Sept. 30, 2014		GCB NCL Rate
In billions of dollars	Trading Account Assets ⁽¹⁾			Investment Securities ⁽²⁾		ICG Loans ⁽³⁾		GCB Loans ⁽³⁾		Aggregate ⁽⁴⁾		Aggregate ⁽⁴⁾		Aggregate ⁽⁴⁾		3Q’15		2Q’15		3Q’14
Mexico	$	3.3		$	18.9	$	9.6	$	25.2	$	57.0	$	60.3	$	67.6	4.7	%	4.7	%	4.9	%
Korea	0.8			10.4		3.4		19.7		34.3		34.8		38.0		0.5		0.6		0.7
India	3.0			8.2		9.9		6.2		27.3		24.6		25.5		0.6		0.6		0.8
Hong Kong	1.1			4.6		10.9		10.7		27.3		25.8		26.9		0.3		0.5		0.6
Singapore	0.1			5.7		7.7		13.7		27.2		28.9		31.4		0.3		0.3		0.2
Brazil	2.3			2.6		14.7		2.8		22.4		23.9		27.4		5.4		6.9		5.5
China	2.9			3.9		8.8		4.9		20.5		21.1		22.3		0.6		0.8		0.3
Taiwan	1.7			0.8		4.2		7.5		14.2		15.0		14.1		0.3		0.2		0.1
Poland	0.4			4.2		1.6		2.8		9.0		8.1		11.2		0.4		0.3		0.2
Malaysia	—			0.6		1.8		4.4		6.8		7.4		9.4		0.8		0.8		0.6
Indonesia	0.2			0.7		3.7		1.2		5.8		6.5		7.1		6.7		4.1		2.2
Russia ⁽⁵⁾	0.3			0.6		3.3		1.0		5.2		5.3		8.8		3.4		3.5		2.8
Colombia	0.1			0.3		2.6		1.6		4.6		4.8		5.2		3.0		3.0		3.5
Thailand	0.1			1.4		1.2		1.9		4.6		4.3		4.9		2.9		2.9		2.6
UAE	(0.3		)	—		3.1		1.7		4.5		4.6		4.3		2.7		2.0		2.6
Argentina ⁽⁵⁾	0.6			0.3		1.7		1.3		3.9		3.5		2.7		0.6		0.7		1.0
Turkey	(0.1		)	0.2		2.9		0.7		3.7		3.7		5.4		(0.3	)	(0.4	)	(0.1	)
South Africa	0.2			0.8		1.6		—		2.6		2.4		3.0		—		—		—
Philippines	0.2			0.3		1.1		1.0		2.6		2.8		3.2		3.7		4.0		4.2
Chile	0.1			—		1.8		—		1.9		1.7		1.5		—		—		—

Note: Aggregate may not cross-foot due to rounding.


(1)	Trading account assets are shown on a net basis and include derivative exposures where the underlying reference entity is located in that country. Does not include counterparty credit exposures.


(2)	Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost. Does not include investments accounted for under the equity method.

(3)

Reflects funded loans, net of unearned income. In addition to the funded loans disclosed in the table above, through its ICG businesses, Citi had unfunded commitments to corporate customers in the emerging markets of approximately $33 billion as of September 30, 2015 (compared to $33 billion and $34 billion as of June 30, 2015 and September 30, 2014, respectively); no single country accounted for more than $4 billion of this amount.


(4)	Aggregate of Trading account assets, Investment securities, ICG loans and GCB loans, based on the methodologies described above.


(5)	For additional information on certain risks relating to Russia and Argentina, see below.

Emerging Markets Trading Account Assets and Investment Securities

In the ordinary course of business, Citi holds securities in its trading accounts and investment accounts, including those above. Trading account assets are marked to market daily, with asset levels varying as Citi maintains inventory consistent with customer needs. Investment securities are recorded at either fair value or historical cost, based on the underlying accounting treatment, and are predominantly held as part of the local entity asset and liability management program or to comply with local regulatory requirements. In the markets in the table above, 98% of Citi’s investment securities were related to sovereign issuers as of September 30, 2015.

Emerging Markets Consumer Lending

GCB ’s strategy within the emerging markets is consistent with GCB ’s overall strategy, which is to leverage its global footprint to serve its target clients. The retail bank seeks to be the preeminent bank for the emerging affluent and affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies. Commercial banking generally serves small- and middle-market enterprises operating in GCB ’s geographic markets, focused on clients that value Citi’s global capabilities. Overall, Citi believes that its customers are more resilient than the overall market under a wide range of economic conditions. Citi’s consumer business has a well established risk appetite framework across geographies and products that reflects the business strategy and activities and establishes boundaries around the key risks that arise from the strategy and activities.

As of September 30, 2015, GCB had approximately $110 billion of consumer loans outstanding to borrowers in the emerging markets, or approximately 40% of GCB ’s total loans, compared to $116 billion (41%) and $122 billion (42%) as of June 30, 2015 and September 30, 2014, respectively. Of the approximate $110 billion as of September 30, 2015, the five largest emerging markets—Mexico, Korea, Singapore, Hong Kong and Taiwan—comprised approximately 28% of GCB ’s total loans. Within the emerging markets, 30% of Citi’s GCB loans were mortgages, 26% were commercial markets loans, 25% were personal loans and 19% were credit cards loans, each as of September 30, 2015.

Overall consumer credit quality remained generally stable in the third quarter of 2015, as net credit losses in the emerging markets were 1.8% of average loans, compared to 1.9% and 2.0% in the second quarter of 2015 and third quarter of 2014, respectively, consistent with Citi’s target market strategy and risk appetite framework.

Emerging Markets Corporate Lending

Consistent with ICG ’s overall strategy, Citi’s corporate clients in the emerging markets are typically large, multinational corporations that value Citi’s global network. Citi aims to establish relationships with these clients that encompass multiple products, consistent with client needs, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory. Citi believes that its target corporate segment is more resilient under a wide range of economic conditions, and that its relationship-based approach to client service enables it to effectively manage the risks inherent in such relationships. Citi has a well established risk appetite framework around its corporate lending activities, including risk-based limits and approval authorities and portfolio concentration boundaries.

As of September 30, 2015, ICG had approximately $115 billion of loans outstanding to borrowers in the emerging markets, representing approximately 40% of ICG total loans outstanding, compared to $118 billion (41%) and $124 billion (45%) as of June 30, 2015 and September 30, 2014, respectively. No single emerging market-country accounted for more than 5% of Citi’s ICG loans as of the end of the third quarter of 2015.

As of September 30, 2015, approximately 75% of Citi’s emerging markets corporate credit portfolio (excluding the private bank in ICG ), including loans and unfunded lending commitments, was rated investment grade, which Citi considers to be ratings of BBB or better according to its internal risk measurement system and methodology (for additional information on Citi’s internal risk measurement system for corporate credit, see “Corporate Credit Details” above). The vast majority of the remainder was rated BB or B according to Citi’s internal risk measurement system and methodology.

Overall ICG net credit losses in the emerging markets were 0.0% of average loans in the third quarter of 2015, compared to 0.2% and 0.0% in the second quarter of 2015 and third quarter of 2014, respectively. The ratio of non-accrual ICG loans to total loans in the emerging markets remained stable at 0.4% as of September 30, 2015.

Argentina

For additional background and other information relating to Citi’s operations, risks and exposures in Argentina, see “Managing Global Risk—Cross-Border Risk” in each of Citi’s 2014 Annual Report on Form 10-K, First Quarter of 2015 Form 10-Q and Second Quarter of 2015 Form 10-Q.

As of September 30, 2015, Citi’s net investment in its Argentine operations was approximately $917 million, compared to $865 million at June 30, 2015. Citi uses the Argentine peso as the functional currency in Argentina and translates its financial statements into U.S. dollars using the official exchange rate as published by the Central Bank of Argentina. According to the official exchange rate, the Argentine peso devalued to 9.4 pesos to one U.S. dollar at September 30, 2015 compared to 9.1 pesos to one U.S. dollar at June 30, 2015.

At September 30, 2015, Citi had cumulative translation losses related to its investment in Argentina, net of qualifying net investment hedges, of approximately $1.66 billion (pretax), which were recorded in stockholders’ equity. This compared to $1.63 billion (pretax) as of June 30, 2015. The cumulative translation losses would not be reclassified into earnings unless realized upon sale, deconsolidation, or liquidation of substantially all of Citi’s Argentine operations.

Citi hedges currency risk in its net investment in Argentina to the extent possible and prudent. As of September 30, 2015, Citi’s total hedges against its net investment in Argentina were approximately $971 million, compared to $881 million as of June 30, 2015.

As of September 30, 2015, Citi had total third-party assets of approximately $4.4 billion in Citi Argentina (unchanged from June 30, 2015), primarily composed of corporate and consumer loans and cash on deposit with and short-term paper issued by the Central Bank of Argentina. A significant portion of these assets was funded with local deposits. Included in the total assets were U.S.-dollar-denominated assets of approximately $560 million, compared to approximately $500 million at June 30, 2015. (For additional information on Citi’s exposures related to Argentina, see “Emerging Market Exposures” above, which sets forth Citi’s trading account assets, investment securities, ICG loans and GCB loans in Argentina, based on the methodology described in such section.)

Venezuela

For additional background and other information relating to Citi’s operations, risks and exposures in Venezuela, see “Managing Global Risk—Cross-Border Risk” in each of Citi’s 2014 Annual Report on Form 10-K, First Quarter of 2015 Form 10-Q and Second Quarter of 2015 Form 10-Q.

Since 2003, the Venezuelan government has implemented and operated restrictive foreign exchange controls. These exchange controls have limited Citi’s ability to obtain U.S. dollars in Venezuela; Citi has not been able to acquire U.S. dollars from the Venezuelan government since 2008.

As previously disclosed, the Venezuelan government maintains a three-tiered foreign exchange system. As of September 30, 2015, the three separate official foreign exchange rates were:


•	the preferential foreign exchange rate offered by the National Center for Foreign Trade (CENCOEX), fixed at 6.3 bolivars to one U.S. dollar;


•	the SICAD rate, which was 13.5 bolivars to one U.S. dollar (compared to 12.8 bolivars at June 30, 2015); and


•	the SIMADI rate, which was 199 bolivars to one U.S. dollar (compared to 197 bolivars at June 30, 2015).

Citi uses the U.S. dollar as the functional currency for its operations in Venezuela. As of September 30, 2015, Citi remeasures its net bolivar denominated monetary assets at the SICAD rate, as the SICAD rate is the only rate at which Citi is legally eligible to acquire U.S. dollars from CENCOEX, despite the limited availability of U.S. dollars and although the SICAD rate may not necessarily be reflective of economic reality. Losses due to remeasurement of Citi’s bolivar-denominated assets and liabilities due to changes in the SICAD rate are recorded in earnings. Further devaluation in the SICAD exchange rate, a change in Citi’s eligibility to utilize a different exchange mechanism resulting in a less favorable rate, or other unfavorable changes to the foreign exchange mechanisms would result in foreign exchange losses in the period in which such devaluation or change occurs.

At September 30, 2015, Citi’s net investment in its Venezuelan operations was approximately $187 million (compared to $192 million at June 30, 2015), which included net monetary assets denominated in Venezuelan bolivars of approximately $160 million (compared to $155 million at June 30, 2015). Total third-party assets of Citi Venezuela were approximately $1.0 billion at September 30, 2015 (compared to $0.9 billion at June 30, 2015), primarily composed of cash on deposit with the Central Bank of Venezuela, corporate and consumer loans, and government bonds. A significant portion of these assets was funded with local deposits.

Greece

For additional background and other information relating to Greece, see “Managing Global Risk—Cross-Border Risk” in each of Citi’s 2014 Annual Report on Form 10-K, First Quarter of 2015 Form 10-Q and Second Quarter of 2015 Form 10-Q.

As of September 30, 2015, Citi had total third-party assets and liabilities of approximately $145 million and $1.1 billion, respectively, in Citi’s Greek branch. This compared to approximately $201 million and $404 million, respectively, as of June 30, 2015. Included in the total third-party assets and liabilities as of the end of the third quarter of 2015 were non-euro-denominated assets and liabilities of $1 million and $29 million, respectively (compared to $0.8 million and $27 million, respectively, as of June 30, 2015).

In addition to Citi’s Greek branch assets and liabilities described above, as of September 30, 2015, other (non-Greek) Citi branches and subsidiaries had exposures of approximately $0.6 billion to Greek obligors. As of September 30, 2015, such exposures primarily consisted of derivatives and loans (including unfunded commitments), net of purchased credit protection, that could experience credit losses under potential country or cross-border risk events. This estimated exposure is based on Citi’s internal risk management measures and systems where the country designation is based on the country to which the

client relationship, taken as a whole, is most directly exposed to economic, financial, sociopolitical or legal risks. As a result, the estimated exposures described above may include exposures to subsidiaries within the client relationship that are actually domiciled outside of Greece (e.g., loans, derivatives and other exposures to a U.K. subsidiary of a Greece-based corporation).

Russia

Continued unrest in the region, lower oil prices and international sanctions are having a significant impact on Russia’s economy. The Russian ruble depreciated by 16% against the U.S. dollar from June 30, 2015 to September 30, 2015.

Citibank operates in Russia through a subsidiary, which uses the Russian ruble as its functional currency. Citibank’s net investment in Russia was approximately $0.9 billion at September 30, 2015, compared to $1.2 billion at June 30, 2015. Substantially all of Citibank’s net investment was hedged (subject to related tax adjustments) as of September 30, 2015, using forward foreign exchange contracts. Total third-party assets of the Russian Citibank subsidiary were approximately $5.0 billion as of September 30, 2015, compared to $4.6 billion at June 30, 2015. These assets were primarily composed of corporate and consumer loans, Russian government debt securities, and cash on deposit with the Central Bank of Russia. The large majority of the above assets were funded by local deposit liabilities.

For additional information on Citi’s exposures related to Russia, see “Emerging Market Exposures” above, which sets forth Citi’s trading account assets, investment securities, ICG loans and GCB loans in Russia, based on the methodology described in such section.

INCOME TAXES

Deferred Tax Assets

For additional information on Citi’s deferred tax assets (DTAs), see “Risk Factors—Business and Operational Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and Note 9 to the Consolidated Financial Statements in Citi’s 2014 Annual Report on Form 10-K.

At September 30, 2015, Citigroup had recorded net DTAs of approximately $47.2 billion, a decrease of $0.7 billion from June 30, 2015 and a decrease of $2.1 billion from December 31, 2014. The sequential decrease in DTAs was driven primarily by the continued generation of U.S. taxable earnings in Citicorp.

The following table summarizes Citi’s net DTAs balance as of the periods presented. Of Citi’s net DTAs as of September 30, 2015, those arising from net operating losses, foreign tax credit and general business credit carry-forwards are 100% deducted in calculating Citi’s regulatory capital, while DTAs arising from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” above). Approximately $16.5 billion of the net DTA was not deducted in calculating regulatory capital pursuant to full Basel III implementation standards as of September 30, 2015. Citigroup seeks to improve the regulatory capital benefits of its DTAs through tax planning actions, including third-party transactions, as appropriate.



Jurisdiction/Component	DTAs balance
In billions of dollars	September 30, 2015		December 31, 2014
Total U.S.	$	44.8	$	46.5
Total foreign	2.4		2.8
Total	$	47.2	$	49.3

Effective Tax Rate

Citi’s effective tax rate for the third quarter of 2015 was 30.2% (excluding CVA/DVA), lower than the effective tax rate in the third quarter of 2014 of 41.3% (excluding CVA/DVA). The higher effective tax rate in the prior-year period was driven in part by a higher level of legal accruals expected to be non-deductible for tax purposes as well as higher tax expense related to the sale of Citi’s consumer operations in Greece and Spain.

DISCLOSURE CONTROLS AND PROCEDURES

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

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

Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of September 30, 2015 and, based on that evaluation, the CEO and CFO have concluded that at that date Citigroup’s disclosure controls and procedures were effective.

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

Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act of 2012, which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with individuals or entities that are subject to sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law. Citi has previously disclosed reportable activities pursuant to Section 219 for each of the first and second quarters of 2015 in its related quarterly reports on Form 10-Q. Citi has no reportable activities pursuant to Section 219 for the third quarter of 2015.

FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-Q, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the U.S. Private Securities Litigation Reform Act of 1995. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.

Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events. Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, and similar expressions or future or conditional verbs such as will, should, would and could.

Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including without limitation the precautionary statements included within each individual business’ discussion and analysis of its results of operations above and in Citi’s 2014 Annual Report on Form 10-K, the factors listed and described under “Risk Factors” in Citi’s 2014 Annual Report on Form 10-K and the risks and uncertainties summarized below:


•	the ongoing extensive regulatory changes and uncertainties faced by Citi globally, including, among others, interest rate caps and caps on interchange rates, and the potential impact these changes and uncertainties could have on Citi’s strategy, individual businesses’ and overall results of operations, ability to make progress on its execution priorities and its compliance risks and costs;


•	uncertainties relating to ongoing regulatory supervision and potential changes to the regulatory capital requirements applicable to Citi and certain of its affiliated entities, and the potential impact these uncertainties could have on Citi’s total risk-weighted assets, leverage assets and ability to meet its capital requirements as it projects or as required;


•	the impact of events in the banking industry generally, including litigation and regulatory settlements, on Citi’s operational risk-weighted assets and thus its overall risk-weighted assets;

•

the potential impact to Citi if it is unable to address the shortcomings identified in 2014 by the Federal Reserve Board and FDIC as part of Citi’s 2015 resolution plan submission, including the potential for more stringent capital, leverage or liquidity requirements, restrictions on its growth, activities or operations, or requirements to divest certain assets or operations, which could negatively impact Citi’s operations or strategy;


•	the ongoing uncertainties and potential impact to Citi’s funding and liquidity management and structure and

overall results of operations as a result of potential regulatory requirements in the U.S. mandating minimum levels of total loss-absorbing capacity (TLAC), including the potential interplay between Citi’s capital and TLAC requirements;

•

the potential impact to Citi’s derivative businesses, results of operations and funding and liquidity arising from the ongoing implementation and interpretation of derivatives regulation in the U.S. and globally, including as a result of recent final rules establishing margin requirements for uncleared swaps and the potential impact of such rules on Citi’s and its counterparties’ costs of conducting uncleared swaps as well as Citi’s internal risk management strategies;


•	ongoing interpretive uncertainties and compliance risks and costs associated with the implementation of the Volcker Rule;


•	the uncertainties and potential impact to Citi’s businesses and results of operations of recently adopted and anticipated future regulations applicable to securitizations;

•

the potential impact to Citi’s businesses, results of operations and financial condition of ongoing macroeconomic uncertainties and volatilities, including the timing of U.S. interest rate increases, non-U.S. fiscal and monetary actions or expected actions, geopolitical tensions, the pace of economic growth (including in the emerging markets), and ongoing concerns relating to potential sovereign defaults and the impact of any such defaults on the global economy, including with respect to whether and to what extent the U.S. government debt ceiling limit may be increased;


•	the potential impact of changes in Citi's other comprehensive income, and the related impacts on book value and tangible book value, as a result of changes in foreign exchange rates;

•

risks arising from Citi’s international and emerging markets operations, such as in Argentina and Venezuela, including possible deconsolidation of subsidiaries, nationalization or loss of licenses, sanctions, criminal charges, closure of branches or subsidiaries, confiscation of assets, fraud and foreign exchange controls, as well as changes in foreign exchange rates generally and increased compliance and regulatory risks and costs;


•	the potential impact to Citi’s delinquency rates, net credit losses, loan loss reserves and overall results of operations as Citi’s revolving home equity lines of credit (HELOCs) continue to “reset,” particularly given the limitations on Citi’s ability to reduce or mitigate this reset risk going forward;


•	the potential impact concentrations of risk could have on Citi’s hedging strategies and results of operations, including Citi’s credit risk to the U.S. government and its agencies and market risk arising from Citi’s high volume of transactions with counterparties in the financial services industry;


•	the potential impact to Citi’s funding and liquidity, as well as its liquidity planning and management, arising from the continued heightened regulatory focus on, and ongoing

changes to, the liquidity standards and requirements applicable, or expected to be applicable, to Citi;


•	potential impacts on Citi’s liquidity and/or costs of funding as a result of external factors, such as market disruptions, governmental fiscal and monetary policies, regulatory requirements and changes in Citi’s credit spreads;


•	rating downgrades of Citi or its more significant subsidiaries, including as a result of changes in assumptions relating to government support, and the potential impact on Citi’s funding and liquidity as well as the results of operations for certain of its businesses;


•	the potential impact to Citi’s businesses, business practices, reputation, financial condition or results of operations that could result from the extensive legal, governmental and regulatory proceedings, investigations and inquiries to which Citi is or may be subject at any given time, including as a result of fines, penalties, consent orders or other similar remedies or sanctions;


•	uncertainties arising from the continued heightened scrutiny and expectations of the financial services industry by regulators and other enforcement authorities with respect to “conduct” risk, the overall “culture” of the financial services industry generally and the effectiveness of an individual firm’s business and control functions in deterring or preventing employee misconduct;

•

Citi’s ability to meet the Federal Reserve Board’s evolving stress testing requirements and qualitative factors pursuant to the Comprehensive Capital Analysis and Review (CCAR) process, including as a result of the potential inclusion of Citi’s GSIB surcharge requirement in the stress tests, and the potential impact that regulatory review could have on Citi’s ability to return capital to its shareholders;


•	Citi’s ability to continue to wind down the assets in Citi Holdings, including those pursuant to which it has executed agreements to sell the assets, as it expects or projects, whether due to required regulatory approvals or other closing conditions, market appetite and/or buyer funding or otherwise;

•

Citi’s ability to successfully achieve its execution priorities, including maintaining expense discipline, continuing to wind down Citi Holdings while maintaining it at or above “break even” on a full-year 2015 basis and continued utilization of its deferred tax assets (DTAs), and the potential impact its inability to do so could have on the achievement of its 2015 operating efficiency and return on assets targets;


•	Citi’s ability to continue to utilize its DTAs (including the foreign tax credit component of its DTAs), whether by continuing to generate U.S. taxable income during the relevant carry-forward periods, the impact of changes in Citi’s accumulated other comprehensive income (AOCI), or otherwise;


•	the impact on the value of Citi’s DTAs and its results of operations if corporate tax rates in the U.S. or certain local, state or foreign jurisdictions decline, or if other changes are made to the U.S. tax system, such as the treatment of foreign corporate earnings;


•	the potential impact to Citi if its interpretation or application of the extensive tax laws to which it is subject, such as with respect to withholding tax obligations, differs from that of the relevant governmental taxing authorities;


•	the potential impact to Citi from continually evolving and increasing cybersecurity and other technological risks and attacks, including fraud losses, additional costs, reputational damage, loss of customers, regulatory penalties, exposure to litigation and other potential financial losses to both Citi and its clients and customers;

•

Citi’s ability to enter into new co-branding or private-label relationships (including the acquisition of related card receivables portfolios) with various third-party retailers and merchants within its U.S. credit card businesses in North America GCB as it expects or projects, or its failure to maintain existing relationships, or renew its existing relationships on terms as favorable to the business, whether as a result of competition among card issuers, merchant-specific factors such as bankruptcy, or otherwise;


•	the potential impact to Citi’s results of operations and financial condition if its risk management models, processes or strategies are not effective;


•	the potential impact on Citi’s performance, including its competitive position and ability to execute its strategy, if Citi is unable to hire or retain qualified employees due to regulatory restrictions on compensation or otherwise; and


•	the impact incorrect assumptions or estimates in Citi’s financial statements, as well as ongoing regulatory or other changes to financial accounting and reporting standards or interpretations, could have on Citi’s financial condition and results of operations and how it records and reports its financial condition and results of operations.

Any forward-looking statements made by or on behalf of Citigroup speak only as to the date they are made, and Citi does not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the date the forward-looking statements were made.

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FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS



CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Income (Unaudited)— For the Three and Nine Months Ended September 30, 2015 and 2014	101
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three and Nine Months Ended September 30, 2015 and 2014	103
Consolidated Balance Sheet—September 30, 2015 (Unaudited) and December 31, 2014	104
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Nine Months Ended September 30, 2015 and 2014	106
Consolidated Statement of Cash Flows (Unaudited)— For the Nine Months Ended September 30, 2015 and 2014	107



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Note 1—Basis of Presentation and Accounting Changes	109
Note 2—Discontinued Operations and Significant Disposals	111
Note 3—Business Segments	114
Note 4—Interest Revenue and Expense	115
Note 5—Commissions and Fees	116
Note 6—Principal Transactions	117
Note 7—Incentive Plans	118
Note 8—Retirement Benefits	119
Note 9—Earnings per Share	124
Note 10—Federal Funds, Securities Borrowed, Loaned and Subject to Repurchase Agreements	125
Note 11—Brokerage Receivables and Brokerage Payables	128
Note 12—Trading Account Assets and Liabilities	128
Note 13—Investments	129
Note 14—Loans	142




Note 15—Allowance for Credit Losses	149
Note 16—Goodwill and Intangible Assets	151
Note 17—Debt	153
Note 18—Changes in Accumulated Other Comprehensive Income (Loss)	154
Note 19—Preferred Stock	158
Note 20—Securitizations and Variable Interest Entities	160
Note 21—Derivatives Activities	175
Note 22—Fair Value Measurement	190
Note 23—Fair Value Elections	216
Note 24—Guarantees and Commitments	220
Note 25—Contingencies	226

100

CONSOLIDATED FINANCIAL STATEMENTS

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



	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars, except per share amounts	2015			2014			2015			2014
Revenues ⁽¹⁾
Interest revenue	$	14,714		$	15,512		$	44,187		$	46,423
Interest expense	2,941			3,325			9,020			10,531
Net interest revenue	$	11,773		$	12,187		$	35,167		$	35,892
Commissions and fees	$	2,732		$	3,280		$	9,096		$	9,905
Principal transactions	1,327			1,549			5,471			6,280
Administration and other fiduciary fees	870			1,029			2,827			3,067
Realized gains on sales of investments, net	151			136			641			348
Other-than-temporary impairment losses on investments
Gross impairment losses	(80		)	(99		)	(195		)	(337		)
Less: Impairments recognized in AOCI	—			8			—			8
Net impairment (losses) recognized in earnings	$	(80	)	$	(91	)	$	(195	)	$	(329	)
Insurance premiums	$	464		$	530		$	1,443		$	1,613
Other revenue	1,455			1,069			3,448			2,544
Total non-interest revenues	$	6,919		$	7,502		$	22,731		$	23,428
Total revenues, net of interest expense	$	18,692		$	19,689		$	57,898		$	59,320
Provisions for credit losses and for benefits and claims
Provision for loan losses	$	1,582		$	1,575		$	4,852		$	4,947
Policyholder benefits and claims	189			205			567			595
Provision (release) for unfunded lending commitments	65			(30		)	(20		)	(88		)
Total provisions for credit losses and for benefits and claims	$	1,836		$	1,750		$	5,399		$	5,454
Operating expenses ⁽¹⁾
Compensation and benefits	$	5,321		$	6,114		$	16,324		$	18,152
Premises and equipment	722			804			2,168			2,428
Technology/communication	1,628			1,630			4,884			4,779
Advertising and marketing	391			442			1,176			1,360
Other operating	2,607			3,965			7,929			13,906
Total operating expenses	$	10,669		$	12,955		$	32,481		$	40,625
Income from continuing operations before income taxes	$	6,187		$	4,984		$	20,018		$	13,241
Provision for income taxes	1,881			2,068			6,037			6,120
Income from continuing operations	$	4,306		$	2,916		$	13,981		$	7,121
Discontinued operations
Income (loss) from discontinued operations	$	(15	)	$	(25	)	$	(14	)	$	12
Provision (benefit) for income taxes	(5		)	(9		)	(5		)	13
Income (loss) from discontinued operations, net of taxes	$	(10	)	$	(16	)	$	(9	)	$	(1	)
Net income before attribution of noncontrolling interests	$	4,296		$	2,900		$	13,972		$	7,120
Noncontrolling interests	5			59			65			154
Citigroup’s net income	$	4,291		$	2,841		$	13,907		$	6,966
Basic earnings per share ⁽²⁾
Income from continuing operations	$	1.36		$	0.89		$	4.39		$	2.14
Income (loss) from discontinued operations, net of taxes	—			(0.01		)	—			—
Net income	$	1.36		$	0.88		$	4.38		$	2.14
Weighted average common shares outstanding	2,993.3			3,029.5			3,015.8			3,033.5

101



Diluted earnings per share ⁽²⁾
Income from continuing operations	$	1.36	$	0.88		$	4.38	$	2.14
Income (loss) from discontinued operations, net of taxes	—		(0.01		)	—		—
Net income	$	1.35	$	0.88		$	4.38	$	2.14
Adjusted weighted average common shares outstanding	2,996.9		3,034.8			3,020.4		3,038.8


(1)	Certain prior-period revenue and expense lines and totals were reclassified to conform to the current period’s presentation. See Note 3 to the Consolidated Financial Statements.


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

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

102

CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME

(Unaudited) Citigroup Inc. and Subsidiaries



	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2015			2014			2015			2014
Net income before attribution of noncontrolling interests	$	4,296		$	2,900		$	13,972		$	7,120
Add: Citigroup’s other comprehensive income (loss)
Net change in unrealized gains and losses on investment securities, net of taxes	$	511		$	(207	)	$	167		$	1,227
Net change in cash flow hedges, net of taxes	189			28			367			266
Benefit plans liability adjustment, net of taxes ⁽¹⁾	(360		)	71			128			(106		)
Net change in foreign currency translation adjustment, net of taxes and hedges	(2,493		)	(1,721		)	(4,703		)	(2,230		)
Citigroup’s total other comprehensive income (loss)	$	(2,153	)	$	(1,829	)	$	(4,041	)	$	(843	)
Total comprehensive income before attribution of noncontrolling interests	$	2,143		$	1,071		$	9,931		$	6,277
Less: Net income attributable to noncontrolling interests	5			59			65			154
Citigroup’s comprehensive income	$	2,138		$	1,012		$	9,866		$	6,123

(1) Reflects adjustments based on the actuarial valuations of the Company’s significant pension and postretirement plans, including changes in the mortality assumptions at September 30, 2015 , and amortization of amounts previously recognized in Accumulated other comprehensive income (loss). See Note 8 to the Consolidated Financial Statements.

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

103

CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries



	September 30,
	2015			December 31,
In millions of dollars	(Unaudited)			2014
Assets
Cash and due from banks (including segregated cash and other deposits)	$	21,726		$	32,108
Deposits with banks	137,935			128,089
Federal funds sold and securities borrowed or purchased under agreements to resell (including $143,474 and $144,191 as of September 30, 2015 and December 31, 2014, respectively, at fair value)	231,695			242,570
Brokerage receivables	37,875			28,419
Trading account assets (including $101,401 and $106,217 pledged to creditors at September 30, 2015 and December 31, 2014, respectively)	266,946			296,786
Investments:
Available for sale (including $14,085 and $13,808 pledged to creditors as of September 30, 2015 and December 31, 2014, respectively)	300,716			300,143
Held to maturity (including $3,180 and $2,974 pledged to creditors as of September 30, 2015 and December 31, 2014, respectively)	33,940			23,921
Non-marketable equity securities (including $2,262 and $2,758 at fair value as of September 30, 2015 and December 31, 2014, respectively)	7,783			9,379
Total investments	$	342,439		$	333,443
Loans:
Consumer (including $37 and $43 as of September 30, 2015 and December 31, 2014, respectively, at fair value)	333,373			369,970
Corporate (including $5,476 and $5,858 as of September 30, 2015 and December 31, 2014, respectively, at fair value)	289,071			274,665
Loans, net of unearned income	$	622,444		$	644,635
Allowance for loan losses	(13,626		)	(15,994		)
Total loans, net	$	608,818		$	628,641
Goodwill	22,444			23,592
Intangible assets (other than MSRs)	3,880			4,566
Mortgage servicing rights (MSRs)	1,766			1,845
Other assets (including $8,101 and $7,762 as of September 30, 2015 and December 31, 2014, respectively, at fair value)	132,832			122,122
Total assets	$	1,808,356		$	1,842,181

The following table presents certain assets of consolidated variable interest entities (VIEs), which are included in the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.



	September 30,
	2015			December 31,
In millions of dollars	(Unaudited)			2014
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs
Cash and due from banks	$	229		$	300
Trading account assets	608			671
Investments	5,584			8,014
Loans, net of unearned income
Consumer	58,161			66,383
Corporate	24,813			29,596
Loans, net of unearned income	$	82,974		$	95,979
Allowance for loan losses	(2,255		)	(2,793		)
Total loans, net	$	80,719		$	93,186
Other assets	8,616			619
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs	$	95,756		$	102,790

Statement continues on the next page.

104

CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries

(Continued)



	September 30,
	2015			December 31,
In millions of dollars, except shares and per share amounts	(Unaudited)			2014
Liabilities
Non-interest-bearing deposits in U.S. offices	$	141,425		$	128,958
Interest-bearing deposits in U.S. offices (including $954 and $994 as of September 30, 2015 and December 31, 2014, respectively, at fair value)	267,057			284,978
Non-interest-bearing deposits in offices outside the U.S.	73,188			70,925
Interest-bearing deposits in offices outside the U.S. (including $766 and $690 as of September 30, 2015 and December 31, 2014, respectively, at fair value)	422,573			414,471
Total deposits	$	904,243		$	899,332
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $39,443 and $36,725 as of September 30, 2015 and December 31, 2014, respectively, at fair value)	168,604			173,438
Brokerage payables	59,557			52,180
Trading account liabilities	125,981			139,036
Short-term borrowings (including $777 and $1,496 as of September 30, 2015 and December 31, 2014, respectively, at fair value)	22,579			58,335
Long-term debt (including $26,238 and $26,180 as of September 30, 2015 and December 31, 2014, respectively, at fair value)	213,533			223,080
Other liabilities (including $1,882 and $1,776 as of September 30, 2015 and December 31, 2014, respectively, at fair value)	91,722			85,084
Total liabilities	$	1,586,219		$	1,630,485
Stockholders’ equity
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 608,720 as of September 30, 2015 and 418,720 as of December 31, 2014, at aggregate liquidation value	$	15,218		$	10,468
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,478,079 as of September 30, 2015 and 3,082,037,568 as of December 31, 2014	31			31
Additional paid-in capital	108,261			107,979
Retained earnings	130,921			117,852
Treasury stock, at cost: September 30, 2015—120,487,619 shares and December 31, 2014—58,119,993 shares	(6,326		)	(2,929		)
Accumulated other comprehensive income (loss)	(27,257		)	(23,216		)
Total Citigroup stockholders’ equity	$	220,848		$	210,185
Noncontrolling interest	1,289			1,511
Total equity	$	222,137		$	211,696
Total liabilities and equity	$	1,808,356		$	1,842,181

The following table presents certain liabilities of consolidated VIEs, which are included in the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.



	September 30,
	2015		December 31,
In millions of dollars	(Unaudited)		2014
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup
Short-term borrowings	$	11,563	$	20,254
Long-term debt	32,442		40,078
Other liabilities	6,523		901
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup	$	50,528	$	61,233

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

105

CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY


(Unaudited)	Citigroup Inc. and Subsidiaries



	Nine Months Ended September 30,
In millions of dollars, except shares in thousands	2015			2014
Preferred stock at aggregate liquidation value
Balance, beginning of year	$	10,468		$	6,738
Issuance of new preferred stock	4,750			2,230
Balance, end of period	$	15,218		$	8,968
Common stock and additional paid-in capital
Balance, beginning of year	$	108,010		$	107,224
Employee benefit plans	325			656
Preferred stock issuance expense	(19		)	(24		)
Other	(24		)	14
Balance, end of period	$	108,292		$	107,870
Retained earnings
Balance, beginning of year	$	117,852		$	111,168
Adjustment to opening balance, net of taxes ⁽¹⁾	—			$	(347	)
Adjusted balance, beginning of period	$	117,852		$	110,821
Citigroup’s net income	13,907			6,966
Common dividends ⁽²⁾	(334		)	(91		)
Preferred dividends	(504		)	(352		)
Tax benefit	—			353
Balance, end of period	$	130,921		$	117,697
Treasury stock, at cost
Balance, beginning of year	$	(2,929	)	$	(1,658	)
Employee benefit plans ⁽³⁾	405			(121		)
Treasury stock acquired ⁽⁴⁾	(3,802		)	(852		)
Balance, end of period	$	(6,326	)	$	(2,631	)
Citigroup’s accumulated other comprehensive income (loss)
Balance, beginning of year	$	(23,216	)	$	(19,133	)
Citigroup’s total other comprehensive income (loss)	(4,041		)	(843		)
Balance, end of period	$	(27,257	)	$	(19,976	)
Total Citigroup common stockholders’ equity	$	205,630		$	202,960
Total Citigroup stockholders’ equity	$	220,848		$	211,928
Noncontrolling interests
Balance, beginning of year	$	1,511		$	1,794
Transactions between Citigroup and the noncontrolling-interest shareholders	(144		)	(80		)
Net income attributable to noncontrolling-interest shareholders	65			154
Dividends paid to noncontrolling-interest shareholders	(78		)	(91		)
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders	(67		)	(57		)
Other	2			(101		)
Net change in noncontrolling interests	$	(222	)	$	(175	)
Balance, end of period	$	1,289		$	1,619
Total equity	$	222,137		$	213,547

(1)

Citi adopted ASU 2014-01 Investments-Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Affordable Housing , in the first quarter of 2015 on a retrospective basis. This adjustment to opening Retained earnings represents the impact to periods prior to January 1, 2014 and is shown as an adjustment to the opening balance since the third quarter of 2014 is the earliest period disclosed in this Form 10-Q. See Note 1 to the Consolidated Financial Statements for additional information.


(2)	Common dividends declared were $0.01 per share in the first quarter and $0.05 both in the second and third quarters of 2015 and $0.01 per share in the first, second, and third quarters of 2014 .


(3)	Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.


(4)	For the nine months ended September 30, 2015 and 2014, primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.

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

106

CONSOLIDATED STATEMENT OF CASH FLOWS (Unaudited)

Citigroup Inc. and Subsidiaries



	Nine Months Ended September 30,
In millions of dollars	2015			2014
Cash flows from operating activities of continuing operations
Net income before attribution of noncontrolling interests	$	13,972		$	7,120
Net income attributable to noncontrolling interests	65			154
Citigroup’s net income	$	13,907		$	6,966
Loss from discontinued operations, net of taxes	(9		)	(1		)
Income from continuing operations—excluding noncontrolling interests	$	13,916		$	6,967
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations
Depreciation and amortization	2,632			2,673
Provision for loan losses	4,852			4,947
Realized gains from sales of investments	(641		)	(348		)
Net impairment losses recognized in earnings	231			331
Change in trading account assets	29,840			(4,894		)
Change in trading account liabilities	(13,055		)	28,510
Change in brokerage receivables net of brokerage payables	(2,079		)	(7,903		)
Change in loans held-for-sale (HFS)	(814		)	(1,989		)
Change in other assets	1,037			19
Change in other liabilities	1,999			5,256
Other, net	3,446			2,459
Total adjustments	$	27,448		$	29,061
Net cash provided by operating activities of continuing operations	$	41,364		$	36,028
Cash flows from investing activities of continuing operations
Change in deposits with banks	$	(10,250	)	$	25,937
Change in federal funds sold and securities borrowed or purchased under agreements to resell	10,875			11,575
Change in loans	(7,158		)	(2,365		)
Proceeds from sales and securitizations of loans	8,127			3,481
Purchases of investments	(195,421		)	(196,943		)
Proceeds from sales of investments	113,953			105,449
Proceeds from maturities of investments	64,850			66,759
Capital expenditures on premises and equipment and capitalized software	(2,472		)	(2,474		)
Proceeds from sales of premises and equipment, subsidiaries and affiliates, and repossessed assets	471			460
Net cash provided by (used in) investing activities of continuing operations	$	(17,025	)	$	11,879
Cash flows from financing activities of continuing operations
Dividends paid	$	(838	)	$	(443	)
Issuance of preferred stock	4,731			2,206
Treasury stock acquired	(3,800		)	(852		)
Stock tendered for payment of withholding taxes	(425		)	(505		)
Change in federal funds purchased and securities loaned or sold under agreements to repurchase	(4,834		)	(27,780		)
Issuance of long-term debt	35,678			48,046
Payments and redemptions of long-term debt	(33,637		)	(40,943		)
Change in deposits	4,911			(25,618		)
Change in short-term borrowings	(35,756		)	5,404
Net cash used in financing activities of continuing operations	$	(33,970	)	$	(40,485	)
Effect of exchange rate changes on cash and cash equivalents	$	(751	)	$	(1,331	)
Change in cash and due from banks	$	(10,382	)	$	6,091
Statement continues on the next page.

107



Cash and due from banks at beginning of period	32,108			29,885
Cash and due from banks at end of period	$	21,726		$	35,976
Supplemental disclosure of cash flow information for continuing operations
Cash paid during the year for income taxes	$	4,043		$	3,687
Cash paid during the year for interest	8,441			9,771
Non-cash investing activities
Decrease in net loans associated with significant disposals reclassified to HFS	$	(9,063	)	$	—
Decrease in investments associated with significant disposals reclassified to HFS	(1,402		)	—
Decrease in goodwill and intangible assets associated with significant disposals reclassified to HFS	(216		)	—
Decrease in deposits with banks with significant disposals reclassified to HFS	(404		)	—
Transfers to loans HFS from loans	17,600			10,700
Transfers to OREO and other repossessed assets	225			220
Non-cash financing activities
Decrease in long-term debt associated with significant disposals reclassified to HFS	$	(6,179	)	$	—

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

108

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

1 . BASIS OF PRESENTATION AND ACCOUNTING CHANGES

Basis of Presentation

The accompanying unaudited Consolidated Financial Statements as of September 30, 2015 and for the three- and nine-month periods ended September 30, 2015 and 2014 include the accounts of Citigroup Inc. (Citigroup) and its consolidated subsidiaries (collectively, the Company, Citi or Citigroup).

In the opinion of management, all adjustments, consisting of normal recurring adjustments, necessary for a fair presentation have been reflected. The accompanying unaudited Consolidated Financial Statements should be read in conjunction with Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2014 filed with the U.S. Securities and Exchange Commission (SEC) on February 25, 2015, including the historical audited consolidated financial statements of Citigroup reflecting the adoption of an accounting change (see “Accounting Changes” below), and certain realignments and reclassifications set forth in Citigroup’s Current Report on Form 8-K filed with the SEC on May 27, 2015 (2014 Annual Report on Form 10-K), and Citigroup’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2015 and June 30, 2015 filed with the SEC on May 11, 2015 (First Quarter of 2015 Form 10-Q) and August 3, 2015 (Second Quarter of 2015 Form 10-Q).

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

Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. While management makes its best judgment, actual results could differ from those estimates. Current market conditions increase the risk and complexity of the judgments in these estimates.

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

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

ACCOUNTING CHANGES

Debt Issuance Costs

In April 2015, the FASB issued Accounting Standards Update (ASU) 2015-03, Interest— Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs , to conform the presentation of debt issuance costs to that of debt discounts and premiums. Thus, the ASU requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability. The guidance is effective beginning on January 1, 2016; however, Citi elected to early adopt the ASU on July 1, 2015

which resulted in an approximately $150 million reclassification from Other assets to Long-term debt . The retrospective application was deemed immaterial and as such prior periods were not restated.

Accounting for Investments in Tax Credit Partnerships

In January 2014, the FASB issued ASU No. 2014-01, Investments-Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Qualified Affordable Housing Projects . Any transition adjustment is reflected as an adjustment to retained earnings in the earliest period presented (retrospective application).

The ASU is applicable to Citi’s portfolio of low income housing tax credit (LIHTC) partnership interests. The new standard widens the scope of investments eligible to elect to apply a new alternative method, the proportional amortization method, under which the cost of the investment is amortized to tax expense in proportion to the amount of tax credits and other tax benefits received. Citi qualifies to elect the proportional amortization method under the ASU for its entire LIHTC portfolio. These investments were previously accounted for under the equity method, which resulted in losses (due to amortization of the investment) being recognized in Other revenue and tax credits and benefits being recognized in the Income tax expense line. In contrast, the proportional amortization method combines the amortization of the investment and receipt of the tax credits/benefits into one line, Income tax expense .

Citi adopted ASU 2014-01 in the first quarter of 2015.

The adoption of this ASU was applied retrospectively and cumulatively reduced Retained earnings by approximately $349 million , Other assets by approximately $178 million , and deferred tax assets by approximately $171 million .

Accounting for Repurchase-to-Maturity Transactions

In June 2014, the FASB issued ASU No. 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. The ASU changes the accounting for repurchase-to-maturity transactions and linked repurchase financings to secured borrowing accounting, which is consistent with the accounting for other repurchase agreements. The ASU also requires disclosures about transfers accounted for as sales in transactions that are economically similar to repurchase agreements (see Note 21 to the Consolidated Financial Statements) and about the types of collateral pledged in repurchase agreements and similar transactions accounted for as secured borrowings (see Note 10 to the Consolidated Financial Statements). The ASU’s provisions became effective for Citi in the first quarter of 2015, with the exception of the collateral disclosures which became effective in the second quarter of 2015. The effect of adopting the ASU is required to be reflected as a cumulative effect adjustment to retained earnings as of the beginning of the period of adoption. Adoption of the ASU did not have a material effect on the Company’s financial statements.

109

Disclosures for Investments in Certain Entities That Calculate Net Asset Value (NAV) per Share

In May 2015, the FASB issued ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent), which is intended to reduce diversity in practice related to the categorization of investments measured at NAV within the fair value hierarchy. The ASU removes the current requirement to categorize investments for which fair value is measured using the NAV per share practical expedient within the fair value hierarchy. Citi elected to early adopt the ASU in the second quarter of 2015. The adoption of the ASU was applied retrospectively and reduced Level 3 assets by $1.0 billion and $1.1 billion as of June 30, 2015 and December 31, 2014, respectively.

FUTURE APPLICATION OF ACCOUNTING STANDARDS

Consolidation

In February 2015, the FASB issued ASU No. 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis , which is intended to improve certain areas of consolidation guidance for legal entities such as limited partnerships, limited liability companies, and securitization structures. The ASU will reduce the number of consolidation models. The ASU will be effective on January 1, 2016. The Company does not expect ASU 2015-02 to have a material impact on its Consolidated Financial Statements.

Revenue Recognition

In May 2014, the FASB issued ASU No. 2014-09, Revenue from Contracts with Customers , which requires an entity to recognize the amount of revenue to which it expects to be entitled for the transfer of promised goods or services to customers. The ASU will replace most existing revenue recognition guidance in GAAP when it becomes effective on January 1, 2018. Early application is permitted for annual periods beginning after December 15, 2016. The standard permits the use of either the retrospective or cumulative effect transition method. The Company is evaluating the effect that ASU 2014-09 will have on its consolidated financial statements and related disclosures. The Company has not yet selected a transition method nor has it determined the effect of the standard on its financial statements.

Accounting for Financial Instruments—Credit Losses

In December 2012, the FASB issued a proposed ASU, Financial Instruments—Credit Losses. This proposed ASU, or exposure draft, was issued for public comment in order to allow stakeholders the opportunity to review the proposal and provide comments to the FASB and does not constitute accounting guidance until a final ASU is issued.

The exposure draft contains proposed guidance developed by the FASB with the goal of improving financial reporting about expected credit losses on loans, securities and other financial assets held by financial institutions and other organizations. The exposure draft proposes a new

accounting model intended to require earlier recognition of credit losses, while also providing additional transparency about credit risk.

The FASB’s proposed model would utilize an “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity securities and other receivables at the time the financial asset is originated or acquired and adjusted each period for changes in expected credit losses. For available-for-sale securities where fair value is less than cost, credit-related impairment would be recognized in an allowance for credit losses and adjusted each period for changes in credit risk. This would replace the multiple existing impairment models in GAAP, which generally require that a loss be incurred before it is recognized.

The FASB’s proposed model represents a significant departure from existing GAAP, and may result in material changes to the Company’s accounting for financial instruments. The impact of the FASB’s final ASU on the Company’s financial statements will be assessed when it is issued. The exposure draft does not contain a proposed effective date; this would be included in the final ASU, when issued.

110

2 . DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

Discontinued Operations

The following Discontinued operations are recorded within the Corporate/Other segment.

Sale of Brazil Credicard Business

Citi sold its non-Citibank-branded cards and consumer finance business in Brazil (Credicard) in 2013 and reported it as Discontinued operations . Residual costs and resolution of certain contingencies from the disposal resulted in losses from Discontinued operations , net of taxes, of $0 million and $3 million for the three months ended September 30, 2015 and 2014 , respectively, and income from Discontinued operations, net of taxes, of $6 million and $53 million , for the nine months ended September 30, 2015 and 2014 , respectively.

Sale of Certain Citi Capital Advisors Business

Citi sold its liquid strategies business within Citi Capital Advisors (CCA) pursuant to two separate transactions in 2013 and reported them as Discontinued operations . Citigroup retained a 24.9% passive equity interest in the management company (which is held in Citi’s Institutional Clients Group segment). Residual costs from the disposals resulted in losses and income from Discontinued operations , net of taxes, of $0 million and $3 million for the three months ended September 30, 2015 and 2014 , respectively, and income and losses from Discontinued operations, net of taxes, of $1 million and $5 million , for the nine months ended September 30, 2015 and 2014 , respectively.

Sale of Egg Banking plc Credit Card Business

Citi completed the sale of the Egg Banking plc (Egg) credit card business in 2011 and reported it as Discontinued operations . Residual costs from the disposal resulted in losses from Discontinued operations , net of taxes, of $10 million for both the three months ended September 30, 2015 and 2014 , respectively, and losses from Discontinued operations, net of taxes, of $16 million and $29 million for the nine months ended September 30, 2015 and 2014 , respectively.

Audit of Citi German Consumer Tax Group

Citi completed the sale of its German retail banking operations in 2008 and reported them as Discontinued operations . During 2014, residual costs from the disposal resulted in a tax expense of $20 million .

Combined Results for Discontinued Operations

The following is summarized financial information for Credicard, CCA, Egg and previous Discontinued operations for which Citi continues to have minimal residual costs associated with the sales:



	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2015			2014			2015			2014
Total revenues, net of interest expense	$	—		$	2		$	—		$	75
Income (loss) from discontinued operations	$	(15	)	$	(25	)	$	(14	)	$	12
Provision (benefit) for income taxes	(5		)	(9		)	(5		)	13
Income (loss) from discontinued operations, net of taxes	$	(10	)	$	(16	)	$	(9	)	$	(1	)

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

Significant Disposals

The following sales were identified as significant disposals, including the assets and liabilities that were reclassified to HFS within Other assets and Other liabilities on the Consolidated Balance Sheet and the Income (loss) before taxes (benefits ) related to each business.

Agreement to Sell OneMain Financial Business

On March 3, 2015, Citi entered into an agreement to sell its OneMain Financial business that is part of Citi Holdings. The sale, which is subject to regulatory approvals and other customary closing conditions, is expected to occur during the fourth quarter of 2015. Income before taxes is as follows:



	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2015		2014		2015		2014
Income before taxes	$	216	$	223	$	570	$	710

111

The following assets and liabilities of the OneMain Financial business were identified and reclassified to HFS within Other assets and Other liabilities on the Consolidated Balance Sheet at September 30, 2015 :



In millions of dollars	September 30, 2015
Assets
Cash and deposits with banks	$	523
Investments	1,403
Loans (net of allowance of $666 million)	7,731
Intangible assets	155
Other assets	417
Total assets	$	10,229
Liabilities
Long-term debt	$	6,179
Short-term borrowings	1,136
Other liabilities, due to/from subs	292
Other liabilities	1,106
Total liabilities	$	8,713

Agreement to Sell Japan Cards Business

On March 31, 2015, Citi entered into an agreement to sell its Japan cards business that is part of Citi Holdings effective January 1, 2015. The sale, which is subject to regulatory approvals and other customary closing conditions, is expected to occur during the fourth quarter of 2015. Income before taxes is as follows:



	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2015		2014		2015		2014
Income before taxes	$	4	$	1	$	13	$	—

The following assets and liabilities of the Japan cards business were identified and reclassified to HFS within Other assets and Other liabilities on the Consolidated Balance Sheet at September 30, 2015 :



In millions of dollars	September 30, 2015
Assets
Cash and deposits with banks	$	16
Loans (net of allowance of $23 million)	1,332
Goodwill	61
Other assets	77
Total assets	$	1,486
Liabilities
Other liabilities	$	463
Total liabilities	$	463

Agreement to Sell Japan Retail Banking Business

On December 25, 2014, Citi entered into an agreement to sell its Japan retail banking business that is part of Citi Holdings effective January 1, 2015. The sale, which is subject to regulatory approvals and other customary closing conditions, is expected to occur during the fourth quarter of 2015. Income before taxes is as follows:



	Three Months Ended September 30,					Nine Months Ended September 30,
In millions of dollars	2015			2014		2015			2014
Income (loss) before taxes	$	(22	)	$	5	$	(2	)	$	5

The following assets and liabilities of the Japan retail banking business were identified and reclassified to HFS within Other assets and Other liabilities on the Consolidated Balance Sheet at September 30, 2015 and December 31, 2014 :



	September 30,		December 31,
In millions of dollars	2015		2014
Assets
Cash and deposits with banks	$	126	$	151
Loans (net of allowance of $1 million and $2 million at September 30, 2015 and December 31, 2014, respectively)	564		544
Goodwill	51		51
Other assets, advances to/from subs	19,036		19,854
Other assets	48		66
Total assets	$	19,825	$	20,666
Liabilities
Deposits	$	19,779	$	20,605
Other liabilities	46		61
Total liabilities	$	19,825	$	20,666

112

Combined Significant Disposals—HFS Balance Sheet Reclassifications

The following assets and liabilities of the Japan retail banking, Japan cards business and OneMain Financial business were identified and reclassified to HFS within Other assets and Other liabilities on the Consolidated Balance Sheet at September 30, 2015 (OneMain, Japan cards and Japan retail) and December 31, 2014 (Japan retail):



In millions of dollars	September 30, 2015		December 31, 2014
Assets
Cash and deposits with banks	$	665	$	151
Investments	1,403		—
Loans (net of allowance of $690 million and $2 million at September 30, 2015 and December 31, 2014)	9,627		544
Goodwill	112		51
Intangible assets	155		—
Other assets, advances to/from subs	19,036		19,854
Other assets	542		66
Total assets	$	31,540	$	20,666
Liabilities
Deposits	$	19,779	$	20,605
Long-term debt	6,179		—
Short-term borrowings	1,136		—
Other liabilities, due to/from subs	292		—
Other liabilities	1,615		61
Total liabilities	$	29,001	$	20,666

Sale of Spain Consumer Operations

On September 22, 2014, Citi sold its consumer operations in Spain, which were part of Citi Holdings, including $1.7 billion of consumer loans (net of allowance), $3.4 billion of assets under management, $2.2 billion of customer deposits, 45 branches, 48 ATMs and 938 employees, with the buyer assuming the related current pension commitments at closing. The transaction generated a pretax gain on sale of $243 million ( $131 million after-tax). Income before taxes is as follows:



	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2015		2014		2015		2014
Income before taxes	$	—	$	340	$	—	$	373

Sale of Greece Consumer Operations

On September 30, 2014, Citi sold its consumer operations in Greece, which were part of Citi Holdings, including $353 million of consumer loans (net of allowance), $1.1 billion of assets under management, $1.2 billion of customer deposits, 20 branches, 85 ATMs and 719 employees, with the buyer assuming certain limited pension obligations related to Diners’ Club’s employees at closing. The transaction generated a pretax gain on sale of $209 million ( $91 million after-tax).

Income before taxes is as follows:



	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2015		2014		2015		2014
Income before taxes	$	—	$	173	$	—	$	133

113

3 . BUSINESS SEGMENTS

Citigroup’s activities are conducted through the Global Consumer Banking (GCB), Institutional Clients Group (ICG), Corporate/Other and Citi Holdings business segments.

GCB includes a global, full-service consumer franchise delivering a wide array of banking, credit card lending and investment services through a network of local branches, offices and electronic delivery systems and is composed of four GCB businesses: North America, EMEA, Latin America and Asia .

ICG is composed of Banking and Markets and securities services and provides corporate, institutional, public sector and high-net-worth clients in approximately 100 countries with a broad range of banking and financial products and services.

Corporate/Other includes certain unallocated costs of global functions, other corporate expenses and net treasury results, unallocated corporate expenses, offsets to certain line-item reclassifications and eliminations, the results of discontinued operations and unallocated taxes.

Citi Holdings is composed of businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses.

The accounting policies of these reportable segments are the same as those disclosed in Note 1 to the Consolidated

Financial Statements in Citi’s 2014 Annual Report on Form 10-K.The prior-period balances reflect reclassifications to conform the presentation for all periods to the current period’s presentation. Effective January 1, 2015, financial data was reclassified from Citicorp to Citi Holdings for the consumer businesses in 11 markets and the consumer finance business in Korea in Global Consumer Banking (GCB) and certain businesses in Institutional Clients Group that Citi planned to exit, changes in Citi’s charge out of certain assets and non-interest revenues from the Corporate/Other segment to Citi’s businesses, changes in charge outs of certain administrative, operations and technology costs among Citi’s businesses and certain other immaterial reclassifications. Citi’s consolidated results remain unchanged for all periods presented as a result of the changes discussed above.

In addition, as discussed in Note 1 to the Consolidated Financial Statements, Citi adopted ASU 2014-01 in the first quarter of 2015. The ASU is applicable to Citi’s portfolio of low income housing tax credit partnership interests. Citi’s disclosures reflect the retrospective application of the ASU and impacts Citi’s consolidated assets, revenues, provision for income taxes and net income for all periods presented.

The following table presents certain information regarding the Company’s continuing operations by segment:



	Revenues, net of interest expense ⁽¹⁾				Provision (benefits) for income taxes						Income (loss) from continuing operations ⁽²⁾					Identifiable assets
	Three Months Ended September 30,
In millions of dollars, except identifiable assets in billions	2015		2014		2015			2014			2015		2014			September 30, 2015		December 31, 2014
Global Consumer Banking	$	8,460	$	9,201	$	919		$	995		$	1,682	$	1,894		$	388	$	406
Institutional Clients Group	8,597		8,336		1,186			1,102			2,410		2,343			1,258		1,257
Corporate/Other	218		82		(314		)	(103		)	183		(1,537		)	52		50
Total Citicorp	$	17,275	$	17,619	$	1,791		$	1,994		$	4,275	$	2,700		$	1,698	$	1,713
Citi Holdings	1,417		2,070		90			74			31		216			110		129
Total	$	18,692	$	19,689	$	1,881		$	2,068		$	4,306	$	2,916		$	1,808	$	1,842



	Revenues, net of interest expense ⁽¹⁾				Provision (benefits) for income taxes						Income (loss) from continuing operations ⁽²⁾
	Nine Months Ended September 30,
In millions of dollars	2015		2014		2015			2014			2015		2014
Global Consumer Banking	$	25,671	$	26,989	$	2,644		$	2,539		$	5,037	$	5,131
Institutional Clients Group	26,503		25,892		3,861			3,628			8,209		7,857
Corporate/Other	800		394		(871		)	(57		)	394		(2,309		)
Total Citicorp	$	52,974	$	53,275	$	5,634		$	6,110		$	13,640	$	10,679
Citi Holdings	4,924		6,045		403			10			341		(3,558		)
Total	$	57,898	$	59,320	$	6,037		$	6,120		$	13,981	$	7,121

(1)

Includes Citicorp (excluding Corporate/Other ) total revenues, net of interest expense, in North America of $8.1 billion and $8.2 billion ; in EMEA of $2.7 billion and $2.5 billion ; in Latin America of $3.0 billion and $3.2 billion ; and in Asia of $3.3 billion and $3.6 billion for the three months ended September 30, 2015 and 2014, respectively. Regional numbers exclude Citi Holdings and Corporate/Other , which largely operate within the U.S. Includes Citicorp (excluding Corporate/Other ) total revenues, net of interest expense, in North America of $24.4 billion and $24.4 billion ; in EMEA of $8.5 billion and $8.4 billion ; in Latin America of $8.9 billion and $9.7 billion ; and in Asia of $10.4 billion and $10.4 billion for the nine months ended September 30, 2015 and 2014, respectively.

(2)

Includes pretax provisions (credits) for credit losses and for benefits and claims in the GCB results of $1.4 billion and $1.3 billion ; in the ICG results of $309 million and $(21) million ; and in Citi Holdings results of $0.2 billion and $0.4 billion for the three months ended September 30, 2015 and 2014, respectively. Includes pretax provisions (credits) for credit losses and for benefits and claims in the GCB results of $4.3 billion and $4.4 billion ; in the ICG results of $288 million and $(106) million ; and in Citi Holdings results of $0.8 billion and $1.2 billion for the nine months ended September 30, 2015 and 2014, respectively.

114

4 . INTEREST REVENUE AND EXPENSE

For the three and nine months ended September 30, 2015 and 2014, Interest revenue and Interest expense consisted of the following:



	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2015		2014		2015		2014
Interest revenue
Loan interest, including fees	$	9,985	$	11,187	$	30,544	$	33,729
Deposits with banks	187		235		538		737
Federal funds sold and securities borrowed or purchased under agreements to resell	656		567		1,962		1,753
Investments, including dividends	1,727		1,824		5,194		5,388
Trading account assets ⁽¹⁾	1,498		1,484		4,517		4,424
Other interest	661		215		1,432		392
Total interest revenue	$	14,714	$	15,512	$	44,187	$	46,423
Interest expense
Deposits ⁽²⁾	$	1,215	$	1,417	$	3,828	$	4,335
Federal funds purchased and securities loaned or sold under agreements to repurchase	379		411		1,198		1,473
Trading account liabilities ⁽¹⁾	57		38		158		127
Short-term borrowings	159		141		436		440
Long-term debt	1,131		1,318		3,400		4,156
Total interest expense	$	2,941	$	3,325	$	9,020	$	10,531
Net interest revenue	$	11,773	$	12,187	$	35,167	$	35,892
Provision for loan losses	1,582		1,575		4,852		4,947
Net interest revenue after provision for loan losses	$	10,191	$	10,612	$	30,315	$	30,945


(1)	Interest expense on Trading account liabilities of ICG is reported as a reduction of interest revenue from Trading account assets .


(2)	Includes deposit insurance fees and charges of $264 million and $234 million for the three months ended September 30, 2015 and 2014, respectively, and $849 million and $766 million for the nine months ended September 30, 2015 and 2014, respectively.

115

5 . COMMISSIONS AND FEES

The primary components of Commissions and fees revenue are investment banking fees, trading-related fees, credit card and bank card fees and fees related to trade and securities services in ICG .

Investment banking fees are substantially composed of underwriting and advisory revenues and are recognized when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the closing of the transaction. Underwriting revenue is recorded in Commissions and fees , net of both reimbursable and non-reimbursable expenses, consistent with the AICPA Audit and Accounting Guide for Brokers and Dealers in Securities (codified in ASC 940-605-05-1). Expenses associated with advisory transactions are recorded in Other operating expenses, net of client reimbursements. Out-of-pocket expenses are deferred and recognized at the time the related revenue is recognized. In general, expenses incurred related to investment banking transactions that fail to close (are not consummated) are recorded gross in Other operating expenses .

Trading-related fees primarily include commissions and fees from the following: executing transactions for clients on exchanges and over-the-counter markets; sale of mutual funds, insurance and other annuity products; and assisting clients in clearing transactions, providing brokerage services and other such activities. Trading-related fees are recognized when earned in Commissions and fees . Gains or losses, if any, on these transactions are included in Principal transactions (see Note 6 to the Consolidated Financial Statements).

Credit card and bank card fees are primarily composed of interchange revenue and certain card fees, including annual fees, reduced by reward program costs and certain partner payments. Interchange revenue and fees are recognized when earned; annual card fees are deferred and amortized on a straight-line basis over a 12 -month period. Reward costs are recognized when points are earned by the customers. The following table presents Commissions and fees revenue for the three and nine months ended September 30 :



	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2015		2014		2015		2014
Investment banking	$	692	$	931	$	2,590	$	2,848
Trading-related	566		664		1,816		2,010
Credit cards and bank cards	415		570		1,413		1,698
Trade and securities services	428		469		1,311		1,396
Other consumer ⁽¹⁾	160		237		522		679
Corporate finance ⁽²⁾	113		113		384		389
Checking-related	128		138		374		408
Loan servicing	103		93		317		279
Other	127		65		369		198
Total commissions and fees	$	2,732	$	3,280	$	9,096	$	9,905


(1)	Primarily consists of fees for investment fund administration and management, third-party collections, commercial demand deposit accounts and certain credit card services.


(2)	Consists primarily of fees earned from structuring and underwriting loan syndications.

116

6 . PRINCIPAL TRANSACTIONS

Principal transactions revenue consists of realized and unrealized gains and losses from trading activities. Trading activities include revenues from fixed income, equities, credit and commodities products and foreign exchange transactions. Not included in the table below is the impact of net interest revenue related to trading activities, which is an integral part of trading activities’ profitability. See Note 4 to the Consolidated Financial Statements for information about net

interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustments on derivatives), FVA (funding valuation adjustments) on over-the-counter derivatives and DVA (debt valuation adjustments on issued liabilities for which the fair value option has been elected), which adjustments are discussed further in Note 22 to the Consolidated Financial Statements.

The following table presents principal transactions revenue for the three and nine months ended September 30 :



	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2015			2014			2015			2014
Global Consumer Banking	$	161		$	199		$	491		$	541
Institutional Clients Group	1,209			1,396			5,205			5,577
Corporate/Other	(26		)	(223		)	(266		)	(203		)
Subtotal Citicorp	$	1,344		$	1,372		$	5,430		$	5,915
Citi Holdings	(17		)	177			41			365
Total Citigroup	$	1,327		$	1,549		$	5,471		$	6,280
Interest rate contracts ⁽¹⁾	$	907		$	911		$	3,497		$	3,240
Foreign exchange contracts ⁽²⁾	432			464			1,236			1,637
Equity contracts ⁽³⁾	(183		)	(9		)	(254		)	37
Commodity and other contracts ⁽⁴⁾	180			164			614			486
Credit products and derivatives ⁽⁵⁾	(9		)	19			378			880
Total	$	1,327		$	1,549		$	5,471		$	6,280

(1)

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


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


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


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


(5)	Includes revenues from structured credit products.

117

7 . INCENTIVE PLANS

All equity awards granted since April 19, 2005 have been made pursuant to stockholder-approved stock incentive plans that are administered by the Personnel and Compensation Committee of the Citigroup Board of Directors, which is composed entirely of independent non-employee directors. For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 2014 Annual Report on Form 10-K.

118

8 . RETIREMENT BENEFITS

For additional information on Citi’s retirement benefits, see Note 8 to the Consolidated Financial Statements in the Company’s 2014 Annual Report on Form 10-K.

Pension and Postretirement Plans

The Company has several non-contributory defined benefit pension plans covering certain U.S. employees and has various defined benefit pension and termination indemnity plans covering employees outside the United States.

The U.S. qualified defined benefit plan was frozen effective January 1, 2008 for most employees. Accordingly, no additional compensation-based contributions were credited to the cash balance portion of the plan for existing plan participants after 2007. However, certain employees covered under the prior final pay plan formula continue to accrue benefits. The Company also offers postretirement health care and life insurance benefits to certain eligible U.S. retired employees, as well as to certain eligible employees outside the United States.

The Company also sponsors a number of non-contributory, nonqualified pension plans. These plans, which

are unfunded, provide supplemental defined pension benefits to certain U.S. employees. With the exception of certain employees covered under the prior final pay plan formula, the benefits under these plans were frozen in prior years.

The plan obligations, plan assets and periodic plan expense for the Company’s most significant pension and postretirement benefit plans (Significant Plans) are remeasured and disclosed quarterly, instead of annually. The Significant Plans captured approximately 90% of the Company’s global pension and postretirement plan obligations as of September 30, 2015. All other plans (All Other Plans) are remeasured annually with a December 31 measurement date.

Net (Benefit) Expense

The following table summarizes the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s U.S. qualified and nonqualified pension plans and postretirement plans and plans outside the United States, for Significant Plans and All Other Plans, for the periods indicated.



	Three Months Ended September 30,
	Pension plans												Postretirement benefit plans
	U.S. plans						Non-U.S. plans						U.S. plans				Non-U.S. plans
In millions of dollars	2015			2014			2015			2014			2015		2014		2015			2014
Qualified plans
Benefits earned during the period	$	1		$	1		$	42		$	43		$	—	$	—	$	3		$	4
Interest cost on benefit obligation	143			132			77			93			8		8		25			30
Expected return on plan assets	(223		)	(220		)	(81		)	(98		)	—		—		(25		)	(31		)
Amortization of unrecognized
Prior service (benefit) cost	—			(1		)	—			—			—		—		(3		)	(3		)
Net actuarial loss	31			29			17			20			—		—		10			10
Curtailment loss ⁽¹⁾	2			11			—			(5		)	—		—		—			—
Settlement loss (gain) ⁽¹⁾	—			—			—			26			—		—		—			—
Special termination benefits ⁽¹⁾	—			—			—			8			—		—		—			—
Net qualified plans (benefit) expense	$	(46	)	$	(48	)	$	55		$	87		$	8	$	8	$	10		$	10
Nonqualified plans expense	11			10			—			—			—		—		—			—
Total net (benefit) expense	$	(35	)	$	(38	)	$	55		$	87		$	8	$	8	$	10		$	10


(1)	Losses (gains) due to curtailment and settlement relate to repositioning actions in the U.S. and certain countries outside the U.S.

119



	Nine Months Ended September 30,
	Pension plans												Postretirement benefit plans
	U.S. plans						Non-U.S. plans						U.S. plans					Non-U.S. plans
In millions of dollars	2015			2014			2015			2014			2015		2014			2015			2014
Qualified plans
Benefits earned during the period	$	3		$	4		$	129		$	136		$	—	$	—		$	10		$	11
Interest cost on benefit obligation	411			410			237			287			24		25			82			90
Expected return on plan assets	(668		)	(656		)	(248		)	(291		)	—		(1		)	(81		)	(92		)
Amortization of unrecognized
Prior service (benefit) cost	(2		)	(3		)	—			2			—		—			(9		)	(9		)
Net actuarial loss	106			78			56			60			—		—			33			30
Curtailment loss ⁽¹⁾	12			11			—			12			—		—			—			—
Settlement loss (gain) ⁽¹⁾	—			—			—			39			—		—			—			(2		)
Special termination benefits ⁽¹⁾				—						8					—						—
Net qualified plans (benefit) expense	$	(138	)	$	(156	)	$	174		$	253		$	24	$	24		$	35		$	28
Nonqualified plans expense	33			34			—			—			—		—			—			—
Total net (benefit) expense	$	(105	)	$	(122	)	$	174		$	253		$	24	$	24		$	35		$	28


(1)	Losses (gains) due to curtailment, settlement and special termination benefits relate to repositioning actions in the U.S. and certain countries outside the U.S.

Funded Status and Accumulated Other Comprehensive Income

The following table summarizes the funded status and amounts recognized in the Consolidated Balance Sheet for the Company’s Significant Plans.

Net Amount Recognized



	Nine Months Ended September 30, 2015
	Pension plans						Postretirement benefit plans
In millions of dollars	U.S. plans			Non-U.S. plans			U.S. plans			Non-U.S. plans
Change in projected benefit obligation
Projected benefit obligation at beginning of year	$	14,839		$	7,252		$	917		$	1,527
Plans measured annually	—			(2,070		)	—			(348		)
Projected benefit obligation at beginning of year — Significant Plans	$	14,839		$	5,182		$	917		$	1,179
First quarter activity	201			(47		)	3			(25		)
Second quarter activity	(1,057		)	—			(76		)	(74		)
Projected benefit obligation at June 30, 2015 — Significant Plans	$	13,983		$	5,135		$	844		$	1,080
Benefits earned during the period	1			23			—			2
Interest cost on benefit obligation	151			63			8			21
Actuarial loss/(gain)	135			(105		)	2			(6		)
Benefits paid, net of participants’ contributions	(205		)	(63		)	(12		)	(12		)
Curtailment loss ⁽¹⁾	2			—			—			—
Foreign exchange impact and other	—			(325		)	—			(77		)
Projected benefit obligation at period end—Significant Plans	$	14,067		$	4,728		$	842		$	1,008


(1)	Losses due to curtailment relate to repositioning actions in the U.S.

120



	Nine Months Ended September 30, 2015
	Pension plans						Postretirement benefit plans
In millions of dollars	U.S. plans			Non-U.S. plans			U.S. plans			Non-U.S. plans
Change in plan assets
Plan assets at fair value at beginning of year	$	13,071		$	7,057		$	10		$	1,384
Plans measured annually	—			(1,406		)	—			(9		)
Plan assets at fair value at beginning of year — Significant Plans	$	13,071		$	5,651		$	10		$	1,375
First quarter activity	129			(154		)	$	(4	)	(54		)
Second quarter activity	(256		)	(23		)	$	(3	)	(43		)
Plan assets at fair value at June 30, 2015 — Significant Plans	$	12,944		$	5,474		$	3		$	1,278
Actual return on plan assets	(356		)	15			—			(22		)
Company contributions	13			11			184			—
Plan participants’ contributions	—			1			—			—
Benefits paid	(205		)	(64		)	(13		)	(12		)
Foreign exchange impact and other	—			(346		)	—			(92		)
Plan assets at fair value at period end—Significant Plans	$	12,396		$	5,091		$	174		$	1,152

Funded status of the plans
Qualified plans	$	(948	)	$	363		$	(668	)	$	144
Nonqualified plans	(723		)	—			—			—
Funded status of the plans at period end—Significant Plans	$	(1,671	)	$	363		$	(668	)	$	144

Net amount recognized
Benefit asset	$	—		$	363		$	—		$	144
Benefit liability	(1,671		)	—			(668		)	—
Net amount recognized on the balance sheet—Significant Plans	$	(1,671	)	$	363		$	(668	)	$	144

Amounts recognized in Accumulated other comprehensive income (loss)
Prior service benefit (cost)	$	—		$	12		$	—		$	116
Net actuarial gain (loss)	(6,189		)	(1,048		)	(6		)	(485		)
Net amount recognized in equity (pretax) - Significant Plans	$	(6,189	)	$	(1,036	)	$	(6	)	$	(369	)

Accumulated benefit obligation at period end - Significant Plans	$	14,057		$	4,420		$	842		$	1,008

The following table shows the change in Accumulated other comprehensive income (loss) related to Citi’s pension and postretirement benefit plans (for Significant Plans and All Other Plans) for the periods indicated.



	Three Months Ended			Nine Months Ended
In millions of dollars	September 30, 2015			September 30, 2015
Beginning of period balance, net of tax ^{(1) (2)}	$	(4,671	)	$	(5,159	)
Actuarial assumptions changes and plan experience	(26		)	851
Net asset gain (loss) due to difference between actual and expected returns	(681		)	(1,051		)
Net amortizations	54			179
Prior service credit	—			(6		)
Foreign exchange impact and other	108			171
Change in deferred taxes, net	185			(16		)
Change, net of tax	$	(360	)	$	128
End of period balance, net of tax ^{(1) (2)}	$	(5,031	)	$	(5,031	)


(1)	See Note 18 to the Consolidated Financial Statements for further discussion of net Accumulated other comprehensive income (loss) balance.


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

121

Plan Assumptions

The Company utilizes a number of assumptions to determine plan obligations and expenses. Changes in one or a combination of these assumptions will have an impact on the Company’s pension and postretirement projected benefit obligations, funded status and (benefit) expense. Changes in the plans’ funded status resulting from changes in the projected benefit obligation and fair value of plan assets will have a corresponding impact on Accumulated other comprehensive income (loss) .

The discount rates used during the period in determining the pension and postretirement net (benefit) expense for the Significant Plans are shown in the following table:



Net benefit (expense) assumed discount rates during the period ⁽¹⁾	Three Months Ended
	Sept. 30, 2015	Jun. 30, 2015	Sept. 30, 2014
U.S. plans
Qualified pension	4.45%	3.85%	4.25%
Nonqualified pension	4.30	3.70	4.75
Postretirement	4.20	3.65	3.95
Non-U.S. plans
Pension	1.00-12.00	0.70 - 12.25	4.30 - 8.00
Weighted average	5.41	5.14	5.95
Postretirement	8.50	8.00	8.40

(1) The Company uses a quarterly remeasurement approach for its Significant Plans. The rates for the three months ended September 30, 2015 and June 30, 2015 shown above were utilized to calculate the 2015 third and second quarter expense, respectively. The rates for the three months ended September 30, 2014 shown above were utilized to calculate the 2014 third quarter expense.

The discount rates used at period end in determining the pension and postretirement benefit obligations for the Significant Plans are shown in the following table:



Plan obligations assumed discount rates at period ended ⁽¹⁾	Sept. 30, 2015	June 30, 2015	Mar. 31, 2015
U.S. plans
Qualified pension	4.35%	4.45%	3.85%
Nonqualified pension	4.25	4.30	3.70
Postretirement	4.10	4.20	3.65
Non-U.S. plans
Pension	0.75 - 13.30	1.00 - 12.00	0.70 - 12.25
Weighted average	5.30	5.41	5.14
Postretirement	8.55	8.50	8.00

(1) For the Significant Plans, the September 30, 2015 rates shown above are

utilized to calculate the September 30, 2015 benefit obligation and will be

utilized to calculate the 2015 fourth quarter expense. The June 30, 2015 rates were utilized to calculate the third quarter 2015 expense. The March 31, 2015 rates were utilized to calculate the second quarter 2015 expense.

Sensitivities of Certain Key Assumptions

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



	Three Months Ended September 30, 2015
In millions of dollars	One-percentage-point increase	One-percentage-point decrease
Pension
U.S. plans	$5	$(10)
Non-U.S. plans	(5)	9

Postretirement
U.S. plans	$1	$(1)
Non-U.S. plans	(2)	2

Since the U.S. plans were frozen, the majority of the prospective service cost has been eliminated and the gain/loss amortization period was changed to the life expectancy for inactive participants. As a result, expense for the U.S. plans is driven more by interest costs than service costs and an increase in the discount rate would increase expense, while a decrease in the discount rate would decrease expense.

Contributions

The Company’s funding practice for U.S. and non-U.S. pension plans is generally to fund to minimum funding requirements in accordance with applicable local laws and regulations. The Company may increase its contributions above the minimum required contribution, if appropriate. In addition, management has the ability to change its funding practices. For the U.S. pension plans, there were no required minimum cash contributions during the third quarter of 2015. The company made a discretionary contribution of $174 million to the U.S. postretirement plan during the third quarter of 2015. This contribution will be used to pay future retiree medical claims.

The following table summarizes the actual Company contributions for the nine months ended September 30, 2015 and 2014, as well as estimated expected Company contributions for the remainder of 2015 and the contributions made in the fourth quarter of 2014. Expected contributions are subject to change since contribution decisions are affected by various factors, such as market performance and regulatory requirements.

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Summary of Company Contributions



	Pension plans								Postretirement plans
	U.S. plans ⁽¹⁾				Non-U.S. plans				U.S. plans				Non-U.S. plans
In millions of dollars	2015		2014		2015		2014		2015		2014		2015		2014
Company contributions ⁽²⁾ for the nine months ended September 30	$	33	$	139	$	85	$	164	$	217	$	34	$	7	$	2
Company contributions expected for the remainder of the year	$	12	$	12	$	47	$	43	$	15	$	17	$	3	$	10


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


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

Defined Contribution Plans

The Company sponsors defined contribution plans in the U.S. and in certain non-U.S. locations, all of which are administered in accordance with local laws. The most significant defined contribution plan is the Citigroup 401(k) Plan sponsored by the Company in the U.S.

Under the Citigroup 401(k) Plan, eligible U.S. employees receive matching contributions of up to 6% of their eligible compensation for 2015 and 2014, subject to statutory limits. Additionally, for eligible employees whose eligible compensation is $100,000 or less, a fixed contribution of up to 2% of eligible compensation is provided.

All Company contributions are invested according to participants’ individual elections. The expense associated with this plan amounted to approximately $94 million and $93 million for the three months ended September 30, 2015 and 2014, respectively, and $295 million and $298 million for the nine months ended September 30, 2015 and 2014, respectively.

Postemployment Plans

The Company sponsors U.S. postemployment plans that provide income continuation and health and welfare benefits to certain eligible U.S. employees on long-term disability.

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



	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2015			2014			2015			2014
Service-related expense
Benefits earned during the period	$	—		$	—		$	—		$	—
Interest cost on benefit obligation	1			2			3			4
Amortization of unrecognized
Prior service benefit	(8		)	(8		)	(23		)	(23		)
Net actuarial loss	3			3			9			10
Total service-related benefit	$	(4	)	$	(3	)	$	(11	)	$	(9	)
Non-service-related (benefit) expense	$	9		$	4		$	15		$	21
Total net expense	$	5		$	1		$	4		$	12

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9 . EARNINGS PER SHARE

The following is a reconciliation of the income and share data used in the basic and diluted earnings per share (EPS) computations for the three and nine months ended September 30 :



	Three Months Ended September 30,						Nine Months Ended September 30,
In millions, except per-share amounts	2015			2014			2015			2014
Income from continuing operations before attribution of noncontrolling interests	$	4,306		$	2,916		$	13,981		$	7,121
Less: Noncontrolling interests from continuing operations	5			59			65			154
Net income from continuing operations (for EPS purposes)	$	4,301		$	2,857		$	13,916		$	6,967
Income (loss) from discontinued operations, net of taxes	(10		)	(16		)	(9		)	(1		)
Citigroup's net income	$	4,291		$	2,841		$	13,907		$	6,966
Less: Preferred dividends ⁽¹⁾	174			128			504			352
Net income available to common shareholders	$	4,117		$	2,713		$	13,403		$	6,614
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS	56			44			182			108
Net income allocated to common shareholders for basic and diluted EPS	$	4,061		$	2,669		$	13,221		$	6,506
Weighted-average common shares outstanding applicable to basic EPS	2,993.3			3,029.5			3,015.8			3,033.5
Effect of dilutive securities
Options ⁽²⁾	3.4			5.1			4.4			5.0
Other employee plans	0.2			0.2			0.2			0.3
Convertible securities ⁽³⁾	—			—			—			—
Adjusted weighted-average common shares outstanding applicable to diluted EPS	2,996.9			3,034.8			3,020.4			3,038.8
Basic earnings per share ⁽⁴⁾
Income from continuing operations	$	1.36		$	0.89		$	4.39		$	2.14
Discontinued operations	—			(0.01		)	—			—
Net income	$	1.36		$	0.88		$	4.38		$	2.14
Diluted earnings per share ⁽⁴⁾
Income from continuing operations	$	1.36		$	0.88		$	4.38		$	2.14
Discontinued operations	—			(0.01		)	—			—
Net income	$	1.35		$	0.88		$	4.38		$	2.14


(1)	See Note 19 to the Consolidated Financial Statements for the potential future impact of preferred stock dividends.


(2)	During the third quarters of 2015 and 2014, weighted-average options to purchase 0.9 million and 1.9 million shares of common stock, respectively, were outstanding but not included in the computation of earnings per share because the weighted-average exercise prices of $201.01 and $157.90 per share, respectively, were anti-dilutive.

(3)

Warrants issued to the U.S. Treasury as part of the Troubled Asset Relief Program (TARP) and the loss-sharing agreement (all of which were subsequently sold to the public in January 2011), with exercise prices of $178.50 and $106.10 per share for approximately 21.0 million and 25.5 million shares of Citigroup common stock, respectively. Both warrants were not included in the computation of earnings per share in the three and nine months ended September 30, 2015 and 2014 because they were anti-dilutive.


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

124

10 . FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS

Federal funds sold and securities borrowed or purchased under agreements to resell , at their respective carrying values, consisted of the following at September 30 , 2015 and December 31, 2014 :



In millions of dollars	September 30, 2015		December 31, 2014
Securities purchased under agreements to resell	$	130,129	$	123,979
Deposits paid for securities borrowed	101,566		118,591
Total	$	231,695	$	242,570

Federal funds purchased and securities loaned or sold under agreements to repurchase , at their respective carrying values, consisted of the following at September 30 , 2015 and December 31, 2014 :



In millions of dollars	September 30, 2015		December 31, 2014
Federal funds purchased	$	133	$	334
Securities sold under agreements to repurchase	148,547		147,204
Deposits received for securities loaned	19,924		25,900
Total	$	168,604	$	173,438

The resale and repurchase agreements represent collateralized financing transactions. The Company executes these transactions primarily through its broker-dealer subsidiaries to facilitate customer matched-book activity and to efficiently fund a portion of the Company’s trading inventory. Transactions executed by the Company’s bank subsidiaries primarily facilitate customer financing activity.

To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral, and stipulating financing tenor. Citi manages the risks in its collateralized financing transactions by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. Additionally, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress.

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

Collateral typically consists of government and government-agency securities, corporate and municipal bonds,

equities, and mortgage-backed and other asset-backed securities.

The resale and repurchase agreements are generally documented under industry standard agreements that allow the prompt close-out of all transactions (including the liquidation of securities held) and the offsetting of obligations to return cash or securities by the non-defaulting party, following a payment default or other type of default under the relevant master agreement. Events of default generally include (i) failure to deliver cash or securities as required under the transaction, (ii) failure to provide or return cash or securities as used for margining purposes, (iii) breach of representation, (iv) cross-default to another transaction entered into among the parties, or, in some cases, their affiliates, and (v) a repudiation of obligations under the agreement. The counterparty that receives the securities in these transactions is generally unrestricted in its use of the securities, with the exception of transactions executed on a tri-party basis, where the collateral is maintained by a custodian and operational limitations may restrict its use of the securities.

A substantial portion of the resale and repurchase agreements is recorded at fair value, as described in Notes 22 and 23 to the Consolidated Financial Statements. The remaining portion is carried at the amount of cash initially advanced or received, plus accrued interest, as specified in the respective agreements.

The securities borrowing and lending agreements also represent collateralized financing transactions similar to the resale and repurchase agreements. Collateral typically consists of government and government-agency securities and corporate debt and equity securities.

Similar to the resale and repurchase agreements, securities borrowing and lending agreements are generally documented under industry standard agreements that allow the prompt close-out of all transactions (including the liquidation of securities held) and the offsetting of obligations to return cash or securities by the non-defaulting party, following a payment default or other default by the other party under the relevant master agreement. Events of default and rights to use securities under the securities borrowing and lending agreements are similar to the resale and repurchase agreements referenced above.

A substantial portion of securities borrowing and lending agreements is recorded at the amount of cash advanced or received. The remaining portion is recorded at fair value as the Company elected the fair value option for certain securities borrowed and loaned portfolios, as described in Note 23 to the Consolidated Financial Statements. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.

The enforceability of offsetting rights incorporated in the master netting agreements for resale and repurchase agreements and securities borrowing and lending agreements is evidenced to the extent that a supportive legal opinion has been obtained from counsel of recognized standing that

125

provides the requisite level of certainty regarding the enforceability of these agreements, and that the exercise of rights by the non-defaulting party to terminate and close-out transactions on a net basis under these agreements will not be stayed or avoided under applicable law upon an event of default including bankruptcy, insolvency or similar proceeding.

A legal opinion may not have been sought or obtained for certain jurisdictions where local law is silent or sufficiently ambiguous to determine the enforceability of offsetting rights or where adverse case law or conflicting regulation may cast doubt on the enforceability of such rights. In some jurisdictions and for some counterparty types, the insolvency law for a particular counterparty type may be nonexistent or unclear as overlapping regimes may exist. For example, this

may be the case for certain sovereigns, municipalities, central banks and U.S. pension plans.

The following tables present the gross and net resale and repurchase agreements and securities borrowing and lending

agreements and the related offsetting amount permitted under ASC 210-20-45, as of September 30, 2015 and December 31, 2014 . The tables also include amounts related to financial instruments that are not permitted to be offset under ASC 210-20-45 but would be eligible for offsetting to the extent that an event of default occurred and a legal opinion supporting enforceability of the offsetting rights has been obtained. Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.



	As of September 30, 2015
In millions of dollars	Gross amounts of recognized assets		Gross amounts offset on the Consolidated Balance Sheet ⁽¹⁾		Net amounts of assets included on the Consolidated Balance Sheet ⁽²⁾		Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default ⁽³⁾		Net amounts ⁽⁴⁾
Securities purchased under agreements to resell	$	176,900	$	46,771	$	130,129	$	97,314	$	32,815
Deposits paid for securities borrowed	101,566		—		101,566		16,919		84,647
Total	$	278,466	$	46,771	$	231,695	$	114,233	$	117,462



In millions of dollars	Gross amounts of recognized liabilities		Gross amounts offset on the Consolidated Balance Sheet ⁽¹⁾		Net amounts of liabilities included on the Consolidated Balance Sheet ⁽²⁾		Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default ⁽³⁾		Net amounts ⁽⁴⁾
Securities sold under agreements to repurchase	$	195,318	$	46,771	$	148,547	$	69,502	$	79,045
Deposits received for securities loaned	19,924		—		19,924		4,725		15,199
Total	$	215,242	$	46,771	$	168,471	$	74,227	$	94,244



	As of December 31, 2014
In millions of dollars	Gross amounts of recognized assets		Gross amounts offset on the Consolidated Balance Sheet ⁽¹⁾		Net amounts of assets included on the Consolidated Balance Sheet ⁽²⁾		Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default ⁽³⁾		Net amounts ⁽⁴⁾
Securities purchased under agreements to resell	$	180,318	$	56,339	$	123,979	$	94,353	$	29,626
Deposits paid for securities borrowed	118,591		—		118,591		15,139		103,452
Total	$	298,909	$	56,339	$	242,570	$	109,492	$	133,078



In millions of dollars	Gross amounts of recognized liabilities		Gross amounts offset on the Consolidated Balance Sheet ⁽¹⁾		Net amounts of liabilities included on the Consolidated Balance Sheet ⁽²⁾		Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default ⁽³⁾		Net amounts ⁽⁴⁾
Securities sold under agreements to repurchase	$	203,543	$	56,339	$	147,204	$	72,928	$	74,276
Deposits received for securities loaned	25,900		—		25,900		5,190		20,710
Total	$	229,443	$	56,339	$	173,104	$	78,118	$	94,986

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


(2)	The total of this column for each period excludes Federal funds sold/purchased. See tables above.


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


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

The following table presents the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by remaining contractual maturity as of September 30, 2015 :



In millions of dollars	Open and Overnight		Up to 30 Days		31-90 Days		Greater than 90 days		Total
Securities sold under agreements to repurchase	$	105,497	$	48,454	$	17,420	$	23,947	$	195,318
Deposits received for securities loaned	13,572		2,482		2,019		1,851		19,924
Total	$	119,069	$	50,936	$	19,439	$	25,798	$	215,242

The following table presents the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by class of underlying collateral as of September 30, 2015 :



In millions of dollars	Repurchase Agreements		Securities Lending Agreements		Total
U.S Treasury and federal agency	$	75,722	$	21	$	75,743
State and municipal	629		—		629
Foreign government	59,532		619		60,151
Corporate bonds	15,859		1,155		17,014
Equity securities	10,762		18,060		28,822
Mortgage-backed securities	23,217		—		23,217
Asset-backed securities	4,498		—		4,498
Other	5,099		69		5,168
Total	$	195,318	$	19,924	$	215,242

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11 . BROKERAGE RECEIVABLES AND BROKERAGE

PAYABLES

The Company has receivables and payables for financial instruments sold to and purchased from brokers, dealers and customers, which arise in the ordinary course of business. The Company is exposed to risk of loss from the inability of brokers, dealers or customers to pay for purchases or to deliver the financial instruments sold, in which case the Company would have to sell or purchase the financial instruments at prevailing market prices. Credit risk is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transaction and replaces the broker, dealer or customer in question.

The Company seeks to protect itself from the risks associated with customer activities by requiring customers to maintain margin collateral in compliance with regulatory and internal guidelines. Margin levels are monitored daily, and customers deposit additional collateral as required. Where customers cannot meet collateral requirements, the Company may liquidate sufficient underlying financial instruments to bring the customer into compliance with the required margin level.

Exposure to credit risk is impacted by market volatility, which may impair the ability of clients to satisfy their obligations to the Company. Credit limits are established and closely monitored for customers and for brokers and dealers engaged in forwards, futures and other transactions deemed to be credit sensitive.

Brokerage receivables and Brokerage payables consisted of the following at September 30 , 2015 and December 31, 2014 :



In millions of dollars	September 30, 2015		December 31, 2014
Receivables from customers	$	11,513	$	10,380
Receivables from brokers, dealers, and clearing organizations	26,362		18,039
Total brokerage receivables ⁽¹⁾	$	37,875	$	28,419
Payables to customers	$	36,139	$	33,984
Payables to brokers, dealers, and clearing organizations	23,418		18,196
Total brokerage payables ⁽¹⁾	$	59,557	$	52,180


(1)	Brokerage receivables and payables are accounted for in accordance with ASC 940-320.

12 . TRADING ACCOUNT ASSETS AND LIABILITIES

Trading account assets and Trading account liabilities are carried at fair value, other than physical commodities accounted for at the lower of cost or fair value, and consist of the following at September 30, 2015 and December 31, 2014 :



In millions of dollars	September 30, 2015		December 31, 2014
Trading account assets
Mortgage-backed securities ⁽¹⁾
U.S. government-sponsored agency guaranteed	$	26,753	$	27,053
Prime	1,316		1,271
Alt-A	580		709
Subprime	840		1,382
Non-U.S. residential	663		1,476
Commercial	2,787		4,343
Total mortgage-backed securities	$	32,939	$	36,234
U.S. Treasury and federal agency securities
U.S. Treasury	$	26,417	$	18,906
Agency obligations	1,346		1,568
Total U.S. Treasury and federal agency securities	$	27,763	$	20,474
State and municipal securities	$	3,824	$	3,402
Foreign government securities	57,676		64,937
Corporate	18,012		27,797
Derivatives ⁽²⁾	60,871		67,957
Equity securities	48,181		57,846
Asset-backed securities ⁽¹⁾	5,017		4,546
Other trading assets ⁽³⁾	12,663		13,593
Total trading account assets	$	266,946	$	296,786
Trading account liabilities
Securities sold, not yet purchased	$	63,733	$	70,944
Derivatives ⁽²⁾	62,248		68,092
Total trading account liabilities	$	125,981	$	139,036

(1)

The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 20 to the Consolidated Financial Statements.


(2)	Presented net, pursuant to enforceable master netting agreements. See Note 21 to the Consolidated Financial Statements for a discussion regarding the accounting and reporting for derivatives.


(3)	Includes investments in unallocated precious metals, as discussed in Note 23 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value.

128

13 . INVESTMENTS

Overview



	September 30, 2015		December 31, 2014
In millions of dollars	September 30, 2015		December 31, 2014
Securities available-for-sale (AFS)	$	300,716	$	300,143
Debt securities held-to-maturity (HTM) ⁽¹⁾	33,940		23,921
Non-marketable equity securities carried at fair value ⁽²⁾	2,262		2,758
Non-marketable equity securities carried at cost ⁽³⁾	5,521		6,621
Total investments	$	342,439	$	333,443


(1)	Carried at adjusted amortized cost basis, net of any credit-related impairment.


(2)	Unrealized gains and losses for non-marketable equity securities carried at fair value are recognized in earnings.


(3)	Primarily consists of shares issued by the Federal Reserve Bank, Federal Home Loan Banks, foreign central banks and various clearing houses of which Citigroup is a member.

The following table presents interest and dividend income on investments for the three and nine months ended September 30, 2015 and 2014 :



	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2015		2014		2015		2014
Taxable interest	$	1,596	$	1,627	$	4,773	$	4,638
Interest exempt from U.S. federal income tax	44		96		116		407
Dividend income	87		101		305		343
Total interest and dividend income	$	1,727	$	1,824	$	5,194	$	5,388

The following table presents realized gains and losses on the sale of investments for the three and nine months ended September 30, 2015 and 2014 . The gross realized investment losses exclude losses from other-than-temporary impairment (OTTI):



	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2015			2014			2015			2014
Gross realized investment gains	$	213		$	229		$	926		$	689
Gross realized investment losses	(62		)	(93		)	(285		)	(341		)
Net realized gains on sale of investments	$	151		$	136		$	641		$	348

The Company has sold certain debt securities that were classified as HTM. These sales were in response to significant deterioration in the creditworthiness of the issuers or securities or because the Company has collected a substantial portion (at least 85% ) of the principal outstanding at acquisition of the security. In addition, certain other securities were reclassified to AFS investments in response to significant credit deterioration. Because the Company generally intends to sell these reclassified securities, Citi recorded OTTI on the securities. The following table sets forth, for the periods indicated, the carrying value of HTM securities sold and reclassified to AFS, as well as the related gain (loss) or the OTTI losses recorded on these securities.



	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2015			2014			2015			2014
Carrying value of HTM securities sold	$	314		$	—		$	363		$	5
Net realized gain on sale of HTM securities	6			—			11			—
Carrying value of securities reclassified to AFS	144			700			238			766
OTTI losses on securities reclassified to AFS	(9		)	(2		)	(14		)	(11		)

129

Securities Available-for-Sale

The amortized cost and fair value of AFS securities at September 30, 2015 and December 31, 2014 were as follows:



	September 30, 2015								December 31, 2014
In millions of dollars	Amortized cost		Gross unrealized gains ⁽¹⁾		Gross unrealized losses ⁽¹⁾		Fair value		Amortized cost		Gross unrealized gains		Gross unrealized losses		Fair value
Debt securities AFS
Mortgage-backed securities ⁽²⁾
U.S. government-sponsored agency guaranteed	$	35,772	$	521	$	99	$	36,194	$	35,647	$	603	$	159	$	36,091
Prime	2		—		—		2		12		—		—		12
Alt-A	120		11		—		131		43		1		—		44
Non-U.S. residential	7,066		42		14		7,094		8,247		67		7		8,307
Commercial	522		7		1		528		551		6		3		554
Total mortgage-backed securities	$	43,482	$	581	$	114	$	43,949	$	44,500	$	677	$	169	$	45,008
U.S. Treasury and federal agency securities
U.S. Treasury	$	111,263	$	1,116	$	117	$	112,262	$	110,492	$	353	$	127	$	110,718
Agency obligations	10,024		92		6		10,110		12,925		60		13		12,972
Total U.S. Treasury and federal agency securities	$	121,287	$	1,208	$	123	$	122,372	$	123,417	$	413	$	140	$	123,690
State and municipal ⁽³⁾	$	12,176	$	117	$	897	$	11,396	$	13,526	$	150	$	977	$	12,699
Foreign government	95,601		498		494		95,605		90,249		734		286		90,697
Corporate	15,969		164		109		16,024		12,033		215		91		12,157
Asset-backed securities ⁽²⁾	9,939		9		78		9,870		12,534		30		58		12,506
Other debt securities	671		—		—		671		661		—		—		661
Total debt securities AFS	$	299,125	$	2,577	$	1,815	$	299,887	$	296,920	$	2,219	$	1,721	$	297,418
Marketable equity securities AFS	$	846	$	17	$	34	$	829	$	2,461	$	308	$	44	$	2,725
Total securities AFS	$	299,971	$	2,594	$	1,849	$	300,716	$	299,381	$	2,527	$	1,765	$	300,143


(1)	Gross unrealized gains and losses, as presented, as of September 30, 2015 do not include the impact of unrealized gains and losses of AFS securities of OneMain Financial ( North America consumer finance business), which were reclassified as HFS as of September 30, 2015 . These amounts totaled unrealized gains of $63 million and unrealized losses of $16 million as of September 30, 2015 .

(2)

(3)

The gross unrealized losses on state and municipal debt securities are primarily attributable to the effects of fair value hedge accounting. Specifically, Citi hedges the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged. However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from Accumulated other comprehensive income (loss) (AOCI) to earnings, attributable solely to changes in the LIBOR swap rate, resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities.

As discussed in more detail below, the Company conducts periodic reviews of all securities with unrealized losses to evaluate whether the impairment is other-than-temporary. Any credit-related impairment related to debt securities is recorded in earnings as OTTI. Non-credit-related impairment is recognized in AOCI if the Company does not plan to sell and is not likely to be required to sell. For other debt securities with OTTI, the entire impairment is recognized in the Consolidated Statement of Income.

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The table below shows the fair value of AFS securities that have been in an unrealized loss position for less than 12 months or for 12 months or longer as of September 30, 2015 and December 31, 2014 :



	Less than 12 months				12 months or longer				Total
In millions of dollars	Fair value		Gross unrealized losses		Fair value		Gross unrealized losses		Fair value		Gross unrealized losses
September 30, 2015
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	6,254	$	26	$	2,034	$	73	$	8,288	$	99
Prime	1		—		1		—		2		—
Non-U.S. residential	2,951		11		379		3		3,330		14
Commercial	91		—		54		1		145		1
Total mortgage-backed securities	$	9,297	$	37	$	2,468	$	77	$	11,765	$	114
U.S. Treasury and federal agency securities
U.S. Treasury	$	7,330	$	116	$	339	$	1	$	7,669	$	117
Agency obligations	281		5		49		1		330		6
Total U.S. Treasury and federal agency securities	$	7,611	$	121	$	388	$	2	$	7,999	$	123
State and municipal	$	118	$	8	$	4,905	$	889	$	5,023	$	897
Foreign government	29,157		351		3,806		143		32,963		494
Corporate	3,869		75		1,776		34		5,645		109
Asset-backed securities	5,351		50		2,470		28		7,821		78
Marketable equity securities AFS	104		4		227		30		331		34
Total securities AFS	$	55,507	$	646	$	16,040	$	1,203	$	71,547	$	1,849
December 31, 2014
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	4,198	$	30	$	5,547	$	129	$	9,745	$	159
Prime	5		—		2		—		7		—
Non-U.S. residential	1,276		3		199		4		1,475		7
Commercial	124		1		136		2		260		3
Total mortgage-backed securities	$	5,603	$	34	$	5,884	$	135	$	11,487	$	169
U.S. Treasury and federal agency securities
U.S. Treasury	$	36,581	$	119	$	1,013	$	8	$	37,594	$	127
Agency obligations	5,698		9		754		4		6,452		13
Total U.S. Treasury and federal agency securities	$	42,279	$	128	$	1,767	$	12	$	44,046	$	140
State and municipal	$	386	$	15	$	5,802	$	962	$	6,188	$	977
Foreign government	18,495		147		5,984		139		24,479		286
Corporate	3,511		63		1,350		28		4,861		91
Asset-backed securities	3,701		13		3,816		45		7,517		58
Marketable equity securities AFS	51		4		218		40		269		44
Total securities AFS	$	74,026	$	404	$	24,821	$	1,361	$	98,847	$	1,765

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The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates as of September 30, 2015 and December 31, 2014 :



	September 30, 2015				December 31, 2014
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities ⁽¹⁾
Due within 1 year	$	107	$	107	$	44	$	44
After 1 but within 5 years	1,544		1,558		931		935
After 5 but within 10 years	1,106		1,124		1,362		1,387
After 10 years ⁽²⁾	40,725		41,160		42,163		42,642
Total	$	43,482	$	43,949	$	44,500	$	45,008
U.S. Treasury and federal agency securities
Due within 1 year	$	3,567	$	3,569	$	13,070	$	13,084
After 1 but within 5 years	110,883		112,025		104,982		105,131
After 5 but within 10 years	5,639		5,645		2,286		2,325
After 10 years ⁽²⁾	1,198		1,133		3,079		3,150
Total	$	121,287	$	122,372	$	123,417	$	123,690
State and municipal
Due within 1 year	$	2,831	$	2,827	$	652	$	651
After 1 but within 5 years	1,986		1,991		4,387		4,381
After 5 but within 10 years	517		531		524		537
After 10 years ⁽²⁾	6,842		6,047		7,963		7,130
Total	$	12,176	$	11,396	$	13,526	$	12,699
Foreign government
Due within 1 year	$	29,610	$	29,609	$	31,355	$	31,382
After 1 but within 5 years	46,168		46,151		41,913		42,467
After 5 but within 10 years	17,634		17,602		16,008		15,779
After 10 years ⁽²⁾	2,189		2,243		973		1,069
Total	$	95,601	$	95,605	$	90,249	$	90,697
All other ⁽³⁾
Due within 1 year	$	2,154	$	2,154	$	1,248	$	1,251
After 1 but within 5 years	12,781		12,856		10,442		10,535
After 5 but within 10 years	7,870		7,839		7,282		7,318
After 10 years ⁽²⁾	3,774		3,716		6,256		6,220
Total	$	26,579	$	26,565	$	25,228	$	25,324
Total debt securities AFS	$	299,125	$	299,887	$	296,920	$	297,418


(1)	Includes mortgage-backed securities of U.S. government-sponsored agencies.


(2)	Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.


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

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Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM at September 30, 2015 and December 31, 2014 were as follows:



In millions of dollars	Amortized cost basis ⁽¹⁾		Net unrealized gains (losses) recognized in AOCI			Carrying value ⁽²⁾		Gross unrealized gains		Gross unrealized (losses)			Fair value
September 30, 2015
Debt securities held-to-maturity
Mortgage-backed securities ⁽³⁾
U.S. government agency guaranteed	$	17,573	$	142		$	17,715	$	183	$	(7	)	$	17,891
Prime	55		(11		)	44		3		(1		)	46
Alt-A	526		(75		)	451		344		(162		)	633
Subprime	5		—			5		14		—			19
Non-U.S. residential	506		(68		)	438		44		—			482
Commercial	—		—			—		—		—			—
Total mortgage-backed securities	$	18,665	$	(12	)	$	18,653	$	588	$	(170	)	$	19,071
State and municipal ⁽⁴⁾	$	8,713	$	(450	)	$	8,263	$	175	$	(99	)	$	8,339
Foreign government	4,274		—			4,274		35		—			4,309
Asset-backed securities ⁽³⁾	2,765		(15		)	2,750		42		(12		)	2,780
Total debt securities held-to-maturity	$	34,417	$	(477	)	$	33,940	$	840	$	(281	)	$	34,499
December 31, 2014
Debt securities held-to-maturity
Mortgage-backed securities ⁽³⁾
U.S. government agency guaranteed	$	8,795	$	95		$	8,890	$	106	$	(6	)	$	8,990
Prime	60		(12		)	48		6		(1		)	53
Alt-A	1,125		(213		)	912		537		(287		)	1,162
Subprime	6		(1		)	5		15		—			20
Non-U.S. residential	983		(137		)	846		92		—			938
Commercial	8		—			8		1		—			9
Total mortgage-backed securities	$	10,977	$	(268	)	$	10,709	$	757	$	(294	)	$	11,172
State and municipal	$	8,443	$	(494	)	$	7,949	$	227	$	(57	)	$	8,119
Foreign government	4,725		—			4,725		77		—			4,802
Asset-backed securities ⁽³⁾	556		(18		)	538		50		(10		)	578
Total debt securities held-to-maturity ⁽⁵⁾	$	24,701	$	(780	)	$	23,921	$	1,111	$	(361	)	$	24,671

(1)

For securities transferred to HTM from Trading account assets , amortized cost basis is defined as the fair value of the securities at the date of transfer plus any accretion income and less any impairments recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any other-than-temporary impairment recognized in earnings.

(2)

HTM securities are carried on the Consolidated Balance Sheet at amortized cost basis, plus or minus any unamortized unrealized gains and losses and fair value hedge adjustments recognized in AOCI prior to reclassifying the securities from AFS to HTM. Changes in the values of these securities are not reported in the financial statements, except for the amortization of any difference between the carrying value at the transfer date and par value of the securities, and the recognition of any non-credit fair value adjustments in AOCI in connection with the recognition of any credit impairment in earnings related to securities the Company continues to intend to hold until maturity.

(3)

(4)

The net unrealized losses recognized in AOCI on state and municipal debt securities are primarily attributable to the effects of fair value hedge accounting applied when these debt securities were classified as AFS. Specifically, Citi hedged the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged. However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from AOCI to earnings attributable solely to changes in the LIBOR swap rate resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities. Upon transfer of these debt securities to HTM, all hedges have been de-designated and hedge accounting has ceased.

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(5)

During the second quarter of 2015, securities with a total fair value of approximately $7.1 billion were transferred from AFS to HTM, comprised of $7.0 billion of U.S. government agency mortgage-backed securities and $0.1 billion of obligations of U.S. states and municipalities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call in order to reduce the impact of price volatility on AOCI and certain capital measures under Basel III. While these securities were transferred to HTM at fair value as of the transfer date, no subsequent changes in value may be recorded, other than in connection with the recognition of any subsequent other-than-temporary impairment and the amortization of differences between the carrying values at the transfer date and the par values of each security as an adjustment of yield over the remaining contractual life of each security. Any net unrealized holding losses within AOCI related to the respective securities at the date of transfer, inclusive of any cumulative fair value hedge adjustments, will be amortized over the remaining contractual life of each security as an adjustment of yield in a manner consistent with the amortization of any premium or discount.

The Company has the positive intent and ability to hold these securities to maturity or, where applicable, the exercise of any issuer call options, absent any unforeseen significant changes in circumstances, including deterioration in credit or changes in regulatory capital requirements.

The net unrealized losses classified in AOCI primarily relate to debt securities previously classified as AFS that have been transferred to HTM, and include any cumulative fair

value hedge adjustments. The net unrealized loss amount also includes any non-credit-related changes in fair value of HTM securities that have suffered credit impairment recorded in earnings. The AOCI balance related to HTM securities is amortized over the remaining contractual life of the related securities as an adjustment of yield in a manner consistent with the accretion of any difference between the carrying value at the transfer date and par value of the same debt securities.

The table below shows the fair value of debt securities HTM that have been in an unrecognized loss position as of September 30, 2015 and December 31, 2014 for less than 12 months and for 12 months or longer:



	Less than 12 months				12 months or longer				Total
In millions of dollars	Fair value		Gross unrecognized losses		Fair value		Gross unrecognized losses		Fair value		Gross unrecognized losses
September 30, 2015
Debt securities held-to-maturity
Mortgage-backed securities	$	—	$	—	$	2,828	$	170	$	2,828	$	170
State and municipal	1,747		38		1,741		61		3,488		99
Foreign government	177		—		—		—		177		—
Asset-backed securities	140		3		1,895		9		2,035		12
Total debt securities held-to-maturity	$	2,064	$	41	$	6,464	$	240	$	8,528	$	281
December 31, 2014
Debt securities held-to-maturity
Mortgage-backed securities	$	4	$	—	$	1,134	$	294	$	1,138	$	294
State and municipal	2,528		34		314		23		2,842		57
Foreign government	—		—		—		—		—		—
Asset-backed securities	9		1		174		9		183		10
Total debt securities held-to-maturity	$	2,541	$	35	$	1,622	$	326	$	4,163	$	361

Excluded from the gross unrecognized losses presented in the above table are $(477) million and $(780) million of net unrealized losses recorded in AOCI as of September 30, 2015 and December 31, 2014 , respectively, primarily related to the difference between the amortized cost and carrying value of HTM securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at September 30, 2015 and December 31, 2014 .

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The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates as of September 30, 2015 and December 31, 2014 :



	September 30, 2015				December 31, 2014
In millions of dollars	Carrying value		Fair value		Carrying value		Fair value
Mortgage-backed securities
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	119		120		—		—
After 5 but within 10 years	720		735		863		869
After 10 years ⁽¹⁾	17,814		18,216		9,846		10,303
Total	$	18,653	$	19,071	$	10,709	$	11,172
State and municipal
Due within 1 year	$	506	$	504	$	205	$	205
After 1 but within 5 years	373		368		243		243
After 5 but within 10 years	184		192		140		144
After 10 years ⁽¹⁾	7,200		7,275		7,361		7,527
Total	$	8,263	$	8,339	$	7,949	$	8,119
Foreign government
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	4,274		4,309		4,725		4,802
After 5 but within 10 years	—		—		—		—
After 10 years ⁽¹⁾	—		—		—		—
Total	$	4,274	$	4,309	$	4,725	$	4,802
All other ⁽²⁾
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	—		—		—		—
After 5 but within 10 years	—		—		—		—
After 10 years ⁽¹⁾	2,750		2,780		538		578
Total	$	2,750	$	2,780	$	538	$	578
Total debt securities held-to-maturity	$	33,940	$	34,499	$	23,921	$	24,671


(1)	Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.


(2)	Includes corporate and asset-backed securities.

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Evaluating Investments for Other-Than-Temporary Impairment

Overview

The Company conducts periodic reviews of all securities with unrealized losses to evaluate whether the impairment is other-than-temporary.

An unrealized loss exists when the current fair value of an individual security is less than its amortized cost basis. Unrealized losses that are determined to be temporary in nature are recorded, net of tax, in AOCI for AFS securities. Losses related to HTM securities generally are not recorded, as these investments are carried at adjusted amortized cost basis. However, for HTM securities with credit-related losses, the credit loss is recognized in earnings as OTTI and any difference between the cost basis adjusted for the OTTI and fair value is recognized in AOCI and amortized as an adjustment of yield over the remaining contractual life of the security. For securities transferred to HTM from Trading account assets , amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any impairment recognized in earnings.

Regardless of the classification of the securities as AFS or HTM, the Company assesses each position with an unrealized loss for OTTI. Factors considered in determining whether a loss is temporary include:


•	the length of time and the extent to which fair value has been below cost;


•	the severity of the impairment;


•	the cause of the impairment and the financial condition and near-term prospects of the issuer;


•	activity in the market of the issuer that may indicate adverse credit conditions; and


•	the Company’s ability and intent to hold the investment for a period of time sufficient to allow for any anticipated recovery.

The Company’s review for impairment generally entails:


•	identification and evaluation of impaired investments;


•	analysis of individual investments that have fair values less than amortized cost, including consideration of the length of time the investment has been in an unrealized loss position and the expected recovery period;


•	consideration of evidential matter, including an evaluation of factors or triggers that could cause individual investments to qualify as having other-than-temporary impairment and those that would not support other-than-temporary impairment; and


•	documentation of the results of these analyses, as required under business policies.

Debt

The entire difference between amortized cost basis and fair value is recognized in earnings as OTTI for impaired debt securities that the Company has an intent to sell or for which the Company believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings and any non-credit-related impairment is recorded in AOCI.

For debt securities, credit impairment exists where management does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security.

Equity

For equity securities, management considers the various factors described above, including its intent and ability to hold the equity security for a period of time sufficient for recovery to cost or whether it is more-likely-than-not that the Company will be required to sell the security prior to recovery of its cost basis. Where management lacks that intent or ability, the security’s decline in fair value is deemed to be other-than-temporary and is recorded in earnings. AFS equity securities deemed to be other-than-temporarily impaired are written down to fair value, with the full difference between fair value and cost recognized in earnings.

Management assesses equity method investments that have fair values that are less than their respective carrying values for OTTI. Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 22 to the Consolidated Financial Statements).

For impaired equity method investments that Citi plans to sell prior to recovery of value or would likely be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized in earnings as OTTI regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.

For impaired equity method investments that management does not plan to sell and is not likely to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators, regardless of the time and extent of impairment:


•	the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer;


•	the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and

136


•	the length of time and extent to which fair value has been less than the carrying value.

The sections below describe the Company’s process for identifying credit-related impairments for security types that have the most significant unrealized losses as of September 30, 2015 .

Akbank

As of December 31, 2014, Citi’s remaining 9.9% stake in Akbank T.A.S., an equity investment in Turkey (Akbank), is recorded within marketable equity securities available-for-sale. The revaluation of the Turkish lira was hedged, so the change in the value of the currency related to the Akbank investment did not have a significant impact on earnings during the year. During the first quarter of 2015, Citi sold its remaining investment in Akbank.

Mortgage-backed securities

For U.S. mortgage-backed securities (and in particular for Alt-A and other mortgage-backed securities that have significant unrealized losses as a percentage of amortized cost), credit impairment is assessed using a cash flow model that estimates the principal and interest cash flows on the underlying mortgages using the security-specific collateral and transaction structure. The model distributes the estimated cash flows to the various tranches of securities, considering the transaction structure and any subordination and credit enhancements that exist in that structure. The cash flow model incorporates actual cash flows on the mortgage-backed securities through the current period and then estimates the remaining cash flows using a number of assumptions, including default rates, prepayment rates, recovery rates (on foreclosed properties) and loss severity rates (on non-agency mortgage-backed securities).

Management develops specific assumptions using market data, internal estimates and estimates published by rating agencies and other third-party sources. Default rates are projected by considering current underlying mortgage loan

performance, generally assuming the default of (i) 10% of current loans, (ii) 25% of 30 -59 day delinquent loans, (iii) 70% of 60 -90 day delinquent loans and (iv) 100% of 91 + day delinquent loans. These estimates are extrapolated along a default timing curve to estimate the total lifetime pool default rate. Other assumptions contemplate the actual collateral attributes, including geographic concentrations, rating actions and current market prices.

Cash flow projections are developed using different stress test scenarios. Management evaluates the results of those stress tests (including the severity of any cash shortfall indicated and the likelihood of the stress scenarios actually occurring based on the underlying pool’s characteristics and performance) to assess whether management expects to recover the amortized cost basis of the security. If cash flow projections indicate that the Company does not expect to recover its amortized cost basis, the Company recognizes the estimated credit loss in earnings.

State and municipal securities

The process for identifying credit impairments in Citigroup’s AFS and HTM state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. Citigroup monitors the bond issuers and any insurers providing default protection in the form of financial guarantee insurance. The average external credit rating, ignoring any insurance, is Aa3/AA-. In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments.

For state and municipal bonds with unrealized losses that Citigroup plans to sell (for AFS only), would be more likely than not required to sell (for AFS only) or will be subject to an issuer call deemed probable of exercise prior to the expected recovery of its amortized cost basis (for AFS and HTM), the full impairment is recognized in earnings.

Recognition and Measurement of OTTI

The following table presents the total OTTI recognized in earnings for the three and nine months ended September 30, 2015 :



OTTI on Investments and Other Assets	Three Months Ended September 30, 2015								Nine Months Ended September 30, 2015
In millions of dollars	AFS ⁽¹⁾		HTM		Other Assets		Total		AFS ⁽¹⁾		HTM		Other Assets		Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:
Total OTTI losses recognized during the period	$	1	$	—	$	—	$	1	$	1	$	—	$	—	$	1
Less: portion of impairment loss recognized in AOCI (before taxes)	—		—		—		—		—		—		—		—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell	$	1	$	—	$	—	$	1	$	1	$	—	$	—	$	1
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise	64		14		1		79		152		36		6		194
Total impairment losses recognized in earnings	$	65	$	14	$	1	$	80	$	153	$	36	$	6	$	195


(1)	Includes OTTI on non-marketable equity securities.

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The following table presents the total OTTI recognized in earnings for the three and nine months ended September 30, 2014 :



OTTI on Investments and Other Assets	Three Months Ended September 30, 2014								Nine Months Ended September 30, 2014
In millions of dollars	AFS ⁽¹⁾		HTM		Other Assets		Total		AFS ⁽¹⁾		HTM		Other Assets		Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:
Total OTTI losses recognized during the period	$	11	$	—	$	—	$	11	$	13	$	—	$	—	$	13
Less: portion of impairment loss recognized in AOCI (before taxes)	8		—		—		8		8		—		—		8
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell	$	3	$	—	$	—	$	3	$	5	$	—	$	—	$	5
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise	88		—		—		88		324		—		—		324
Total impairment losses recognized in earnings	$	91	$	—	$	—	$	91	$	329	$	—	$	—	$	329


(1)	Includes OTTI on non-marketable equity securities.

The following is a three-month roll-forward of the credit-related impairments recognized in earnings for AFS and HTM debt securities held as of September 30, 2015 that the Company does not intend to sell nor likely will be required to sell:



	Cumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollars	Jun. 30, 2015 balance		Credit impairments recognized in earnings on securities not previously impaired		Credit impairments recognized in earnings on securities that have been previously impaired		Reductions due to credit-impaired securities sold, transferred or matured			Sept. 30, 2015 balance
AFS debt securities
Mortgage-backed securities	$	295	$	—	$	—	$	—		$	295
Foreign government securities	170		—		—		—			170
Corporate	112		1		—		—			113
All other debt securities	149		—		—		—			149
Total OTTI credit losses recognized for AFS debt securities	$	726	$	1	$	—	$	—		$	727
HTM debt securities
Mortgage-backed securities ⁽¹⁾	$	668	$	—	$	—	$	—		$	668
Corporate	—		—		—		—			—
All other debt securities	133		—		—		(1		)	132
Total OTTI credit losses recognized for HTM debt securities	$	801	$	—	$	—	$	(1	)	$	800


(1)	Primarily consists of Alt-A securities.

138

The following is a three-month roll-forward of the credit-related impairments recognized in earnings for AFS and HTM debt securities held as of September 30, 2014 that the Company does not intend to sell nor likely will be required to sell:



	Cumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollars	Jun. 30, 2014 balance		Credit impairments recognized in earnings on securities not previously impaired		Credit impairments recognized in earnings on securities that have been previously impaired		Reductions due to credit-impaired securities sold, transferred or matured			Sept. 30, 2014 balance
AFS debt securities
Mortgage-backed securities	$	295	$	—	$	—	$	—		$	295
Foreign government securities	171		—		—		—			171
Corporate	112		—		—		—			112
All other debt securities	146		3		—		—			149
Total OTTI credit losses recognized for AFS debt securities	$	724	$	3	$	—	$	—		$	727
HTM debt securities
Mortgage-backed securities ⁽¹⁾	$	665	$	—	$	—	$	—		$	665
Corporate	56		—		—		(56		)	—
All other debt securities	133		—		—		—			133
Total OTTI credit losses recognized for HTM debt securities	$	854	$	—	$	—	$	(56	)	$	798

(1) Primarily consists of Alt-A securities.

The following is a nine-month roll-forward of the credit-related impairments recognized in earnings for AFS and HTM debt securities held as of September 30, 2015 that the Company does not intend to sell nor likely will be required to sell:



	Cumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollars	Dec. 31, 2014 balance		Credit impairments recognized in earnings on securities not previously impaired		Credit impairments recognized in earnings on securities that have been previously impaired		Reductions due to credit-impaired securities sold, transferred or matured			Sept. 30, 2015 balance
AFS debt securities
Mortgage-backed securities	$	295	$	—	$	—	$	—		$	295
Foreign government securities	171		—		—		(1		)	170
Corporate	118		1		—		(6		)	113
All other debt securities	149		—		—		—			149
Total OTTI credit losses recognized for AFS debt securities	$	733	$	1	$	—	$	(7	)	$	727
HTM debt securities
Mortgage-backed securities ⁽¹⁾	$	670	$	—	$	—	$	(2	)	$	668
Corporate	—		—		—		—			—
All other debt securities	133		—		—		(1		)	132
Total OTTI credit losses recognized for HTM debt securities	$	803	$	—	$	—	$	(3	)	$	800


(1)	Primarily consists of Alt-A securities.

139

The following is a nine-month roll-forward of the credit-related impairments recognized in earnings for AFS and HTM debt securities held as of September 30, 2014 that the Company does not intend to sell nor likely will be required to sell:



	Cumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollars	Dec. 31, 2013 balance		Credit impairments recognized in earnings on securities not previously impaired		Credit impairments recognized in earnings on securities that have been previously impaired		Reductions due to credit-impaired securities sold, transferred or matured			Sept. 30, 2014 balance
AFS debt securities
Mortgage-backed securities	$	295	$	—	$	—	$	—		$	295
Foreign government securities	171		—		—		—			171
Corporate	113		—		—		(1		)	112
All other debt securities	144		5		—		—			149
Total OTTI credit losses recognized for AFS debt securities	$	723	$	5	$	—	$	(1	)	$	727
HTM debt securities
Mortgage-backed securities ⁽¹⁾	$	678	$	—	$	—	$	(13	)	$	665
Corporate	56		—		—		(56		)	—
All other debt securities	133		—		—		—			133
Total OTTI credit losses recognized for HTM debt securities	$	867	$	—	$	—	$	(69	)	$	798

(1) Primarily consists of Alt-A securities.

Investments in Alternative Investment Funds That Calculate Net Asset Value per Share

The Company holds investments in certain alternative investment funds that calculate net asset value (NAV) per share, including hedge funds, private equity funds, funds of funds and real estate funds. The Company’s investments include co-investments in funds that are managed by the Company and investments in funds that are managed by third parties. Investments in funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV per share of the Company’s ownership interest in the funds, where it is not probable that the Company will sell an investment at a price other than the NAV.



	Fair value				Unfunded commitments				Redemption frequency (if currently eligible) monthly, quarterly, annually	Redemption notice period
In millions of dollars	September 30, 2015		December 31, 2014		September 30, 2015		December 31, 2014
Hedge funds	$	3	$	8	$	—	$	—	Generally quarterly	10-95 days
Private equity funds ⁽¹⁾⁽²⁾	827		891		188		205		—	—
Real estate funds ⁽²⁾⁽³⁾	137		166		20		24		—	—
Total ⁽⁴⁾	$	967	$	1,065	$	208	$	229	—	—


(1)	Private equity funds include funds that invest in infrastructure, leveraged buyout transactions, emerging markets and venture capital.

(2)

With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.


(3)	Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.

140


(4)	Included in the total fair value of investments above are $1.0 billion and $0.8 billion of fund assets that are valued using NAVs provided by third-party asset managers as of September 30, 2015 and December 31, 2014 , respectively.

141

14 . LOANS

Citigroup loans are reported in two categories—consumer and corporate. These categories are classified primarily according to the segment and subsegment that manage the loans.

Consumer Loans

Consumer loans represent loans and leases managed primarily by the Global Consumer Banking businesses in Citicorp and in Citi Holdings. The following table provides information by loan type for the periods indicated:



In millions of dollars	September 30, 2015			December 31, 2014
In U.S. offices
Mortgage and real estate ⁽¹⁾	$	89,155		$	96,533
Installment, revolving credit, and other	4,999			14,450
Cards	107,244			112,982
Commercial and industrial	6,437			5,895
	$	207,835		$	229,860
In offices outside the U.S.
Mortgage and real estate ⁽¹⁾	$	47,295		$	54,462
Installment, revolving credit, and other	29,702			31,128
Cards	26,865			32,032
Commercial and industrial	21,929			22,561
Lease financing	438			609
	$	126,229		$	140,792
Total Consumer loans	$	334,064		$	370,652
Net unearned income	(691		)	(682		)
Consumer loans, net of unearned income	$	333,373		$	369,970


(1)	Loans secured primarily by real estate.

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

Included in the loan table above are lending products whose terms may give rise to greater credit issues. Credit cards with below-market introductory interest rates and interest-only loans are examples of such products. These products are closely managed using credit techniques that are intended to mitigate their higher inherent risk.

During the three and nine months ended September 30, 2015 and 2014 , the Company sold and/or reclassified to held-for-sale $1.5 billion and $16.0 billion , and $1.8 billion and $5.6 billion , respectively, of consumer loans. The Company did not have significant purchases of consumer loans during the three and nine months ended September 30, 2015 and 2014 .

Delinquency Status

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

As a general policy, residential first mortgages, home equity loans and installment loans are classified as non-accrual when loan payments are 90 days contractually past due. Credit cards and unsecured revolving loans generally accrue interest until payments are 180 days past due. Home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage is 90 days or more past due. Mortgage loans in regulated bank entities discharged through Chapter 7 bankruptcy, other than Federal Housing Administration (FHA)-insured loans, are classified as non-accrual. Commercial market loans are placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due.

The policy for re-aging modified U.S. consumer loans to current status varies by product. Generally, one of the conditions to qualify for these modifications is that a minimum number of payments (typically ranging from one to three ) be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open-ended consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended consumer loans subject to FFIEC guidelines, one of the conditions for the loan to be re-aged to current status is that at least three consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years). Furthermore, FHA and Department of Veterans Affairs (VA) loans are modified under those respective agencies’ guidelines and payments are not always required in order to re-age a modified loan to current.

The following tables provide details on Citigroup’s consumer loan delinquency and non-accrual loans as of September 30, 2015 and December 31, 2014 :

Consumer Loan Delinquency and Non-Accrual Details at September 30, 2015



In millions of dollars	Total current ⁽¹⁾⁽²⁾		30-89 days past due ⁽³⁾		≥ 90 days past due ⁽³⁾		Past due government guaranteed ⁽⁴⁾		Total loans ⁽²⁾		Total non-accrual		90 days past due and accruing
In North America offices
Residential first mortgages	$	59,012	$	998	$	950	$	2,582	$	63,542	$	2,307	$	2,180
Home equity loans ⁽⁵⁾	24,258		322		463		—		25,043		1,125		—
Credit cards	105,489		1,262		1,112		—		107,863		—		1,112
Installment and other	4,248		74		37		—		4,359		—		4
Commercial market loans	8,294		34		42		—		8,370		188		13
Total	$	201,301	$	2,690	$	2,604	$	2,582	$	209,177	$	3,620	$	3,309
In offices outside North America
Residential first mortgages	$	40,296	$	291	$	88	$	—	$	40,675	$	381	$	—
Home equity loans ⁽⁵⁾	—		—		—		—		—		—		—
Credit cards	25,286		499		431		—		26,216		267		275
Installment and other	28,513		321		307		—		29,141		229		—
Commercial market loans	27,810		54		86		—		27,950		321		—
Total	$	121,905	$	1,165	$	912	$	—	$	123,982	$	1,198	$	275
Total GCB and Citi Holdings Consumer	$	323,206	$	3,855	$	3,516	$	2,582	$	333,159	$	4,818	$	3,584
Other ⁽⁶⁾	198		8		8		—		214		31		—
Total Citigroup	$	323,404	$	3,863	$	3,524	$	2,582	$	333,373	$	4,849	$	3,584


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


(2)	Includes $37 million of residential first mortgages recorded at fair value.


(3)	Excludes loans guaranteed by U.S. government-sponsored entities.


(4)	Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.4 billion and 90 days past due of $2.2 billion .


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


(6)	Represents loans classified as Consumer loans on the Consolidated Balance Sheet that are not included in the Citi Holdings consumer credit metrics.

Consumer Loan Delinquency and Non-Accrual Details at December 31, 2014



In millions of dollars	Total current ⁽¹⁾⁽²⁾		30-89 days past due ⁽³⁾		≥ 90 days past due ⁽³⁾		Past due government guaranteed ⁽⁴⁾		Total loans ⁽²⁾		Total non-accrual		90 days past due and accruing
In North America offices
Residential first mortgages	$	61,730	$	1,280	$	1,371	$	3,443	$	67,824	$	2,746	$	2,759
Home equity loans ⁽⁵⁾	27,262		335		520		—		28,117		1,271		—
Credit cards	111,441		1,316		1,271		—		114,028		—		1,273
Installment and other	12,361		229		284		—		12,874		254		3
Commercial market loans	8,630		31		13		—		8,674		135		15
Total	$	221,424	$	3,191	$	3,459	$	3,443	$	231,517	$	4,406	$	4,050
In offices outside North America
Residential first mortgages	$	44,782	$	312	$	223	$	—	$	45,317	$	454	$	—
Home equity loans ⁽⁵⁾	—		—		—		—		—		—		—
Credit cards	30,327		602		553		—		31,482		413		322
Installment and other	29,297		328		149		—		29,774		216		—
Commercial market loans	31,280		86		255		—		31,621		405		—
Total	$	135,686	$	1,328	$	1,180	$	—	$	138,194	$	1,488	$	322
Total GCB and Citi Holdings	$	357,110	$	4,519	$	4,639	$	3,443	$	369,711	$	5,894	$	4,372
Other	238		10		11		—		259		30		—
Total Citigroup	$	357,348	$	4,529	$	4,650	$	3,443	$	369,970	$	5,924	$	4,372


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


(2)	Includes $43 million of residential first mortgages recorded at fair value.


(3)	Excludes loans guaranteed by U.S. government-sponsored entities.


(4)	Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.6 billion and 90 days past due of $2.8 billion .


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

Consumer Credit Scores (FICO)

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

The following tables provide details on the FICO scores attributable to Citi’s U.S. consumer loan portfolio as of September 30, 2015 and December 31, 2014 (commercial market loans are not included in the table since they are business-based and FICO scores are not a primary driver in their credit evaluation). FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis, for the remaining portfolio.



FICO score distribution in U.S. portfolio ⁽¹⁾⁽²⁾	September 30, 2015
In millions of dollars	Less than 620		≥ 620 but less than 660		Equal to or greater than 660
Residential first mortgages	$	6,686	$	4,472	$	46,462
Home equity loans	2,730		2,196		18,924
Credit cards	7,087		9,709		88,159
Installment and other	345		278		2,620
Total	$	16,848	$	16,655	$	156,165


(1)	Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (LTSCs) with U.S. government-sponsored entities and loans recorded at fair value.


(2)	Excludes balances where FICO was not available. Such amounts are not material.



FICO score distribution in U.S. portfolio ⁽¹⁾⁽²⁾	December 31, 2014
In millions of dollars	Less than 620		≥ 620 but less than 660		Equal to or greater than 660
Residential first mortgages	$	8,911	$	5,463	$	45,783
Home equity loans	3,257		2,456		20,957
Credit cards	7,647		10,296		92,877
Installment and other	4,015		2,520		5,150
Total	$	23,830	$	20,735	$	164,767


(1)	Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.


(2)	Excludes balances where FICO was not available. Such amounts are not material.

Loan to Value (LTV) Ratios

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

The following tables provide details on the LTV ratios attributable to Citi’s U.S. consumer mortgage portfolios as of September 30, 2015 and December 31, 2014 . LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.



LTV distribution in U.S. portfolio ⁽¹⁾⁽²⁾	September 30, 2015
In millions of dollars	Less than or equal to 80%		> 80% but less than or equal to 100%		Greater than 100%
Residential first mortgages	$	50,484	$	6,001	$	1,285
Home equity loans	14,846		5,979		2,913
Total	$	65,330	$	11,980	$	4,198


(1)	Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.


(2)	Excludes balances where LTV was not available. Such amounts are not material.



LTV distribution in U.S. portfolio ⁽¹⁾⁽²⁾	December 31, 2014
In millions of dollars	Less than or equal to 80%		> 80% but less than or equal to 100%		Greater than 100%
Residential first mortgages	$	48,163	$	9,480	$	2,670
Home equity loans	14,638		7,267		4,641
Total	$	62,801	$	16,747	$	7,311


(1)	Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.


(2)	Excludes balances where LTV was not available. Such amounts are not material.

Impaired Consumer Loans

Impaired loans are those loans where Citigroup believes it is probable all amounts due according to the original contractual terms of the loan will not be collected. Impaired consumer loans include non-accrual commercial market loans, as well as smaller-balance homogeneous loans whose terms have been modified due to the borrower’s financial difficulties and where Citigroup has granted a concession to the borrower. These modifications may include interest rate reductions and/or principal forgiveness. Impaired consumer loans exclude smaller-balance homogeneous loans that have not been modified and are carried on a non-accrual basis.

The following tables present information about total impaired consumer loans at and for the periods ended September 30, 2015 and December 31, 2014 , respectively, and for the three and nine months ended September 30, 2015 and 2014 for interest income recognized on impaired consumer loans:



									Three Months Ended September 30,				Nine months ended September 30,
	Balance at September 30, 2015								2015		2014		2015		2014
In millions of dollars	Recorded investment ⁽¹⁾⁽²⁾		Unpaid principal balance		Related specific allowance ⁽³⁾		Average carrying value ⁽⁴⁾		Interest income recognized ⁽⁵⁾		Interest income recognized ⁽⁵⁾		Interest income recognized ⁽⁵⁾		Interest income recognized ⁽⁵⁾
Mortgage and real estate
Residential first mortgages	$	8,996	$	10,013	$	1,300	$	10,811	$	107	$	167	$	359	$	532
Home equity loans	1,841		2,470		567		1,936		16		18		50		56
Credit cards	1,998		2,034		353		2,193		47		47		135		148
Installment and other
Individual installment and other	446		476		490		570		8		31		47		94
Commercial market loans	366		566		100		390		4		3		10		18
Total	$	13,647	$	15,559	$	2,810	$	15,900	$	182	$	266	$	601	$	848


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


(2)	$1,426 million of residential first mortgages, $490 million of home equity loans and $136 million of commercial market loans do not have a specific allowance.

(3) Included in the Allowance for loan losses .

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

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



	Balance at December 31, 2014
In millions of dollars	Recorded investment ⁽¹⁾⁽²⁾		Unpaid principal balance		Related specific allowance ⁽³⁾		Average carrying value ⁽⁴⁾
Mortgage and real estate
Residential first mortgages	$	13,551	$	14,387	$	1,909	$	15,389
Home equity loans	2,029		2,674		599		2,075
Credit cards	2,407		2,447		849		2,732
Installment and other
Individual installment and other	948		963		450		975
Commercial market loans	423		599		110		381
Total	$	19,358	$	21,070	$	3,917	$	21,552


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


(2)	$1,896 million of residential first mortgages, $554 million of home equity loans and $158 million of commercial market loans do not have a specific allowance.


(3)	Included in the Allowance for loan losses .


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

Consumer Troubled Debt Restructurings

The following tables present consumer TDRs occurring during the three and nine months ended September 30, 2015 and 2014 :



	At and for the three months ended September 30, 2015
In millions of dollars except number of loans modified	Number of loans modified	Post- modification recorded investment ⁽¹⁾⁽²⁾		Deferred principal ⁽³⁾		Contingent principal forgiveness ⁽⁴⁾		Principal forgiveness ⁽⁵⁾		Average interest rate reduction
North America
Residential first mortgages	2,282	$	305	$	2	$	1	$	7	1	%
Home equity loans	1,021	36		—		—		—		2
Credit cards	44,972	186		—		—		—		16
Installment and other revolving	1,035	9		—		—		—		13
Commercial markets ⁽⁶⁾	89	10		—		—		—		—
Total ⁽⁷⁾	49,399	$	546	$	2	$	1	$	7
International
Residential first mortgages	1,309	$	28	$	—	$	—	$	—	—	%
Home equity loans	13	2		—		—		—		—
Credit cards	32,774	87		—		—		2		13
Installment and other revolving	19,283	76		—		—		1		5
Commercial markets ⁽⁶⁾	42	14		—		—		—		—
Total ⁽⁷⁾	53,421	$	207	$	—	$	—	$	3



	At and for the three months ended September 30, 2014
In millions of dollars except number of loans modified	Number of loans modified	Post- modification recorded investment ⁽¹⁾⁽⁸⁾		Deferred principal ⁽³⁾		Contingent principal forgiveness ⁽⁴⁾		Principal forgiveness ⁽⁵⁾		Average interest rate reduction
North America
Residential first mortgages	4,933	$	626	$	15	$	11	$	1	1	%
Home equity loans	1,900	76		1		—		2		3
Credit cards	48,775	211		—		—		—		16
Installment and other revolving	11,420	87		—		—		—		6
Commercial markets ⁽⁶⁾	46	5		—		—		1		—
Total ⁽⁷⁾	67,074	$	1,005	$	16	$	11	$	4
International
Residential first mortgages	841	$	30	$	—	$	—	$	—	—	%
Home equity loans	15	3		—		—		—		—
Credit cards	40,468	122		—		—		2		12
Installment and other revolving	15,077	73		—		—		2		8
Commercial markets ⁽⁶⁾	51	22		—		—		—		—
Total ⁽⁷⁾	56,452	$	250	$	—	$	—	$	4


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

(2)

Post-modification balances in North America include $ 54 million of residential first mortgages and $ 17 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended September 30, 2015 . These amounts include $ 34 million of residential first mortgages and $ 14 million of home equity loans that were newly classified as TDRs in the three months ended September 30, 2015 as a result of OCC guidance, as described above.


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


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


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

(6) Commercial markets loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.

(7) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.

(8) Post-modification balances in North America include $ 74 million of residential first mortgages and $ 22 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended September 30, 2014 . These amounts include $ 45 million of residential first mortgages and $ 19 million of home equity loans that were newly classified as TDRs in the three months ended September 30, 2014 as a result of OCC guidance, as described above.



	At and for the nine months ended September 30, 2015
In millions of dollars except number of loans modified	Number of loans modified	Post- modification recorded investment ⁽¹⁾⁽²⁾		Deferred principal ⁽³⁾		Contingent principal forgiveness ⁽⁴⁾		Principal forgiveness ⁽⁵⁾		Average interest rate reduction
North America
Residential first mortgages	8,084	$	1,078	$	7	$	3	$	23	1	%
Home equity loans	3,571	126		1		—		3		2
Credit cards	140,130	582		—		—		—		16
Installment and other revolving	3,111	27		—		—		—		13
Commercial markets ⁽⁶⁾	245	39		—		—		—		—
Total ⁽⁸⁾	155,141	$	1,852	$	8	$	3	$	26
International
Residential first mortgages	2,920	$	73	$	—	$	—	$	—	—	%
Home equity loans	43	7		—		—		—		—
Credit cards	110,792	288		—		—		5		13
Installment and other revolving	48,397	207		—		—		5		5
Commercial markets ⁽⁶⁾	178	65		—		—		—		1
Total ⁽⁸⁾	162,330	$	640	$	—	$	—	$	10



	At and for the nine months ended September 30, 2014
In millions of dollars except number of loans modified	Number of loans modified	Post- modification recorded investment ⁽¹⁾⁽⁷⁾		Deferred principal ⁽³⁾		Contingent principal forgiveness ⁽⁴⁾		Principal forgiveness ⁽⁵⁾		Average interest rate reduction
North America
Residential first mortgages	15,435	$	1,866	$	43	$	30	$	7	1	%
Home equity loans	6,102	228		3		—		13		2
Credit cards	136,501	601		—		—		—		15
Installment and other revolving	36,086	269		—		—		—		6
Commercial markets ⁽⁶⁾	137	27		—		—		1		—
Total ⁽⁸⁾	194,261	$	2,991	$	46	$	30	$	21
International
Residential first mortgages	2,133	$	79	$	—	$	—	$	1	1	%
Home equity loans	53	9		—		—		—		—
Credit cards	109,337	356		—		—		7		13
Installment and other revolving	44,158	219		—		—		5		9
Commercial markets ⁽⁶⁾	271	156		—		—		—		—
Total ⁽⁸⁾	155,952	$	819	$	—	$	—	$	13


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

(2)

Post-modification balances in North America include $ 181 million of residential first mortgages and $ 46 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the nine months ended September 30, 2015 . These amounts include $ 107 million of residential first mortgages and $ 39 million of home equity loans that are newly classified as TDRs as a result of OCC guidance received in the nine months ended September 30, 2015 , as described above.


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


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


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

(6) Commercial markets loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.

(7) Post-modification balances in North America include $ 240 million of residential first mortgages and $ 65 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the nine months ended September 30, 2014 . These amounts include $ 144 million of residential first mortgages and $ 56 million of home equity loans that are newly classified as TDRs as a result of OCC guidance received in the nine months ended September 30, 2014 , as described above.

(8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.

The following table presents consumer TDRs that defaulted during the three and nine months ended September 30, 2015 and 2014 , respectively, for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial markets loans, where default is defined as 90 days past due.



	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2015		2014		2015		2014
North America
Residential first mortgages	$	101	$	149	$	329	$	562
Home equity loans	9		16		30		55
Credit cards	47		47		139		146
Installment and other revolving	2		26		6		68
Commercial markets	1		1		5		8
Total	$	160	$	239	$	509	$	839
International
Residential first mortgages	$	5	$	6	$	17	$	16
Home equity loans	—		—		—		—
Credit cards	34		52		106		175
Installment and other revolving	20		25		66		81
Commercial markets	7		2		18		102
Total	$	66	$	85	$	207	$	374

142

Corporate Loans

Corporate loans represent loans and leases managed by the Institutional Clients Group in Citicorp or, to a much lesser extent, in Citi Holdings. The following table presents information by corporate loan type as of September 30, 2015 and December 31, 2014 :



In millions of dollars	September 30, 2015			December 31, 2014

In U.S. offices
Commercial and industrial	$	40,435		$	35,055
Financial institutions	38,034			36,272
Mortgage and real estate ⁽¹⁾	37,019			32,537
Installment, revolving credit and other	32,129			29,207
Lease financing	1,718			1,758
	$	149,335		$	134,829
In offices outside the U.S.
Commercial and industrial	$	81,540		$	79,239
Financial institutions	28,090			33,269
Mortgage and real estate ⁽¹⁾	6,602			6,031
Installment, revolving credit and other	19,352			19,259
Lease financing	259			356
Governments and official institutions	4,503			2,236
	$	140,346		$	140,390
Total Corporate loans	$	289,681		$	275,219
Net unearned income	(610		)	(554		)
Corporate loans, net of unearned income	$	289,071		$	274,665


(1)	Loans secured primarily by real estate.

The Company sold and/or reclassified (to held-for-sale) $0.5 billion and $1.6 billion of corporate loans during the three and nine months ended September 30, 2015 , respectively, and $1.7 billion and $4.2 billion during the three and nine months ended September 30, 2014, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and nine months ended September 30, 2015 or 2014.

Corporate loans are identified as impaired and placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due, except when the loan is well collateralized and in the process of collection. Any interest accrued on impaired corporate loans and leases is reversed at 90 days and charged against current earnings, and interest is thereafter included in earnings only to the extent actually received in cash. When there is doubt regarding the ultimate collectability of principal, all cash receipts are thereafter applied to reduce the recorded investment in the loan. While corporate loans are generally managed based on their internally assigned risk rating (see further discussion below), the following tables present delinquency information by corporate loan type as of September 30, 2015 and December 31, 2014 .

Corporate Loan Delinquency and Non-Accrual Details at September 30, 2015



In millions of dollars	30-89 days past due and accruing ⁽¹⁾		≥ 90 days past due and accruing ⁽¹⁾		Total past due and accruing		Total non-accrual ⁽²⁾		Total current ⁽³⁾		Total loans ⁽⁴⁾
Commercial and industrial	$	75	$	—	$	75	$	1,042	$	116,958	$	118,075
Financial institutions	20		—		20		165		64,647		64,832
Mortgage and real estate	190		—		190		236		43,121		43,547
Leases	1		—		1		75		1,900		1,976
Other	46		7		53		40		55,063		55,156
Loans at fair value											5,476
Purchased distressed loans											9
Total	$	332	$	7	$	339	$	1,558	$	281,689	$	289,071


(1)	Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.


(2)	Citi generally does not manage corporate loans on a delinquency basis. Non-accrual loans generally include those loans that are ≥ 90 days past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful.


(3)	Corporate loans are past due when principal or interest is contractually due but unpaid. Loans less than 30 days past due are presented as current.


(4)	Total loans include loans at fair value, which are not included in the various delinquency columns.

143

Corporate Loan Delinquency and Non-Accrual Details at December 31, 2014



In millions of dollars	30-89 days past due and accruing ⁽¹⁾		≥ 90 days past due and accruing ⁽¹⁾		Total past due and accruing		Total non-accrual ⁽²⁾		Total current ⁽³⁾		Total loans ⁽⁴⁾
Commercial and industrial	$	50	$	—	$	50	$	575	$	109,764	$	110,389
Financial institutions	2		—		2		250		67,580		67,832
Mortgage and real estate	86		—		86		252		38,135		38,473
Leases	—		—		—		51		2,062		2,113
Other	49		1		50		55		49,844		49,949
Loans at fair value											5,858
Purchased Distressed Loans											51
Total	$	187	$	1	$	188	$	1,183	$	267,385	$	274,665


(1)	Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.


(2)	Citi generally does not manage corporate loans on a delinquency basis. Non-accrual loans generally include those loans that are ≥ 90 days past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful.


(3)	Corporate loans are past due when principal or interest is contractually due but unpaid. Loans less than 30 days past due are presented as current.


(4)	Total loans include loans at fair value, which are not included in the various delinquency columns.

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

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

Corporate Loans Credit Quality Indicators at September 30, 2015 and December 31, 2014



	Recorded investment in loans ⁽¹⁾
In millions of dollars	September 30, 2015		December 31, 2014
Investment grade ⁽²⁾
Commercial and industrial	$	84,088	$	80,812
Financial institutions	55,722		56,154
Mortgage and real estate	19,735		16,068
Leases	1,627		1,669
Other	49,525		46,284
Total investment grade	$	210,697	$	200,987
Non-investment grade ⁽²⁾
Accrual
Commercial and industrial	$	32,946	$	29,003
Financial institutions	8,945		11,429
Mortgage and real estate	3,540		3,587
Leases	274		393
Other	5,591		3,609
Non-accrual
Commercial and industrial	1,042		575
Financial institutions	165		250
Mortgage and real estate	236		252
Leases	75		51
Other	40		55
Total non-investment grade	$	52,854	$	49,204
Private bank loans managed on a delinquency basis ⁽²⁾	$	20,044	$	18,616
Loans at fair value	5,476		5,858
Corporate loans, net of unearned income	$	289,071	$	274,665

144


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


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

Corporate loans and leases identified as impaired and placed on non-accrual status are written down to the extent that principal is judged to be uncollectible. Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying

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

The following tables present non-accrual loan information by Corporate loan type at September 30, 2015 and December 31, 2014 and interest income recognized on non-accrual Corporate loans for the nine months ended September 30, 2015 .

Non-Accrual Corporate Loans



									Three Months Ended September 30, 2015		Nine Months Ended September 30, 2015
	September 30, 2015
In millions of dollars	Recorded investment ⁽¹⁾		Unpaid principal balance		Related specific allowance		Average carrying value ⁽²⁾		Interest income recognized ⁽³⁾		Interest income recognized ⁽³⁾
Non-accrual corporate loans
Commercial and industrial	$	1,042	$	1,346	$	162	$	709	$	1	$	5
Financial institutions	165		173		1		214		—		—
Mortgage and real estate	236		322		17		245		1		2
Lease financing	75		76		49		56		—		—
Other	40		90		13		42		—		—
Total non-accrual corporate loans	$	1,558	$	2,007	$	242	$	1,266	$	2	$	7



	At December 31, 2014
In millions of dollars	Recorded investment ⁽¹⁾		Unpaid principal balance		Related specific allowance		Average carrying value ⁽²⁾
Non-accrual corporate loans
Commercial and industrial	$	575	$	863	$	155	$	658
Financial institutions	250		262		7		278
Mortgage and real estate	252		287		24		263
Lease financing	51		53		29		85
Other	55		68		21		60
Total non-accrual corporate loans	$	1,183	$	1,533	$	236	$	1,344

145



	September 30, 2015				December 31, 2014
In millions of dollars	Recorded investment ⁽¹⁾		Related specific allowance		Recorded investment ⁽¹⁾		Related specific allowance
Non-accrual corporate loans with valuation allowances
Commercial and industrial	$	341	$	162	$	224	$	155
Financial institutions	6		1		37		7
Mortgage and real estate	49		17		70		24
Lease financing	75		49		47		29
Other	36		13		55		21
Total non-accrual corporate loans with specific allowance	$	507	$	242	$	433	$	236
Non-accrual corporate loans without specific allowance
Commercial and industrial	$	701			$	351
Financial institutions	159				213
Mortgage and real estate	187				182
Lease financing	—				4
Other	4				—
Total non-accrual corporate loans without specific allowance	$	1,051	N/A		$	750	N/A


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


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


(3)	Interest income recognized for the three- and nine-month periods ended September 30, 2014 was $14 million and $39 million , respectively.

N/A Not Applicable

Corporate Troubled Debt Restructurings

The following table presents corporate TDR activity at and for the three months ended September 30, 2015 .



In millions of dollars	Carrying Value		TDRs involving changes in the amount and/or timing of principal payments ⁽¹⁾		TDRs involving changes in the amount and/or timing of interest payments ⁽²⁾		TDRs involving changes in the amount and/or timing of both principal and interest payments
Commercial and industrial	$	13	$	12	$	—	$	1
Financial institutions	—		—		—		—
Mortgage and real estate	35		1		—		34
Other	—		—		—		—
Total	$	48	$	13	$	—	$	35

(1)

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


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

146

The following table presents corporate TDR activity at and for the three months ended September 30, 2014.



In millions of dollars	Carrying Value		TDRs involving changes in the amount and/or timing of principal payments ⁽¹⁾		TDRs involving changes in the amount and/or timing of interest payments ⁽²⁾		TDRs involving changes in the amount and/or timing of both principal and interest payments
Commercial and industrial	$	1	$	—	$	—	$	1
Financial institutions	—		—		—		—
Mortgage and real estate	3		1		—		2
Other	—		—		—		—
Total	$	4	$	1	$	—	$	3

(1)


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

The following table presents corporate TDR activity at and for the nine months ended September 30, 2015.



In millions of dollars	Carrying Value		TDRs involving changes in the amount and/or timing of principal payments ⁽¹⁾		TDRs involving changes in the amount and/or timing of interest payments ⁽²⁾		TDRs involving changes in the amount and/or timing of both principal and interest payments
Commercial and industrial	$	79	$	45	$	—	$	34
Financial institutions	—		—		—		—
Mortgage and real estate	47		3		—		44
Other	—		—		—		—
Total	$	126	$	48	$	—	$	78

(1)


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

The following table presents corporate TDR activity at and for the nine months ended September 30, 2014 .



In millions of dollars	Carrying Value		TDRs involving changes in the amount and/or timing of principal payments ⁽¹⁾		TDRs involving changes in the amount and/or timing of interest payments ⁽²⁾		TDRs involving changes in the amount and/or timing of both principal and interest payments
Commercial and industrial	$	48	$	30	$	17	$	1
Financial institutions	—		—		—		—
Mortgage and real estate	8		5		1		2
Other	—		—		—		—
Total	$	56	$	35	$	18	$	3

(1)


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

147

The following table presents total Corporate loans modified in a TDR at September 30, 2015 and 2014 , as well as those TDRs that defaulted during the three and nine months ended September 30, 2015 and 2014 and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial markets loans, where default is defined as 90 days past due.



In millions of dollars	TDR balances at September 30, 2015		TDR loans in payment default during the three months ended September 30, 2015		TDR loans in payment default nine months ended September 30, 2015		TDR balances at September 30, 2014		TDR loans in payment default during the three months ended September 30, 2014		TDR loans in payment default nine months ended September 30, 2014
Commercial and industrial	$	126	$	—	$	—	$	161	$	—	$	—
Loans to financial institutions	1		—		1		—		—		—
Mortgage and real estate	144		—		—		125		—		—
Other	316		—		—		326		—		—
Total	$	587	$	—	$	1	$	612	$	—	$	—

148

15 . ALLOWANCE FOR CREDIT LOSSES



	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2015			2014			2015			2014
Allowance for loan losses at beginning of period	$	14,075		$	17,890		$	15,994		$	19,648
Gross credit losses	(2,068		)	(2,586		)	(6,861		)	(8,381		)
Gross recoveries ⁽¹⁾	405			489			1,321			1,656
Net credit losses (NCLs) ⁽²⁾	$	(1,663	)	$	(2,097	)	$	(5,540	)	$	(6,725	)
NCLs	$	1,663		$	2,097		$	5,540		$	6,725
Net reserve builds (releases)	43			(492		)	(247		)	(1,573		)
Net specific reserve builds (releases)	(124		)	(30		)	(441		)	(205		)
Total provision for credit losses	$	1,582		$	1,575		$	4,852		$	4,947
Other, net ⁽³⁾	(368		)	(453		)	(1,680		)	(955		)
Allowance for loan losses at end of period	$	13,626		$	16,915		$	13,626		$	16,915
Allowance for credit losses on unfunded lending commitments at beginning of period	$	973		$	1,176		$	1,063		$	1,229
Provision (release) for unfunded lending commitments	65			(30		)	(20		)	(88		)
Other, net	(2		)	(6		)	(7		)	(1		)
Allowance for credit losses on unfunded lending commitments at end of period ⁽⁴⁾	$	1,036		$	1,140		$	1,036		$	1,140
Total allowance for loans, leases, and unfunded lending commitments	$	14,662		$	18,055		$	14,662		$	18,055


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

(2)

As a result of the entry into an agreement in March 2015 to sell OneMain Financial (OneMain), OneMain was classified as held-for-sale (HFS) at the end of the first quarter of 2015. As a result of HFS accounting treatment, approximately $160 million and $116 million of net credit losses were recorded as a reduction in revenue (Other revenue) during the second and third quarters of 2015, respectively.

(3)

The third quarter of 2015 includes a reduction of approximately $110 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of $14 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the third quarter includes a reduction of approximately $255 million related to FX translation. The second quarter of 2015 includes a reduction of approximately $88 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of $34 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the second quarter of 2015 includes a reduction of approximately $39 million related to FX translation. The first quarter of 2015 includes a reduction of approximately $1.0 billion related to the sale or transfers to HFS of various loan portfolios, including a reduction of $281 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the first quarter of 2015 includes a reduction of approximately $145 million related to FX translation. The third quarter of 2014 includes a reduction of approximately $259 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of $151 million related to a transfer of a real estate loan portfolio to HFS and a reduction of approximately $108 million related to the transfer of various EMEA loan portfolios to HFS. Additionally, the third quarter includes a reduction of approximately $181 million related to FX translation. The second quarter of 2014 includes a reduction of approximately $480 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of approximately $204 million and $177 million related to the transfer of HFS of businesses in Greece and Spain and $29 million related to the sale of the Honduras business, and $66 million related to a transfer of a real estate loan portfolio to HFS. These amounts are partially offset by FX translation on the entire allowance balance. The first quarter of 2014 includes reductions of approximately $79 million related to the sale or transfer to HFS of various loan portfolios.


(4)	Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.

Allowance for Credit Losses and Investment in Loans



	Three Months Ended
	September 30, 2015									September 30, 2014
In millions of dollars	Corporate			Consumer			Total			Corporate			Consumer			Total
Allowance for loan losses at beginning of period	$	2,326		$	11,749		$	14,075		$	2,370		$	15,520		$	17,890
Charge-offs	(73		)	(1,995		)	(2,068		)	(43		)	(2,543		)	(2,586		)
Recoveries	27			378			405			61			428			489
Replenishment of net charge-offs	46			1,617			1,663			(18		)	2,115			2,097
Net reserve builds (releases)	115			(72		)	43			(99		)	(393		)	(492		)
Net specific reserve builds (releases)	78			(202		)	(124		)	87			(117		)	(30		)
Other	(3		)	(365		)	(368		)	(18		)	(435		)	(453		)
Ending balance	$	2,516		$	11,110		$	13,626		$	2,340		$	14,575		$	16,915

149



	Nine Months Ended
	September 30, 2015									September 30, 2014
In millions of dollars	Corporate			Consumer			Total			Corporate			Consumer			Total
Allowance for loan losses at beginning of period	$	2,389		$	13,605		$	15,994		$	2,584		$	17,064		$	19,648
Charge-offs	(219		)	(6,642		)	(6,861		)	(264		)	(8,117		)	(8,381		)
Recoveries	76			1,245			1,321			126			1,530			1,656
Replenishment of net charge-offs	143			5,397			5,540			138			6,587			6,725
Net reserve builds (releases)	174			(421		)	(247		)	(226		)	(1,347		)	(1,573		)
Net specific reserve builds (releases)	(38		)	(403		)	(441		)	2			(207		)	(205		)
Other	(9		)	(1,671		)	(1,680		)	(20		)	(935		)	(955		)
Ending balance	$	2,516		$	11,110		$	13,626		$	2,340		$	14,575		$	16,915



	September 30, 2015						December 31, 2014
In millions of dollars	Corporate		Consumer		Total		Corporate		Consumer		Total
Allowance for loan losses
Determined in accordance with ASC 450	$	2,271	$	8,282	$	10,553	$	2,110	$	9,673	$	11,783
Determined in accordance with ASC 310-10-35	242		2,810		3,052		235		3,917		4,152
Determined in accordance with ASC 310-30	3		18		21		44		15		59
Total allowance for loan losses	$	2,516	$	11,110	$	13,626	$	2,389	$	13,605	$	15,994
Loans, net of unearned income
Loans collectively evaluated for impairment in accordance with ASC 450	$	281,785	$	319,378	$	601,163	$	267,271	$	350,199	$	617,470
Loans individually evaluated for impairment in accordance with ASC 310-10-35	1,801		13,647		15,448		1,485		19,358		20,843
Loans acquired with deteriorated credit quality in accordance with ASC 310-30	9		311		320		51		370		421
Loans held at fair value	5,476		37		5,513		5,858		43		5,901
Total loans, net of unearned income	$	289,071	$	333,373	$	622,444	$	274,665	$	369,970	$	644,635

150

16 . GOODWILL AND INTANGIBLE ASSETS

Goodwill

The changes in Goodwill during the nine months ended September 30, 2015 were as follows:



In millions of dollars
Balance at December 31, 2014	$	23,592
Foreign exchange translation and other	(312		)
Impairment of goodwill	(16		)
Divestitures, purchase accounting adjustments and other	(114		)
Balance at March 31, 2015	$	23,150
Foreign exchange translation and other	(123		)
Divestitures, purchase accounting adjustments and other	(15		)
Balance at June 30, 2015	$	23,012
Foreign exchange translation and other	$	(470	)
Impairment of goodwill	(15		)
Divestitures, purchase accounting adjustments and other	(83		)
Balance at September 30, 2015	$	22,444

The goodwill impairment testing process, including the methodology and assumptions used to estimate the fair value of the reporting units, is disclosed in more detail in Note 1 of Citigroup’s 2014 Annual Report on Form 10-K.

As previously discussed in Note 17 of Citigroup’s 2014 Annual Report on Form 10-K, effective January 1, 2015, certain consumer banking and institutional businesses were transferred to Citi Holdings and aggregated to form five new reporting units: Citi Holdings Consumer EMEA , Citi Holdings— Consumer Latin America , Citi Holdings— Consumer Japan , Citi Holdings— Consumer Finance South Korea , and Citi Holdings— ICG . Goodwill balances associated with the transfers were allocated to each of the component businesses based on their relative fair values to the legacy reporting units.

As required by ASC 350, a goodwill impairment test was performed as of January 1, 2015 under the legacy and new reporting structures. The test resulted in full impairment of the new Citi Holdings— Consumer Finance South Korea reporting unit's $16 million of goodwill, which was recorded as an operating expense in the first quarter of 2015. There were no other impairments recorded during the first and second quarters of 2015.

The Company performed its annual goodwill impairment test as of July 1, 2015. The fair values of the Company’s reporting units substantially exceeded their carrying values and did not indicate a risk of impairment based on current valuations, with the exception of Citi Holdings — Consumer Latin America reporting unit.

During the third quarter of 2015, Citi signed definitive agreements to sell most of its businesses in Citi Holdings — Consumer Latin America reporting unit, with allocated goodwill to the sales of $55 million transferred to assets

held-for-sale; the remaining $15 million of goodwill was tested for impairment. Due to the deficit of the remaining fair value to book value for this reporting unit, the goodwill of $15 million was taken as an impairment charge. Furthermore, the Company signed definitive agreements to sell all of its remaining businesses in Citi Holdings— Consumer EMEA reporting unit, with the entire goodwill balance of $13 million allocated to the sales and transferred to assets held-for-sale as of September 30, 2015.

The following table shows reporting units with goodwill balances as of September 30, 2015 .



In millions of dollars
Reporting Unit ⁽¹⁾⁽²⁾	Goodwill
North America Global Consumer Banking	$	6,714
EMEA Global Consumer Banking	299
Asia Global Consumer Banking	4,504
Latin America Global Consumer Banking	1,343
Banking	3,104
Markets and Securities Services	6,480
Total	$	22,444


(1)	Citi Holdings —Other, Citi Holdings— Consumer Finance South Korea and Citi Holdings— ICG are excluded from the table as there is no goodwill allocated to them.


(2)	Citi Holdings —Consumer EMEA, Citi Holdings —Consumer Japan and Citi Holdings —Consumer Latin America are excluded from the table as the remaining goodwill were either impaired or classified as held-for-sale.

151

Intangible Assets

The components of intangible assets as of September 30, 2015 and December 31, 2014 were as follows:



	September 30, 2015						December 31, 2014
In millions of dollars	Gross carrying amount		Accumulated amortization		Net carrying amount		Gross carrying amount		Accumulated amortization		Net carrying amount
Purchased credit card relationships	$	7,595	$	6,457	$	1,138	$	7,626	$	6,294	$	1,332
Core deposit intangibles	1,058		967		91		1,153		1,021		132
Other customer relationships	478		338		140		579		331		248
Present value of future profits	159		153		6		233		154		79
Indefinite-lived intangible assets	256		—		256		290		—		290
Other ⁽¹⁾	5,097		2,848		2,249		5,217		2,732		2,485
Intangible assets (excluding MSRs)	$	14,643	$	10,763	$	3,880	$	15,098	$	10,532	$	4,566
Mortgage servicing rights (MSRs) ⁽²⁾	1,766		—		1,766		1,845		—		1,845
Total intangible assets	$	16,409	$	10,763	$	5,646	$	16,943	$	10,532	$	6,411


(1)	Includes contract-related intangible assets.


(2)	For additional information on Citi’s MSRs, including the roll-forward for the nine months ended September 30, 2015, see Note 20 to the Consolidated Financial Statements.

The changes in intangible assets during the nine months ended September 30, 2015 were as follows:



	Net carrying amount at														Net carrying amount at
In millions of dollars	December 31, 2014		Acquisitions/ divestitures			Amortization			Impairments			FX and other ⁽¹⁾			September 30, 2015
Purchased credit card relationships	$	1,332	$	—		$	(199	)	$	—		$	5		$	1,138
Core deposit intangibles	132		—			(32		)	—			(9		)	91
Other customer relationships	248		(87		)	(18		)	—			(3		)	140
Present value of future profits	79		(68		)	(4		)	—			(1		)	6
Indefinite-lived intangible assets	290		—			—			—			(34		)	256
Other	2,485		(21		)	(226		)	(5		)	16			2,249
Intangible assets (excluding MSRs)	$	4,566	$	(176	)	$	(479	)	$	(5	)	$	(26	)	$	3,880
Mortgage servicing rights (MSRs) ⁽²⁾	1,845														1,766
Total intangible assets	$	6,411													$	5,646


(1)	Includes foreign exchange translation, purchase accounting adjustments and other.


(2)	For additional information on Citi’s MSRs, including the roll-forward for the nine months ended September 30, 2015, see Note 20 to the Consolidated Financial Statements.

152

17 . DEBT

Short-Term Borrowings



In millions of dollars	September 30, 2015		December 31, 2014
Commercial paper
Significant Citibank entities ⁽¹⁾	$	9,416	$	16,085
Parent ⁽²⁾	—		70
Total Commercial paper	$	9,416	$	16,155
Other borrowings ⁽³⁾	$	13,163	$	42,180
Total	$	22,579	$	58,335


(1)	Significant Citibank entities consist of Citibank, N.A. units domiciled in the U.S., Western Europe, Hong Kong and Singapore.


(2)	Parent includes the parent holding company (Citigroup Inc.) and Citi’s broker-dealer subsidiaries that are consolidated into Citigroup.


(3)	Includes borrowings from the Federal Home Loan Banks and other market participants. At September 30, 2015 and December 31, 2014 , collateralized short-term advances from the Federal Home Loan Banks were $1.9 million and $11.2 billion , respectively.

Borrowings under bank lines of credit may be at interest rates based on LIBOR, CD rates, the prime rate or bids submitted by the banks. Citigroup pays commitment fees for its lines of credit.

Some of Citigroup’s non-bank subsidiaries have credit facilities with Citigroup’s subsidiary depository institutions, including Citibank, N.A. Borrowings under these facilities are secured in accordance with Section 23A of the Federal Reserve Act.

Citigroup Global Markets Holdings Inc. (CGMHI) has borrowing agreements consisting of facilities that CGMHI has been advised are available, but where no contractual lending obligation exists. These arrangements are reviewed on an ongoing basis to ensure flexibility in meeting CGMHI’s short-term requirements.

Long-Term Debt



In millions of dollars	September 30, 2015		December 31, 2014
Citigroup Inc. ⁽¹⁾	$	152,599	$	149,512
Bank ⁽²⁾	56,748		65,146
Broker-dealer ⁽³⁾	4,186		8,422
Total	$	213,533	$	223,080


(1)	Parent holding company, Citigroup Inc.


(2)	Represents the Significant Citibank entities as well as other Citibank and Banamex entities. At September 30, 2015 and December 31, 2014 , collateralized long-term advances from the Federal Home Loan Banks were $17.3 billion and $19.8 billion , respectively.


(3)	Represents broker-dealer subsidiaries that are consolidated into Citigroup Inc., the parent holding company.

Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.7 billion at both September 30, 2015 and December 31, 2014 (for the structure and terms of Citi’s trust preferred securities, see Note 20 to the Consolidated Financial Statements).

The following table summarizes the Company’s outstanding trust preferred securities at September 30, 2015 :



								Junior subordinated debentures owned by trust
Trust	Issuance date	Securities issued	Liquidation value ⁽¹⁾		Coupon rate ⁽²⁾		Common shares issued to parent	Amount		Maturity	Redeemable by issuer beginning
In millions of dollars, except share amounts
Citigroup Capital III	Dec. 1996	194,053	$	194	7.625	%	6,003	$	200	Dec. 1, 2036	Not redeemable
Citigroup Capital XIII	Sept. 2010	89,840,000	2,246		7.875		1,000	2,246		Oct. 30, 2040	Oct. 30, 2015
Citigroup Capital XVIII	June 2007	99,901	151		6.829		50	151		June 28, 2067	June 28, 2017
Total obligated			$	2,591				$	2,597

Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and Citigroup Capital XVIII and quarterly for Citigroup Capital XIII.


(1)	Represents the notional value received by investors from the trusts at the time of issuance.


(2)	In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.

153

18 . CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS)

Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) for the three and nine months ended September 30, 2015 and 2014 are as follows:

Three Months Ended September 30, 2015 :



In millions of dollars	Net unrealized gains (losses) on investment securities			Cash flow hedges ⁽¹⁾			Benefit plans ⁽²⁾			Foreign currency translation adjustment, net of hedges (CTA) ⁽³⁾⁽⁴⁾			Accumulated other comprehensive income (loss)
Balance, June 30, 2015	$	(287	)	$	(731	)	$	(4,671	)	$	(19,415	)	$	(25,104	)
Other comprehensive income (losses) before reclassifications	$	556		$	149		$	(400	)	$	(2,493	)	$	(2,188	)
Increase (decrease) due to amounts reclassified from AOCI	(45		)	40			40			—			35
Change, net of taxes	$	511		$	189		$	(360	)	$	(2,493	)	$	(2,153	)
Balance at September 30, 2015	$	224		$	(542	)	$	(5,031	)	$	(21,908	)	$	(27,257	)

Nine months ended September 30, 2015 :



Balance, December 31, 2014	$	57		$	(909	)	$	(5,159	)	$	(17,205	)	$	(23,216	)
Other comprehensive income before reclassifications	$	453		$	203		$	7		$	(4,703	)	$	(4,040	)
Increase (decrease) due to amounts reclassified from AOCI	(286		)	164			121			—			(1		)
Change, net of taxes	$	167		$	367		$	128		$	(4,703	)	$	(4,041	)
Balance at September 30, 2015	$	224		$	(542	)	$	(5,031	)	$	(21,908	)	$	(27,257	)

Three Months Ended September 30, 2014 :



Balance, June 30, 2014	$	(206	)	$	(1,007	)	$	(4,166	)	$	(12,768	)	$	(18,147	)
Other comprehensive income before reclassifications	$	(173	)	$	(42	)	$	17		$	(1,721	)	$	(1,919	)
Increase (decrease) due to amounts reclassified from AOCI	(34		)	70			54			—			90
Change, net of taxes	$	(207	)	$	28		$	71		$	(1,721	)	$	(1,829	)
Balance at September 30, 2014	$	(413	)	$	(979	)	$	(4,095	)	$	(14,489	)	$	(19,976	)

Nine months ended September 30, 2014 :



Balance, December 31, 2013	$	(1,640	)	$	(1,245	)	$	(3,989	)	$	(12,259	)	$	(19,133	)
Other comprehensive income before reclassifications	$	1,242		$	62		$	(240	)	$	(2,230	)	$	(1,166	)
Increase (decrease) due to amounts reclassified from AOCI	(15		)	204			134			—			323
Change, net of taxes	$	1,227		$	266		$	(106	)	$	(2,230	)	$	(843	)
Balance at September 30, 2014	$	(413	)	$	(979	)	$	(4,095	)	$	(14,489	)	$	(19,976	)


(1)	Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.


(2)	Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans, and amortization of amounts previously recognized in other comprehensive income.

(3)

Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Korean won and British pound against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended September 30, 2015 . Primarily reflects the movements in (by order of impact) the Mexican peso, British pound, Korean won and euro against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended June 30, 2015 . Primarily reflects the movements in (by order of impact) the euro, Mexican peso, British pound, and Brazilian real against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended March 30, 2015. Primarily reflects the movements in (by order of impact) the Mexican peso, euro, British pound and Australian dollar against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended September 30, 2014 . Primarily reflects the movements in (by order of impact) the Korean won, British pound, euro and Mexican peso against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended June 30, 2014 . Primarily reflects the movements in (by order of impact) the Russian ruble, Argentine peso, Korean won, and Japanese yen against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended March 31, 2014.


(4)	During 2014, $137 million ( $84 million net of tax) was reclassified to reflect the allocation of foreign currency translation between net unrealized gains (losses) on investment securities to CTA.

154

The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) for the three and nine months ended September 30, 2015 and 2014 are as follows:

Three Months Ended September 30, 2015 :



In millions of dollars	Pretax			Tax effect			After-tax
Balance, June 30, 2015	$	(33,148	)	$	8,044		$	(25,104	)
Change in net unrealized gains (losses) on investment securities	821			(310		)	511
Cash flow hedges	322			(133		)	189
Benefit plans	(545		)	185			(360		)
Foreign currency translation adjustment	(2,792		)	299			(2,493		)
Change	$	(2,194	)	$	41		$	(2,153	)
Balance, September 30, 2015	$	(35,342	)	$	8,085		$	(27,257	)

Nine months ended September 30, 2015 :



In millions of dollars	Pretax			Tax effect			After-tax
Balance, December 31, 2014	$	(31,060	)	$	7,844		$	(23,216	)
Change in net unrealized gains (losses) on investment securities	353			(186		)	167
Cash flow hedges	596			(229		)	367
Benefit plans	144			(16		)	128
Foreign currency translation adjustment	(5,375		)	672			(4,703		)
Change	$	(4,282	)	$	241		$	(4,041	)
Balance, September 30, 2015	$	(35,342	)	$	8,085		$	(27,257	)

Three Months Ended September 30, 2014 :



In millions of dollars	Pretax			Tax effect			After-tax
Balance, June 30, 2014	$	(25,645	)	$	7,498		$	(18,147	)
Change in net unrealized gains (losses) on investment securities	(321		)	114			(207		)
Cash flow hedges	45			(17		)	28
Benefit plans	107			(36		)	71
Foreign currency translation adjustment	(2,094		)	373			(1,721		)
Change	$	(2,263	)	$	434		$	(1,829	)
Balance, September 30, 2014	$	(27,908	)	$	7,932		$	(19,976	)

Nine months ended September 30, 2014 :



In millions of dollars	Pretax			Tax effect			After-tax
Balance, December 31, 2013	$	(27,596	)	$	8,463		$	(19,133	)
Change in net unrealized gains (losses) on investment securities	1,967			(740		)	1,227
Cash flow hedges	431			(165		)	266
Benefit plans	(187		)	81			(106		)
Foreign currency translation adjustment	(2,523		)	293			(2,230		)
Change	$	(312	)	$	(531	)	$	(843	)
Balance, September 30, 2014	$	(27,908	)	$	7,932		$	(19,976	)

155

During the three and nine months ended September 30, 2015 , the Company recognized a pretax loss of $47 million ( $35 million net of tax) and pretax loss of $5 million ( $1 million gain net of tax), respectively, related to amounts reclassified out of Accumulated other comprehensive income (loss) into the Consolidated Statement of Income. See details in the table below:



	Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
In millions of dollars	Three Months Ended September 30,			Nine Months Ended September 30,
	2015			2015
Realized (gains) losses on sales of investments	$	(151	)	$	(641	)
OTTI gross impairment losses	80			195
Subtotal, pretax	$	(71	)	$	(446	)
Tax effect	26			160
Net realized (gains) losses on investment securities, after-tax ⁽¹⁾	$	(45	)	$	(286	)
Interest rate contracts	$	28		$	148
Foreign exchange contracts	35			112
Subtotal, pretax	$	63		$	260
Tax effect	(23		)	(96		)
Amortization of cash flow hedges, after-tax ⁽²⁾	$	40		$	164
Amortization of unrecognized
Prior service cost (benefit)	$	(11	)	$	(32	)
Net actuarial loss	64			211
Curtailment/settlement impact ⁽³⁾	2			12
Subtotal, pretax	$	55		$	191
Tax effect	(15		)	(70		)
Amortization of benefit plans, after-tax ⁽³⁾	$	40		$	121
Foreign currency translation adjustment	$	—		$	—
Total amounts reclassified out of AOCI, pretax	$	47		$	5
Total tax effect	(12		)	(6		)
Total amounts reclassified out of AOCI, after-tax	$	35		$	(1	)


(1)	The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 13 to the Consolidated Financial Statements for additional details.


(2)	See Note 21 to the Consolidated Financial Statements for additional details.


(3)	See Note 8 to the Consolidated Financial Statements for additional details.

156

During the three and nine months ended September 30, 2014 , the Company recognized a pretax loss of $ 154 million ($ 90 million net of tax) and pretax loss of $ 527 million ($ 323 million net of tax), respectively, related to amounts reclassified out of Accumulated other comprehensive income (loss) into the Consolidated Statement of Income. See details in the table below:



	Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
In millions of dollars	Three Months Ended September 30,			Nine Months Ended September 30,
	2014			2014
Realized (gains) losses on sales of investments	$	(136	)	$	(348	)
OTTI gross impairment losses	91			329
Subtotal, pretax	$	(45	)	$	(19	)
Tax effect	11			4
Net realized (gains) losses on investment securities, after-tax ⁽¹⁾	$	(34	)	$	(15	)
Interest rate contracts	$	84		$	218
Foreign exchange contracts	30			114
Subtotal, pretax	$	114		$	332
Tax effect	(44		)	(128		)
Amortization of cash flow hedges, after-tax ⁽²⁾	$	70		$	204
Amortization of unrecognized
Prior service cost (benefit)	$	(11	)	$	(30	)
Net actuarial loss	63			183
Curtailment/settlement impact ⁽³⁾	33			61
Subtotal, pretax	$	85		$	214
Tax effect	(31		)	(80		)
Amortization of benefit plans, after-tax ⁽³⁾	$	54		$	134
Foreign currency translation adjustment	$	—		$	—
Total amounts reclassified out of AOCI, pretax	$	154		$	527
Total tax effect	(64		)	(204		)
Total amounts reclassified out of AOCI, after-tax	$	90		$	323


(1)	The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 13 to the Consolidated Financial Statements for additional details.


(2)	See Note 21 to the Consolidated Financial Statements for additional details.


(3)	See Note 8 to the Consolidated Financial Statements for additional details.

157

19 . PREFERRED STOCK

The following table summarizes the Company’s preferred stock outstanding at September 30, 2015 and December 31, 2014 :



								Carrying value in millions of dollars
	Issuance date	Redeemable by issuer beginning	Dividend rate		Redemption price per depositary share/preference share		Number of depositary shares	September 30, 2015		December 31, 2014
Series AA ⁽¹⁾	January 25, 2008	February 15, 2018	8.125	%	$	25	3,870,330	$	97	$	97
Series E ⁽²⁾	April 28, 2008	April 30, 2018	8.400	%	1,000		121,254	121		121
Series A ⁽³⁾	October 29, 2012	January 30, 2023	5.950	%	1,000		1,500,000	1,500		1,500
Series B ⁽⁴⁾	December 13, 2012	February 15, 2023	5.900	%	1,000		750,000	750		750
Series C ⁽⁵⁾	March 26, 2013	April 22, 2018	5.800	%	25		23,000,000	575		575
Series D ⁽⁶⁾	April 30, 2013	May 15, 2023	5.350	%	1,000		1,250,000	1,250		1,250
Series J ⁽⁷⁾	September 19, 2013	September 30, 2023	7.125	%	25		38,000,000	950		950
Series K ⁽⁸⁾	October 31, 2013	November 15, 2023	6.875	%	25		59,800,000	1,495		1,495
Series L ⁽⁹⁾	February 12, 2014	February 12, 2019	6.875	%	25		19,200,000	480		480
Series M ⁽¹⁰⁾	April 30, 2014	May 15, 2024	6.300	%	1,000		1,750,000	1,750		1,750
Series N ⁽¹¹⁾	October 29, 2014	November 15, 2019	5.800	%	1,000		1,500,000	1,500		1,500
Series O ⁽¹²⁾	March 20, 2015	March 27, 2020	5.875	%	1,000		1,500,000	1,500		—
Series P ⁽¹³⁾	April 24, 2015	May 15, 2025	5.950	%	1,000		2,000,000	2,000		—
Series Q ⁽¹⁴⁾	August 12, 2015	August 15, 2020	5.950	%	1,000		1,250,000	1,250		—
								$	15,218	$	10,468


(1)	Issued as depositary shares, each representing a 1/1,000 ^th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 when, as and if declared by the Citi Board of Directors.

(2)

Issued as depositary shares, each representing a 1/25 ^th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on April 30 and October 30 at a fixed rate until April 30, 2018, thereafter payable quarterly on January 30, April 30, July 30 and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(3)

Issued as depositary shares, each representing a 1/25 ^th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on January 30 and July 30 at a fixed rate until January 30, 2023, thereafter payable quarterly on January 30, April 30, July 30 and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(4)

Issued as depositary shares, each representing a 1/25 ^th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on February 15 and August 15 at a fixed rate until February 15, 2023, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in `each case when, as and if declared by the Citi Board of Directors.


(5)	Issued as depositary shares, each representing a 1/1,000 ^th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on January 22, April 22, July 22 and October 22 when, as and if declared by the Citi Board of Directors.

(6)

Issued as depositary shares, each representing a 1/25 ^th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on May 15 and November 15 at a fixed rate until May 15, 2023, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(7)

Issued as depositary shares, each representing a 1/1,000 ^th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on March 30, June 30, September 30 and December 30 at a fixed rate until September 30, 2023, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(8)

Issued as depositary shares, each representing a 1/1,000 ^th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until November 15, 2023, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.


(9)	Issued as depositary shares, each representing a 1/1,000 ^th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 12, May 12, August 12 and November 12 at a fixed rate, in each case when, as and if declared by the Citi Board of Directors.

(10)

Issued as depositary shares, each representing a 1/25 ^th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on May 15 and November 15 at a fixed rate until May 15, 2024, thereafter payable quarterly on February 15, May 15, August 15, and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(11)

Issued as depositary shares, each representing a 1/25 ^th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on May 15 and November 15 at a fixed rate until, but excluding, November 15, 2019, and thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(12)

Issued as depositary shares, each representing a 1/25 ^th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on March 27 and September 27 at a fixed rate until, but excluding, March 27, 2020, and thereafter payable quarterly on March 27, June 27, September 27 and December 27 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(13)

Issued as depositary shares, each representing a 1/25 ^th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on May 15 and November 15 at a fixed rate beginning November 15, 2015 until, but excluding, May 15, 2015, and thereafter payable quarterly on February 15, May 15, August 15, and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

158

(14)

Issued as depository shares, each representing 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on February 15 and August 15 at a fixed rated until, but excluding, August 15, 2020, and thereafter payable quarterly on February 15, May 15, August 15, and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

Through the third quarter of 2015 , Citi distributed $504 million in dividends on its outstanding preferred stock. Based on its preferred stock outstanding as of September 30, 2015, Citi estimates it will distribute preferred dividends of approximately $265 million during the fourth quarter of 2015, in each case assuming such dividends are approved by the Citi Board of Directors.

159

20 . SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

Uses of Special Purpose Entities

A special purpose entity (SPE) is an entity designed to fulfill a specific limited need of the company that organized it. The principal uses of SPEs by Citi are to obtain liquidity and favorable capital treatment by securitizing certain financial assets, to assist clients in securitizing their financial assets and to create investment products for clients. SPEs may be organized in various legal forms, including trusts, partnerships or corporations. In a securitization, the company transferring assets to an SPE converts all (or a portion) of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt and equity instruments, certificates, commercial paper or other notes of indebtedness. These issuances are recorded on the balance sheet of the SPE, which may or may not be consolidated onto the balance sheet of the company that organized the SPE.

Investors usually have recourse only to the assets in the SPE, but may also benefit from other credit enhancements, such as a collateral account, a line of credit or a liquidity facility, such as a liquidity put option or asset purchase agreement. Because of these enhancements, the SPE issuances typically obtain a more favorable credit rating than the transferor could obtain for its own debt issuances. This results in less expensive financing costs than unsecured debt. The SPE may also enter into derivative contracts in order to convert the yield or currency of the underlying assets to match the needs of the SPE investors or to limit or change the credit risk of the SPE. Citigroup may be the provider of certain credit enhancements as well as the counterparty to any related derivative contracts.

Most of Citigroup’s SPEs are variable interest entities (VIEs), as described below.

Variable Interest Entities

VIEs are entities that have either a total equity investment that is insufficient to permit the entity to finance its activities without additional subordinated financial support, or whose equity investors lack the characteristics of a controlling financial interest (i.e., ability to make significant decisions through voting rights and a right to receive the expected residual returns of the entity or an obligation to absorb the expected losses of the entity). Investors that finance the VIE through debt or equity interests or other counterparties providing other forms of support, such as guarantees, subordinated fee arrangements or certain types of derivative contracts are variable interest holders in the entity.

The variable interest holder, if any, that has a controlling financial interest in a VIE is deemed to be the primary beneficiary and must consolidate the VIE. Citigroup would be deemed to have a controlling financial interest and be the primary beneficiary if it has both of the following characteristics:


•	power to direct the activities of the VIE that most significantly impact the entity’s economic performance; and


•	an obligation to absorb losses of the entity that could potentially be significant to the VIE, or a right to receive benefits from the entity that could potentially be significant to the VIE.

The Company must evaluate each VIE to understand the purpose and design of the entity, the role the Company had in the entity’s design and its involvement in the VIE’s ongoing activities. The Company then must evaluate which activities most significantly impact the economic performance of the VIE and who has the power to direct such activities.

For those VIEs where the Company determines that it has the power to direct the activities that most significantly impact the VIE’s economic performance, the Company must then evaluate its economic interests, if any, and determine whether it could absorb losses or receive benefits that could potentially be significant to the VIE. When evaluating whether the Company has an obligation to absorb losses that could potentially be significant, it considers the maximum exposure to such loss without consideration of probability. Such obligations could be in various forms, including, but not limited to, debt and equity investments, guarantees, liquidity agreements and certain derivative contracts.

In various other transactions, the Company may: (i) act as a derivative counterparty (for example, interest rate swap, cross-currency swap, or purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE); (ii) act as underwriter or placement agent; (iii) provide administrative, trustee or other services; or (iv) make a market in debt securities or other instruments issued by VIEs. The Company generally considers such involvement, by itself, not to be variable interests and thus not an indicator of power or potentially significant benefits or losses.

See Note 1 to the Consolidated Financial Statements for a discussion of impending changes to targeted areas of consolidation guidance.

160

Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE, each as of September 30, 2015 and December 31, 2014 , is presented below:



	As of September 30, 2015
							Maximum exposure to loss in significant unconsolidated VIEs ⁽¹⁾
							Funded exposures ⁽²⁾				Unfunded exposures
In millions of dollars	Total involvement with SPE assets		Consolidated VIE / SPE assets		Significant unconsolidated VIE assets ⁽³⁾		Debt investments		Equity investments		Funding commitments		Guarantees and derivatives		Total
Credit card securitizations	$	54,075	$	53,924	$	151	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations ⁽⁴⁾
U.S. agency-sponsored	238,077		—		238,077		3,840		—		—		97		3,937
Non-agency-sponsored	16,061		1,728		14,333		458		—		—		1		459
Citi-administered asset-backed commercial paper conduits (ABCP)	24,117		24,117		—		—		—		—		—		—
Collateralized debt obligations (CDOs)	3,515		—		3,515		165		—		—		86		251
Collateralized loan obligations (CLOs)	16,567		—		16,567		2,484		—		—		—		2,484
Asset-based financing	71,046		1,335		69,711		24,183		267		3,266		399		28,115
Municipal securities tender option bond trusts (TOBs)	9,087		4,259		4,828		56		—		3,136		—		3,192
Municipal investments	22,512		54		22,458		2,272		2,208		2,651		—		7,131
Client intermediation	1,800		358		1,442		49		—		—		—		49
Investment funds ⁽⁵⁾	27,801		918		26,883		13		350		104		—		467
Other	13,271		9,063		4,208		75		556		22		53		706
Total ⁽⁶⁾	$	497,929	$	95,756	$	402,173	$	33,595	$	3,381	$	9,179	$	636	$	46,791



	As of December 31, 2014
							Maximum exposure to loss in significant unconsolidated VIEs ⁽¹⁾
							Funded exposures ⁽²⁾				Unfunded exposures
In millions of dollars	Total involvement with SPE assets		Consolidated VIE / SPE assets		Significant unconsolidated VIE assets ⁽³⁾		Debt investments		Equity investments		Funding commitments		Guarantees and derivatives		Total
Credit card securitizations	$	60,503	$	60,271	$	232	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations ⁽⁴⁾
U.S. agency-sponsored	264,848		—		264,848		5,213		—		—		110		5,323
Non-agency-sponsored	17,888		1,304		16,584		577		—		—		1		578
Citi-administered asset-backed commercial paper conduits (ABCP)	29,181		29,181		—		—		—		—		—		—
Collateralized debt obligations (CDOs)	5,617		—		5,617		219		—		—		86		305
Collateralized loan obligations (CLOs)	14,119		—		14,119		1,746		—		—		—		1,746
Asset-based financing	63,900		1,151		62,749		22,928		66		2,271		333		25,598
Municipal securities tender option bond trusts (TOBs)	12,280		6,671		5,609		3		—		3,670		—		3,673
Municipal investments	23,706		70		23,636		2,014		2,197		2,225		—		6,436
Client intermediation	1,745		137		1,608		10		—		—		10		20
Investment funds ⁽⁵⁾	31,992		1,096		30,896		16		382		124		—		522
Other	8,298		2,909		5,389		183		1,451		23		73		1,730
Total ⁽⁶⁾	$	534,077	$	102,790	$	431,287	$	32,909	$	4,096	$	8,313	$	613	$	45,931


(1)	The definition of maximum exposure to loss is included in the text that follows this table.


(2)	Included on Citigroup’s September 30, 2015 and December 31, 2014 Consolidated Balance Sheet.


(3)	A significant unconsolidated VIE is an entity where the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss or the notional amount of exposure.


(4)	Citigroup mortgage securitizations also include agency and non-agency (private-label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.

161

(5) Substantially all of the unconsolidated investment funds’ assets are related to retirement funds in Mexico managed by Citi. See “Investment Funds” below for further discussion.

(6) Citi’s total involvement with Citicorp SPE assets was $451.7 billion and $481.3 billion as of September 30, 2015 and December 31, 2014 , respectively, with the remainder related to Citi Holdings.

The previous tables do not include:


•	certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC 946);


•	certain limited partnerships that are investment funds that qualify for the deferral from the requirements of ASC 810 where the Company is the general partner and the limited partners have the right to replace the general partner or liquidate the funds;


•	certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;


•	VIEs structured by third parties where the Company holds securities in inventory, as these investments are made on arm’s-length terms;


•	certain positions in mortgage-backed and asset-backed securities held by the Company, which are classified as Trading account assets or Investments , where the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 12 and 13 to the Consolidated Financial Statements);

•

certain representations and warranties exposures in legacy Securities and Banking -sponsored mortgage-backed and asset-backed securitizations, where the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 where the Company has no variable interest or continuing involvement as servicer was approximately $12 billion and $14 billion at September 30, 2015 and December 31, 2014 , respectively;


•	certain representations and warranties exposures in Citigroup residential mortgage securitizations, where the original mortgage loan balances are no longer outstanding; and


•	VIEs such as trust preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.

The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., security or loan) and the Company’s standard accounting policies for the asset type and line of business.

The asset balances for unconsolidated VIEs where the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments in fair value, unless fair value information is readily available to the Company. For VIEs that obtain asset exposures synthetically through derivative instruments (for example, synthetic CDOs), the tables generally include the full original notional amount of the derivative as an asset balance.

The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company, or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps, or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.

162

Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments

The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above as of September 30, 2015 and December 31, 2014 :



	September 30, 2015				December 31, 2014
	Liquidity		Loan / equity		Liquidity		Loan / equity
In millions of dollars	facilities		commitments		facilities		commitments
Asset-based financing	$	5	$	3,261	$	5	$	2,266
Municipal securities tender option bond trusts (TOBs)	3,136		—		3,670		—
Municipal investments	—		2,651		—		2,225
Investment funds	—		104		—		124
Other	—		22		—		23
Total funding commitments	$	3,141	$	6,038	$	3,675	$	4,638

Consolidated VIEs

The Company engages in on-balance sheet securitizations, which are securitizations that do not qualify for sales treatment; thus, the assets remain on the Company’s balance sheet, and any proceeds received are recognized as secured liabilities. The consolidated VIEs included in the tables below represent hundreds of separate entities with which the Company is involved. In general, the third-party investors in the obligations of consolidated VIEs have legal recourse only to the assets of the respective VIEs and do not have such recourse to the Company, except where the Company has provided a guarantee to the investors or is the counterparty to certain derivative transactions involving the VIE. Thus, the

Company’s maximum legal exposure to loss related to consolidated VIEs is significantly less than the carrying value of the consolidated VIE assets due to outstanding third-party financing. Intercompany assets and liabilities are excluded from the table. All VIE assets are restricted from being sold or pledged as collateral. The cash flows from these assets are the only source used to pay down the associated liabilities, which are non-recourse to the Company’s general assets.

The following table presents the carrying amounts and classifications of consolidated assets that are collateral for consolidated VIE obligations as of September 30, 2015 and December 31, 2014 :



In billions of dollars	September 30, 2015		December 31, 2014
Cash	$	0.2	$	0.3
Trading account assets	0.6		0.7
Investments	5.6		8.0
Total loans, net of allowance	80.7		93.2
Other	8.7		0.6
Total assets	$	95.8	$	102.8
Short-term borrowings	$	13.8	$	22.7
Long-term debt	32.4		40.1
Other liabilities	6.5		0.9
Total liabilities ⁽¹⁾	$	52.7	$	63.7

(1)

The total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citi were $50.5 billion and $61.2 billion as of September 30, 2015 and December 31, 2014 , respectively. Liabilities of consolidated VIEs for which creditors or beneficial interest holders have recourse to the general credit of Citi comprise two items included in the above table: 1) credit enhancements provided to consolidated Citi-administered commercial paper conduits in the form of letters of credit of $2.2 billion at September 30, 2015 and December 31, 2014 and; 2) credit guarantees provided by Citi to certain consolidated municipal tender option bond trusts of $83 million and $198 million at September 30, 2015 and December 31, 2014 , respectively.

Significant Interests in Unconsolidated VIEs—Balance Sheet Classification

The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs as of September 30, 2015 and December 31, 2014 :



In billions of dollars	September 30, 2015		December 31, 2014
Cash	$	0.1	$	—
Trading account assets	5.9		7.6
Investments	2.8		2.6
Total loans, net of allowance	26.4		25.0
Other	1.8		2.0
Total assets	$	37.0	$	37.2

163

Credit Card Securitizations

The Company securitizes credit card receivables through trusts established to purchase the receivables. Citigroup transfers receivables into the trusts on a non-recourse basis. Credit card securitizations are revolving securitizations; as customers pay their credit card balances, the cash proceeds are used to purchase new receivables and replenish the receivables in the trust.

Substantially all of the Company’s credit card securitization activity is through two trusts—Citibank Credit Card Master Trust (Master Trust) and the Citibank Omni Master Trust (Omni Trust), with the substantial majority through the Master Trust. These trusts are consolidated entities because, as servicer, Citigroup has the power to direct

the activities that most significantly impact the economic performance of the trusts, Citigroup holds a seller’s interest and certain securities issued by the trusts, and also provides liquidity facilities to the trusts, which could result in potentially significant losses or benefits from the trusts. Accordingly, the transferred credit card receivables remain on Citi’s Consolidated Balance Sheet with no gain or loss recognized. The debt issued by the trusts to third parties is included on Citi’s Consolidated Balance Sheet.

The Company utilizes securitizations as one of the sources of funding for its business in North America . The following table reflects amounts related to the Company’s securitized credit card receivables as of September 30, 2015 and December 31, 2014 :



In billions of dollars	September 30, 2015		December 31, 2014
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	30.7	$	37.0
Retained by Citigroup as trust-issued securities	8.6		10.1
Retained by Citigroup via non-certificated interests	15.5		14.2
Total	$	54.8	$	61.3

Credit Card Securitizations

The following tables summarize selected cash flow information related to Citigroup’s credit card securitizations for the three and nine months ended September 30, 2015 and 2014 :



	Three months ended September 30,
In billions of dollars	2015			2014
Proceeds from new securitizations	$	—		$	3.1
Pay down of maturing notes	(0.7		)	(2.8		)



	Nine months ended September 30,
In billions of dollars	2015			2014
Proceeds from new securitizations	$	—		$	9.9
Pay down of maturing notes	(6.5		)	(4.1		)

Managed Loans

After securitization of credit card receivables, the Company continues to maintain credit card customer account relationships and provides servicing for receivables transferred to the trusts. As a result, the Company considers the securitized credit card receivables to be part of the business it manages. As Citigroup consolidates the credit card trusts, all managed securitized card receivables are on-balance sheet.

Funding, Liquidity Facilities and Subordinated Interests

As noted above, Citigroup securitizes credit card receivables through two securitization trusts—Master Trust, which is part of Citicorp, and Omni Trust, substantially all of which is also part of Citicorp. The liabilities of the trusts are included in the Consolidated Balance Sheet, excluding those retained by Citigroup.

The Master Trust issues fixed- and floating-rate term notes. Some of the term notes are issued to multi-seller commercial paper conduits. The weighted average maturity of

the term notes issued by the Master Trust was 2.6 years as of September 30, 2015 and 2.8 years as of December 31, 2014 .

Master Trust Liabilities (at par value)



In billions of dollars	September 30, 2015		Dec. 31, 2014
Term notes issued to third parties	$	29.4	$	35.7
Term notes retained by Citigroup affiliates	6.7		8.2
Total Master Trust liabilities	$	36.1	$	43.9

The Omni Trust issues fixed- and floating-rate term notes, some of which are purchased by multi-seller commercial paper conduits. The weighted average maturity of the third-party term notes issued by the Omni Trust was 1.1 years as of September 30, 2015 and 1.9 years as of December 31, 2014 .

Omni Trust Liabilities (at par value)



In billions of dollars	September 30, 2015		Dec. 31, 2014
Term notes issued to third parties	$	1.3	$	1.3
Term notes retained by Citigroup affiliates	1.9		1.9
Total Omni Trust liabilities	$	3.2	$	3.2

164

Mortgage Securitizations

The Company provides a wide range of mortgage loan products to a diverse customer base. Once originated, the Company often securitizes these loans through the use of VIEs. These VIEs are funded through the issuance of trust certificates backed solely by the transferred assets. These certificates have the same life as the transferred assets. In addition to providing a source of liquidity and less expensive funding, securitizing these assets also reduces the Company’s credit exposure to the borrowers. These mortgage loan securitizations are primarily non-recourse, thereby effectively transferring the risk of future credit losses to the purchasers of the securities issued by the trust. However, the Company’s U.S. consumer mortgage business generally retains the servicing rights and in certain instances retains investment securities, interest-only strips and residual interests in future cash flows from the trusts and also provides servicing for a limited number of ICG securitizations.

The Company securitizes mortgage loans generally through either a government-sponsored agency, such as Ginnie Mae, Fannie Mae or Freddie Mac (U.S. agency-sponsored

mortgages), or private-label (non-agency-sponsored mortgages) securitization. The Company is not the primary beneficiary of its U.S. agency-sponsored mortgage securitizations because Citigroup does not have the power to direct the activities of the VIE that most significantly impact the entity’s economic performance. Therefore, Citi does not consolidate these U.S. agency-sponsored mortgage securitizations.

The Company does not consolidate certain non-agency-sponsored mortgage securitizations because Citi is either not the servicer with the power to direct the significant activities of the entity or Citi is the servicer but the servicing relationship is deemed to be a fiduciary relationship; therefore, Citi is not deemed to be the primary beneficiary of the entity.

In certain instances, the Company has (i) the power to direct the activities and (ii) the obligation to either absorb losses or the right to receive benefits that could be potentially significant to its non-agency-sponsored mortgage securitizations and, therefore, is the primary beneficiary and thus consolidates the VIE.

Mortgage Securitizations

The following tables summarize selected cash flow information related to Citigroup mortgage securitizations for the three and nine months ended September 30, 2015 and 2014 :



	Three months ended September 30,
	2015				2014
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Proceeds from new securitizations	$	6.8	$	3.1	$	6.3	$	1.7
Contractual servicing fees received	0.1		—		0.1		—
Cash flows received on retained interests and other net cash flows	—		—		—		—



	Nine months ended September 30,
	2015				2014
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Proceeds from new securitizations	$	19.8	$	9.2	$	19.6	$	6.9
Contractual servicing fees received	0.4		—		0.3		—
Cash flows received on retained interests and other net cash flows	—		—		—		—

Gains recognized on the securitizations of U.S. agency-sponsored mortgages were $25 million and $115 million for the three and nine months ended September 30, 2015 , respectively. For the three and nine months ended September 30, 2015 , gains recognized on the securitization of non-agency sponsored mortgages were $7 million and $38 million , respectively.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $26 million and $59 million for the three and nine months ended September 30, 2014 , respectively. For the three and nine months ended September 30, 2014 , gains recognized on the securitization of non-agency sponsored mortgages were $9 million and $38 million , respectively.

165

Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables for the three and nine months ended September 30, 2015 and 2014 were as follows:



	Three months ended September 30, 2015
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	3.0% to 10.7%		3.2	%	—
Weighted average discount rate	9.1	%	3.2	%	—
Constant prepayment rate	8.4% to 14.1%		—		—
Weighted average constant prepayment rate	11.1	%	—		—
Anticipated net credit losses ⁽²⁾	NM		40.0	%	—
Weighted average anticipated net credit losses	NM		40.0	%	—
Weighted average life	6.5 to 9.3 years		9.8 years		—



	Three months ended September 30, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests	Subordinated interests
Discount rate	0.0% to 14.7%		—	6.7% to 9.0%
Weighted average discount rate	12.4	%	—	8.7	%
Constant prepayment rate	4.6% to 18.1%		—	0.5% to 8.9%
Weighted average constant prepayment rate	5.8	%	—	1.7	%
Anticipated net credit losses ⁽²⁾	NM		—	8.9% to 40.0%
Weighted average anticipated net credit losses	NM		—	35.6	%
Weighted average life	5.2 to 8.9 years		—	6.7 to 7.3 years



	Nine months ended September 30, 2015
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.0% to 10.7%		2.8% to 3.2%		0.0% to 12.1%
Weighted average discount rate	7.7	%	2.9	%	5.5	%
Constant prepayment rate	5.7% to 34.9%		0.0	%	0.0% to 8.0%
Weighted average constant prepayment rate	12.7	%	0.0	%	3.3	%
Anticipated net credit losses ⁽²⁾	NM		40.0	%	0.0% to 55.9%
Weighted average anticipated net credit losses	NM		40.0	%	40.2	%
Weighted average life	3.5 to 10.1 years		9.7 to 9.8 years		0.0 to 12.9 years



	Nine months ended September 30, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.0% to 14.7%		1.4% to 4.6%		2.6% to 9.1%
Weighted average discount rate	11.2	%	3.8	%	7.8	%
Constant prepayment rate	0.0% to 18.1%		0.0	%	0.5% to 8.9%
Weighted average constant prepayment rate	5.3	%	0.0	%	3.2	%
Anticipated net credit losses ⁽²⁾	NM		40.0	%	8.9% to 58.5%
Weighted average anticipated net credit losses	NM		40.0	%	43.1	%
Weighted average life	0.0 to 9.7 years		2.6 to 8.6 years		3.0 to 14.5 years


(1)	Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.

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(2)	Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.


NM	Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests.

At September 30, 2015 and December 31, 2014 , the key assumptions used to value retained interests, and the sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions, are set forth in the tables

below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.



	September 30, 2015
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests ⁽³⁾
Discount rate	0.0% to 30.5%		1.1% to 38.6%		2.0% to 22.6%
Weighted average discount rate	6.0	%	8.5	%	7.7	%
Constant prepayment rate	6.8% to 28.6%		2.9% to 100.0%		0.5% to 22.1%
Weighted average constant prepayment rate	14.4	%	15.9	%	7.3	%
Anticipated net credit losses ⁽²⁾	NM		0.0% to 88.7%		4.4% to 89.4%
Weighted average anticipated net credit losses	NM		44.9	%	52.1	%
Weighted average life	1.6 to 20.7 years		0.3 to 22.4 years		0.1 to 21.4 years



	December 31, 2014
			Non-agency-sponsored mortgages ⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests ⁽³⁾
Discount rate	0.0% to 21.2%		1.1% to 47.1%		1.3% to 19.6%
Weighted average discount rate	8.4	%	7.7	%	8.2	%
Constant prepayment rate	6.0% to 41.4%		2.0% to 100.0%		0.5% to 16.2%
Weighted average constant prepayment rate	15.3	%	10.9	%	7.2	%
Anticipated net credit losses ⁽²⁾	NM		0.0% to 92.4%		13.7% to 83.8%
Weighted average anticipated net credit losses	NM		51.7	%	52.5	%
Weighted average life	0.0 to 16.0 years		0.3 to 14.4 years		0.0 to 24.4 years


(1)	Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.


(2)	Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.


(3)	Citi Holdings held no subordinated interests in mortgage securitizations as of September 30, 2015 and December 31, 2014 .


NM	Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

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				Non-agency-sponsored mortgages ⁽¹⁾
In millions of dollars at September 30, 2015	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	2,584		$	192		$	514
Discount rates
Adverse change of 10%	$	(62	)	$	(8	)	$	(24	)
Adverse change of 20%	(122		)	(15		)	(46		)
Constant prepayment rate
Adverse change of 10%	(105		)	(3		)	(6		)
Adverse change of 20%	(202		)	(6		)	(14		)
Anticipated net credit losses
Adverse change of 10%	NM			(6		)	(6		)
Adverse change of 20%	NM			(11		)	(12		)



				Non-agency-sponsored mortgages ⁽¹⁾
In millions of dollars at December 31, 2014	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	2,374		$	310		$	554
Discount rates
Adverse change of 10%	$	(69	)	$	(7	)	$	(30	)
Adverse change of 20%	(134		)	(13		)	(57		)
Constant prepayment rate
Adverse change of 10%	(93		)	(3		)	(9		)
Adverse change of 20%	(179		)	(5		)	(18		)
Anticipated net credit losses
Adverse change of 10%	NM			(6		)	(9		)
Adverse change of 20%	NM			(10		)	(16		)


(1)	Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.


(2)	Citi Holdings held no subordinated interests in mortgage securitizations as of September 30, 2015 and December 31, 2014 .


NM	Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

Mortgage Servicing Rights

In connection with the securitization of mortgage loans, the Company’s U.S. consumer mortgage business generally retains the servicing rights, which entitle the Company to a future stream of cash flows based on the outstanding principal balances of the loans and the contractual servicing fee. Failure to service the loans in accordance with contractual requirements may lead to a termination of the servicing rights and the loss of future servicing fees.

These transactions create an intangible asset referred to as mortgage servicing rights (MSRs), which are recorded at fair value on Citi’s Consolidated Balance Sheet. The fair value of Citi’s capitalized MSRs was $1.8 billion and $2.1 billion at September 30, 2015 and 2014 , respectively. Of these amounts, approximately $1.7 billion and $1.9 billion , respectively, were specific to Citicorp, with the remainder to Citi Holdings as of September 30, 2015 and 2014 . The MSRs correspond to principal loan balances of $203 billion and $232 billion as of September 30, 2015 and 2014 , respectively. The following tables summarize the changes in capitalized MSRs for the three and nine months ended September 30, 2015 and 2014 :



	Three months ended September 30,
In millions of dollars	2015			2014
Balance, as of June 30	$	1,924		$	2,282
Originations	57			52
Changes in fair value of MSRs due to changes in inputs and assumptions	(140		)	(11		)
Other changes ⁽¹⁾	(79		)	(108		)
Sale of MSRs	4			(122		)
Balance, as of September 30	$	1,766		$	2,093



	Nine months ended September 30,
In millions of dollars	2015			2014
Balance, beginning of year	$	1,845		$	2,718
Originations	168			151
Changes in fair value of MSRs due to changes in inputs and assumptions	51			(186		)
Other changes ⁽¹⁾	(261		)	(333		)
Sale of MSRs	(37		)	(257		)
Balance, as of September 30	$	1,766		$	2,093


(1)	Represents changes due to customer payments and passage of time.

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The fair value of the MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, higher interest rates tend to lead to declining prepayments, which causes the fair value of the MSRs to increase. In managing this risk, the Company economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities all classified as Trading account assets . The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees for the three and nine months ended September 30, 2015 and 2014 were as follows:



	Three months ended September 30,				Nine months ended September 30,
In millions of dollars	2015		2014		2015		2014
Servicing fees	$	135	$	159	$	416	$	491
Late fees	4		5		12		20
Ancillary fees	6		11		28		47
Total MSR fees	$	145	$	175	$	456	$	558

These fees and changes in MSR fair values are classified in the Consolidated Statement of Income as Other revenue .

Re-securitizations

The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. During the three and nine months ended September 30, 2015 , Citi transferred non-agency (private-label) securities with an original par value of approximately $141 million and $790 million , respectively, to re-securitization entities, compared to $81 million and $470 million for the three and nine months ended September 30, 2014 . These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.

As of September 30, 2015 , the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $436 million (including $97 million related to re-securitization transactions executed in 2015 ), which has been recorded in Trading account assets . Of this amount, approximately $30 million was related to senior beneficial interests and approximately $406 million was related to subordinated beneficial interests. As of December 31, 2014 , the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $545 million (including $194 million related to re-securitization transactions executed in 2014 ). Of this amount, approximately $133 million was related to senior beneficial interests, and approximately $412 million was related to subordinated beneficial interests. The original par value of private-label re-securitization transactions in which Citi holds a retained interest as of September 30, 2015 and December 31, 2014 was approximately $4.9 billion and $5.1 billion , respectively.

The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the three and nine months ended September 30, 2015 , Citi transferred agency securities with a fair value of approximately $3.5 billion and $12.4 billion , respectively, to

re-securitization entities compared to approximately $5.4 billion and $16.7 billion for the three and nine months ended September 30, 2014 .

As of September 30, 2015 , the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.1 billion (including $1.8 billion related to re-securitization transactions executed in 2015 ) compared to $1.8 billion as of December 31, 2014 (including $1.5 billion related to re-securitization transactions executed in 2014 ), which is recorded in Trading account assets . The original fair value of agency re-securitization transactions in which Citi holds a retained interest as of September 30, 2015 and December 31, 2014 was approximately $63.2 billion and $73.0 billion , respectively.

As of September 30, 2015 and December 31, 2014 , the Company did not consolidate any private-label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits

The Company is active in the asset-backed commercial paper conduit business as administrator of several multi-seller commercial paper conduits and also as a service provider to single-seller and other commercial paper conduits sponsored by third parties.

Citi’s multi-seller commercial paper conduits are designed to provide the Company’s clients access to low-cost funding in the commercial paper markets. The conduits purchase assets from or provide financing facilities to clients and are funded by issuing commercial paper to third-party investors. The conduits generally do not purchase assets originated by the Company. The funding of the conduits is facilitated by the liquidity support and credit enhancements provided by the Company.

As administrator to Citi’s conduits, the Company is generally responsible for selecting and structuring assets purchased or financed by the conduits, making decisions regarding the funding of the conduits, including determining the tenor and other features of the commercial paper issued, monitoring the quality and performance of the conduits’ assets, and facilitating the operations and cash flows of the conduits. In return, the Company earns structuring fees from customers for individual transactions and earns an administration fee from the conduit, which is equal to the income from the client program and liquidity fees of the conduit after payment of conduit expenses. This administration fee is fairly stable, since most risks and rewards of the underlying assets are passed back to the clients. Once the asset pricing is negotiated, most ongoing income, costs and fees are relatively stable as a percentage of the conduit’s size.

The conduits administered by the Company do not generally invest in liquid securities that are formally rated by third parties. The assets are privately negotiated and structured transactions that are generally designed to be held by the conduit, rather than actively traded and sold. The yield earned by the conduit on each asset is generally tied to the rate on the commercial paper issued by the conduit, thus passing interest rate risk to the client. Each asset purchased by the conduit is structured with transaction-specific credit enhancement features provided by the third-party client seller, including over collateralization, cash and excess spread collateral

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accounts, direct recourse or third-party guarantees. These credit enhancements are sized with the objective of approximating a credit rating of A or above, based on the Company’s internal risk ratings. At September 30, 2015 and December 31, 2014 , the conduits had approximately $24.1 billion and $29.2 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $12.2 billion and $13.5 billion , respectively.

Substantially all of the funding of the conduits is in the form of short-term commercial paper. At September 30, 2015 and December 31, 2014 , the weighted average remaining lives of the commercial paper issued by the conduits were approximately 72 and 57 days , respectively.

The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. In addition to the transaction-specific credit enhancements, the conduits, other than the government guaranteed loan conduit, have obtained a letter of credit from the Company, which is equal to at least 8% to 10% of the conduit’s assets with a minimum of $200 million . The letters of credit provided by the Company to the conduits total approximately $2.2 billion and $2.3 billion as of September 30, 2015 and December 31, 2014 , respectively. The net result across multi-seller conduits administered by the Company, other than the government guaranteed loan conduit, is that, in the event defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then the commercial paper investors.

The Company also provides the conduits with two forms of liquidity agreements that are used to provide funding to the conduits in the event of a market disruption, among other events. Each asset of the conduits is supported by a transaction-specific liquidity facility in the form of an asset purchase agreement (APA). Under the APA, the Company has generally agreed to purchase non-defaulted eligible receivables from the conduit at par. The APA is not designed to provide credit support to the conduit, as it generally does not permit the purchase of defaulted or impaired assets. Any funding under the APA will likely subject the underlying conduit clients to increased interest costs. In addition, the Company provides the conduits with program-wide liquidity in the form of short-term lending commitments. Under these commitments, the Company has agreed to lend to the conduits in the event of a short-term disruption in the commercial paper market, subject to specified conditions. The Company receives fees for providing both types of liquidity agreements and considers these fees to be on fair market terms.

Finally, the Company is one of several named dealers in the commercial paper issued by the conduits and earns a market-based fee for providing such services. Along with third-party dealers, the Company makes a market in the commercial paper and may from time to time fund commercial paper pending sale to a third party. On specific dates with less liquidity in the market, the Company may hold in inventory commercial paper issued by conduits administered by the Company, as well as conduits administered by third parties. Separately, in the normal course of business, the Company invests in commercial paper, including commercial paper

issued by the Company's conduits. At September 30, 2015 and December 31, 2014 , the Company owned $14.9 billion and $10.6 billion , respectively, of the commercial paper issued by its administered conduits. The Company's investments were not driven by market illiquidity and the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.

The asset-backed commercial paper conduits are consolidated by the Company. The Company has determined that, through its roles as administrator and liquidity provider, it has the power to direct the activities that most significantly impact the entities’ economic performance. These powers include its ability to structure and approve the assets purchased by the conduits, its ongoing surveillance and credit mitigation activities, its ability to sell or repurchase assets out of the conduits, and its liability management. In addition, as a result of all the Company’s involvement described above, it was concluded that the Company has an economic interest that could potentially be significant. However, the assets and liabilities of the conduits are separate and apart from those of Citigroup. No assets of any conduit are available to satisfy the creditors of Citigroup or any of its other subsidiaries.

Collateralized Debt and Loan Obligations

A securitized collateralized debt obligation (CDO) is a VIE that purchases a pool of assets consisting of asset-backed securities and synthetic exposures through derivatives on asset-backed securities and issues multiple tranches of equity and notes to investors.

A cash CDO, or arbitrage CDO, is a CDO designed to take advantage of the difference between the yield on a portfolio of selected assets, typically residential mortgage-backed securities, and the cost of funding the CDO through the sale of notes to investors. “Cash flow” CDOs are entities in which the CDO passes on cash flows from a pool of assets, while “market value” CDOs pay to investors the market value of the pool of assets owned by the CDO at maturity. In these transactions, all of the equity and notes issued by the CDO are funded, as the cash is needed to purchase the debt securities.

A synthetic CDO is similar to a cash CDO, except that the CDO obtains exposure to all or a portion of the referenced assets synthetically through derivative instruments, such as credit default swaps. Because the CDO does not need to raise cash sufficient to purchase the entire referenced portfolio, a substantial portion of the senior tranches of risk is typically passed on to CDO investors in the form of unfunded liabilities or derivative instruments. The CDO writes credit protection on select referenced debt securities to the Company or third parties. Risk is then passed on to the CDO investors in the form of funded notes or purchased credit protection through derivative instruments. Any cash raised from investors is invested in a portfolio of collateral securities or investment contracts. The collateral is then used to support the obligations of the CDO on the credit default swaps written to counterparties.

A securitized collateralized loan obligation (CLO) is substantially similar to the CDO transactions described above, except that the assets owned by the VIE (either cash instruments or synthetic exposures through derivative

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instruments) are corporate loans and to a lesser extent corporate bonds, rather than asset-backed debt securities.

A third-party asset manager is typically retained by the CDO/CLO to select the pool of assets and manage those assets over the term of the VIE.

The Company earns fees for warehousing assets prior to the creation of a “cash flow” or “market value” CDO/CLO, structuring CDOs/CLOs and placing debt securities with investors. In addition, the Company has retained interests in many of the CDOs/CLOs it has structured and makes a market in the issued notes.

The Company’s continuing involvement in synthetic CDOs/CLOs generally includes purchasing credit protection through credit default swaps with the CDO/CLO, owning a portion of the capital structure of the CDO/CLO in the form of both unfunded derivative positions (primarily “super-senior” exposures discussed below) and funded notes, entering into interest-rate swap and total-return swap transactions with the CDO/CLO, lending to the CDO/CLO, and making a market in the funded notes.

Where a CDO/CLO entity issues preferred shares (or subordinated notes that are the equivalent form), the preferred shares generally represent an insufficient amount of equity (less than 10% ) and create the presumption that preferred shares are insufficient to finance the entity’s activities without subordinated financial support. In addition, although the preferred shareholders generally have full exposure to expected losses on the collateral and uncapped potential to receive expected residual returns, they generally do not have the ability to make decisions significantly affecting the entity’s financial results because of their limited role in making day-to-day decisions and their limited ability to remove the asset manager. Because one or both of the above conditions will generally be met, the Company has concluded, even where a CDO/CLO entity issued preferred shares, the entity should be classified as a VIE.

In general, the asset manager, through its ability to purchase and sell assets or—where the reinvestment period of a CDO/CLO has expired—the ability to sell assets, will have the power to direct the activities of the entity that most significantly impact the economic performance of the CDO/CLO. However, where a CDO/CLO has experienced an event of default or an optional redemption period has gone into effect, the activities of the asset manager may be curtailed and/or certain additional rights will generally be provided to the investors in a CDO/CLO entity, including the right to direct the liquidation of the CDO/CLO entity.

The Company has retained significant portions of the “super-senior” positions issued by certain CDOs. These positions are referred to as “super-senior” because they represent the most senior positions in the CDO and, at the time of structuring, were senior to tranches rated AAA by independent rating agencies.

The Company does not generally have the power to direct the activities of the entity that most significantly impact the economic performance of the CDOs/CLOs, as this power is generally held by a third-party asset manager of the CDO/CLO. As such, those CDOs/CLOs are not consolidated. The Company may consolidate the CDO/CLO when: (i) the Company is the asset manager and no other single investor has

the unilateral ability to remove the Company or unilaterally cause the liquidation of the CDO/CLO, or the Company is not the asset manager but has a unilateral right to remove the third-party asset manager or unilaterally liquidate the CDO/CLO and receive the underlying assets, and (ii) the Company has economic exposure to the entity that could be potentially significant to the entity.

The Company continues to monitor its involvement in unconsolidated CDOs/CLOs to assess future consolidation risk. For example, if the Company were to acquire additional interests in these entities and obtain the right, due to an event of default trigger being met, to unilaterally liquidate or direct the activities of a CDO/CLO, the Company may be required to consolidate the asset entity. For cash CDOs/CLOs, the net result of such consolidation would be to gross up the Company’s balance sheet by the current fair value of the securities held by third parties and assets held by the CDO/CLO, which amounts are not considered material. For synthetic CDOs/CLOs, the net result of such consolidation may reduce the Company’s balance sheet, because intercompany derivative receivables and payables would be eliminated in consolidation, and other assets held by the CDO/CLO and the securities held by third parties would be recognized at their current fair values.

Key Assumptions and Retained Interests

At September 30, 2015 and December 31, 2014 , the key assumptions used to value retained interests in CLOs and CDOs, and the sensitivity of the fair value to adverse changes of 10% and 20% are set forth in the tables below:



	September 30, 2015
	CDOs	CLOs
Discount rate	45.0% to 49.5%	1.5% to 1.6%



	December 31, 2014
	CDOs	CLOs
Discount rate	44.7% to 49.2%	1.4% to 5.0%



	September 30, 2015
In millions of dollars	CDOs			CLOs
Carrying value of retained interests	$	7		$	911
Discount rates
Adverse change of 10%	$	—		$	(5	)
Adverse change of 20%	(1		)	(10		)



	December 31, 2014
In millions of dollars	CDOs			CLOs
Carrying value of retained interests	$	6		$	1,549
Discount rates
Adverse change of 10%	$	(1	)	$	(9	)
Adverse change of 20%	(2		)	(18		)

Asset-Based Financing

The Company provides loans and other forms of financing to VIEs that hold assets. Those loans are subject to the same credit approvals as all other loans originated or purchased by the Company. Financings in the form of debt securities or derivatives are, in most circumstances, reported in Trading

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account assets and accounted for at fair value through earnings. The Company generally does not have the power to direct the activities that most significantly impact these VIEs’ economic performance, and thus it does not consolidate them.

Asset-Based Financing

The primary types of Citigroup’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement, and the Company’s maximum exposure to loss at September 30, 2015 and December 31, 2014 are shown below. For the Company to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.



	September 30, 2015
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	33,911	$	11,203
Corporate loans	665		747
Hedge funds and equities	358		53
Airplanes, ships and other assets	34,777		16,112
Total	$	69,711	$	28,115



	December 31, 2014
In millions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	26,146	$	9,476
Corporate loans	460		473
Hedge funds and equities	—		—
Airplanes, ships and other assets	36,143		15,649
Total	$	62,749	$	25,598

The following tables summarize selected cash flow information related to asset-based financings for the three and nine months ended September 30, 2015 and 2014 :

Gains recognized on the securitizations of asset-based financings were $10 million for the three and nine months ended September 30, 2015 .

Municipal Securities Tender Option Bond (TOB) Trusts

Municipal TOB trusts may hold fixed- or floating-rate, taxable or tax-exempt securities issued by state and local governments and municipalities. TOB trusts are typically structured as single-issuer entities whose assets are purchased from either the Company or from other investors in the municipal securities market. TOB trusts finance the purchase of their municipal assets by issuing two classes of certificates: long-dated, floating rate certificates (“Floaters”) that are puttable pursuant to a liquidity facility and residual interest certificates (“Residuals”). The Floaters are purchased by third-party investors, typically tax-exempt money market funds. The Residuals are purchased by the original owner of the municipal securities that are being financed.

From the Company’s perspective, there are two types of TOB trusts: customer TOB trusts and non-customer TOB trusts. Customer TOB trusts are those trusts utilized by customers of the Company to finance their municipal securities investments. The Residuals issued by these trusts are purchased by the customer being financed. Non-customer TOB trusts are trusts that are used by the Company to finance its own municipal securities investments; the Residuals issued by non-customer TOB trusts are purchased by the Company.

With respect to both customer and non-customer TOB trusts, the Company may provide remarketing agent services. If Floaters are optionally tendered and the Company, in its role as remarketing agent, is unable to find a new investor to purchase the optionally tendered Floaters within a specified period of time, the Company may, but is not obligated to, purchase the tendered Floaters into its own inventory. The level of the Company’s inventory of such Floaters fluctuates. At September 30, 2015 and December 31, 2014 , the Company held $56 million and $3 million , respectively, of Floaters related to customer and non-customer TOB trusts.

For certain customer TOB trusts, the Company may also serve as a voluntary advance provider. In this capacity, the Company may, but is not obligated to, make loan advances to customer TOB trusts to purchase optionally tendered Floaters that have not otherwise been successfully remarketed to new investors. Such loans are secured by pledged Floaters. As of September 30, 2015 , the Company had no outstanding voluntary advances to customer TOB trusts.

For certain non-customer trusts, the Company also provides credit enhancement. At September 30, 2015 and December 31, 2014 , approximately $83 million and $198 million , respectively, of the municipal bonds owned by non-customer TOB trusts are subject to a credit guarantee provided by the Company.

The Company also provides liquidity services to many customer and non-customer trusts. If a trust is unwound early due to an event other than a credit event on the underlying municipal bonds, the underlying municipal bonds are sold out of the Trust and bond sale proceeds are used to redeem the outstanding Trust certificates. If this results in a shortfall between the bond sale proceeds and the redemption price of the tendered Floaters, the Company, pursuant to the liquidity agreement, would be obligated to make a payment to the trust to satisfy that shortfall. For certain customer TOB trusts the Company has also executed a reimbursement agreement with the holder of the Residual, pursuant to which the Residual

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holder is obligated to reimburse the Company for any payment the Company makes under the liquidity arrangement. These reimbursement agreements may be subject to daily margining based on changes in the market value of the underlying municipal bonds. In cases where a third party provides liquidity to a non-customer TOB trust, a similar reimbursement arrangement may be executed, whereby the Company (or a consolidated subsidiary of the Company), as Residual holder, would absorb any losses incurred by the liquidity provider.

For certain other non-customer TOB trusts, the Company serves as tender option provider. The tender option provider arrangement allows Floater holders to put their interests directly to the Company at any time, subject to the requisite notice period requirements, at a price of par.

At September 30, 2015 and December 31, 2014 , liquidity agreements provided with respect to customer TOB trusts totaled $3.1 billion and $3.7 billion , respectively, of which $2.3 billion and $2.6 billion , respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the Residual owned by the customer was at least 25% of the bond value at the inception of the transaction, no reimbursement agreement was executed.

The Company considers both customer and non-customer TOB trusts to be VIEs. Customer TOB trusts are not consolidated by the Company, as the power to direct the activities that most significantly impact the trust’s economic performance rests with the customer Residual holder, which may unilaterally cause the sale of the trust’s bonds.

Non-customer TOB trusts generally are consolidated because the Company holds the Residual interest, and thus has the unilateral power to cause the sale of the trust’s bonds.

The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $8.1 billion and $7.4 billion as of September 30, 2015 and December 31, 2014 , respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.

Municipal Investments

Municipal investment transactions include debt and equity interests in partnerships that finance the construction and rehabilitation of low-income housing, facilitate lending in new or underserved markets, or finance the construction or operation of renewable municipal energy facilities. The Company generally invests in these partnerships as a limited partner and earns a return primarily through the receipt of tax credits and grants earned from the investments made by the partnership. The Company may also provide construction loans or permanent loans for the development or operation of real estate properties held by partnerships. These entities are generally considered VIEs. The power to direct the activities of these entities is typically held by the general partner. Accordingly, these entities are not consolidated by the Company.

Client Intermediation

Client intermediation transactions represent a range of transactions designed to provide investors with specified returns based on the returns of an underlying security, referenced asset or index. These transactions include credit-linked notes and equity-linked notes. In these transactions, the VIE typically obtains exposure to the underlying security, referenced asset or index through a derivative instrument, such as a total-return swap or a credit-default swap. In turn the VIE issues notes to investors that pay a return based on the specified underlying security, referenced asset or index. The VIE invests the proceeds in a financial asset or a guaranteed insurance contract that serves as collateral for the derivative contract over the term of the transaction. The Company’s involvement in these transactions includes being the counterparty to the VIE’s derivative instruments and investing in a portion of the notes issued by the VIE. In certain transactions, the investor’s maximum risk of loss is limited, and the Company absorbs risk of loss above a specified level. The Company does not have the power to direct the activities of the VIEs that most significantly impact their economic performance, and thus it does not consolidate them.

The Company’s maximum risk of loss in these transactions is defined as the amount invested in notes issued by the VIE and the notional amount of any risk of loss absorbed by the Company through a separate instrument issued by the VIE. The derivative instrument held by the Company may generate a receivable from the VIE (for example, where the Company purchases credit protection from the VIE in connection with the VIE’s issuance of a credit-linked note), which is collateralized by the assets owned by the VIE. These derivative instruments are not considered variable interests, and any associated receivables are not included in the calculation of maximum exposure to the VIE.

The proceeds from new securitizations related to the Company’s client intermediation transactions for the three and nine months ended September 30, 2015 totaled approximately $0.4 billion and $1.2 billion , respectively, compared to $0.5 billion and $1.7 billion for the three and nine months ended September 30, 2014 .

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Investment Funds

The Company is the investment manager for certain investment funds and retirement funds that invest in various asset classes including private equity, hedge funds, real estate, fixed income and infrastructure. The Company earns a management fee, which is a percentage of capital under management, and may earn performance fees. In addition, for some of these funds the Company has an ownership interest in the investment funds. The Company has also established a number of investment funds as opportunities for qualified employees to invest in private equity investments. The Company acts as investment manager to these funds and may provide employees with financing on both recourse and non-recourse bases for a portion of the employees’ investment commitments.

The Company has determined that a majority of the investment entities managed by Citigroup are provided a deferral from the requirements of ASC 810, because they meet the criteria in Accounting Standards Update No. 2010-10, Consolidation (Topic 810), Amendments for Certain Investment Funds (ASU 2010-10). These entities continue to be evaluated under the requirements of ASC 810-10, prior to the implementation of SFAS 167 (FIN 46(R), Consolidation of Variable Interest Entities ), which required that a VIE be consolidated by the party with a variable interest that will absorb a majority of the entity’s expected losses or residual returns, or both. See Note 1 to the Consolidated Financial Statements for a discussion of ASU 2015-02 which includes impending changes to targeted areas of consolidation guidance. When ASU 2015-02 becomes effective on January 1, 2016, it will eliminate the above noted deferral for certain investment entities pursuant to ASU 2010-10.

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21 . DERIVATIVES ACTIVITIES

In the ordinary course of business, Citigroup enters into various types of derivative transactions. These derivative

transactions include:


•	Futures and forward contracts, which are commitments to buy or sell at a future date a financial instrument, commodity or currency at a contracted price and may be settled in cash or through delivery.


•	Swap contracts, which are commitments to settle in cash at a future date or dates that may range from a few days to a number of years, based on differentials between specified indices or financial instruments, as applied to a notional principal amount.


•	Option contracts, which give the purchaser, for a premium, the right, but not the obligation, to buy or sell within a specified time a financial instrument, commodity or currency at a contracted price that may also be settled in cash, based on differentials between specified indices or prices.

Swaps and forwards and some option contracts are over-the-counter (OTC) derivatives that are bilaterally negotiated with counterparties and settled with those counterparties, except for swap contracts that are novated and "cleared" through central counterparties (CCPs). Futures contracts and other option contracts are standardized contracts that are traded on an exchange with a CCP as the counterparty from the inception of the transaction. Citigroup enters into these derivative contracts relating to interest rate, foreign currency, commodity and other market/credit risks for the following reasons:

•

Trading Purposes: Citigroup trades derivatives as an active market maker. Citigroup offers its customers derivatives in connection with their risk management actions to transfer, modify or reduce their interest rate, foreign exchange and other market/credit risks or for their own trading purposes. Citigroup also manages its derivative risk positions through offsetting trade activities, controls focused on price verification, and daily reporting of positions to senior managers.

•

Hedging : Citigroup uses derivatives in connection with its risk-management activities to hedge certain risks or reposition the risk profile of the Company. For example, Citigroup issues fixed-rate long-term debt and then enters into a receive-fixed, pay-variable-rate interest rate swap with the same tenor and notional amount to convert the interest payments to a net variable-rate basis. This strategy is the most common form of an interest rate hedge, as it minimizes net interest cost in certain yield curve environments. Derivatives are also used to manage risks inherent in specific groups of on-balance-sheet assets and liabilities, including AFS securities and borrowings, as well as other interest-sensitive assets and liabilities. In addition, foreign-exchange contracts are used to hedge non-U.S.-dollar-denominated debt, foreign-currency-denominated AFS securities and net investment exposures.

Derivatives may expose Citigroup to market, credit or liquidity risks in excess of the amounts recorded on the Consolidated Balance Sheet. Market risk on a derivative product is the exposure created by potential fluctuations in interest rates, foreign-exchange rates and other factors and is a function of the type of product, the volume of transactions, the tenor and terms of the agreement and the underlying volatility. Credit risk is the exposure to loss in the event of nonperformance by the other party to the transaction where the value of any collateral held is not adequate to cover such losses. The recognition in earnings of unrealized gains on these transactions is subject to management’s assessment of the probability of counterparty default. Liquidity risk is the potential exposure that arises when the size of a derivative position may not be able to be monetized in a reasonable period of time and at a reasonable cost in periods of high volatility and financial stress.

Derivative transactions are customarily documented under industry standard master agreements that provide that, following an uncured payment default or other event of default, the non-defaulting party may promptly terminate all transactions between the parties and determine the net amount due to be paid to, or by, the defaulting party. Events of default include: (i) failure to make a payment on a derivatives transaction that remains uncured following applicable notice and grace periods, (ii) breach of agreement that remains uncured after applicable notice and grace periods, (iii) breach of a representation, (iv) cross default, either to third-party debt or to other derivative transactions entered into between the parties, or, in some cases, their affiliates, (v) the occurrence of a merger or consolidation which results in a party’s becoming a materially weaker credit, and (vi) the cessation or repudiation of any applicable guarantee or other credit support document. Obligations under master netting agreements are often secured by collateral posted under an industry standard credit support annex to the master netting agreement. An event of default may also occur under a credit support annex if a party fails to make a collateral delivery that remains uncured following applicable notice and grace periods.

The netting and collateral rights incorporated in the master netting agreements are considered to be legally enforceable if a supportive legal opinion has been obtained from counsel of recognized standing that provides the requisite level of certainty regarding enforceability and that the exercise of rights by the non-defaulting party to terminate and close-out transactions on a net basis under these agreements will not be stayed or avoided under applicable law upon an event of default including bankruptcy, insolvency or similar proceeding.

A legal opinion may not be sought for certain jurisdictions where local law is silent or unclear as to the enforceability of such rights or where adverse case law or conflicting regulation may cast doubt on the enforceability of such rights. In some jurisdictions and for some counterparty types, the insolvency law may not provide the requisite level of certainty. For example, this may be the case for certain sovereigns, municipalities, central banks and U.S. pension plans.

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Exposure to credit risk on derivatives is affected by market volatility, which may impair the ability of counterparties to satisfy their obligations to the Company. Credit limits are established and closely monitored for customers engaged in derivatives transactions. Citi considers the level of legal certainty regarding enforceability of its offsetting rights under master netting agreements and credit support annexes to be an important factor in its risk management process. Specifically, Citi generally transacts much lower volumes of derivatives under master netting agreements where Citi does not have the requisite level of legal certainty regarding enforceability, because such derivatives consume greater amounts of single counterparty credit limits than those executed under enforceable master netting agreements.

Cash collateral and security collateral in the form of G10 government debt securities is often posted by a party to a master netting agreement to secure the net open exposure of the other party; the receiving party is free to commingle/rehypothecate such collateral in the ordinary course of its business. Nonstandard collateral such as corporate bonds, municipal bonds, U.S. agency securities and/or MBS may also be pledged as collateral for derivative transactions. Security collateral posted to open and maintain a master netting agreement with a counterparty, in the form of cash and/or securities, may from time to time be segregated in an account at a third-party custodian pursuant to a tri-party account control agreement.

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Information pertaining to Citigroup’s derivative activity, based on notional amounts, as of September 30, 2015 and December 31, 2014 , is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete and accurate measure of Citi’s exposure to derivative transactions. Rather, as discussed above, Citi’s derivative exposure arises primarily from market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be

required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades (also as discussed above). For example, if Citi enters into an interest rate swap with $100 million notional, and offsets this risk with an identical but opposite position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimus overall market risk. Aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors.

Derivative Notionals



	Hedging instruments under ASC 815 ⁽¹⁾⁽²⁾				Other derivative instruments
					Trading derivatives				Management hedges ⁽³⁾
In millions of dollars	September 30, 2015		December 31, 2014		September 30, 2015		December 31, 2014		September 30, 2015		December 31, 2014
Interest rate contracts
Swaps	$	179,366	$	163,348	$	24,197,468	$	31,906,549	$	31,024	$	31,945
Futures and forwards	—		—		8,385,914		7,044,990		38,226		42,305
Written options	—		—		2,979,791		3,311,751		3,141		3,913
Purchased options	—		—		2,901,225		3,171,056		4,495		4,910
Total interest rate contract notionals	$	179,366	$	163,348	$	38,464,398	$	45,434,346	$	76,886	$	83,073
Foreign exchange contracts
Swaps	$	26,212	$	25,157	$	4,622,283	$	4,567,977	$	23,754	$	23,990
Futures, forwards and spot ⁽⁴⁾	65,741		73,219		2,799,499		3,003,295		5,090		7,069
Written options	204		—		1,389,887		1,343,520		—		432
Purchased options	204		—		1,402,117		1,363,382		—		432
Total foreign exchange contract notionals	$	92,361	$	98,376	$	10,213,786	$	10,278,174	$	28,844	$	31,923
Equity contracts
Swaps	$	—	$	—	$	174,378	$	131,344	$	—	$	—
Futures and forwards	—		—		34,718		30,510		—		—
Written options	—		—		406,820		305,627		—		—
Purchased options	—		—		402,736		275,216		—		—
Total equity contract notionals	$	—	$	—	$	1,018,652	$	742,697	$	—	$	—
Commodity and other contracts
Swaps	$	—	$	—	$	74,925	$	90,817	$	—	$	—
Futures and forwards	959		1,089		106,114		106,021		—		—
Written options	—		—		99,148		104,581		—		—
Purchased options	—		—		88,192		95,567		—		—
Total commodity and other contract notionals	$	959	$	1,089	$	368,379	$	396,986	$	—	$	—
Credit derivatives ⁽⁵⁾
Protection sold	$	—	$	—	$	1,175,657	$	1,063,858	$	—	$	—
Protection purchased	—		—		1,200,249		1,100,369		22,298		16,018
Total credit derivatives	$	—	$	—	$	2,375,906	$	2,164,227	$	22,298	$	16,018
Total derivative notionals	$	272,686	$	262,813	$	52,441,121	$	59,016,430	$	128,028	$	131,014


(1)	The notional amounts presented in this table do not include hedge accounting relationships under ASC 815 where Citigroup is hedging the foreign currency risk of a net investment in a foreign operation by issuing a foreign-currency-denominated debt instrument. The notional amount of such debt was $2,608 million and $3,752 million at September 30, 2015 and December 31, 2014 , respectively.


(2)	Derivatives in hedge accounting relationships accounted for under ASC 815 are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities on the Consolidated Balance Sheet.


(3)	Management hedges represent derivative instruments used to mitigate certain economic risks, but for which hedge accounting is not applied. These derivatives are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities on the Consolidated Balance Sheet.

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(4)	Foreign exchange notional contracts include spot contract notionals of $830 billion and $849 billion at September 30, 2015 and December 31, 2014, respectively. Previous presentations of foreign exchange derivative notional contracts did not include spot contracts. There was no impact to the Consolidated Financial Statements related to this updated presentation.

(5)

Credit derivatives are arrangements designed to allow one party (protection buyer) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.

The following tables present the gross and net fair values of the Company’s derivative transactions, and the related offsetting amounts permitted under ASC 210-20-45 and ASC 815-10-45, as of September 30, 2015 and December 31, 2014 . Under ASC 210-20-45, gross positive fair values are offset against gross negative fair values by counterparty pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount if a legal opinion supporting enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral. The tables also include amounts that are not permitted to be offset under ASC 210-20-45 and ASC 815-10-45, such as security collateral posted or cash collateral posted at third-party custodians, but would be eligible for offsetting to the extent an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.

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Derivative Mark-to-Market (MTM) Receivables/Payables



In millions of dollars at September 30, 2015	Derivatives classified in Trading account assets / liabilities ^(1)(2)(3)						Derivatives classified in Other assets / liabilities ⁽²⁾⁽³⁾
Derivatives instruments designated as ASC 815 hedges	Assets			Liabilities			Assets			Liabilities
Over-the-counter	$	4,986		$	265		$	2,506		$	363
Cleared	663			1,165			—			—
Interest rate contracts	$	5,649		$	1,430		$	2,506		$	363
Over-the-counter	$	3,117		$	1,004		$	49		$	710
Foreign exchange contracts	$	3,117		$	1,004		$	49		$	710
Total derivative instruments designated as ASC 815 hedges	$	8,766		$	2,434		$	2,555		$	1,073
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	310,616		$	294,324		$	199		$	—
Cleared	164,984			165,753			316			288
Exchange traded	61			48			—			—
Interest rate contracts	$	475,661		$	460,125		$	515		$	288
Over-the-counter	$	145,276		$	150,609		$	—		$	90
Cleared	157			190			—			—
Exchange traded	36			72			—			—
Foreign exchange contracts	$	145,469		$	150,871		$	—		$	90
Over-the-counter	$	21,769		$	26,394		$	—		$	—
Cleared	13			14			—			—
Exchange traded	5,426			5,361			—			—
Equity contracts	$	27,208		$	31,769		$	—		$	—
Over-the-counter	$	15,404		$	18,451		$	—		$	—
Exchange traded	2,201			3,844			—			—
Commodity and other contracts	$	17,605		$	22,295		$	—		$	—
Over-the-counter	$	32,292		$	31,510		$	744		$	232
Cleared	5,233			5,330			65			247
Credit derivatives ⁽⁴⁾	$	37,525		$	36,840		$	809		$	479
Total derivatives instruments not designated as ASC 815 hedges	$	703,468		$	701,900		$	1,324		$	857
Total derivatives	$	712,234		$	704,334		$	3,879		$	1,930
Cash collateral paid/received ⁽⁵⁾⁽⁶⁾	$	8,515		$	9,751		$	—		$	30
Less: Netting agreements ⁽⁷⁾	(609,402		)	(609,402		)	—			—
Less: Netting cash collateral received/paid ⁽⁸⁾	(50,476		)	(42,435		)	(1,737		)	(78		)
Net receivables/payables included on the consolidated balance sheet ⁽⁹⁾	$	60,871		$	62,248		$	2,142		$	1,882
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(774	)	$	(2	)	$	—		$	—
Less: Non-cash collateral received/paid	(10,335		)	(5,795		)	(521		)	—
Total net receivables/payables ⁽⁹⁾	$	49,762		$	56,451		$	1,621		$	1,882


(1)	The trading derivatives fair values are presented in Note 12 to the Consolidated Financial Statements.


(2)	Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities .

(3)

Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.


(4)	The credit derivatives trading assets comprise $18,102 million related to protection purchased and $19,423 million related to protection sold as of September 30, 2015 . The credit derivatives trading liabilities comprise $19,476 million related to protection purchased and $17,364 million related to protection sold as of September 30, 2015 .


(5)	For the trading account assets/liabilities, reflects the net amount of the $50,950 million and $60,227 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $42,435 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $50,476 million was used to offset trading derivative assets.


(6)	For cash collateral paid with respect to non-trading derivative liabilities, this is the net amount of $78 million of the gross cash collateral paid, of which $78 million is netted against non-trading derivative positions within Other liabilities . For cash collateral received with respect to non-trading derivative liabilities,

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reflects the net amount of $1,767 million the gross cash collateral received, of which $1,737 million is netted against OTC non-trading derivative positions within Other assets .


(7)	Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $440 billion , $164 billion and $5 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange traded derivatives, respectively.


(8)	Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.


(9)	The net receivables/payables include approximately $12 billion of derivative asset and $11 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.



In millions of dollars at December 31, 2014	Derivatives classified in Trading account assets / liabilities ^(1)(2)(3)						Derivatives classified in Other assets / liabilities ⁽²⁾⁽³⁾
Derivatives instruments designated as ASC 815 hedges	Assets			Liabilities			Assets			Liabilities
Over-the-counter	$	1,508		$	204		$	3,117		$	414
Cleared	4,300			868			—			25
Interest rate contracts	$	5,808		$	1,072		$	3,117		$	439
Over-the-counter	$	3,885		$	743		$	678		$	588
Foreign exchange contracts	$	3,885		$	743		$	678		$	588
Total derivative instruments designated as ASC 815 hedges	$	9,693		$	1,815		$	3,795		$	1,027
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter	$	376,778		$	359,689		$	106		$	—
Cleared	255,847			261,499			6			21
Exchange traded	20			22			141			164
Interest rate contracts	$	632,645		$	621,210		$	253		$	185
Over-the-counter	$	151,736		$	157,650		$	—		$	17
Cleared	366			387			—			—
Exchange traded	7			46			—			—
Foreign exchange contracts	$	152,109		$	158,083		$	—		$	17
Over-the-counter	$	20,425		$	28,333		$	—		$	—
Cleared	16			35			—			—
Exchange traded	4,311			4,101			—			—
Equity contracts	$	24,752		$	32,469		$	—		$	—
Over-the-counter	$	19,943		$	23,103		$	—		$	—
Exchange traded	3,577			3,083			—			—
Commodity and other contracts	$	23,520		$	26,186		$	—		$	—
Over-the-counter	$	39,412		$	39,439		$	265		$	384
Cleared	4,106			3,991			13			171
Credit derivatives ⁽⁴⁾	$	43,518		$	43,430		$	278		$	555
Total derivatives instruments not designated as ASC 815 hedges	$	876,544		$	881,378		$	531		$	757
Total derivatives	$	886,237		$	883,193		$	4,326		$	1,784
Cash collateral paid/received ⁽⁵⁾⁽⁶⁾	$	6,523		$	9,846		$	123		$	7
Less: Netting agreements ⁽⁷⁾	(777,178		)	(777,178		)	—			—
Less: Netting cash collateral received/paid ⁽⁸⁾	(47,625		)	(47,769		)	(1,791		)	(15		)
Net receivables/payables included on the Consolidated Balance Sheet ⁽⁹⁾	$	67,957		$	68,092		$	2,658		$	1,776
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid	$	(867	)	$	(11	)	$	—		$	—
Less: Non-cash collateral received/paid	(10,043		)	(6,264		)	(1,293		)	—
Total net receivables/payables ⁽⁹⁾	$	57,047		$	61,817		$	1,365		$	1,776


(1)	The trading derivatives fair values are presented in Note 12 to the Consolidated Financial Statements.


(2)	Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities .

(3)

Over-the-counter (OTC) derivatives include derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.

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(4)	The credit derivatives trading assets comprise $18,430 million related to protection purchased and $25,088 million related to protection sold as of December 31, 2014 . The credit derivatives trading liabilities comprise $25,972 million related to protection purchased and $17,458 million related to protection sold as of December 31, 2014 .


(5)	For the trading account assets/liabilities, reflects the net amount of the $54,292 million and $57,471 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $47,769 million was used to offset derivative liabilities and, of the gross cash collateral received, $47,625 million was used to offset derivative assets.

(6)

For cash collateral paid with respect to non-trading derivative liabilities, reflects the net amount of $138 million of the gross cash collateral received, of which $15 million is netted against OTC non-trading derivative positions within Other liabilities . For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of $1,798 million of gross cash collateral received of which $1,791 million is netted against non-trading derivative positions within Other assets .


(7)	Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $510 billion , $264 billion and $3 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.


(8)	Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received is netted against OTC derivative assets. Cash collateral paid of approximately $46 billion and $2 billion is netted against OTC and cleared derivative liabilities, respectively.


(9)	The net receivables/payables include approximately $11 billion of derivative asset and $10 billion of liability fair values not subject to enforceable master netting agreements.

For the three and nine months ended September 30, 2015 and 2014 , the amounts recognized in Principal transactions in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship, as well as the underlying non-derivative instruments, are presented in Note 6 to the Consolidated Financial Statements. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative

instruments within the same trading portfolios, as this represents the way these portfolios are risk managed.

The amounts recognized in Other revenue in the Consolidated Statement of Income for the three and nine months ended September 30, 2015 and 2014 related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains/losses on the economically hedged items to the extent such amounts are also recorded in Other revenue .



	Gains (losses) included in Other revenue
	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2015			2014			2015			2014
Interest rate contracts	$	163		$	(4	)	$	127		$	(201	)
Foreign exchange	(19		)	(42		)	(65		)	9
Credit derivatives	536			38			607			(196		)
Total Citigroup	$	680		$	(8	)	$	669		$	(388	)

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Accounting for Derivative Hedging

Citigroup accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging . As a general rule, hedge accounting is permitted where the Company is exposed to a particular risk, such as interest-rate or foreign-exchange risk, that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or a forecasted transaction that may affect earnings.

Derivative contracts hedging the risks associated with changes in fair value are referred to as fair value hedges, while contracts hedging the variability of expected future cash flows are cash flow hedges. Hedges that utilize derivatives or debt instruments to manage the foreign exchange risk associated with equity investments in non-U.S.-dollar-functional-currency foreign subsidiaries (net investment in a foreign operation) are net investment hedges.

If certain hedging criteria specified in ASC 815 are met, including testing for hedge effectiveness, hedge accounting may be applied. The hedge effectiveness assessment methodologies for similar hedges are performed in a similar manner and are used consistently throughout the hedging relationships. For fair value hedges, changes in the value of the hedging derivative, as well as changes in the value of the related hedged item due to the risk being hedged are reflected in current earnings. For cash flow hedges and net investment hedges, changes in the value of the hedging derivative are reflected in Accumulated other comprehensive income (loss) in Citigroup’s stockholders’ equity to the extent the hedge is highly effective. Hedge ineffectiveness, in either case, is reflected in current earnings.

For asset/liability management hedging, fixed-rate long-term debt is recorded at amortized cost under GAAP. However, by designating an interest rate swap contract as a hedging instrument and electing to apply ASC 815 fair value hedge accounting, the carrying value of the debt is adjusted for changes in the benchmark interest rate, with such changes in value recorded in current earnings. The related interest-rate swap also is recorded on the balance sheet at fair value, with any changes in fair value also reflected in earnings. Thus, any ineffectiveness resulting from the hedging relationship is captured in current earnings.

Alternatively, for management hedges that do not meet the ASC 815 hedging criteria, the derivative is recorded at fair value on the balance sheet, with the associated changes in fair value recorded in earnings, while the debt continues to be carried at amortized cost. Therefore, current earnings are affected only by the interest rate shifts and other factors that cause a change in the swap’s value. This type of hedge is undertaken when hedging requirements cannot be achieved or management decides not to apply ASC 815 hedge accounting.

Another alternative is to elect to carry the debt at fair value under the fair value option. Once the irrevocable election is made upon issuance of the debt, the full change in fair value of the debt is reported in earnings. The related interest rate swap, with changes in fair value, is also reflected in earnings, which provides a natural offset to the debt’s fair value change. To the extent the two offsets are not exactly equal because the full change in the fair value of the debt

includes risks not offset by the interest rate swap, the difference is captured in current earnings.

The key requirements to achieve ASC 815 hedge accounting are documentation of a hedging strategy and specific hedge relationships at hedge inception and substantiating hedge effectiveness on an ongoing basis. A derivative must be highly effective in accomplishing the hedge objective of offsetting either changes in the fair value or cash flows of the hedged item for the risk being hedged. Any ineffectiveness in the hedge relationship is recognized in current earnings. The assessment of effectiveness may exclude changes in the value of the hedged item that are unrelated to the risks being hedged. Similarly, the assessment of effectiveness may exclude changes in the fair value of a derivative related to time value that, if excluded, are recognized in current earnings.

Fair Value Hedges

Hedging of benchmark interest rate risk

Citigroup hedges exposure to changes in the fair value of outstanding fixed-rate issued debt. These hedges are designated as fair value hedges of the benchmark interest rate risk associated with the currency of the hedged liability. The fixed cash flows of the hedged items are converted to benchmark variable-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. These fair value hedge relationships use either regression or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.

Citigroup also hedges exposure to changes in the fair value of fixed-rate assets due to changes in benchmark interest rates, including available-for-sale debt securities and loans. The hedging instruments used are receive-variable, pay-fixed interest rate swaps. These fair value hedging relationships use either regression or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.

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Hedging of foreign exchange risk

Citigroup hedges the change in fair value attributable to foreign-exchange rate movements in available-for-sale securities that are denominated in currencies other than the functional currency of the entity holding the securities, which may be within or outside the U.S. The hedging instrument employed is generally a forward foreign-exchange contract. In this hedge, the change in fair value of the hedged available-for-sale security attributable to the portion of foreign exchange risk hedged is reported in earnings, and not Accumulated other comprehensive income (loss) —which serves to offset the change in fair value of the forward contract that is also reflected in earnings. Citigroup considers the premium associated with forward contracts (i.e., the differential between spot and contractual forward rates) as the cost of hedging; this is excluded from the assessment of hedge effectiveness and reflected directly in earnings. The dollar-offset method is used to assess hedge effectiveness. Since that assessment is based on changes in fair value attributable to changes in spot rates on both the available-for-sale securities and the forward contracts for the portion of the relationship hedged, the amount of hedge ineffectiveness is not significant.

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The following table summarizes the gains (losses) on the Company’s fair value hedges for the three and nine months ended September 30, 2015 and 2014 :



	Gains (losses) on fair value hedges ⁽¹⁾
	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2015			2014			2015			2014
Gain (loss) on the derivatives in designated and qualifying fair value hedges
Interest rate contracts	$	1,111		$	(330	)	$	72		$	278
Foreign exchange contracts	(311		)	780			1,093			1,110
Commodity contracts	(110		)	47			(69		)	(56		)
Total gain (loss) on the derivatives in designated and qualifying fair value hedges	$	690		$	497		$	1,096		$	1,332
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	(1,113	)	$	371		$	(115	)	$	(283	)
Foreign exchange hedges	304			(789		)	(1,081		)	(1,157		)
Commodity hedges	109			(20		)	81			86
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(700	)	$	(438	)	$	(1,115	)	$	(1,354	)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
Interest rate hedges	$	(1	)	$	44		$	(42	)	$	(2	)
Foreign exchange hedges	(24		)	(11		)	(41		)	(11		)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges	$	(25	)	$	33		$	(83	)	$	(13	)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
Interest rate contracts	$	(1	)	$	(3	)	$	(1	)	$	(3	)
Foreign exchange contracts ⁽²⁾	17			2			53			(36		)
Commodity hedges ⁽²⁾	(1		)	27			12			30
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges	$	15		$	26		$	64		$	(9	)


(1)	Amounts are included in Other revenue on the Consolidated Statement of Income. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.


(2)	Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates). These amounts are excluded from the assessment of hedge effectiveness and are reflected directly in earnings.

Cash Flow Hedges

Hedging of benchmark interest rate risk

Citigroup hedges variable cash flows associated with floating-rate liabilities and the rollover (re-issuance) of liabilities. Variable cash flows from those liabilities are converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps and receive-variable, pay-fixed forward-starting interest rate swaps. Citi also hedges variable cash flows from recognized and forecasted floating-rate assets. Variable cash flows from those assets are converted to fixed-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. These cash-flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis. When certain variable interest rates, associated with hedged items, do not qualify as benchmark interest rates, Citigroup designates the risk being hedged as the risk of overall changes in the hedged cash flows. Since efforts are made to match the terms of the derivatives to those of the hedged forecasted cash flows as closely as

possible, the amount of hedge ineffectiveness is not significant.

Hedging of foreign exchange risk

Citigroup locks in the functional currency equivalent cash flows of long-term debt and short-term borrowings that are denominated in currencies other than the functional currency of the issuing entity. Depending on the risk management objectives, these types of hedges are designated as either cash flow hedges of only foreign exchange risk or cash flow hedges of both foreign exchange and interest rate risk, and the hedging instruments used are foreign exchange cross-currency swaps and forward contracts. These cash flow hedge relationships use dollar-offset ratio analysis to determine whether the hedging relationships are highly effective at inception and on an ongoing basis.

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Hedging total return

Citigroup generally manages the risk associated with leveraged loans it has originated or in which it participates by transferring a majority of its exposure to the market through SPEs prior to or shortly after funding. Retained exposures to

leveraged loans receivable are generally hedged using total return swaps.

The amount of hedge ineffectiveness on the cash flow hedges recognized in earnings for the three and nine months ended September 30, 2015 and 2014 is not significant. The pretax change in Accumulated other comprehensive income (loss) from cash flow hedges is presented below:



	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2015			2014			2015			2014
Effective portion of cash flow hedges included in AOCI
Interest rate contracts	$	357		$	(70	)	$	594		$	153
Foreign exchange contracts	(98		)	1			(258		)	(56		)
Credit derivatives	—			—			—			2
Total effective portion of cash flow hedges included in AOCI	$	259		$	(69	)	$	336		$	99
Effective portion of cash flow hedges reclassified from AOCI to earnings
Interest rate contracts	$	(28	)	$	(84	)	$	(148	)	$	(218	)
Foreign exchange contracts	(35		)	(30		)	(112		)	(114		)
Total effective portion of cash flow hedges reclassified from AOCI to earnings ⁽¹⁾	$	(63	)	$	(114	)	$	(260	)	$	(332	)


(1)	Included primarily in Other revenue and Net interest revenue on the Consolidated Income Statement.

For cash flow hedges, the changes in the fair value of the hedging derivative remaining in Accumulated other comprehensive income (loss) on the Consolidated Balance Sheet will be included in the earnings of future periods to offset the variability of the hedged cash flows when such cash flows affect earnings. The net loss associated with cash flow hedges expected to be reclassified from Accumulated other comprehensive income (loss) within 12 months of September 30, 2015 is approximately $ 0.3 billion . The maximum length of time over which forecasted cash flows are hedged is 10 years .

The after-tax impact of cash flow hedges on AOCI is shown in Note 18 to the Consolidated Financial Statements.

Net Investment Hedges

Consistent with ASC 830-20, Foreign Currency Matters—Foreign Currency Transactions , ASC 815 allows hedging of the foreign currency risk of a net investment in a foreign operation. Citigroup uses foreign currency forwards, options and foreign-currency-denominated debt instruments to manage the foreign exchange risk associated with Citigroup’s equity investments in several non-U.S.-dollar-functional-currency foreign subsidiaries. Citigroup records the change in the carrying amount of these investments in the Foreign currency translation adjustment account within Accumulated other comprehensive income (loss) . Simultaneously, the effective portion of the hedge of this exposure is also recorded in the Foreign currency translation adjustment account and the ineffective portion, if any, is immediately recorded in earnings.

For derivatives designated as net investment hedges, Citigroup follows the forward-rate method outlined in ASC 815-35-35-16 through 35-26. According to that method, all changes in fair value, including changes related to the

forward-rate component of the foreign currency forward contracts and the time value of foreign currency options, are recorded in the Foreign currency translation adjustment account within Accumulated other comprehensive income (loss) .

For foreign-currency-denominated debt instruments that are designated as hedges of net investments, the translation gain or loss that is recorded in the Foreign currency translation adjustment account is based on the spot exchange rate between the functional currency of the respective subsidiary and the U.S. dollar, which is the functional currency of Citigroup. To the extent the notional amount of the hedging instrument exactly matches the hedged net investment and the underlying exchange rate of the derivative hedging instrument relates to the exchange rate between the functional currency of the net investment and Citigroup’s functional currency (or, in the case of a non-derivative debt instrument, such instrument is denominated in the functional currency of the net investment), no ineffectiveness is recorded in earnings.

The pretax gain (loss) recorded in the Foreign currency translation adjustment account within Accumulated other comprehensive income (loss) , related to the effective portion of the net investment hedges, is $ 1,842 million and $ 2,599 million for the three and nine months ended September 30, 2015 and $ 2,020 million and $ 402 million for the three and nine months ended September 30, 2014 , respectively.

Credit Derivatives

Citi is a market maker and trades a range of credit derivatives. Through these contracts, Citi either purchases or writes protection on either a single name or a portfolio of reference credits. Citi also uses credit derivatives to help mitigate credit risk in its corporate and consumer loan portfolios and other cash positions, and to facilitate client transactions.

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Citi monitors its counterparty credit risk in credit derivative contracts. As of September 30, 2015 and December 31, 2014 , approximately 98% of the gross receivables are from counterparties with which Citi maintains collateral agreements. A majority of Citi’s top 15 counterparties (by receivable balance owed to Citi) are banks, financial institutions or other dealers. Contracts with these counterparties do not include ratings-based termination events. However, counterparty ratings downgrades may have an incremental effect by lowering the threshold at which Citi may

call for additional collateral.

The range of credit derivatives entered into includes credit default swaps, total return swaps, credit options and credit-linked notes.

A credit default swap is a contract in which, for a fee, a protection seller agrees to reimburse a protection buyer for any losses that occur due to a predefined credit event on a reference entity. These credit events are defined by the terms of the derivative contract and the reference credit and are generally limited to the market standard of failure to pay on indebtedness and bankruptcy of the reference credit and, in a more limited range of transactions, debt restructuring. Credit derivative transactions that reference emerging market entities will also typically include additional credit events to cover the acceleration of indebtedness and the risk of repudiation or a payment moratorium. In certain transactions, protection may be provided on a portfolio of reference entities or asset-backed securities. If there is no credit event, as defined by the specific derivative contract, then the protection seller makes no payments to the protection buyer and receives only the contractually specified fee. However, if a credit event occurs as defined in the specific derivative contract sold, the protection seller will be required to make a payment to the protection buyer. Under certain contracts, the seller of protection may not be required to make a payment until a specified amount of losses has occurred with respect to the portfolio and/or may only be required to pay for losses up to a specified amount.

A total return swap typically transfers the total economic performance of a reference asset, which includes all associated cash flows, as well as capital appreciation or depreciation. The protection buyer receives a floating rate of interest and any depreciation on the reference asset from the protection seller and, in return, the protection seller receives the cash flows associated with the reference asset plus any appreciation. Thus, according to the total return swap agreement, the protection seller will be obligated to make a payment any time the floating interest rate payment plus any depreciation of the reference asset exceeds the cash flows associated with the underlying asset. A total return swap may terminate upon a default of the reference asset or a credit event with respect to the reference entity subject to the provisions of the related total return swap agreement between the protection seller and the protection buyer.

A credit option is a credit derivative that allows investors to trade or hedge changes in the credit quality of a reference entity. For example, in a credit spread option, the option writer assumes the obligation to purchase or sell credit protection on the reference entity at a specified “strike” spread level. The

option purchaser buys the right to sell credit default protection on the reference entity to, or purchase it from, the option writer at the strike spread level. The payments on credit spread options depend either on a particular credit spread or the price of the underlying credit-sensitive asset or other reference. The options usually terminate if a credit event occurs with respect to the underlying reference entity.

A credit-linked note is a form of credit derivative structured as a debt security with an embedded credit default swap. The purchaser of the note effectively provides credit protection to the issuer by agreeing to receive a return that could be negatively affected by credit events on the underlying reference credit. If the reference entity defaults, the note may be cash settled or physically settled by delivery of a debt security of the reference entity. Thus, the maximum amount of the note purchaser’s exposure is the amount paid for the credit-linked note.

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The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form as of September 30, 2015 and December 31, 2014 :



	Fair values				Notionals
In millions of dollars at September 30, 2015	Receivable ⁽¹⁾		Payable ⁽²⁾		Protection purchased		Protection sold
By industry/counterparty
Banks	$	19,377	$	17,499	$	579,175	$	574,608
Broker-dealers	6,382		6,690		174,590		171,430
Non-financial	125		155		4,311		2,213
Insurance and other financial institutions	12,450		12,975		464,471		427,406
Total by industry/counterparty	$	38,334	$	37,319	$	1,222,547	$	1,175,657
By instrument
Credit default swaps and options	$	37,842	$	36,782	$	1,203,305	$	1,168,598
Total return swaps and other	492		537		19,242		7,059
Total by instrument	$	38,334	$	37,319	$	1,222,547	$	1,175,657
By rating
Investment grade	$	15,679	$	15,297	$	926,912	$	888,780
Non-investment grade	22,655		22,022		295,635		286,877
Total by rating	$	38,334	$	37,319	$	1,222,547	$	1,175,657
By maturity
Within 1 year	$	2,688	$	2,124	$	246,395	$	239,578
From 1 to 5 years	30,243		29,810		842,684		808,865
After 5 years	5,403		5,385		133,468		127,214
Total by maturity	$	38,334	$	37,319	$	1,222,547	$	1,175,657


(1)	The fair value amount receivable is composed of $ 18,911 million under protection purchased and $ 19,423 million under protection sold.


(2)	The fair value amount payable is composed of $ 19,955 million under protection purchased and $ 17,364 million under protection sold.

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	Fair values				Notionals
In millions of dollars at December 31, 2014	Receivable ⁽¹⁾		Payable ⁽²⁾		Protection purchased		Protection sold
By industry/counterparty
Banks	$	24,828	$	23,189	$	574,764	$	604,700
Broker-dealers	8,093		9,309		204,542		199,693
Non-financial	91		113		3,697		1,595
Insurance and other financial institutions	10,784		11,374		333,384		257,870
Total by industry/counterparty	$	43,796	$	43,985	$	1,116,387	$	1,063,858
By instrument
Credit default swaps and options	$	42,930	$	42,201	$	1,094,199	$	1,054,671
Total return swaps and other	866		1,784		22,188		9,187
Total by instrument	$	43,796	$	43,985	$	1,116,387	$	1,063,858
By rating
Investment grade	$	17,432	$	17,182	$	824,831	$	786,848
Non-investment grade	26,364		26,803		291,556		277,010
Total by rating	$	43,796	$	43,985	$	1,116,387	$	1,063,858
By maturity
Within 1 year	$	4,356	$	4,278	$	250,489	$	229,502
From 1 to 5 years	34,692		35,160		790,251		772,001
After 5 years	4,748		4,547		75,647		62,355
Total by maturity	$	43,796	$	43,985	$	1,116,387	$	1,063,858


(1)	The fair value amount receivable is composed of $ 18,708 million under protection purchased and $ 25,088 million under protection sold.


(2)	The fair value amount payable is composed of $ 26,527 million under protection purchased and $ 17,458 million under protection sold.

Fair values included in the above tables are prior to application of any netting agreements and cash collateral. For notional amounts, Citi generally has a mismatch between the total notional amounts of protection purchased and sold, and it may hold the reference assets directly, rather than entering into offsetting credit derivative contracts as and when desired. The open risk exposures from credit derivative contracts are largely matched after certain cash positions in reference assets are considered and after notional amounts are adjusted, either to a duration-based equivalent basis or to reflect the level of subordination in tranched structures. The ratings of the credit derivatives portfolio presented in the tables and used to evaluate payment/performance risk are based on the assigned internal or external ratings of the referenced asset or entity. Where external ratings are used, investment-grade ratings are considered to be ‘Baa/BBB’ and above, while anything below is considered non-investment grade. Citi’s internal ratings are in line with the related external rating system.

Citigroup evaluates the payment/performance risk of the credit derivatives for which it stands as a protection seller based on the credit rating assigned to the underlying referenced credit. Credit derivatives written on an underlying non-investment grade reference credit represent greater payment risk to the Company. The non-investment grade category in the table above also includes credit derivatives where the underlying referenced entity has been downgraded subsequent to the inception of the derivative.

The maximum potential amount of future payments under credit derivative contracts presented in the table above is based on the notional value of the derivatives. The Company believes that the notional amount for credit protection sold is not representative of the actual loss exposure based on historical experience. This amount has not been reduced by the value of the reference assets and the related cash flows. In accordance with most credit derivative contracts, should a credit event occur, the Company usually is liable for the difference between the protection sold and the value of the reference assets. Furthermore, the notional amount for credit protection sold has not been reduced for any cash collateral paid to a given counterparty, as such payments would be calculated after netting all derivative exposures, including any credit derivatives with that counterparty in accordance with a related master netting agreement. Due to such netting processes, determining the amount of collateral that corresponds to credit derivative exposures alone is not possible. The Company actively monitors open credit-risk exposures and manages this exposure by using a variety of strategies, including purchased credit derivatives, cash collateral or direct holdings of the referenced assets. This risk mitigation activity is not captured in the table above.

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Credit-Risk-Related Contingent Features in Derivatives

Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates. The fair value (excluding CVA) of all derivative instruments with credit-risk-related contingent features that were in a net liability position at both September 30, 2015 and December 31, 2014 was $ 25 billion and $ 30 billion , respectively. The Company had posted $ 22 billion and $ 27 billion as collateral for this exposure in the normal course of business as of September 30, 2015 and December 31, 2014 , respectively.

A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank, N.A. were downgraded a single notch by all three major rating agencies as of September 30, 2015 , the Company could be required to post an additional $ 2.1 billion as either collateral or settlement of the derivative transactions. Additionally, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $ 0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $ 2.2 billion .

Derivatives Accompanied by Financial Asset Transfers

The Company executes total return swaps which provide it with synthetic exposure to substantially all of the economic return of the securities or other financial assets referenced in the contract. In certain cases, the derivative transaction is accompanied by the Company’s transfer of the referenced financial asset to the derivative counterparty, most typically in response to the derivative counterparty’s desire to hedge, in whole or in part, its synthetic exposure under the derivative contract by holding the referenced asset in funded form. In certain jurisdictions these transactions qualify as sales, resulting in derecognition of the securities transferred (see Note 1 to the Consolidated Financial Statements in Citi’s 2014 Annual Report on Form 10-K for further discussion of the related sale conditions for transfers of financial assets). For a significant portion of the transactions, the Company has also executed another total return swap where the Company passes on substantially all of the economic return of the referenced securities to a different third party seeking the exposure. In those cases, the Company is not exposed, on a net basis, to changes in the economic return of the referenced securities.

These transactions generally involve the transfer of the Company’s liquid government bonds, convertible bonds, or publicly traded corporate equity securities from the trading portfolio and are executed with third-party financial institutions. The accompanying derivatives are typically total return swaps. The derivatives are cash settled and subject to ongoing margin requirements.

When the conditions for sale accounting are met, the Company reports the transfer of the referenced financial asset as a sale and separately reports the accompanying derivative

transaction. These transactions generally do not result in a gain or loss on the sale of the security, because the transferred security was held at fair value in the Company’s trading portfolio. For transfers of financial assets accounted for by the Company as a sale, where the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed in contemplation of the initial sale with the same counterparty and still outstanding as of September 30, 2015 , both the asset carrying amounts derecognized and gross cash proceeds received as of the date of derecognition were $2.1 billion . At September 30, 2015 , the fair value of these previously derecognized assets was $2.0 billion and the fair value of the total return swaps was $6 million recorded as gross derivative assets and $94 million recorded as gross derivative liabilities. The balances for the total return swaps are on a gross basis, before the application of counterparty and cash collateral netting, and are included primarily as equity derivatives in the tabular disclosures in this Note.

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22 . FAIR VALUE MEASUREMENT

ASC 820-10 Fair Value Measurement , defines fair value, establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Among other things, the standard requires the Company to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value.

Under ASC 820-10, the probability of default of a counterparty is factored into the valuation of derivative and other positions as well as the impact of Citigroup’s own credit risk on derivatives and other liabilities measured at fair value.

Fair Value Hierarchy

ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:


•	Level 1: Quoted prices for identical instruments in active markets.


•	Level 2: Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets.


•	Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable .

As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible. The frequency of transactions, the size of the bid-ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the liquidity of markets and the relevance of observed prices in those markets.

The Company’s policy with respect to transfers between levels of the fair value hierarchy is to recognize transfers into and out of each level as of the end of the reporting period.

Determination of Fair Value

For assets and liabilities carried at fair value, the Company measures fair value using the procedures set out below, irrespective of whether the assets and liabilities are measured at fair value as a result of an election or whether they are required to be measured at fair value.

When available, the Company uses quoted market prices to determine fair value and classifies such items as Level 1. In some cases where a market price is available, the Company will make use of acceptable practical expedients (such as matrix pricing) to calculate fair value, in which case the items are classified as Level 2.

The Company may also apply a price-based methodology, which utilizes, where available, quoted prices or other market

information obtained from recent trading activity in positions with the same or similar characteristics to the position being valued. The market activity and the amount of the bid-ask spread are among the factors considered in determining the liquidity of markets and the observability of prices from those markets. If relevant and observable prices are available, those valuations may be classified as Level 2. When less liquidity exists for a security or loan, a quoted price is stale, a significant adjustment to the price of a similar security is necessary to reflect differences in the terms of the actual security or loan being valued or prices from independent sources are insufficient to corroborate the valuation, the “price” inputs are considered unobservable and the fair value measurements are classified as Level 3.

If quoted market prices are not available, fair value is based upon internally developed valuation techniques that use, where possible, current market-based parameters, such as interest rates, currency rates and option volatilities. Items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified as Level 3 even though there may be some significant inputs that are readily observable.

Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors or brokers. Vendors’ and brokers’ valuations may be based on a variety of inputs ranging from observed prices to proprietary valuation models.

The following section describes the valuation methodologies used by the Company to measure various financial instruments at fair value, including an indication of the level in the fair value hierarchy in which each instrument is generally classified. Where appropriate, the description includes details of the valuation models, the key inputs to those models and any significant assumptions.

Market valuation adjustments

Generally, the unit of account for a financial instrument is the individual financial instrument. The Company applies market valuation adjustments that are consistent with the unit of account, which does not include adjustment due to the size of the Company’s position, except as follows. ASC 820-10 permits an exception, through an accounting policy election, to measure the fair value of a portfolio of financial assets and financial liabilities on the basis of the net open risk position when certain criteria are met. Citi has elected to measure certain portfolios of financial instruments, such as derivatives, that meet those criteria on the basis of the net open risk position. The Company applies market valuation adjustments, including adjustments to account for the size of the net open risk position, consistent with market participant assumptions and in accordance with the unit of account.

Liquidity adjustments are applied to items in Level 2 or Level 3 of the fair-value hierarchy in an effort to ensure that the fair value reflects the price at which the net open risk position could be liquidated. The liquidity adjustment is based on the bid/offer spread for an instrument. When Citi has elected to measure certain portfolios of financial investments, such as derivatives, on the basis of the net open risk position,

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the liquidity adjustment may be adjusted to take into account the size of the position.

Credit valuation adjustments (CVA) and, effective in the third quarter of 2014, funding valuation adjustments (FVA), are applied to over-the-counter (OTC) derivative instruments in which the base valuation generally discounts expected cash flows using the relevant base interest rate curve for the currency of the derivative (e.g., LIBOR for uncollateralized U.S.-dollar derivatives). As not all counterparties have the same credit risk as that implied by the relevant base curve, a CVA is necessary to incorporate the market view of both counterparty credit risk and Citi’s own credit risk in the valuation. FVA reflects a market funding risk premium inherent in the uncollateralized portion of derivative portfolios, and in collateralized derivatives where the terms of the agreement do not permit the reuse of the collateral received.

Citi’s CVA methodology is composed of two steps. First, the credit exposure profile for each counterparty is determined using the terms of all individual derivative positions and a Monte Carlo simulation or other quantitative analysis to generate a series of expected cash flows at future points in time. The calculation of this exposure profile considers the effect of credit risk mitigants, including pledged cash or other collateral and any legal right of offset that exists with a counterparty through arrangements such as netting agreements. Individual derivative contracts that are subject to an enforceable master netting agreement with a counterparty are aggregated as a netting set for this purpose, since it is those aggregate net cash flows that are subject to nonperformance risk. This process identifies specific, point-in-time future cash flows that are subject to nonperformance risk, rather than using the current recognized net asset or liability as a basis to measure the CVA. Second, market-based views of default probabilities

derived from observed credit spreads in the credit default swap

(CDS) market are applied to the expected future cash flows

determined in step one. Citi’s own-credit CVA is determined

using Citi-specific CDS spreads for the relevant tenor.

Generally, counterparty CVA is determined using CDS spread

indices for each credit rating and tenor. For certain identified

netting sets where individual analysis is practicable

(e.g., exposures to counterparties with liquid CDSs),

counterparty-specific CDS spreads are used.

The CVA and FVA are designed to incorporate a market view of the credit and funding risk, respectively, inherent in the derivative portfolio. However, most unsecured derivative instruments are negotiated bilateral contracts and are not commonly transferred to third parties. Derivative instruments are normally settled contractually or, if terminated early, are terminated at a value negotiated bilaterally between the counterparties. Thus, the CVA and FVA may not be realized upon a settlement or termination in the normal course of business. In addition, all or a portion of these adjustments may be reversed or otherwise adjusted in future periods in the event of changes in the credit or funding risk associated with the derivative instruments.

The table below summarizes the CVA and FVA applied to the fair value of derivative instruments for the periods indicated:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	September 30, 2015			December 31, 2014
Counterparty CVA	$	(1,715	)	$	(1,853	)
Asset FVA	(643		)	(518		)
Citigroup (own-credit) CVA	681			580
Liability FVA	108			19
Total CVA—derivative instruments ⁽¹⁾	$	(1,569	)	$	(1,772	)


(1)	FVA is included with CVA for presentation purposes.

The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:



	Credit/funding/debt valuation adjustments gain (loss)
	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2015			2014			2015			2014
Counterparty CVA	$	(32	)	$	(24	)	$	(191	)	$	46
Asset FVA	(177		)	(480		)	(125		)	(480		)
Own-credit CVA	97			15			81			(71		)
Liability FVA	44			6			89			6
Total CVA—derivative instruments	$	(68	)	$	(483	)	$	(146	)	$	(499	)
DVA related to own FVO liabilities	$	264		$	112		$	582		$	102
Total CVA and DVA ⁽¹⁾	$	196		$	(371	)	$	436		$	(397	)


(1)	FVA is included with CVA for presentation purposes.

Valuation Process for Fair Value Measurements

Price verification procedures and related internal control procedures are governed by the Citigroup Pricing and Price Verification Policy and Standards , which is jointly owned by Finance and Risk Management.

For fair value measurements of substantially all assets and liabilities held by the Company, individual business units are responsible for valuing the trading account assets and liabilities, and Product Control within Finance performs independent price verification procedures to evaluate those fair value measurements. Product Control is independent of the individual business units and reports to the Global Head of Product Control. It has authority over the valuation of financial assets and liabilities. Fair value measurements of assets and liabilities are determined using various techniques, including, but not limited to, discounted cash flows and internal models, such as option and correlation models.

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Based on the observability of inputs used, Product Control classifies the inventory as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a position involves one or more significant inputs that are not directly observable, price verification procedures are performed that may include reviewing relevant historical data, analyzing profit and loss, valuing each component of a structured trade individually, and benchmarking, among others.

Reports of inventory that is classified within Level 3 of the fair value hierarchy are distributed to senior management in Finance, Risk and the business. This inventory is also discussed in Risk Committees and in monthly meetings with senior trading management. As deemed necessary, reports may go to the Audit Committee of the Board of Directors or to the full Board of Directors. Whenever an adjustment is needed to bring the price of an asset or liability to its exit price, Product Control reports it to management along with other price verification results.

In addition, the pricing models used in measuring fair value are governed by an independent control framework. Although the models are developed and tested by the individual business units, they are independently validated by the Model Validation Group within Risk Management and reviewed by Finance with respect to their impact on the price verification procedures. The purpose of this independent control framework is to assess model risk arising from models’ theoretical soundness, calibration techniques where needed, and the appropriateness of the model for a specific product in a defined market. To ensure their continued applicability, models are independently reviewed annually. In addition, Risk Management approves and maintains a list of products permitted to be valued under each approved model for a given business.

Securities purchased under agreements to resell and securities sold under agreements to repurchase

No quoted prices exist for these instruments, so fair value is determined using a discounted cash-flow technique. Cash flows are estimated based on the terms of the contract, taking into account any embedded derivative or other features. These cash flows are discounted using interest rates appropriate to the maturity of the instrument as well as the nature of the underlying collateral. Generally, when such instruments are recorded at fair value, they are classified within Level 2 of the fair value hierarchy, as the inputs used in the valuation are readily observable. However, certain long-dated positions are classified within Level 3 of the fair value hierarchy.

Trading account assets and liabilities—trading securities and trading loans

When available, the Company uses quoted market prices in active markets to determine the fair value of trading securities; such items are classified as Level 1 of the fair value hierarchy. Examples include government securities and exchange-traded equity securities.

For bonds and secondary market loans traded over the counter, the Company generally determines fair value utilizing valuation techniques, including discounted cash flows, price-based and internal models, such as Black-Scholes and Monte

Carlo simulation. Fair value estimates from these internal valuation techniques are verified, where possible, to prices obtained from independent sources, including third-party vendors. Vendors compile prices from various sources and may apply matrix pricing for similar bonds or loans where no price is observable. A price-based methodology utilizes, where available, quoted prices or other market information obtained from recent trading activity of assets with similar characteristics to the bond or loan being valued. The yields used in discounted cash flow models are derived from the same price information. Trading securities and loans priced using such methods are generally classified as Level 2. However, when less liquidity exists for a security or loan, a quoted price is stale, a significant adjustment to the price of a similar security or loan is necessary to reflect differences in the terms of the actual security or loan being valued, or prices from independent sources are insufficient to corroborate valuation, a loan or security is generally classified as Level 3. The price input used in a price-based methodology may be zero for a security, such as a subprime CDO, that is not receiving any principal or interest and is currently written down to zero.

When the Company’s principal market for a portfolio of loans is the securitization market, the Company uses the securitization price to determine the fair value of the portfolio. The securitization price is determined from the assumed proceeds of a hypothetical securitization in the current market, adjusted for transformation costs (i.e., direct costs other than transaction costs) and securitization uncertainties such as market conditions and liquidity. As a result of the severe reduction in the level of activity in certain securitization markets since the second half of 2007, observable securitization prices for certain directly comparable portfolios of loans have not been readily available. Therefore, such portfolios of loans are generally classified as Level 3 of the fair value hierarchy. However, for other loan securitization markets, such as commercial real estate loans, price verification of the hypothetical securitizations has been possible, since these markets have remained active. Accordingly, this loan portfolio is classified as Level 2 of the fair value hierarchy.

Trading account assets and liabilities—derivatives

Exchange-traded derivatives, measured at fair value using quoted (i.e., exchange) prices in active markets, where available, are classified as Level 1 of the fair value hierarchy.

Derivatives without a quoted price in an active market and derivatives executed over the counter are valued using internal valuation techniques. These derivative instruments are classified as either Level 2 or Level 3 depending upon the observability of the significant inputs to the model.

The valuation techniques and inputs depend on the type of derivative and the nature of the underlying instrument. The principal techniques used to value these instruments are discounted cash flows and internal models, including Black-Scholes and Monte Carlo simulation.

The key inputs depend upon the type of derivative and the nature of the underlying instrument and include interest rate yield curves, foreign-exchange rates, volatilities and

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correlation. The Company uses overnight indexed swap (OIS) curves as fair value measurement inputs for the valuation of certain collateralized derivatives. Citi uses the relevant benchmark curve for the currency of the derivative (e.g., the London Interbank Offered Rate for U.S. dollar derivatives) as the discount rate for uncollateralized derivatives.

As referenced above, during the third quarter of 2014 , Citi incorporated FVA into the fair value measurements due to what it believes to be an industry migration toward incorporating the market’s view of funding risk premium in OTC derivatives. The charge incurred in connection with the implementation of FVA was reflected in Principal transactions as a change in accounting estimate. Citi’s FVA methodology leverages the existing CVA methodology to estimate a funding exposure profile. The calculation of this exposure profile considers collateral agreements where the terms do not permit the firm to reuse the collateral received, including where counterparties post collateral to third-party custodians.

Subprime-related direct exposures in CDOs

The valuation of high-grade and mezzanine asset-backed security (ABS) CDO positions utilizes prices based on the underlying assets of each high-grade and mezzanine ABS CDO.

For most of the lending and structured direct subprime exposures, fair value is determined utilizing observable transactions where available, other market data for similar assets in markets that are not active and other internal valuation techniques.

Investments

The investments category includes available-for-sale debt and marketable equity securities whose fair values are generally determined by utilizing similar procedures described for trading securities above or, in some cases, using vendor pricing as the primary source.

Also included in investments are nonpublic investments in private equity and real estate entities. Determining the fair value of nonpublic securities involves a significant degree of management judgment, as no quoted prices exist and such securities are generally thinly traded. In addition, there may be transfer restrictions on private equity securities. The Company’s process for determining the fair value of such securities utilizes commonly accepted valuation techniques, including comparables analysis. In determining the fair value of nonpublic securities, the Company also considers events such as a proposed sale of the investee company, initial public offerings, equity issuances or other observable transactions.

Private equity securities are generally classified as Level 3 of the fair value hierarchy.

In addition, the Company holds investments in certain alternative investment funds that calculate NAV per share, including hedge funds, private equity funds and real estate funds. Investments in funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV per share of the Company’s ownership interest in the funds where it is not probable that the Company will see investment at a

price other than the NAV. Consistent with the provisions of ASU No. 2015-07 these investments have not been categorized with the fair value hierarchy and included in the tables below. See Note 13 to the Consolidated Financial Statements for additional information.

Short-term borrowings and long-term debt

Where fair value accounting has been elected, the fair value of non-structured liabilities is determined by utilizing internal models using the appropriate discount rate for the applicable maturity. Such instruments are generally classified as Level 2 of the fair value hierarchy when all significant inputs are readily observable.

The Company determines the fair value of hybrid financial instruments, including structured liabilities, using the appropriate derivative valuation methodology (described above in “Trading account assets and liabilities—derivatives”) given the nature of the embedded risk profile. Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model.

Alt-A mortgage securities

The Company classifies its Alt-A mortgage securities as held-to-maturity, available-for-sale or trading investments. The securities classified as trading and available-for-sale are recorded at fair value with changes in fair value reported in current earnings and AOCI, respectively. For these purposes, Citi defines Alt-A mortgage securities as non-agency residential mortgage-backed securities (RMBS) where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) for instances where FICO scores are greater than 720, RMBS have 30% or less of the underlying collateral composed of full documentation loans.

Similar to the valuation methodologies used for other trading securities and trading loans, the Company generally determines the fair values of Alt-A mortgage securities utilizing internal valuation techniques. Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors. Consensus data providers compile prices from various sources. Where available, the Company may also make use of quoted prices for recent trading activity in securities with the same or similar characteristics to the security being valued.

The valuation techniques used for Alt-A mortgage securities, as with other mortgage exposures, are price-based and yield analysis. The primary market-derived input is yield. Cash flows are based on current collateral performance with prepayment rates and loss projections reflective of current economic conditions of housing price change, unemployment rates, interest rates, borrower attributes and other market indicators.

Alt-A mortgage securities that are valued using these methods are generally classified as Level 2. However, Alt-A mortgage securities backed by Alt-A mortgages of lower quality or subordinated tranches in the capital structure are mostly classified as Level 3 due to the reduced liquidity that exists for such positions, which reduces the reliability of prices available from independent sources.

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Items Measured at Fair Value on a Recurring Basis

The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at September 30, 2015 and December 31, 2014 . The Company’s hedging of positions that have been classified in the Level 3 category is not limited to other financial instruments (hedging

instruments) that have been classified as Level 3, but also instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables.

Fair Value Levels



In millions of dollars at September 30, 2015	Level 1 ⁽¹⁾		Level 2 ⁽¹⁾		Level 3		Gross inventory		Netting ⁽²⁾			Net balance
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	173,674	$	1,415	$	175,089	$	(31,615	)	$	143,474
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	26,101	$	652	$	26,753	$	—		$	26,753
Residential	—		1,374		2,025		3,399		—			3,399
Commercial	—		2,565		222		2,787		—			2,787
Total trading mortgage-backed securities	$	—	$	30,040	$	2,899	$	32,939	$	—		$	32,939
U.S. Treasury and federal agency securities	$	25,096	$	2,664	$	3	$	27,763	$	—		$	27,763
State and municipal	—		3,547		277		3,824		—			3,824
Foreign government	38,226		19,365		85		57,676		—			57,676
Corporate	47		17,574		391		18,012		—			18,012
Equity securities	41,705		3,192		3,284		48,181		—			48,181
Asset-backed securities	—		1,640		3,377		5,017		—			5,017
Other trading assets	1		10,374		2,288		12,663		—			12,663
Total trading non-derivative assets	$	105,075	$	88,396	$	12,604	$	206,075	$	—		$	206,075
Trading derivatives
Interest rate contracts	$	8	$	478,443	$	2,859	$	481,310
Foreign exchange contracts	2		147,457		1,127		148,586
Equity contracts	3,266		22,086		1,856		27,208
Commodity contracts	257		16,479		869		17,605
Credit derivatives	—		34,454		3,071		37,525
Total trading derivatives	$	3,533	$	698,919	$	9,782	$	712,234
Cash collateral paid ⁽³⁾							$	8,515
Netting agreements									$	(609,402	)
Netting of cash collateral received									(50,476		)
Total trading derivatives	$	3,533	$	698,919	$	9,782	$	720,749	$	(659,878	)	$	60,871
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	36,080	$	114	$	36,194	$	—		$	36,194
Residential	—		7,227		—		7,227		—			7,227
Commercial	—		526		2		528		—			528
Total investment mortgage-backed securities	$	—	$	43,833	$	116	$	43,949	$	—		$	43,949
U.S. Treasury and federal agency securities	$	111,139	$	11,223	$	10	$	122,372	$	—		$	122,372
State and municipal	$	—	$	9,231	$	2,165	$	11,396	$	—		$	11,396
Foreign government	45,463		49,899		243		95,605		—			95,605
Corporate	3,119		12,264		641		16,024		—			16,024
Equity securities	317		67		445		829		—			829
Asset-backed securities	—		9,312		558		9,870		—			9,870
Other debt securities	—		661		10		671		—			671
Non-marketable equity securities ⁽⁴⁾	—		53		1,242		1,295		—			1,295
Total investments	$	160,038	$	136,543	$	5,430	$	302,011	$	—		$	302,011

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In millions of dollars at September 30, 2015	Level 1 ⁽¹⁾			Level 2 ⁽¹⁾			Level 3			Gross inventory		Netting ⁽²⁾			Net balance
Loans ⁽⁵⁾	$	—		$	2,858		$	2,655		$	5,513	$	—		$	5,513
Mortgage servicing rights	—			—			1,766			1,766		—			1,766
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	160		$	9,486		$	192		$	9,838
Cash collateral paid ⁽⁶⁾										—
Netting of cash collateral received												$	(1,737	)
Non-trading derivatives and other financial assets measured on a recurring basis ⁽⁷⁾	$	160		$	9,486		$	192		$	9,838	$	(1,737	)	$	8,101
Total assets	$	268,806		$	1,109,876		$	33,844		$	1,421,041	$	(693,230	)	$	727,811
Total as a percentage of gross assets ⁽⁸⁾	19.0		%	78.6		%	2.4		%
Liabilities
Interest-bearing deposits	$	—		$	1,262		$	458		$	1,720	$	—		$	1,720
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			69,799			1,259			71,058		(31,615		)	39,443
Trading account liabilities
Securities sold, not yet purchased	51,802			11,697			234			63,733					63,733
Trading derivatives
Interest rate contracts	8			458,048			3,499			461,555
Foreign exchange contracts	3			151,412			460			151,875
Equity contracts	3,424			26,037			2,308			31,769
Commodity contracts	319			19,260			2,716			22,295
Credit derivatives	—			33,858			2,982			36,840
Total trading derivatives	$	3,754		$	688,615		$	11,965		$	704,334
Cash collateral received ⁽⁹⁾										$	9,751
Netting agreements												$	(609,402	)
Netting of cash collateral paid												(42,435		)
Total trading derivatives	$	3,754		$	688,615		$	11,965		$	714,085	$	(651,837	)	$	62,248
Short-term borrowings	$	—		$	675		$	102		$	777	$	—		$	777
Long-term debt	—			18,043			8,195			26,238		—			26,238
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	1,925		$	5		$	1,930
Cash collateral received ⁽¹⁰⁾										30
Netting of cash collateral paid												(78		)
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	—		$	1,925		$	5		$	1,960	$	(78	)	$	1,882
Total liabilities	$	55,556		$	792,016		$	22,218		$	879,571	$	(683,530	)	$	196,041
Total as a percentage of gross liabilities ⁽⁸⁾	6.4		%	91.1		%	2.6		%

(1)

For the three and nine months ended September 30, 2015 , the Company transferred assets of approximately $0.2 billion and $1.4 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities not traded in active markets. During the three and nine months ended September 30, 2015 , the Company transferred assets of approximately $1.0 billion and $4.1 billion from Level 2 to Level 1, respectively, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. During the three and nine months ended September 30, 2015 , the Company transferred liabilities of approximately $0.3 billion and $0.6 billion from Level 2 to Level 1. During the three and nine months ended September 30, 2015 , there were no material transfers and transfers of approximately $0.1 billion of liabilities from Level 1 to Level 2.


(2)	Represents netting of: (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.


(3)	Reflects the net amount of $50,950 million of gross cash collateral paid, of which $42,435 million was used to offset trading derivative liabilities.


(4)	Amounts exclude $1.0 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). See Note 1 to the Consolidated Financial Statements.


(5)	There is no allowance for loan losses recorded for loans reported at fair value.


(6)	Reflects $78 million of gross cash collateral paid, all of which was used to offset non-trading derivative liabilities.


(7)	Includes assets transferred as a result of the announced sale of OneMain Financial. For additional information see Note 2 to the Consolidated Financial Statements.


(8)	Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.


(9)	Reflects the net amount of $60,227 million of gross cash collateral received, of which $50,476 million was used to offset trading derivative assets.


(10)	Reflects the net amount of $1,767 million of gross cash collateral received, of which $1,737 million was used to offset non-trading derivative assets.

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Fair Value Levels



In millions of dollars at December 31, 2014	Level 1 ⁽¹⁾		Level 2 ⁽¹⁾		Level 3		Gross inventory		Netting ⁽²⁾			Net balance
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	187,922	$	3,398	$	191,320	$	(47,129	)	$	144,191
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		25,968		1,085		27,053		—			27,053
Residential	—		2,158		2,680		4,838		—			4,838
Commercial	—		3,903		440		4,343		—			4,343
Total trading mortgage-backed securities	$	—	$	32,029	$	4,205	$	36,234	$	—		$	36,234
U.S. Treasury and federal agency securities	$	15,991	$	4,483	$	—	$	20,474	$	—		$	20,474
State and municipal	—		3,161		241		3,402		—			3,402
Foreign government	37,995		26,736		206		64,937		—			64,937
Corporate	1,337		25,640		820		27,797		—			27,797
Equity securities	51,346		4,281		2,219		57,846		—			57,846
Asset-backed securities	—		1,252		3,294		4,546		—			4,546
Other trading assets	—		9,221		4,372		13,593		—			13,593
Total trading non-derivative assets	$	106,669	$	106,803	$	15,357	$	228,829	$	—		$	228,829
Trading derivatives
Interest rate contracts	$	74	$	634,318	$	4,061	$	638,453
Foreign exchange contracts	—		154,744		1,250		155,994
Equity contracts	2,748		19,969		2,035		24,752
Commodity contracts	647		21,850		1,023		23,520
Credit derivatives	—		40,618		2,900		43,518
Total trading derivatives	$	3,469	$	871,499	$	11,269	$	886,237
Cash collateral paid ⁽³⁾							$	6,523
Netting agreements									$	(777,178	)
Netting of cash collateral received ⁽⁴⁾									(47,625		)
Total trading derivatives	$	3,469	$	871,499	$	11,269	$	892,760	$	(824,803	)	$	67,957
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	36,053	$	38	$	36,091	$	—		$	36,091
Residential	—		8,355		8		8,363		—			8,363
Commercial	—		553		1		554		—			554
Total investment mortgage-backed securities	$	—	$	44,961	$	47	$	45,008	$	—		$	45,008
U.S. Treasury and federal agency securities	$	110,710	$	12,974	$	6	$	123,690	$	—		$	123,690
State and municipal	$	—	$	10,519	$	2,180	$	12,699	$	—		$	12,699
Foreign government	37,280		52,739		678		90,697		—			90,697
Corporate	1,739		9,746		672		12,157		—			12,157
Equity securities	1,770		274		681		2,725		—			2,725
Asset-backed securities	—		11,957		549		12,506		—			12,506
Other debt securities	—		661		—		661		—			661
Non-marketable equity securities ⁽⁵⁾	—		233		1,460		1,693		—			1,693
Total investments	$	151,499	$	144,064	$	6,273	$	301,836	$	—		$	301,836

196



In millions of dollars at December 31, 2014	Level 1 ⁽¹⁾			Level 2 ⁽¹⁾			Level 3			Gross inventory		Netting ⁽²⁾			Net balance
Loans ⁽⁶⁾	$	—		$	2,793		$	3,108		$	5,901	$	—		$	5,901
Mortgage servicing rights	—			—			1,845			1,845		—			1,845
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	9,352		$	78		$	9,430
Cash collateral paid ⁽⁷⁾										123
Netting of cash collateral received ⁽⁸⁾												$	(1,791	)
Non-trading derivatives and other financial assets measured on a recurring basis	$	—		$	9,352		$	78		$	9,553	$	(1,791	)	$	7,762
Total assets	$	261,637		$	1,322,433		$	41,328		$	1,632,044	$	(873,723	)	$	758,321
Total as a percentage of gross assets ⁽⁷⁾	16.1		%	81.4		%	2.5		%
Liabilities
Interest-bearing deposits	$	—		$	1,198		$	486		$	1,684	$	—		$	1,684
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			82,811			1,043			83,854		(47,129		)	36,725
Trading account liabilities
Securities sold, not yet purchased	59,463			11,057			424			70,944		—			70,944
Trading account derivatives
Interest rate contracts	77			617,933			4,272			622,282
Foreign exchange contracts	—			158,354			472			158,826
Equity contracts	2,955			26,616			2,898			32,469
Commodity contracts	669			22,872			2,645			26,186
Credit derivatives	—			39,787			3,643			43,430
Total trading derivatives	$	3,701		$	865,562		$	13,930		$	883,193
Cash collateral received ⁽⁸⁾										$	9,846
Netting agreements												$	(777,178	)
Netting of cash collateral paid ⁽³⁾												(47,769		)
Total trading derivatives	$	3,701		$	865,562		$	13,930		$	893,039	$	(824,947	)	$	68,092
Short-term borrowings	$	—		$	1,152		$	344		$	1,496	$	—		$	1,496
Long-term debt	—			18,890			7,290			26,180		—			26,180
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	1,777		$	7		$	1,784
Cash collateral received ⁽⁹⁾										$	7
Netting of cash collateral paid ⁽⁷⁾												(15		)
Non-trading derivatives and other financial liabilities measured on a recurring basis	—			1,777			7			1,791		(15		)	1,776
Total liabilities	$	63,164		$	982,447		$	23,524		$	1,078,988	$	(872,091	)	$	206,897
Total as a percentage of gross liabilities ⁽⁴⁾	5.9		%	91.9		%	2.2		%

(1)

For the year ended December 31, 2014 , the Company transferred assets of approximately $4.1 billion from Level 1 to Level 2, primarily related to foreign government securities not traded with sufficient frequency to constitute an active market and Citi refining its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. During the year ended December 31, 2014 , the Company transferred assets of approximately $4.2 billion from Level 2 to Level 1, primarily related to foreign government bonds traded with sufficient frequency to constitute a liquid market. During the year ended December 31, 2014 , the Company transferred liabilities of approximately $1.4 billion from Level 1 to Level 2, as Citi refined its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. During the year ended December 31, 2014 , there were no material liability transfers from Level 2 to Level 1.


(2)	Represents netting of: (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.


(3)	Reflects the net amount of $54,292 million of gross cash collateral paid, of which $47,769 million was used to offset trading derivative liabilities.


(4)	Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.


(5)	Amounts exclude $1.1 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). See Note 1 to the Consolidated Financial Statements.


(6)	There is no allowance for loan losses recorded for loans reported at fair value.


(7)	Reflects the net amount of $138 million of gross cash collateral paid, of which $15 million was used to offset non-trading derivative liabilities.


(8)	Reflects the net amount of $57,471 million of gross cash collateral received, of which $47,625 million was used to offset trading derivative assets.


(9)	Reflects the net amount of $1,798 million of gross cash collateral received, of which $1,791 million was used to offset non-trading derivative assets.

197

Changes in Level 3 Fair Value Category

The following tables present the changes in the Level 3 fair value category for the three and nine months ended September 30, 2015 and 2014 . As discussed above, the Company classifies financial instruments as Level 3 of the fair value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.

The Company often hedges positions with offsetting positions that are classified in a different level. For example, the gains and losses for assets and liabilities in the Level 3 category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that have been classified by the Company in the Level 1 and Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables.

Level 3 Fair Value Rollforward



				Net realized/unrealized gains (losses) incl. in					Transfers																				Unrealized gains (losses) still held ⁽³⁾
In millions of dollars	Jun. 30, 2015			Principal transactions			Other ⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases			Issuances		Sales			Settlements			Sept. 30, 2015
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	1,070		$	66		$	—	$	279		$	—		$	—		$	—	$	—		$	—		$	1,415		$	1
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	611		$	1		$	—	$	208		$	(212	)	$	166		$	—	$	(131	)	$	9		$	652		$	2
Residential	2,206			37			—		57			(119		)	294			—		(450		)	—			2,025			1
Commercial	368			3			—		20			(60		)	30			—		(139		)	—			222			1
Total trading mortgage-backed securities	$	3,185		$	41		$	—	$	285		$	(391	)	$	490		$	—	$	(720	)	$	9		$	2,899		$	4
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	1		$	—		$	2		$	—	$	—		$	—		$	3		$	—
State and municipal	249			9			—		8			(22		)	39			—		(6		)	—			277			—
Foreign government	82			(1		)	—		25			—			19			—		(40		)	—			85			(1		)
Corporate	708			(19		)	—		53			(177		)	94			—		(268		)	—			391			(6		)
Equity securities	2,741			75			—		148			(52		)	438			—		(66		)	—			3,284			16
Asset-backed securities	4,236			66			—		53			(109		)	827			—		(1,696		)	—			3,377			11
Other trading assets	3,098			(45		)	—		124			(816		)	457			9		(520		)	(19		)	2,288			27
Total trading non-derivative assets	$	14,299		$	126		$	—	$	697		$	(1,567	)	$	2,366		$	9	$	(3,316	)	$	(10	)	$	12,604		$	51
Trading derivatives, net ⁽⁴⁾
Interest rate contracts	(423		)	(205		)	—		(1		)	2			(5		)	—		—			(8		)	(640		)	(61		)
Foreign exchange contracts	391			206			—		(4		)	106			102			—		(92		)	(42		)	667			83
Equity contracts	(355		)	272			—		(31		)	(108		)	172			—		(184		)	(218		)	(452		)	187
Commodity contracts	(1,727		)	(166		)	—		31			(21		)	—			—		—			36			(1,847		)	(196		)
Credit derivatives	(574		)	457			—		52			64			—			—		—			90			89			196
Total trading derivatives, net ⁽⁴⁾	$	(2,688	)	$	564		$	—	$	47		$	43		$	269		$	—	$	(276	)	$	(142	)	$	(2,183	)	$	209

198



			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held ⁽³⁾
In millions of dollars	Jun. 30, 2015		Principal transactions			Other ⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases			Issuances		Sales			Settlements			Sept. 30, 2015
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	96	$	—		$	(4	)	$	29	$	(68	)	$	62		$	—	$	(1	)	$	—		$	114	$	(4	)
Residential	10		—			—			—		—			—			—		(10		)	—			—		—
Commercial	—		—			—			2		—			—			—		—			—			2		—
Total investment mortgage-backed securities	$	106	$	—		$	(4	)	$	31	$	(68	)	$	62		$	—	$	(11	)	$	—		$	116	$	(4	)
U.S. Treasury and federal agency securities	$	5	$	—		$	—		$	—	$	—		$	6		$	—	$	(1	)	$	—		$	10	$	—
State and municipal	2,153		—			11			305		(268		)	253			—		(189		)	(100		)	2,165		(4		)
Foreign government	493		—			(7		)	3		(156		)	74			—		(164		)	—			243		—
Corporate	698		—			(38		)	4		—			53			—		(75		)	(1		)	641		(35		)
Equity securities	483		—			31			5		—			7			—		(81		)	—			445		10
Asset-backed securities	503		—			(8		)	45		—			18			—		—			—			558		(5		)
Other debt securities	—		—			—			—		—			10			—		—			—			10		—
Non-marketable equity securities	1,238		—			14			1		—			1			—		—			(12		)	1,242		18
Total investments	$	5,679	$	—		$	(1	)	$	394	$	(492	)	$	484		$	—	$	(521	)	$	(113	)	$	5,430	$	(20	)
Loans	$	3,840	$	—		$	(125	)	$	—	$	(720	)	$	162		$	69	$	(121	)	$	(450	)	$	2,655	$	(7	)
Mortgage servicing rights	1,924		—			(131		)	—		—			—			55		4			(86		)	1,766		(129		)
Other financial assets measured on a recurring basis	139		—			78			7		(11		)	1			67		(7		)	(82		)	192		(12		)
Liabilities
Interest-bearing deposits	$	347	$	—		$	(108	)	$	—	$	—		$	—		$	12	$	—		$	(9	)	$	458	$	(204	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	965		(1		)	—			—		—			—			—		292			1			1,259		(1		)
Trading account liabilities
Securities sold, not yet purchased	257		63			—			66		(9		)	—			—		103			(120		)	234		(9		)
Short-term borrowings	133		(9		)	—			4		(3		)	—			10		—			(51		)	102		(12		)
Long-term debt	7,665		194			—			995		(736		)	—			679		—			(214		)	8,195		(180		)
Other financial liabilities measured on a recurring basis	4		—			(1		)	2		—			(1		)	1		2			(4		)	5		1

199



				Net realized/unrealized gains (losses) incl. in					Transfers																			Unrealized gains (losses) still held ⁽³⁾
In millions of dollars	Dec. 31, 2014			Principal transactions			Other ⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2015
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,398		$	(69	)	$	—	$	279		$	(2,856	)	$	784	$	—	$	—		$	(121	)	$	1,415		$	1
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	1,085			30			—		690			(1,062		)	505		—		(619		)	23			652			1
Residential	2,680			243			—		235			(401		)	1,423		—		(2,155		)	—			2,025			(97		)
Commercial	440			16			—		176			(138		)	442		—		(714		)	—			222			(9		)
Total trading mortgage-backed securities	$	4,205		$	289		$	—	$	1,101		$	(1,601	)	$	2,370	$	—	$	(3,488	)	$	23		$	2,899		$	(105	)
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	1		$	—		$	2	$	—	$	—		$	—		$	3		$	—
State and municipal	241			(1		)	—		35			(29		)	48		—		(17		)	—			277			2
Foreign government	206			(4		)	—		52			(100		)	124		—		(139		)	(54		)	85			2
Corporate	820			185			—		107			(262		)	605		—		(1,053		)	(11		)	391			24
Equity securities	2,219			29			—		310			(240		)	1,180		—		(214		)	—			3,284			93
Asset-backed securities	3,294			299			—		623			(224		)	3,586		—		(4,201		)	—			3,377			74
Other trading assets	4,372			15			—		441			(2,744		)	2,089		41		(1,887		)	(39		)	2,288			34
Total trading non-derivative assets	$	15,357		$	812		$	—	$	2,670		$	(5,200	)	$	10,004	$	41	$	(10,999	)	$	(81	)	$	12,604		$	124
Trading derivatives, net ⁽⁴⁾
Interest rate contracts	$	(211	)	$	(633	)	$	—	$	(137	)	$	(37	)	$	13	$	—	$	166		$	199		$	(640	)	$	117
Foreign exchange contracts	778			(218		)	—		(5		)	25			276		—		(270		)	81			667			95
Equity contracts	(863		)	594			—		(54		)	8			322		—		(324		)	(135		)	(452		)	47
Commodity contracts	(1,622		)	(556		)	—		214			(11		)	—		—		—			128			(1,847		)	(361		)
Credit derivatives	(743		)	335			—		83			72			—		—		(3		)	345			89			219
Total trading derivatives, net ⁽⁴⁾	$	(2,661	)	$	(478	)	$	—	$	101		$	57		$	611	$	—	$	(431	)	$	618		$	(2,183	)	$	117

200



			Net realized/unrealized gains (losses) incl. in						Transfers																			Unrealized gains (losses) still held ⁽³⁾
In millions of dollars	Dec. 31, 2014		Principal transactions			Other ⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases			Issuances		Sales			Settlements			Sept. 30, 2015
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	38	$	—		$	(4	)	$	133		$	(113	)	$	62		$	—	$	(2	)	$	—		$	114	$	(4	)
Residential	8		—			(1		)	—			—			11			—		(18		)	—			—		—
Commercial	1		—			—			4			(3		)	—			—		—			—			2		—
Total investment mortgage-backed securities	$	47	$	—		$	(5	)	$	137		$	(116	)	$	73		$	—	$	(20	)	$	—		$	116	$	(4	)
U.S. Treasury and federal agency securities	$	6	$	—		$	—		$	—		$	—		$	6		$	—	$	(2	)	$	—		$	10	$	—
State and municipal	2,180		—			4			464			(506		)	652			—		(529		)	(100		)	2,165		(35		)
Foreign government	678		—			41			(5		)	(261		)	558			—		(498		)	(270		)	243		—
Corporate	672		—			8			6			(44		)	122			—		(88		)	(35		)	641		(38		)
Equity securities	681		—			(55		)	12			(10		)	7			—		(190		)	—			445		10
Asset-backed securities	549		—			(28		)	45			(58		)	51			—		(1		)	—			558		(6		)
Other debt securities	—		—			—			—			—			10			—		—			—			10		—
Non-marketable equity securities	1,460		—			4			76			6			5			—		(53		)	(256		)	1,242		74
Total investments	$	6,273	$	—		$	(31	)	$	735		$	(989	)	$	1,484		$	—	$	(1,381	)	$	(661	)	$	5,430	$	1
Loans	$	3,108	$	—		$	(199	)	$	689		$	(805	)	$	736		$	432	$	(496	)	$	(810	)	$	2,655	$	16
Mortgage servicing rights	1,845		—			62			—			—			—			165		(37		)	(269		)	1,766		(390		)
Other financial assets measured on a recurring basis	78		—			94			87			(18		)	4			165		(21		)	(197		)	192		453
Liabilities
Interest-bearing deposits	$	486	$	—		$	(7	)	$	—		$	—		$	—		$	12	$	—		$	(47	)	$	458	$	(250	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,043		(24		)	—			—			—			—			—		285			(93		)	1,259		—
Trading account liabilities
Securities sold, not yet purchased	424		41			—			263			(196		)	—			—		260			(476		)	234		(22		)
Short-term borrowings	344		1			—			21			(18		)	—			59		—			(303		)	102		(15		)
Long-term debt	7,290		562			—			2,081			(2,774		)	—			3,080		—			(920		)	8,195		(230		)
Other financial liabilities measured on a recurring basis	7		—			(8		)	2			(4		)	(3		)	3		2			(10		)	5		—


(1)	Changes in fair value for available-for-sale investments are recorded in Accumulated other comprehensive income (loss) , unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.


(2)	Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.


(3)	Represents the amount of total gains or losses for the period, included in earnings (and Accumulated other comprehensive income (loss) for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at September 30, 2015 .


(4)	Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.

201



				Net realized/unrealized gains (losses) incl. in					Transfers																			Unrealized gains (losses) still held ⁽³⁾
In millions of dollars	Jun. 30, 2014			Principal transactions			Other ⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2014
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,363		$	116		$	—	$	—		$	—		$	—	$	—	$	—		$	—		$	3,479		$	130
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	697		$	22		$	—	$	217		$	(145	)	$	97	$	6	$	(89	)	$	(16	)	$	789		$	18
Residential	2,610			63			—		86			(77		)	197		—		(389		)	—			2,490			(4		)
Commercial	409			7			—		84			(58		)	288		—		(176		)	—			554			(4		)
Total trading mortgage-backed securities	$	3,716		$	92		$	—	$	387		$	(280	)	$	582	$	6	$	(654	)	$	(16	)	$	3,833		$	10
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	—		$	—		$	7	$	—	$	—		$	—		$	7		$	—
State and municipal	242			7			—		4			(1		)	15		—		(16		)	—			251			6
Foreign government	465			(40		)	—		31			(64		)	212		—		(241		)	22			385			(13		)
Corporate	1,262			83			—		141			(104		)	471		—		(685		)	46			1,214			(42		)
Equity securities	1,863			(2		)	—		123			(35		)	119		—		(113		)	—			1,955			34
Asset-backed securities	3,376			394			—		37			(56		)	1,219		—		(1,619		)	—			3,351			33
Other trading assets	4,016			56			—		809			(607		)	1,693		—		(917		)	(311		)	4,739			(34		)
Total trading non-derivative assets	$	14,940		$	590		$	—	$	1,532		$	(1,147	)	$	4,318	$	6	$	(4,245	)	$	(259	)	$	15,735		$	(6	)
Trading derivatives, net ⁽⁴⁾
Interest rate contracts	17			76			—		(194		)	7			52		—		(52		)	32			(62		)	94
Foreign exchange contracts	847			8			—		7			(73		)	3		—		(1		)	(14		)	777			43
Equity contracts	(893		)	8			—		(171		)	143			124		—		(55		)	(215		)	(1,059		)	(235		)
Commodity contracts	(1,229		)	(388		)	—		—			(27		)	—		—		—			97			(1,547		)	(228		)
Credit derivatives	(199		)	(222		)	—		(16		)	(89		)	—		—		—			(7		)	(533		)	(264		)
Total trading derivatives, net ⁽⁴⁾	$	(1,457	)	$	(518	)	$	—	$	(374	)	$	(39	)	$	179	$	—	$	(108	)	$	(107	)	$	(2,424	)	$	(590	)

202



			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held ⁽³⁾
In millions of dollars	Jun. 30, 2014		Principal transactions			Other ⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sep. 30, 2014
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	163	$	—		$	2		$	18		$	(83	)	$	—	$	—	$	(7	)	$	(1	)	$	92	$	—
Residential	17		—			—			1			—			—		—		(5		)	—			13		—
Commercial	7		—			—			—			(4		)	7		—		—			—			10		2
Total investment mortgage-backed securities	$	187	$	—		$	2		$	19		$	(87	)	$	7	$	—	$	(12	)	$	(1	)	$	115	$	2
U.S. Treasury and federal agency securities	$	7	$	—		$	—		$	—		$	—		$	—	$	—	$	(1	)	$	—		$	6	$	—
State and municipal	2,102		—			37			67			(69		)	540		—		(393		)	—			2,284		6
Foreign government	615		—			(8		)	—			(63		)	294		—		(198		)	(20		)	620		(9		)
Corporate	512		—			(18		)	4			(136		)	23		—		(147		)	124			362		(4		)
Equity securities	826		—			18			6			(7		)	2		—		(84		)	—			761		(23		)
Asset-backed securities	1,739		—			4			—			(2		)	—		—		—			(1,157		)	584		(39		)
Other debt securities	48		—			—			—			—			66		—		(49		)	—			65		—
Non-marketable equity securities	2,495		—			(1		)	—			—			53		—		(32		)	(430		)	2,085		42
Total investments	$	8,531	$	—		$	34		$	96		$	(364	)	$	985	$	—	$	(916	)	$	(1,484	)	$	6,882	$	(25	)
Loans	$	3,310	$	—		$	(31	)	$	8		$	—		$	287	$	19	$	(513	)	$	(132	)	$	2,948	$	2
Mortgage servicing rights	2,282		—			(18		)	—			—			—		53		(125		)	(99		)	2,093		(18		)
Other financial assets measured on a recurring basis	201		—			14			(83		)	—			—		35		(1		)	(58		)	108		(2		)
Liabilities
Interest-bearing deposits	$	909	$	—		$	184		$	—		$	(12	)	$	—	$	117	$	—		$	(25	)	$	805	$	20
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,032		13			—			—			—			—		—		117			(102		)	1,034		5
Trading account liabilities
Securities sold, not yet purchased	472		(1		)	—			19			(40		)	—		—		149			(233		)	368		(11		)
Short-term borrowings	129		—			—			1			—			—		23		—			(52		)	101		(8		)
Long-term debt	7,847		520			—			476			(760		)	—		1,419		—			(904		)	7,558		215
Other financial liabilities measured on a recurring basis	6		—			(2		)	—			—			—		—		—			(1		)	7		(1		)

203



				Net realized/unrealized gains (losses) incl. in						Transfers																			Unrealized gains (losses) still held ⁽³⁾
In millions of dollars	Dec. 31, 2013			Principal transactions			Other ⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Sept. 30, 2014
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,566		$	37		$	—		$	67		$	(8	)	$	75	$	—	$	—		$	(258	)	$	3,479		$	153
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	1,094			120			—			594			(743		)	358		13		(606		)	(41		)	789			27
Residential	2,854			380			—			239			(359		)	1,877		—		(2,501		)	—			2,490			108
Commercial	256			18			—			160			(120		)	524		—		(284		)	—			554			1
Total trading mortgage-backed securities	$	4,204		$	518		$	—		$	993		$	(1,222	)	$	2,759	$	13	$	(3,391	)	$	(41	)	$	3,833		$	136
U.S. Treasury and federal agency securities	$	—		$	3		$	—		$	—		$	—		$	7	$	—	$	(3	)	$	—		$	7		$	—
State and municipal	222			11			—			149			(105		)	33		—		(59		)	—			251			(17		)
Foreign government	416			(56		)	—			117			(166		)	571		—		(519		)	22			385			18
Corporate	1,835			1			—			394			(444		)	1,742		—		(2,353		)	39			1,214			19
Equity securities	1,057			(215		)	—			159			(95		)	1,305		—		(256		)	—			1,955			22
Asset-backed securities	4,342			1,002			—			120			(284		)	2,921		—		(4,750		)	—			3,351			246
Other trading assets	3,184			137			—			1,840			(1,786		)	4,568		—		(2,827		)	(377		)	4,739			(14		)
Total trading non-derivative assets	$	15,260		$	1,401		$	—		$	3,772		$	(4,102	)	$	13,906	$	13	$	(14,158	)	$	(357	)	$	15,735		$	410
Trading derivatives, net ⁽⁴⁾
Interest rate contracts	$	839		$	(508	)	$	—		$	(42	)	$	(117	)	$	94	$	—	$	(150	)	$	(178	)	$	(62	)	$	(11	)
Foreign exchange contracts	695			105			—			28			(43		)	4		—		(2		)	(10		)	777			67
Equity contracts	(858		)	250			—			(762		)	473			386		—		(192		)	(356		)	(1,059		)	(402		)
Commodity contracts	(1,393		)	(140		)	—			25			(35		)	—		—		—			(4		)	(1,547		)	(9		)
Credit derivatives	(274		)	(449		)	—			(100		)	(134		)	103		—		(3		)	324			(533		)	(196		)
Total trading derivatives, net ⁽⁴⁾	$	(991	)	$	(742	)	$	—		$	(851	)	$	144		$	587	$	—	$	(347	)	$	(224	)	$	(2,424	)	$	(551	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	187		$	—		$	47		$	53		$	(137	)	$	17	$	—	$	(73	)	$	(2	)	$	92		$	(3	)
Residential	102			—			33			31			(1		)	17		—		(169		)	—			13			—
Commercial	—			—			—			4			(4		)	10		—		—			—			10			2
Total investment mortgage-backed securities	$	289		$	—		$	80		$	88		$	(142	)	$	44	$	—	$	(242	)	$	(2	)	$	115		$	(1	)
U.S. Treasury and federal agency securities	$	8		$	—		$	—		$	—		$	—		$	—	$	—	$	(2	)	$	—		$	6		$	—
State and municipal	1,643			—			102			784			(534		)	1,038		—		(749		)	—			2,284			72
Foreign government	344			—			(13		)	182			(105		)	623		—		(305		)	(106		)	620			(2		)
Corporate	285			—			(5		)	22			(137		)	289		—		(196		)	104			362			(8		)
Equity securities	815			—			30			18			(19		)	8		—		(91		)	—			761			(1		)
Asset-backed securities	1,960			—			15			—			(44		)	55		—		(97		)	(1,305		)	584			—
Other debt securities	50			—			(1		)	—			—			116		—		(50		)	(50		)	65			—
Non-marketable equity securities	2,508			—			127			67			—			416		—		(291		)	(742		)	2,085			120
Total investments	$	7,902		$	—		$	335		$	1,161		$	(981	)	$	2,589	$	—	$	(2,023	)	$	(2,101	)	$	6,882		$	180

204



			Net realized/unrealized gains (losses) incl. in						Transfers																			Unrealized gains (losses) still held ⁽³⁾
In millions of dollars	Dec. 31, 2013		Principal transactions			Other ⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases			Issuances		Sales			Settlements			Sept. 30, 2014
Loans	$	4,143	$	—		$	(183	)	$	92		$	6		$	553		$	84	$	(630	)	$	(1,117	)	$	2,948	$	17
Mortgage servicing rights	2,718		—			(233		)	—			—			—			165		(260		)	(297		)	2,093		(216		)
Other financial assets measured on a recurring basis	181		—			39			(83		)	—			1			122		(10		)	(142		)	108		(20		)
Liabilities
Interest-bearing deposits	$	890	$	—		$	94		$	—		$	(12	)	$	—		$	117	$	—		$	(96	)	$	805	$	(31	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	902		4			—			54			—			78			—		106			(102		)	1,034		(18		)
Trading account liabilities
Securities sold, not yet purchased	590		14			—			68			(91		)	—			—		443			(628		)	368		(19		)
Short-term borrowings	29		(31		)	—			81			—			8			24		—			(72		)	101		(15		)
Long-term debt	7,621		139			49			2,089			(2,998		)	—			3,365		—			(2,331		)	7,558		(205		)
Other financial liabilities measured on a recurring basis	10		—			(3		)	4			—			(1		)	1		(3		)	(7		)	7		(1		)


(1)	Changes in fair value of available-for-sale investments are recorded in Accumulated other comprehensive income (loss) , unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.


(2)	Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.


(3)	Represents the amount of total gains or losses for the period, included in earnings (and Accumulated other comprehensive income (loss) for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at September 30, 2014 .


(4)	Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.

Level 3 Fair Value Rollforward

For the period June 30, 2015 to September 30, 2015, there were no significant Level 3 transfers.

The following were the significant Level 3 transfers for the period December 31, 2014 to September 30, 2015:

•

Transfers of Federal Funds sold and securities borrowed or purchased under agreements to resell of $2.9 billion from Level 3 to Level 2 related to shortening of the remaining tenor of certain reverse repos. There is more transparency and observability for repo curves used in the valuation of structured reverse repos with tenors up to five years; thus, these positions are generally classified as Level 2.


•	Transfers of U.S. government-sponsored agency guaranteed MBS in Trading account assets of $1 billion from Level 3 to Level 2 primarily related to increased observability due to an increase in market trading activity.


•	Transfers of other trading assets of $2.7 billion from Level 3 to Level 2 primarily related to trading loans for which there was increased volume of and transparency into market quotations.


•	Transfers of Long-term debt of $2.1 billion from Level 2 to Level 3, and of $2.8 billion from Level 3 to Level 2, mainly related to structured debt, reflecting certain unobservable inputs becoming less significant and certain underlying market inputs being more observable.

For the period June 30, 2014 to September 30, 2014, there were no significant Level 3 transfers.

The following were the significant Level 3 transfers for the period December 31, 2013 to September 30, 2014:


•	Transfers of Long-term debt of $2.1 billion from Level 2 to Level 3, and of $3.0 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.


•	Transfers of other trading assets of $1.8 billion from Level 2 to Level 3, and of $1.8 billion from Level 3 to Level 2, related to trading loans, reflecting changes in the volume of market quotations.

205

Valuation Techniques and Inputs for Level 3 Fair Value Measurements

The Company’s Level 3 inventory consists of both cash securities and derivatives of varying complexitity. The valuation methodologies used to measure the fair value of these positions include discounted cash flow analyses, internal models and comparative analysis. A position is classified within Level 3 of the fair value hierarchy when at least one input is unobservable and is considered significant to its valuation. The specific reason an input is deemed unobservable varies. For example, at least one significant input to the pricing model is not observable in the market, at least one significant input has been adjusted to make it more representative of the position being valued, or the price quote available does not reflect sufficient trading activities.

The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements as of September 30, 2015 and December 31, 2014 . Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.

Valuation Techniques and Inputs for Level 3 Fair Value Measurements



As of September 30, 2015	Fair Value ⁽¹⁾ (in millions)		Methodology	Input	Low ⁽²⁾⁽³⁾			High ⁽²⁾⁽³⁾			Weighted Average ⁽⁴⁾
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	1,330	Model-based	Credit - IR correlation	(24.00		)%	(1.00		)%	(9.71		)%
				Interest rate	1.65		%	5.00		%	4.55		%
Mortgage-backed securities	$	1,915	Price-based	Price	$	4.25		$	108.10		$	85.93
	1,048		Yield analysis	Yield	1.26		%	22.62		%	5.57		%
State and municipal, foreign government, corporate and other debt securities	$	3,742	Price-based	Price	$	—		$	128.66		$	77.31
	1,639		Cash flow	Credit spread	20 bps			600 bps			217 bps
Equity securities ⁽⁵⁾	$	3,227	Price-based	Price ⁽⁵⁾	$	—		$	106.42		$	99.82
	433		Cash flow	Yield	5.00		%	7.00		%	5.99		%
				WAL	0.60 years			4.57 years			2.59 years
Asset-backed securities	$	3,481	Price-based	Price	$	5.50		$	100.18		$	70.37
Non-marketable equity	$	693	Comparables analysis	EBITDA multiples	4.80x			11.40x			9.78x
	440		Price-based	PE ratio	9.10x			9.10x			9.10x
				Discount to price	—		%	90.00		%	12.36		%
				Price-to-book ratio	1.0x			1.69x			1.56x
				Price	$	—		$	3,433.00		$	185.93
Derivatives—Gross ⁽⁶⁾
Interest rate contracts (gross)	$	6,247	Model-based	IR lognormal volatility	35.04		%	60.28		%	38.19		%
				Mean reversion	(9.29		)%	20.00		%	1.85		%
				IR-IR correlation	(51.00		)%	90.00		%	74.92		%
Foreign exchange contracts (gross)	$	1,272	Model-based	Foreign exchange (FX) volatility	0.75		%	28.04		%	16.73		%
	276		Cash flow	Interest rate	0.88		%	7.00		%	6.90		%
				Forward price	39.60		%	219.40		%	103.81		%
				IR-IR correlation	(51.00		)%	80.87		%	34.75		%
				Credit spread	10 bps			577 bps			297 bps
				IR-FX correlation	(18.62		)%	60.00		%	49.01		%

206



As of September 30, 2015	Fair Value ⁽¹⁾ (in millions)		Methodology	Input	Low ⁽²⁾⁽³⁾			High ⁽²⁾⁽³⁾			Weighted Average ⁽⁴⁾
Equity contracts (gross) ⁽⁷⁾	$	3,646	Model-based	Equity volatility	10.00		%	78.68		%	25.71		%
	511		Price-based	Equity forward	82.25		%	119.02		%	95.95		%
				Forward price	85.43		%	113.54		%	100.81		%
Commodity contracts (gross)	$	3,579	Model-based	Forward price	42.92		%	265.80		%	114.29		%
				Commodity volatility	3.00		%	53.36		%	20.51		%
				Commodity correlation	(50.17		)%	91.26		%	33.54		%
Credit derivatives (gross)	$	4,999	Model-based	Recovery rate	24.24		%	75.00		%	37.96		%
	1,044		Price-based	Credit correlation	5.00		%	75.00		%	40.55		%
				Price	$	—		$	110.00		$	70.41
				Credit spread	5 bps			1,575 bps			189 bps
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross) ⁽⁶⁾	$	129	Model-based	Yield	1.48		%	9.66		%	5.18		%
	56		Yield Analysis	Recovery rate	25.00		%	40.00		%	39.00		%
				Credit spread	146 bps			1,434 bps			1,152 bps
				Redemption rate	13.00		%	99.50		%	71.61		%
				Interest rate	6.34		%	6.38		%	6.36		%
Loans	$	900	Cash flow	Yield	0.32		%	4.50		%	1.79		%
	817		Model-based	Price	$	—		$	109.99		$	41.00
	617		Price-based	Credit spread	36 bps			584 bps			109 bps
	321		Yield analysis
Mortgage servicing rights	$	1,673	Cash flow	Yield	3.60		%	88.38		%	7.84		%
				WAL	3.33 years			7.83 years			5.37 years
Liabilities
Interest-bearing deposits	$	458	Model-based	Equity-IR correlation	30.50		%	38.00		%	34.25		%
				Forward price	42.92		%	265.80		%	115.46		%
				Commodity correlation	(50.17		)%	91.26		%	33.54		%
				Commodity volatility	3.00		%	53.36		%	20.51		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	1,259	Model-based	Interest rate	0.90		%	1.92		%	1.79		%
Trading account liabilities
Securities sold, not yet purchased	$	190	Price-based	Price	$	0.01		$	120.05		$	60.64
Short-term borrowings and long-term debt	$	8,279	Model-based	Mean reversion	(9.29		)%	(1.03		)%	(2.82		)%
				IR lognormal activity	35.04		%	60.28		%	38.19		%
				Equity volatility	10.00		%	80.00		%	19.04		%
				Equity forward	82.25		%	119.02		%	95.87		%

207



As of December 31, 2014	Fair Value ⁽¹⁾ (in millions)		Methodology	Input	Low ⁽²⁾⁽³⁾			High ⁽²⁾⁽³⁾			Weighted Average ⁽⁴⁾
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,156	Model-based	Interest rate	1.27		%	1.97		%	1.80		%
Mortgage-backed securities	$	2,874	Price-based	Price	$	—		$	127.87		$	81.43
	1,117		Yield analysis	Yield	0.01		%	19.91		%	5.89		%
State and municipal, foreign government, corporate and other debt securities	$	5,937	Price-based	Price	$	—		$	124.00		$	90.62
	1,860		Cash flow	Credit spread	25 bps			600 bps			233 bps
Equity securities ⁽⁵⁾	$	2,163	Price-based	Price ⁽⁵⁾	$	—		$	141.00		$	91.00
	679		Cash flow	Yield	4.00		%	5.00		%	4.50		%
				WAL	0.01 years			3.14 years			1.07 years
Asset-backed securities	$	3,607	Price-based	Price	$	—		$	105.50		$	67.01
Non-marketable equity	$	1,224	Price-based	Discount to price	—		%	90.00		%	4.04		%
	1,055		Comparables analysis	EBITDA multiples	2.90		x	13.10		x	9.77		x
				PE ratio	8.10		x	13.10		x	8.43		x
				Price-to-book ratio	0.99		x	1.56		x	1.15		x
Derivatives—Gross ⁽⁶⁾
Interest rate contracts (gross)	$	8,309	Model-based	Interest rate (IR) lognormal volatility	18.05		%	90.65		%	30.21		%
				Mean reversion	1.00		%	20.00		%	10.50		%
Foreign exchange contracts (gross)	$	1,428	Model-based	Foreign exchange (FX) volatility	0.37		%	58.40		%	8.57		%
	294		Cash flow	Interest rate	3.72		%	8.27		%	5.02		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
Equity contracts (gross) ⁽⁷⁾	$	4,431	Model-based	Equity volatility	9.56		%	82.44		%	24.61		%
	502		Price-based	Equity forward	84.10		%	100.80		%	94.10		%
				Equity-FX correlation	(88.20		)%	48.70		%	(25.17		)%
				Equity-equity correlation	(66.30		)%	94.80		%	36.87		%
				Price	$	0.01		$	144.50		$	93.05
Commodity contracts (gross)	$	3,606	Model-based	Commodity volatility	5.00		%	83.00		%	24.00		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
				Forward price	35.34		%	268.77		%	101.74		%
Credit derivatives (gross)	$	4,944	Model-based	Recovery rate	13.97		%	75.00		%	37.62		%
	1,584		Price-based	Credit correlation	—		%	95.00		%	58.76		%
				Price	$	1.00		$	144.50		$	53.86
				Credit spread	1 bps			3,380 bps			180 bps
				Upfront points	0.39			100.00			52.26
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross) ⁽⁶⁾	$	74	Model-based	Redemption rate	13.00		%	99.50		%	68.73		%
				Forward Price	107.00		%	107.10		%	107.05		%
Loans	$	1,095	Cash flow	Yield	1.60		%	4.50		%	2.23		%
	832		Model-based	Price	$	4.72		$	106.55		$	98.56
	740		Price-based	Credit spread	35 bps			500 bps			199 bps
	441		Yield analysis
Mortgage servicing rights	$	1,750	Cash flow	Yield	5.19		%	21.40		%	10.25		%

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As of December 31, 2014	Fair Value ⁽¹⁾ (in millions)		Methodology	Input	Low ⁽²⁾⁽³⁾			High ⁽²⁾⁽³⁾			Weighted Average ⁽⁴⁾
				WAL	3.31 years			7.89 years			5.17 years
Liabilities
Interest-bearing deposits	$	486	Model-based	Equity-IR correlation	34.00		%	37.00		%	35.43		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
				Commodity volatility	5.00		%	83.00		%	24.00		%
				Forward price	35.34		%	268.77		%	101.74		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	1,043	Model-based	Interest rate	0.74		%	2.26		%	1.90		%
Trading account liabilities
Securities sold, not yet purchased	$	251	Model-based	Credit-IR correlation	(70.49		)%	8.81		%	47.17		%
	$	142	Price-based	Price	$	—		$	117.00		$	70.33
Short-term borrowings and long-term debt	$	7,204	Model-based	IR lognormal volatility	18.05		%	90.65		%	30.21		%
				Mean reversion	1.00		%	20.00		%	10.50		%
				Equity volatility	10.18		%	69.65		%	23.72		%
				Credit correlation	87.50		%	87.50		%	87.50		%
				Equity forward	89.50		%	100.80		%	95.80		%
				Forward price	35.34		%	268.77		%	101.80		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
				Commodity volatility	5.00		%	83.00		%	24.00		%


(1)	The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities.


(2)	Some inputs are shown as zero due to rounding.


(3)	When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.


(4)	Weighted averages are calculated based on the fair values of the instruments.


(5)	For equity securities, the price and fund NAV inputs are expressed on an absolute basis, not as a percentage of the notional amount.


(6)	Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis.


(7)	Includes hybrid products.

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Sensitivity to Unobservable Inputs and Interrelationships between Unobservable Inputs

The impact of key unobservable inputs on the Level 3 fair value measurements may not be independent of one another. In addition, the amount and direction of the impact on a fair value measurement for a given change in an unobservable input depends on the nature of the instrument as well as whether the Company holds the instrument as an asset or a liability. For certain instruments, the pricing, hedging and risk management are sensitive to the correlation between various inputs rather than on the analysis and aggregation of the individual inputs.

The following section describes the sensitivities and interrelationships of the most significant unobservable inputs used by the Company in Level 3 fair value measurements.

Correlation

Correlation is a measure of the extent to which two or more variables change in relation to each other. A variety of correlation-related assumptions are required for a wide range of instruments, including equity and credit baskets, foreign-exchange options, CDOs backed by loans or bonds, mortgages, subprime mortgages and many other instruments. For almost all of these instruments, correlations are not observable in the market and must be calculated using historical information. Estimating correlation can be especially difficult where it may vary over time. Calculating correlation information from market data requires significant assumptions regarding the informational efficiency of the market (for example, swaption markets). Changes in correlation levels can have a major impact, favorable or unfavorable, on the value of an instrument, depending on its nature. A change in the default correlation of the fair value of the underlying bonds comprising a CDO structure would affect the fair value of the senior tranche. For example, an increase in the default correlation of the underlying bonds would reduce the fair value of the senior tranche, because highly correlated instruments produce larger losses in the event of default and a part of these losses would become attributable to the senior tranche. That same change in default correlation would have a different impact on junior tranches of the same structure.

Volatility

Volatility represents the speed and severity of market price changes and is a key factor in pricing options. Typically, instruments can become more expensive if volatility increases. For example, as an index becomes more volatile, the cost to Citi of maintaining a given level of exposure increases because more frequent rebalancing of the portfolio is required. Volatility generally depends on the tenor of the underlying instrument and the strike price or level defined in the contract. Volatilities for certain combinations of tenor and strike are not observable. The general relationship between changes in the value of a portfolio to changes in volatility also depends on changes in interest rates and the level of the underlying index. Generally, long option positions (assets) benefit from increases in volatility, whereas short option positions (liabilities) will suffer losses. Some instruments are more sensitive to changes in volatility than others. For example, an

at-the-money option would experience a larger percentage change in its fair value than a deep-in-the-money option. In addition, the fair value of an option with more than one underlying security (for example, an option on a basket of bonds) depends on the volatility of the individual underlying securities as well as their correlations.

Yield

Adjusted yield is generally used to discount the projected future principal and interest cash flows on instruments, such as asset-backed securities. Adjusted yield is impacted by changes in the interest rate environment and relevant credit spreads.

In some circumstances, the yield of an instrument is not observable in the market and must be estimated from historical data or from yields of similar securities. This estimated yield may need to be adjusted to capture the characteristics of the security being valued. In other situations, the estimated yield may not represent sufficient market liquidity and must be adjusted as well. Whenever the amount of the adjustment is significant to the value of the security, the fair value measurement is classified as Level 3.

Prepayment

Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. The effect of prepayments is more pronounced for residential mortgage-backed securities. An increase in prepayments—in speed or magnitude—generally creates losses for the holder of these securities. Prepayment is generally negatively correlated with delinquency and interest rate. A combination of low prepayment and high delinquencies amplify each input’s negative impact on mortgage securities’ valuation. As prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending upon the nature of the security and the direction of the change in the weighted average life.

Recovery

Recovery is the proportion of the total outstanding balance of a bond or loan that is expected to be collected in a liquidation scenario. For many credit securities (such as asset-backed securities), there is no directly observable market input for recovery, but indications of recovery levels are available from pricing services. The assumed recovery of a security may differ from its actual recovery that will be observable in the future. The recovery rate impacts the valuation of credit securities. Generally, an increase in the recovery rate assumption increases the fair value of the security. An increase in loss severity, the inverse of the recovery rate, reduces the amount of principal available for distribution and, as a result, decreases the fair value of the security.

Credit Spread

Credit spread is a component of the security representing its credit quality. Credit spread reflects the market perception of changes in prepayment, delinquency and recovery rates, therefore capturing the impact of other variables on the fair value. Changes in credit spread affect the fair value of

210

securities differently depending on the characteristics and maturity profile of the security. For example, credit spread is a more significant driver of the fair value measurement of a high yield bond as compared to an investment grade bond. Generally, the credit spread for an investment grade bond is also more observable and less volatile than its high yield counterpart.

Qualitative Discussion of the Ranges of Significant Unobservable Inputs

The following section describes the ranges of the most significant unobservable inputs used by the Company in Level 3 fair value measurements. The level of aggregation and the diversity of instruments held by the Company lead to a wide range of unobservable inputs that may not be evenly distributed across the Level 3 inventory.

Correlation

There are many different types of correlation inputs, including credit correlation, cross-asset correlation (such as equity-interest rate correlation), and same-asset correlation (such as interest rate-interest rate correlation). Correlation inputs are generally used to value hybrid and exotic instruments. Generally, same-asset correlation inputs have a narrower range than cross-asset correlation inputs. However, due to the complex and unique nature of these instruments, the ranges for correlation inputs can vary widely across portfolios.

Volatility

Similar to correlation, asset-specific volatility inputs vary widely by asset type. For example, ranges for foreign exchange volatility are generally lower and narrower than equity volatility. Equity volatilities are wider due to the nature of the equities market and the terms of certain exotic instruments. For most instruments, the interest rate volatility input is on the lower end of the range; however, for certain structured or exotic instruments (such as market-linked deposits or exotic interest rate derivatives), the range is much wider.

Yield

Ranges for the yield inputs vary significantly depending upon the type of security. For example, securities that typically have lower yields, such as municipal bonds, will fall on the lower end of the range, while more illiquid securities or securities with lower credit quality, such as certain residual tranche asset-backed securities, will have much higher yield inputs.

Credit Spread

Credit spread is relevant primarily for fixed income and credit instruments; however, the ranges for the credit spread input can vary across instruments. For example, certain fixed income instruments, such as certificates of deposit, typically have lower credit spreads, whereas certain derivative instruments with high-risk counterparties are typically subject to higher credit spreads when they are uncollateralized or have a longer tenor. Other instruments, such as credit default swaps, also have credit spreads that vary with the attributes of the

underlying obligor. Stronger companies have tighter credit spreads, and weaker companies have wider credit spreads.

Price

The price input is a significant unobservable input for certain fixed income instruments. For these instruments, the price input is expressed as a percentage of the notional amount, with a price of $100 meaning that the instrument is valued at par. For most of these instruments, the price varies between zero to $100, or slightly above $100. Relatively illiquid assets that have experienced significant losses since issuance, such as certain asset-backed securities, are at the lower end of the range, whereas most investment grade corporate bonds will fall in the middle to the higher end of the range. For certain structured debt instruments with embedded derivatives, the price input may be above $100 to reflect the embedded features of the instrument (for example, a step-up coupon or a conversion option).

The price input is also a significant unobservable input for certain equity securities; however, the range of price inputs varies depending on the nature of the position, the number of shares outstanding and other factors.

211

Items Measured at Fair Value on a Nonrecurring Basis

Certain assets and liabilities are measured at fair value on a nonrecurring basis and therefore are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market.

The following table presents the carrying amounts of all assets that were still held as of September 30, 2015 and December 31, 2014 , for which a nonrecurring fair value measurement was recorded:



In millions of dollars	Fair value		Level 2		Level 3
September 30, 2015
Loans held-for-sale	$	5,970	$	713	$	5,257
Other real estate owned	105		15		90
Loans ⁽¹⁾	1,234		789		445
Total assets at fair value on a nonrecurring basis	$	7,309	$	1,517	$	5,792



In millions of dollars	Fair value		Level 2		Level 3
December 31, 2014
Loans held-for-sale	$	4,152	$	1,084	$	3,068
Other real estate owned	102		21		81
Loans ⁽¹⁾	3,367		2,881		486
Total assets at fair value on a nonrecurring basis	$	7,621	$	3,986	$	3,635


(1)	Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral, including primarily real-estate secured loans.

The fair value of loans-held-for-sale is determined where possible using quoted secondary-market prices. If no such quoted price exists, the fair value of a loan is determined using quoted prices for a similar asset or assets, adjusted for the specific attributes of that loan. Fair value for the other real estate owned is based on appraisals. For loans whose carrying amount is based on the fair value of the underlying collateral, the fair values depend on the type of collateral. Fair value of the collateral is typically estimated based on quoted market prices if available, appraisals or other internal valuation techniques.

Where the fair value of the related collateral is based on an unadjusted appraised value, the loan is generally classified as Level 2. Where significant adjustments are made to the appraised value, the loan is classified as Level 3. Additionally, for corporate loans, appraisals of the collateral are often based on sales of similar assets; however, because the prices of similar assets require significant adjustments to reflect the unique features of the underlying collateral, these fair value measurements are generally classified as Level 3.

Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements

The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements as of September 30, 2015 and December 31, 2014 :



As of September 30, 2015	Fair Value ⁽¹⁾ (in millions)		Methodology	Input	Low			High			Weighted average ⁽²⁾
Loans held-for-sale	$	5,224	Price-based	Price	$	—		$	100.00		$	92.01
Other real estate owned	$	75	Price-based	Discount to price	34.00		%	34.00		%	34.00		%
				Appraised value	$	—		$	8,518,229		$	3,000,800
				Price	$	1.00		$	68.50		$	53.64
Loans ⁽³⁾	$	312	Price-based	Discount to price	13.00		%	34.00		%	7.99		%
	$	74	Recovery Analysis	Appraisal value	$	3,434,818		$	77,355,765		$	64,227,129
				Recovery rate	11.79		%	60.00		%	23.49		%


(1)	The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.


(2)	Weighted averages are calculated based on the fair values of the instruments.


(3)	Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.


(4)	Includes estimated costs to sell.

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As of December 31, 2014	Fair Value ⁽¹⁾ (in millions)		Methodology	Input	Low			High			Weighted average ⁽²⁾
Loans held-for-sale	$	2,740	Price-based	Price	$	92.00		$	100.00		$	99.54
				Credit Spread	5 bps			358 bps			175 bps
Other real estate owned	$	76	Price-based	Appraised Value	$11,000			$11,124,137			$4,730,129
				Discount to price ⁽⁴⁾	13.00		%	64.00		%	28.80		%
Loans ⁽³⁾	$	437	Price-based	Discount to price ⁽⁴⁾	13.00		%	34.00		%	28.92		%


(1)	The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.


(2)	Weighted averages are based on the fair values of the instruments.


(3)	Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.


(4)	Includes estimated costs to sell.

Nonrecurring Fair Value Changes

The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that are still held at September 30, 2015 and September 30, 2014 :



	Three months ended September 30,
In millions of dollars	2015			2014
Loans held-for-sale	$	(7	)	$	(11	)
Other real estate owned	(5		)	(7		)
Loans ⁽¹⁾	(72		)	(158		)
Total nonrecurring fair value gains (losses)	$	(84	)	$	(176	)


(1)	Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, including primarily real-estate loans.



	Nine months ended September 30,
In millions of dollars	2015			2014
Loans held-for-sale	$	(7	)	$	58
Other real estate owned	(12		)	(15		)
Loans ⁽¹⁾	(220		)	(462		)
Total nonrecurring fair value gains (losses)	$	(239	)	$	(419	)


(1)	Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, including primarily real-estate loans.

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Estimated Fair Value of Financial Instruments Not Carried at Fair Value

The table below presents the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The table below therefore excludes items measured at fair value on a recurring basis presented in the tables above.

The disclosure also excludes leases, affiliate investments, pension and benefit obligations and insurance policy claim reserves. In addition, contract-holder fund amounts exclude certain insurance contracts. Also, as required, the disclosure excludes the effect of taxes, any premium or discount that could result from offering for sale at one time the entire holdings of a particular instrument, excess fair value associated with deposits with no fixed maturity, and other expenses that would be incurred in a market transaction. In addition, the table excludes the values of non-financial assets and liabilities, as well as a wide range of franchise, relationship and intangible values, which are integral to a full assessment of Citigroup’s financial position and the value of its net assets.

The fair value represents management’s best estimates based on a range of methodologies and assumptions. The

carrying value of short-term financial instruments not accounted for at fair value, as well as receivables and payables arising in the ordinary course of business, approximates fair value because of the relatively short period of time between their origination and expected realization. Quoted market prices are used when available for investments and for liabilities, such as long-term debt not carried at fair value. For loans not accounted for at fair value, cash flows are discounted at quoted secondary market rates or estimated market rates if available. Otherwise, sales of comparable loan portfolios or current market origination rates for loans with similar terms and risk characteristics are used. Expected credit losses are either embedded in the estimated future cash flows or incorporated as an adjustment to the discount rate used. The value of collateral is also considered. For liabilities such as long-term debt not accounted for at fair value and without quoted market prices, market borrowing rates of interest are used to discount contractual cash flows.



	September 30, 2015				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	39.5	$	40.7	$	3.7	$	34.3	$	2.7
Federal funds sold and securities borrowed or purchased under agreements to resell	88.2		88.2		—		81.4		6.8
Loans ⁽¹⁾⁽²⁾	600.9		598.8		—		7.0		591.8
Other financial assets ⁽²⁾⁽³⁾	222.5		222.5		7.8		151.9		62.8
Liabilities
Deposits	$	902.5	$	926.6	$	—	$	781.4	$	145.2
Federal funds purchased and securities loaned or sold under agreements to repurchase	129.2		129.2		—		128.8		0.4
Long-term debt ⁽⁴⁾	187.3		191.7		—		166.8		24.9
Other financial liabilities ⁽⁵⁾	108.1		108.1		—		19.1		89.0



	December 31, 2014				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	30.5	$	32.2	$	4.5	$	25.2	$	2.5
Federal funds sold and securities borrowed or purchased under agreements to resell	98.4		98.4		—		89.7		8.7
Loans ⁽¹⁾⁽²⁾	620.0		617.6		—		5.6		612.0
Other financial assets ⁽²⁾⁽³⁾	213.8		213.8		8.3		151.9		53.6
Liabilities
Deposits	$	897.6	$	894.4	$	—	$	766.7	$	127.7
Federal funds purchased and securities loaned or sold under agreements to repurchase	136.7		136.7		—		136.5		0.2
Long-term debt ⁽⁴⁾	196.9		202.5		—		172.7		29.8
Other financial liabilities ⁽⁵⁾	136.2		136.2		—		41.4		94.8

214


(1)	The carrying value of loans is net of the Allowance for loan losses of $13.6 billion for September 30, 2015 and $16.0 billion for December 31, 2014 . In addition, the carrying values exclude $2.4 billion and $2.7 billion of lease finance receivables at September 30, 2015 and December 31, 2014 , respectively.


(2)	Includes items measured at fair value on a nonrecurring basis.


(3)	Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverable and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.


(4)	The carrying value includes long-term debt balances under qualifying fair value hedges.


(5)	Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

Fair values vary from period to period based on changes in a wide range of factors, including interest rates, credit quality and market perceptions of value, and as existing assets and liabilities run off and new transactions are entered into. The estimated fair values of loans reflect changes in credit status since the loans were made, changes in interest rates in the case of fixed-rate loans, and premium values at origination of certain loans.

The estimated fair values of the Company’s corporate unfunded lending commitments at September 30, 2015 and December 31, 2014 were liabilities of $4.7 billion and $5.5 billion , respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancelable by providing notice to the borrower.

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23 . FAIR VALUE ELECTIONS

The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings. The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election may not be revoked once an election is made. The changes in fair value are recorded in

current earnings. Additional discussion regarding the applicable areas in which fair value elections were made is presented in Note 22 to the Consolidated Financial Statements.

All servicing rights are recognized initially at fair value. The Company has elected fair value accounting for its mortgage servicing rights. See Note 20 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting of MSRs.

The following table presents the changes in fair value gains and losses for the three and nine months ended September 30, 2015 and 2014 associated with those items for which the fair value option was elected:



	Changes in fair value gains (losses) for the
	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2015			2014			2015			2014
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell Selected portfolios of securities purchased under agreements to resell and securities borrowed	$	(16	)	$	(137	)	$	(136	)	$	(68	)
Trading account assets	(676		)	3			(449		)	(235		)
Investments	3			(21		)	52			29
Loans
Certain corporate loans ⁽¹⁾	(164		)	(39		)	(173		)	(26		)
Certain consumer loans ⁽¹⁾	—			2			2			(44		)
Total loans	$	(164	)	$	(37	)	$	(171	)	$	(70	)
Other assets
MSRs	(140		)	(11		)	$	51		$	(186	)
Certain mortgage loans held for sale ⁽²⁾	95			96			267			354
Total other assets	$	(45	)	$	85		$	318		$	168
Total assets	$	(898	)	$	(107	)	$	(386	)	$	(176	)
Liabilities
Interest-bearing deposits	$	(107	)	$	21		$	(74	)	$	(35	)
Federal funds purchased and securities loaned or sold under agreements to repurchase Selected portfolios of securities sold under agreements to repurchase and securities loaned	(5		)	2			(3		)	(4		)
Trading account liabilities	(51		)	4			(66		)	(9		)
Short-term borrowings	14			(22		)	(54		)	(96		)
Long-term debt	246			855			701			(134		)
Total liabilities	$	97		$	860		$	504		$	(278	)


(1)	Includes mortgage loans held by mortgage loan securitization VIEs consolidated upon the adoption of ASC 810, Consolidation (SFAS 167), on January 1, 2010.


(2)	Includes gains (losses) associated with interest rate lock-commitments for those loans that have been originated and elected under the fair value option.

216

Own Debt Valuation Adjustments

Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected using Citi’s credit spreads observed in the bond market. The fair value of liabilities for which the fair value option is elected (other than non-recourse and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads. The estimated change in the fair value of these liabilities due to such changes in the Company’s own credit risk (or instrument-specific credit risk) was a gain of $ 264 million and $ 112 million for the three months ended September 30, 2015 and 2014 , respectively, and a gain of $ 582 million and $ 102 million for the nine months ended September 30, 2015 and 2014 , respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.

The Fair Value Option for Financial Assets and Financial Liabilities

Selected portfolios of securities purchased under agreements to resell, securities borrowed, securities sold under agreements to repurchase, securities loaned and certain non-collateralized short-term borrowings

The Company elected the fair value option for certain portfolios of fixed-income securities purchased under agreements to resell and fixed-income securities sold under agreements to repurchase, securities borrowed, securities loaned, and certain non-collateralized short-term borrowings held primarily by broker-dealer entities in the United States, United Kingdom and Japan. In each case, the election was made because the related interest-rate risk is managed on a portfolio basis, primarily with derivative instruments that are accounted for at fair value through earnings.

Changes in fair value for transactions in these portfolios are recorded in Principal transactions . The related interest revenue and interest expense are measured based on the contractual rates specified in the transactions and are reported as interest revenue and expense in the Consolidated Statement of Income.

Certain loans and other credit products

Citigroup has elected the fair value option for certain originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.

The following table provides information about certain credit products carried at fair value at September 30, 2015 and December 31, 2014 :



	September 30, 2015				December 31, 2014
In millions of dollars	Trading assets		Loans		Trading assets		Loans
Carrying amount reported on the Consolidated Balance Sheet	$	9,304	$	5,513	$	10,290	$	5,901
Aggregate unpaid principal balance in excess of (less than) fair value	845		3		234		125
Balance of non-accrual loans or loans more than 90 days past due	6		2		13		3
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due	12		1		28		1

In addition to the amounts reported above, $ 2,280 million and $ 2,335 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of September 30, 2015 and December 31, 2014 , respectively.

Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in the Company’s Consolidated Statement of Income. Related interest revenue is measured based on the contractual interest rates and reported as Interest revenue on Trading account assets or loan interest depending on the balance sheet classifications of the credit products. The changes in fair value for the nine months ended September 30, 2015 and 2014 due

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to instrument-specific credit risk totaled to a loss of $ 203 million and $ 77 million , respectively.

Certain investments in unallocated precious metals

Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $ 0.9 billion and $ 1.2 billion at September 30, 2015 and December 31, 2014 , respectively. The amounts are expected to fluctuate based on trading activity in future periods.

As part of its commodity and foreign currency trading activities, Citi sells (buys) unallocated precious metals investments and executes forward purchase (sale) derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase (sale) contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of September 30, 2015 , there were approximately $ 12.6 billion and $ 10.1 billion notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively.

Certain investments in private equity and real estate ventures and certain equity method and other investments

Citigroup invests in private equity and real estate ventures for the purpose of earning investment returns and for capital appreciation. The Company has elected the fair value option for certain of these ventures, because such investments are considered similar to many private equity or hedge fund activities in Citi’s investment companies, which are reported at fair value. The fair value option brings consistency in the accounting and evaluation of these investments. All investments (debt and equity) in such private equity and real estate entities are accounted for at fair value. These investments are classified as Investments on Citigroup’s Consolidated Balance Sheet.

Changes in the fair values of these investments are classified in Other revenue in the Company’s Consolidated Statement of Income.

Citigroup also elects the fair value option for certain non-marketable equity securities whose risk is managed with derivative instruments that are accounted for at fair value through earnings. These securities are classified as Trading account assets on Citigroup’s Consolidated Balance Sheet. Changes in the fair value of these securities and the related derivative instruments are recorded in Principal transactions .

Certain mortgage loans HFS

Citigroup has elected the fair value option for certain purchased and originated prime fixed-rate and conforming adjustable-rate first mortgage loans HFS. These loans are intended for sale or securitization and are hedged with derivative instruments. The Company has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications.

The following table provides information about certain mortgage loans HFS carried at fair value at September 30, 2015 and December 31, 2014 :



In millions of dollars	September 30, 2015		December 31, 2014
Carrying amount reported on the Consolidated Balance Sheet	$	889	$	1,447
Aggregate fair value in excess of unpaid principal balance	35		67
Balance of non-accrual loans or loans more than 90 days past due	—		—
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due	—		—

The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the nine months ended September 30, 2015 and 2014 due to instrument-specific credit risk. Related interest income continues to be measured based on the contractual interest rates and reported as Interest revenue in the Consolidated Statement of Income.

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Certain structured liabilities

The Company has elected the fair value option for certain structured liabilities whose performance is linked to structured interest rates, inflation, currency, equity, referenced credit or commodity risks. The Company elected the fair value option, because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives ( Trading account liabilities ) on the Company’s Consolidated Balance Sheet according to their legal form.

The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument at September 30, 2015 and December 31, 2014 :



In billions of dollars	September 30, 2015		December 31, 2014
Interest rate linked	$	10.4	$	10.9
Foreign exchange linked	0.3		0.3
Equity linked	9.9		8.0
Commodity linked	1.5		1.4
Credit linked	1.9		2.5
Total	$	24.0	$	23.1

The change in the fair value of these structured liabilities is reported in Principal transactions in the Company’s Consolidated Statement of Income. Changes in the fair value of these structured liabilities include an economic component for accrued interest, which is included in the change in fair value reported in Principal transactions .

Certain non-structured liabilities

The Company has elected the fair value option for certain non-structured liabilities with fixed and floating interest rates. The Company has elected the fair value option where the interest-rate risk of such liabilities is economically hedged with derivative contracts or the proceeds are used to purchase financial assets that will also be accounted for at fair value through earnings. The election has been made to mitigate accounting mismatches and to achieve operational simplifications. These positions are reported in Short-term borrowings and Long-term debt on the Company’s Consolidated Balance Sheet. The change in the fair value of these non-structured liabilities is reported in Principal transactions in the Company’s Consolidated Statement of Income. Related interest expense on non-structured liabilities is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income.

The following table provides information about long-term debt carried at fair value at September 30, 2015 and December 31, 2014 :



In millions of dollars	September 30, 2015		December 31, 2014
Carrying amount reported on the Consolidated Balance Sheet	$	26,238	$	26,180
Aggregate unpaid principal balance in excess of (less than) fair value	1,856		(151		)

The following table provides information about short-term borrowings carried at fair value at September 30, 2015 and December 31, 2014 :

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24 . GUARANTEES AND COMMITMENTS

Citi provides a variety of guarantees and indemnifications to its customers to enhance their credit standing and enable them to complete a wide variety of business transactions. For

certain contracts meeting the definition of a guarantee, the guarantor must recognize, at inception, a liability for the fair value of the obligation undertaken in issuing the guarantee.

In addition, the guarantor must disclose the maximum potential amount of future payments that the guarantor could be required to make under the guarantee, if there were a total

default by the guaranteed parties. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.

The following tables present information about Citi’s guarantees at September 30, 2015 and December 31, 2014 :



	Maximum potential amount of future payments
In billions of dollars at September 30, 2015 except carrying value in millions	Expire within 1 year		Expire after 1 year		Total amount outstanding		Carrying value (in millions of dollars)
Financial standby letters of credit	$	25.8	$	70.8	$	96.6	$	192
Performance guarantees	6.9		4.0		10.9		20
Derivative instruments considered to be guarantees	11.2		76.4		87.6		2,012
Loans sold with recourse	—		0.2		0.2		14
Securities lending indemnifications ⁽¹⁾	83.4		—		83.4		—
Credit card merchant processing ⁽¹⁾	85.8		—		85.8		—
Custody indemnifications and other	—		49.5		49.5		55
Total	$	213.1	$	200.9	$	414.0	$	2,293



	Maximum potential amount of future payments
In billions of dollars at December 31, 2014 except carrying value in millions	Expire within 1 year		Expire after 1 year		Total amount outstanding		Carrying value ( in millions of dollars)
Financial standby letters of credit	$	25.4	$	73.0	$	98.4	$	242
Performance guarantees	7.1		4.8		11.9		29
Derivative instruments considered to be guarantees	12.5		79.2		91.7		2,806
Loans sold with recourse	—		0.2		0.2		15
Securities lending indemnifications ⁽¹⁾	115.9		—		115.9		—
Credit card merchant processing ⁽¹⁾	86.0		—		86.0		—
Custody indemnifications and other	—		48.9		48.9		54
Total	$	246.9	$	206.1	$	453.0	$	3,146


(1)	The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.

Financial standby letters of credit

Citi issues standby letters of credit, which substitute its own credit for that of the borrower. If a letter of credit is drawn down, the borrower is obligated to repay Citi. Standby letters of credit protect a third party from defaults on contractual obligations. Financial standby letters of credit include: (i) guarantees of payment of insurance premiums and reinsurance risks that support industrial revenue bond underwriting; (ii) settlement of payment obligations to clearing houses, including futures and over-the-counter derivatives clearing (see further discussion below); (iii) support options and purchases of securities in lieu of escrow deposit accounts; and (iv) letters of credit that backstop loans, credit facilities, promissory notes and trade acceptances.

Performance guarantees

Performance guarantees and letters of credit are issued to guarantee a customer’s tender bid on a construction or systems-installation project or to guarantee completion of such projects in accordance with contract terms. They are also issued to support a customer’s obligation to supply specified products, commodities, or maintenance or warranty services to a third party.

Derivative instruments considered to be guarantees

Derivatives are financial instruments whose cash flows are based on a notional amount and an underlying instrument, reference credit or index, where there is little or no initial investment, and whose terms require or permit net settlement. For a discussion of Citi’s derivatives activities, see Note 21 to the Consolidated Financial Statements.

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Derivative instruments considered to be guarantees include only those instruments that require Citi to make payments to the counterparty based on changes in an underlying instrument that is related to an asset, a liability or an equity security held by the guaranteed party. More specifically, derivative instruments considered to be guarantees include certain over-the-counter written put options where the counterparty is not a bank, hedge fund or broker-dealer (such counterparties are considered to be dealers in these markets and may, therefore, not hold the underlying instruments). Credit derivatives sold by Citi are excluded from the tables above, as they are disclosed separately in Note 21 to the Consolidated Financial Statements. In instances where Citi’s maximum potential future payment is unlimited, the notional amount of the contract is disclosed.

Loans sold with recourse

Loans sold with recourse represent Citi’s obligations to reimburse the buyers for loan losses under certain circumstances. Recourse refers to the clause in a sales agreement under which a seller/lender will fully reimburse the buyer/investor for any losses resulting from the purchased loans. This may be accomplished by the seller taking back any loans that become delinquent.

In addition to the amounts shown in the tables above, Citi has recorded a repurchase reserve for its potential repurchases or make-whole liability regarding residential mortgage representation and warranty claims related to its whole loan sales to the U.S. government-sponsored enterprises (GSEs) and, to a lesser extent, private investors. The repurchase reserve was approximately $157 million and $224 million at September 30, 2015 and December 31, 2014 , respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet.

Securities lending indemnifications

Owners of securities frequently lend those securities for a fee to other parties who may sell them short or deliver them to another party to satisfy some other obligation. Banks may administer such securities lending programs for their clients. Securities lending indemnifications are issued by the bank to guarantee that a securities lending customer will be made whole in the event that the security borrower does not return the security subject to the lending agreement and collateral held is insufficient to cover the market value of the security.

Credit card merchant processing

Credit card merchant processing guarantees represent the Company’s indirect obligations in connection with: (i) providing transaction processing services to various merchants with respect to its private-label cards; and (ii) potential liability for bank card transaction processing services. The nature of the liability in either case arises as a result of a billing dispute between a merchant and a cardholder that is ultimately resolved in the cardholder’s favor. The merchant is liable to refund the amount to the cardholder. In general, if the credit card processing company

is unable to collect this amount from the merchant, the credit card processing company bears the loss for the amount of the credit or refund paid to the cardholder.

With regard to (i) above, Citi has the primary contingent liability with respect to its portfolio of private-label merchants. The risk of loss is mitigated as the cash flows between Citi and the merchant are settled on a net basis and Citi has the right to offset any payments with cash flows otherwise due to the merchant. To further mitigate this risk, Citi may delay settlement, require a merchant to make an escrow deposit, include event triggers to provide Citi with more financial and operational control in the event of the financial deterioration of the merchant or require various credit enhancements (including letters of credit and bank guarantees). In the unlikely event that a private-label merchant is unable to deliver products, services or a refund to its private-label cardholders, Citi is contingently liable to credit or refund cardholders.

With regard to (ii) above, Citi has a potential liability for bank card transactions where Citi provides the transaction processing services as well as those where a third party provides the services and Citi acts as a secondary guarantor, should that processor fail to perform.

Citi’s maximum potential contingent liability related to both bank card and private-label merchant processing services is estimated to be the total volume of credit card transactions that meet the requirements to be valid charge-back transactions at any given time. At September 30, 2015 and December 31, 2014 , this maximum potential exposure was estimated to be $86 billion .

However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants. Citi assesses the probability and amount of its contingent liability related to merchant processing based on the financial strength of the primary guarantor, the extent and nature of unresolved charge-backs and its historical loss experience. At September 30, 2015 and December 31, 2014 , the losses incurred and the carrying amounts of Citi’s contingent obligations related to merchant processing activities were immaterial.

Custody indemnifications

Custody indemnifications are issued to guarantee that custody clients will be made whole in the event that a third-party subcustodian or depository institution fails to safeguard clients’ assets.

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Other guarantees and indemnifications

Credit Card Protection Programs

Citi, through its credit card businesses, provides various cardholder protection programs on several of its card products, including programs that provide insurance coverage for rental cars, coverage for certain losses associated with purchased products, price protection for certain purchases and protection for lost luggage. These guarantees are not included in the table, since the total outstanding amount of the guarantees and Citi’s maximum exposure to loss cannot be quantified. The protection is limited to certain types of purchases and losses, and it is not possible to quantify the purchases that would qualify for these benefits at any given time. Citi assesses the probability and amount of its potential liability related to these programs based on the extent and nature of its historical loss experience. At September 30, 2015 and December 31, 2014 , the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were immaterial.

Other Representation and Warranty Indemnifications

In the normal course of business, Citi provides standard representations and warranties to counterparties in contracts in connection with numerous transactions and also provides indemnifications, including indemnifications that protect the counterparties to the contracts in the event that additional taxes are owed due either to a change in the tax law or an adverse interpretation of the tax law. Counterparties to these transactions provide Citi with comparable indemnifications. While such representations, warranties and indemnifications are essential components of many contractual relationships, they do not represent the underlying business purpose for the transactions. The indemnification clauses are often standard contractual terms related to Citi’s own performance under the terms of a contract and are entered into in the normal course of business based on an assessment that the risk of loss is remote. Often these clauses are intended to ensure that terms of a contract are met at inception. No compensation is received for these standard representations and warranties, and it is not possible to determine their fair value because they rarely, if ever, result in a payment. In many cases, there are no stated or notional amounts included in the indemnification clauses, and the contingencies potentially triggering the obligation to indemnify have not occurred and are not expected to occur. As a result, these indemnifications are not included in the tables above.

Value-Transfer Networks

Citi is a member of, or shareholder in, hundreds of value-transfer networks (VTNs) (payment, clearing and settlement systems as well as exchanges) around the world. As a condition of membership, many of these VTNs require that members stand ready to pay a pro rata share of the losses incurred by the organization due to another member’s default on its obligations. Citi’s potential obligations may be limited to its membership interests in the VTNs, contributions to the VTN’s funds, or, in limited cases, the obligation may be

unlimited. The maximum exposure cannot be estimated as this would require an assessment of future claims that have not yet occurred. Citi believes the risk of loss is remote given historical experience with the VTNs. Accordingly, Citi’s participation in VTNs is not reported in the guarantees tables above, and there are no amounts reflected on the Consolidated Balance Sheet as of September 30, 2015 or December 31, 2014 for potential obligations that could arise from Citi’s involvement with VTN associations.

Long-Term Care Insurance Indemnification

In the sale of an insurance subsidiary, the Company provided an indemnification to an insurance company for policyholder claims and other liabilities relating to a book of long-term care (LTC) business (for the entire term of the LTC policies) that is fully reinsured by another insurance company. The reinsurer has funded two trusts with securities whose fair value (approximately $6.3 billion at September 30, 2015 , compared to $6.2 billion at December 31, 2014 ) is designed to cover the insurance company’s statutory liabilities for the LTC policies. The assets in these trusts are evaluated and adjusted periodically to ensure that the fair value of the assets continues to cover the estimated statutory liabilities related to the LTC policies, as those statutory liabilities change over time.

If the reinsurer fails to perform under the reinsurance agreement for any reason, including insolvency, and the assets in the two trusts are insufficient or unavailable to the ceding insurance company, then Citi must indemnify the ceding insurance company for any losses actually incurred in connection with the LTC policies. Since both events would have to occur before Citi would become responsible for any payment to the ceding insurance company pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is no liability reflected in the Consolidated Balance Sheet as of September 30, 2015 and December 31, 2014 related to this indemnification. Citi continues to closely monitor its potential exposure under this indemnification obligation.

Futures and over-the-counter derivatives clearing

Citi provides clearing services for clients executing exchange-traded futures and over-the-counter (OTC) derivatives contracts with central counterparties (CCPs). Based on all relevant facts and circumstances, Citi has concluded that it acts as an agent for accounting purposes in its role as clearing member for these client transactions. As such, Citi does not reflect the underlying exchange-traded futures or OTC derivatives contracts in its Consolidated Financial Statements. See Note 21 for a discussion of Citi’s derivatives activities that are reflected in its Consolidated Financial Statements.

As a clearing member, Citi collects and remits cash and securities collateral (margin) between its clients and the respective CCP. There are two types of margin: initial margin and variation margin. Where Citi obtains benefits from or controls cash initial margin (e.g., retains an interest spread), cash initial margin collected from clients and remitted to the CCP is reflected within Brokerage Payables

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(payables to customers) and Brokerage Receivables (receivables from brokers, dealers and clearing organizations), respectively. However, for OTC derivatives contracts where Citi has contractually agreed with the client that (a) Citi will pass through to the client all interest paid by the CCP on cash initial margin; (b) Citi will not utilize its right as a clearing member to transform cash margin into other assets; and (c) Citi does not guarantee and is not liable to the client for the performance of the CCP, cash initial margin collected from clients and remitted to the CCP is not reflected on Citi’s Consolidated Balance Sheet. The total amount of cash initial margin collected and remitted in this manner was approximately $3.9 billion and $3.2 billion as of September 30, 2015 and December 31, 2014 , respectively.

Variation margin due from clients to the respective CCP, or from the CCP to clients, reflects changes in the value of the client’s derivative contracts for each trading day. As a clearing member, Citi is exposed to the risk of non-performance by clients (e.g., failure of a client to post variation margin to the CCP for negative changes in the value of the client’s derivative contracts). In the event of non-performance by a client, Citi would move to close out the client’s positions. The CCP would typically utilize initial margin posted by the client and held by the CCP, with any remaining shortfalls required to be paid by Citi as clearing member. Citi generally holds incremental cash or securities margin posted by the client, which would typically be expected to be sufficient to mitigate Citi’s credit risk in the event the client fails to perform.

As required by ASC 860-30-25-5, securities collateral posted by clients is not recognized on Citi’s Consolidated Balance Sheet.

Carrying Value—Guarantees and Indemnifications

At September 30, 2015 and December 31, 2014 , the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to approximately $2.3 billion and $3.1 billion , respectively. The carrying value of financial and performance guarantees is included in Other liabilities . For loans sold with recourse, the carrying value of the liability is included in Other liabilities .

Collateral

Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $56 billion and $63 billion at September 30, 2015 and December 31, 2014 , respectively. Securities and other marketable assets held as collateral amounted to $34 billion and $59 billion at September 30, 2015 and December 31, 2014 , respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. Additionally, letters of credit in favor of Citi held as collateral amounted to $4.5 billion and $4.0 billion at September 30, 2015 and December 31, 2014 , respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.

Performance risk

Citi evaluates the performance risk of its guarantees based on the assigned referenced counterparty internal or external ratings. Where external ratings are used, investment-grade ratings are considered to be Baa/BBB and above, while anything below is considered non-investment grade. Citi’s internal ratings are in line with the related external rating system. On certain underlying referenced assets or entities, ratings are not available. Such referenced assets are included in the “not rated” category. The maximum potential amount of the future payments related to the outstanding guarantees is determined to be the notional amount of these contracts, which is the par amount of the assets guaranteed.

Presented in the tables below are the maximum potential amounts of future payments that are classified based upon internal and external credit ratings as of September 30, 2015 and December 31, 2014 . As previously mentioned, the determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.



	Maximum potential amount of future payments
In billions of dollars at September 30, 2015	Investment grade		Non-investment grade		Not rated		Total
Financial standby letters of credit	$	70.1	$	14.8	$	11.7	$	96.6
Performance guarantees	6.6		3.5		0.8		10.9
Derivative instruments deemed to be guarantees	—		—		87.6		87.6
Loans sold with recourse	—		—		0.2		0.2
Securities lending indemnifications	—		—		83.4		83.4
Credit card merchant processing	—		—		85.8		85.8
Custody indemnifications and other	49.4		0.1		—		49.5
Total	$	126.1	$	18.4	$	269.5	$	414.0

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	Maximum potential amount of future payments
In billions of dollars at December 31, 2014	Investment grade		Non-investment grade		Not rated		Total
Financial standby letters of credit	$	73.0	$	15.9	$	9.5	$	98.4
Performance guarantees	7.3		3.9		0.7		11.9
Derivative instruments deemed to be guarantees	—		—		91.7		91.7
Loans sold with recourse	—		—		0.2		0.2
Securities lending indemnifications	—		—		115.9		115.9
Credit card merchant processing	—		—		86.0		86.0
Custody indemnifications and other	48.8		0.1		—		48.9
Total	$	129.1	$	19.9	$	304.0	$	453.0

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Credit Commitments and Lines of Credit

The table below summarizes Citigroup’s credit commitments as of September 30, 2015 and December 31, 2014:



In millions of dollars	U.S.		Outside of U.S.		September 30, 2015		December 31, 2014
Commercial and similar letters of credit	$	1,207	$	4,104	$	5,311	$	6,634
One- to four-family residential mortgages	1,375		2,014		3,389		5,674
Revolving open-end loans secured by one- to four-family residential properties	12,952		2,085		15,037		16,098
Commercial real estate, construction and land development	8,456		1,729		10,185		9,242
Credit card lines	479,415		109,949		589,364		612,049
Commercial and other consumer loan commitments	173,439		89,293		262,732		243,680
Other commitments and contingencies	4,661		5,504		10,165		10,663
Total	$	681,505	$	214,678	$	896,183	$	904,040

The majority of unused commitments are contingent upon customers’ maintaining specific credit standards.

Commercial commitments generally have floating interest rates and fixed expiration dates and may require payment of fees. Such fees (net of certain direct costs) are deferred and, upon exercise of the commitment, amortized over the life of the loan or, if exercise is deemed remote, amortized over the commitment period.

Commercial and similar letters of credit

A commercial letter of credit is an instrument by which Citigroup substitutes its credit for that of a customer to enable the customer to finance the purchase of goods or to incur other commitments. Citigroup issues a letter on behalf of its client to a supplier and agrees to pay the supplier upon presentation of documentary evidence that the supplier has performed in accordance with the terms of the letter of credit. When a letter of credit is drawn, the customer is then required to reimburse Citigroup.

One- to four-family residential mortgages

A one- to four-family residential mortgage commitment is a written confirmation from Citigroup to a seller of a property that the bank will advance the specified sums enabling the buyer to complete the purchase.

Revolving open-end loans secured by one- to four-family

residential properties

Revolving open-end loans secured by one- to four-family residential properties are essentially home equity lines of credit. A home equity line of credit is a loan secured by a primary residence or second home to the extent of the excess of fair market value over the debt outstanding for the first mortgage.

Commercial real estate, construction and land development

Commercial real estate, construction and land development include unused portions of commitments to extend credit for the purpose of financing commercial and multifamily residential properties as well as land development projects.

Both secured-by-real-estate and unsecured commitments are included in this line, as well as

undistributed loan proceeds, where there is an obligation to advance for construction progress payments. However, this line only includes those extensions of credit that, once funded, will be classified as Total loans, net on the Consolidated Balance Sheet.

Credit card lines

Citigroup provides credit to customers by issuing credit cards. The credit card lines are cancellable by providing notice to the cardholder or without such notice as permitted by local law.

Commercial and other consumer loan commitments

Commercial and other consumer loan commitments include overdraft and liquidity facilities, as well as commercial commitments to make or purchase loans, to purchase third-party receivables, to provide note issuance or revolving underwriting facilities and to invest in the form of equity. Amounts include $54 billion and $53 billion with an original maturity of less than one year at September 30, 2015 and December 31, 2014, respectively.

Other commitments and contingencies

Other commitments and contingencies include committed or unsettled regular-way reverse repurchase agreements and all other transactions related to commitments and contingencies not reported on the lines above.

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25 . CONTINGENCIES

The following information supplements and amends, as applicable, the disclosures in Note 28 to the Consolidated Financial Statements of Citigroup's 2014 Annual Report on Form 10-K and Note 25 to the Consolidated Financial Statements of Citigroup’s Quarterly Reports on Form 10-Q for the quarterly periods ended March 31, 2015 and June 30, 2015. For purposes of this Note, Citigroup, its affiliates and subsidiaries, and current and former officers, directors and employees, are sometimes collectively referred to as Citigroup and Related Parties.

In accordance with ASC 450, Citigroup establishes accruals for contingencies, including the litigation and regulatory matters disclosed herein, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters.

If Citigroup has not accrued for a matter because the matter does not meet the criteria for accrual (as set forth above), or Citigroup believes an exposure to loss exists in excess of the amount accrued for a particular matter, in each case assuming a material loss is reasonably possible, Citigroup discloses the matter. In addition, for such matters, Citigroup discloses an estimate of the aggregate reasonably possible loss or range of loss in excess of the amounts accrued for those matters as to which an estimate can be made. At September 30, 2015, Citigroup's estimate was materially unchanged from its estimate of approximately $4 billion at December 31, 2014, as more fully described in Note 28 to the Consolidated Financial Statements in the 2014 Annual Report on Form 10-K.

As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosure involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation and regulatory proceedings are subject to particular uncertainties. For example, at the time of making an estimate, Citigroup may have only preliminary, incomplete or inaccurate information about the facts underlying the claim; its assumptions about the future rulings of the court or other tribunal on significant issues, or the behavior and incentives of adverse parties or regulators, may prove to be wrong; and the outcomes it is attempting to predict are often not amenable to the use of statistical or other quantitative analytical tools. In addition, from time to time an outcome may occur that Citigroup had not accounted for in its estimates because it had deemed such an outcome to be remote. For all these reasons, the amount of loss in excess of accruals ultimately incurred for the matters as to which an estimate has been made could be substantially higher or lower than the range of loss included in the estimate.

Subject to the foregoing, it is the opinion of Citigroup's management, based on current knowledge and after taking into

account its current legal accruals, that the eventual outcome of all matters described in this Note would not be likely to have a material adverse effect on the consolidated financial condition of Citigroup. Nonetheless, given the substantial or indeterminate amounts sought in certain of these matters, and the inherent unpredictability of such matters, an adverse outcome in certain of these matters could, from time to time, have a material adverse effect on Citigroup’s consolidated results of operations or cash flows in particular quarterly or annual periods.

For further information on ASC 450 and Citigroup's accounting and disclosure framework for contingencies, including for litigation and regulatory matters disclosed herein, see Note 28 to the Consolidated Financial Statements of Citigroup’s 2014 Annual Report on Form 10-K.

Commodities Financing Contracts

At a hearing on July 3, 2015, the English High Court Judge awarded Citigroup’s counterparty permission to appeal against one aspect of the High Court’s judgment of May 22, 2015. At a further hearing on July 24, 2015, Citibank, N.A. and Citigroup Global Markets Limited (as well as their counterparty) sought permission from the English Court of Appeal to appeal against other aspects of the May judgment in respect of which the trial judge had not granted permission. Those applications remain outstanding. Additional information concerning this action is publicly available in court filings under the claim reference: MERCURIA ENERGY TRADING PTE LTD & ANOTHER V. CITIBANK, N.A. & ANOTHER (Claim No. 2014 Folio 709) .

Credit Crisis-Related Litigation and Other Matters

Mortgage-Related Litigation and Other Matters

Mortgage-Backed Securities and CDO Investor Actions: On July 31, 2015, the court issued an order approving the stipulation and settlement previously filed by Citigroup Global Markets Inc. (CGMI) and its remaining co-defendants in NEW JERSEY CARPENTERS HEALTH FUND, ET AL. v. RESIDENTIAL CAPITAL, LLC, ET AL. The court also ordered the case dismissed pursuant to the settlement agreement. Additional information relating to this action is publicly available in court filings under the docket number 08 Civ. 8781 (S.D.N.Y.) (Failla, J.).

On August 17, 2015, the Citigroup defendants and other parties filed a stipulation of discontinuance with prejudice, and the plaintiff dismissed its appeal, in COMMERZBANK AG LONDON BRANCH v. UBS AG, ET AL. Additional information concerning this action is publicly available in court filings under the docket number 654464/2013 (N.Y. Sup. Ct.) (Friedman, J.).

As of September 30, 2015, the aggregate original purchase amount of the purchases at issue in the pending MBS and CDO investor suits is approximately $1.69 billion , and the aggregate original purchase amount of the purchases covered by tolling agreements with MBS and CDO investors threatening litigation is approximately $1.4 billion .

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Alternative Investment Fund-Related Litigation and Other Matters

On August 17, 2015, the SEC entered an order accepting an offer of settlement from certain Citigroup affiliates concerning the SEC’s investigation into the Citigroup affiliates’ management and marketing of the ASTA/MAT and Falcon alternative investment funds. Pursuant to the terms of the settlement, the Citigroup affiliates will pay $179.6 million in disgorgement and interest, which the SEC will distribute to investors in the funds.

On August 10, 2015, the parties in BEACH v. CITIGROUP ALTERNATIVE INVESTMENTS LLC entered into a settlement agreement. On August 19, 2015, the court entered an order preliminarily approving the settlement and approving notice. A final settlement hearing has been scheduled for December 17, 2015. Additional information concerning this action is publicly available in court filings under the docket number 12 Civ. 7717 (S.D.N.Y.) (Woods, J.).

Credit Default Swaps Matters

On September 30, 2015, the defendants, including Citigroup and Related Parties, entered settlement agreements with the plaintiffs to settle all claims of the putative class, and on October 29, 2015, the court granted plaintiffs’ motion for preliminary approval of the proposed settlements. Additional information relating to this action is publicly available in court filings under the docket number 13 MD 2476 (S.D.N.Y.) (Cote, J.).

Treasury Auction Litigation

Beginning in July 2015, CGMI, along with numerous other U.S. Treasury primary dealer banks, have been named as defendants in a number of substantially similar putative class actions involving allegations that they colluded to manipulate U.S. Treasury securities markets. The actions are based upon the defendants’ roles as registered primary dealers of U.S. Treasury securities and assert claims of alleged collusion under the antitrust laws and manipulation under the Commodity Exchange Act. These actions were filed in the United States District Court for the Southern District of New York, the Northern District of Illinois and the District of the Virgin Islands.

On September 24, 2015, certain of the plaintiffs filed a motion with the Judicial Panel on Multidistrict Litigation to have all of the actions transferred to Judge Paul G. Gardephe in the Southern District of New York for coordinated or consolidated pretrial proceedings. Judge Gardephe is currently presiding over the first-filed action and is actively coordinating actions in the Southern District of New York. Most of the actions filed in the Southern District of New York have been consolidated under docket number 15 Civ. 5794 (S.D.N.Y.). Additional information relating to certain of the other actions is publicly available in court filings under the following docket numbers: 15 Civ. 7631 (S.D.N.Y.); 15 Civ. 8149 (S.D.N.Y.); 15 Civ. 0055 (D.V.I.); 15 Civ. 8417 (N.D. Ill.); 15 Civ. 8634 (N.D. Ill.); 15 Civ. 8859 (N.D. Ill.); 15 Civ. 8890 (N.D. Ill.); 15 Civ. 9173 (N.D. Ill.).

Foreign Exchange Matters

Antitrust and Other Litigation : On September 9, 2015, defendants filed a motion to transfer the action captioned NYPL v. JPMORGAN CHASE & CO. ET AL. from the United States District Court for the Northern District of California to the Southern District of New York for possible consolidation with IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 3:15-cv-02290 (N.D. Cal.) (Chhabria, J.).

In September 2015, putative class actions captioned BÉLAND v. ROYAL BANK OF CANADA, ET AL. and STAINES v. ROYAL BANK OF CANADA, ET AL. were filed in the Quebec Superior Court of Justice and the Ontario Superior Court of Justice, respectively, against Citigroup and Related Parties, as well as numerous other foreign exchange (FX) dealers. Plaintiffs allege that defendants conspired to fix the prices and supply of currency purchased in the FX market, and that this manipulation caused investors to pay inflated rates for currency and/or to receive deflated rates for currency. Plaintiffs assert claims under the Canadian Competition Act and the Quebec Civil Code and/or for civil conspiracy, unjust enrichment and waiver of tort. Plaintiffs seek compensatory and punitive damages on behalf of putative classes of all persons in Quebec or in Canada who entered into an FX instrument or participated in a fund or investment vehicle that entered into an FX instrument between January 1, 2003 and December 31, 2013. Additional information concerning these actions is publicly available in court filings under the docket numbers 200-06-000189-152 (C.S.Q. Quebec) and CV-15-536174 (Ont. S.C.J.).

On September 16, 2015, an action captioned NEGRETE v. CITIBANK, N.A. was filed in the United States District Court for the Southern District of New York. Plaintiffs allege that Citibank, N.A. engaged in conduct in connection with plaintiffs’ FX trading that caused them losses. Plaintiffs assert claims for fraud, breach of contract, and negligence, and seek compensatory and punitive damages. Additional information concerning this action is publicly available in court filings under the docket number 1:15-cv-7250 (S.D.N.Y.) (Sweet, J.).

Interbank Offered Rates-Related Litigation and Other Matters

Antitrust and Other Litigation : On August 4, 2015, the court in IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION granted in part defendants’ motions to dismiss various individual actions that were previously stayed, dismissing plaintiffs’ antitrust claims for failure to state a claim, and holding that plaintiffs cannot pursue certain other claims based on lack of personal jurisdiction or the operation of the applicable statute of limitations. The court allowed certain of plaintiffs’ claims for common law fraud, breach of contract, unjust enrichment and tortious interference to proceed. On October 8, 2015, the City of Philadelphia and the Pennsylvania Intergovernmental Cooperation Authority amended their complaint in response to the court’s August 4, 2015 decision. Additional information concerning these actions is publicly available in court filings

227

under the docket number 1:11-md-02262 (S.D.N.Y.) (Buchwald, J.).

Interchange Fees Litigation

Various objectors appealed from the final class settlement approval order with the United States Court of Appeals for the Second Circuit, which heard oral argument regarding the appeals on September 28, 2015. Additional information concerning these consolidated actions is publicly available in court filings under the docket number MDL 05-1720 (E.D.N.Y.) (Brodie, J.) and 12-4671 (2d Cir.).

Money Laundering Inquiries

Derivative Actions and Related Proceedings : On September 22, 2015, a derivative action captioned FIREMAN’S RETIREMENT SYSTEM OF ST. LOUIS, ET AL. v. CORBAT, ET AL. was filed in the United States District Court for the Southern District of New York on behalf of Citigroup (as nominal defendant) against certain of its directors and officers. The plaintiffs assert claims derivatively for violation of Section 14(a) of the Securities Exchange Act of 1934, breach of fiduciary duty, waste of corporate assets, and unjust enrichment in connection with allegations concerning the compliance of Banco Nacional de Mexico, or Banamex, and Banamex USA with the Bank Secrecy Act and anti-money laundering laws and regulations. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 7501 (S.D.N.Y.) (Batts, J.).

Parmalat Litigation and Related Matters

After the acquittal of a Citibank, N.A. employee in the Milan criminal court in April 2011, Milan public prosecutors have been pursuing an administrative remedy against Citibank, N.A. under Italian Administrative Law 231. The prosecutors originally sought disgorgement of profits in the amount of €70 million and a fine of €900,000 . However, on February 5, 2014, the Milan Court of Appeal restricted the remedy to an administrative fine of €500,000 . Citibank, N.A. appealed, but on July 2, 2015, the Italian Supreme Court upheld the Court of Appeal’s decision, confirming the imposition of a €500,000 fine.

Allied Irish Bank Litigation

On August 24, 2015, the United States District Court for the Southern District of New York denied Citibank, N.A.’s motion for reconsideration of the court’s prior denial of its motion for summary judgment. On September 9, 2015, the court set the case for trial on January 25, 2016. Additional information concerning this action is publicly available in court filings under the docket number 03 Civ. 3748 (S.D.N.Y.) (Batts, J.).

Settlement Payments

Payments required in settlement agreements described above have been made or are covered by existing litigation accruals.

[End of Consolidated Financial Statements and Notes to Consolidated Financial Statements]

228

UNREGISTERED SALES OF EQUITY, PURCHASES OF EQUITY SECURITIES, DIVIDENDS

Unregistered Sales of Equity Securities

None.

Equity Security Repurchases

The following table summarizes Citi’s equity security repurchases, which consisted entirely of common stock repurchases, during the three months ended September 30, 2015 :



In millions, except per share amounts	Total shares purchased	Average price paid per share		Approximate dollar value of shares that may yet be purchased under the plan or programs
July 2015
Open market repurchases ⁽¹⁾	11.1	$	56.01	$	5,612
Employee transactions ⁽²⁾	—	—		N/A
August 2015
Open market repurchases ⁽¹⁾	19.0	54.74		4,574
Employee transactions ⁽²⁾	—	—		N/A
September 2015
Open market repurchases ⁽¹⁾	5.7	50.70		4,283
Employee transactions ⁽²⁾	—	—		N/A
Amounts as of September 30, 2015	35.8	$	54.49	$	4,283

(1)

Represents repurchases under the $7.8 billion 2015 common stock repurchase program (2015 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on March 11, 2015, which was part of the planned capital actions included by Citi in its 2015 Comprehensive Capital Analysis and Review (CCAR). The 2015 Repurchase Program extends through the second quarter of 2016. Shares repurchased under the 2015 Repurchase Program are treasury stock.


(2)	Consisted of shares added to treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.

N/A Not applicable

Dividends

In addition to Board of Directors’ approval, Citi’s ability to pay common stock dividends substantially depends on regulatory approval, including regulatory review of the results of the CCAR process required by the Federal Reserve Board and the supervisory stress tests required under the Dodd-Frank Act. See “Risk Factors-Business and Operational Risks” in Citi’s 2014 Annual Report on Form 10-K. For information on the ability of Citigroup’s subsidiary depository institutions and non-bank subsidiaries to pay dividends, see Note 19 to the Consolidated Financial Statements in Citi’s 2014 Annual Report on Form 10-K. Any dividend on Citi’s outstanding common stock would also need to be made in compliance with Citi’s obligations to its outstanding preferred stock.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on the 30th day of October, 2015.

CITIGROUP INC.

(Registrant)

By /s/ John C. Gerspach

John C. Gerspach

Chief Financial Officer

(Principal Financial Officer)

By /s/ Jeffrey R. Walsh

Jeffrey R. Walsh

Controller and Chief Accounting Officer

(Principal Accounting Officer)

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EXHIBIT INDEX



Exhibit Number	Description of Exhibit

3.01+	Restated Certificate of Incorporation of Citigroup Inc., as in effect on the date hereof.

3.02	By-Laws of Citigroup Inc., as amended, as in effect on the date hereof, incorporated by reference to Exhibit 3.1 to Citigroup Inc.’s Current Report on Form 8-K filed on October 27, 2015 (File No. 1-9924).

10.01+*	Form of Citigroup CAP/DCAP Agreement.

12.01+	Calculation of Ratio of Income to Fixed Charges.

12.02+	Calculation of Ratio of Income to Fixed Charges Including Preferred Stock Dividends.

31.01+	Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.02+	Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.01+	Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

101.01+	Financial statements from the Quarterly Report on Form 10-Q of Citigroup Inc. for the quarter ended September 30, 2015, filed on October 30, 2015, formatted in XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to Consolidated Financial Statements.

The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.

+ Filed herewith

* Denotes a management contract or compensatory plan or arrangement.

Exhibit 3.01

RESTATED

CERTIFICATE OF INCORPORATION

CITIGROUP INC.

Citigroup Inc., a corporation organized and existing under the laws of the State of Delaware, hereby certifies as follows:

The name of the corporation is Citigroup Inc. (hereinafter the “Corporation”) and the date of filing of its original Certificate of Incorporation with the Delaware Secretary of State is March 8, 1988. The name under which the Corporation filed its Certificate of Incorporation is Commercial Credit Group, Inc. A Restated Certificate of Incorporation, which restated and integrated, but did not further amend, the Certificate of Incorporation as amended or supplemented theretofore, was filed with the Delaware Secretary of State on December 11, 1998.

The text of the Restated Certificate of Incorporation as amended or supplemented heretofore is hereby restated and integrated, but not amended, to read as herein set forth in full and there is no discrepancy between the provisions of the Restated Certificate of Incorporation as so amended or supplemented and the provisions of this Restated Certificate of Incorporation. Following the effective time of this Restated Certificate of Incorporation, all references hereinafter to “Certificate of Incorporation” shall refer to this Restated Certificate of Incorporation.


FIRST:	The name of the Corporation is:

Citigroup Inc.


SECOND:	The registered office of the Corporation is to be located at the Corporation Trust Center, 1209 Orange Street, in the City of Wilmington, in the county of New Castle, in the State of Delaware. The name of its registered agent at that address is The Corporation Trust Company.


THIRD:	The purpose of the Corporation is:

To engage in any lawful act or activity for which corporations may be organized under the General Corporation Law of Delaware.

FOURTH: A.

The total number of shares of all classes of stock which the Corporation shall have authority to issue is Sixty Billion Thirty Million (60,030,000,000). The total number of shares of Common Stock which the Corporation shall have authority to issue is Sixty Billion (60,000,000,000) shares of Common Stock having a par value of one cent ($.01) per share. The total number of shares of Preferred Stock which the Corporation shall have the authority to issue is Thirty Million (30,000,000) shares having a par value of one dollar ($1.00) per share.

B. The Board of Directors is authorized, subject to limitations prescribed by law and the provisions of this Article FOURTH, to provide for the issuance of the shares of Preferred Stock in series, and by filing a certificate pursuant to the applicable law of the State of Delaware, to establish from time to time the number of shares to be included in each such series, and to fix the designation, powers, preferences and rights of the shares of each such series and the qualifications, limitations or restrictions thereof. The authority of the Board of Directors with respect to each series shall include, but not be limited to, determination of the following:


(i)	The number of shares constituting that series and the distinctive designation of that series;


(ii)	The dividend rate on the shares of that series, whether dividends shall be cumulative, and, if so, from which date or dates, and the relative rights of priority, if any, of payment of dividends on shares of that series;


(iii)	Whether that series shall have voting rights, in addition to the voting rights provided by law, and, if so, the terms of such voting rights;


(iv)	Whether that series shall have conversion or exchange privileges, and, if so, the terms and conditions of such conversion or exchange, including provision for adjustment of the conversion or exchange rate in such events as the Board of Directors shall determine;

(v)

Whether or not the shares of that series shall be redeemable, and, if so, the terms and conditions of such redemption, including the manner of selecting shares for redemption if less than all shares are to be redeemed, the date or dates upon or after which they shall be redeemable, and the amount per share payable in case of redemption, which amount may vary under different conditions and at different redemption dates;


(vi)	Whether that series shall have a sinking fund for the redemption or purchase of shares of that series, and, if so, the terms and amount of such sinking fund;

(vii)

The right of the shares of that series to the benefit of conditions and restrictions upon the creation of indebtedness of the Corporation or any subsidiary, upon the issue of any additional stock (including additional shares of such series or any other series) and upon the payment of dividends or the making of other distributions on, and the purchase, redemption or other acquisition by the Corporation or any subsidiary of any outstanding stock of the Corporation;

(viii)The rights of the shares of that series in the event of voluntary or involuntary liquidation, dissolution or winding up of the Corporation, and the relative rights of priority, if any, of payment of shares of that series; and


(ix)	Any other relative, participating, optional or other special rights, qualifications, limitations or restrictions of that series.

C. Dividends on outstanding shares of Preferred Stock shall be paid, or declared and set apart for payment, before any dividends shall be paid or declared and set apart for payment on outstanding shares of Common Stock. If upon any voluntary or involuntary liquidation, dissolution or winding up of the Corporation, the assets available for distribution to holders of shares of Preferred Stock of all series shall be insufficient to pay such holders the full preferential amount to which they are entitled, then such assets shall be distributed ratably among the shares of all series of Preferred Stock in accordance with the respective preferential amounts (including unpaid cumulative dividends, if any) payable with respect thereto.

D. Shares of any series of Preferred Stock which have been redeemed (whether through the operation of a sinking fund or otherwise) or which, if convertible or exchangeable, have been converted into or exchanged for shares of stock of any other class or classes shall have the status of authorized and unissued shares of Preferred Stock of the same series and may be reissued as a part of the series of which they were originally a part or may be reclassified and reissued as part of a new series of Preferred Stock to be created by resolution or resolutions of the Board of Directors or as part of any other series of Preferred Stock, all subject to the conditions and the restrictions on issuance set forth in the resolution or resolutions adopted by the Board of Directors providing for the issue of any series of Preferred Stock.

E. Subject to the provisions of any applicable law or except as otherwise provided by the resolution or resolutions providing for the issue of any series of Preferred Stock, the holders of outstanding shares of Common Stock shall exclusively possess voting power for the election of directors and for all other purposes; each holder of record of shares of Common Stock being entitled to one vote for each share of Common Stock standing in his name on the books of the Corporation; provided, however, that, except as otherwise required by law, holders of Common Stock shall not be entitled to vote on any amendment to this Certificate of Incorporation (including any certificate relating to shares of Preferred Stock contemplated or authorized by Section B or Section J of this Article FOURTH) that relates solely to the terms of one or more outstanding series of Preferred Stock if the holders of such affected series are entitled, either separately or together as a class with the holders of one or more other such series, to vote thereon pursuant to this Restated Certificate of Incorporation (including any certificate relating to shares of Preferred Stock contemplated or authorized by Section B or Section J of this Article FOURTH).

F. Except as otherwise provided by the resolution or resolutions providing for the issue of any series of Preferred Stock, after payment shall have been made to the holders of Preferred Stock of the full amount of dividends to which they shall be entitled pursuant to the resolution or resolutions providing for the issue of any series of Preferred Stock, the holders of Common Stock shall be entitled, to the exclusion of the holders of Preferred Stock of any and all series, to receive such dividends as from time to time may be declared by the Board of Directors.

G. Except as otherwise provided by the resolution or resolutions providing for the issue of any series of Preferred Stock, in the event of any liquidation, dissolution or winding up of the Corporation, whether voluntary or involuntary, after payment shall have been made to the holders of Preferred Stock of the full amount to which they shall be entitled pursuant to the resolution or resolutions providing for the issue of any series of Preferred Stock, the

holders of Common Stock shall be entitled, to the exclusion of the holders of Preferred Stock of any and all series, to share ratably according to the number of shares of Common Stock held by them, in all remaining assets of the Corporation available for distribution.

H. The issuance of any shares of Common Stock or Preferred Stock authorized hereunder and any other actions permitted to be taken by the Board of Directors pursuant to this Article FOURTH must be authorized by the affirmative vote of at least sixty-six and two-thirds percent (66 2/3%) of the entire Board of Directors or by a committee of the Board of Directors constituted by the affirmative vote of at least sixty-six and two-thirds percent (66 2/3%) of the entire Board of Directors.

I. Notwithstanding any other provision of this Certificate of Incorporation, the affirmative vote of the holders of at least a majority of the voting power of the outstanding shares entitled to vote thereon shall be required to amend, alter, change or repeal, or adopt any provision as part of this Certificate of Incorporation inconsistent with the purpose and intent of, Section B through I of this Article FOURTH.

J. Pursuant to the authority conferred by this Article FOURTH, the following series of Preferred Stock are hereby provided for, with the number of shares to be included in each such series, and the designation, powers, preference and rights, and qualifications, limitations or restrictions thereof fixed as stated and expressed with respect to each such series in the respective exhibit attached hereto as specified below and incorporated herein by reference:



	Exhibit I		8.125% Non-Cumulative Preferred Stock, Series AA
	Exhibit II		8.40% Fixed Rate / Floating Rate Non-Cumulative Preferred Stock, Series E
	Exhibit III		8.50% Non-Cumulative Preferred Stock, Series F
	Exhibit IV		Series R Participating Cumulative Preferred Stock
	Exhibit V		6.5% Non-Cumulative Convertible Preferred Stock, Series T


FIFTH:	The Directors need not be elected by written ballot unless and to the extent the By-Laws so require.


SIXTH:	The books and records of the Corporation may be kept (subject to any mandatory requirement of law) outside the State of Delaware at such place or places as may be determined from time to time by or pursuant to authority granted by the Board of Directors or by the By-Laws.

SEVENTH:

The business and affairs of the Corporation shall be managed by or under the direction of a Board of Directors, the exact number of directors to be determined from time to time by resolution adopted by affirmative vote of a majority of the entire Board of Directors. At each annual meeting, each director shall be elected for a one-year term. A director shall hold office until the annual meeting held the year in which his or her term expires and until his or her successor shall be elected and shall qualify, subject, however, to prior death, resignation, retirement, disqualification or removal from office. Any vacancy on the Board of Directors that results from an increase in the number of directors may be filled by a majority of the Board of Directors then in office, provided that a quorum is present, and any other vacancy occurring in the Board of Directors may be filled by a majority of the directors then in office, even if less than a quorum, or a sole remaining director. Any director elected to fill a vacancy not resulting from an increase in the number of directors shall have the same remaining term as that of his or her predecessor. Notwithstanding the foregoing, whenever the holders of any one or more classes or series of Preferred Stock issued by the Corporation shall have the right, voting separately by class or series, to elect directors at an annual or special meeting of stockholders, the election, term of office, filling of vacancies and other features of such directorships shall be governed by the terms of this Restated Certificate of Incorporation applicable thereto.

EIGHTH: A.

In addition to any affirmative vote required by law or this Certificate of Incorporation or the By-Laws of the Corporation, and except as otherwise expressly provided in Section B of this Article EIGHTH, a Business Combination (as hereinafter defined) shall require the affirmative vote of not less than a majority of the votes cast affirmatively and negatively by the holders of Voting Stock (as hereinafter defined), voting together as a single class. Such affirmative vote shall be required notwithstanding the fact that no vote may be required, or that a lesser percentage or separate class vote may be specified, by law or in any agreement with any national securities exchange or otherwise.

The provisions of Section A of this Article EIGHTH shall not be applicable to any particular Business Combination, and such Business Combination shall require only such affirmative vote, if any, as is required by law or by any other provision of this Certificate of Incorporation or the By-Laws of the Corporation or otherwise, if all of the conditions specified in either of the following Paragraphs 1 or 2 are met; provided, however, that in the case of a Business Combination that does not involve the payment of consideration to the holders of the Corporation’s outstanding

Capital Stock (as hereinafter defined), then the provisions of Section A of this Article EIGHTH must be satisfied unless the conditions specified in the following Paragraph 1 are met:

The Business Combination shall have been approved (and such approval not subsequently rescinded) by a majority of the Continuing Directors (as hereinafter defined), either specifically or as a transaction which is within an approved category of transactions with an Interested Stockholder. Such approval may be given prior to or subsequent to the acquisition of, or announcement or public disclosure of the intention to acquire, beneficial ownership of the Voting Stock that caused the Interested Stockholder to become an Interested Stockholder, provided, however, that approval shall be effective for the purposes of this Paragraph 1 only if obtained at a meeting at which a Continuing Director Quorum (as hereinafter defined) was present; and provided further, that such approval may be rescinded by a majority of the Continuing Directors at any meeting at which a Continuing Director Quorum is present and which is held prior to consummation of the proposed Business Combination.


2.	All of the following conditions, if applicable, shall have been met:

The aggregate amount of cash and the Fair Market Value (as hereinafter defined), as of the date of the consummation of the Business Combination (the “Consummation Date”), of consideration other than cash to be received per share by holders of shares of any class or series of outstanding Capital Stock in such Business Combination shall be at least equal to the amount determined, as applicable, under Paragraph 2(a) or 2(b) below:

(a)

if the Fair Market Value per share of such class or series of Capital Stock on the date of the first public announcement of the proposed Business Combination (the “Announcement Date”) is less than the Fair Market Value per share of such class or series of Capital Stock on the date on which the Interested Stockholder became an Interested Stockholder (the “Determination Date”), an amount (the “Premium Capital Stock Price”) equal to the sum of (i) the Fair Market Value per share of such class or series of Capital Stock on the Announcement Date plus (ii) the product of the Fair Market Value per share of such class or series of Capital Stock on the Announcement Date multiplied by the highest percentage premium over the closing sale price per share of such class or series of Capital Stock paid on any day by or on behalf of the Interested Stockholder for any share of such class or series of Capital Stock in connection with the acquisition by the Interested Stockholder of beneficial ownership of shares of such class or series of Capital Stock within the two-year period immediately prior to the Announcement Date or in the transaction in which it became an Interested Stockholder; provided, however, that if the Premium Capital Stock Price as determined above is greater than the highest per share price paid by or on behalf of the Interested Stockholder for any share of such class or series of Capital Stock in connection with the acquisition by the Interested Stockholder of beneficial ownership of shares of such class or series of Capital Stock within the two-year period immediately prior to the Announcement Date, the amount required under this Paragraph 2(a) shall be the higher of (A) such highest price paid by or on behalf of the Interested Stockholder, and (B) the Fair Market Value per share of such class or series of Capital Stock on the Announcement Date (the Fair Market Value and other prices per share of such class or series of Capital Stock referred to in this Paragraph 2(a) shall be in each case appropriately adjusted for any subsequent stock split, stock dividend, subdivision or reclassification with respect to such class or series of Capital Stock); or

(b)

if the Fair Market Value per share of such class or series of Capital Stock on the Announcement Date is greater than or equal to the Fair Market Value per share of such class or series of Capital Stock on the Determination Date, in each case as appropriately adjusted for any subsequent stock split, stock dividend, subdivision or reclassification with respect to such class or series of Capital Stock, a price per share equal to the Fair Market Value per share of such class or series of Capital Stock on the Announcement Date.

The provisions of this Paragraph 2 shall be required to be met with respect to every class or series of outstanding Capital Stock which is the subject of the Business Combination whether or not the Interested Stockholder has previously acquired beneficial ownership of any shares of a particular class or series of Capital Stock.


(c)	After the Determination Date and prior to the Consummation Date of such Business Combination:

(i) except as approved by a majority of the Continuing Directors at a meeting at which a Continuing Director Quorum is present, there shall have been no failure to declare and pay at the regular date

therefor any full quarterly dividends (whether or not cumulative) payable in accordance with the terms of any outstanding Capital Stock; (ii) there shall have been an increase in the annual rate of dividends paid on the Common Stock as necessary to reflect any reclassification (including any reverse stock split), recapitalization, reorganization or any similar transaction that has the effect of reducing the number of outstanding shares of Common Stock, unless the failure so to increase such annual rate is approved by a majority of the Continuing Directors at a meeting at which a Continuing Director Quorum is present; and (iii) such Interested Stockholder shall not have become the beneficial owner of any additional shares of Capital Stock except as part of the transaction that results in such Interested Stockholders becoming an Interested Stockholder and except in a transaction that, after giving effect thereto, would not result in any increase in the Interested Stockholder’s percentage beneficial ownership of any class or series of Capital Stock.

(d)

After the Determination Date, such Interested Stockholder shall not have received the benefit, directly or indirectly (except proportionately as a stockholder of the Corporation), of any loans, advances, guarantees, pledges or other financial assistance or any tax credits or other tax advantages provided by the Corporation, whether in anticipation of or in connection with such Business Combination or otherwise.

(e)

A proxy or information statement describing the proposed Business Combination and complying with the requirements of the Securities Exchange Act of 1934 and the rules and regulations thereunder (the “Act”) (or any subsequent provisions replacing such Act, rules or regulations), shall be mailed to all stockholders of the Corporation at least 30 days prior to the consummation of such Business Combination (whether or not such proxy or information statement is required to be mailed pursuant to such Act or subsequent provisions). The proxy or information statement shall contain on the first page thereof, in a prominent place, any statement as to the advisability (or inadvisability) of the Business Combination that the Continuing Directors, or any of them, may choose to make and, if deemed advisable by a majority of the Continuing Directors, the opinion of an investment banking firm selected by a majority of the Continuing Directors as to the fairness (or not) of the terms of the Business Combination from a financial point of view to the holders of the outstanding shares of Capital Stock other than the Interested Stockholder and its Affiliates or Associates (as hereinafter defined), such investment banking firm to be paid a reasonable fee for its services by the Corporation.


(f)	Such Interested Stockholder shall not have made any major change in the Corporation’s business or equity capital structure without the approval of at least a majority of the Continuing Directors.

C. The following definitions shall apply with respect to this Article EIGHTH:

1. The term “Business Combination” shall mean:

(a)

any merger or consolidation of the Corporation or any Major Subsidiary (as hereinafter defined) with, or any sale, lease, exchange, transfer or other disposition of substantially all the assets or outstanding shares of capital stock of the Corporation or any Major Subsidiary with or for the benefit of, (i) any Interested Stockholder or (ii) any other company (whether or not itself an Interested Stockholder) which is or after such merger, consolidation or sale, lease, exchange, transfer or other disposition would be an Affiliate or Associate of an Interested Stockholder; or

(b)

any sale, lease, exchange, mortgage, pledge, transfer or other disposition or security arrangement, investment, loan, advance, guarantee, agreement to purchase, agreement to pay, extension of credit, joint venture participation or other arrangement (in one transaction or a series of transactions) with or for the benefit of any Interested Stockholder or any Affiliate or Associate of any Interested Stockholder involving any assets, securities or commitments of the Corporation, any Major Subsidiary or any Interested Stockholder or any Affiliate or Associate of any Interested Stockholder having an aggregate Fair Market Value and/or involving aggregate commitments of Twenty-Five Million dollars ($25,000,000) or more; or

(c)

any reclassification of securities (including any reverse stock split), or recapitalization of the Corporation, or any merger or consolidation of the Corporation with any of its Subsidiaries (as hereinafter defined) or any other transaction (whether or not with or otherwise involving an Interested Stockholder) that has the effect, directly or indirectly, of increasing the proportionate share of any class or series of Capital Stock, or any securities convertible into Capital Stock or into equity securities of

any Subsidiary, that is beneficially owned by any Interested Stockholder or any Affiliate or Associate of any Interested Stockholder; or


(d)	any agreement, contract or other arrangement providing for any one or more of the actions specified in the foregoing clauses (a) to (d);

provided, however, that no such aforementioned transaction shall be deemed to be a Business Combination subject to this Article EIGHTH if the Announcement Date of such transaction occurs more than eighteen months after the Determination Date with respect to such Interested Stockholder.


2.	The term “Capital Stock” shall mean all capital stock of the Corporation authorized to be issued from time to time under Article FOURTH of this Certificate of Incorporation, including, without limitation, the Common Stock, and the term “Voting Stock” shall mean all Capital Stock which by its terms may be voted on all matters submitted to stockholders of the Corporation generally.


3.	The term “person” shall mean any individual, firm, company or other entity and shall include any group comprised of any person and any other person with whom such person or any Affiliate or Associate of such person has any agreement, arrangement or understanding, directly or indirectly, for the purpose of acquiring, holding, voting or disposing of Capital Stock.

The term “Interested Stockholder” shall mean any person (other than the Corporation or any Subsidiary and other than any profit-sharing, employee stock ownership or other employee benefit plan of the Corporation or any trustee of or fiduciary with respect to any such plan when acting in such capacity) who (a) is, or has announced or publicly disclosed a plan or intention to become, the beneficial owner of Voting Stock representing twenty-five percent (25%) or more of the votes entitled to be cast by the holders of all then outstanding shares of Voting Stock; or (b) is an Affiliate or Associate of the Corporation and at any time within the two-year period immediately prior to the date in question was the beneficial owner of Voting Stock representing twenty-five percent (25%) or more of the votes entitled to be cast by the holders of all then outstanding shares of Voting Stock.

A person shall be a “beneficial owner” of any Capital Stock (a) which such person or any of its Affiliates or Associates beneficially owns directly or indirectly; (b) which such person or any of its Affiliates or Associates has, directly or indirectly, (i) the right to acquire (whether such right is exercisable immediately or subject only to the passage of time), pursuant to any agreement, arrangement or understanding or upon the exercise of conversion rights, exchange rights, warrants or options, or otherwise, or (ii) the right to vote pursuant to any agreement, arrangement or understanding; or (c) which is beneficially owned, directly or indirectly, by any other person with which such person or any of its Affiliates or Associates has any agreement, arrangement or understanding for the purpose of acquiring, holding, voting or disposing of any shares of Capital Stock. For the purposes of determining whether a person is an Interested Stockholder pursuant to Paragraph 4 of this Section C, the number of shares of Capital Stock deemed to be outstanding shall include shares deemed beneficially owned by such person through application of this Paragraph 5 of Section C, but shall not include any other shares of Capital Stock that may be reserved for issuance or issuable pursuant to any agreement, arrangement or understanding, or upon exercise of conversion rights, warrants or options, or otherwise.

The terms “Affiliate” and “Associate” shall have the respective meanings ascribed to such terms in Rule 12b-2 under the Act as in effect on the date that this Article EIGHTH is approved and adopted by the Sole Incorporator (the term “registrant” in said Rule 12b-2 meaning in this case the Corporation); provided, however, that the terms “Affiliate” and “Associate” shall not include any profit-sharing, employee stock ownership or other employee benefit plan of the Corporation or any trustee of or fiduciary with respect to any such plan when acting in such capacity.

The term “Subsidiary” means any company of which a majority of any class of equity security is beneficially owned by the Corporation; provided, however, that for the purposes of the definition of Interested Stockholder set forth in Paragraph 4 of this Section C, the term “Subsidiary” shall mean only a company of which a majority of each class of equity security is beneficially owned by the Corporation.


8.	The term “Major Subsidiary” means a Subsidiary having assets of twenty-five million dollars ($25,000,000) or more as reflected in the most recent fiscal year-end audited, or if unavailable, unaudited, consolidated balance sheet, prepared in accordance with applicable state insurance law with respect to

Subsidiaries engaged in an insurance business, and in accordance with generally accepted accounting principles with respect to Subsidiaries engaged in a business other than an insurance business.

The term “ Continuing Director” means any member of the Board of Directors of the Corporation, while such person is a member of the Board of Directors, who is not an Affiliate or Associate or representative of the Interested Stockholder and who was a member of the Board of Directors prior to the time that the Interested Stockholder became an Interested Stockholder, and any successor of a Continuing Director while such successor is a member of the Board of Directors, who is not an Affiliate or Associate or representative of the Interested Stockholder and who is recommended or elected to succeed the Continuing Director by a majority of the Continuing Directors; provided, however, that the term “Continuing Director” shall not include any officer of the Corporation or of any Affiliate or Associate of the Corporation.

10.

The term “Fair Market Value” means (a) in the case of cash, the amount of such cash; (b) in the case of stock, the highest closing sale price during the 30-day period immediately preceding the date in question of a share of such stock on the Composite Tape for New York Stock Exchange-Listed Stocks, or, if such stock is not quoted on the Composite Tape, on the New York Stock Exchange, or, if such stock is not listed on such Exchange, on the principal United States securities exchange registered under the Act on which such stock is listed, or, if such stock is not listed on any such exchange, the highest closing bid quotation with respect to a share of such stock during the 30-day period preceding the date in question on the National Association of Securities Dealers, Inc. Automated Quotations System or any similar system then in use, or if no such quotations are available, the fair market value on the date in question of a share of such stock as determined by a majority of the Continuing Directors in good faith; and (c) in the case of property other than cash or stock, the fair market value of such property on the date in question as determined in good faith by a majority of the Continuing Directors.


11.	The term “Continuing Director Quorum” means at least two (2) Continuing Directors capable of exercising the power conferred upon them under the provisions of the Certificate of Incorporation and By-Laws of the Corporation.


12.	In the event of any Business Combination in which the Corporation survives, the phrase “consideration other than cash to be received” as used in Paragraph 2 of Section B of this Article EIGHTH shall include the shares of Common Stock and/or the shares of any other class or series of Capital Stock retained by the holders of such shares.

D. A majority of the Continuing Directors at a meeting at which a Continuing Director Quorum is present shall have the power and duty to determine the purposes of this Article EIGHTH, on the basis of information known to them after reasonable inquiry, and to determine all questions arising under this Article EIGHTH, including, without limitation, (a) whether a person is an Interested Stockholder, (b) the number of shares of Capital Stock or other securities beneficially owned by any person, (c) whether a person is an Affiliate or Associate of another, (d) whether the assets that are the subject of any Business Combination have, or the consideration to be received for the issuance or transfer of securities by the Corporation or any Subsidiary in any Business Combination has, an aggregate Fair Market Value of twenty-five million dollars ($25,000,000) or more as provided in Paragraph 1(b) of Section C of this Article EIGHTH and (e) whether a Subsidiary is a Major Subsidiary. Any such determination made in good faith shall be binding and conclusive on all parties. In the event a Continuing Director Quorum cannot be attained at such meeting, all such determinations shall be made by the Delaware Court of Chancery.

E. Nothing contained in this Article EIGHTH shall be construed to relieve any Interested Stockholder from any fiduciary obligation imposed by law.

F. The fact that any Business Combination complies with the provisions of Section B of this Article EIGHTH shall not be construed to impose any fiduciary duty, obligation or responsibility on the Board of Directors, or any member thereof, to approve such Business Combination or recommend its adoption or approval to the stockholders of the Corporation, nor shall such compliance limit, prohibit or otherwise restrict in any manner the Board of Directors, or any member thereof, with respect to evaluations of or actions and responses taken with respect to such Business Combination.

G. Notwithstanding any other provisions of this Certificate of Incorporation or the By-Laws of the Corporation (and notwithstanding the fact that a lesser percentage or separate class vote may be specified by law, this Certificate of Incorporation or the By-Laws of the Corporation), the affirmative vote of the holders of not less than a majority of the voting power of the outstanding shares entitled to vote thereon, voting together as a single class, shall be

required to amend, alter, change or repeal, or adopt any provision as part of this Certificate of Incorporation inconsistent with the purpose and intent of this Article EIGHTH.

NINTH:

In furtherance and not in limitation of the powers conferred upon it by the laws of the State of Delaware, the Board of Directors shall have the power to adopt, amend, alter or repeal the Corporation’s By-Laws. The affirmative vote of at least sixty-six and two-thirds percent (66 2/3%) of the entire Board of Directors shall be required to adopt, amend, alter or repeal the Corporation’s By-Laws. Notwithstanding any other provisions of this Certificate of Incorporation or the By-Laws of the Corporation (and notwithstanding the fact that a lesser percentage or separate class vote may be specified by law, this Certificate of Incorporation or the By-Laws of the Corporation), the affirmative vote of the holders of not less than a majority of the voting power of the outstanding shares entitled to vote thereon shall be required to adopt, amend, alter or repeal, or adopt any provision as part of this Certificate of Incorporation inconsistent with the purpose and intent of, this Article NINTH.

TENTH:

No director of the Corporation shall be liable to the Corporation or its stockholders for monetary damages for breach of fiduciary duty as a director, except for liability (i) for any breach of the director’s duty of loyalty to the Corporation or its stockholders, (ii) for acts or omissions not in good faith or which involve intentional misconduct or a knowing violation of law, (iii) under Section 174 of the Delaware General Corporation Law, or (iv) for any transaction from which the director derived an improper personal benefit.


ELEVENTH:	Except as provided in Articles FOURTH, SEVENTH, EIGHTH and NINTH of this Certificate of Incorporation, the Corporation reserves the right to amend and repeal any provision contained in this Certificate of Incorporation in the manner prescribed by the laws of the State of Delaware, and all rights of stockholders shall be subject to this reservation.

This Restated Certificate of Incorporation was duly adopted by the Board of Directors in accordance with Section 245 of the General Corporation Law of the State of Delaware.

This Restated Certificate of Incorporation shall be effective upon filing.

IN WITNESS WHEREOF, the Corporation has caused this Restated Certificate of Incorporation to be signed by its duly authorized officer, this 30 th day of October, 2009.



	CITIGROUP INC.

	/s/ Michael S. Helfer
	Name:	Michael S. Helfer
		Corporate Secretary

Exhibit I

8.125% Non-Cumulative Preferred Stock, Series AA

Section 1. Designation.

The designation of the series of preferred stock shall be “8.125% Non-Cumulative Preferred Stock, Series AA” (the “ Series AA Preferred Stock ”). Each share of Series AA Preferred Stock shall be identical in all respects to every other share of Series AA Preferred Stock. Series AA Preferred Stock will rank equally with Parity Stock, if any, will rank senior to Junior Stock and will rank junior to Senior Stock, if any, with respect to the payment of dividends and/or the distribution of assets in the event of any voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company.

Section 2. Number of Shares.

The number of authorized shares of Series AA Preferred Stock shall be 149,500. That number from time to time may be increased (but not in excess of the total number of authorized shares of preferred stock) or decreased (but not below the number of shares of Series AA Preferred Stock then outstanding) by further resolution duly adopted by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof and by the filing of a certificate pursuant to the provisions of the General Corporation Law of the State of Delaware stating that such increase or reduction, as the case may be, has been so authorized. The Company shall have the authority to issue fractional shares of Series AA Preferred Stock.

Section 3. Definitions. As used herein with respect to Series AA Preferred Stock:

“ Agent Members ” has the meaning set forth in Section 15(c).

“ Board of Directors ” has the meaning set forth in the recitals above.

“ Business Day ” means any weekday that is not a legal holiday in New York, New York and is not a day on which banking institutions in New York, New York are authorized or required by law or regulation to be closed.

“ Common Stock ” means the common stock of the Company, par value $0.01 per share, or any other shares of the capital stock of the Company into which such shares of common stock shall be reclassified or changed.

“ Depositary ” means DTC or its nominee or any successor depositary appointed by the Company.

“ Dividend Payment Date ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Period ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Record Date ” shall have the meaning set forth in Section 4(a) hereof.

“ DTC ” means The Depository Trust Company.

“ Global Series AA Preferred Stock ” has the meaning set forth in Section 15(a).

“ Holder ” means the Person in whose name the shares of the Series AA Preferred Stock are registered, which may be treated by the Company, Transfer Agent, Registrar and paying agent as the absolute owner of the shares of Series AA Preferred Stock for the purpose of making payment and for all other purposes.

“ Junior Stock ” means the Common Stock and any other class or series of stock of the Company now existing or hereafter authorized over which Series AA Preferred Stock has preference or priority in the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

“ Nonpayment ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Officer ” means the Chief Executive Officer, the Chairman, the Chief Administrative Officer, any Vice Chairman, the Chief Financial Officer, the Controller, the Chief Accounting Officer, the Treasurer and Head of Corporate Finance, any Assistant Treasurer, the General Counsel and Corporate Secretary and any Assistant Secretary of the Company.

“ Parity Stock ” means any class or series of stock of the Company hereafter authorized that ranks equally with the Series AA Preferred Stock in the payment of dividends and in the distribution of assets on any liquidation, dissolution or winding up of the Company.

“ Person ” means a legal person, including any individual, corporation, estate, partnership, joint venture, association, joint-stock company, limited liability company or trust.

“ Preferred Stock Director ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Registrar ” means the Transfer Agent acting in its capacity as registrar for the Series AA Preferred Stock, and its successors and assigns.

“ Senior Stock ” means any class or series of stock of the Company now existing or hereafter authorized which has preference or priority over the Series AA Preferred Stock as to the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

“ Series AA Preferred Stock ” shall have the meaning set forth in Section 1 hereof.

“ Transfer Agent ” means The Bank of New York Mellon acting as Transfer Agent, Registrar and paying agent for the Series AA Preferred Stock, and its successors and assigns.

“ Trust ” shall have the meaning set forth in Section 6(d).

Section 4. Dividends.

(a)

Rate. Holders shall be entitled to receive, if, as and when declared by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof, but only out of assets legally available therefor, non-cumulative cash dividends on the liquidation preference of $25,000 per share of Series AA Preferred Stock, and no more, payable quarterly in arrears on each February 15, May 15, August 15 and November 15; provided, however, if any such day is not a Business Day, then payment of any dividend otherwise payable on that date will be made on the next succeeding day that is a Business Day, unless that day falls in the next calendar year, in which case payment of such dividend will occur on the immediately preceding Business Day (in either case, without any interest or other payment in respect of such delay) (each such day on which dividends are payable a “ Dividend Payment Date ”). The period from and including the date of issuance of the Series AA Preferred Stock or any Dividend Payment Date to, but excluding, the next Dividend Payment Date is a “ Dividend Period .” Dividends on each share of Series AA Preferred Stock will accrue on the liquidation preference of $25,000 per share at a rate per annum equal to 8.125%. The record date for payment of dividends on the Series AA Preferred Stock will be the fifteenth day of the calendar month immediately preceding the month during which the Dividend Payment Date falls or such other record date fixed by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof that is not more than 30 nor less than 10 days prior to such Dividend Payment Date (each, a “ Dividend Record Date ”). Any such day that is a Dividend Record Date will be a Dividend Record Date whether or not such day is a Business Day. The amount of dividends payable will be computed on the basis of a 360-day year of twelve 30-day months.

(b)

Non-Cumulative Dividends. If the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof does not declare a dividend on the Series AA Preferred Stock for any Dividend Period prior to the related Dividend Payment Date, that dividend will not accrue, and the Company will have no obligation to pay, and Holders shall have no right to receive, a dividend for that Dividend Period on the related Dividend Payment Date or at any future time, whether or not dividends on the Series AA Preferred Stock or any other series of preferred stock or common stock are declared for any subsequent Dividend Period with respect to Series AA Preferred Stock, Parity Stock, Junior Stock or any other class or series of authorized preferred stock of the Company. References herein to the “accrual” of dividends refer only to the determination of the amount of such dividend and do not imply that any right to a dividend arises prior to the date on which a dividend is declared.

(c)

Priority of Dividends. So long as any share of Series AA Preferred Stock remains outstanding, unless as to a Dividend Payment Date full dividends on all outstanding shares of the Series AA Preferred Stock have been declared and paid or declared and a sum sufficient for the payment of those dividends has been set aside for the Dividend Period then ending, the Company will not, and will cause its subsidiaries not to, during the next succeeding Dividend Period that commences on such Dividend Payment Date, declare or pay any dividend on, make any distributions relating to, or redeem, purchase, acquire or make a liquidation payment relating to, any Junior Stock, or make any guarantee payment with respect thereto, other than:


(i)	purchases, redemptions or other acquisitions of shares of Junior Stock in connection with any employment contract, benefit plan or other similar arrangement with or for the benefit of employees, officers, directors or consultants;


(ii)	purchases of shares of Common Stock pursuant to a contractually binding requirement to buy stock existing prior to the commencement of the then-current dividend period, including under a contractually binding stock repurchase plan;


(iii)	as a result of an exchange or conversion of any class or series of Junior Stock for any other class or series of Junior Stock;


(iv)	the purchase of fractional interests in shares of Junior Stock pursuant to the conversion or exchange provisions of such Junior Stock or the security being converted or exchanged;


(v)	the purchase of Junior Stock by an investment banking subsidiary of the Company in connection with the distribution thereof; or


(vi)	the purchase of Junior Stock by any investment banking subsidiary of the Company in connection with market-making or other secondary market activities in the ordinary course of the business of such subsidiary.

The foregoing restriction, however, will not apply to any Junior Stock dividends paid by the Company where the dividend stock is the same stock as that on which the dividend is being paid.

Except as provided below, for so long as any share of Series AA Preferred Stock remains outstanding, if dividends are not declared and paid in full upon the shares of Series AA Preferred Stock and any Parity Stock, all dividends declared upon shares of Series AA Preferred Stock and any Parity Stock will be declared on a proportional basis so that the amount of dividends declared per share will bear to each other the same ratio that accrued dividends for the then-current Dividend Period per share of Series AA Preferred Stock and accrued dividends for the then-current Dividend Period per share of any Parity Stock (including, in the case of any such Parity Stock that bears cumulative dividends, all accrued and unpaid dividends) bear to each other.

Subject to the foregoing, and not otherwise, such dividends payable in cash, stock or otherwise, as may be determined by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof, may be declared and paid on any Junior Stock and Parity Stock from time to time out of any assets legally available for such payment, and Holders will not be entitled to participate in those dividends.

Section 5. Liquidation Rights.

(a)

Liquidation. In the event of any voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company, Holders shall be entitled, out of assets legally available therefor, before any distribution or payment out of the assets of the Company may be made to or set aside for the holders of any Junior Stock and subject to the rights of the holders of any class or series of securities ranking senior to or on parity with Series AA Preferred Stock upon liquidation and the rights of the Company’s depositors and other creditors, to receive in full a liquidating distribution in the amount of the liquidation preference of $25,000 per share, plus any dividends thereon from the last dividend payment date to, but excluding, the date of the liquidation, dissolution or winding up if and to the extent declared. Holders shall not be entitled to any further payments in the event of any such voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company other than what is expressly provided for in this Section 5.

(b)

Partial Payment. If the assets of the Company are not sufficient to pay in full the liquidation preference plus any dividends which have been declared but not yet paid to all Holders and all holders of any Parity Stock, the amounts paid to the Holders and to the holders of all Parity Stock shall be pro rata in accordance with the respective aggregate liquidating distributions to which they would otherwise be entitled.


(c)	Residual Distributions. If the respective aggregate liquidating distributions to which all Holders and all holders of any Parity Stock are entitled have been paid, the holders of Junior Stock shall be entitled to receive all remaining assets of the Company according to their respective rights and preferences.


(d)	Merger, Consolidation and Sale of Assets Not Liquidation. For purposes of this Section 5, the sale, conveyance, exchange or transfer (for cash, shares of stock, securities or other consideration) of all or substantially all of the property and assets of the Company shall not be deemed a voluntary or involuntary dissolution, liquidation or winding up of the

affairs of the Company, nor shall the merger, consolidation or any other business combination transaction of the Company into or with any other corporation or person or the merger, consolidation or any other business combination transaction of any other corporation or person into or with the Company be deemed to be a voluntary or involuntary dissolution, liquidation or winding up of the affairs of the Company.

Section 6. Redemption.

(a)

Optional Redemption. The Company, at the option of its Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof, may redeem out of funds legally available therefor, in whole or in part, the shares of Series AA Preferred Stock at the time outstanding, on any Dividend Payment Date as to which the Company has declared a dividend in full on the Series AA Preferred Stock on or after the Dividend Payment Date on February 15, 2018, upon notice given as provided in Section 6(b) below, and at a redemption price equal to $25,000 per share; provided, however, that the Company may not effect a partial redemption of the Series AA Preferred Stock unless at least 2,000 shares ($50,000,000 aggregate liquidation amount) of Series AA Preferred Stock, excluding shares of Series AA Preferred Stock held by the Company or its subsidiaries, remain outstanding after giving effect to such partial redemption.

(b)

Notice of Redemption. Notice of every redemption of shares of Series AA Preferred Stock shall be mailed by first class mail, postage prepaid, addressed to the Holders of such shares to be redeemed at their respective last addresses appearing on the stock register of the Company. Such mailing shall be at least 30 days and not more than 60 days before the date fixed for redemption. Any notice mailed as provided in this Section 6(b) shall be conclusively presumed to have been duly given, whether or not the Holder receives such notice, but failure duly to give such notice by mail, or any defect in such notice or in the mailing thereof, to any Holder of shares of Series AA Preferred Stock designated for redemption shall not affect the validity of the proceedings for the redemption of any other shares of Series AA Preferred Stock. Each notice shall state:


(i)	the redemption date;


(ii)	the number of shares of Series AA Preferred Stock to be redeemed and, if fewer than all the shares of a Holder are to be redeemed, the number of such shares to be redeemed;


(iii)	the redemption price;


(iv)	the place or places where the certificates for such shares are to be surrendered for payment of the redemption price; and


(v)	that dividends on the shares to be redeemed will cease to accrue on the redemption date.

Notwithstanding the foregoing, if the Series AA Preferred Stock is held in book-entry form through DTC, the Company may give such notice in any manner permitted by DTC.

(c)

Partial Redemption. In case of any redemption of only part of the shares of Series AA Preferred Stock at the time outstanding, the shares of Series AA Preferred Stock to be redeemed shall be selected pro rata from the Holders in proportion to the number of shares of Series AA Preferred Stock held by such Holders, by lot or in such other manner as the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof may determine to be fair and equitable. Subject to the provisions of this Section 6, the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof shall have full power and authority to prescribe the terms and conditions upon which shares of Series AA Preferred Stock shall be redeemed from time to time.

(d)

time to time, from the Trust any interest accrued on such funds, and the Holders of any shares called for redemption shall have no claim to any such interest. Any funds so deposited and unclaimed at the end of three years from the redemption date shall, to the extent permitted by law, be released or repaid to the Company, and in the event of such repayment to the Company, the Holders of the shares so called for redemption shall be deemed to be unsecured creditors of the Company for an amount equivalent to the amount deposited as stated above for the redemption of such shares and so repaid to the Company, but shall in no event be entitled to any interest.

Section 7. Voting Rights.


(a)	General. The Holders shall not be entitled to vote on any matter except as set forth in Section 7(b) below or as required by Delaware law.


(b)	Special Voting Right.

(i)

Voting Right. If and whenever dividends on the Series AA Preferred Stock or any other class or series of preferred stock that ranks on parity with Series AA Preferred Stock as to payment of dividends, and upon which voting rights equivalent to those granted by this Section 7(b)(i) have been conferred and are exercisable, have not been paid in an aggregate amount equal, as to any class or series, to at least six quarterly Dividend Periods (whether consecutive or not) (a “ Nonpayment ”), the number of directors constituting the Board of Directors shall be increased by two, and the Holders (together with holders of any class or series of the Company’s authorized preferred stock having equivalent voting rights), shall have the right, voting separately as a single class without regard to class or series (and with voting rights allocated pro rata based on the liquidation preference of each such class or series), to the exclusion of the holders of Common Stock, to elect two directors of the Company to fill such newly created directorships (and to fill any vacancies in the terms of such directorships), provided that the Holders and the holders of any such other class or series shall not be entitled to elect such directors to the extent such election would cause the Company to violate the corporate governance requirements of the New York Stock Exchange (or other exchange on which the Company’s securities may be listed) that listed companies must have a majority of independent directors and further provided that the Board of Directors shall at no time include more than two such directors. Each such director elected by the Holders and any other class or series of preferred stock that ranks on parity with the Series AA Preferred Stock as to payment of dividends and having equivalent voting rights is a “ Preferred Stock Director .”

(ii)

Election. The election of the Preferred Stock Directors will take place at any annual meeting of stockholders or any special meeting of the Holders and any other class or series of stock of the Company that ranks on parity with Series AA Preferred Stock as to payment of dividends and having equivalent voting rights and for which dividends have not been paid, called as provided herein. At any time after the special voting power has vested pursuant to Section 7(b)(i) above, the secretary of the Company may, and upon the written request of the Holders of at least 20% of the Series AA Preferred Stock or the holders of at least 20% of such other series (addressed to the secretary at the Company’s principal office) must (unless such request is received less than 90 days before the date fixed for the next annual or special meeting of the stockholders, in which event such election shall be held at such next annual or special meeting of stockholders), call a special meeting of the Holders and any other class or series of preferred stock that ranks on parity with Series AA Preferred Stock as to payment of dividends and having equivalent voting rights and for which dividends have not been paid for the election of the two directors to be elected by them as provided in Section 7(b)(iii) below. The Preferred Stock Directors shall each be entitled to one vote per director on any matter.

(iii)

Notice of Special Meeting. Notice for a special meeting will be given in a similar manner to that provided in the Company’s by-laws for a special meeting of the stockholders. If the secretary of the Company does not call a special meeting within 20 days after receipt of any such request, then any Holder may (at the expense of the Company) call such meeting, upon notice as provided in this Section 7(b)(iii), and for that purpose will have access to the stock register of the Company. The Preferred Stock Directors elected at any such special meeting will hold office until the next annual meeting of the stockholders of the Company unless they have been previously terminated or removed pursuant to Section 7(b)(iv). In case any vacancy in the office of a Preferred Stock Director occurs (other than prior to the initial election of the Preferred Stock Directors), the vacancy may be filled by the written consent of the Preferred Stock Director remaining in office, or if none remains in office, by the vote of the Holders (together with holders of any other class of the Company’s authorized preferred stock having equivalent voting rights, whether or not the holders of such preferred stock would be entitled to vote for the election of directors if such default in dividends did not exist) to serve until the next annual meeting of the stockholders.

(iv)

Termination; Removal. Whenever the Company has paid full dividends for at least four consecutive quarterly dividend periods following a Nonpayment on the Series AA Preferred Stock and any other class or series of non-cumulative preferred stock ranking on parity with Series AA Preferred Stock as to payment of dividends, if any, and has paid cumulative dividends in full on any class or series of cumulative preferred stock ranking on parity with the Series AA Preferred Stock as to payment of dividends (in each case, upon which equivalent voting rights to those set forth in Section 7(b)(iii) have been conferred and are exercisable), then the right of the Holders to elect the Preferred Stock Directors will cease (but subject always to the same provisions for the vesting of the special voting rights in the case of any similar non-payment of dividends in respect of future Dividend Periods). The terms of office of the Preferred Stock Directors will immediately terminate, and the number of directors constituting the Board of Directors will be reduced accordingly. Any Preferred Stock Director may be removed at any time without cause by the Holders of a majority of the outstanding shares of the Series AA Preferred Stock (together with holders of any other class of the Company’s authorized preferred stock having equivalent voting rights, whether or not the holders of such preferred stock would be entitled to vote for the election of directors if such default in dividends did not exist) when they have the voting rights described in this Section 7(b).

(c)

Senior Issuances; Adverse Changes. So long as any shares of Series AA Preferred Stock are outstanding, the vote or consent of the Holders of at least two-thirds of the shares of Series AA Preferred Stock at the time outstanding, voting as a class with all other series of preferred stock ranking equally with the Series AA Preferred Stock and entitled to vote thereon, given in person or by proxy, either in writing without a meeting or by vote at any meeting called for the purpose, will be necessary for effecting or validating any of the following actions, whether or not such approval is required by Delaware law:


(i)	any amendment, alteration or repeal of any provision of the Company’s Certificate of Incorporation (including the certificate of designation creating the Series AA Preferred Stock) or the Company’s by-laws that would alter or change the voting powers, preferences or special rights of the Series AA Preferred Stock so as to affect them adversely;

(ii)

any amendment or alteration of the Company’s certificate of incorporation to authorize or create, or increase the authorized amount of, any shares of, or any securities convertible into shares of, any class or series of the Company’s capital stock ranking prior to the Series AA Preferred Stock in the payment of dividends or in the distribution of assets on any liquidation, dissolution or winding-up of the Company; or

(iii)

the consummation of a binding share exchange or reclassification involving the Series AA Preferred Stock or a merger or consolidation of the Company with another entity, except that holders of Series AA Preferred Stock will have no right to vote under this provision or otherwise under Delaware law if in each case (i) the Series AA Preferred Stock remains outstanding or, in the case of any such merger or consolidation with respect to which the Company is not the surviving or resulting entity, is converted into or exchanged for preferred securities of the surviving or resulting entity or its ultimate parent, that is an entity organized and existing under the laws of the United States of America, any state thereof or the District of Columbia and that is a corporation for U.S. federal income tax purposes (or if such entity is not a corporation, the Company having received an opinion of nationally recognized counsel experienced in such matters to the effect that Holders will be subject to tax for U.S. federal income tax purposes with respect to such new preferred securities after such merger or consolidation in the same amount, at the same time and otherwise in the same manner as would have been the case under the Series AA Preferred Stock prior to such merger or consolidation), and (ii) such Series AA Preferred Stock remaining outstanding or such preferred securities, as the case may be, have such rights, preferences, privileges and voting powers, taken as a whole, as are not materially less favorable to the holders thereof than the rights, preferences, privileges and voting powers of the Series AA Preferred Stock, taken as a whole; provided, however, that any increase in the amount of the authorized or issued Series AA Preferred Stock or authorized preferred stock or any securities convertible into preferred stock or the creation and issuance, or an increase in the authorized or issued amount, of other series of preferred stock or any securities convertible into preferred stock ranking equally with and/or junior to the Series AA Preferred Stock with respect to the payment of dividends (whether such dividends are cumulative or non-cumulative) and/or the distribution of assets upon the Company’s liquidation, dissolution or winding up will not be deemed to adversely affect the voting powers, preferences or special rights of the Series AA Preferred Stock and Holders will have no right to vote on such an increase, creation or issuance.

adversely affected by and entitled to vote on the matter shall vote on the matter together as a single class (in lieu of all other series of preferred stock).

(d)

No Vote if Redemption. No vote or consent of the Holders shall be required pursuant to Section 7(b) or (c) if, at or prior to the time when the act with respect to such vote or consent would otherwise be required shall be effected, the Company shall have redeemed or shall have called for redemption all outstanding shares of Series AA Preferred Stock, with proper notice and sufficient funds having been set aside for such redemption, in each case pursuant to Section 6 above.

Section 8. Preemption and Conversion Rights.

The Holders shall not have any rights of preemption or conversion.

Section 9. Rank.

Notwithstanding anything set forth in the Certificate of Incorporation or this Certificate of Designation to the contrary, the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof, without the vote of the Holders, may authorize and issue additional shares of Junior Stock or Parity Stock.

Section 10. Repurchase.

Subject to the limitations imposed herein, the Company may purchase and sell Series AA Preferred Stock from time to time to such extent, in such manner, and upon such terms as the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof may determine; provided, however , that the Company shall not use any of its funds for any such purchase when there are reasonable grounds to believe that the Company is, or by such purchase would be, rendered insolvent; provided, further, however , that in the event that the Company beneficially owns any Series AA Preferred Stock the Company will procure that voting rights in respect of such Series AA Preferred Stock are not exercised.

Section 11. Unissued or Reacquired Shares.

Shares of Series AA Preferred Stock not issued or which have been issued and redeemed or otherwise purchased or acquired by the Company shall be restored to the status of authorized but unissued shares of preferred stock without designation as to series.

Section 12. No Sinking Fund.

Shares of Series AA Preferred Stock are not subject to the operation of a sinking fund.

Section 13. Transfer Agent, Registrar and Paying Agent.

The duly appointed Transfer Agent, Registrar and paying agent for the Series AA Preferred Stock shall be The Bank of New York Mellon. The Company may, in its sole discretion, remove the Transfer Agent in accordance with the agreement between the Company and the Transfer Agent; provided that the Company shall appoint a successor transfer agent who shall accept such appointment prior to the effectiveness of such removal. Upon any such removal or appointment, the Company shall send notice thereof by first-class mail, postage prepaid, to the Holders.

Section 14. Replacement Certificates.

Mutilated, Destroyed, Stolen and Lost Certificates. If physical certificates are issued, the Company shall replace any mutilated certificate at the Holder’s expense upon surrender of that certificate to the Transfer Agent. The Company shall replace certificates that become destroyed, stolen or lost at the Holder’s expense upon delivery to the Company and the Transfer Agent of satisfactory evidence that the certificate has been destroyed, stolen or lost, together with any indemnity that may be required by the Transfer Agent and the Company.

Section 15. Form.

(a)

Global Series AA Preferred Stock. Series AA Preferred Stock may be issued in the form of one or more permanent global shares of Series AA Preferred Stock in definitive, fully registered form with a global legend in substantially the form attached hereto as Exhibit A (each, a “ Global Series AA Preferred Stock ”), which is hereby incorporated in and expressly made a part of this Restated Certificate of Incorporation. The Global Series AA Preferred Stock may have notations, legends or endorsements required by law, stock exchange rules, agreements to which the Company is subject, if any, or usage (provided that any such notation, legend or endorsement is in a form acceptable to the Company). The

aggregate number of shares represented by each Global Series AA Preferred Stock may from time to time be increased or decreased by adjustments made on the records of the Registrar and the Depositary or its nominee as hereinafter provided. This Section 15(a) shall apply only to a Global Series AA Preferred Stock deposited with or on behalf of the Depositary.

(b)

Delivery to Depositary. If Global Series AA Preferred Stock is issued, the Company shall execute and the Registrar shall, in accordance with this Section, countersign and deliver initially one or more Global Series AA Preferred Stock that (i) shall be registered in the name of Cede & Co. or other nominee of the Depositary and (ii) shall be delivered by the Registrar to the Depositary or pursuant to instructions received from the Depositary or held by the Registrar as custodian for the Depositary pursuant to an agreement between the Depositary and the Registrar.

(c)

Agent Members. If Global Series AA Preferred Stock is issued, members of, or participants in, the Depositary (“ Agent Members ”) shall have no rights under this Certificate of Designation with respect to any Global Series AA Preferred Stock held on their behalf by the Depositary or by the Registrar as the custodian of the Depositary or under such Global Series AA Preferred Stock, and the Depositary may be treated by the Company, the Registrar and any agent of the Company or the Registrar as the absolute owner of such Global Series AA Preferred Stock for all purposes whatsoever. Notwithstanding the foregoing, nothing herein shall prevent the Company, the Registrar or any agent of the Company or the Registrar from giving effect to any written certification, proxy or other authorization furnished by the Depositary or impair, as between the Depositary and its Agent Members, the operation of customary practices of the Depositary governing the exercise of the rights of a holder of a beneficial interest in any Global Series AA Preferred Stock. If Global Series AA Preferred Stock is issued, the Depositary may grant proxies or otherwise authorize any Person to take any action that a Holder is entitled to take pursuant to the Series AA Preferred Stock, or this Certificate of Designation or the Certificate of Incorporation.

(d)

Physical Certificates. Owners of beneficial interests in any Global Series AA Preferred Stock shall not be entitled to receive physical delivery of certificated shares of Series AA Preferred Stock, unless (x) the Depositary has notified the Company that it is unwilling or unable to continue as Depositary for the Global Series AA Preferred Stock and the Company does not appoint a qualified replacement for the Depositary within 90 days, (y) the Depositary ceases to be a “clearing agency” registered under the Exchange Act and the Company does not appoint a qualified replacement for the Depositary within 90 days or (z) the Company decides to discontinue the use of book-entry transfer through the Depositary. In any such case, the Global Series AA Preferred Stock shall be exchanged in whole for definitive shares of Series AA Preferred Stock in registered form, with the same terms and of an equal aggregate Liquidation Preference. Such definitive shares of Series AA Preferred Stock shall be registered in the name or names of the Person or Persons specified by the Depositary in a written instrument to the Registrar.

(e)

Signature. An Officer shall sign any Global Series AA Preferred Stock for the Company, in accordance with the Company’s by-laws and applicable law, by manual or facsimile signature. If an Officer whose signature is on a Global Series AA Preferred Stock no longer holds that office at the time the Transfer Agent countersigned the Global Series AA Preferred Stock, the Global Series AA Preferred Stock shall be valid nevertheless. A Global Series AA Preferred Stock shall not be valid until an authorized signatory of the Transfer Agent manually countersigns Global Series AA Preferred Stock. Each Global Series AA Preferred Stock shall be dated the date of its countersignature.

Section 16. Taxes.

(a)

Transfer Taxes. The Company shall pay any and all stock transfer, documentary, stamp and similar taxes that may be payable in respect of any issuance or delivery of shares of Series AA Preferred Stock or shares of Common Stock or other securities issued on account of Series AA Preferred Stock pursuant hereto or certificates representing such shares or securities. The Company shall not, however, be required to pay any such tax that may be payable in respect of any transfer involved in the issuance or delivery of shares of Series AA Preferred Stock, shares of Common Stock or other securities in a name other than that in which the shares of Series AA Preferred Stock with respect to which such shares or other securities are issued or delivered were registered, or in respect of any payment to any Person other than a payment to the registered holder thereof, and shall not be required to make any such issuance, delivery or payment unless and until the Person otherwise entitled to such issuance, delivery or payment has paid to the Company the amount of any such tax or has established, to the satisfaction of the Company, that such tax has been paid or is not payable.


(b)	Withholding. All payments and distributions (or deemed distributions) on the shares of Series AA Preferred Stock shall be subject to withholding and backup withholding of tax to the extent required by law, subject to applicable exemptions, and amounts withheld, if any, shall be treated as received by Holders.

Section 17. Notices.

All notices referred to herein shall be in writing, and, unless otherwise specified herein, all notices hereunder shall be deemed to have been given upon the earlier of receipt thereof or three Business Days after the mailing thereof if sent by registered or certified mail (unless first class mail shall be specifically permitted for such notice under the terms of this Certificate of Designation) with postage prepaid, addressed: (i) if to the Company, to its office at 399 Park Avenue, New York, New York 10043 (Attention: Corporate Secretary) or to the Transfer Agent at its office at 480 Washington Boulevard, 29th Floor, Jersey City, New Jersey 07310 (Attention: Corporate Trust Office), or other agent of the Company designated as permitted by this Certificate of Designation, or (ii) if to any Holder, to such Holder at the address of such Holder as listed in the stock record books of the Company (which may include the records of the Transfer Agent) or (iii) to such other address as the Company or any such Holder, as the case may be, shall have designated by notice similarly given.

Exhibit A

FORM OF
8.125% NON-CUMULATIVE PREFERRED STOCK, SERIES AA

FACE OF SECURITY

[THIS SECURITY HAS NOT BEEN REGISTERED UNDER THE SECURITIES ACT OF 1933, AS AMENDED (THE “ SECURITIES ACT ”), OR ANY STATE SECURITIES LAWS. NEITHER THIS SECURITY NOR ANY INTEREST OR PARTICIPATION HEREIN MAY BE REOFFERED, SOLD, ASSIGNED, TRANSFERRED, PLEDGED, ENCUMBERED OR OTHERWISE DISPOSED OF IN THE ABSENCE OF SUCH REGISTRATION OR UNLESS SUCH TRANSACTION IS EXEMPT FROM, OR NOT SUBJECT TO, REGISTRATION UNDER THE SECURITIES ACT. BY ITS ACQUISITION HEREOF, THE HOLDER AGREES TO OFFER, SELL OR OTHERWISE TRANSFER THIS SECURITY PRIOR TO THE DATE THAT IS ONE YEAR AFTER THE LATER OF THE ORIGINAL ISSUE DATE HEREOF AND THE LAST DATE ON WHICH CITIGROUP INC. (THE “ COMPANY ”) OR ANY AFFILIATE OF THE COMPANY WAS THE OWNER OF THIS SECURITY (OR ANY PREDECESSOR OF THIS SECURITY) (THE “RESALE RESTRICTION TERMINATION DATE” ) ONLY (A) TO THE COMPANY OR ANY SUBSIDIARY THEREOF, (B) PURSUANT TO A REGISTRATION STATEMENT WHICH HAS BEEN DECLARED EFFECTIVE UNDER THE SECURITIES ACT, (C) FOR SO LONG AS SHARES OF THE SERIES AA PREFERRED STOCK ARE ELIGIBLE FOR RESALE PURSUANT TO RULE 144A, TO A PERSON IT REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A THAT PURCHASES FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER TO WHOM NOTICE IS GIVEN THAT THE TRANSFER IS BEING MADE IN RELIANCE ON RULE 144A, OR (D) PURSUANT TO ANY OTHER AVAILABLE EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT, SUBJECT TO THE COMPANY’S AND THE TRANSFER AGENTS RIGHT PRIOR TO ANY SUCH OFFER, SALE OR TRANSFER PURSUANT TO CLAUSE (D) PRIOR TO THE RESALE RESTRICTION TERMINATION DATE TO REQUIRE THE DELIVERY OF AN OPINION OF COUNSEL, CERTIFICATIONS AND/OR OTHER INFORMATION SATISFACTORY TO EACH OF THEM, AND IN EACH OF THE FOREGOING CASES, TO REQUIRE THAT A CERTIFICATE OF TRANSFER IN THE FORM APPEARING ON THE OTHER SIDE OF THIS SECURITY IS COMPLETED AND DELIVERED BY THE TRANSFEROR TO THE TRANSFER AGENT. THIS LEGEND WILL BE REMOVED UPON THE REQUEST OF THE HOLDER AFTER THE RESALE RESTRICTION TERMINATION DATE.]

[ IF GLOBAL PREFERRED STOCK IS ISSUED: UNLESS THIS CERTIFICATE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY, A NEW YORK CORPORATION (“DTC”), NEW YORK, NEW YORK, TO THE COMPANY OR ITS AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT, AND ANY CERTIFICATE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR SUCH OTHER NAME AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ANY PAYMENT IS MADE TO CEDE & CO., OR TO SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC) ANY TRANSFER, PLEDGE OR OTHER USE HEREOF FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL INASMUCH AS THE REGISTERED OWNER HEREOF, CEDE & CO. HAS AN INTEREST HEREIN.

TRANSFERS OF THIS GLOBAL SECURITY SHALL BE LIMITED TO TRANSFERS IN WHOLE, BUT NOT IN PART, TO NOMINEES OF DTC OR TO A SUCCESSOR THEREOF OR SUCH SUCCESSOR’S NOMINEE AND TRANSFERS OF PORTIONS OF THIS GLOBAL SECURITY SHALL BE LIMITED TO TRANSFERS MADE IN ACCORDANCE WITH THE RESTRICTIONS SET FORTH IN THE CERTIFICATE OF DESIGNATION REFERRED TO BELOW.]

IN CONNECTION WITH ANY TRANSFER, THE HOLDER WILL DELIVER TO THE REGISTRAR AND TRANSFER AGENT SUCH CERTIFICATES AND OTHER INFORMATION AS SUCH REGISTRAR AND TRANSFER AGENT MAY REQUIRE TO CONFIRM THAT THE TRANSFER COMPLIES WITH THE FOREGOING RESTRICTIONS.



Certificate Number	Number of Shares of Series AA Preferred Stock

CUSIP NO.:

CITIGROUP INC.

8.125% Non-Cumulative Preferred Stock, Series AA
(par value $1.00 per share)
(liquidation preference $25,000 per share)

Citigroup Inc., a Delaware corporation (the “Company”), hereby certifies that [ ] (the “Holder”) is the registered owner of [ ](1) [ , or such number as is indicated in the records of the Registrar and the Depository,](2) fully paid and non-assessable shares of the Company’s designated 8.125% Non-Cumulative Preferred Stock, Series AA, with a par value of $1.00 per share and a liquidation preference of $25,000 per share (the “Series AA Preferred Stock”). The shares of Series AA Preferred Stock are transferable on the books and records of the Registrar, in person or by a duly authorized attorney, upon surrender of this certificate duly endorsed and in proper form for transfer. The designations, rights, privileges, restrictions, preferences and other terms and provisions of the Series AA Preferred Stock represented hereby are and shall in all respects be subject to the provisions of the Certificate of Designation dated January 24. 2008 as the same may be amended from time to time (the “Certificate of Designation”). Capitalized terms used herein but not defined shall have the meaning given them in the Certificate of Designation. The Company will provide a copy of the Certificate of Designation to a Holder without charge upon written request to the Company at its principal place of business.

Reference is hereby made to select provisions of the Series AA Preferred Stock set forth on the reverse hereof, and to the Certificate of Designation, which select provisions and the Certificate of Designation shall for all purposes have the same effect as if set forth at this place.

Upon receipt of this certificate, the Holder is bound by the Certificate of Designation and is entitled to the benefits thereunder.

Unless the Registrar has properly countersigned, these shares of Series AA Preferred Stock shall not be entitled to any benefit under the Certificate of Designation or be valid or obligatory for any purpose.

IN WITNESS WHEREOF, this certificate has been executed on behalf of the Company by its [Title] this day of , .



CITIGROUP INC.

By:
Name:
Title:

(1) This phrase should be included only if the share certificate evidences certificated shares of Series AA Preferred Stock.

(2) This phrase should be included only if the share certificate evidences Global Series AA Preferred Stock.

REGISTRAR’S COUNTERSIGNATURE

These are shares of Series AA Preferred Stock referred to in the within-mentioned Certificate of Designation.

Dated:



THE BANK OF NEW YORK MELLON, as Registrar

By:
Name:
Title:

REVERSE OF CERTIFICATE

Dividends on each share of Series AA Preferred Stock shall be payable at the rate provided in the Certificate of Designation.

The shares of Series AA Preferred Stock shall be redeemable at the option of the Company in the manner and in accordance with the terms set forth in the Certificate of Designation.

The Company shall furnish without charge to each holder who so requests the powers, designations, preferences and relative, participating, optional or other special rights of each class or series of share capital issued by the Company and the qualifications, limitations or restrictions of such preferences and/or rights.

ASSIGNMENT

FOR VALUE RECEIVED, the undersigned assigns and transfers the shares of Series AA Preferred Stock evidenced hereby to:

(Insert assignee’s social security or taxpayer identification number)

(Insert address and zip code of assignee)

and irrevocably appoints:

as agent to transfer the shares of Series AA Preferred Stock evidenced hereby on the books of the Transfer Agent. The agent may substitute another to act for him or her.

Date:

Signature:

(Sign exactly as your name appears on the other side of this Certificate)



Signature Guarantee:

(Signature must be guaranteed by an “eligible guarantor institution” that is a bank, stockbroker, savings and loan association or credit union meeting the requirements of the Transfer Agent, which requirements include membership or participation in the Securities Transfer Agents Medallion Program (“STAMP”) or such other “signature guarantee program” as may be determined by the Transfer Agent in addition to, or in substitution for, STAMP, all in accordance with the Securities Exchange Act of 1934, as amended.)

Exhibit II

8.40% Fixed Rate / Floating Rate Non-Cumulative Preferred Stock, Series E

Section 1. Designation.

The designation of the series of preferred stock shall be “8.40% Fixed Rate / Floating Rate Non-Cumulative Preferred Stock, Series E.” Each share of Series E Preferred Stock shall be identical in all respects to every other share of Series E Preferred Stock. Series E Preferred Stock will rank equally with Parity Stock, will rank senior to Junior Stock and will rank junior to Senior Stock, if any, with respect to the payment of dividends and/or the distribution of assets in the event of any voluntary or involuntary liquidation, dissolution or winding up of the affair of the Company.

Section 2. Number of Shares.

The number of authorized shares of Series E Preferred Stock shall be 240,000. That number from time to time may be increased (but not in excess of the total number of authorized shares of preferred stock) or decreased (but not below the number of shares of Series E Preferred Stock then outstanding) by further resolution duly adopted by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof and by the filing of a certificate pursuant to the provisions of the General Corporation Law of the State of Delaware stating that such increase or reduction, as the case may be, has been so authorized. The Company shall have the authority to issue fractional shares of Series E Preferred Stock.

Section 3. Definitions. As used herein with respect to Series E Preferred Stock:

“ Agent Members ” has the meaning set forth in Section 15(c).

“ Board of Directors ” has the meaning set forth in the recitals above.

“Business Day” means any weekday that is not a legal holiday in New York City and is not a day on which banking institutions in New York City are authorized or required by law or regulation to be closed.

“ Calculation Agent ” means the Transfer Agent acting in its capacity as calculation agent for the Series E Preferred Stock, and its successors and assigns.

“ Depositary ” means DTC or its nominee or any successor depositary appointed by the Company.

“ Dividend Payment Date ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Period ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Record Date ” shall have the meaning set forth in Section 4(a) hereof.

“ DTC ” means The Depository Trust Company.

“ Global Series E Preferred Stock ” has the meaning set forth in Section 15(a).

“ Holder ” means the Person in whose name the shares of the Series E Preferred Stock are registered, which may be treated by the Company, Calculation Agent, Transfer Agent, Registrar and paying agent as the absolute owner of the shares of Series E Preferred Stock for the purpose of making payment and for all other purposes.

“ Junior Stock ” means the Common Stock and any other class or series of stock of the Company now existing or hereafter authorized over which Series E Preferred Stock has preference or priority in the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

“ LIBOR Determination. Date ” means the second London Banking Day immediately preceding the first day of the relevant Dividend Period.

“ London Banking Day ” means any day on which commercial banks are open for general business (including dealings in deposits in United States dollars) in London.

“ Nonpayment ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Parity Stock ” means any class or series of stock of the Company now existing or hereafter authorized that ranks equally with the Series E Preferred Stock in the payment of dividends and in the distribution of assets on any liquidation, dissolution or winding up of the Company.

“ Person ” means a legal person, including any individual, corporation, estate, partnership, joint venture, association, joint-stock company, limited liability company or trust.

“ Preferred Stock Director ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Registrar ” means the Transfer Agent acting in its capacity as registrar for the Series E Preferred Stock, and its successors and assigns.

“ Reuters Screen LIBOR01 Page ” means the display designated on the Reuters Screen LIBOR01 Page (or such other page as may replace Reuters Screen LIBOR01 Page on the service or such other service as may be nominated by the British Bankers’ Association for the purpose of displaying London interbank offered rates for United States dollar deposits).

“ Senior Stock ” means any class or series of stock of the Company now existing or hereafter authorized which has preference or priority over the Series E Preferred Stock as to the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

“ Series E Preferred Stock ” shall have the meaning set forth in Section I hereof.

“ Three-month LIBOR ” means the rate (expressed as a percentage per annum) for deposits in United States dollars for a three-month period commencing on the first day of a Dividend Period that appears on the Reuters Screen LIBOR01 Page as of 11:00 a.m. (London time) on the LIBOR Determination Date for that Dividend Period. If such rate does not appear on Reuters Screen LIBOR01 Page, Three-month LIBOR will be determined on the basis of the rates at which deposits in United States dollars for a three-month period commencing on the first day of that Dividend Period and in a principal amount of not less than $1 million are offered to prime banks in the London interbank market by four major banks in the London interbank market selected by the Calculation Agent (after consultation with the Company), at approximately 11:00 a.m., London time, on the LIBOR Determination Date for that Dividend Period. The Calculation Agent will request the principal London office of each of such banks to provide a quotation of its rate. If at least two such quotations are provided, Three-month LIBOR with respect to that Dividend Period will be the arithmetic mean (rounded upward if necessary to the nearest whole multiple of 0.00001%) of such quotations. If fewer than two quotations are provided, Three-month LIBOR with respect to that Dividend Period will be the arithmetic mean (rounded upward if necessary to the nearest whole multiple of 0.00001%) of the rates quoted by three major banks in New York City selected by the Calculation Agent (after consultation with the Company), at approximately 11:00 a.m., New York City time, on the LIBOR Determination Date for that Dividend Period for loans in United States dollars to leading European banks for a three-month period commencing on the first day of that Dividend Period and in a principal amount of not less than $1 million. However, if fewer than three banks selected by the Calculation Agent to provide quotations are quoting as described above, Three-month LIBOR for that Dividend Period will be the same Three-month LIBOR as determined for the previous Dividend Period or, in the case of the Dividend Period beginning on April 30, 2018, 2.920%. The determination of Three-month LIBOR for each relevant Dividend Period by the Calculation Agent will (in the absence of manifest error) be final and binding.

“ Transfer Agent ” means The Bank of New York Mellon acting as Transfer Agent, Calculation Agent, Registrar and paying agent for the Series E Preferred Stock, and its successors and assigns.

“ Trust ” shall have the meaning set forth in Section 6(d).

Section 4. Dividends.

(a)

Rate. Holders shall be entitled to receive, if, as and when declared by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee of the Board of Directors, but only out of assets legally available therefor, non-cumulative cash dividends on the liquidation preference of $25,000 per share of Series E Preferred Stock, and no more, payable (i) semi-annually in arrears on each April 30 and October 30 from the date of issuance to, but excluding, April 30, 2018, and (ii) quarterly in arrears on each January 30, April 30, July 30, and October 30 from and including April 30, 2018; provided, however, if any such day is not a Business Day, then payment of any dividend otherwise payable on that date will be made on the next succeeding day that is a Business Day (i) on or prior to April 30, 2018, without any interest or other payment in respect of such delay, and (ii) after April 30, 2018, with dividends accruing to the actual payment date (each such day on which dividends are payable a “ Dividend Payment Date ”). The period from and including the date of issuance of the Series E Preferred Stock or any Dividend Payment Date to, but excluding, the next Dividend Payment Date is a “ Dividend Period .” Dividends on each share of Series E Preferred Stock will accrue on the liquidation preference of $25,000 per share at a rate per annum equal to (i) 8.40%, for each Dividend Period from and including the date of issuance to, but excluding, April 30, 2018 and (ii) the greater of (x) Three-month LIBOR plus 4.0285% and (y) 7.7575%, for each Dividend Period from and including April 30, 2018. The record date for payment of dividends on the Series E Preferred Stock will be the fifteenth day of the calendar month immediately preceding the month during which the Dividend Payment Date falls or such other record date fixed by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof that is not more than 30 nor less than 10 days prior to such Dividend Payment Date (each, a “ Dividend Record Date ”). Any such day that is a Dividend Record Date will be a Dividend Record Date whether or not such day is a Business Day. The amount of dividends payable on or prior to April 30, 2018 will be computed on the basis of a 360-day year of twelve 30-day months. The amount of dividends payable after April 30, 2018 will be computed on the basis of a 360-day year and the actual number of days elapsed.

(b)

Non-Cumulative Dividends. If the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof does not declare a dividend on the Series E Preferred Stock for any Dividend Period prior to the related Dividend Payment Date, that dividend will not accrue, and the Company will have no obligation to pay, and Holders shall have no right to receive, a dividend for that Dividend Period on the related Dividend Payment Date or at any future time, whether or not dividends on the Series E Preferred Stock or any other series of preferred stock or common stock are declared for any subsequent Dividend Period with respect to Series E Preferred Stock, Parity Stock, Junior Stock or any other class or series of authorized preferred stock of the Company. References herein to the “accrual” of dividends refer only to the determination of the amount of such dividend and do not imply that any right to a dividend arises prior to the date on which a dividend is declared.

(c)

Priority of Dividends. So long as any share of Series E Preferred Stock remains outstanding, unless as to a Dividend Payment Date full dividends on all outstanding shares of the Series E Preferred Stock have been declared and paid or declared and a sum sufficient for the payment of those dividends has been set aside for the Dividend Period then ending, the Company will not, and will cause its subsidiaries not to, during the next succeeding Dividend Period that commences on such Dividend Payment Date, declare or pay any dividend on, make any distributions relating to, or redeem, purchase, acquire or make a liquidation payment relating to, any Junior Stock, or make any guarantee payment with respect thereto, other than:


(i)	purchases, redemptions or other acquisitions of shares of Junior Stock in connection with any employment contract, benefit plan or other similar arrangement with or for the benefit of employees, officers, directors or consultants;


(ii)	purchases of shares of Common Stock pursuant to a contractually binding requirement to buy stock existing prior to the commencement of the then-current dividend period, including under a contractually binding stock repurchase plan;


(iii)	as a result of an exchange or conversion of any class or series of Junior Stock for any other class or series of Junior Stock;


(iv)	the purchase of fractional interests in shares of Junior Stock pursuant to the conversion or exchange provisions of such Junior Stock or the security being converted or exchanged;


(v)	the purchase of Junior Stock by an investment banking subsidiary of the Company in connection with the distribution thereof; or


(vi)	the purchase of Junior Stock by any investment banking subsidiary of the Company in connection with market-making or other secondary market activities in the ordinary course of the business of such subsidiary.

The foregoing restriction, however, will not apply to any Junior Stock dividends paid by the Company where the dividend stock is the same stock as that on which the dividend is being paid.

Except as provided below, for so long as any share of Series E Preferred Stock remains outstanding, if dividends are not declared and paid in full upon the shares of Series E Preferred Stock and any Parity Stock, all dividends declared upon shares of Series E Preferred Stock and any Parity Stock will be declared on a proportional basis so that the amount of dividends declared per share will bear to each other the same ratio that accrued dividends for the then-current Dividend Period per share of Series E Preferred Stock and accrued dividends for the then-current Dividend Period per share of any Parity Stock (including, in the case of any such Parity Stock that bears cumulative dividends, all accrued and unpaid dividends) bear to each other.

Section 5. Liquidation Rights.

(a)

Liquidation. In the event of any voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company, Holders shall be entitled, out of assets legally available therefor, before any distribution or payment out of the assets of the Company may be made to or set aside for the holders of any Junior Stock and subject to the rights of the holders of any class or series of securities ranking senior to or on parity with Series E Preferred Stock upon liquidation and the rights of the Company’s depositors and other creditors, to receive in full a liquidating distribution in the amount of the liquidation preference of $25,000 per share, plus any accrued dividends thereon from the last dividend payment date to, but excluding, the date of the liquidation, dissolution or winding up if and to the extent declared. Holders shall not be entitled to any further payments in the event of any such voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company other than what is expressly provided for in this Section 5.

(b)


(c)	Residual Distributions. If the respective aggregate liquidating distributions to which all Holders and all holders of any Parity Stock are entitled have been paid, the holders of Junior Stock shall be entitled to receive all remaining assets of the Company according to their respective rights and preferences.

(d)

Merger, Consolidation and Sale of Assets Not Liquidation. For purposes of this Section 5, the sale, conveyance, exchange or transfer (for cash, shares of stock, securities or other consideration) of all or substantially all of the property and assets of the Company shall not be deemed a voluntary or involuntary dissolution, liquidation or winding up of the affairs of the Company, nor shall the merger, consolidation or any other business combination transaction of the Company into or with any other corporation or person or the merger, consolidation or any other business combination transaction of any other corporation or person into or with the Company be deemed to be a voluntary or involuntary dissolution, liquidation or winding up of the affairs of the Company.

Section 6. Redemption.

(a)

Optional Redemption. The Company, at the option of its Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof, may redeem out of funds legally available therefor, in whole or in part, the shares of Series E Preferred Stock at the time outstanding, on any Dividend Payment Date on or after April 30, 2018 as to which the Company has declared a dividend in full on the Series E Preferred Stock, upon notice given as provided in Section 6(b) below, and at a redemption price equal to $25,000 per share; provided, however, that the Company may not effect a partial redemption of the Series E Preferred Stock unless at least 2,000 shares ($50,000,000 aggregate liquidation amount) of Series E Preferred Stock, excluding shares of Series E Preferred Stock held by the Company or its subsidiaries, remain outstanding after giving effect to such partial redemption.


(b)	Notice of Redemption. Notice of every redemption of shares of Series E Preferred Stock shall be mailed by first class mail, postage prepaid, addressed to the Holders of such shares to be redeemed at their respective last addresses appearing on the stock register of the Company. Such mailing shall be at least 30 days and not more than 60 days before the date

fixed for redemption. Any notice mailed as provided in this Section 6(b) shall be conclusively presumed to have been duly given, whether or not the Holder receives such notice, but failure duly to give such notice by mail, or any defect in such notice or in the mailing thereof, to any Holder of shares of Series E Preferred Stock designated for redemption shall not affect the validity of the proceedings for the redemption of any other shares of Series E Preferred Stock. Each notice shall state:


(i)	the redemption date;


(ii)	the number of shares of Series E Preferred Stock to be redeemed and, if fewer than all the shares of a Holder are to be redeemed, the number of such shares to be redeemed;


(iii)	the redemption price;


(iv)	the place or places where the certificates for such shares are to be surrendered for payment of the redemption price; and


(v)	that dividends on the shares to be redeemed will cease to accrue on the redemption date.

Notwithstanding the foregoing, if the Series E Preferred Stock is held in book-entry form through DTC, the Company may give such notice in any manner permitted by DTC.

(c)

Partial Redemption. In case of any redemption of only part of the shares of Series E Preferred Stock at the time outstanding, the shares of Series E Preferred Stock to be redeemed shall be selected pro rata from the Holders in proportion to the number of shares of Series E Preferred Stock held by such Holders, by lot or in such other manner as the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof may determine to be fair and equitable. Subject to the provisions of this Section 6, the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof shall have full power and authority to prescribe the terms and conditions upon which shares of Series E Preferred Stock shall be redeemed from time to time.

(d)

Effectiveness of Redemption. If notice of redemption has been duly given and if on or before the redemption date specified in the notice all funds necessary for the redemption have been set aside by the Company, separate and apart from its other assets, in trust for the pro rata benefit of the Holders of the shares called for redemption, so as to be and continue to be available therefor, or deposited by the Company with a bank or trust company selected by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof (the “ Trust ”) in trust for the pro rata benefit of the Holders of the shares called for redemption, then, notwithstanding that any certificate for any share so called for redemption has not been surrendered for cancellation, on and after the redemption date all shares so called for redemption shall cease to be outstanding, all dividends with respect to such shares shall cease to accrue on such redemption date, and all rights with respect to such shares shall forthwith on such redemption date cease and terminate, except only the right of the Holders thereof to receive the amount payable on such redemption from the Trust at any time after the redemption date from the funds so deposited, without interest. The Company shall be entitled to receive, from time to time, from the Trust any interest accrued on such funds, and the Holders of any shares called for redemption shall have no claim to any such interest. Any funds so deposited and unclaimed at the end of three years from the redemption date shall, to the extent permitted by law, be released or repaid to the Company, and in the event of such repayment to the Company, the Holders of the shares so called for redemption shall be deemed to be unsecured creditors of the Company for an amount equivalent to the amount deposited as stated above for the redemption of such shares and so repaid to the Company, but shall in no event be entitled to any interest.

Section 7. Voting Rights.


(a)	General. The Holders shall not be entitled to vote on any matter except as set forth in Section 7(b) below or as required by Delaware law.


(b)	Special Voting Right.

(i) Voting Right. If and whenever dividends on the Series E Preferred Stock or any other class or series of preferred stock that ranks on parity with Series E Preferred Stock as to payment of dividends, and upon which voting rights equivalent to those granted by this Section 7(b)(i) have been conferred and are exercisable, have not been paid in an aggregate amount equal, as to any class or series, to at least three semi-annual or six quarterly Dividend Periods (whether consecutive or not) (a “ Nonpayment ”), the number of directors constituting the Board of Directors shall be increased by two, and the Holders (together with holders of any class or series of the

Company’s authorized preferred stock having equivalent voting rights), shall have the right, voting separately as a single class without regard to class or series (and with voting rights allocated pro rata based on the liquidation preference of each such class or series), to the exclusion of the holders of Common Stock, to elect two directors of the Company to fill such newly created directorships (and to fill any vacancies in the terms of such directorships), provided that the Holders and the holders of any such other class or series shall not be entitled to elect such directors to the extent such election would cause the Company to violate the corporate governance requirements of the New York Stock Exchange (or other exchange on which the Company’s securities may be listed) that listed companies must have a majority of independent directors and further provided that the Board of Directors shall at no time include more than two such directors. Each such director elected by the Holders and any other class or series of preferred stock that ranks on parity with the Series E Preferred Stock as to payment of dividends and having equivalent voting rights is a “ Preferred Stock Director .”

(ii)

Election. The election of the Preferred Stock Directors will take place at any annual meeting of stockholders or any special meeting of the Holders and any other class or series of stock of the Company that ranks on parity with Series E Preferred Stock as to payment of dividends and having equivalent voting rights and for which dividends have not been paid, called as provided herein. At any time after the special voting power has vested pursuant to Section 7(b)(i) above, the secretary of the Company may, and upon the written request of the Holders of at least 20% of the Series E Preferred Stock or the holders of at least 20% of such other series (addressed to the secretary at the Company’s principal office) must (unless such request is received less than 90 days before the date fixed for the next annual or special meeting of the stockholders, in which event such election shall be held at such next annual or special meeting of stockholders), call a special meeting of the Holders and any other class or series of preferred stock that ranks on parity with Series E Preferred Stock as to payment of dividends and having equivalent voting rights and for which dividends have not been paid for the election of the two directors to be elected by them as provided in Section 7(b)(iii) below. The Preferred Stock Directors shall each be entitled to one vote per director on any matter.

(iii)

(iv)

Termination; Removal. Whenever the Company has paid full dividends for at least two consecutive semi-annual or four consecutive quarterly dividend periods following a Nonpayment on the Series E Preferred Stock and any other class or series of non-cumulative preferred stock ranking on parity with Series E Preferred Stock as to payment of dividends, if any, and has paid cumulative dividends in full on any class or series of cumulative preferred stock ranking on parity with the Series E Preferred Stock as to payment of dividends (in each case, upon which equivalent voting rights to those set forth in Section 7(b)(iii) have been conferred and are exercisable), then the right of the Holders to elect the Preferred Stock Directors will cease (but subject always to the same provisions for the vesting of the special voting rights in the case of any similar nonpayment of dividends in respect of future Dividend Periods). The terms of office of the Preferred Stock Directors will immediately terminate, and the number of directors constituting the Board of Directors will be reduced accordingly. Any Preferred Stock Director may be removed at any time without cause by the Holders of a majority of the outstanding shares of the Series E Preferred Stock (together with holders of any other class of the Company’s authorized preferred stock having equivalent voting rights, whether or not the holders of such preferred stock would be entitled to vote for the election of directors if such default in dividends did not exist) when they have the voting rights described in this Section 7(b).

(c)

Senior Issuances; Adverse Changes. So long as any shares of Series E Preferred Stock are outstanding, the vote or consent of the Holders of at least two-thirds of the shares of Series E Preferred Stock at the time outstanding, voting as a class with all other series of preferred stock ranking equally with the Series E Preferred Stock and entitled to vote thereon, given in person or by proxy, either in writing without a meeting or by vote at any meeting called for the purpose,

will be necessary for effecting or validating any of the following actions, whether or not such approval is required by Delaware law:


(i)	any amendment, alteration or repeal of any provision of the Company’s Certificate of Incorporation (including the certificate of designation creating the Series E Preferred Stock) or the Company’s by-laws that would alter or change the voting powers, preferences or special rights of the Series E Preferred Stock so as to affect them adversely;

(ii)

any amendment or alteration of the Company’s certificate of incorporation to authorize or create, or increase the authorized amount of, any shares of, or any securities convertible into shares of, any class or series of the Company’s capital stock ranking prior to the Series E Preferred Stock in the payment of dividends or in the distribution of assets on any liquidation, dissolution or winding-up of the Company; or

(iii)

the consummation of a binding share exchange or reclassification involving the Series E Preferred Stock or a merger or consolidation of the Company with another entity, except that holders of Series E Preferred Stock will have no right to vote under this provision or otherwise under Delaware law if in each case (i) the Series E Preferred Stock remains outstanding or, in the case of any such merger or consolidation with respect to which the Company is not the surviving or resulting entity, is converted into or exchanged for preferred securities of the surviving or resulting entity or its ultimate parent, that is an entity organized and existing under the laws of the United States of America, any state thereof or the District of Columbia and that is a corporation for U.S. federal income tax purposes (or if such entity is not a corporation, the Company having received an opinion of nationally recognized counsel experienced in such matters to the effect that Holders will be subject to tax for U.S. federal income tax purposes with respect to such new preferred securities after such merger or consolidation in the same amount, at the same time and otherwise in the same manner as would have been the case under the Series E Preferred Stock prior to such merger or consolidation), and (ii) such Series E Preferred Stock remaining outstanding or such preferred securities, as the case may be, have such rights, preferences, privileges and voting powers, taken as a whole, as are not materially less favorable to the holders thereof than the rights, preferences, privileges and voting powers of the Series E Preferred Stock, taken as a whole;

provided, however, that any increase in the amount of the authorized or issued Series E Preferred Stock or authorized preferred stock or any securities convertible into preferred stock or the creation and issuance, or an increase in the authorized or issued amount, of other series of preferred stock or any securities convertible into preferred stock ranking equally with and/or junior to the Series E Preferred Stock with respect to the payment of dividends (whether such dividends are cumulative or non-cumulative) and/or the distribution of assets upon the Company’s liquidation, dissolution or winding up will not be deemed to adversely affect the voting powers, preferences or special rights of the Series E Preferred Stock and Holders will have no right to vote on such an increase, creation or issuance.

If any amendment, alteration, repeal, share exchange, reclassification, merger or consolidation specified in this Section 7(c) would adversely affect one or more but not all series of preferred stock of the Company, then only such series of preferred stock as are adversely affected by and entitled to vote on the matter shall vote on the matter together as a single class (in lieu of all other series of preferred stock).

(d)

No Vote if Redemption. No vote or consent of the Holders shall be required pursuant to Section 7(b) or (c) if, at or prior to the time when the act with respect to such vote or consent would otherwise be required shall be effected, the Company shall have redeemed or shall have called for redemption all outstanding shares of Series E Preferred Stock, with proper notice and sufficient funds having been set aside for such redemption, in each case pursuant to Section 6 above.

Section 8. Preemption and Conversion Rights.

The Holders shall not have any rights of preemption or conversion.

Section 9. Rank.

Section 10. Repurchase.

Subject to the limitations imposed herein, the Company may purchase and sell Series E Preferred Stock from time to time to such extent, in such manner, and upon such terms as the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof may determine; provided, however, that the Company shall not use any of its funds for any such purchase when there are reasonable grounds to believe that the Company is, or by such purchase would be, rendered insolvent; provided, further, however, that in the event that the Company beneficially owns any Series E Preferred Stock, the Company will procure that voting rights in respect of such Series E Preferred Stock are not exercised.

Section 11. Unissued or Reacquired Shares.

Shares of Series E Preferred Stock not issued or which have been issued and redeemed or otherwise purchased or acquired by the Company shall be restored to the status of authorized but unissued shares of preferred stock without designation as to series.

Section 12. No Sinking Fund.

Shares of Series E Preferred Stock are not subject to the operation of a sinking fund.

Section 13. Transfer Agent, Calculation Agent, Registrar and Paying Agent.

The duly appointed Transfer Agent, Calculation Agent, Registrar and paying agent for the Series E Preferred Stock shall be The Bank of New York Mellon. The Company may, in its sole discretion, remove the Transfer Agent in accordance with the agreement between the Company and the Transfer Agent; provided that the Company shall appoint a successor transfer agent who shall accept such appointment prior to the effectiveness of such removal. Upon any such removal or appointment, the Company shall send notice thereof by first-class mail, postage prepaid, to the Holders.

Section 14. Replacement Certificates.

Section 15. Form.

(a) Global Series E Preferred Stock. Series E Preferred Stock may be issued in the form of one or more permanent global shares of Series E Preferred Stock in definitive, fully registered form with a global legend in substantially the form attached hereto as Exhibit A (each, a “ Global Series E Preferred Stock ”), which is hereby incorporated in and expressly made a part of this Certificate of Designation. The Global Series E Preferred Stock may have notations, legends or endorsements required by law, stock exchange rules, agreements to which the Company is subject, if any, or usage (provided that any such notation, legend or endorsement is in a form acceptable to the Company). The aggregate number of shares represented by each Global Series E Preferred Stock may from time to time be increased or decreased by adjustments made on the records of the Registrar and the Depositary or its nominee as hereinafter provided. This Section 15(a) shall apply only to a Global Series E Preferred Stock deposited with or on behalf of the Depositary.

(b)

Delivery to Depositary. If Global Series E Preferred Stock is issued, the Company shall execute and the Registrar shall, in accordance with this Section, countersign and deliver initially one or more Global Series E Preferred Stock that (i) shall be registered in the name of Cede & Co. or other nominee of the Depositary and (ii) shall be delivered by the Registrar to the Depositary or pursuant to instructions received from the Depositary or held by the Registrar as custodian for the Depositary pursuant to an agreement between the Depositary and the Registrar.

(c)

Agent Members. If Global Series E Preferred Stock is issued, members of, or participants in, the Depositary ( “ Agent Members ” ) shall have no rights under this Certificate of Designation with respect to any Global Series E Preferred Stock held on their behalf by the Depositary or by the Registrar as the custodian of the Depositary or under such Global Series E Preferred Stock, and the Depositary may be treated by the Company, the Registrar and any agent of the Company or the Registrar as the absolute owner of such Global Series E Preferred Stock for all purposes whatsoever. Notwithstanding the foregoing, nothing herein shall prevent the Company, the Registrar or any agent of the Company or the Registrar from giving effect to any written certification, proxy or other authorization furnished by the Depositary or impair, as between the Depositary and its Agent Members, the operation of customary practices of the Depositary governing the exercise of the rights of a holder of a beneficial interest in any Global Series E Preferred Stock. If Global Series E Preferred Stock is issued, the Depositary may grant proxies or otherwise authorize any Person to take any action

that a Holder is entitled to take pursuant to the Series E Preferred Stock, this Certificate of Designation or the Certificate of Incorporation.

(d)

Physical Certificates. Owners of beneficial interests in any Global Series E Preferred Stock shall not be entitled to receive physical delivery of certificated shares of Series E Preferred Stock, unless (x) the Depositary has notified the Company that it is unwilling or unable to continue as Depositary for the Global Series E Preferred Stock and the Company does not appoint a qualified replacement for the Depositary within 90 days, (y) the Depositary ceases to be a “clearing agency” registered under the Exchange Act and the Company does not appoint a qualified replacement for the Depositary within 90 days or (z) the Company decides to discontinue the use of book-entry transfer through the Depositary. In any such case, the Global Series E Preferred Stock shall be exchanged in whole for definitive shares of Series E Preferred Stock in registered form, with the same terms and of an equal aggregate Liquidation Preference. Such definitive shares of Series E Preferred Stock shall be registered in the name or names of the Person or Persons specified by the Depositary in a written instrument to the Registrar.

(e)

Signature. An Officer shall sign any Global Series E Preferred Stock for the Company, in accordance with the Company’s by-laws and applicable law, by manual or facsimile signature. If an Officer whose signature is on a Global Series E Preferred Stock no longer holds that office at the time the Transfer Agent countersigned the Global Series E Preferred Stock, the Global Series E Preferred Stock shall be valid nevertheless. A Global Series E Preferred Stock shall not be valid until an authorized signatory of the Transfer Agent manually countersigns Global Series E Preferred Stock. Each Global Series E Preferred Stock shall be dated the date of its countersignature.

Section 16. Taxes.

(a)

Transfer Taxes. The Company shall pay any and all stock transfer, documentary, stamp and similar taxes that may be payable in respect of any issuance or delivery of shares of Series E Preferred Stock or shares of Common Stock or other securities issued on account of Series E Preferred Stock pursuant hereto or certificates representing such shares or securities. The Company shall not, however, be required to pay any such tax that may be payable in respect of any transfer involved in the issuance or delivery of shares of Series E Preferred Stock, shares of Common Stock or other securities in a name other than that in which the shares of Series E Preferred Stock with respect to which such shares or other securities are issued or delivered were registered, or in respect of any payment to any Person other than a payment to the registered holder thereof, and shall not be required to make any such issuance, delivery or payment unless and until the Person otherwise entitled to such issuance, delivery or payment has paid to the Company the amount of any such tax or has established, to the satisfaction of the Company, that such tax has been paid or is not payable.


(b)	Withholding. All payments and distributions (or deemed distributions) on the shares of Series E Preferred Stock shall be subject to withholding and backup withholding of tax to the extent required by law, subject to applicable exemptions, and amounts withheld, if any, shall be treated as received by Holders.

Section 17. Notices.

All notices referred to herein shall be in writing, and, unless otherwise specified herein, all notices hereunder shall be deemed to have been given upon the earlier of receipt thereof or three Business Days after the mailing thereof if sent by registered or certified mail (unless first class mail shall be specifically permitted for such notice under the terms of this Certificate of Designation) with postage prepaid, addressed: (i) if to the Company, to its office at 399 Park Avenue, New York, New York 10043 (Attention: Corporate Secretary) or to the Transfer Agent at its office at 480 Washington Boulevard, 29 th Floor, Jersey City, New Jersey 07310 (Attention: Corporate Trust Office), or other agent of the Company designated as permitted by this Certificate of Designation, or (ii) if to any Holder, to such Holder at the address of such Holder as listed in the stock record books of the Company (which may include the records of the Transfer Agent) or (iii) to such other address as the Company or any such Holder, as the case may be, shall have designated by notice similarly given.

Exhibit A

FORM OF
% FIXED RATE / FLOATING RATE NON-CUMULATIVE PREFERRED STOCK, SERIES E
FACE OF SECURITY

UNLESS THIS CERTIFICATE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY, A NEW YORK CORPORATION (“DTC”), NEW YORK, NEW YORK, TO THE COMPANY OR ITS AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT, AND ANY CERTIFICATE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR SUCH OTHER NAME AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ANY PAYMENT IS MADE TO CEDE & CO., OR TO SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC) ANY TRANSFER, PLEDGE OR OTHER USE HEREOF FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL INASMUCH AS THE REGISTERED OWNER HEREOF, CEDE & CO. HAS AN INTEREST HEREIN.



Certificate Number		Number of Shares of Series E Preferred Stock

		CUSIP NO.:

CITIGROUP INC.

% Fixed Rate / Floating Rate Non-Cumulative Preferred Stock, Series E
(par value $1.00 per share)
(liquidation preference $25,000 per share)

Citigroup Inc., a Delaware corporation (the “Company”), hereby certifies that [ ] (the “Holder”) is the registered owner of [ ] fully paid and non-assessable shares of the Company’s designated % Fixed Rate / Floating Rate Non-Cumulative Preferred Stock, Series E, with a par value of $1.00 per share and a liquidation preference of $25,000 per share (the “Series E Preferred Stock”). The shares of Series E Preferred Stock are transferable on the books and records of the Registrar, in person or by a duly authorized attorney, upon surrender of this certificate duly endorsed and in proper form for transfer. The designations, rights, privileges, restrictions, preferences and other terms and provisions of the Series E Preferred Stock represented hereby are and shall in all respects be subject to the provisions of the Certificate of Designation dated April 25, 2008 as the same may be amended from time to time (the “Certificate of Designation”). Capitalized terms used herein but not defined shall have the meaning given them in the Certificate of Designation. The Company will provide a copy of the Certificate of Designation to a Holder without charge upon written request to the Company at its principal place of business.

Reference is hereby made to select provisions of the Series E Preferred Stock set forth on the reverse hereof, and to the Certificate of Designation, which select provisions and the Certificate of Designation shall for all purposes have the same effect as if set forth at this place.

Upon receipt of this certificate, the Holder is bound by the Certificate of Designation and is entitled to the benefits thereunder.

Unless the Registrar has properly countersigned, these shares of Series E Preferred Stock shall not be entitled to any benefit under the Certificate of Designation or be valid or obligatory for any purpose.

IN WITNESS WHEREOF, this certificate has been executed on behalf of the Company by its [Title] this day of , .



CITIGROUP INC.
By:
Name:
Title:

REGISTRAR’S COUNTERSIGNATURE

These are shares of Series E Preferred Stock referred to in the within-mentioned Certificate of Designation.

Dated:



THE BANK OF NEW YORK MELLON, as Registrar

By:
Name:
Title:

REVERSE OF CERTIFICATE

Dividends on each share of Series E Preferred Stock shall be payable at the rate provided in the Certificate of Designation.

The shares of Series E Preferred Stock shall be redeemable at the option of the Company in the manner and in accordance with the terms set forth in the Certificate of Designation.

ASSIGNMENT

FOR VALUE RECEIVED, the undersigned assigns and transfers the shares of Series E Preferred Stock evidenced hereby to:

________________________________________________________________

(Insert assignee’s social security or taxpayer identification number, if any)

________________________________________________________________

(Insert address and zip code of assignee) and irrevocably appoints:

________________________________________________________________

as agent to transfer the shares of Series E Preferred Stock evidenced hereby on the books of the Transfer Agent. The agent may substitute another to act for him or her.



Date:

Signature:

________________________________________________________________



(Sign exactly as your name appears on the other side of this Certificate)

Signature Guarantee:

Exhibit III

8.50% Non-Cumulative Preferred Stock, Series F

Section 1. Designation.

The designation of the series of preferred stock shall be “8.50% Non-Cumulative Preferred Stock, Series F” (the “Series F Preferred Stock”). Each share of Series F Preferred Stock shall be identical in all respects to every other share of Series F Preferred Stock. Series F Preferred Stock will rank equally with Parity Stock, will rank senior to Junior Stock and will rank junior to Senior Stock, if any, with respect to the payment of dividends and/or the distribution of assets in the event of any voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company.

Section 2. Number of Shares.

The number of authorized shares of Series F Preferred Stock shall be 92,000. That number from time to time may be increased (but not in excess of the total number of authorized shares of preferred stock) or decreased (but not below the number of shares of Series F Preferred Stock then outstanding) by further resolution duly adopted by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof and by the filing of a certificate pursuant to the provisions of the General Corporation Law of the State of Delaware stating that such increase or reduction, as the case may be, has been so authorized. The Company shall have the authority to issue fractional shares of Series F Preferred Stock.

Section 3. Definitions. As used herein with respect to Series F Preferred Stock:

“ Agent Members ” has the meaning set forth in Section 15(c).

“ Board of Directors ” has the meaning set forth in the recitals above.

“ Business Day ” means any weekday that is not a legal holiday in New York City and is not a day on which banking institutions in New York City are authorized or required by law or regulation to be closed.

“ Depositary ” means DTC or its nominee or any successor depositary appointed by the Company.

“ Dividend Payment Date ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Period ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Record Date ” shall have the meaning set forth in Section 4(a) hereof.

“ DTC ” means The Depository Trust Company.

“ Global Series F Preferred Stock ” has the meaning set forth in Section 15(a).

“ Holder ” means the Person in whose name the shares of the Series F Preferred Stock are registered, which may be treated by the Company, Transfer Agent, Registrar and paying agent as the absolute owner of the shares of Series F Preferred Stock for the purpose of making payment and for all other purposes.

“ Junior Stock ” means the Common Stock and any other class or series of stock of the Company now existing or hereafter authorized over which Series F Preferred Stock has preference or priority in the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

“ Nonpayment ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Parity Stock ” means any class or series of stock of the Company now existing or hereafter authorized that ranks equally with the Series F Preferred Stock in the payment of dividends and in the distribution of assets on any liquidation, dissolution or winding up of the Company.

“ Person ” means a legal person, including any individual, corporation, estate, partnership, joint venture, association, joint-stock company, limited liability company or trust.

“ Preferred Stock Director ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Registrar ” means the Transfer Agent acting in its capacity as registrar for the Series F Preferred Stock, and its successors and assigns.

“ Senior Stock ” means any class or series of stock of the Company now existing or hereafter authorized which has preference or priority over the Series F Preferred Stock as to the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

“ Series F Preferred Stock ” shall have the meaning set forth in Section 1 hereof.

“ Transfer Agent ” means The Bank of New York Mellon acting as Transfer Agent, Registrar and paying agent for the Series F Preferred Stock, and its successors and assigns.

“ Trust ” shall have the meaning set forth in Section 6(d).

Section 4. Dividends.

(a)

Rate. Holders shall be entitled to receive, if, as and when declared by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee of the Board of Directors, but only out of assets legally available therefor, non-cumulative cash dividends on the liquidation preference of $25,000 per share of Series F Preferred Stock, and no more, payable quarterly in arrears on March 15, June 15, September 15 and December 15 of each year, beginning on June 15, 2008; provided, however , if any such day is not a Business Day, then payment of any dividend otherwise payable on that date will be made on the next succeeding day that is a Business Day, (without any interest or other payment in respect of such delay) (each such day on which dividends are payable a “ Dividend Payment Date ”). The period from and including the date of issuance of the Series F Preferred Stock or any Dividend Payment Date to, but excluding, the next Dividend Payment Date is a “ Dividend Period .” Dividends on each share of Series F Preferred Stock will accrue on the liquidation preference of $25,000 per share at a rate per annum equal to 8.50%. The record date for payment of dividends on the Series F Preferred Stock will be the fifteenth day of the calendar month immediately preceding the month during which the Dividend Payment Date falls or such other record date fixed by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof that is not more than 30 nor less than 10 days prior to such Dividend Payment Date (each, a “ Dividend Record Date ”). Any such day that is a Dividend Record Date will be a Dividend Record Date whether or not such day is a Business Day. The amount of dividends payable will be computed on the basis of a 360-day year of twelve 30-day months.

(b)

Non-Cumulative Dividends. If the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof does not declare a dividend on the Series F Preferred Stock for any Dividend Period prior to the related Dividend Payment Date, that dividend will not accrue, and the Company will have no obligation to pay, and Holders shall have no right to receive, a dividend for that Dividend Period on the related Dividend Payment Date or at any future time, whether or not dividends on the Series F Preferred Stock or any other series of preferred stock or common stock are declared for any subsequent Dividend Period with respect to Series F Preferred Stock, Parity Stock, Junior Stock or any other class or series of authorized preferred stock of the Company. References herein to the “accrual” of dividends refer only to the determination of the amount of such dividend and do not imply that any right to a dividend arises prior to the date on which a dividend is declared.

(c)

Priority of Dividends. So long as any share of Series F Preferred Stock remains outstanding, unless as to a Dividend Payment Date full dividends on all outstanding shares of the Series F Preferred Stock have been declared and paid or declared and a sum sufficient for the payment of those dividends has been set aside for the Dividend Period then ending, the Company will not, and will cause its subsidiaries not to, during the next succeeding Dividend Period that commences on such Dividend Payment Date, declare or pay any dividend on, make any distributions relating to, or redeem, purchase, acquire or make a liquidation payment relating to, any Junior Stock, or make any guarantee payment with respect thereto, other than:


(i)	purchases, redemptions or other acquisitions of shares of Junior Stock in connection with any employment contract, benefit plan or other similar arrangement with or for the benefit of employees, officers, directors or consultants;


(ii)	purchases of shares of Common Stock pursuant to a contractually binding requirement to buy stock existing prior to the commencement of the then-current dividend period, including under a contractually binding stock repurchase plan;


(iii)	as a result of an exchange or conversion of any class or series of Junior Stock for any other class or series of Junior Stock;


(iv)	the purchase of fractional interests in shares of Junior Stock pursuant to the conversion or exchange provisions of such Junior Stock or the security being converted or exchanged;


(v)	the purchase of Junior Stock by an investment banking subsidiary of the Company in connection with the distribution thereof; or


(vi)	the purchase of Junior Stock by any investment banking subsidiary of the Company in connection with market-making or other secondary market activities in the ordinary course of the business of such subsidiary.

The foregoing restriction, however, will not apply to any Junior Stock dividends paid by the Company where the dividend stock is the same stock as that on which the dividend is being paid.

Except as provided below, for so long as any share of Series F Preferred Stock remains outstanding, if dividends are not declared and paid in full upon the shares of Series F Preferred Stock and any Parity Stock, all dividends declared upon shares of Series F Preferred Stock and any Parity Stock will be declared on a proportional basis so that the amount of dividends declared per share will bear to each other the same ratio that accrued dividends for the then current Dividend Period per share of Series F Preferred Stock and accrued dividends for the then-current Dividend Period per share of any Parity Stock (including, in the case of any such Parity Stock that bears cumulative dividends, all accrued and unpaid dividends) bear to each other.

Section 5. Liquidation Rights.

(a)

Liquidation. In the event of any voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company, Holders shall be entitled, out of assets legally available therefor, before any distribution or payment out of the assets of the Company may be made to or set aside for the holders of any Junior Stock and subject to the rights of the holders of any class or series of securities ranking senior to or on parity with Series F Preferred Stock upon liquidation and the rights of the Company’s depositors and other creditors, to receive in full a liquidating distribution in the amount of the liquidation preference $25,000 per share, plus any accrued dividends thereon from the last dividend payment date to, but excluding, the date of the liquidation, dissolution or winding up if and to the extent declared. Holders shall not be entitled to any further payments in the event of any such voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company other than what is expressly provided for in this Section 5.

(b)


(c)	Residual Distributions. If the respective aggregate liquidating distributions to which all Holders and all holders of any Parity Stock are entitled have been paid, the holders of Junior Stock shall be entitled to receive all remaining assets of the Company according to their respective rights and preferences.

(d)

Company into or with any other corporation or person or the merger, consolidation or any other business combination transaction of any other corporation or person into or with the Company be deemed to be a voluntary or involuntary dissolution, liquidation or winding up of the affairs of the Company.

Section 6. Redemption.

(a)

(b)

Notice of Redemption. Notice of every redemption of shares of Series F Preferred Stock shall be mailed by first class mail, postage prepaid, addressed to the Holders of such shares to be redeemed at their respective last addresses appearing on the stock register of the Company. Such mailing shall be at least 30 days and not more than 60 days before the date fixed for redemption. Any notice mailed as provided in this Section 6(b) shall be conclusively presumed to have been duly given, whether or not the Holder receives such notice, but failure duly to give such notice by mail, or any defect in such notice or in the mailing thereof, to any Holder of shares of Series F Preferred Stock designated for redemption shall not affect the validity of the proceedings for the redemption of any other shares of Series F Preferred Stock. Each notice shall state:


(i)	the redemption date;


(ii)	the number of shares of Series F Preferred Stock to be redeemed and, if fewer than all the shares of a Holder are to be redeemed, the number of such shares to be redeemed;


(iii)	the redemption price;


(iv)	the place or places where the certificates for such shares are to be surrendered for payment of the redemption price; and


(v)	that dividends on the shares to be redeemed will cease to accrue on the redemption date.

Notwithstanding the foregoing, if the Series F Preferred Stock is held in book-entry form through DTC, the Company may give such notice in any manner permitted by DTC.

(c)

Partial Redemption. In case of any redemption of only part of the shares of Series F Preferred Stock at the time outstanding, the shares of Series F Preferred Stock to be redeemed shall be selected pro rata from the Holders in proportion to the number of shares of Series F Preferred Stock held by such Holders, by lot or in such other manner as the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof may determine to be fair and equitable. Subject to the provisions of this Section 6, the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof shall have full power and authority to prescribe the terms and conditions upon which shares of Series F Preferred Stock shall be redeemed from time to time.

(d)

Effectiveness of Redemption. If notice of redemption has been duly given and if on or before the redemption date specified in the notice all funds necessary for the redemption have been set aside by the Company, separate and apart from its other assets, in trust for the pro rata benefit of the Holders of the shares called for redemption, so as to be and continue to be available therefor, or deposited by the Company with a bank or trust company selected by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof (the “Trust”) in trust for the pro rata benefit of the Holders of the shares called for redemption, then, notwithstanding that any certificate for any share so called for redemption has not been surrendered for cancellation, on and after the redemption date all shares so called for redemption shall cease to be outstanding, all dividends with respect to such shares shall cease to accrue on such redemption date, and all rights with respect to such shares shall forthwith on such redemption date cease and terminate, except only the right of the Holders thereof to receive the amount payable on such redemption from the Trust at any time after the redemption date from the funds so deposited, without interest. The Company shall be entitled to receive, from time to time, from the Trust any interest accrued on such funds, and the Holders of any shares called for redemption shall have no claim to any such interest. Any funds so deposited and unclaimed at the end of three years from the redemption date shall, to the extent permitted by law, be released or repaid to the Company, and in the event of such repayment to the Company, the Holders of the shares so called for redemption shall be deemed to be unsecured creditors of the Company

for an amount equivalent to the amount deposited as stated above for the redemption of such shares and so repaid to the Company, but shall in no event be entitled to any interest.

Section 7. Voting Rights.


(a)	General. The Holders shall not be entitled to vote on any matter except as set forth in Section 7(b) below or as required by Delaware law.


(b)	Special Voting Right.

(i)

Voting Right. If and whenever dividends on the Series F Preferred Stock or any other class or series of preferred stock that ranks on parity with Series F Preferred Stock as to payment of dividends, and upon which voting rights equivalent to those granted by this Section 7(b)(i) have been conferred and are exercisable, have not been paid in an aggregate amount equal, as to any class or series, to at least six quarterly Dividend Periods (whether consecutive or not) (a “ Nonpayment ”), the number of directors constituting the Board of Directors shall be increased by two, and the Holders (together with holders of any class or series of the Company’s authorized preferred stock having equivalent voting rights), shall have the right, voting separately as a single class without regard to class or series (and with voting rights allocated pro rata based on the liquidation preference of each such class or series), to the exclusion of the holders of Common Stock, to elect two directors of the Company to fill such newly created directorships (and to fill any vacancies in the terms of such directorships), provided that the Holders and the holders of any such other class or series shall not be entitled to elect such directors to the extent such election would cause the Company to violate the corporate governance requirements of the New York Stock Exchange (or other exchange on which the Company’s securities may be listed) that listed companies must have a majority of independent directors and further provided that the Board of Directors shall at no time include more than two such directors. Each such director elected by the Holders and any other class or series of preferred stock that ranks on parity with the Series F Preferred Stock as to payment of dividends and having equivalent voting rights is a “ Preferred Stock Director .”

(ii)

Election. The election of the Preferred Stock Directors will take place at any annual meeting of stockholders or any special meeting of the Holders and any other class or series of stock of the Company that ranks on parity with Series F Preferred Stock as to payment of dividends and having equivalent voting rights and for which dividends have not been paid, called as provided herein. At any time after the special voting power has vested pursuant to Section 7(b)(i) above, the secretary of the Company may, and upon the written request of the Holders of at least 20% of the Series F Preferred Stock or the holders of at least 20% of such other series (addressed to the secretary at the Company’s principal office) must (unless such request is received less than 90 days before the date fixed for the next annual or special meeting of the stockholders, in which event such election shall be held at such next annual or special meeting of stockholders), call a special meeting of the Holders and any other class or series of preferred stock that ranks on parity with Series F Preferred Stock as to payment of dividends and having equivalent voting rights and for which dividends have not been paid for the election of the two directors to be elected by them as provided in Section 7(b)(iii) below. The Preferred Stock Directors shall each be entitled to one vote per director on any matter.

(iii)

(iv)

Termination; Removal. Whenever the Company has paid full dividends for at least four consecutive quarterly dividend periods following a Nonpayment on the Series F Preferred Stock and any other class or series of non-cumulative preferred stock ranking on parity with Series F Preferred Stock as to payment of dividends, if any, and has paid cumulative dividends in full on any class or series of cumulative preferred stock ranking on parity with the Series F Preferred Stock as to payment of dividends (in each case, upon which equivalent voting rights to those set forth in Section 7(b)(iii) have been conferred and are exercisable), then the right of the Holders to

elect the Preferred Stock Directors will cease (but subject always to the same provisions for the vesting of the special voting rights in the case of any similar non-payment of dividends in respect of future Dividend Periods). The terms of office of the Preferred Stock Directors will immediately terminate, and the number of directors constituting the Board of Directors will be reduced accordingly. Any Preferred Stock Director may be removed at any time without cause by the Holders of a majority of the outstanding shares of the Series F Preferred Stock (together with holders of any other class of the Company’s authorized preferred stock having equivalent voting rights, whether or not the holders of such preferred stock would be entitled to vote for the election of directors if such default in dividends did not exist) when they have the voting rights described in this Section 7(b).

(c)

Senior Issuances; Adverse Changes. So long as any shares of Series F Preferred Stock are outstanding, the vote or consent of the Holders of at least two-thirds of the shares of Series F Preferred Stock at the time outstanding, voting as a class with all other series of preferred stock ranking equally with the Series F Preferred Stock and entitled to vote thereon, given in person or by proxy, either in writing without a meeting or by vote at any meeting called for the purpose, will be necessary for effecting or validating any of the following actions, whether or not such approval is required by Delaware law:


(i)	any amendment, alteration or repeal of any provision of the Company’s Certificate of Incorporation (including the certificate of designation creating the Series F Preferred Stock) or the Company’s by-laws that would alter or change the voting powers, preferences or special rights of the Series F Preferred Stock so as to affect them adversely;

(ii)

any amendment or alteration of the Company’s certificate of incorporation to authorize or create, or increase the authorized amount of, any shares of, or any securities convertible into shares of, any class or series of the Company’s capital stock ranking prior to the Series F Preferred Stock in the payment of dividends or in the distribution of assets on any liquidation, dissolution or winding-up of the Company; or

(iii)

the consummation of a binding share exchange or reclassification involving the Series F Preferred Stock or a merger or consolidation of the Company with another entity, except that holders of Series F Preferred Stock will have no right to vote under this provision or otherwise under Delaware law if in each case (i) the Series F Preferred Stock remains outstanding or, in the case of any such merger or consolidation with respect to which the Company is not the surviving or resulting entity, is converted into or exchanged for preferred securities of the surviving or resulting entity or its ultimate parent that is an entity organized and existing under the laws of the United States of America, any state thereof or the District of Columbia and that is a corporation for U.S. federal income tax purposes (or if such entity is not a corporation the Company having received an opinion of nationally recognized counsel experienced in such matters to the effect that Holders will be subject to tax for U.S. federal income tax purposes with respect to such new preferred securities after such merger or consolidation in the same amount, at the same time and otherwise in the same manner as would have been the case under the Series F Preferred Stock prior to such merger or consolidation), and (ii) such Series F Preferred Stock remaining outstanding or such preferred securities, as the case may be, have such rights, preferences, privileges and voting powers, taken as a whole, as are not materially less favorable to the holders thereof than the rights, preferences, privileges and voting powers of the Series F Preferred Stock taken as a whole; provided, however , that any increase in the amount of the authorized or issued Series F Preferred Stock or authorized preferred stock or any securities convertible into preferred stock or the creation and issuance, or an increase in the authorized or issued amount, of other series of preferred stock or any securities convertible into preferred stock ranking equally with and/or junior to the Series F Preferred Stock with respect to the payment of dividends (whether such dividends are cumulative or non-cumulative) and/or the distribution of assets upon the Company’s liquidation, dissolution or winding up will not be deemed to adversely affect the voting powers, preferences or special rights of the Series F Preferred Stock and Holders will have no right to vote on such an increase, creation or issuance.

(d)

No Vote if Redemption. No vote or consent of the Holders shall be required pursuant to Section 7(b) or (c) if, at or prior to the time when the act with respect to such vote or consent would otherwise be required shall be effected, the Company shall have redeemed or shall have called for redemption all outstanding shares of Series F Preferred Stock, with proper notice and sufficient funds having been set aside for such redemption, in each case pursuant to Section 6 above.

Section 8. Preemption and Conversion Rights.

The Holders shall not have any rights of preemption or conversion.

Section 9. Rank.

Section 10. Repurchase.

Subject to the limitations imposed herein, the Company may purchase and sell Series F Preferred Stock from time to time to such extent, in such manner, and upon such terms as the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof may determine; provided, however , that the Company shall not use any of its funds for any such purchase when there are reasonable grounds to believe that the Company is, or by such purchase would be, rendered insolvent; provided, further, however , that in the event that the Company beneficially owns any Series F Preferred Stock, the Company will procure that voting rights in respect of such Series F Preferred Stock are not exercised.

Section 11. Unissued or Reacquired Shares.

Shares of Series F Preferred Stock not issued or which have been issued and redeemed or otherwise purchased or acquired by the Company shall be restored to the status of authorized but unissued shares of preferred stock without designation as to series.

Section 12. No Sinking Fund.

Shares of Series F Preferred Stock are not subject to the operation of a sinking fund.

Section 13. Transfer Agent, Registrar and Paying Agent.

The duly appointed Transfer Agent, Registrar and paying agent for the Series F Preferred Stock shall be The Bank of New York Mellon. The Company may, in its sole discretion, remove the Transfer Agent in accordance with the agreement between the Company and the Transfer Agent; provided that the Company shall appoint a successor transfer agent who shall accept such appointment prior to the effectiveness of such removal. Upon any such removal or appointment, the Company shall send notice thereof by first-class mail, postage prepaid, to the Holders.

Section 14. Replacement Certificates.

Section 15. Form.

(a)

Global Series F Preferred Stock. Series F Preferred Stock may be issued in the form of one or more permanent global shares of Series F Preferred Stock in definitive, fully registered form with a global legend in substantially the form attached hereto as Exhibit A (each, a “ Global Series F Preferred Stock ”), which is hereby incorporated in and expressly made a part of this Certificate of Designation. The Global Series F Preferred Stock may have notations, legends or endorsements required by law, stock exchange rules, agreements to which the Company is subject, if any, or usage (provided that any such notation, legend or endorsement is in a form acceptable to the Company). The aggregate number of shares represented by each Global Series F Preferred Stock may from time to time be increased or decreased by adjustments made on the records of the Registrar and the Depositary or its nominee as hereinafter provided. This Section 15(a) shall apply only to a Global Series F Preferred Stock deposited with or on behalf of the Depositary.


(b)	Delivery to Depositary. If Global Series F Preferred Stock is issued, the Company shall execute and the Registrar shall, in accordance with this Section, countersign and deliver initially one or more Global Series F Preferred Stock that (i) shall be registered in the name of Cede & Co. or other nominee of the Depositary and (ii) shall be delivered by the

Registrar to the Depositary or pursuant to instructions received from the Depositary or held by the Registrar as custodian for the Depositary pursuant to an agreement between the Depositary and the Registrar.

(c)

Agent Members. If Global Series F Preferred Stock is issued, members of, or participants in, the Depositary (“ Agent Members ”) shall have no rights under this Certificate of Designation with respect to any Global Series F Preferred Stock held on their behalf by the Depositary or by the Registrar as the custodian of the Depositary or under such Global Series F Preferred Stock and the Depositary may be treated by the Company, the Registrar and any agent of the Company or the Registrar as the absolute owner of such Global Series F Preferred Stock for all purposes whatsoever. Notwithstanding the foregoing, nothing herein shall prevent the Company, the Registrar or any agent of the Company or the Registrar from giving effect to any written certification, proxy or other authorization furnished by the Depositary or impair, as between the Depositary and its Agent Members the operation of customary practices of the Depositary governing the exercise of the rights of a holder of a beneficial interest in any Global Series F Preferred Stock. If Global Series F Preferred Stock is issued, the Depositary may grant proxies or otherwise authorize any Person to take any action that a Holder is entitled to take pursuant to the Series F Preferred Stock, this Certificate of Designation or the Certificate of Incorporation.

(d)

Physical Certificates. Owners of beneficial interests in any Global Series F Preferred Stock shall not be entitled to receive physical delivery of certificated shares of Series F Preferred Stock, unless (x) the Depositary has notified the Company that it is unwilling or unable to continue as Depositary for the Global Series F Preferred Stock and the Company does not appoint a qualified replacement for the Depositary within 90 days, (y) the Depositary ceases to be a “clearing agency” registered under the Exchange Act and the Company does not appoint a qualified replacement for the Depositary within 90 days or (z) the Company decides to discontinue the use of book-entry transfer through the Depositary. In any such case, the Global Series F Preferred Stock shall be exchanged in whole for definitive shares of Series F Preferred Stock in registered form, with the same terms and of an equal aggregate Liquidation Preference. Such definitive shares of Series F Preferred Stock shall be registered in the name or names of the Person or Persons specified by the Depositary in a written instrument to the Registrar.

(e)

Signature. An Officer shall sign any Global Series F Preferred Stock for the Company in accordance with the Company’s by-laws and applicable law, by manual or facsimile signature. If an Officer whose signature is on a Global Series F Preferred Stock no longer holds that office at the time the Transfer Agent countersigned the Global Series F Preferred Stock, the Global Series F Preferred Stock shall be valid nevertheless. A Global Series F Preferred Stock shall not be valid until an authorized signatory of the Transfer Agent manually countersigns Global Series F Preferred Stock. Each Global Series F Preferred Stock shall be dated the date of its countersignature.

Section 16. Taxes.

(a)

Transfer Taxes. The Company shall pay any and all stock transfer, documentary, stamp and similar taxes that may be payable in respect of any issuance or delivery of shares of Series F Preferred Stock or shares of Common Stock or other securities issued on account of Series F Preferred Stock pursuant hereto or certificates representing such shares or securities. The Company shall not, however, be required to pay any such tax that may be payable in respect of any transfer involved in the issuance or delivery of shares of Series F Preferred Stock, shares of Common Stock or other securities in a name other than that in which the shares of Series F Preferred Stock with respect to which such shares or other securities are issued or delivered were registered, or in respect of any payment to any Person other than a payment to the registered holder thereof, and shall not be required to make any such issuance, delivery or payment unless and until the Person otherwise entitled to such issuance, delivery or payment has paid to the Company the amount of any such tax or has established, to the satisfaction of the Company, that such tax has been paid or is not payable.


(b)	Withholding. All payments and distributions (or deemed distributions) on the shares of Series F Preferred Stock shall be subject to withholding and backup withholding of tax to the extent required by law, subject to applicable exemptions, and amounts withheld, if any, shall be treated as received by Holders.

Section 17. Notices.

records of the Transfer Agent) or (iii) to such other address as the Company or any such Holder, as the case may be, shall have designated by notice similarly given.

Exhibit A

FORM OF

8.50% NON-CUMULATIVE PREFERRED STOCK, SERIES F

FACE OF SECURITY

REGISTRAR’S COUNTERSIGNATURE

These are shares of Series F Preferred Stock referred to in the within-mentioned Certificate of Designation.

Dated:



THE BANK OF NEW YORK MELLON, as Registrar

By:
Name:
Title:

REVERSE OF CERTIFICATE

Dividends on each share of Series F Preferred Stock shall be payable at the rate provided in the Certificate of Designation.

The shares of Series F Preferred Stock shall be redeemable at the option of the Company in the manner and in accordance with the terms set forth in the Certificate of Designation.

The Company shall furnish without charge to each holder who so requests the powers, designation, preferences and relative, participating, optional or other special rights of each class or series of share capital issued by the Company and the qualifications. limitations or restrictions of such preferences and/or rights.

ASSIGNMENT

FOR VALUE RECEIVED, the undersigned assigns and transfers the shares of Series F Preferred Stock evidenced hereby to:

(Insert assignees social security or taxpayer identification number, if any)

(Insert address and zip code of assignee)

and irrevocably appoints:

as agent to transfer the shares of Series F Preferred Stock evidenced hereby on the books of the Transfer Agent. The agent may substitute another to act for him or her.



Date:
Signature:


(Sign exactly as your name appears on the other side of this Certificate)

Signature Guarantee:

(Signature must be guaranteed by an “eligible guarantor institution” that is a bank, stockbroker, savings and loan association or credit union meeting the requirements of the Transfer Agent, which requirements include membership or participation in the Securities Transfer Agents Medallion Program (“STAMP”) or such other “signature guarantee program” as may be determined by the Transfer Agent in addition to, or in substitution for STAMP, all in accordance with the Securities Exchange Act of 1934, as amended.)

Exhibit IV

Series R Participating Cumulative Preferred Stock

Section 1. Designation and Number of Shares.

The shares of such series shall be designated as “Series R Participating Cumulative Preferred Stock” (the “ Series R Preferred Stock ”), and the number of shares constituting such series shall be 28,000. Such number of shares of the Series R Preferred Stock may be increased or decreased by resolution of the Board of Directors; provided that no decrease shall reduce the number of shares of Series R Preferred Stock to a number less than the number of shares then outstanding plus the number of shares issuable upon exercise or conversion of outstanding rights, options or other securities issued by the Corporation.

Section 2. Dividends and Distributions.

(a)

Subject to the prior and superior rights of the holders of any shares of any class or series of stock of the Corporation ranking prior and superior to the shares of Series R Preferred Stock with respect to dividends, the holders of shares of Series R Preferred Stock, in preference to the holders of shares of any class or series of stock of the Corporation ranking junior to the Series R Preferred Stock in respect thereof, shall be entitled to receive, when, as and if declared by the Board of Directors out of funds legally available for the purpose, regular quarterly dividends payable on such dates each year as designated by the Board of Directors (each such date being referred to herein as a “ Quarterly Dividend Payment Date ”), commencing on the first Quarterly Dividend Payment Date after the first issuance of any share or fraction of a share of Series R Preferred Stock, in an amount per share (rounded to the nearest cent) equal to the greater of (i) $1.00 and (ii) the Multiplier Number times the aggregate per share amount of all cash dividends or other distributions and the Multiplier Number times the aggregate per share amount of all non-cash dividends or other distributions (other than (A) a dividend payable in shares of Common Stock, par value $0.01 per share, of the Corporation (the “ Common Stock ”) or (B) a subdivision of the outstanding shares of Common Stock (by reclassification or otherwise)), declared on the Common Stock since the immediately preceding Quarterly Dividend Payment Date, or, with respect to the first Quarterly Dividend Payment Date, since the first issuance of any share or fraction of a share of Series R Preferred Stock. As used herein, the “Multiplier Number” shall be 1,000,000; provided that if, at any time after June 9, 2009, there shall be any change in the Common Stock, whether by reason of stock dividends, stock splits, reverse stock splits, recapitalization, mergers, consolidations, combinations or exchanges of securities, split-ups, split-offs, spin-offs, liquidations or other similar changes in capitalization, or any distribution or issuance of shares of its capital stock in a merger, share exchange, reclassification, or change of the outstanding shares of Common Stock, then in each such event the Board of Directors shall adjust the Multiplier Number to the extent appropriate such that following such adjustment each share of Series R Preferred Stock shall be in the same economic position as prior to such event.

(b)

The Corporation shall declare a dividend or distribution on the Series R Preferred Stock as provided in Section 2(a) immediately after it declares a dividend or distribution on the Common Stock (other than as described in Sections 2(a)(ii)(A) and 2(a)(ii)(B)); provided that if no dividend or distribution shall have been declared on the Common Stock during the period between any Quarterly Dividend Payment Date and the next subsequent Quarterly Dividend Payment Date (or, with respect to the first Quarterly Dividend Payment Date, the period between the first issuance of any share or fraction of a share of Series R Preferred Stock and such first Quarterly Dividend Payment Date), a dividend of $1.00 per share on the Series R Preferred Stock shall nevertheless be payable on such subsequent Quarterly Dividend Payment Date.

(c)

Dividends shall begin to accrue and be cumulative on outstanding shares of Series R Preferred Stock from the Quarterly Dividend Payment Date immediately preceding the date of issuance of such shares of Series R Preferred Stock, unless the date of issuance of such shares is on or before the record date for the first Quarterly Dividend Payment Date, in which case dividends on such shares shall begin to accrue and be cumulative from the date of issue of such shares, or unless the date of issue is a date after the record date for the determination of holders of shares of Series R Preferred Stock entitled to receive a quarterly dividend and on or before such Quarterly Dividend Payment Date, in which case dividends shall begin to accrue and be cumulative from such Quarterly Dividend Payment Date. Accrued but unpaid dividends shall not bear interest. Dividends paid on shares of Series R Preferred Stock in an amount less than the total amount of such dividends at the time accrued and payable on such shares shall be allocated pro rata on a share-by-share basis among all such shares at the time outstanding. The Board of Directors may fix a record date for the determination of holders of shares of Series R Preferred Stock entitled to receive payment of a dividend or distribution declared thereon, which record date shall not be more than 60 days prior to the date fixed for the payment thereof.

Section 3. Voting Rights. In addition to any other voting rights required by law, the holders of shares of Series R Preferred Stock shall have the following voting rights:

(a) Each share of Series R Preferred Stock shall entitle the holder thereof to a number of votes equal to the Multiplier Number on all matters submitted to a vote of stockholders of the Corporation.

(b) Except as otherwise provided herein or by law, the holders of shares of Series R Preferred Stock and the holders of shares of Common Stock shall vote together as a single class on all matters submitted to a vote of stockholders of the Corporation.

(c) (i) If at any time dividends on any Series R Preferred Stock shall be in arrears in an amount equal to six quarterly dividends thereon, the occurrence of such contingency shall mark the beginning of a period (herein called a “ default period ”) which shall extend until such time when all accrued and unpaid dividends for all previous quarterly dividend periods and for the current quarterly dividend period on all shares of Series R Preferred Stock then outstanding shall have been declared and paid or set apart for payment. During each default period, all holders of Series R Preferred Stock and any other series of Preferred Stock then entitled as a class to elect directors, voting together as a single class, irrespective of series, shall have the right to elect two Directors.

(ii)

During any default period, such voting right of the holders of Series R Preferred Stock may be exercised initially at a special meeting called pursuant to Section 3(c)(iii) hereof or at any annual meeting of stockholders, and thereafter at annual meetings of stockholders; provided that neither such voting right nor the right of the holders of any other series of Preferred Stock, if any, to increase, in certain cases, the authorized number of Directors shall be exercised unless the holders of 10% in number of shares of Preferred Stock outstanding shall be present in person or by proxy. The absence of a quorum of holders of Common Stock shall not affect the exercise by holders of Preferred Stock of such voting right. At any meeting at which holders of Preferred Stock shall initially exercise such voting right, they shall have the right, voting as a class, to elect Directors to fill such vacancies, if any, in the Board of Directors as may then exist up to two Directors or, if such right is exercised at an annual meeting, to elect two Directors. If the number which may be so elected at any special meeting does not amount to the required number, the holders of the Preferred Stock shall have the right to make such increase in the number of Directors as shall be necessary to permit the election by them of the required number. After the holders of the Preferred Stock shall have exercised their right to elect Directors in any default period and during the continuance of such period, the number of Directors shall not be increased or decreased except by vote of the holders of Preferred Stock as herein provided or pursuant to the rights of any equity securities ranking senior to or pari passu with the Series R Preferred Stock.

(iii) Unless the holders of Preferred Stock shall have previously exercised their right to elect Directors during an existing default period, the Board of Directors may order, or any stockholder or stockholders owning in the aggregate not less than 10% of the total number of shares of Preferred Stock outstanding, irrespective of series, may request, the calling of a special meeting of holders of Preferred Stock, which meeting shall thereupon be called by the Chief Executive Officer, a Vice President or the Secretary of the Corporation. Notice of such meeting and of any annual meeting at which holders of Preferred Stock are entitled to vote pursuant to this Section 3(c)(iii) shall be given to each holder of record of Preferred Stock by mailing such notice to him at the address of such holder shown on the registry books of the Corporation. Such meeting shall be called for a time not earlier than 20 days and not later than 60 days after such order or request or in default of the calling of such meeting within 60 days after such order or request, such meeting may be called on similar notice by any stockholder or stockholders owning in the aggregate not less than 10% of the total number of shares of Preferred Stock outstanding, irrespective of series. Notwithstanding the provisions of this Section 3(c)(iii), no such special meeting shall be called during the period within 60 days immediately preceding the date fixed for the next annual meeting of stockholders.

(iv) In any default period, the holders of Common Stock, and other classes of stock of the Corporation if applicable, shall continue to be entitled to elect the whole number of Directors until the holders of Preferred Stock shall have exercised their right to elect two Directors voting as a class, after the exercise of which right (x) the Directors so elected by the holders of Preferred Stock shall continue in office until their successors shall have been elected by such holders or until the expiration of the default period, and (y) any vacancy in the Board of Directors may (except as provided in Section 3(c)(ii) hereof) be filled by vote of a majority of the remaining Directors theretofore elected by the holders of the class of stock which elected the Director whose office shall have become vacant. References in this Section 3(c) to Directors elected by the holders of a particular class of stock shall include Directors elected by such Directors to fill vacancies as provided in clause (y) of the foregoing sentence.

(v) Immediately upon the expiration of a default period, (x) the right of the holders of Preferred Stock as a class to elect Directors shall cease, (y) the term of any Directors elected by the holders of Preferred Stock as a class

shall terminate, and (z) the number of Directors shall be such number as may be provided for in the certificate of incorporation or bylaws irrespective of any increase made pursuant to the provisions of Section 3(c)(ii) (such number being subject, however, to change thereafter in any manner provided by law or in the certificate of incorporation or bylaws). Any vacancies in the Board of Directors effected by the provisions of clauses (y) and (z) in the preceding sentence may be filled by a majority of the remaining Directors.


(d)	The certificate of incorporation of the Corporation shall not be amended in any manner (whether by merger or otherwise) so as to adversely affect the powers, preferences or special rights of the Series R Preferred Stock without the affirmative vote of the holders of a majority of the outstanding shares of Series R Preferred Stock, voting separately as a class.


(e)	Except as otherwise expressly provided herein, holders of Series R Preferred Stock shall have no special voting rights and their consent shall not be required (except to the extent they are entitled to vote with holders of Common Stock as set forth herein) for taking any corporate action.

Section 4. Certain Restrictions.

(a) Whenever quarterly dividends or other dividends or distributions payable on the Series R Preferred Stock as provided in Section 2 are in arrears, thereafter and until all accrued and unpaid dividends and distributions, whether or not declared, on outstanding shares of Series R Preferred Stock shall have been paid in full, the Corporation shall not:


(i)	declare or pay dividends on, or make any other distributions on, any shares of stock ranking junior (either as to dividends or upon liquidation, dissolution or winding-up) to the Series R Preferred Stock;

(ii)

declare or pay dividends on, or make any other distributions on, any shares of stock ranking on a parity (either as to dividends or upon liquidation, dissolution or winding-up) with the Series R Preferred Stock, except dividends paid ratably on the Series R Preferred Stock and all such other parity stock on which dividends are payable or in arrears in proportion to the total amounts to which the holders of all such shares are then entitled;

(iii)

redeem, purchase or otherwise acquire for value any shares of stock ranking junior (either as to dividends or upon liquidation, dissolution or winding-up) to the Series R Preferred Stock; provided that the Corporation may at any time redeem, purchase or otherwise acquire shares of any such junior stock in exchange for shares of stock of the Corporation ranking junior (as to dividends and upon dissolution, liquidation or winding-up) to the Series R Preferred Stock; or

(iv)

redeem, purchase or otherwise acquire for value any shares of Series R Preferred Stock, or any shares of stock ranking on a parity (either as to dividends or upon liquidation, dissolution or winding-up) with the Series R Preferred Stock, except in accordance with a purchase offer made in writing or by publication (as determined by the Board of Directors) to all holders of Series R Preferred Stock and all such other parity stock upon such terms as the Board of Directors, after consideration of the respective annual dividend rates and other relative rights and preferences of the respective series and classes, shall determine in good faith will result in fair and equitable treatment among the respective series or classes.


(b)	The Corporation shall not permit any subsidiary of the Corporation to purchase or otherwise acquire for value any shares of stock of the Corporation unless the Corporation could, under paragraph 4(a), purchase or otherwise acquire such shares at such time and in such manner.

Section 5. Reacquired Shares.

Any shares of Series R Preferred Stock purchased or otherwise acquired by the Corporation in any manner whatsoever shall be retired promptly after the acquisition thereof. All such shares shall upon their retirement become authorized but unissued shares of Preferred Stock without designation as to series and may be reissued as part of a new series of Preferred Stock to be created by the Board of Directors as permitted by the certificate of incorporation of the Corporation or as otherwise permitted under Delaware law.

Section 6. Liquidation, Dissolution and Winding-up.

Upon any liquidation, dissolution or winding-up of the Corporation, no distribution shall be made (a) to the holders of shares of stock ranking junior (either as to dividends or upon liquidation, dissolution or winding-up) to the Series R Preferred Stock unless, prior thereto, the holders of shares of Series R Preferred Stock shall have received $1.00 per share, plus an amount equal to accrued and unpaid dividends and distributions thereon, whether or not declared, to the date of such payment; provided that the holders of shares of Series R Preferred Stock shall be entitled to receive an aggregate amount per share equal to (x) the Multiplier Number times

(y) the aggregate amount to be distributed per share to holders of Common Stock, or (b) to the holders of stock ranking on a parity (either as to dividends or upon liquidation, dissolution or winding-up) with the Series R Preferred Stock, except distributions made ratably on the Series R Preferred Stock and all such other parity stock in proportion to the total amounts to which the holders of all such shares are entitled upon such liquidation, dissolution or winding up.

Section 7. Consolidation, Merger, etc.

If the Corporation shall enter into any consolidation, merger, combination or other transaction in which the shares of Common Stock are exchanged for or changed into other stock or securities, cash or any other property, then in any such case the shares of Series R Preferred Stock shall at the same time be similarly exchanged for or changed into an amount per share equal to (x) the Multiplier Number times (y) the aggregate amount of stock, securities, cash or any other property. as the case may be, into which or for which each share of Common Stock is changed or exchanged.

Section 8. No Redemption.

The Series R Preferred Stock shall not be redeemable.

Section 9. Rank.

The Series R Preferred Stock shall rank junior to all other series of the Preferred Stock as to the payment of dividends and the distribution of assets upon liquidation, dissolution and winding-up, unless the terms of such series shall specifically provide otherwise, and shall rank senior to the Common Stock as to such matters.

Section 10. Fractional Shares.

Series R Preferred Stock may be issued in fractions of a share which shall entitle the holder, in proportion to such holder’s fractional shares, to exercise voting rights, receive dividends, participate in distributions and to have the benefit of all other rights of holders of Series R Preferred Stock.

Exhibit V

6.5% Non-Cumulative Convertible Preferred Stock, Series T

Section 1. Designation.

The designation of the series of preferred stock shall be “6.5% Non-Cumulative Convertible Preferred Stock, Series T” (the “ Convertible Preferred Stock ”). Each share of Convertible Preferred Stock shall be identical in all respects to every other share of Convertible Preferred Stock. Convertible Preferred Stock will rank equally with Parity Stock, if any, will rank senior to Junior Stock and will rank junior to Senior Stock, if any, with respect to the payment of dividends and/or the distribution of assets in the event of any voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company.

Section 2. Number of Shares.

The number of authorized shares of Convertible Preferred Stock shall be 66,700. That number from time to time may be increased (but not in excess of the total number of authorized shares of preferred stock) or decreased (but not below the number of shares of Convertible Preferred Stock then outstanding) by further resolution duly adopted by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof and by the filing of a certificate pursuant to the provisions of the General Corporation Law of the State of Delaware stating that such increase or reduction, as the case may be, has been so authorized. The Company shall have the authority to issue fractional shares of Convertible Preferred Stock.

Section 3. Definitions. As used herein with respect to Convertible Preferred Stock:

“ Affiliate ” of any specified Person means any other Person directly or indirectly controlling or controlled by or under direct or indirect common control with such specified Person. For the purposes of this definition, “control” when used with respect to any specified Person, means the power to direct the management and policies of such Person, directly or indirectly, whether through the ownership of voting securities by contract or otherwise; and the terms “controlling” and “controlled” have meanings correlative to the foregoing.

“ Agent Members ” has the meaning set forth in Section 23(c).

“ Base Price ” has the meaning set forth in Section 10(a).

“ Board of Directors ” has the meaning set forth in the recitals in the Certificate of Designation of 6.5% Non-Cumulative Convertible Preferred Stock, Series T of Citigroup Inc. filed on January 22, 2008.

“ Closing Price ” of the Common Stock on any date of determination means the closing sale price or, if no closing sale price is reported, the last reported sale price of the shares of the Common Stock on the New York Stock Exchange on such date. If the Common Stock is not traded on the New York Stock Exchange on any date of determination, the Closing Price of the Common Stock on such date of determination means the closing sale price as reported in the composite transactions for the principal U.S. national or regional securities exchange on which the Common Stock is so listed or quoted, or, if no closing sale price is reported, the last reported sale price on the principal U.S. national or regional securities exchange on which the Common Stock is so listed or quoted, or if the Common Stock is not so listed or quoted on a U.S. national or regional securities exchange, the last quoted bid price for the Common Stock in the over-the-counter market as reported by Pink Sheets LLC or similar organization, or, if that bid price is not available, the market price of the Common Stock on that date as determined by a nationally recognized investment banking firm (unaffiliated with the Company) retained by the Company for this purpose.

“ Constituent Person ” has the meaning set forth in Section 13(a).

“ Conversion Agent ” means the Transfer Agent acting in its capacity as conversion agent for the Convertible Preferred Stock, and its successors and assigns.

“ Conversion at the Option of the Company Date ” has the meaning set forth in Section 11(c).

“ Conversion Date ” has the meaning set forth in Section 8(e).

“ Conversion Price ” at any time means, for each share of Convertible Preferred Stock, a dollar amount equal to $50,000 divided by the Conversion Rate (initially approximately $33.73).

“ Conversion Rate ” means for each share of Convertible Preferred Stock, 1,482.3503 shares of Common Stock, subject to adjustment as set forth herein.

“ Convertible Preferred Stock ” shall have the meaning set forth in Section 1.

“ Current Market Price ” per share of Common Stock on any day means the average of the VWAP per share of Common Stock on each of the 10 consecutive Trading Days ending on the earlier of the day in question and the day before the Ex-date or other specified date with respect to the issuance or distribution requiring such computation, appropriately adjusted to take into account the occurrence during such period of any event described in Section 12.

“ Depositary ” means DTC or its nominee or any successor depositary appointed by the Company.

“ Dividend Payment Date ” shall have the meaning set forth in Section 4(a).

“ Dividend Period ” shall have the meaning set forth in Section 4(a).

“ Dividend Record Date ” shall have the meaning set forth in Section 4(a).

“ Dividend Threshold Amount ” shall have the meaning set forth in Section 12(a)(iv).

“ DTC ” means The Depository Trust Company.

“ Ex-date ” when used with respect to any issuance or distribution, means the first date on which the shares of Common Stock or other securities trade without the right to receive an issuance or distribution.

“ Exchange Property ” has the meaning set forth in Section 13(a).

“ Expiration Time ” has the meaning set forth in Section 12(a)(v).

“ Fundamental Change ” has the meaning set forth in Section 10(a).

“ Global Preferred Stock ” has the meaning set forth in Section 23(a).

“ Holder ” means the Person in whose name the shares of the Convertible Preferred Stock are registered, which may be treated by the Company, Transfer Agent, Registrar, paying agent and Conversion Agent as the absolute owner of the shares of Convertible Preferred Stock for the purpose of making payment and settling the related conversions and for all other purposes.

“ Junior Stock ” means the Common Stock and any other class or series of stock of the Company now existing or hereafter authorized over which Convertible Preferred Stock has preference or priority in the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

“ Make-Whole Acquisition ” means the occurrence, prior to any Conversion Date, of one of the following:

(i)

a “person” or “group” within the meaning of Section 13(d) of the Exchange Act files a Schedule TO or any schedule, form or report under the Exchange Act disclosing that such person or group has become the direct or indirect ultimate “beneficial owner,” as defined in Rule 13d-3 under the Exchange Act, of common equity of the Company representing more than 50% of the voting power of the outstanding Common Stock; or

(ii)

consummation of any consolidation or merger of the Company or similar transaction or any sale, lease or other transfer in one transaction or a series of transactions of all or substantially all of the property and assets of the Company to any Person other than one of the Company’s subsidiaries, in each case pursuant to which the Common Stock will be converted into cash, securities or other property, other than pursuant to a transaction in which the Persons that “beneficially owned” (as defined in Rule 13d-3 under the Exchange Act), directly or indirectly, voting shares of the Company immediately prior to such transaction beneficially own, directly or

indirectly, voting shares representing a majority of the total voting power of all outstanding classes of voting shares of the continuing or surviving Person immediately after the transaction;

provided, however, that a Make-Whole Acquisition will not be deemed to have occurred if at least 90% of the consideration received by holders of the Common Stock in the transaction or transactions consists of shares of common stock or depositary receipts in respect of common stock that are traded on a U.S. national securities exchange or securities exchange in the European Economic Area or that will be so traded when issued or exchanged in connection with a Make-Whole Acquisition.

“ Make-Whole Acquisition Conversion ” has the meaning set forth in Section 9(a).

“ Make-Whole Acquisition Conversion Period ” has the meaning set forth in Section 9(a).

“ Make-Whole Acquisition Effective Date ” has the meaning set forth in Section 9(a).

“ Make-Whole Acquisition Stock Price ” means the consideration paid per share of Common Stock in a Make-Whole Acquisition. If such consideration consists only of cash, the Make-Whole Acquisition Stock Price shall equal the amount of cash paid per share of Common Stock. If such consideration consists of any property other than cash, the Make-Whole Acquisition Stock Price shall be the average of the Closing Price per share of Common Stock on each of the 10 consecutive Trading Days up to, but including, the Make-Whole Acquisition Effective Date.

“ Make-Whole Shares ” has the meaning set forth in Section 9(b).

“ Market Disruption Event ” means any of the following events that has occurred:

(i)

any suspension of, or limitation imposed on, trading by any exchange or quotation system on which the Closing Price is determined pursuant to the definition of the Trading Day (a “ Relevant Exchange ”) during the one-hour period prior to the close of trading for the regular trading session on the Relevant Exchange (or for purposes of determining the VWAP per share of Common Stock any period or periods aggregating one half-hour or longer during the regular trading session on the relevant day) and whether by reason of movements in price exceeding limits permitted by the Relevant Exchange, or otherwise relating to Common Stock or in futures or options contracts relating to the Common Stock on the Relevant Exchange;

(ii)

any event (other than an event described in clause (iii)) that disrupts or impairs (as determined by the Company in its reasonable discretion) the ability of market participants during the one-hour period prior to the close of trading for the regular trading session on the Relevant Exchange (or for purposes of determining the VWAP per share of Common Stock any period or periods aggregating one half-hour or longer during the regular trading session on the relevant day) in general to effect transactions in, or obtain market values for, the Common Stock on the Relevant Exchange or to effect transactions in, or obtain market values for, futures or options contracts relating to the Common Stock on the Relevant Exchange; or

(iii)

the failure to open of the Relevant Exchange on which futures or options contracts relating to the Common Stock, are traded or the closure of such exchange prior to its respective scheduled closing time for the regular trading session on such day (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier closing time is announced by such exchange at least one hour prior to the earlier of the actual closing time for the regular trading session on such day, and the submission deadline for orders to be entered into such exchange for execution at the actual closing time on such day.

“ Nonpayment ” shall have the meaning set forth in Section 14(b)(i).

“ Notice of Conversion at the Option of the Company ” has the meaning set forth in Section 11(c).

“ Officers’ Certificate ” means a certificate signed (i) by the Chief Executive Officer, the Chairman, the Chief Administrative Officer, any Vice Chairman, the Chief Financial Officer, the Controller or the Chief Accounting Officer, and (ii) by the Treasurer and Head of Corporate Finance, any Assistant Treasurer, the General Counsel and Corporate Secretary or any Assistant Secretary of the Company, and delivered to the Conversion Agent.

“ Parity Stock ” means any class or series of stock of the Company hereafter authorized that ranks equally with the Convertible Preferred Stock in the payment of dividends and in the distribution of assets on any liquidation, dissolution or winding up of the Company.

“ Person ” means a legal person, including any individual, corporation, estate, partnership, joint venture, association, joint-stock company, limited liability company or trust.

“ Purchased Shares ” has the meaning set forth in Section 12(a)(v).

“ Record Date ” has the meaning set forth in Section 12(d).

“ Reference Price ” means the price paid per share of Common Stock in a Fundamental Change. If the holders of shares of Common Stock receive only cash in the Fundamental Change, the Reference Price shall be the cash amount paid per share. Otherwise the Reference Price shall be the average of the Closing Price per share of Common Stock on each of the 10 Trading Days up to, but not including, the effective date of the Fundamental Change.

“ Registrar ” means the Transfer Agent acting in its capacity as registrar for the Convertible Preferred Stock, and its successors and assigns.

“ Relevant Exchange ” has the meaning set forth above in the definition of Market Disruption Event.

“ Reorganization Event ” has the meaning set forth in Section 13(a).

“ Senior Stock ” means any class or series of stock of the Company ‘now existing or hereafter authorized which has preference or priority over the Convertible Preferred Stock as to the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

“ Trading Day ” means, for purposes of determining a VWAP or Closing Price per share of Common Stock or a Closing Price, a Business Day on which the Relevant Exchange (as defined in the definition of Market Disruption Event) is scheduled to be open for business and on which there has not occurred or does not exist a Market Disruption Event.

“ Transfer Agent ” means The Bank of New York Mellon acting as Transfer Agent, Registrar, paying agent and Conversion Agent for the Convertible Preferred Stock, and its successors and assigns.

“ Trust ” shall have the meaning set forth in Section 6(d).

“ VWAP ” per share of the Common Stock on any Trading Day means the per share volume-weighted average price as displayed under the heading Bloomberg VWAP on Bloomberg page C UN <equity> AQR (or its equivalent successor if such page is not available) in respect of the period from the open of trading on the relevant Trading Day until the close of trading on the relevant Trading Day (or if such volume-weighted average price is unavailable, the market price of one share of Common Stock on such Trading Days determined, using a volume-weighted average method, by a nationally recognized investment banking firm (unaffiliated with the Company) retained for this purpose by the Company).

Section 4. Dividends.

(a)

Rate. Holders shall be entitled to receive, if, as and when declared by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof, but only out of assets legally available therefor, non-cumulative cash dividends on the liquidation preference of $50,000 per share of Convertible Preferred Stock, and no more, payable quarterly in arrears on each February 15, May 15, August 15 and November 15; provided, however, if any such day is not a Business Day, then payment of any dividend otherwise payable on that date will be made on the next succeeding day that is a Business Day, unless that day falls in the next calendar year, in which case payment of such dividend will occur on the immediately preceding Business Day (in either case, without any interest or other payment in respect of such delay) (each such day on which dividends are payable a “ Dividend Payment Date ”). The period from and including the date of issuance of the Convertible Preferred Stock or any Dividend Payment Date to, but excluding, the next Dividend Payment Date is a “ Dividend Period .” Dividends on each share of Convertible Preferred Stock will accrue on the liquidation preference of $50,000 per share at a rate per annum equal to 6.5%. The record date for payment of dividends on the Convertible Preferred Stock will be the fifteenth day of the calendar month immediately preceding the month during which the Dividend Payment Date falls or such other record date fixed by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof that is not more than 30 nor less than 10 days prior to such Dividend Payment Date (each, a “ Dividend Record Date ”). Any such day that is a Dividend Record Date

will be a Dividend Record Date whether or not such day is a Business Day. The amount of dividends payable will be computed on the basis of a 360-day year of twelve 30-day months.

(b)

Non-Cumulative Dividends. If the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof does not declare a dividend on the Convertible Preferred Stock for any Dividend Period prior to the related Dividend Payment Date, that dividend will not accrue, and the Company will have no obligation to pay, and Holders shall have no right to receive, a dividend for that Dividend Period on the related Dividend Payment Date or at any future time whether or not dividends on the Convertible Preferred Stock or any other series of preferred stock or common stock are declared for any subsequent Dividend Period with respect to Convertible Preferred Stock, Parity Stock, Junior Stock or any other class or series of authorized preferred stock of the Company. References herein to the “accrual” of dividends refer only to the determination of the amount of such dividend and do not imply that any right to a dividend arises prior to the date on which a dividend is declared.

(c)

Priority of Dividends. So long as any share of Convertible Preferred Stock remains outstanding, unless as to a Dividend Payment Date full dividends on all outstanding shares of the Convertible Preferred Stock have been declared and paid or declared and a sum sufficient for the payment of those dividends has been set aside for the Dividend Period then ending, the Company will not, and will cause its subsidiaries not to, during the next succeeding Dividend Period that commences on such Dividend Payment Date, declare or pay any dividend on, make any distributions relating to, or redeem, purchase, acquire or make a liquidation payment relating to, any of Junior Stock, or make any guarantee payment with respect thereto, other than:


(i)	purchases, redemptions or other acquisitions of shares of Junior Stock in connection with any employment contract, benefit plan or other similar arrangement with or for the benefit of employees, officers, directors or consultants;


(ii)	purchases of shares of Common Stock pursuant to a contractually binding requirement to buy stock existing prior to the commencement of the then-current dividend period, including under a contractually binding stock repurchase plan;


(iii)	as a result of an exchange or conversion of any class or series of Junior Stock for any other class or series of Junior Stock;


(iv)	the purchase of fractional interests in shares of Junior Stock pursuant to the conversion or exchange provisions of such Junior Stock or the security being converted or exchanged;


(v)	the purchase of Junior Stock by an investment banking subsidiary of the Company in connection with the distribution thereof; or


(vi)	the purchase of Junior Stock by any investment banking subsidiary of the Company in connection with market-making or other secondary market activities in the ordinary course of the business of such subsidiary.

The foregoing restriction, however, will not apply to any Junior Stock dividends paid by the Company where the dividend stock is the same stock as that on which the dividend is being paid. Except as provided below, for so long as any share of Convertible Preferred Stock remains outstanding, if dividends are not declared and paid in full upon the shares of Convertible Preferred Stock and any Parity Stock, all dividends declared upon shares of Convertible Preferred Stock and any Parity Stock will be declared on a proportional basis so that the amount of dividends declared per share will bear to each other the same ratio that accrued dividends for the then-current Dividend Period per share of Convertible Preferred Stock and accrued dividends for the then-current Dividend Period per share of any Parity Stock (including, in the case of any such Parity Stock that bears cumulative dividends, all accrued and unpaid dividends) bear to each other.

(e)

Conversion Following A Record Date. If a Conversion Date for any shares of Convertible Preferred Stock is prior to the close of business on a Dividend Record Date for any declared dividend for the then-current Dividend Period, the Holder of such shares will not be entitled to any such dividend. If the Conversion Date for any shares of Convertible Preferred Stock is after the close of business on a Dividend Record Date for any declared dividend for the then-current Dividend Period, but prior to the corresponding Dividend Payment Date, the Holder of such shares shall be entitled to

receive such dividend, notwithstanding the conversion of such shares prior to the Dividend Payment Date. However, such shares, upon surrender for conversion, must be accompanied by funds equal to the dividend on such shares; provided that no such payment need be made (i) if the Company has issued a notice of redemption of the Convertible Preferred Stock, (ii) if the Company has issued a notice of conversion at its option of the Convertible Preferred Stock, or (iii) if a conversion is made in connection with a Make-Whole Acquisition or Fundamental Change, in each case in accordance with the terms hereof.

Section 5. Liquidation Rights.

(a)

Liquidation. In the event of any voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company, Holders shall be entitled, out of assets legally available therefor, before any distribution or payment out of the assets of the Company may be made to or set aside for the holders of any Junior Stock and subject to the rights of the holders of any class or series of securities ranking senior to or on parity with Convertible Preferred Stock upon liquidation and the rights of the Company’s depositors and other creditors, to receive in full a liquidating distribution in the amount of the liquidation preference of $50,000 per share, plus any accrued dividends thereon from the last dividend payment date to, but excluding, the date of the liquidation, dissolution or winding up if and to the extent declared. Holders shall not be entitled to any further payments in the event of any such voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company other than what is expressly provided for in this Section 5.

(b)


(c)	Residual Distributions. If the respective aggregate liquidating distributions to which all Holders and all holders of any Parity Stock are entitled have been paid, the holders of Junior Stock shall be entitled to receive all remaining assets of the Company according to their respective rights and preferences.

(d)

Section 6. Redemption.

(a)

Notwithstanding the foregoing, the Company, at the option of its Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof, may redeem out of funds legally available therefor, at any time, in whole but not in part, the shares of Convertible Preferred Stock at the time outstanding if the aggregate liquidation preference of such shares is equal to 5% or less of the aggregate liquidation preference of the shares of Convertible Preferred Stock originally issued by the Company, upon notice as provided in Section 6(b) below, and at a redemption price equal to $50,000 per share, plus any accrued dividends thereon from the last dividend payment date to, but excluding, the date of redemption.

(b)

Notice of Redemption. Notice of every redemption of shares of Convertible Preferred Stock shall be mailed by first class mail, postage prepaid, addressed to the Holders of such shares to be redeemed at their respective last addresses appearing on the stock register of the Company. Such mailing shall be at least 30 days and not more than 60 days before the date fixed for redemption. Any notice mailed as provided in this Section 6(b) shall be conclusively presumed to have been duly given, whether or not the Holder receives such notice, but failure duly to give such notice by mail, or any defect in such notice or in the mailing thereof, to any Holder of shares of Convertible Preferred Stock designated for redemption shall not affect the validity of the proceedings for the redemption of any other shares of Convertible Preferred Stock. Each notice shall state:


(i)	the redemption date;


(ii)	the number of shares of Convertible Preferred Stock to be redeemed and, if fewer than all the shares of a Holder are to be redeemed, the number of such shares to be redeemed;


(iii)	the redemption price;


(iv)	the place or places where the certificates for such shares are to be surrendered for payment of the redemption price; and


(v)	that dividends on the shares to be redeemed will cease to accrue on the redemption date.

Notwithstanding the foregoing, if the Convertible Preferred Stock is held in book-entry form through DTC, the Company may give such notice in any manner permitted by DTC.

(c)

Partial Redemption. In case of any redemption of only part of the shares of Convertible Preferred Stock at the time outstanding, the shares of Convertible Preferred Stock to be redeemed shall be selected pro rata from the Holders in proportion to the number of shares of Convertible Preferred Stock held by such Holders, by lot or in such other manner as the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof may determine to be fair and equitable. Subject to the provisions of this Section 6, the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof shall have full power and authority to prescribe the terms and conditions upon which shares of Convertible Preferred Stock shall be redeemed from time to time.

(d)


(e)	Conversion Prior to Redemption. If the Convertible Preferred Stock has been called for redemption, a holder will be entitled to convert the Convertible Preferred Stock from the date of notice of the redemption until the close of business on the second Business Day immediately preceding the date of redemption.

Section 7. Right of the Holders to Convert.

Each Holder shall have the right, at such Holder’s option, to convert all or any portion of such Holder’s Convertible Preferred Stock at any time into shares of Common Stock at the Conversion Rate per share of Convertible Preferred Stock (subject to the conversion procedures of Section 8), plus cash in lieu of fractional shares.

Section 8. Conversion Procedures.

(a)

Conversion Date. Effective immediately prior to the close of business on any applicable Conversion Date, dividends shall no longer be declared on any such converted shares of Convertible Preferred Stock and such shares of Convertible Preferred Stock shall cease to be outstanding, in each case, subject to the right of Holders to receive any declared and unpaid dividends on such shares and any other payments to which they are otherwise entitled pursuant to the terms hereof.

(b)

Rights Prior to Conversion. No allowance or adjustment, except pursuant to Section 12, shall be made in respect of dividends payable to holders of the Common Stock of record as of any date prior to the close of business on any applicable Conversion Date. Prior to the close of business on any applicable Conversion Date, shares of Common Stock issuable upon conversion of, or other securities issuable upon conversion of, any shares of Convertible Preferred Stock shall not be deemed outstanding for any purpose, and Holders shall have no rights with respect to the Common Stock or other securities issuable upon conversion (including voting rights, rights to respond to tender offers for the Common Stock or other securities issuable upon conversion and rights to receive any dividends or other distributions on the Common Stock or other securities issuable upon conversion) by virtue of holding shares of Convertible Preferred Stock.

(c)

Reacquired Shares. Shares of Convertible Preferred Stock duly converted in accordance with this Certificate of Designation, or otherwise reacquired by the Company, will resume the status of authorized and unissued preferred stock, undesignated as to series and available for future issuance. The Company may from time-to-time take such appropriate action as may be necessary to reduce the authorized number of shares of Convertible Preferred Stock.

(d)

Record Holder as of Conversion Date. The Person or Persons entitled to receive the Common Stock and/or cash, securities or other property issuable upon conversion of Convertible Preferred Stock shall be treated for all purposes as the record holder(s) of such shares of Common Stock and/or securities as of the close of business on any applicable Conversion Date. In the event that a Holder shall not by written notice designate the name in which shares of Common Stock and/or cash, securities or other property (including payments of cash in lieu of fractional shares) to be issued or paid upon conversion of shares of Convertible Preferred Stock should be registered or paid or the manner in which such shares should be delivered, the Company shall be entitled to register and deliver such shares, and make such payment, in the name of the Holder and in the manner shown on the records of the Company or, in the case of global certificates, through book-entry transfer through the Depositary.


(e)	Conversion Procedure. On the date of any conversion, if a Holder’s interest is in certificated form, a Holder must do each of the following in order to convert:


(i)	complete and manually sign the conversion notice provided by the Conversion Agent, or a facsimile of the conversion notice, and deliver this irrevocable notice to the Conversion Agent;


(ii)	surrender the shares of Convertible Preferred Stock to the Conversion Agent;


(iii)	if required, furnish appropriate endorsements and transfer documents;


(iv)	if required, pay any stock transfer, documentary, stamp or similar taxes not payable by the Company pursuant to Section 24; and


(v)	if required, pay funds equal to any declared and unpaid dividend payable on the next Dividend Payment Date to which such Holder is entitled.

If a Holder’s interest is a beneficial interest in a global certificate representing Convertible Preferred Stock, in order to convert a Holder must comply with clauses (iii) through (v) listed above and comply with the Depositary’s procedures for converting a beneficial interest in a global security. The date on which a Holder complies with the procedures in this clause (ii) is the “ Conversion Date. ” The Conversion Agent shall, on a Holder’s behalf, convert the Convertible Preferred Stock into shares of Common Stock, in accordance with the terms of the notice delivered by such Holder described in clause (i) above.

Section 9. Conversion Upon Make-Whole Acquisition.

(a)

Make-Whole Acquisition Conversion. In the event of a Make-Whole Acquisition, each Holder shall have the option to convert its shares of Convertible Preferred Stock (a “ Make-Whole Acquisition Conversion ”) during the period (the “ Make-Whole Acquisition Conversion Period ”) beginning on the effective date of the Make-Whole Acquisition (the “ Make-Whole Acquisition Effective Date ”) and ending on the date that is 30 days after the Make-Whole Acquisition Effective Date and receive an additional number of shares of Common Stock in the form of Make-Whole Shares as set forth in clause (b) below.


(b)	Number of Make-Whole Shares. The number of “ Make-Whole Shares ” shall be determined for the Convertible Preferred Stock by reference to the table below for the applicable Make-Whole Acquisition Effective Date and the applicable Make-Whole Acquisition Stock Price:



	Stock Price
Effective Date	$26.35	$29.00	$31.50	$34.00	$36.50	$39.00	$41.50	$45.00	$50.00	$55.00	$60.00	$70.00	$80.00
January 17, 2008	415.0586	336.6450	280.8732	237.7517	203.8817	176.8906	155.0925	131.0448	105.8382	87.7535	74.3142	55.9120	44.0147
February 15, 2009	415.0586	335.6342	277.8014	233.2029	198.3240	170.6875	148.5209	124.2930	99.2609	81.6261	68.7560	51.5750	40.7288
February 15, 2010	407.7693	323.3739	263.5573	217.7120	182.0825	154.1127	131.9261	108.0402	83.9517	67.5097	55.8939	41.0257	32.1297
February 15, 2011	395.7941	307.9461	245.7090	198.1091	161.3901	132.8521	110.5226	86.9818	64.1080	49.3099	39.4578	27.8596	21.5687
February 15, 2012	381.2183	289.4432	223.9699	173.5976	134.6697	104.5878	61.4242	57.8404	36.6760	24.6960	17.9378	11.5860	9.0663
February 15, 2013	357.8192	261.7929	193.6996	140.8052	98.3019	63.0255	33.5871	4.8144	0.0000	0.0000	0.0000	0.0000	0.0000
February 15, 2014	332.5456	231.2139	162.2294	112.0320	74.8500	46.3888	24.1098	3.2856	0.0000	0.0000	0.0000	0.0000	0.0000
February 15, 2015	305.5166	179.3119	85.2333	2.7684	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0 0000	0.0000


(i)	The exact Make-Whole Acquisition Stock Prices and Make-Whole Acquisition Effective Dates may not be set forth on the table, in which case:

(A)

if the Make-Whole Acquisition Stock Price is between two Make-Whole Acquisition Stock Price amounts on the table or the Make-Whole Acquisition Effective Dates are between two dates on the table, the number of Make-Whole Shares will be determined by straight-line interpolation between the number of Make-Whole Shares set forth for the higher and lower Make-Whole Acquisition Stock Price amounts and the two Make-Whole Acquisition Effective Dates, as applicable, based on a 365-day year;


(B)	if the Make-Whole Acquisition Stock Price is in excess of $80.00 per share (subject to adjustment pursuant to Section 12), no Make-Whole Shares will be issued upon conversion of the Convertible Preferred Stock; and


(C)	if the Make-Whole Acquisition Stock Price is less than $26.35 per share (subject to adjustment pursuant to Section 12), no Make-Whole Shares will be issued upon conversion of the Convertible Preferred Stock.

(ii)

The Make-Whole Acquisition Stock Prices set forth in the table above are subject to adjustment pursuant to Section 12 and shall be adjusted as of any date the Conversion Rate is adjusted. The adjusted Make-Whole Acquisition Stock Prices will equal the Make-Whole Acquisition Stock Prices applicable immediately prior to such adjustment multiplied by a fraction, the numerator of which is the Conversion Rate immediately prior to the adjustment giving rise to the Make-Whole Acquisition Stock Prices adjustment and the denominator of which is the Conversion Rate as so adjusted. Each of the number of Make-Whole Shares in the table shall also be subject to adjustment in the same manner as the Conversion Rate pursuant to Section 12.

(c)

Initial Make-Whole Acquisition Notice. On or before the twentieth day prior to the date on which the Company anticipates consummating the Make-Whole Acquisition (or, if later, promptly after the Company discovers that the Make-Whole Acquisition will occur), a written notice shall be sent by or on behalf of the Company, by first-class mail, postage prepaid, to the Holders as they appear in the records of the Company. Such notice shall contain:


(i)	the date on which the Make-Whole Acquisition is anticipated to be effected, and whether such Make-Whole Acquisition is anticipated to be a Fundamental Change; and


(ii)	the date, which shall be 30 days after the anticipated Make-Whole Acquisition Effective Date, by which the Make-Whole Acquisition Conversion option must be exercised.


(d)	Second Make-Whole Acquisition Notice. On the Make-Whole Acquisition Effective Date, another written notice shall be sent by or on behalf of the Company, by first-class mail, postage prepaid, to the Holders as they appear in the records of the Company. Such notice shall contain:


(i)	the date that shall be 30 days after the Make-Whole Acquisition Effective Date;


(ii)	the number of Make-Whole Shares and, if such Make-Whole Acquisition is a Fundamental Change, the Base Price;


(iii)	the amount of cash, securities and other consideration payable per share of Common Stock and Convertible Preferred Stock; and


(iv)	the instructions a Holder must follow to exercise its conversion option in connection with such Make-Whole Acquisition, including pursuant to Section 10, if applicable.

(e)

Make-Whole Acquisition Conversion Procedure. To exercise a Make-Whole Acquisition Conversion option, a Holder must, no later than 5:00 p.m., New York City time, on or before the date by which the Make-Whole Acquisition Conversion option must be exercised as specified in the notice delivered under clause (d) above, comply with the procedures set forth in Section 8(e) and indicate that it is exercising its Make-Whole Acquisition Conversion option.


(f)	Unconverted Shares Remain Outstanding. If a Holder does not elect to exercise the Make-Whole Acquisition Conversion option pursuant to this Section 9, the shares of Convertible Preferred Stock or successor security held by it will remain outstanding (subject to such Holder electing to exercise its Fundamental Change conversion option, if any, in accordance with Section 10).

(g)

Delivery Following Make-Whole Acquisition Conversion. Upon a Make-Whole Acquisition Conversion, the Conversion Agent shall, except as otherwise provided in the instructions provided by the Holder in the written notice provided to the Company or its successor as set forth in Section 8(d) above, deliver to the Holder such cash, securities or other property as are issuable with respect to Make-Whole Shares in the Make-Whole Acquisition.

(h)

Partial Make-Whole Acquisition Conversion. In the event that a Make-Whole Acquisition Conversion is effected with respect to shares of Convertible Preferred Stock or a successor security representing less than all the shares of Convertible Preferred Stock or a successor security held by a Holder, upon such Make-Whole Acquisition Conversion the Company or its successor shall execute and the Conversion Agent shall, unless otherwise instructed in writing, countersign and deliver to such Holder, at the expense of the Company or its successors, a certificate evidencing the shares of Convertible Preferred Stock or such successor security held by the Holder as to which a Make-Whole Acquisition Conversion was not effected.

Section 10. Conversion Upon Fundamental Change.

(a)

Fundamental Change Conversion. If the Reference Price in connection with a Make-Whole Acquisition is less than the Conversion Price (a “ Fundamental Change ”), a Holder may convert each share of Convertible Preferred Stock during the period beginning on the effective date of the Fundamental Change and ending on the date that is 30 days after the effective date of such Fundamental Change at an adjusted Conversion Price equal to the greater of (1) the Reference Price and (2) $18.45, subject to adjustment as described in clause (b) below (the “ Base Price ”).

(b)

Base Price Adjustment. The Base Price shall be adjusted as of any date the Conversion Rate of the Convertible Preferred Stock is adjusted pursuant to Section 12. The adjusted Base Price shall equal the Base Price applicable immediately prior to such adjustment multiplied by a fraction, the numerator of which is the Conversion Rate immediately prior to the adjustment giving rise to the Base Price adjustment and the denominator of which is the Conversion Rate as so adjusted.


(c)	Cash Alternative. In lieu of issuing Common Stock upon conversion in the event of a Fundamental Change, the Company may at its option, and if it obtains any necessary regulatory approval, pay an amount in cash (computed to the nearest cent) equal to the Reference Price for each share of Common Stock otherwise issuable upon conversion.

(d)

Fundamental Change Conversion Procedure. To exercise its conversion option upon a Fundamental Change, a Holder must, no later than 5:00 p.m., New York City time, on or before the date by which the conversion option upon the Fundamental Change must be exercised as specified in the notice delivered under Section 9(d) above, comply with the procedures set forth in Section 8(e) and indicate that it is exercising its Fundamental Change conversion option.


(f)	Unconverted Shares Remain Outstanding. If a Holder does not elect to exercise its conversion option upon a Fundamental Change pursuant to this Section 10, the shares of Convertible Preferred Stock or successor security held by it will remain outstanding (subject to such Holder electing to exercise its Make-Whole Acquisition Conversion option, if any, in accordance with Section 9).

(g)

Delivery Following Fundamental Change Conversion. Upon a conversion upon a Fundamental Change, the Conversion Agent shall, except as otherwise provided in the instructions provided by the Holder in the written notice provided to the Company or its successor as set forth in Section 8(d) above, deliver to the Holder such cash, securities or other property as are issuable with respect to the adjusted Conversion Price following the Fundamental Change.

(h)

Partial Fundamental Change Conversion. In the event that a conversion upon a Fundamental Change is effected with respect to shares of Convertible Preferred Stock or a successor security representing less than all the shares of Convertible Preferred Stock or a successor security held by a Holder, upon such conversion the Company or its successor shall execute and the Conversion Agent shall, unless otherwise instructed in writing, countersign and deliver to such Holder, at the expense of the Company, a certificate evidencing the shares of Convertible Preferred Stock or such successor security held by the Holder as to which a conversion upon a Fundamental Change was not effected.

Section 11. Conversion at the Option of the Company.

(a)

Company Conversion Right. On or after February 15, 2013, the Company shall have the right, at its option, at any time or from time to time to cause some or all of the Convertible Preferred Stock to be converted into shares of Common Stock at the then-applicable Conversion Rate if, for 20 Trading Days within any period of 30 consecutive Trading Days ending on the Trading Day preceding the date the Company delivers a Notice of Conversion at the Option of the Company, the Closing Price of the Common Stock exceeds 130% of the then-applicable Conversion Price of the Convertible Preferred Stock.

(b)

Partial Conversion. If the Company elects to cause less than all the shares of the Convertible Preferred Stock to be converted under clause (a) above, the Conversion Agent shall select the Convertible Preferred Stock to be converted on a pro rata basis, by lot or in such other manner as the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof determines to be fair and equitable. If the Conversion Agent selects a portion of a Holder’s Convertible Preferred Stock for partial conversion at the option of the Company and such Holder converts a portion of its shares of Convertible Preferred Stock, the converted portion will be deemed to be from the portion selected for conversion at the option of the Company under this Section 11.

(c)

Conversion Procedure. In order to exercise the conversion right described in this Section 11, the Company shall provide notice of such conversion to each Holder (such notice, a “ Notice of Conversion at the Option of the Company ”) The Conversion Date shall be a date selected by the Company (the “ Conversion at the Option of the Company Date ”) and shall be no more than 20 days after the date on which the Company provides such Notice of Conversion at the Option of the Company. In addition to any information required by applicable law or regulation, the Notice of Conversion at the Option of the Company shall state, as appropriate:


(i)	the Conversion at the Option of the Company Date;


(ii)	the number of shares of Common Stock to be issued upon conversion of each share of Convertible Preferred Stock and, if fewer than all the shares of a Holder are to be converted, the number of such shares to be converted; and


(iii)	the number of shares of Convertible Preferred Stock to be converted.

Section 12. Anti-Dilution Adjustments.


(a)	Adjustments. The Conversion Rate will be subject to adjustment, without duplication under the following circumstances:


(i)	the issuance of Common Stock as a dividend or distribution to all holders of Common Stock, or a subdivision or combination of Common Stock, in which event the Conversion Rate will be adjusted based on the following formula:



CR 1 = CR 0 x (OS 1 / OS 0 )

where,

CR 0	=	the Conversion Rate in effect at the close of business on the Record Date
CR 1	=	the Conversion Rate in effect immediately after the Record Date
OS 0	=	the number of shares of Common Stock outstanding at the close of business on the Record Date prior to giving effect to such event
OS 1	=	the number of shares of Common Stock that would be outstanding immediately after, and solely as a result of, such event

Notwithstanding the foregoing, no adjustment will be made for the issuance of Common Stock as a dividend or distribution to all holders of Common Stock that is made in lieu of a quarterly or annual cash dividend or distribution to such holders, to the extent such dividend or distribution does not exceed the applicable Dividend Threshold Amount. The amount of any such dividend or distribution will equal the number of such shares being issued multiplied by the average of the VWAP of the Common Stock over each of the five consecutive Trading Days prior to the Ex-date for such dividend or distribution.

(ii)

the issuance to all holders of Common Stock of certain rights or warrants entitling them for a period expiring 60 days or less from the date of issuance of such rights or warrants to purchase shares of Common Stock (or securities convertible into Common Stock) at less than (or having a conversion price per share less than) the Current Market Price as of the Record Date, in which event each Conversion Rate will be adjusted based on the following formula:



CR 1 =CR o x(OS o +X)/(OS o +Y)

where,

CR 0	=	the Conversion Rate in effect at the close of business on the Record Date
CR 1	=	the Conversion Rate in effect immediately after the Record Date
OS 0	=	the number of shares of Common Stock outstanding at the close of business on the Record Date
X	=	the total number of shares of Common Stock issuable pursuant to such rights (or upon conversion of such securities)
Y	=	the aggregate price payable to exercise such rights (or the conversion price for such securities paid upon conversion) divided by the average of the VWAP of the Common Stock over each of the ten consecutive Trading Days prior to the Business Day immediately preceding the announcement of the issuance of such rights.

However, the Conversion Rate will be readjusted to the extent that any such rights or warrants are not exercised prior to their expiration.

(iii) the dividend or other distribution to all holders of Common Stock of shares of capital stock of the Company (other than common stock) or evidences of its indebtedness or its assets (excluding any dividend, distribution or issuance covered by clauses (i) or (ii) above or (iv) or (v) below) in which event the Conversion Rate will be adjusted based on the following formula:



CR 1 = CR 0 x SP 0 / (SP 0 -FMV)

where,

CR 0	=	the Conversion Rate in effect at the close of business on the Record Date
CR 1	=	the Conversion Rate in effect immediately after the Record Date
SP 0	=	the Current Market Price as of the Record Date
FMV	=	the fair market value (as determined by the Board of Directors) on the Record Date of the shares of capital stock of the Company, evidences of indebtedness or assets so distributed, expressed as an amount per share of Common Stock

However, if the transaction that gives rise to an adjustment pursuant to this clause (iii) is one pursuant to which the payment of a dividend or other distribution on Common Stock consists of shares of capital stock of the Company of, or similar equity interests in, a subsidiary or other business unit of ours, (i.e., a spin-off) that are, or, when issued, will be, traded on a U.S. securities exchange or quoted on the Nasdaq Capital Market, then the Conversion Rate will instead be adjusted based on the following formula:



CR 1 = CR 0 x (FMV 0 + MP 0 )/MP 0

where,

CR 0	=	the Conversion Rate in effect at the close of business on the Record Date
CR 1	=	the Conversion Rate in effect immediately after the Record Date
FMV 0	=	the average of the VWAP of the capital stock of the Company or similar equity interests distributed to holders of Common Stock applicable to one share of Common Stock over each of the 10 consecutive Trading Days commencing on and including the third Trading Day after the date on which “ex-distribution trading” commences for such dividend or distribution on the NYSE or such other national or regional exchange or market on which Common Stock is then listed or quoted
MP 0	=	the average of the VWAP of the Common Stock over each of the 10 consecutive Trading Days commencing on and including the third Trading Day after the date on which “ex-distribution trading” commences for such dividend or distribution on the NYSE or such other national or regional exchange or market on which Common Stock is then listed or quoted

(iv)

the Company makes a distribution consisting exclusively of cash to all holders of Common Stock, excluding (a) any cash dividend on Common Stock to the extent that the aggregate cash dividend per share of Common Stock does not exceed (i) $0.32 in any fiscal quarter in the case of a quarterly dividend or (ii) $1.28 in the prior twelve months in the case of an annual dividend (each such number, the “ Dividend Threshold Amount ”), (b) any cash that is distributed as part of a distribution referred to in clause (iii) above, and (c) any consideration payable in connection with a tender or exchange offer made by the Company or any of its subsidiaries referred to in clause (v) below, in which event, the Conversion Rate will be adjusted based on the following formula:



CR 1 = CR 0 x SP 0 / (SP 0 -C)

where,

CR 0	=	the Conversion Rate in effect at the close of business on the Record Date
CR 1	=	the Conversion Rate in effect immediately after the Record Date
SP 0	=	the Current Market Price as of the Record Date
C	=	the amount in cash per share the Company distributes to holders in the event of a regular quarterly or annual dividend, less the dividend threshold amount

The dividend threshold amount is subject to adjustment on an inversely proportional basis whenever the Conversion Rate is adjusted, provided that no adjustment will be made to the dividend threshold amount for any adjustment made to the Conversion Rate pursuant to this clause (iv).

(v)

the Company or one or more of its subsidiaries make purchases of Common Stock pursuant to a tender offer or exchange offer by the Company or a subsidiary of the Company for Common Stock to the extent that the cash and value of any other consideration included in the payment per share of Common Stock validly tendered or exchanged exceeds the VWAP per share of Common Stock on the Trading Day next succeeding the last date on which tenders or exchanges may be made pursuant to such tender or exchange offer (the “expiration date”), in which event the Conversion Rate will be adjusted based on the following formula:



CR 1 = CR 0 x [(FMV + (SP 1 x OS 1 )] / (SP 1 x OS 0 )

where,

CR 0	=	the Conversion Rate in effect at the close of business on the expiration date
CR 1	=	the Conversion Rate in effect immediately after the expiration date
FMV	=	the fair market value (as determined by the Board of Directors), on the expiration date, of the aggregate value of all cash and any other consideration paid or payable for shares validly tendered or exchanged and not withdrawn as of the expiration date (the “ Purchased Shares ”)
OS 1	=	the number of shares of Common Stock outstanding as of the last time tenders or exchanges may be made pursuant to such tender or exchange offer (the “ Expiration Time ”) less any Purchased Shares
OS 0	=	the number of shares of Common Stock outstanding at the Expiration Time, including any Purchased Shares
SP 1	=	the average of the VWAP of the Common Stock over each of the ten consecutive Trading Days commencing with the Trading Day immediately after the expiration date.

(b)

Calculation of Adjustments. All adjustments to the Conversion Rate shall be calculated by the Company to the nearest 1/10,000th of one share of Common Stock (or if there is not a nearest 1/10,000th of a share, to the next lower 1/10,000th of a share). No adjustment to the Conversion Rate will be required unless such adjustment would require an increase or decrease of at least one percent; provided, however, that any such minor adjustments that are not required to be made will be carried forward and taken into account in any subsequent adjustment, and provided further that any such adjustment of less than one percent that has not been made will be made upon (x) the end of each fiscal year of the Company, (y) the date of any notice of redemption of the Convertible Preferred Stock in accordance with the provisions hereof or any notice of a Make-Whole Acquisition and (z) any Conversion Date.


(i)	Except as otherwise provided in this Section 12, the Conversion Rate will not be adjusted for the issuance of Common Stock or any securities convertible into or exchangeable for Common Stock or carrying the right to purchase any of the foregoing or for the repurchase of Common Stock.

(ii)

No adjustment of the Conversion Rate need be made as a result of: (A) the issuance of the rights; (B) the distribution of separate certificates representing the rights; (C) the exercise or redemption of the rights in accordance with any rights agreement; or (D) the termination or invalidation of the rights, in each case, pursuant to the Company’s stockholder rights plan existing on the date of hereof, as amended, modified, or supplemented from time to time, or any newly adopted stockholder rights plans; provided, however, that to the extent that the Company has a stockholder rights plan in effect on a Conversion Date (including the Company’s rights plan, if any, existing on the date hereof), the Holder shall receive, in addition to the shares of Common Stock, the rights under such rights plan, unless, prior to any such Conversion Date, the rights have separated from the Common Stock, in which case the Conversion Rate will be adjusted at the time of separation as if the Company made a distribution to all holders of Common Stock of shares of capital stock of the Company or evidences of its indebtedness or its assets as described in Section 12.01(a)(iii), subject to readjustment in the event of the expiration, termination or redemption of the rights.


(iii)	No adjustment to the Conversion Rate need be made:

(A) upon the issuance of any shares of Common Stock pursuant to any present or future plan providing for the reinvestment of dividends or interest payable on securities of the Company and the investment of additional optional amounts in Common Stock under any plan;


(B)	upon the issuance of any shares of Common Stock or options or rights to purchase those shares pursuant to any present or future employee, director or consultant benefit plan or program of or assumed by the Company or any of its subsidiaries; or


(C)	upon the issuance of any shares of Common Stock pursuant to any option, warrant, right, or exercisable, exchangeable or convertible security outstanding as of the date the Convertible Preferred Stock was first issued.


(iv)	No adjustment to the Conversion Rate need be made for a transaction referred to in Section 12.01 (a)(i), (ii), (iii), (iv) or (v) if Holders may participate in the transaction on a basis and with notice that the Board of Directors determines to be fair and appropriate in light of the basis and notice on which holders of Common Stock participate in the transaction.


(v)	No adjustment to the Conversion Rate need be made for a change in the par value or no par value of the Common Stock.


(vi)	No adjustment to the Conversion Rate will be made to the extent that such adjustment would result in the Conversion Price being less than the par value of the Common Stock.


(vii)	Notwithstanding any other provision herein to the contrary, in the event of an adjustment pursuant to Section 12.01(a)(iv) or (v), in no event will the conversion rate following such adjustment exceed 1,897.4084, subject to adjustment pursuant to Section 12.01 (a)(i), (ii) or (iii).

(d)

Record Date. For purposes of this Section 12, “ Record Date ” means, with respect to any dividend, distribution or other transaction or event in which the holders of the Common Stock have the right to receive any cash, securities or other property or in which the Common Stock (or other applicable security) is exchanged for or converted into any combination of cash, securities or other property, the date fixed for determination of holders of the Common Stock entitled to receive such cash, securities or other property (whether such date is fixed by the Board of Directors or by statute, contract or otherwise).


(e)	Successive Adjustments. After an adjustment to the Conversion Rate under this Section 12, any subsequent event requiring an adjustment under this Section 12 shall cause an adjustment to such Conversion Rate as so adjusted.


(f)	Multiple Adjustments. For the avoidance of doubt, if an event occurs that would trigger an adjustment to the Conversion Rate pursuant to this Section 12 under more than one subsection hereof, such event, to the extent fully taken into account in a single adjustment, shall not result in multiple adjustments hereunder.

(g)

Other Adjustments. The Company may, but shall not be required to, make such increases in the Conversion Rate, in addition to those required by this Section, as the Board of Directors considers to be advisable in order to avoid or diminish any income tax to any holders of shares of Common Stock resulting from any dividend or distribution of stock or issuance of rights or warrants to purchase or subscribe for stock or from any event treated as such for income tax purposes or for any other reason.


(h)	Notice of Adjustments. Whenever a Conversion Rate is adjusted as provided under Section 12, the Company shall within 10 Business Days following the occurrence of an event that requires such adjustment (or if the Company is not aware of such occurrence, as soon as reasonably practicable after becoming so aware) or the date the Company makes an adjustment pursuant to Section 12(g):


(i)	compute the adjusted applicable Conversion Rate in accordance with Section 12 and prepare and transmit to the Conversion Agent an Officers’ Certificate setting forth the applicable Conversion Rate, as the case may be, the method of calculation thereof in reasonable detail, and the facts requiring such adjustment and upon which such adjustment is based; and


(ii)	provide a written notice to the Holders of the occurrence of such event and a statement in reasonable detail setting forth the method by which the adjustment to the applicable Conversion Rate was determined and setting forth the adjusted applicable Conversion Rate.

(i)

Conversion Agent. The Conversion Agent shall not at any time be under any duty or responsibility to any Holder to determine whether any facts exist that may require any adjustment of the applicable Conversion Rate or with respect to the nature or extent or calculation of any such adjustment when made, or with respect to the method employed in making the same. The Conversion Agent shall be fully authorized and protected in relying on any Officers’ Certificate delivered pursuant to Section 12(h) and any adjustment contained therein and the Conversion Agent shall not be deemed to have knowledge of any adjustment unless and until it has received such certificate. The Conversion Agent shall not be accountable with respect to the validity or value (or the kind or amount) of any shares of Common Stock, or of any securities or property, that may at the time be issued or delivered with respect to any Convertible Preferred Stock; and the Conversion Agent makes no representation with respect thereto. The Conversion Agent shall not be responsible for any failure of the Company to issue, transfer or deliver any shares of Common Stock pursuant to a conversion of

Convertible Preferred Stock or to comply with any of the duties, responsibilities or covenants of the Company contained in this Section 12.

(j)

Fractional Shares. No fractional shares of Common Stock will be issued to holders of the Convertible Preferred Stock upon conversion. In lieu of fractional shares otherwise issuable, holders will be entitled to receive an amount in cash equal to the fraction of a share of Common Stock, calculated on an aggregate basis in respect of the shares of Convertible Preferred Stock being converted, multiplied by the Closing Price of the Common Stock on the Trading Day immediately preceding the applicable Conversion Date.

Section 13. Adjustment for Reorganization Events.


(a)	Reorganization Events. In the event of:


(1)	any consolidation or merger of the Company with or into another person (other than a merger or consolidation in which the Company is the continuing corporation and in which the shares of Common Stock outstanding immediately prior to the merger or consolidation are not exchanged for cash, securities other property of the Company or another corporation);


(2)	any sale, transfer, lease or conveyance to another person of all or substantially all the property and assets of the Company; or

(3)

any statutory exchange of securities of the Company with another Person (other than in connection with a merger or acquisition) or any binding share exchange which reclassifies or changes its outstanding Common Stock; each of which is referred to as a “ Reorganization Event ,” each share of the Convertible Preferred Stock outstanding immediately prior to such Reorganization Event will, without the consent of the holders of the Convertible Preferred Stock, become convertible into the kind and amount of securities, cash and other property (the “ Exchange Property ”) receivable in such Reorganization Event (without any interest thereon, and without any right to dividends or distribution thereon which have a record date that is prior to the applicable Conversion Date) per share of Common Stock by a holder of Common Stock that is not a Person with which the Company consolidated or into which the Company merged or which merged into the Company or to which such sale or transfer was made, as the case may be (any such Person, a “ Constituent Person ”), or an Affiliate of a Constituent Person to the extent such Reorganization Event provides for different treatment of Common Stock held by Affiliates of the Company and non-Affiliates; provided that if the kind or amount of securities, cash and other property receivable upon such Reorganization Event is not the same for each share of Common Stock held immediately prior to such Reorganization Event by a Person other than a Constituent Person or an Affiliate thereof, then for the purpose of this Section 13(a), the kind and amount of securities, cash and other property receivable upon such Reorganization Event will be deemed to be the weighted average of the types and amounts of consideration received by the holders of Common Stock that affirmatively make an election (or of all such holders if none make an election). On each Conversion Date following a Reorganization Event, the Conversion Rate then in effect will be applied to the value on such Conversion Date of such securities, cash or other property received per share of Common Stock, as determined in accordance with this Section 13.

(b)

Exchange Property Election. In the event that holders of the shares of Common Stock have the opportunity to elect the form of consideration to be received in such transaction, the consideration that the Holders are entitled to receive shall be deemed to be the types and amounts of consideration received by the holders of the shares of Common Stock that affirmatively make an election (or of all such holders if none make an election). The amount of Exchange Property receivable upon conversion of any Convertible Preferred Stock in accordance with the terms hereof shall be determined based upon the Conversion Rate in effect on such Conversion Date.


(c)	Successive Reorganization Events. The above provisions of this Section 13 shall similarly apply to successive Reorganization Events and the provisions of Section 12 shall apply to any shares of capital stock of the Company (or any successor) received by the holders of the Common Stock in any such Reorganization Event.


(d)	Reorganization Event Notice. The Company (or any successor) shall, within 20 days of the occurrence of any Reorganization Event, provide written notice to the Holders of such occurrence of such event and of the kind and amount of the cash, securities or other property that constitutes the Exchange Property. Failure to deliver such notice shall not affect the operation of this Section 13.

Section 14. Voting Rights.


(a)	General. The Holders shall not be entitled to vote on any matter except as set forth in Section 14(b) below or as required by Delaware law.


(b)	Special Voting Right.

(i)

Voting Right. If and whenever dividends on the Convertible Preferred Stock or any other class or series of preferred stock that ranks on parity with Convertible Preferred Stock as to payment of dividends, and upon which voting rights equivalent to those granted by this Section 14(b)(i) have been conferred and are exercisable, have not been paid in an aggregate amount equal, as to any class or series, to at least six quarterly Dividend Periods (whether consecutive or not) (a “ Nonpayment ”), the number of directors constituting the Board of Directors shall be increased by two, and the Holders (together with holders of any class or series of the Company’s authorized preferred stock having equivalent voting rights), shall have the right, voting separately as a single class without regard to class or series (and with voting rights allocated pro rata based on the liquidation preference of each such class or series), to the exclusion of the holders of Common Stock, to elect two directors of the Company to fill such newly created directorships (and to fill any vacancies in the terms of such directorships), provided that the Holders and the holders of any such other class or series shall not be entitled to elect such directors to the extent such election would cause the Company to violate the corporate governance requirements of the New York Stock Exchange (or other exchange on which the Company’s securities may be listed) that listed companies must have a majority of independent directors, and further provided that the Board of Directors shall at no time include more than two such directors. Each such director elected by the Holders and any other class or series of preferred stock that ranks on parity with the Convertible Preferred Stock as to payment of dividends and having equivalent voting rights is a “ Preferred Stock Director .”

(ii)

Election. The election of the Preferred Stock Directors will take place at any annual meeting of stockholders or any special meeting of the Holders and any other class or series of stock of the Company that ranks on parity with Convertible Preferred Stock as to payment of dividends and having equivalent voting rights and for which dividends have not been paid, called as provided herein. At any time after the special voting power has vested pursuant to Section 14(b)(i) above, the secretary of the Company may, and upon the written request of the Holders of at least 20% of the Convertible Preferred Stock or the holders of at least 20% of such other series (addressed to the secretary at the Company’s principal office) must (unless such request is received less than 90 days before the date fixed for the next annual or special meeting of the stockholders, in which event such election shall be held at such next annual or special meeting of stockholders), call a special meeting of the Holders and any other class or series of preferred stock that ranks on parity with Convertible Preferred Stock as to payment of dividends and having equivalent voting rights and for which dividends have not been paid for the election of the two directors to be elected by them as provided in Section 14(b)(iii) below. The Preferred Stock Directors shall each be entitled to one vote per director on any matter.

(iii)

Notice of Special Meeting. Notice for a special meeting will be given in a similar manner to that provided in the Company’s by-laws for a special meeting of the stockholders. If the secretary of the Company does not call a special meeting within 20 days after receipt of any such request, then any Holder may (at the expense of the Company) call such meeting, upon notice as provided in this Section 14(b)(iii), and for that purpose will have access to the stock register of the Company. The Preferred Stock Directors elected at any such special meeting will hold office until the next annual meeting of the stockholders of the Company unless they have been previously terminated or removed pursuant to Section 14(b)(iv). In case any vacancy in the office of a Preferred Stock Director occurs (other than prior to the initial election of the Preferred Stock Directors), the vacancy may be filled by the written consent of the Preferred Stock Director remaining in office, or if none remains in office, by the vote of the Holders (together with holders of any other class of the Company’s authorized preferred stock having equivalent voting rights, whether or not the holders of such preferred stock would be entitled to vote for the election of directors if such default in dividends did not exist) to serve until the next annual meeting of the stockholders.

(iv)

Termination; Removal. Whenever the Company has paid full dividends for at least four consecutive quarterly dividend periods following a Nonpayment on the Convertible Preferred Stock and any other class or series of non-cumulative preferred stock ranking on parity with Convertible Preferred Stock as to payment of dividends, if any, and has paid cumulative dividends in full on any class or series of cumulative preferred stock ranking on parity with the Convertible Preferred Stock as to payment of dividends (in each case, upon which equivalent voting rights to those set forth in Section 14(b)(iii) have been conferred and are exercisable), then the right of the Holders to elect the Preferred Stock Directors will cease (but subject always to the same provisions for the vesting of the special voting rights in the case of any similar non-payment of dividends in respect of future Dividend Periods). The terms of office of the Preferred Stock Directors will immediately terminate, and the number of directors constituting the Board of Directors will be reduced accordingly. Any Preferred Stock Director may be removed at any time without cause by the Holders of a majority of the outstanding shares of

the Convertible Preferred Stock (together with holders of any other class of the Company’s authorized preferred stock having equivalent voting rights, whether or not the holders of such preferred stock would be entitled to vote for the election of directors if such default in dividends did not exist) when they have the voting rights described in this Section 14(b).

(c)

Senior Issuances; Adverse Changes. So long as any shares of Convertible Preferred Stock are outstanding, the vote or consent of the Holders of at least two-thirds of the shares of Convertible Preferred Stock at the time outstanding, voting as a class with all other series of preferred stock ranking equally with the Convertible Preferred Stock and entitled to vote thereon, given in person or by proxy, either in writing without a meeting or by vote at any meeting called for the purpose, will be necessary for effecting or validating any of the following actions, whether or not such approval is required by Delaware law:


(i)	any amendment, alteration or repeal of any provision of the Company’s Certificate of Incorporation (including the certificate of designation creating the Convertible Preferred Stock) or the Company’s by-laws that would alter or change the voting powers, preferences or special rights of the Convertible Preferred Stock so as to affect them adversely;

(ii)

any amendment or alteration of the Company’s certificate of incorporation to authorize or create, or increase the authorized amount of, any shares of, or any securities convertible into shares of, any class or series of the Company’s capital stock ranking prior to the Convertible Preferred Stock in the payment of dividends or in the distribution of assets on any liquidation, dissolution or winding-up of the Company; or

(iii)

the consummation of a binding share exchange or reclassification involving the Convertible Preferred Stock or a merger or consolidation of the Company with another entity, except that holders of Convertible Preferred Stock will have no right to vote under this provision or otherwise under Delaware law if in each case (i) the Convertible Preferred Stock remains outstanding or, in the case of any such merger or consolidation with respect to which the Company is not the surviving or resulting entity, is converted into or exchanged for preferred securities of the surviving or resulting entity or its ultimate parent, that is an entity organized and existing under the laws of the United States of America, any state thereof or the District of Columbia and that is a corporation for U.S. federal income tax purposes (or if such entity is not a corporation, the Company having received an opinion of nationally recognized counsel experienced in such matters to the effect that Holders will be subject to tax for U.S. federal income tax purposes with respect to such new preferred securities after such merger or consolidation in the same amount, at the same time and otherwise in the same manner as would have been the case under the Convertible Preferred Stock prior to such merger or consolidation), and (ii) such Convertible Preferred Stock remaining outstanding or such preferred securities, as the case may be, have such rights, preferences, privileges and voting powers, taken as a whole, as are not materially less favorable to the holders thereof than the rights, preferences, privileges and voting powers of the Convertible Preferred Stock, taken as a whole;

provided, however, that any increase in the amount of the authorized or issued Convertible Preferred Stock or authorized preferred stock or any securities convertible into preferred stock or the creation and issuance, or an increase in the authorized or issued amount, of other series of preferred stock or any securities convertible into preferred stock ranking equally with and/or junior to the Convertible Preferred Stock with respect to the payment of dividends (whether such dividends are cumulative or non-cumulative) and/or the distribution of assets upon the Company’s liquidation, dissolution or winding up will not be deemed to adversely affect the voting powers, preferences or special rights of the Convertible Preferred Stock and Holders will have no right to vote on such an increase, creation or issuance.

If any amendment, alteration, repeal, share exchange, reclassification, merger or consolidation specified in this Section 14(c) would adversely affect one or more but not all series of preferred stock of the Company, then only such series of preferred stock as are adversely affected by and entitled to vote on the matter shall vote on the matter together as a single class (in lieu of all other series of preferred stock).

(d)

No Vote if Redemption. No vote or consent of the Holders shall be required pursuant to Section 14(b) or (c) if, at or prior to the time when the act with respect to such vote or consent would otherwise be required shall be effected, the Company shall have redeemed or shall have called for redemption all outstanding shares of Convertible Preferred Stock, with proper notice and sufficient funds having been set aside for such redemption, in each case pursuant to Section 6 above.

Section 15. Preemption.

The Holders shall not have any rights of preemption.

Section 16. Rank.

Section 17. Repurchase.

Subject to the limitations imposed herein, the Company may purchase and sell Convertible Preferred Stock from time to time to such extent, in such manner, and upon such terms as the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof may determine; provided, however, that the Company shall not use any of its funds for any such purchase when there are reasonable grounds to believe that the Company is, or by such purchase would be rendered insolvent; provided, further, however, that in the event that the Company beneficially owns any Convertible Preferred Stock, the Company will procure that voting rights in respect of such Convertible Preferred Stock are not exercised.

Section 18. Unissued or Reacquired Shares.

Shares of Convertible Preferred Stock not issued or which have been issued and converted, redeemed or otherwise purchased or acquired by the Company shall be restored to the status of authorized but unissued shares of preferred stock without designation as to series.

Section 19. No Sinking Fund.

Shares of Convertible Preferred Stock are not subject to the operation of a sinking fund.

Section 20. Reservation of Common Stock.

(a)

Sufficient Shares. The Company shall at all times reserve and keep available out of its authorized and unissued Common Stock or shares acquired by the Company, solely for issuance upon the conversion of shares of Convertible Preferred Stock as provided in this Certificate of Designation, free from any preemptive or other similar rights, such number of shares of Common Stock as shall from time to time be issuable upon the conversion of all the shares of Convertible Preferred Stock then outstanding, assuming that the Conversion Price equaled the Base Price. For purposes of this Section 20(a), the number of shares of Common Stock that shall be deliverable upon the conversion of all outstanding shares of Convertible Preferred Stock shall be computed as if at the time of computation all such outstanding shares were held by a single Holder.

(b)

Use of Acquired Shares. Notwithstanding the foregoing, the Company shall be entitled to deliver upon conversion of shares of Convertible Preferred Stock, as herein provided, shares of Common Stock acquired by the Company (in lieu of the issuance of authorized and unissued shares of Common Stock), so long as any such acquired shares are free and clear of all liens, charges, security interests or encumbrances (other than liens, charges, security interests and other encumbrances created by the Holders).


(c)	Free and Clear Delivery. All shares of Common Stock delivered upon conversion of the Convertible Preferred Stock shall be duly authorized, validly issued, fully paid and non-assessable, free and clear of all liens, claims, security interests and other encumbrances (other than liens, charges, security interests and other encumbrances created by the Holders).

(d)

Compliance with Law. Prior to the delivery of any securities that the Company shall be obligated to deliver upon conversion of the Convertible Preferred Stock, the Company shall use its reasonable best efforts to comply with all federal and state laws and regulations thereunder requiring the registration of such securities with, or any approval of or consent to the delivery thereof by, any governmental authority.

(e)

Listing. The Company hereby covenants and agrees that, if at any time the Common Stock shall be listed on the New York Stock Exchange or any other national securities exchange or automated quotation system, the Company will, if permitted by the rules of such exchange or automated quotation system, list and keep listed, so long as the Common Stock shall be so listed on such exchange or automated quotation system, all the Common Stock issuable upon conversion of the Convertible Preferred Stock; provided, however, that if the rules of such exchange or automated quotation system require the Company to defer the listing of such Common Stock until the first conversion of

Convertible Preferred Stock into Common Stock in accordance with the provisions hereof, the Company covenants to list such Common Stock issuable upon conversion of the Convertible Preferred Stock in accordance with the requirements of such exchange or automated quotation system at such time.

Section 21. Transfer Agent, Conversion Agent, Registrar and Paying Agent.

The duly appointed Transfer Agent, Conversion Agent, Registrar and paying agent for the Convertible Preferred Stock shall be The Bank of New York Mellon. The Company may, in its sole discretion, remove the Transfer Agent in accordance with the agreement between the Company and the Transfer Agent; provided that the Company shall appoint a successor transfer agent who shall accept such appointment prior to the effectiveness of such removal. Upon any such removal or appointment, the Company shall send notice thereof by first-class mail, postage prepaid, to the Holders.

Section 22. Replacement Certificates.

(a)

(b)

Certificates Following Conversion. If physical certificates are issued, the Company shall not be required to issue any certificates representing the Convertible Preferred Stock on or after the applicable Conversion Date. In place of the delivery of a replacement certificate following the applicable Conversion Date, the Transfer Agent, upon delivery of the evidence and indemnity described in clause (a) above, shall deliver the shares of Common Stock pursuant to the terms of the Convertible Preferred Stock formerly evidenced by the certificate.

Section 23. Form.

(a)

Global Preferred Stock. Convertible Preferred Stock may be issued in the form of one or more permanent global shares of Convertible Preferred Stock in definitive, fully registered form with a global legend in substantially the form attached hereto as Exhibit A (each, a “ Global Preferred Stock ”), which is hereby incorporated in and expressly made a part of this Certificate of Designation. The Global Preferred Stock may have notations, legends or endorsements required by law, stock exchange rules, agreements to which the Company is subject, if any, or usage (provided that any such notation, legend or endorsement is in a form acceptable to the Company). The aggregate number of shares represented by each Global Preferred Stock may from time to time be increased or decreased by adjustments made on the records of the Registrar and the Depositary or its nominee as hereinafter provided. This Section 23(a) shall apply only to a Global Preferred Stock deposited with or on behalf of the Depositary.

(b)

Delivery to Depositary. If Global Preferred Stock is issued, the Company shall execute and the Registrar shall, in accordance with this Section, countersign and deliver initially one or more Global Preferred Stock that (i) shall be registered in the name of Cede & Co. or other nominee of the Depositary and (ii) shall be delivered by the Registrar to the Depositary or pursuant to instructions received from the Depositary or held by the Registrar as custodian for the Depositary pursuant to an agreement between the Depositary and the Registrar.

(c)

Agent Members. If Global Preferred Stock is issued, members of, or participants in, the Depositary (“ Agent Members ”) shall have no rights under this Certificate of Designation with respect to any Global Preferred Stock held on their behalf by the Depositary or by the Registrar as the custodian of the Depositary or under such Global Preferred Stock, and the Depositary may be treated by the Company, the Registrar and any agent of the Company or the Registrar as the absolute owner of such Global Preferred Stock for all purposes whatsoever. Notwithstanding the foregoing, nothing herein shall prevent the Company, the Registrar or any agent of the Company or the Registrar from giving effect to any written certification, proxy or other authorization furnished by the Depositary or impair, as between the Depositary and its Agent Members, the operation of customary practices of the Depositary governing the exercise of the rights of a holder of a beneficial interest in any Global Preferred Stock. If Global Preferred Stock is issued, the Depositary may grant proxies or otherwise authorize any Person to take any action that a Holder is entitled to take pursuant to the Convertible Preferred Stock, this Certificate of Designation or the Certificate of Incorporation.

(d)

Physical Certificates. Owners of beneficial interests in any Global Preferred Stock shall not be entitled to receive physical delivery of certificated shares of Convertible Preferred Stock, unless (x) the Depositary has notified the Company that it is unwilling or unable to continue as Depositary for the Global Preferred Stock and the Company does not appoint a qualified replacement for the Depositary within 90 days, (y) the Depositary ceases to be a “clearing

agency” registered under the Exchange Act and the Company does not appoint a qualified replacement for the Depositary within 90 days or (z) the Company decides to discontinue the use of book-entry transfer through the Depositary. In any such case, the Global Preferred Stock shall be exchanged in whole for definitive shares of Convertible Preferred Stock in registered form, with the same terms and of an equal aggregate Liquidation Preference. Such definitive shares of Convertible Preferred Stock shall be registered in the name or names of the Person or Persons specified by the Depositary in a written instrument to the Registrar.

(e)

Signature. An Officer shall sign any Global Preferred Stock for the Company, in accordance with the Company’s by-laws and applicable law, by manual or facsimile signature. If an Officer whose signature is on a Global Preferred Stock no longer holds that office at the time the Transfer Agent countersigned the Global Preferred Stock, the Global Preferred Stock shall be valid nevertheless. A Global Preferred Stock shall not be valid until an authorized signatory of the Transfer Agent manually countersigns Global Preferred Stock. Each Global Preferred Stock shall be dated the date of its countersignature.

Section 24. Taxes.

(a)

Transfer Taxes. The Company shall pay any and all stock transfer, documentary, stamp and similar taxes that may be payable in respect of any issuance or delivery of shares of Convertible Preferred Stock or shares of Common Stock or other securities issued on account of Convertible Preferred Stock pursuant hereto or certificates representing such shares or securities. The Company shall not, however, be required to pay any such tax that may be payable in respect of any transfer involved in the issuance or delivery of shares of Convertible Preferred Stock, shares of Common Stock or other securities in a name other than that in which the shares of Convertible Preferred Stock with respect to which such shares or other securities are issued or delivered were registered, or in respect of any payment to any Person other than a payment to the registered holder thereof, and shall not be required to make any such issuance, delivery or payment unless and until the Person otherwise entitled to such issuance, delivery or payment has paid to the Company the amount of any such tax or has established, to the satisfaction of the Company, that such tax has been paid or is not payable.


(b)	Withholding. All payments and distributions (or deemed distributions) on the shares of Convertible Preferred Stock (and on the shares of Common Stock received upon their conversion) shall be subject to withholding and backup withholding of tax to the extent required by law, subject to applicable exemptions, and amounts withheld, if any, shall be treated as received by Holders.

Section 25. Notices.

All notices referred to herein shall be in writing, and, unless otherwise specified herein, all notices hereunder shall be deemed to have been given upon the earlier of receipt thereof or three Business Days after the mailing thereof if sent by registered or certified mail (unless first class mail shall be specifically permitted for such notice under the terms of this Certificate of Designation) with postage prepaid, addressed: (i) if to the Company, to its office at 399 Park Avenue, New York, New York 10043 (Attention: Corporate Secretary) or to the Transfer Agent at its office at 101 Barclay Street, New York, NY 10286 (Attention: Corporate Trust Office), or other agent of the Company designated as permitted by this Certificate of Designation, or (ii) if to any Holder, to such Holder at the address of such Holder as listed in the stock record books of the Company (which may include the records of the Transfer Agent) or (iii) to such other address as the Company or any such Holder, as the case may be, shall have designated by notice similarly given.

Exhibit A

FORM OF
6.5% NON-CUMULATIVE CONVERTIBLE PREFERRED STOCK, SERIES T

FACE OF SECURITY

THIS SECURITY HAS NOT BEEN REGISTERED UNDER THE SECURITIES ACT OF 1933, AS AMENDED (THE “SECURITIES ACT” ), OR ANY STATE SECURITIES LAWS. NEITHER THIS SECURITY NOR ANY INTEREST OR PARTICIPATION HEREIN MAY BE REOFFERED, SOLD, ASSIGNED, TRANSFERRED, PLEDGED, ENCUMBERED OR OTHERWISE DISPOSED OF IN THE ABSENCE OF SUCH REGISTRATION OR UNLESS SUCH TRANSACTION IS EXEMPT FROM, OR NOT SUBJECT TO, REGISTRATION UNDER THE SECURITIES ACT. BY ITS ACQUISITION HEREOF, THE HOLDER AGREES TO OFFER, SELL OR OTHERWISE TRANSFER THIS SECURITY PRIOR TO THE DATE THAT IS ONE YEAR AFTER THE LATER OF THE ORIGINAL ISSUE DATE HEREOF AND THE LAST DATE ON WHICH CITIGROUP INC. (THE “COMPANY” ) OR ANY AFFILIATE OF THE COMPANY WAS THE OWNER OF THIS SECURITY (OR ANY PREDECESSOR OF THIS SECURITY) (THE “RESALE RESTRICTION TERMINATION DATE” ) ONLY (A) TO THE COMPANY OR ANY SUBSIDIARY THEREOF, (B) PURSUANT TO A REGISTRATION STATEMENT WHICH HAS BEEN DECLARED EFFECTIVE UNDER THE SECURITIES ACT, (C) FOR SO LONG AS SHARES OF THE CONVERTIBLE PREFERRED STOCK ARE ELIGIBLE FOR RESALE PURSUANT TO RULE 144A, TO A PERSON IT REASONABLY BELIEVES IS A QUALIFIED INSTITUTIONAL BUYER AS DEFINED IN RULE 144A THAT PURCHASES FOR ITS OWN ACCOUNT OR FOR THE ACCOUNT OF A QUALIFIED INSTITUTIONAL BUYER TO WHOM NOTICE IS GIVEN THAT THE TRANSFER IS BEING MADE IN RELIANCE ON RULE 144A, OR (D) PURSUANT TO ANY OTHER AVAILABLE EXEMPTION FROM THE REGISTRATION REQUIREMENTS OF THE SECURITIES ACT, SUBJECT TO THE COMPANY’S AND THE TRANSFER AGENT’S RIGHT PRIOR TO ANY SUCH OFFER, SALE OR TRANSFER PURSUANT TO CLAUSE (D) PRIOR TO THE RESALE RESTRICTION TERMINATION DATE TO REQUIRE THE DELIVERY OF AN OPINION OF COUNSEL, CERTIFICATIONS AND/OR OTHER INFORMATION SATISFACTORY TO EACH OF THEM, AND IN EACH OF THE FOREGOING CASES, TO REQUIRE THAT A CERTIFICATE OF TRANSFER IN THE FORM APPEARING ON THE OTHER SIDE OF THIS SECURITY IS COMPLETED AND DELIVERED BY THE TRANSFEROR TO THE TRANSFER AGENT. THIS LEGEND WILL BE REMOVED UPON THE REQUEST OF THE HOLDER AFTER THE RESALE RESTRICTION TERMINATION DATE.

[ IF GLOBAL PREFERRED STOCK IS ISSUED: UNLESS THIS CERTIFICATE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY, A NEW YORK CORPORATION (“DTC”), NEW YORK, NEW YORK, TO THE COMPANY OR ITS AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT, AND ANY CERTIFICATE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO., OR SUCH OTHER NAME AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ANY PAYMENT IS MADE TO CEDE & CO., OR TO SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC) ANY TRANSFER, PLEDGE OR OTHER USE HEREOF FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL INASMUCH AS THE REGISTERED OWNER HEREOF, CEDE & CO. HAS AN INTEREST HEREIN.



Certificate Number		Number of Shares of Convertible Preferred Stock

		CUSIP NO.:

CITIGROUP INC.

6.5% Non-Cumulative Convertible Preferred Stock, Series T
(par value $1.00 per share)
(liquidation preference $50,000 per share)

Citigroup Inc., a Delaware corporation (the “Company”), hereby certifies that [ ] (the “Holder”) is the registered owner of [ ](1) [ , or such number as is indicated in the records of the Registrar and the Depository,](2) fully paid and non-assessable shares of the Company’s designated 6.5% Non-Cumulative Convertible Preferred Stock, Series T, with a par value of $1.00 per share and a liquidation preference of $50,000 per share (the “Convertible Preferred Stock”). The shares of Convertible Preferred Stock are transferable on the books and records of the Registrar, in person or by a duly authorized attorney, upon surrender of this certificate duly endorsed and in proper form for transfer. The designations, rights, privileges, restrictions, preferences and other terms and provisions of the Convertible Preferred Stock represented hereby are and shall in all respects be subject to the provisions of the Certificate of Designation dated January 18, 2008 as the same may be amended from time to time (the “Certificate of Designation”). Capitalized terms used herein but not defined shall have the meaning given them in the certificate of Designation. The Company will provide a copy of the Certificate of Designation to a Holder without charge upon written request to the Company at its principal place of business.

Reference is hereby made to select provisions of the Convertible Preferred Stock set forth on the reverse hereof, and to the Certificate of Designation, which select provisions and the Certificate of Designation shall for all purposes have the same effect as if set forth at this place.

Upon receipt of this certificate, the Holder is bound by the Certificate of Designation and is entitled to the benefits thereunder.

Unless the Registrar has properly countersigned, these shares of Convertible Preferred Stock shall not be entitled to any benefit under the Certificate of Designation or be valid or obligatory for any purpose.

IN WITNESS WHEREOF, this certificate has been executed on behalf of the Company by its [Title] this day of , .



CITIGROUP INC.
By:
Name:
Title:

(1) This phrase should be included only if the share certificate evidences certificated shares of Convertible Preferred Stock.

(2) This phrase should be included only if the share certificate evidences Global Preferred Stock.

REGISTRAR’S COUNTERSIGNATURE

These are shares of Convertible Preferred Stock referred to in the within-mentioned Certificate of Designation.

Dated:



THE BANK OF NEW YORK MELLON, as Registrar
By:
Name:
Title:

REVERSE OF CERTIFICATE

Dividends on each share of Convertible Preferred Stock shall be payable at the rate provided in the Certificate of Designation.

The shares of Convertible Preferred Stock shall be convertible in the manner and accordance with the terms set forth in the Certificate of Designation.

The shares of Convertible Preferred Stock shall be redeemable at the option of the Company in the manner and in accordance with the terms set forth in the Certificate of Designation.

ASSIGNMENT

FOR VALUE RECEIVED, the undersigned assigns and transfers the shares of Convertible Preferred Stock evidenced hereby to:

________________________________________________________________

(Insert assignee’s social security or taxpayer identification number, if any)

________________________________________________________________

(Insert address and zip code of assignee) and irrevocably appoints:

________________________________________________________________

as agent to transfer the shares of Convertible Preferred Stock evidenced hereby on the books of the Transfer Agent. The agent may substitute another to act for him or her.



Date:
Signature:


(Sign exactly as your name appears on the other side of this Certificate)
Signature Guarantee:

CERTIFICATE OF INCREASE

SERIES R CUMULATIVE PARTICIPATING PREFERRED STOCK

CITIGROUP INC.

(Pursuant to Section 151 of the General Corporation Law of the State of Delaware)

CITIGROUP INC. (the “Company”), a corporation organized and existing under the General Corporation Law of the State of Delaware, in accordance with the provisions of Section 151(g) thereof, DOES HEREBY CERTIFY:

That pursuant to authority conferred upon the Preferred Stock Committee of the Board of Directors of the Company, the Preferred Stock Committee adopted on February 8, 2010 the following resolution relating to the number of authorized shares of Series R Cumulative Participating Preferred Stock of the Company:

RESOLVED, that the authorized number of shares of the Company’s Series R Cumulative Participating Preferred Stock is hereby increased from 28,000 shares to 31,000 shares, and that the appropriate officers of the Company be and hereby are authorized and directed in the name and on behalf of the Company to execute and file a Certificate of Increase with the Secretary of State of the State of Delaware increasing the number of shares constituting the Series R Cumulative Participating Preferred Stock to 31,000 shares and to take any and all other actions deemed necessary or appropriate to effectuate this resolution.

IN WITNESS WHEREOF, the Company has caused this Certificate of Increase to be executed by its duly authorized officer on this 8 th day of February, 2010.



CITIGROUP INC.


By:	/s/ Martin A. Waters
	Name:	Martin A. Waters
	Title:	Assistant Treasurer

CERTIFICATE OF AMENDMENT

OF THE RESTATED CERTIFICATE

OF INCORPORATION OF CITIGROUP INC.

The undersigned officer of Citigroup Inc., a corporation organized and existing under and by virtue of the General Corporation Law of the State of Delaware (the “Corporation”), DOES HEREBY CERTIFY as follows:

FIRST: The name of the Corporation is Citigroup Inc.

SECOND: Upon the filing and effectiveness (the “Effective Time”) pursuant to the General Corporation Law of the State of Delaware (the “DGCL”) of this certificate of amendment to the restated certificate of incorporation of the Corporation, each ten shares of the Corporation’s common stock, par value $0.01 per share, issued and outstanding immediately prior to the Effective Time shall be combined into one (1) validly issued, fully paid and non-assessable share of common stock, par value $0.01 per share, without any further action by the Corporation or the holder thereof, subject to the treatment of fractional share interests as described below (the “Reverse Stock Split”). No certificates representing fractional shares of common stock shall be issued in connection with the Reverse Stock Split. Stockholders who otherwise would be entitled to receive fractional shares of common stock shall be entitled to receive cash (without interest and subject to applicable withholding taxes) from the Corporation’s transfer agent in lieu of such fractional share interests automatically where shares are held in book-entry form and, where shares are held in certificated form, upon the submission of a properly completed and executed transmittal letter and the surrender of the stockholder’s Old Certificates (as defined below), in an amount equal to the proceeds attributable to the sale of such fractional shares following the aggregation and sale by the Corporation’s transfer agent of all fractional shares otherwise issuable. Each certificate that immediately prior to the Effective Time represented shares of common stock (“Old Certificates”), shall thereafter represent that number of shares of common stock into which the shares of common stock represented by the Old Certificate shall have been combined, subject to the elimination of fractional share interests as described above.

THIRD: At the Effective Time, Section (A) of Article FOURTH of the Restated Certificate of Incorporation of the Corporation shall be hereby amended to read in its entirety as follows:

A. The total number of shares of all classes of stock which the Corporation shall have authority to issue is Six Billion Thirty Million (6,030,000,000). The total number of shares of Common Stock which the Corporation shall have authority to issue is Six Billion (6,000,000,000) shares of Common Stock having a par value of one cent ($.01) per share. The total number of shares of Preferred Stock which the Corporation shall have the authority to issue is Thirty Million (30,000,000) shares having a par value of one dollar ($1.00) per share.

FOURTH: The foregoing amendment was duly adopted in accordance with the provisions of Section 242 of the General Corporation Law of the State of Delaware.

FIFTH: The foregoing amendment shall be effective at 4:10 p.m. (Eastern Time), May 6 th , 2011.

IN WITNESS WHEREOF, the Corporation has caused this Certificate of Amendment to be signed by its duly authorized officer, this 6th day of May, 2011.



CITIGROUP INC.


By:	/s/ Michael S. Helfer
	Name:	Michael S. Helfer
	Title:	General Counsel and Corporate Secretary

CERTIFICATE OF DESIGNATIONS

5.950% FIXED RATE / FLOATING RATE NONCUMULATIVE PREFERRED STOCK,

SERIES A

CITIGROUP INC.

pursuant to Section 151 of the

General Corporation Law of the State of Delaware

Citigroup Inc., a Delaware corporation (the “Company”), hereby certifies that:

The Restated Certificate of Incorporation of the Company (as amended through the date hereof, the “Certificate of Incorporation”) fixes the total number of shares of all classes of capital stock that the Company shall have the authority to issue at six billion (6,000,000,000) shares of common stock, par value $0.01 per share, and thirty million (30,000,000) shares of preferred stock, par value $1.00 per share.

The Certificate of Incorporation expressly grants to the Board of Directors of the Company (the “Board of Directors”) authority to provide for the issuance of the shares of preferred stock in series, and to establish from time to time the number of shares to be included in each such series and to fix the designation, powers, preferences and rights of the shares of each such series and the qualifications, limitations or restrictions thereof.

Pursuant to the authority conferred upon a pricing committee (the “ Pricing Committee ”) by the Board of Directors, the Pricing Committee, by action duly taken on October 22, 2012, adopted resolutions (i) authorizing the issuance and sale of up to 60,000 shares of the Company’s preferred stock and (ii) approving this final form of Certificate of Designations of 5.950% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series A (the “ Series A. Preferred Stock ”) establishing the number of shares to be included in this Series A Preferred Stock and fixing the designation, powers, preferences and rights of the shares of this Series A Preferred Stock and the qualifications, limitations or restrictions thereof as follows:

Section 1. Designation.

The designation of the series of preferred stock shall be “5.950% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series A” (the “Series A Preferred Stock”). Each share of Series A Preferred Stock shall be identical in all respects to every other share of Series A Preferred Stock.

Section 2. Number of Shares.

The number of authorized shares of Series A Preferred Stock shall be 60,000. That number from time to time may be increased (but not in excess of the total number of authorized shares of preferred stock) or decreased (but not below the number of shares of Series A Preferred Stock then outstanding) by further resolution duly adopted by the Board of Directors, the Pricing Committee or any other duly authorized committee thereof and by the filing of a certificate pursuant to the provisions of the General Corporation Law of the State of Delaware stating that such increase or reduction, as the case may be, has been so authorized. The Company shall have the authority to issue fractional shares of Series A Preferred Stock.

Section 3. Definitions. As used herein with respect to Series A Preferred Stock:

“ Appropriate Federal Banking Agency ” means the “appropriate federal banking agency” with respect to the Company as that term is defined in Section 3(q) of the Federal Deposit Insurance Act of 1950, as amended, or any successor provision.

“ Board of Directors ” has the meaning set forth in the recitals above.

“ Business Day ” means any weekday that is not a legal holiday in New York City and is not a day on which banking institutions in New York City are authorized or required by law or regulation to be closed.

“ Calculation Agent ” means the Transfer Agent acting in its capacity as calculation agent for the Series A Preferred Stock, and its successors and assigns.

“ Depositary ” means DTC or its nominee or any successor depositary appointed by the Company.

“ Dividend Payment Date ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Period ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Record Date ” shall have the meaning set forth in Section 4(a) hereof.

“ DTC ” means The Depository Trust Company.

“ Holder ” means the Person in whose name the shares of the Series A Preferred Stock are registered, which may be treated by the Company, Calculation Agent, Transfer Agent, Registrar and paying agent as the absolute owner of the shares of Series A Preferred Stock for the purpose of making payment and for all other purposes.

“ Junior Stock ” means the Common Stock and any other class or series of stock of the Company now existing or hereafter authorized over which Series A Preferred Stock has preference or priority in the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

“ LIBOR Determination Date ” means the second London Banking Day immediately preceding the first day of the relevant Dividend Period.

“ London Banking Day ” means any day on which commercial banks are open for general business (including dealings in deposits in United States dollars) in London.

“ Nonpayment ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Officer ” means the Chief Executive Officer, the Chairman, the Chief Administrative Officer, any Vice Chairman, the Chief Financial Officer, the Controller, the Chief Accounting Officer, the Treasurer, any Deputy Treasurer, any Assistant Treasurer, any Vice President, the General Counsel and Corporate Secretary and any Assistant Secretary of the Company.

“ Person ” means a legal person, including any individual, corporation, estate, partnership, joint venture, association, joint-stock company, limited liability company, trust, or other entity.

“ Preferred Stock Director ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Preferred Stock Director Termination Date ” shall have the meaning set forth in Section 7(b)(iv) hereof.

“ Registrar ” means the Transfer Agent acting in its capacity as registrar for the Series A Preferred Stock, and its successors and assigns.

“ Regulatory Capital Event ” means the good faith determination by the Company that, as a result of (i) any amendment to, clarification of, or change in, the laws or regulations of the United States or any political subdivision of or in the United States that is enacted or becomes effective after the initial issuance of any share of the Series A Preferred Stock, (ii) any proposed change in those laws or regulations that is announced or becomes effective after the initial issuance of any share of the Series A Preferred Stock, or (iii) any official administrative decision or judicial decision or administrative action or other official pronouncement interpreting or applying those laws or regulations or policies with respect thereto that is announced after the initial issuance of any share of the Series A Preferred Stock, there is more than an insubstantial risk that the Company will not be entitled to treat the full liquidation preference amount of $25,000 per share of the Series A Preferred Stock then outstanding as “tier 1 capital” (or its equivalent) for purposes of the capital adequacy guidelines of the Federal Reserve (or, as and if applicable, the capital adequacy guidelines or regulations of any successor Appropriate Federal Banking Agency) as then in effect and applicable, for so long as any share of the Series A Preferred Stock is outstanding.

“ Reuters LIBOR01 ” means the display designated on the Reuters 3000 Xtra Service on page LIBOR01 Page (or such other page as may replace “Reuters LIBOR01” page on the service or such other service as may be nominated by the British Bankers’ Association or other administrator of LIBOR for the purpose of displaying London interbank offered rates for United States dollar deposits or loans).

“ Series A Liquidation Preference ” shall have the meaning set forth in Section 5(a) hereof.

“ Series A Preferred Stock ” shall have the meaning set forth in Section 1 hereof.

“ Series A Preferred Stock Certificate ” shall have the meaning set forth in Section 14(a) hereof.

“ Three-month LIBOR ” means the rate (expressed as a percentage per annum) for deposits in United States dollars for a three-month period commencing on the first day of a Dividend Period that appears on the Reuters LIBOR01 page as of 11:00 a.m. (London time) on the LIBOR Determination Date for that Dividend Period. If such rate does not appear on the Reuters LIBOR01 page, Three-month LIBOR will be determined on the basis of the rates at which deposits in United States dollars for a three-month period commencing on the first day of that Dividend Period and in a principal amount of not less than $1 million are offered to prime banks in the London interbank market by four major banks in the London interbank market selected by the Calculation Agent (after consultation with the Company), at approximately 11:00 a.m., London time, on the LIBOR Determination Date for that Dividend Period. The Calculation Agent will request the principal London office of each of such banks to provide a quotation of its rate. If at least two such quotations are provided, Three-month LIBOR with respect to that Dividend Period will be the arithmetic mean (rounded upward if necessary to the nearest whole multiple of 0.00001%) of such quotations. If fewer than two quotations are provided, Three- month LIBOR with respect to that Dividend Period will be the arithmetic mean (rounded upward if necessary to the nearest whole multiple of 0.00001%) of the rates quoted by three major banks in New York City selected by the Calculation Agent (after consultation with the Company), at approximately 11:00 a.m., New York City time, on the LIBOR Determination Date for that Dividend Period for loans in United States dollars to leading European banks for a three-month period commencing on the first day of that Dividend Period and in a principal amount of not less than $1 million. However, if fewer than three banks selected by the Calculation Agent to provide quotations are quoting as described above, Three-month LIBOR for that Dividend Period will be the same Three-month LIBOR as determined for the previous Dividend Period or, in the case of the Dividend Period beginning on January 30, 2023, 0.31575%. The determination of Three-month LIBOR for each relevant Dividend Period by the Calculation Agent will (in the absence of manifest error) be final and binding.

“ Transfer Agent ” means Computershare Trust Company, N.A., a federally chartered national association, acting as Transfer Agent, Calculation Agent, Registrar and paying agent for the Series A Preferred Stock, and its successors and assigns.

“ Trust ” shall have the meaning set forth in Section 6(d).

Section 4. Dividends.

(a)

without any interest or other payment in respect of such postponement, and (ii) after January 30, 2023, with dividends accruing to the actual payment date (each such day on which dividends are payable a “ Dividend Payment Date ”). The period from and including the date of issuance of the Series A Preferred Stock or any Dividend Payment Date to, but excluding, the next Dividend Payment Date is a “ Dividend Period. ” Dividends on each share of Series A Preferred Stock will accrue on the liquidation preference of $25,000 per share at a rate per annum equal to (i) 5.950%, for each Dividend Period from and including the date of issuance to, but excluding, January 30, 2023 and (ii) Three-month LIBOR plus 4.068%%, for each Dividend Period from and including January 30, 2023. The record date for payment of dividends on the Series A Preferred Stock will be the record date fixed by the Board of Directors or any other duly authorized committee thereof that is not more than 30 nor less than 10 days prior to such Dividend Payment Date (each, a “ Dividend Record Date ”). Any such day that is a Dividend Record Date will be a Dividend Record Date whether or not such day is a Business Day. The amount of dividends payable on or prior to January 30, 2023 will be computed on the basis of a 360-day year of twelve 30-day months. The amount of dividends payable after January 30, 2023 will be computed on the basis of a 360-day year and the actual number of days elapsed.

(b)

Noncumulative Dividends. If the Board of Directors or any duly authorized committee thereof does not declare a dividend on the Series A Preferred Stock for any Dividend Period prior to the related Dividend Payment Date, that dividend will not accrue, and the Company will have no obligation to pay, and Holders shall have no right to receive, a dividend for that Dividend Period on the related Dividend Payment Date or at any future time, whether or not dividends on the Series A Preferred Stock or any other series of preferred stock or common stock are declared for any subsequent period. References herein to the “accrual” of dividends refer only to the determination of the amount of such dividend and do not imply that any right to a dividend arises prior to the date on which a dividend is declared.

(c)

Priority of Dividends. So long as any share of Series A Preferred Stock remains outstanding, unless as to a Dividend Payment Date full dividends on all outstanding shares of the Series A Preferred Stock have been declared and paid or declared and a sum sufficient for the payment of those dividends has been set aside for the Dividend Period then ending, the Company will not, and will cause its subsidiaries not to, during the next succeeding Dividend Period that commences on such Dividend Payment Date, declare or pay any dividend on, make any distributions relating to, or redeem, purchase, acquire or make a liquidation payment relating to, any Junior Stock, or make any guarantee payment with respect thereto, other than:


(i)	purchases, redemptions or other acquisitions of shares of Junior Stock in connection with any employment contract, benefit plan or other similar arrangement with or for the benefit of employees, officers, directors or consultants;


(ii)	purchases of shares of Common Stock pursuant to a contractually binding requirement to buy stock existing prior to the commencement of the then-current Dividend Period, including under a contractually binding stock repurchase plan;


(iii)	as a result of an exchange or conversion of any class or series of Junior Stock for any other class or series of Junior Stock;


(iv)	the purchase of fractional interests in shares of Junior Stock pursuant to the conversion or exchange provisions of such Junior Stock or the security being converted or exchanged;


(v)	the purchase of Junior Stock by an investment banking subsidiary of the Company in connection with the distribution thereof; or


(vi)	the purchase of Junior Stock by any investment banking subsidiary of the Company in connection with market-making or other secondary market activities in the ordinary course of the business of such subsidiary.

The restrictions set forth in the preceding provisions of this Section 4(c) shall not apply to any Junior Stock dividends paid by the Company where the dividend is in the form of the same stock (or the right to buy the same stock) as that on which the dividend is being paid.

Except as provided below, for so long as any share of Series A Preferred Stock remains outstanding, if dividends are not declared and paid in full upon the shares of Series A Preferred Stock and any class or series of stock of the Company now existing or hereafter authorized that ranks equally with the Series A Preferred Stock in the payment of dividends, all dividends declared upon shares of Series A Preferred Stock and such other stock will be declared on a proportional basis so that the amount of dividends declared per share will bear to each other the same ratio that accrued dividends for the then-current Dividend Period per share of

Series A Preferred Stock and accrued dividends for the then-current Dividend Period per share of such other stock (including, in the case of any such other stock that bears cumulative dividends, all accrued and unpaid dividends) bear to each other.

Subject to the foregoing, and not otherwise, such dividends payable in cash, stock or otherwise, as may be determined by the Board of Directors or any duly authorized committee thereof, may be declared and paid on any other class or series of stock of the Company from time to time out of any funds legally available for such payment, and Holders will not be entitled to participate in those dividends.

Section 5. Liquidation Rights.

(a)

Liquidation. In the event of any voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company, Holders shall be entitled, out of funds legally available therefor, before any distribution or payment may be made by the Company or set aside for the holders of any Junior Stock and subject to the rights of the holders of any class or series of stock ranking senior to or on parity with Series A Preferred Stock upon liquidation and the rights of the Company’s depositors and other creditors, to receive in full a liquidating distribution in the amount of the liquidation preference of $25,000 per share, plus any accrued dividends thereon from the last Dividend Payment Date to, but excluding, the date of the liquidation, dissolution or winding up if and to the extent declared but not yet paid. Holders shall not be entitled to any further payments in the event of any such voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company other than what is expressly provided for in this Section 5.

(b)

Partial Payment. If the assets of the Company are not sufficient to pay in full the aforesaid liquidation distributions to the Holders and any liquidation distributions owed to holders of any class or series of stock of the Company ranking equally with the Series A Preferred Stock in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company, the amounts paid to the Holders and to the holders of all such equally ranking stock shall be pro rata in accordance with the respective aggregate liquidating distributions to which they would otherwise be entitled.

(c)

Merger, Consolidation and Sale of Assets Not Liquidation. For purposes of this Section 5, the sale, conveyance, exchange or transfer (for cash, shares of stock, securities or other consideration) of all or substantially all of the property and assets of the Company shall not be deemed a voluntary or involuntary dissolution, liquidation or winding up of the affairs of the Company, nor shall the merger, consolidation or any other business combination transaction of the Company into or with any other corporation or Person or the merger, consolidation or any other business combination transaction of any other corporation or Person into or with the Company be deemed to be a voluntary or involuntary dissolution, liquidation or winding up of the affairs of the Company.

Section 6. Redemption.

(a) Optional Redemption. The Company, at the option of its Board of Directors or any duly authorized committee thereof, may redeem out of funds legally available therefor, (i) in whole or in part, from time to time, the shares of Series A Preferred Stock at the time outstanding, on any Dividend Payment Date on or after January 30, 2023, or (ii) in whole but not in part at any time within 90 days following a Regulatory Capital Event, in each case at a redemption price equal to $25,000 per share plus any declared and unpaid dividends, without accumulation of any undeclared dividends, to but excluding the redemption date, upon notice given as provided in Section 6(b) below.

(b) Notice of Redemption. Notice of every redemption of shares of Series A Preferred Stock shall be mailed by first class mail, postage prepaid, addressed to the Holders of such shares to be redeemed at their respective last addresses appearing on the stock register of the Company. Such mailing shall be at least 30 days and not more than 60 days before the date fixed for redemption. Any notice mailed as provided in this Section 6(b) shall be conclusively presumed to have been duly given, whether or not the Holder receives such notice, but failure duly to give such notice by mail, or any defect in such notice or in the mailing thereof, to any Holder of shares of Series A Preferred Stock designated for redemption shall not affect the validity of the proceedings for the redemption of any other shares of Series A Preferred Stock. Each notice shall state:


(i)	the redemption date;


(ii)	the total number of shares of Series A Preferred Stock to be redeemed and, if fewer than all the shares of a Holder are to be redeemed, the number of such shares to be redeemed;


(iii)	the redemption price;


(iv)	the place or places where the certificates for such shares are to be surrendered for payment of the redemption price, if applicable; and


(v)	that dividends on the shares to be redeemed will cease to accrue on the redemption date.

Notwithstanding the foregoing, if the certificates evidencing the shares of Series A Preferred Stock are held of record by a depositary and any related depository shares are held of record by a Depositary or its nominee, the Company may give such notice in any manner permitted by the Depositary.

(c)

Partial Redemption. In case of any redemption of only part of the shares of Series A Preferred Stock at the time outstanding, the shares of Series A Preferred Stock to be redeemed shall be selected pro rata from the Holders in proportion to the number of shares of Series A Preferred Stock held by such Holders, by lot or in such other manner as the Board of Directors or any duly authorized committee thereof may determine, in its sole discretion, to be fair and equitable. Subject to the provisions of this Section 6, the Board of Directors or any duly authorized committee thereof shall have full power and authority to prescribe the terms and conditions upon which shares of Series A Preferred Stock shall be redeemed from time to time.

(d)

Effectiveness of Redemption. If notice of redemption has been duly given and if on or before the redemption date specified in the notice all funds necessary for the redemption have been set aside by the Company, separate and apart from its other assets, for the pro rata benefit of the Holders of the shares called for redemption, so as to be and continue to be available therefor, or deposited by the Company with a bank or trust company selected by the Board of Directors or any duly authorized committee thereof (the “ Trust ”) in trust for the pro rata benefit of the Holders of the shares called for redemption, then, notwithstanding that any certificate for any share so called for redemption has not been surrendered for cancellation, on and after the redemption date all shares so called for redemption shall cease to be outstanding, all dividends with respect to such shares shall cease to accrue on such redemption date, and all rights with respect to such shares shall forthwith on such redemption date cease and terminate, except only the right of the Holders thereof to receive the amount payable on such redemption from the Trust at any time after the redemption date from the funds so deposited, without interest. The Company shall be entitled to receive, from time to time, from the Trust any interest accrued on such funds, and the Holders of any shares called for redemption shall have no claim to any such interest. Any funds so deposited and unclaimed at the end of three years from the redemption date shall, to the extent permitted by law, be released or repaid to the Company, and in the event of such repayment to the Company, the Holders of the shares so called for redemption shall be deemed to be unsecured creditors of the Company for an amount equivalent to the amount deposited as stated above for the redemption of such shares and so repaid to the Company, but shall in no event be entitled to any interest.

Section 7. Voting Rights.


(a)	General. The Holders shall not be entitled to vote on any matter except as set forth in Section 7(b) below or as required by the Delaware General Corporation Law.


(b)	Special Voting Right.

(i)

Voting Right. If and whenever dividends on the Series A Preferred Stock or any other class or series of preferred stock that ranks on parity with Series A Preferred Stock as to payment of dividends and upon which voting rights equivalent to those granted by this Section 7(b)(i) have been conferred and are exercisable (any such class or series being referred to herein as “dividend parity stock”) have not been paid in an aggregate amount equal, as to any class or series, to at least three semi-annual or six quarterly Dividend Periods, as applicable, (whether consecutive or not) (a “ Nonpayment ”), the authorized number of directors constituting the Board of Directors shall be increased by two, and the Holders, together with holders of dividend parity stock, shall have the right, voting separately as a single class without regard to class or series (and with voting rights allocated pro rata based on the liquidation preference of each such class or series), to the exclusion of the holders of Common Stock, to elect two directors of the Company to fill such newly created directorships (and to fill any vacancies in the terms of such directorships), provided that it shall be a qualification for election of any such director that the election of such director shall not cause the Company to violate the corporate governance requirements of the New York Stock Exchange (or other exchange on which the Company’s securities may be listed) that listed companies must have a majority of independent directors and further provided that the Board of Directors shall at no time include more than two such directors. Each such director elected by the Holders together with holders of dividend parity stock is a “ Preferred Stock Director. ”

(ii)

Election. The election of the Preferred Stock Directors will take place at any annual meeting of stockholders or any special meeting of the Holders and any dividend parity stock, called as provided herein. At any time after the special voting power has vested pursuant to Section 7(b)(i) above, the secretary of the Company may, and upon the written request (addressed to the secretary at the Company’s principal office) of the holders of at least 20% of the voting power of the Series A Preferred Stock or the holders of at least 20% of the voting power of any series of dividend parity stock (with such voting power measured based on the voting power to elect Preferred Stock Directors), must (unless such request is received less than 90 days before the date fixed for the next annual or special meeting of the stockholders at which Preferred Stock Directors are to be elected, in which event such election shall be held at such next annual or special meeting of stockholders), call a special meeting of the holders of Series A Preferred Stock and any dividend parity stock for the purposes of electing Preferred Stock Directors. The Preferred Stock Directors shall each be entitled to one vote per director on any matter.

(iii)

Notice of Special Meeting. Notice for a special meeting to elect Preferred Stock Directors will be given in a similar manner to that provided in the Company’s by-laws for a special meeting of the stockholders. If the secretary of the Company does not call a special meeting within 20 days after receipt of any such request, then any Holder may (at the expense of the Company) call such meeting, upon notice as provided in this Section 7(b)(iii), and for that purpose will have access to the stock register of the Company. The Preferred Stock Directors elected at any such special meeting and each Preferred Stock Director elected at a subsequent annual or special meeting of stockholders, will be elected for term expiring upon the earlier of the Preferred Stock Director Termination Date and the next annual meeting of stockholders following such Preferred Stock Director’s election. In case any vacancy in the office of a Preferred Stock Director occurs (other than prior to the initial election of the Preferred Stock Directors), the vacancy may be filled by the Preferred Stock Director remaining in office, or if none remains in office, by a plurality of the votes cast by the holders of Series A Preferred Stock and any dividend parity stock, voting together as a single class, and the Preferred Stock Director so appointed or elected to fill such vacancy shall serve for a term expiring at the next annual meeting of the stockholders. Preferred Stock Directors may only be elected by the holders of Series A Preferred Stock and dividend parity stock in accordance with this Section 7. If the holders of Series A Preferred Stock and such dividend parity stock fail to elect a sufficient number of directors to fill all directorships for which they are entitled to elect directors pursuant to this Section 7, then any directorship not so filled shall remain vacant until such time as the holders of Series A Preferred Stock and such dividend parity stock elect a person to fill such directorship in accordance with this Section 7, or such vacancy is otherwise filled in accordance with this Section 7; and no such directorship may be filled by stockholders of the Corporation other than in accordance with this Section 7.

(iv)

Termination; Removal. Whenever the Company has paid noncumulative dividends in full for at least two consecutive semi-annual or four consecutive quarterly Dividend Periods following a Nonpayment on the Series A Preferred Stock and on any dividend parity stock entitled to noncumulative dividends and has paid cumulative dividends in full on any dividend parity stock entitled to cumulative dividends, then the right of the Holders to elect the Preferred Stock Directors will cease (but subject always to the same provisions for the vesting of the special voting rights in the case of any similar non-payment of dividends in respect of future Dividend Periods) (the time of such cessation, the “ Preferred Stock Director Termination Date ”). Upon a Preferred Stock Director Termination Date, the terms of office of the Preferred Stock Directors will immediately terminate, the persons then serving as Preferred Stock Directors shall immediately cease to be qualified to hold office as Preferred Stock Directors, the Preferred Stock Directors shall cease to be directors of the Company and the number of directors constituting the Board of Directors shall be automatically reduced, without any action by the Board of Directors or the stockholders of the Company, by the number of Preferred Stock Directors authorized immediately prior to such termination. Any Preferred Stock Director may be removed at any time without cause by the holders of a majority of the voting power of outstanding shares of the capital stock then entitled to vote in the election of Preferred Stock Directors, voting together as a single class (with such voting power measured based on the voting power to elect Preferred Stock Directors).

(c)

Senior Issuances; Adverse Changes. So long as any shares of Series A Preferred Stock are outstanding, but subject to the final paragraph of this Section 7(c), in addition to any other vote or consent of holders of the Company’s capital stock required by Delaware law, the vote or consent of the holders of at least two-thirds of the voting power of the Series A Preferred Stock and the holders of any other preferred stock entitled to vote thereon, voting together as a single class, given in person or by proxy at an annual or special meeting of stockholders, or given in writing without a meeting, will be necessary for effecting or validating any of the following actions, whether or not such approval is required by Delaware law:


(i)	any amendment, alteration or repeal of any provision of the Company’s certificate of incorporation (including the certificate of designations creating the Series A Preferred Stock) or the Company’s by-laws that would alter

or change the voting powers, preferences, economic rights or special rights of the Series A Preferred Stock so as to affect them adversely;

(ii)

any amendment or alteration of the Company’s certificate of incorporation to authorize or create, or increase the authorized amount of, any shares of, or any securities convertible into shares of, any class or series of the Company’s capital stock ranking prior to the Series A Preferred Stock in the payment of dividends or in the distribution of assets on any liquidation, dissolution, or winding up of the Company; or

(iii)

the consummation of a binding share exchange or reclassification involving the Series A Preferred Stock or a merger or consolidation of the Company with another entity, except that holders of Series A Preferred Stock will have no right to vote under this provision or otherwise under Delaware law if in each case (i) the Series A Preferred Stock remains outstanding or, in the case of any such merger or consolidation with respect to which the Company is not the surviving or resulting entity, is converted into or exchanged for preferred securities of the surviving or resulting entity or its ultimate parent, that is an entity organized and existing under the laws of the United States of America, any state thereof or the District of Columbia and that is a corporation for U.S. federal income tax purposes (or if such entity is not a corporation, the Company having received an opinion of nationally recognized counsel experienced in such matters to the effect that Holders will be subject to tax for U.S. federal income tax purposes with respect to such new preferred securities after such merger or consolidation in the same amount, at the same time and otherwise in the same manner as would have been the case under the Series A Preferred Stock prior to such merger or consolidation), and (ii) such Series A Preferred Stock remaining outstanding or such preferred securities, as the case may be, have such rights, preferences, privileges and voting powers, taken as a whole, as are not materially less favorable to the holders thereof than the rights, preferences, privileges and voting powers of the Series A Preferred Stock, taken as a whole;

provided, however, that, for the avoidance of doubt, any increase in the amount of the authorized or issued Series A Preferred Stock or authorized preferred stock or any securities convertible into preferred stock or the creation and issuance, or an increase in the authorized or issued amount, of other series of preferred stock or any securities convertible into preferred stock ranking equally with and/or junior to the Series A Preferred Stock with respect to the payment of dividends (whether such dividends are cumulative or noncumulative) and/or the distribution of assets upon the Company’s liquidation, dissolution or winding up will not be deemed to adversely affect the voting powers, preferences or special rights of the Series A Preferred Stock, and no stockholder will have the right to vote on such an increase, creation or issuance by reason of this Section 7.

If any amendment, alteration, repeal, share exchange, reclassification, merger or consolidation specified in this Section 7(c) would adversely affect the Series A Preferred Stock but not all series of preferred stock of the Company, then only such series of preferred stock as are adversely affected by and entitled to vote on the matter shall vote on the matter together with the Series A Preferred Stock as a single class (in lieu of all other series of preferred stock) for purposes of the vote or consent required by this Section 7(c).

(d)

No Vote if Redemption. No vote or consent of the Holders shall be required pursuant to Section 7(b) or 7(c) if, at or prior to the time when the act with respect to such vote or consent would otherwise be required shall be effected, the Company shall have redeemed or shall have called for redemption all outstanding shares of Series A Preferred Stock, with proper notice and sufficient funds having been set aside for such redemption, in each case pursuant to Section 6 above.

Section 8. Preemption and Conversion Rights.

The Holders shall not have any preemptive rights or conversion rights as a result of the terms hereof.

Section 9. Rank.

For the avoidance of doubt, the Board of Directors or any duly authorized committee thereof may, without the vote of the Holders, authorize and issue additional shares of Junior Stock or shares of any class or series of stock of the Company now existing or hereafter authorized that ranks equally with the Series A Preferred Stock in the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

Section 10. Reacquired Shares.

The Board of Directors shall take such actions as are necessary to cause the shares of Series A Preferred Stock which have been redeemed or otherwise purchased or acquired by the Company to be retired and restored to the status of authorized but unissued shares of preferred stock without designation as to series.

Section 11. No Sinking Fund.

Shares of Series A Preferred Stock are not subject to the operation of a sinking fund.

Section 12. Transfer Agent, Calculation Agent, Registrar and Paying Agent.

The duly appointed Transfer Agent, Calculation Agent, Registrar and paying agent for the Series A Preferred Stock shall be Computershare Trust Company, N.A. The Company may, in its sole discretion, remove the Transfer Agent in accordance with the agreement between the Company and the Transfer Agent; provided, however, that the Company shall appoint a successor transfer agent who shall accept such appointment prior to the effectiveness of such removal. Upon any such removal or appointment, the Company shall send notice thereof by first-class mail, postage prepaid, to the Holders.

Section 13. Replacement Certificates for Mutilated, Destroyed, Stolen and Lost Certificates.

If physical certificates are issued, the Company shall replace any mutilated certificate at the Holder’s expense upon surrender of that certificate to the Transfer Agent. The Company shall replace certificates that become destroyed, stolen or lost at the Holder’s expense upon delivery to the Company and the Transfer Agent of satisfactory evidence that the certificate has been destroyed, stolen or lost, together with any indemnity that may be required by the Transfer Agent and the Company.

Section 14. Form.

(a)

Series A Preferred Stock Certificates. Series A Preferred Stock shall be issued in certificated form in substantially the form attached hereto as Exhibit A (each, a “ Series A Preferred Stock Certificate ”). Exhibit A is hereby incorporated in and expressly made a part of this Certificate of Designations. The Series A Preferred Stock Certificates may have notations, legends or endorsements required by law, stock exchange rules, agreements to which the Company is subject, if any, or usage (provided that any such notation, legend or endorsement is in a form acceptable to the Company).

(b)

Signature. Two Officers shall sign any Series A Preferred Stock Certificate for the Company, in accordance with the Company’s by-laws and applicable law, by manual or facsimile signature. If an Officer whose signature is on a Series A Preferred Stock Certificate no longer holds that office at the time the Transfer Agent countersigned the Series A Preferred Stock Certificate, such Series A Preferred Stock Certificate shall be valid nevertheless. A Series A Preferred Stock Certificate shall not be valid until an authorized signatory of the Transfer Agent manually countersigns such Series A Preferred Stock Certificate. Each Series A Preferred Stock Certificate shall be dated the date of its countersignature.

Section 15. Taxes.

(a)

Transfer Taxes. The Company shall pay any and all stock transfer, documentary, stamp and similar taxes that may be payable in respect of any issuance or delivery of shares of Series A Preferred Stock. The Company shall not, however, be required to pay any such tax that may be payable in respect of any transfer involved in the issuance or delivery of shares of Series A Preferred Stock, in a name other than that in which the shares of Series A Preferred Stock were registered, or in respect of any payment to any Person other than a payment to the registered holder thereof, and shall not be required to make any such issuance, delivery or payment unless and until the Person otherwise entitled to such issuance, delivery or payment has paid to the Company the amount of any such tax or has established, to the satisfaction of the Company, that such tax has been paid or is not payable.


(b)	Withholding. All payments and distributions (or deemed distributions) on the shares of Series A Preferred Stock shall be subject to withholding and backup withholding of tax to the extent required by law, subject to applicable exemptions, and amounts withheld, if any, shall be treated as received by Holders.

Section 16. Notices.

designated as permitted by this Certificate of Designations, or (ii) if to any Holder, to such Holder at the address of such Holder as listed in the stock record books of the Company (which may include the records of the Transfer Agent) or (iii) to such other address as the Company or any such Holder, as the case may be, shall have designated by notice similarly given.

Section 17. Other Rights Disclaimed.

The shares of Series A Preferred Stock have no voting powers, preferences or relative, participating, optional or other special rights, or qualifications, limitations or restrictions thereof, other than as set forth herein or in the Certificate of Incorporation of the Company.

IN WITNESS WHEREOF, this Certificate of Designations as has been executed on behalf of the Company by its Chief Accounting Officer this 26 th day of October, 2012.



CITIGROUP INC.

By:	/s/Jeffrey R. Walsh
	Name:	Jeffrey R. Walsh
	Title:	Chief Accounting Officer

FORM OF

% FIXED RATE / FLOATING RATE NONCUMULATIVE PREFERRED STOCK, SERIES A



Certificate Number	Number of Shares of Series A Preferred Stock

		CUSIP NO.:

CITIGROUP INC.

% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series A

(par value $1.00 per share)

(liquidation preference $25,000 per share)

Citigroup Inc., a Delaware corporation (the “Company”), hereby certifies that [ ] (the “Holder”) is the registered owner of [ ] fully paid and non-assessable shares of the Company’s designated % Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series A, with a par value of $1.00 per share and a liquidation preference of $25,000 per share (the “Series A Preferred Stock”). The shares of Series A Preferred Stock are transferable on the books and records of the Registrar, in person or by a duly authorized attorney, upon surrender of this certificate duly endorsed and in proper form for transfer. The designations, rights, privileges, restrictions, preferences and other terms and provisions of the Series A Preferred Stock represented hereby are and shall in all respects be subject to the provisions of the Certificate of Designations dated October [ ], 2012 as the same may be amended from time to time (the “Certificate of Designations”). Capitalized terms used herein but not defined shall have the meaning given them in the Certificate of Designations. The Company will provide a copy of the Certificate of Designations to a Holder without charge upon written request to the Company at its principal place of business.

Reference is hereby made to select provisions of the Series A Preferred Stock set forth on the reverse hereof, and to the Certificate of Designations, which select provisions and the Certificate of Designations shall for all purposes have the same effect as if set forth at this place.

Upon receipt of this certificate, the Holder is bound by the Certificate of Designations and is entitled to the benefits thereunder.

Unless the Registrar has properly countersigned, these shares of Series A Preferred Stock shall not be entitled to any benefit under the Certificate of Designations or be valid or obligatory for any purpose.

IN WITNESS WHEREOF, this certificate has been executed on behalf of the Company by its [Title] and by its [Title] this day of , .



CITIGROUP INC.

By:
Name:
Title:


By:
Name:
Title:

REGISTRAR’S COUNTERSIGNATURE

These are shares of Series A Preferred Stock referred to in the within-mentioned Certificate of Designations.

Dated:



COMPUTERSHARE TRUST COMPANY, N.A., as Registrar

By:
Name:
Title:

REVERSE OF CERTIFICATE

Dividends on each share of Series A Preferred Stock shall be payable at the rate provided in the Certificate of Designations.

The shares of Series A Preferred Stock shall be redeemable at the option of the Company in the manner and in accordance with the terms set forth in the Certificate of Designations.

ASSIGNMENT

FOR VALUE RECEIVED, the undersigned assigns and transfers the shares of Series A Preferred Stock evidenced hereby to:

(Insert assignee’s social security or taxpayer identification number, if any)

(Insert address and zip code of assignee)

and irrevocably appoints:

as agent to transfer the shares of Series A Preferred Stock evidenced hereby on the books of the Transfer Agent. The agent may substitute another to act for him or her.

Date:

Signature:




(Sign exactly as your name appears on the other side of this Certificate)



Signature Guarantee:

CERTIFICATE OF DESIGNATIONS

5.90% FIXED RATE / FLOATING RATE NONCUMULATIVE PREFERRED STOCK,
SERIES B

CITIGROUP INC.

______________________________

pursuant to Section 151 of the

General Corporation Law of the State of Delaware

______________________________

Citigroup Inc. , a Delaware corporation (the “Company”), hereby certifies that:

Pursuant to the authority conferred upon a pricing committee (the “ Pricing Committee ”) by the Board of Directors, the Pricing Committee, by action duly taken on December 6, 2012, adopted resolutions (i) authorizing the issuance and sale of up to 30,000 shares of the Company’s preferred stock and (ii) approving this final form of Certificate of Designations of 5.90% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series B (the “ Series B Preferred Stock ”) establishing the number of shares to be included in this Series B Preferred Stock and fixing the designation, powers, preferences and rights of the shares of this Series B Preferred Stock and the qualifications, limitations or restrictions thereof as follows:

Section 1. Designation .

The designation of the series of preferred stock shall be “5.90% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series B” (the “Series B Preferred Stock”). Each share of Series B Preferred Stock shall be identical in all respects to every other share of Series B Preferred Stock.

Section 2. Number of Shares .

The number of authorized shares of Series B Preferred Stock shall be 30,000. That number from time to time may be increased (but not in excess of the total number of authorized shares of preferred stock) or decreased (but not below the number of shares of Series B Preferred Stock then outstanding) by further resolution duly adopted by the Board of Directors, the Pricing Committee or any other duly authorized committee thereof and by the filing of a certificate pursuant to the provisions of the General Corporation Law of the State of Delaware stating that such increase or reduction, as the case may be, has been so authorized. The Company shall have the authority to issue fractional shares of Series B Preferred Stock.

Section 3. Definitions . As used herein with respect to Series B Preferred Stock:

“ Board of Directors ” has the meaning set forth in the recitals above.

“ Business Day ” means any weekday that is not a legal holiday in New York City and is not a day on which banking institutions in New York City are authorized or required by law or regulation to be closed.

“ Calculation Agent ” means the Transfer Agent acting in its capacity as calculation agent for the Series B Preferred Stock, and its successors and assigns.

“ Depositary ” means DTC or its nominee or any successor depositary appointed by the Company.

“ Dividend Payment Date ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Period ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Record Date ” shall have the meaning set forth in Section 4(a) hereof.

“ DTC ” means The Depository Trust Company.

“ Holder ” means the Person in whose name the shares of the Series B Preferred Stock are registered, which may be treated by the Company, Calculation Agent, Transfer Agent, Registrar and paying agent as the absolute owner of the shares of Series B Preferred Stock for the purpose of making payment and for all other purposes.

“ Junior Stock ” means the Common Stock and any other class or series of stock of the Company now existing or hereafter authorized over which Series B Preferred Stock has preference or priority in the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

“ LIBOR Determination Date ” means the second London Banking Day immediately preceding the first day of the relevant Dividend Period.

“ London Banking Day ” means any day on which commercial banks are open for general business (including dealings in deposits in United States dollars) in London.

“ Nonpayment ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Officer ” means the Chief Executive Officer, the Chairman, the Chief Administrative Officer, any Vice Chairman, the Chief Financial Officer, the Controller, the Chief Accounting Officer, the Treasurer, any Deputy Treasurer, any Assistant Treasurer, any Vice President, the General Counsel and Corporate Secretary and any Assistant Secretary of the Company.

“ Person ” means a legal person, including any individual, corporation, estate, partnership, joint venture, association, joint-stock company, limited liability company, trust, or other entity.

“ Preferred Stock Director ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Preferred Stock Director Termination Date ” shall have the meaning set forth in Section 7(b)(iv) hereof.

“ Registrar ” means the Transfer Agent acting in its capacity as registrar for the Series B Preferred Stock, and its successors and assigns.

“ Regulatory Capital Event ” means the good faith determination by the Company that, as a result of (i) any amendment to, clarification of, or change in, the laws or regulations of the United States or any political subdivision of or in the United States that is enacted or becomes effective after the initial issuance of any share of the Series B Preferred Stock, (ii) any proposed change in those laws or regulations that is announced or becomes effective after the initial issuance of any share of the Series B Preferred Stock, or (iii) any official administrative decision or judicial decision or administrative action or other official pronouncement interpreting or applying those laws or regulations or policies with respect thereto that is announced after the initial issuance of any share of the Series B Preferred Stock, there is more than an insubstantial risk that the Company will not be entitled to treat the full liquidation preference amount of $25,000 per share of the Series B Preferred Stock then outstanding as “tier 1 capital” (or its equivalent) for purposes of the capital adequacy guidelines of the Federal Reserve (or, as and if applicable, the capital adequacy guidelines or regulations of any successor Appropriate Federal Banking Agency) as then in effect and applicable, for so long as any share of the Series B Preferred Stock is outstanding.

" Series B Liquidation Preference " shall have the meaning set forth in Section 5(a) hereof.

“ Series B Preferred Stock ” shall have the meaning set forth in Section 1 hereof.

“ Series B Preferred Stock Certificate ” shall have the meaning set forth in Section 14(a) hereof.

“ Three-month LIBOR ” means the rate (expressed as a percentage per annum) for deposits in United States dollars for a three-month period commencing on the first day of a Dividend Period that appears on the Reuters LIBOR01 page as of 11:00 a.m. (London time) on the LIBOR Determination Date for that Dividend Period. If such rate does not appear on the Reuters LIBOR01 page, Three-month LIBOR will be determined on the basis of the rates at which deposits in United States dollars for a three-month period commencing on the first day of that Dividend Period and in a principal amount of not less than $1 million are offered to prime banks in the London interbank market by four major banks in the London interbank market selected by the Calculation Agent (after consultation with the Company), at approximately 11:00 a.m., London time, on the LIBOR Determination Date for that Dividend Period. The Calculation Agent will request the principal London office of each of such banks to provide a quotation of its rate. If at least two such quotations are provided, Three-month LIBOR with respect to that Dividend Period will be the arithmetic mean (rounded upward if necessary to the nearest whole multiple of 0.00001%) of such quotations. If fewer than two quotations are provided, Three-month LIBOR with respect to that Dividend Period will be the arithmetic mean (rounded upward if necessary to the nearest whole multiple of 0.00001%) of the rates quoted by three major banks in New York City selected by the Calculation Agent (after consultation with the Company), at approximately 11:00 a.m., New York City time, on the LIBOR Determination Date for that Dividend Period for loans in United States dollars to leading European banks for a three-month period commencing on the first day of that Dividend Period and in a principal amount of not less than $1 million. However, if fewer than three banks selected by the Calculation Agent to provide quotations are quoting as described above, Three-month LIBOR for that Dividend Period will be the same Three-month LIBOR as determined for the previous Dividend Period or, in the case of the Dividend Period beginning on February 15, 2023, 0.3095%. The determination of Three-month LIBOR for each relevant Dividend Period by the Calculation Agent will (in the absence of manifest error) be final and binding.

“ Trust ” shall have the meaning set forth in Section 6(d).

Section 4. Dividends .

(a)

Rate . Holders shall be entitled to receive, when, as and if declared by the Board of Directors or any duly authorized committee thereof, but only out of funds legally available therefor, noncumulative cash dividends on each share of Series B Preferred Stock in the amounts specified below in this Section 4, and no more, payable (i) semi-annually in arrears on each August 15 and February 15, beginning August 15, 2013, from and including the date of issuance to, but excluding, February 15, 2023, and (ii) quarterly in arrears on each February 15, May 15, August 15, and November 15, beginning May 15, 2023 from and including February 15, 2023; provided, however, if any such day is not a Business Day, then payment of any dividend otherwise payable on that date will be made on the next succeeding day that is a Business Day (except if after February 15, 2023 that day falls in the next calendar month, in which case the payment of any dividend otherwise payable will be made on the first preceding Business Day) (i) on or prior to February 15, 2023, without any interest or other payment in respect of such postponement, and (ii) after February 15, 2023, with dividends accruing to the actual payment date (each such day on which dividends are payable a “ Dividend Payment Date ”). The period from and including the date of issuance of the Series B Preferred Stock or any Dividend Payment Date to, but excluding, the next Dividend Payment Date is a “ Dividend Period .” Dividends on each share of Series B Preferred Stock will accrue on the liquidation preference of $25,000 per share at a rate per annum equal to (i) 5.90%, for each Dividend Period from and including the date of issuance to, but excluding, February 15, 2023 and (ii) Three-month LIBOR plus 4.23%, for each Dividend Period from and including February 15, 2023. The record date for payment of dividends on the Series B Preferred Stock will be the record date fixed by the Board of Directors or any other duly authorized committee thereof that is not more than 30 nor less than 10 days prior to such Dividend Payment Date (each, a “ Dividend Record Date ”). Any such day that is a Dividend Record Date will be a Dividend Record Date whether or not such day is a Business Day. The amount of dividends payable on or prior to February 15, 2023 will be computed on the basis of a 360-day year of twelve 30-day months. The amount of dividends payable after February 15, 2023 will be computed on the basis of a 360-day year and the actual number of days elapsed.

(b)

Noncumulative Dividends . If the Board of Directors or any duly authorized committee thereof does not declare a dividend on the Series B Preferred Stock for any Dividend Period prior to the related Dividend Payment Date, that dividend will not accrue, and the Company will have no obligation to pay, and Holders shall have no right to receive, a dividend for that Dividend Period on the related Dividend Payment Date or at any future time, whether or not dividends on the Series B Preferred Stock or any other series of preferred stock or common stock are declared for any subsequent

period. References herein to the “accrual” of dividends refer only to the determination of the amount of such dividend and do not imply that any right to a dividend arises prior to the date on which a dividend is declared.

(c)

Priority of Dividends . So long as any share of Series B Preferred Stock remains outstanding, unless as to a Dividend Payment Date full dividends on all outstanding shares of the Series B Preferred Stock have been declared and paid or declared and a sum sufficient for the payment of those dividends has been set aside for the Dividend Period then ending, the Company will not, and will cause its subsidiaries not to, during the next succeeding Dividend Period that commences on such Dividend Payment Date, declare or pay any dividend on, make any distributions relating to, or redeem, purchase, acquire or make a liquidation payment relating to, any Junior Stock, or make any guarantee payment with respect thereto, other than:


(i)	purchases, redemptions or other acquisitions of shares of Junior Stock in connection with any employment contract, benefit plan or other similar arrangement with or for the benefit of employees, officers, directors or consultants;


(ii)	purchases of shares of Common Stock pursuant to a contractually binding requirement to buy stock existing prior to the commencement of the then-current Dividend Period, including under a contractually binding stock repurchase plan;


(iii)	as a result of an exchange or conversion of any class or series of Junior Stock for any other class or series of Junior Stock;


(iv)	the purchase of fractional interests in shares of Junior Stock pursuant to the conversion or exchange provisions of such Junior Stock or the security being converted or exchanged;


(v)	the purchase of Junior Stock by an investment banking subsidiary of the Company in connection with the distribution thereof; or


(vi)	the purchase of Junior Stock by any investment banking subsidiary of the Company in connection with market-making or other secondary market activities in the ordinary course of the business of such subsidiary.

Except as provided below, for so long as any share of Series B Preferred Stock remains outstanding, if dividends are not declared and paid in full upon the shares of Series B Preferred Stock and any class or series of stock of the Company now existing or hereafter authorized that ranks equally with the Series B Preferred Stock in the payment of dividends, all dividends declared upon shares of Series B Preferred Stock and such other stock will be declared on a proportional basis so that the amount of dividends declared per share will bear to each other the same ratio that accrued dividends for the then-current Dividend Period per share of Series B Preferred Stock and accrued dividends for the then-current Dividend Period per share of such other stock (including, in the case of any such other stock that bears cumulative dividends, all accrued and unpaid dividends) bear to each other.

Section 5. Liquidation Rights .

(a)

Liquidation . In the event of any voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company, Holders shall be entitled, out of funds legally available therefor, before any distribution or payment may be made by the Company or set aside for the holders of any Junior Stock and subject to the rights of the holders of any class or series of stock ranking senior to or on parity with Series B Preferred Stock upon liquidation and the rights of the Company’s depositors and other creditors, to receive in full a liquidating distribution in the amount of the liquidation preference of $25,000 per share, plus any accrued dividends thereon from the last Dividend Payment Date to, but excluding, the date of the liquidation, dissolution or winding up if and to the extent declared but not yet paid. Holders shall not be entitled to any further payments in the event of any such voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company other than what is expressly provided for in this Section 5.

(b)

Partial Payment . If the assets of the Company are not sufficient to pay in full the aforesaid liquidation distributions to the Holders and any liquidation distributions owed to holders of any class or series of stock of the Company ranking equally with the Series B Preferred Stock in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company, the amounts paid to the Holders and to the holders of all such equally ranking stock shall be pro rata in accordance with the respective aggregate liquidating distributions to which they would otherwise be entitled.

(c)

Merger, Consolidation and Sale of Assets Not Liquidation . For purposes of this Section 5, the sale, conveyance, exchange or transfer (for cash, shares of stock, securities or other consideration) of all or substantially all of the property and assets of the Company shall not be deemed a voluntary or involuntary dissolution, liquidation or winding up of the affairs of the Company, nor shall the merger, consolidation or any other business combination transaction of the Company into or with any other corporation or Person or the merger, consolidation or any other business combination transaction of any other corporation or Person into or with the Company be deemed to be a voluntary or involuntary dissolution, liquidation or winding up of the affairs of the Company.

Section 6. Redemption .

(a)

Optional Redemption . The Company, at the option of its Board of Directors or any duly authorized committee thereof, may redeem out of funds legally available therefor, (i) in whole or in part, from time to time, the shares of Series B Preferred Stock at the time outstanding, on any Dividend Payment Date on or after February 15, 2023, or (ii) in whole but not in part at any time within 90 days following a Regulatory Capital Event, in each case at a redemption price equal to $25,000 per share plus any declared and unpaid dividends, without accumulation of any undeclared dividends, to but excluding the redemption date, upon notice given as provided in Section 6(b) below.

(b)

Notice of Redemption . Notice of every redemption of shares of Series B Preferred Stock shall be mailed by first class mail, postage prepaid, addressed to the Holders of such shares to be redeemed at their respective last addresses appearing on the stock register of the Company. Such mailing shall be at least 30 days and not more than 60 days before the date fixed for redemption. Any notice mailed as provided in this Section 6(b) shall be conclusively presumed to have been duly given, whether or not the Holder receives such notice, but failure duly to give such notice by mail, or any defect in such notice or in the mailing thereof, to any Holder of shares of Series B Preferred Stock designated for redemption shall not affect the validity of the proceedings for the redemption of any other shares of Series B Preferred Stock. Each notice shall state:


(i)	the redemption date;


(ii)	the total number of shares of Series B Preferred Stock to be redeemed and, if fewer than all the shares of a Holder are to be redeemed, the number of such shares to be redeemed;


(iii)	the redemption price;


(iv)	the place or places where the certificates for such shares are to be surrendered for payment of the redemption price, if applicable; and


(v)	that dividends on the shares to be redeemed will cease to accrue on the redemption date.

Notwithstanding the foregoing, if the certificates evidencing the shares of Series B Preferred Stock are held of record by a depositary and any related depository shares are held of record by a Depositary or its nominee, the Company may give such notice in any manner permitted by the Depositary.

(c)

Partial Redemption . In case of any redemption of only part of the shares of Series A Preferred Stock at the time outstanding, the shares of Series B Preferred Stock to be redeemed shall be selected pro rata from the Holders in proportion to the number of shares of Series B Preferred Stock held by such Holders, by lot or in such other manner as the Board of Directors or any duly authorized committee thereof may determine, in its sole discretion, to be fair and equitable. Subject to the provisions of this Section 6, the Board of Directors or any duly authorized committee thereof shall have full power and authority to prescribe the terms and conditions upon which shares of Series B Preferred Stock shall be redeemed from time to time.


(d)	Effectiveness of Redemption . If notice of redemption has been duly given and if on or before the redemption date specified in the notice all funds necessary for the redemption have been set aside by the Company, separate and apart from its other assets, for the pro rata benefit of the Holders of the shares called for redemption, so as to be and continue

to be available therefor, or deposited by the Company with a bank or trust company selected by the Board of Directors or any duly authorized committee thereof (the “ Trust ”) in trust for the pro rata benefit of the Holders of the shares called for redemption, then, notwithstanding that any certificate for any share so called for redemption has not been surrendered for cancellation, on and after the redemption date all shares so called for redemption shall cease to be outstanding, all dividends with respect to such shares shall cease to accrue on such redemption date, and all rights with respect to such shares shall forthwith on such redemption date cease and terminate, except only the right of the Holders thereof to receive the amount payable on such redemption from the Trust at any time after the redemption date from the funds so deposited, without interest. The Company shall be entitled to receive, from time to time, from the Trust any interest accrued on such funds, and the Holders of any shares called for redemption shall have no claim to any such interest. Any funds so deposited and unclaimed at the end of three years from the redemption date shall, to the extent permitted by law, be released or repaid to the Company, and in the event of such repayment to the Company, the Holders of the shares so called for redemption shall be deemed to be unsecured creditors of the Company for an amount equivalent to the amount deposited as stated above for the redemption of such shares and so repaid to the Company, but shall in no event be entitled to any interest.

Section 7. Voting Rights .


(a)	General . The Holders shall not be entitled to vote on any matter except as set forth in Section 7(b) below or as required by the Delaware General Corporation Law.


(b)	Special Voting Right .

(i)

Voting Right . If and whenever dividends on the Series B Preferred Stock or any other class or series of preferred stock that ranks on parity with Series B Preferred Stock as to payment of dividends and upon which voting rights equivalent to those granted by this Section 7(b)(i) have been conferred and are exercisable (any such class or series being referred to herein as “dividend parity stock”) have not been paid in an aggregate amount equal, as to any class or series, to at least three semi-annual or six quarterly Dividend Periods, as applicable, (whether consecutive or not) (a “ Nonpayment ”), the authorized number of directors constituting the Board of Directors shall be increased by two, and the Holders, together with holders of dividend parity stock, shall have the right, voting separately as a single class without regard to class or series (and with voting rights allocated pro rata based on the liquidation preference of each such class or series), to the exclusion of the holders of Common Stock, to elect two directors of the Company to fill such newly created directorships (and to fill any vacancies in the terms of such directorships), provided that it shall be a qualification for election of any such director that the election of such director shall not cause the Company to violate the corporate governance requirements of the New York Stock Exchange (or other exchange on which the Company’s securities may be listed) that listed companies must have a majority of independent directors and further provided that the Board of Directors shall at no time include more than two such directors. Each such director elected by the Holders together with holders of dividend parity stock is a “ Preferred Stock Director .”

(ii)

Election . The election of the Preferred Stock Directors will take place at any annual meeting of stockholders or any special meeting of the Holders and any dividend parity stock, called as provided herein. At any time after the special voting power has vested pursuant to Section 7(b)(i) above, the secretary of the Company may, and upon the written request (addressed to the secretary at the Company’s principal office) of the holders of at least 20% of the voting power of the Series B Preferred Stock or the holders of at least 20% of the voting power of any series of dividend parity stock (with such voting power measured based on the voting power to elect Preferred Stock Directors), must (unless such request is received less than 90 days before the date fixed for the next annual or special meeting of the stockholders at which Preferred Stock Directors are to be elected, in which event such election shall be held at such next annual or special meeting of stockholders), call a special meeting of the holders of Series B Preferred Stock and any dividend parity stock for the purposes of electing Preferred Stock Directors. The Preferred Stock Directors shall each be entitled to one vote per director on any matter.

(iii)

Termination Date and the next annual meeting of stockholders following such Preferred Stock Director's election. In case any vacancy in the office of a Preferred Stock Director occurs (other than prior to the initial election of the Preferred Stock Directors), the vacancy may be filled by the Preferred Stock Director remaining in office, or if none remains in office, by a plurality of the votes cast by the holders of Series B Preferred Stock and any dividend parity stock, voting together as a single class, and the Preferred Stock Director so appointed or elected to fill such vacancy shall serve for a term expiring at the next annual meeting of the stockholders. Preferred Stock Directors may only be elected by the holders of Series B Preferred Stock and dividend parity stock in accordance with this Section 7. If the holders of Series B Preferred Stock and such dividend parity stock fail to elect a sufficient number of directors to fill all directorships for which they are entitled to elect directors pursuant to this Section 7, then any directorship not so filled shall remain vacant until such time as the holders of Series B Preferred Stock and such dividend parity stock elect a person to fill such directorship in accordance with this Section 7, or such vacancy is otherwise filled in accordance with this Section 7; and no such directorship may be filled by stockholders of the Corporation other than in accordance with this Section 7.

(iv)

Termination; Removal . Whenever the Company has paid noncumulative dividends in full for at least two consecutive semi-annual or four consecutive quarterly Dividend Periods following a Nonpayment on the Series B Preferred Stock and on any dividend parity stock entitled to noncumulative dividends and has paid cumulative dividends in full on any dividend parity stock entitled to cumulative dividends, then the right of the Holders to elect the Preferred Stock Directors will cease (but subject always to the same provisions for the vesting of the special voting rights in the case of any similar non-payment of dividends in respect of future Dividend Periods) (the time of such cessation, the “ Preferred Stock Director Termination Date ”). Upon a Preferred Stock Director Termination Date, the terms of office of the Preferred Stock Directors will immediately terminate, the persons then serving as Preferred Stock Directors shall immediately cease to be qualified to hold office as Preferred Stock Directors, the Preferred Stock Directors shall cease to be directors of the Company and the number of directors constituting the Board of Directors shall be automatically reduced, without any action by the Board of Directors or the stockholders of the Company, by the number of Preferred Stock Directors authorized immediately prior to such termination. Any Preferred Stock Director may be removed at any time without cause by the holders of a majority of the voting power of outstanding shares of the capital stock then entitled to vote in the election of Preferred Stock Directors, voting together as a single class (with such voting power measured based on the voting power to elect Preferred Stock Directors).

(c)

Senior Issuances; Adverse Changes . So long as any shares of Series B Preferred Stock are outstanding, but subject to the final paragraph of this Section 7(c), in addition to any other vote or consent of holders of the Company’s capital stock required by Delaware law, the vote or consent of the holders of at least two-thirds of the voting power of the Series B Preferred Stock and the holders of any other preferred stock entitled to vote thereon, voting together as a single class, given in person or by proxy at an annual or special meeting of stockholders, or given in writing without a meeting, will be necessary for effecting or validating any of the following actions, whether or not such approval is required by Delaware law:


(i)	any amendment, alteration or repeal of any provision of the Company’s certificate of incorporation (including the certificate of designations creating the Series B Preferred Stock) or the Company’s by-laws that would alter or change the voting powers, preferences, economic rights or special rights of the Series B Preferred Stock so as to affect them adversely;

(ii)

any amendment or alteration of the Company’s certificate of incorporation to authorize or create, or increase the authorized amount of, any shares of, or any securities convertible into shares of, any class or series of the Company's capital stock ranking prior to the Series B Preferred Stock in the payment of dividends or in the distribution of assets on any liquidation, dissolution, or winding up of the Company; or

(iii)

the consummation of a binding share exchange or reclassification involving the Series B Preferred Stock or a merger or consolidation of the Company with another entity, except that holders of Series B Preferred Stock will have no right to vote under this provision or otherwise under Delaware law if in each case (i) the Series B Preferred Stock remains outstanding or, in the case of any such merger or consolidation with respect to which the Company is not the surviving or resulting entity, is converted into or exchanged for preferred securities of the surviving or resulting entity or its ultimate parent, that is an entity organized and existing under the laws of the United States of America, any state thereof or the District of Columbia and that is a corporation for U.S. federal income tax purposes (or if such entity is not a corporation, the Company having received an opinion of nationally recognized counsel experienced in such matters to the effect that Holders will be subject to tax for U.S. federal income tax purposes with respect to such new preferred securities after such merger or consolidation in the same amount, at the same time and otherwise in the same manner as would have been the

case under the Series B Preferred Stock prior to such merger or consolidation), and (ii) such Series B Preferred Stock remaining outstanding or such preferred securities, as the case may be, have such rights, preferences, privileges and voting powers, taken as a whole, as are not materially less favorable to the holders thereof than the rights, preferences, privileges and voting powers of the Series B Preferred Stock, taken as a whole;

provided, however , that, for the avoidance of doubt, any increase in the amount of the authorized or issued Series B Preferred Stock or authorized preferred stock or any securities convertible into preferred stock or the creation and issuance, or an increase in the authorized or issued amount, of other series of preferred stock or any securities convertible into preferred stock ranking equally with and/or junior to the Series B Preferred Stock with respect to the payment of dividends (whether such dividends are cumulative or noncumulative) and/or the distribution of assets upon the Company’s liquidation, dissolution or winding up will not be deemed to adversely affect the voting powers, preferences or special rights of the Series B Preferred Stock, and no stockholder will have the right to vote on such an increase, creation or issuance by reason of this Section 7.

If any amendment, alteration, repeal, share exchange, reclassification, merger or consolidation specified in this Section 7(c) would adversely affect the Series B Preferred Stock but not all series of preferred stock of the Company, then only such series of preferred stock as are adversely affected by and entitled to vote on the matter shall vote on the matter together with the Series B Preferred Stock as a single class (in lieu of all other series of preferred stock) for purposes of the vote or consent required by this Section 7(c).

(d)

No Vote if Redemption . No vote or consent of the Holders shall be required pursuant to Section 7(b) or 7(c) if, at or prior to the time when the act with respect to such vote or consent would otherwise be required shall be effected, the Company shall have redeemed or shall have called for redemption all outstanding shares of Series B Preferred Stock, with proper notice and sufficient funds having been set aside for such redemption, in each case pursuant to Section 6 above.

Section 8. Preemption and Conversion Rights .

The Holders shall not have any preemptive rights or conversion rights as a result of the terms hereof.

Section 9. Rank .

For the avoidance of doubt, the Board of Directors or any duly authorized committee thereof may, without the vote of the Holders, authorize and issue additional shares of Junior Stock or shares of any class or series of stock of the Company now existing or hereafter authorized that ranks equally with the Series B Preferred Stock in the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

Section 10. Reacquired Shares .

The Board of Directors shall take such actions as are necessary to cause the shares of Series B Preferred Stock which have been redeemed or otherwise purchased or acquired by the Company to be retired and restored to the status of authorized but unissued shares of preferred stock without designation as to series.

Section 11. No Sinking Fund .

Shares of Series B Preferred Stock are not subject to the operation of a sinking fund.

Section 12. Transfer Agent, Calculation Agent, Registrar and Paying Agent .

The duly appointed Transfer Agent, Calculation Agent, Registrar and paying agent for the Series B Preferred Stock shall be Computershare Trust Company, N.A. The Company may, in its sole discretion, remove the Transfer Agent in accordance with the agreement between the Company and the Transfer Agent; provided, however , that the Company shall appoint a successor transfer agent who shall accept such appointment prior to the effectiveness of such removal. Upon any such removal or appointment, the Company shall send notice thereof by first-class mail, postage prepaid, to the Holders.

Section 13. Replacement Certificates for Mutilated, Destroyed, Stolen and Lost Certificates .

Section 14. Form .

(a)

Series B Preferred Stock Certificates . Series B Preferred Stock shall be issued in certificated form in substantially the form attached hereto as Exhibit A (each, a “ Series B Preferred Stock Certificate ”). Exhibit A is hereby incorporated in and expressly made a part of this Certificate of Designations. The Series B Preferred Stock Certificates may have notations, legends or endorsements required by law, stock exchange rules, agreements to which the Company is subject, if any, or usage (provided that any such notation, legend or endorsement is in a form acceptable to the Company).

(b)

Signature . Two Officers shall sign any Series B Preferred Stock Certificate for the Company, in accordance with the Company’s by-laws and applicable law, by manual or facsimile signature. If an Officer whose signature is on a Series B Preferred Stock Certificate no longer holds that office at the time the Transfer Agent countersigned the Series B Preferred Stock Certificate, such Series B Preferred Stock Certificate shall be valid nevertheless. A Series B Preferred Stock Certificate shall not be valid until an authorized signatory of the Transfer Agent manually countersigns such Series B Preferred Stock Certificate. Each Series B Preferred Stock Certificate shall be dated the date of its countersignature.

Section 15. Taxes .

(a)

Transfer Taxes . The Company shall pay any and all stock transfer, documentary, stamp and similar taxes that may be payable in respect of any issuance or delivery of shares of Series B Preferred Stock. The Company shall not, however, be required to pay any such tax that may be payable in respect of any transfer involved in the issuance or delivery of shares of Series B Preferred Stock, in a name other than that in which the shares of Series B Preferred Stock were registered, or in respect of any payment to any Person other than a payment to the registered holder thereof, and shall not be required to make any such issuance, delivery or payment unless and until the Person otherwise entitled to such issuance, delivery or payment has paid to the Company the amount of any such tax or has established, to the satisfaction of the Company, that such tax has been paid or is not payable.


(b)	Withholding . All payments and distributions (or deemed distributions) on the shares of Series B Preferred Stock shall be subject to withholding and backup withholding of tax to the extent required by law, subject to applicable exemptions, and amounts withheld, if any, shall be treated as received by Holders.

Section 16. Notices .

All notices referred to herein shall be in writing, and, unless otherwise specified herein, all notices hereunder shall be deemed to have been given upon the earlier of receipt thereof or three Business Days after the mailing thereof if sent by registered or certified mail (unless first class mail shall be specifically permitted for such notice under the terms of this Certificate of Designations) with postage prepaid, addressed: (i) if to the Company, to its office at 399 Park Avenue, New York, New York 10043 (Attention: Corporate Secretary) or to the Transfer Agent at its office at 250 Royall Street, Canton, Massachusetts 02021, or other agent of the Company designated as permitted by this Certificate of Designations, or (ii) if to any Holder, to such Holder at the address of such Holder as listed in the stock record books of the Company (which may include the records of the Transfer Agent) or (iii) to such other address as the Company or any such Holder, as the case may be, shall have designated by notice similarly given.

Section 17. Other Rights Disclaimed.

The shares of Series B Preferred Stock have no voting powers, preferences or relative, participating, optional or other special rights, or qualifications, limitations or restrictions thereof, other than as set forth herein or in the Certificate of Incorporation of the Company.

IN WITNESS WHEREOF, this Certificate of Designations as has been executed on behalf of the Company by its Chief Financial Officer this 12 ^th day of December, 2012.

CITIGROUP INC.

By: /s/ John C. Gerspach
Name: John C. Gerspach
Title: Chief Financial Officer

FORM OF
5.90% FIXED RATE / FLOATING RATE NONCUMULATIVE PREFERRED STOCK, SERIES B

Certificate Number_______ Number of Shares of Series A Preferred Stock______

CUSIP NO.:

CITIGROUP INC.

% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series B

(par value $1.00 per share)
(liquidation preference $25,000 per share)

Citigroup Inc., a Delaware corporation (the “Company”), hereby certifies that [ ] (the “Holder”) is the registered owner of [ ] fully paid and non-assessable shares of the Company’s designated % Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series B, with a par value of $1.00 per share and a liquidation preference of $25,000 per share (the “Series B Preferred Stock”). The shares of Series B Preferred Stock are transferable on the books and records of the Registrar, in person or by a duly authorized attorney, upon surrender of this certificate duly endorsed and in proper form for transfer. The designations, rights, privileges, restrictions, preferences and other terms and provisions of the Series B Preferred Stock represented hereby are and shall in all respects be subject to the provisions of the Certificate of Designations dated December [ ], 2012 as the same may be amended from time to time (the “Certificate of Designations”). Capitalized terms used herein but not defined shall have the meaning given them in the Certificate of Designations. The Company will provide a copy of the Certificate of Designations to a Holder without charge upon written request to the Company at its principal place of business.

Reference is hereby made to select provisions of the Series B Preferred Stock set forth on the reverse hereof, and to the Certificate of Designations, which select provisions and the Certificate of Designations shall for all purposes have the same effect as if set forth at this place.

Upon receipt of this certificate, the Holder is bound by the Certificate of Designations and is entitled to the benefits thereunder.

Unless the Registrar has properly countersigned, these shares of Series B Preferred Stock shall not be entitled to any benefit under the Certificate of Designations or be valid or obligatory for any purpose.

IN WITNESS WHEREOF, this certificate has been executed on behalf of the Company by its [Title] and by its [Title] this __ day of ________, ________.

CITIGROUP INC.

By: _______________________________________
Name:
Title:

REGISTRAR’S COUNTERSIGNATURE

These are shares of Series B Preferred Stock referred to in the within-mentioned Certificate of Designations.

Dated:

COMPUTERSHARE TRUST COMPANY, N.A., as Registrar

By: _______________________________________
Name:
Title:

REVERSE OF CERTIFICATE

Dividends on each share of Series B Preferred Stock shall be payable at the rate provided in the Certificate of Designations.

The shares of Series B Preferred Stock shall be redeemable at the option of the Company in the manner and in accordance with the terms set forth in the Certificate of Designations.

ASSIGNMENT

FOR VALUE RECEIVED, the undersigned assigns and transfers the shares of Series B Preferred Stock evidenced hereby to:

___________________________________________________

(Insert assignee’s social security or taxpayer identification number, if any)

___________________________________________________

(Insert address and zip code of assignee)

and irrevocably appoints:

___________________________________________________

as agent to transfer the shares of Series A Preferred Stock evidenced hereby on the books of the Transfer Agent. The agent may substitute another to act for him or her.

Date:

Signature:

___________________________________________________

(Sign exactly as your name appears on the other side of this Certificate)

Signature Guarantee: ___________________________________________________

CERTIFICATE OF OWNERSHIP AND MERGER

MERGING

CITIGROUP FUNDING INC.

(a Delaware corporation)

WITH AND INTO

CITIGROUP INC.

(a Delaware corporation)

(Pursuant to Section 253 of the

Delaware General Corporation Law)

Citigroup Inc., a Delaware corporation (“Citigroup”), does hereby certify:


FIRST :	Citigroup owns all of the outstanding shares of capital stock of Citigroup Funding Inc., a Delaware corporation (“CFI”).


SECOND :	The Board of Directors of Citigroup adopted certain resolutions at a meeting of the Board of Directors held on June 18, 2012, including the following duly adopted resolutions in which the Board of Directors determined to merge CFI with and into Citigroup pursuant to Section 253 of the General Corporation Law of the State of Delaware:

RESOLVED , that, based upon all of the factors discussed at this meeting and the information provided to the members of the Board of Directors (the “Board”) of Citigroup Inc. (“Citigroup”), the Board hereby determines that it is advisable and in the best interest of Citigroup and its shareholders to merge Citigroup Funding Inc. (“CFI”), a Delaware corporation and a wholly-owned subsidiary of Citigroup, with and into Citigroup (the “Merger”); and be it

FURTHER RESOLVED , (a) that, effective upon the filing of a Certificate of Ownership and Merger with the Office of the Secretary of State of the State of Delaware or at such time as such Certificate of Ownership and Merger shall specify, CFI shall merge with and into Citigroup, and Citigroup shall be the surviving corporation, pursuant to Section 253 of the General Corporation Law of the State of Delaware (the “DGCL”), (b) that, by virtue of the Merger, each issued and outstanding share of common stock of CFI shall be cancelled, no consideration shall be delivered in exchange therefor and the separate existence of CFI shall cease, (c) that simultaneously with the Merger, Citigroup shall assume all of the rights and obligations of CFI existing immediately prior to the Merger, including, but not limited to, the obligation to pay the principal of and interest and premium, if any, on all of CFI’s outstanding notes, bonds and commercial paper, and the obligation to pay amounts due on CFI’s other outstanding funding obligations, instruments or securities, including, but not limited to, its index warrants, (d) that Citigroup shall be, and hereby is, authorized to enter into any and all contracts, instruments, indentures, agreements and other documents and any supplements or amendments thereto as deemed appropriate, advisable or necessary by an Authorized Officer in connection with the Merger and the assumption of the rights and obligations described in the preceding clause (c), (e) that the Certificate of Incorporation and By-Laws of Citigroup as in effect immediately prior to the effectiveness of the Merger shall be the Certificate of Incorporation and By-Laws of such surviving corporation and shall continue in full force and effect until

amended and changed in the manner prescribed by the provisions of the DGCL, and (f) that the officers and directors of Citigroup immediately prior to the Merger shall be the officers and directors of such surviving corporation; and be it

FURTHER RESOLVED , that the Chief Executive Officer, the President, any Vice Chairman, the Chief Financial Officer, the General Counsel, the Corporate Secretary, the Chief Accounting Officer, the Treasurer, the Deputy Treasurer or any officer with the authority of a Vice President of Citigroup (each, and “Authorized Officer”) be, and each of them hereby is, authorized and directed to execute, in the name and on behalf of Citigroup, a Certificate of Ownership and Merger with respect to the Merger setting forth, among other things, a copy of the resolutions of the Board authorizing the Merger and the date of their adoption, and to cause such documents to be filed in the Office of the Secretary of State of the State of Delaware in accordance with Sections 103 and 253 of the DGCL.


THIRD :	That this Certificate of Ownership and Merger (and the Merger referenced herein) shall be effective at 11:58 p.m. (local time in Wilmington, Delaware) on December 31, 2012.

[Signature page follows]

IN WITNESS WHEREOF, Citigroup Inc. has caused this Certificate of Ownership and Merger to be executed by its duly authorized officer on the date set forth below.

CITIGROUP INC.

By: /s/ Joseph Bonocore

Name: Joseph Bonocore

Title: Deputy Treasurer

Dated: December 12, 2012

CERTIFICATE OF DESIGNATIONS

5.80% NONCUMULATIVE PREFERRED STOCK SERIES C

CITIGROUP INC.

______________________________

pursuant to Section 151 of the

General Corporation Law of the State of Delaware

______________________________

Citigroup Inc. , a Delaware corporation (the “Company”), hereby certifies that:

1. The Restated Certificate of Incorporation of the Company (as amended through the date hereof, the “Certificate of Incorporation”) fixes the total number of shares of all classes of capital stock that the Company shall have the authority to issue at six billion (6,000,000,000) shares of common stock, par value $0.01 per share, and thirty million (30,000,000) shares of preferred stock, par value $1.00 per share.

2. The Certificate of Incorporation expressly grants to the Board of Directors of the Company (the “Board of Directors”) authority to provide for the issuance of the shares of preferred stock in series, and to establish from time to time the number of shares to be included in each such series and to fix the designation, powers, preferences and rights of the shares of each such series and the qualifications, limitations or restrictions thereof.

3. Pursuant to the authority conferred upon a pricing committee (the “ Pricing Committee ”) by the Board of Directors, the Pricing Committee, by action duly taken on March 19, 2013, adopted resolutions (i) authorizing the issuance and sale of up to 23,000 shares of the Company’s preferred stock and (ii) approving this final form of Certificate of Designations of 5.80% Noncumulative Preferred Stock, Series C (the “ Series C Preferred Stock ”) establishing the number of shares to be included in this Series C Preferred Stock and fixing the designation, powers, preferences and rights of the shares of this Series C Preferred Stock and the qualifications, limitations or restrictions thereof as follows:

Section 1. Designation .

The designation of the series of preferred stock shall be “5.80% Noncumulative Preferred Stock, Series C” (the “Series C Preferred Stock”). Each share of Series C Preferred Stock shall be identical in all respects to every other share of Series C Preferred Stock. Series C Preferred

Stock will rank equally with Parity Stock, will rank senior to Junior Stock and will rank junior to

Senior Stock, if any, with respect to the payment of dividends and/or the distribution of assets in the event of any voluntary or involuntary liquidation, dissolution or winding up of affairs of the

Company.

Section 2. Number of Shares .

The number of authorized shares of Series C Preferred Stock shall be 23,000. That number from time to time may be increased (but not in excess of the total number of authorized shares of preferred stock) or decreased (but not below the number of shares of Series C Preferred Stock then outstanding) by further resolution duly adopted by the Board of Directors, the Pricing Committee or any other duly authorized committee thereof and by the filing of a certificate pursuant to the provisions of the General Corporation Law of the State of Delaware stating that such increase or reduction, as the case may be, has been so authorized. The Company shall have the authority to issue fractional shares of Series C Preferred Stock.

Section 3. Definitions . As used herein with respect to Series C Preferred Stock:

“ Board of Directors ” has the meaning set forth in the recitals above.

“ Business Day ” means any weekday that is not a legal holiday in New York City and is not a day on which banking institutions in New York City are authorized or required by law or regulation to be closed.

“ Calculation Agent ” means the Transfer Agent acting in its capacity as calculation agent for the Series C Preferred Stock, and its successors and assigns.

“ Depositary ” means DTC or its nominee or any successor depositary appointed by the Company.

“ Dividend Payment Date ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Period ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Record Date ” shall have the meaning set forth in Section 4(a) hereof.

“ DTC ” means The Depository Trust Company.

“ Holder ” means the Person in whose name the shares of the Series C Preferred Stock are registered, which may be treated by the Company, Calculation Agent, Transfer Agent, Registrar and paying agent as the absolute owner of the shares of Series C Preferred Stock for the purpose of making payment and for all other purposes.

“ Junior Stock ” means the Common Stock and any other class or series of stock of the Company now existing or hereafter authorized over which Series C Preferred Stock has preference or priority in the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

“ Nonpayment ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Officer ” means the Chief Executive Officer, the Chairman, the Chief Administrative Officer, any Vice Chairman, the Chief Financial Officer, the Controller, the Chief Accounting Officer, the Treasurer, any Deputy Treasurer, any Assistant Treasurer, any Vice President, the General Counsel and Corporate Secretary and any Assistant Secretary of the Company.

“ Person ” means a legal person, including any individual, corporation, estate, partnership, joint venture, association, joint-stock company, limited liability company, trust, or other entity.

“ Preferred Stock Director ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Preferred Stock Director Termination Date ” shall have the meaning set forth in Section 7(b)(iv) hereof.

“ Registrar ” means the Transfer Agent acting in its capacity as registrar for the Series C Preferred Stock, and its successors and assigns.

“ Regulatory Capital Event ” means the good faith determination by the Company that, as a result of (i) any amendment to, clarification of, or change in, the laws or regulations of the United States or any political subdivision of or in the United States that is enacted or becomes effective after the initial issuance of any share of the Series C Preferred Stock, (ii) any proposed change in those laws or regulations that is announced or becomes effective after the initial issuance of any share of the Series C Preferred Stock, or (iii) any official administrative decision or judicial decision or administrative action or other official pronouncement interpreting or applying those laws or regulations or policies with respect thereto that is announced after the initial issuance of any share of the Series C Preferred Stock, there is more than an insubstantial risk that the Company will not be entitled to treat the full liquidation preference amount of $25,000 per share of the Series C Preferred Stock then outstanding as “tier 1 capital” (or its equivalent) for purposes of the capital adequacy guidelines of the Federal Reserve (or, as and if applicable, the capital adequacy guidelines or regulations of any successor Appropriate Federal Banking Agency) as then in effect and applicable, for so long as any share of the Series C Preferred Stock is outstanding.

" Series C Liquidation Preference " shall have the meaning set forth in Section 5(a) hereof.

“ Series C Preferred Stock ” shall have the meaning set forth in Section 1 hereof.

“ Series C Preferred Stock Certificate ” shall have the meaning set forth in Section 14(a) hereof.

“ Trust ” shall have the meaning set forth in Section 6(d).

Section 4. Dividends .

(b) Noncumulative Dividends . If the Board of Directors or any duly authorized committee thereof does not declare a dividend on the Series C Preferred Stock for any Dividend Period prior to the related Dividend Payment Date, that dividend will not accrue, and the Company will have no obligation to pay, and Holders shall have no right to receive, a dividend for that Dividend Period on the related Dividend Payment Date or at any future time, whether or not dividends on the Series C Preferred Stock or any other series of preferred stock or common stock are declared for any subsequent period. References herein to the “accrual” of dividends refer only to the determination of the amount of such dividend and do not imply that any right to a dividend arises prior to the date on which a dividend is declared.

(c) Priority of Dividends . So long as any share of Series C Preferred Stock remains outstanding, unless as to a Dividend Payment Date full dividends on all outstanding shares of the Series C Preferred Stock have been declared and paid or declared and a sum sufficient for the payment of those dividends has been set aside for the Dividend Period then ending, the Company will not, and will cause its subsidiaries not to, during the next succeeding Dividend Period that commences on such Dividend Payment Date, declare or pay any dividend on, make any distributions relating to, or redeem, purchase, acquire or make a liquidation payment relating to, any Junior Stock, or make any guarantee payment with respect thereto, other than:

(i) purchases, redemptions or other acquisitions of shares of Junior Stock in connection with any employment contract, benefit plan or other similar arrangement with or for the benefit of employees, officers, directors or consultants;

(ii) purchases of shares of Common Stock pursuant to a contractually binding requirement to buy stock existing prior to the commencement of the then-current Dividend Period, including under a contractually binding stock repurchase plan;

(iii) as a result of an exchange or conversion of any class or series of Junior Stock for any other class or series of Junior Stock;

(iv) the purchase of fractional interests in shares of Junior Stock pursuant to the conversion or exchange provisions of such Junior Stock or the security being converted or exchanged;

(v) the purchase of Junior Stock by an investment banking subsidiary of the Company in connection with the distribution thereof; or

(vi) the purchase of Junior Stock by any investment banking subsidiary of the Company in connection with market-making or other secondary market activities in the ordinary course of the business of such subsidiary.

Except as provided below, for so long as any share of Series C Preferred Stock remains outstanding, if dividends are not declared and paid in full upon the shares of Series C Preferred Stock and any class or series of stock of the Company now existing or hereafter authorized that ranks equally with the Series C Preferred Stock in the payment of dividends, all dividends declared upon shares of Series C Preferred Stock and such other stock will be declared on a proportional basis so that the amount of dividends declared per share will bear to each other the same ratio that accrued dividends for the then-current Dividend Period per share of Series C Preferred Stock and accrued dividends for the then-current Dividend Period per share of such other stock (including, in the case of any such other stock that bears cumulative dividends, all accrued and unpaid dividends) bear to each other.

Section 5. Liquidation Rights .

(a) Liquidation . In the event of any voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company, Holders shall be entitled, out of funds legally available therefor, before any distribution or payment may be made by the Company or set aside for the holders of any Junior Stock and subject to the rights of the holders of any class or series of stock ranking senior to or on parity with Series C Preferred Stock upon liquidation and the rights of the Company’s depositors and other creditors, to receive in full a liquidating distribution in the amount of the liquidation preference of $25,000 per share (the “ Series C Liquidation Preference ”), plus any accrued dividends thereon from the last Dividend Payment Date to, but excluding, the date of the liquidation, dissolution or winding up if and to the extent declared but not yet paid. Holders shall not be entitled to any further payments in the event of any such voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company other than what is expressly provided for in this Section 5.

(b) Partial Payment . If the assets of the Company are not sufficient to pay in full the aforesaid liquidation distributions to the Holders and any liquidation distributions owed to holders of any class or series of stock of the Company ranking equally with the Series C Preferred Stock in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company, the amounts paid to the Holders and to the holders of all such equally ranking stock shall be pro rata in accordance with the respective aggregate liquidating distributions to which they would otherwise be entitled.

(d) Merger, Consolidation and Sale of Assets Not Liquidation . For purposes of this Section 5, the sale, conveyance, exchange or transfer (for cash, shares of stock, securities or other consideration) of all or substantially all of the property and assets of the Company shall not be deemed a voluntary or involuntary dissolution, liquidation or winding up of the affairs of the Company, nor shall the merger, consolidation or any other business combination transaction of the Company into or with any other corporation or Person or the merger, consolidation or any other business combination transaction of any other corporation or Person into or with the Company be deemed to be a voluntary or involuntary dissolution, liquidation or winding up of the affairs of the Company.

Section 6. Redemption .

(a) Optional Redemption . The Company, at the option of its Board of Directors or any duly authorized committee thereof, may redeem out of funds legally available therefor, (i) in whole or in part, from time to time, the shares of Series C Preferred Stock at the time outstanding, on any Dividend Payment Date on or after April 22, 2018, or (ii) in whole but not in part at any time within 90 days following a Regulatory Capital Event, in each case at a redemption price equal to $25,000 per share plus any declared and unpaid dividends, without accumulation of any undeclared dividends, to but excluding the redemption date, upon notice given as provided in Section 6(b) below.

(b) Notice of Redemption . Notice of every redemption of shares of Series C Preferred Stock shall be mailed by first class mail, postage prepaid, addressed to the Holders of such shares to be redeemed at their respective last addresses appearing on the stock register of the Company. Such mailing shall be at least 30 days and not more than 60 days before the date fixed for redemption. Any notice mailed as provided in this Section 6(b) shall be conclusively presumed to have been duly given, whether or not the Holder receives such notice, but failure duly to give such notice by mail, or any defect in such notice or in the mailing thereof, to any Holder of shares of Series C Preferred Stock designated for redemption shall not affect the validity of the proceedings for the redemption of any other shares of Series C Preferred Stock. Each notice shall state:

(i) the redemption date;

(ii) the total number of shares of Series C Preferred Stock to be redeemed and, if fewer than all the shares of a Holder are to be redeemed, the number of such shares to be redeemed;

(iii) the redemption price;

(iv) the place or places where the certificates for such shares are to be surrendered for payment of the redemption price, if applicable; and

(v) that dividends on the shares to be redeemed will cease to accrue on the redemption date.

Notwithstanding the foregoing, if the certificates evidencing the shares of Series C Preferred Stock are held of record by a depositary and any related depository shares are held of record by a Depositary or its nominee, the Company may give such notice in any manner permitted by the Depositary.

(c) Partial Redemption . In case of any redemption of only part of the shares of Series A Preferred Stock at the time outstanding, the shares of Series C Preferred Stock to be redeemed shall be selected pro rata from the Holders in proportion to the number of shares of Series C Preferred Stock held by such Holders, by lot or in such other manner as the Board of Directors or any duly authorized committee thereof may determine, in its sole discretion, to be fair and equitable. Subject to the provisions of this Section 6, the Board of Directors or any duly authorized committee thereof shall have full power and authority to prescribe the terms and conditions upon which shares of Series C Preferred Stock shall be redeemed from time to time.

Holders of the shares called for redemption, then, notwithstanding that any certificate for any share so called for redemption has not been surrendered for cancellation, on and after the redemption date all shares so called for redemption shall cease to be outstanding, all dividends with respect to such shares shall cease to accrue on such redemption date, and all rights with respect to such shares shall forthwith on such redemption date cease and terminate, except only the right of the Holders thereof to receive the amount payable on such redemption from the Trust at any time after the redemption date from the funds so deposited, without interest. The Company shall be entitled to receive, from time to time, from the Trust any interest accrued on such funds, and the Holders of any shares called for redemption shall have no claim to any such interest. Any funds so deposited and unclaimed at the end of three years from the redemption date shall, to the extent permitted by law, be released or repaid to the Company, and in the event of such repayment to the Company, the Holders of the shares so called for redemption shall be deemed to be unsecured creditors of the Company for an amount equivalent to the amount deposited as stated above for the redemption of such shares and so repaid to the Company, but shall in no event be entitled to any interest.

Section 7. Voting Rights .

(a) General . The Holders shall not be entitled to vote on any matter except as set forth in Section 7(b) below or as required by the Delaware General Corporation Law.

(b) Special Voting Right .

(i) Voting Right . If and whenever dividends on the Series C Preferred Stock or any other class or series of preferred stock that ranks on parity with Series C Preferred Stock as to payment of dividends and upon which voting rights equivalent to those granted by this Section 7(b)(i) have been conferred and are exercisable (any such class or series being referred to herein as “dividend parity stock”) have not been paid in an aggregate amount equal, as to any class or series, to at least three semi-annual or six quarterly Dividend Periods, as applicable, (whether consecutive or not) (a “ Nonpayment ”), the authorized number of directors constituting the Board of Directors shall be increased by two, and the Holders, together with holders of dividend parity stock, shall have the right, voting separately as a single class without regard to class or series (and with voting rights allocated pro rata based on the liquidation preference of each such class or series), to the exclusion of the holders of Common Stock, to elect two directors of the Company to fill such newly created directorships (and to fill any vacancies in the terms of such directorships), provided that it shall be a qualification for election of any such director that the election of such director shall not cause the Company to violate the corporate governance requirements of the New York Stock Exchange (or other exchange on which the Company’s securities may be listed) that listed companies must have a majority of independent directors and further provided that the Board of Directors shall at no time include more than two such directors. Each such director elected by the Holders together with holders of dividend parity stock is a “ Preferred Stock Director .”

(ii) Election . The election of the Preferred Stock Directors will take place at any annual meeting of stockholders or any special meeting of the Holders and any dividend parity stock, called as provided herein. At any time after the special voting power has vested pursuant to Section 7(b)(i) above, the secretary of the Company may, and upon the written request (addressed to the secretary at the Company’s principal office) of the holders of at least 20% of the voting power of the Series C Preferred Stock or the holders of at least 20% of the voting power of any series of dividend parity stock (with such voting power measured based on the voting power to elect Preferred Stock Directors), must (unless such request is received less than 90 days before the date fixed for the next annual or special meeting of the stockholders at which Preferred Stock Directors are to be elected, in which event such election shall be held at such next annual or special meeting of stockholders), call a special meeting of the holders of Series C Preferred Stock and any dividend parity stock for the purposes of electing Preferred Stock Directors. The Preferred Stock Directors shall each be entitled to one vote per director on any matter.

(iii) Notice of Special Meeting . Notice for a special meeting to elect Preferred Stock Directors will be given in a similar manner to that provided in the Company’s by-laws for a special meeting of the stockholders. If the secretary of the Company does not call a special meeting within 20 days after receipt of any such request, then any Holder may (at the expense of the Company) call such meeting, upon notice as provided in this Section 7(b)(iii), and for that purpose will have access to the stock register of the Company. The Preferred Stock Directors elected at any such special meeting and each Preferred Stock Director elected at a subsequent annual or special meeting of stockholders, will be elected for term expiring upon the earlier of the Preferred Stock Director Termination Date and the next annual meeting of stockholders following such Preferred Stock Director's election. In case any vacancy in the office of a Preferred Stock Director occurs (other than prior to the initial election of the Preferred Stock Directors), the vacancy may be filled by the Preferred Stock Director remaining in office, or if none remains in office, by a plurality of the votes cast by the holders of Series C Preferred Stock and any dividend parity stock, voting together as a single class, and the Preferred Stock Director so appointed or elected to fill such vacancy shall serve for a term expiring at the next annual meeting of the stockholders. Preferred Stock Directors may only be elected by the holders of Series C Preferred Stock and dividend parity stock in accordance with this Section 7. If the holders of Series C Preferred Stock and such dividend parity stock fail to elect a sufficient number of directors to fill all directorships for which they are entitled to elect directors pursuant to this Section 7, then any directorship not so filled shall remain vacant until such time as the holders of Series C Preferred Stock and such dividend parity stock elect a person to fill such directorship in accordance with this Section 7, or such vacancy is otherwise filled in accordance with this Section 7; and no such directorship may be filled by stockholders of the Corporation other than in accordance with this Section 7.

dividend parity stock entitled to noncumulative dividends and has paid cumulative dividends in full on any dividend parity stock entitled to cumulative dividends, then the right of the Holders to elect the Preferred Stock Directors will cease (but subject always to the same provisions for the vesting of the special voting rights in the case of any similar non-payment of dividends in respect of future Dividend Periods) (the time of such cessation, the “ Preferred Stock Director Termination Date ”). Upon a Preferred Stock Director Termination Date, the terms of office of the Preferred Stock Directors will immediately terminate, the persons then serving as Preferred Stock Directors shall immediately cease to be qualified to hold office as Preferred Stock Directors, the Preferred Stock Directors shall cease to be directors of the Company and the number of directors constituting the Board of Directors shall be automatically reduced, without any action by the Board of Directors or the stockholders of the Company, by the number of Preferred Stock Directors authorized immediately prior to such termination. Any Preferred Stock Director may be removed at any time without cause by the holders of a majority of the voting power of outstanding shares of the capital stock then entitled to vote in the election of Preferred Stock Directors, voting together as a single class (with such voting power measured based on the voting power to elect Preferred Stock Directors).

(c) Senior Issuances; Adverse Changes . So long as any shares of Series C Preferred Stock are outstanding, but subject to the final paragraph of this Section 7(c), in addition to any other vote or consent of holders of the Company’s capital stock required by Delaware law, the vote or consent of the holders of at least two-thirds of the voting power of the Series C Preferred Stock and the holders of any other preferred stock entitled to vote thereon, voting together as a single class, given in person or by proxy at an annual or special meeting of stockholders, or given in writing without a meeting, will be necessary for effecting or validating any of the following actions, whether or not such approval is required by Delaware law:

(i) any amendment, alteration or repeal of any provision of the Company’s certificate of incorporation (including the certificate of designations creating the Series C Preferred Stock) or the Company’s by-laws that would alter or change the voting powers, preferences, economic rights or special rights of the Series C Preferred Stock so as to affect them adversely;

(ii) any amendment or alteration of the Company’s certificate of incorporation to authorize or create, or increase the authorized amount of, any shares of, or any securities convertible into shares of, any class or series of the Company's capital stock ranking prior to the Series C Preferred Stock in the payment of dividends or in the distribution of assets on any liquidation, dissolution, or winding up of the Company; or

(iii) the consummation of a binding share exchange or reclassification involving the Series C Preferred Stock or a merger or consolidation of the Company with another entity, except that holders of Series C Preferred Stock will have no right to vote under this provision or otherwise under Delaware law if in each case (i) the Series C Preferred Stock remains outstanding or, in the case of any such merger or consolidation with

respect to which the Company is not the surviving or resulting entity, is converted into or exchanged for preferred securities of the surviving or resulting entity or its ultimate parent, that is an entity organized and existing under the laws of the United States of America, any state thereof or the District of Columbia and that is a corporation for U.S. federal income tax purposes (or if such entity is not a corporation, the Company having received an opinion of nationally recognized counsel experienced in such matters to the effect that Holders will be subject to tax for U.S. federal income tax purposes with respect to such new preferred securities after such merger or consolidation in the same amount, at the same time and otherwise in the same manner as would have been the case under the Series C Preferred Stock prior to such merger or consolidation), and (ii) such Series C Preferred Stock remaining outstanding or such preferred securities, as the case may be, have such rights, preferences, privileges and voting powers, taken as a whole, as are not materially less favorable to the holders thereof than the rights, preferences, privileges and voting powers of the Series C Preferred Stock, taken as a whole;

provided, however , that, for the avoidance of doubt, any increase in the amount of the authorized or issued Series C Preferred Stock or authorized preferred stock or any securities convertible into preferred stock or the creation and issuance, or an increase in the authorized or issued amount, of other series of preferred stock or any securities convertible into preferred stock ranking equally with and/or junior to the Series C Preferred Stock with respect to the payment of dividends (whether such dividends are cumulative or noncumulative) and/or the distribution of assets upon the Company’s liquidation, dissolution or winding up will not be deemed to adversely affect the voting powers, preferences or special rights of the Series C Preferred Stock, and no stockholder will have the right to vote on such an increase, creation or issuance by reason of this Section 7.

If any amendment, alteration, repeal, share exchange, reclassification, merger or consolidation specified in this Section 7(c) would adversely affect the Series C Preferred Stock but not all series of preferred stock of the Company, then only such series of preferred stock as are adversely affected by and entitled to vote on the matter shall vote on the matter together with the Series C Preferred Stock as a single class (in lieu of all other series of preferred stock) for purposes of the vote or consent required by this Section 7(c).

(d) No Vote if Redemption . No vote or consent of the Holders shall be required pursuant to Section 7(b) or 7(c) if, at or prior to the time when the act with respect to such vote or consent would otherwise be required shall be effected, the Company shall have redeemed or shall have called for redemption all outstanding shares of Series C Preferred Stock, with proper notice and sufficient funds having been set aside for such redemption, in each case pursuant to Section 6 above.

Section 8. Preemption and Conversion Rights .

The Holders shall not have any preemptive rights or conversion rights as a result of the terms hereof.

Section 9. Rank .

For the avoidance of doubt, the Board of Directors or any duly authorized committee thereof may, without the vote of the Holders, authorize and issue additional shares of Junior Stock or shares of any class or series of stock of the Company now existing or hereafter authorized that ranks equally with the Series C Preferred Stock in the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

Section 10. Reacquired Shares .

The Board of Directors shall take such actions as are necessary to cause the shares of Series C Preferred Stock which have been redeemed or otherwise purchased or acquired by the Company to be retired and restored to the status of authorized but unissued shares of preferred stock without designation as to series.

Section 11. No Sinking Fund .

Shares of Series C Preferred Stock are not subject to the operation of a sinking fund.

Section 12. Transfer Agent, Calculation Agent, Registrar and Paying Agent .

The duly appointed Transfer Agent, Calculation Agent, Registrar and paying agent for the Series C Preferred Stock shall be Computershare Trust Company, N.A. The Company may, in its sole discretion, remove the Transfer Agent in accordance with the agreement between the Company and the Transfer Agent; provided, however , that the Company shall appoint a successor transfer agent who shall accept such appointment prior to the effectiveness of such removal. Upon any such removal or appointment, the Company shall send notice thereof by first-class mail, postage prepaid, to the Holders.

Section 13. Replacement Certificates for Mutilated, Destroyed, Stolen and Lost Certificates .

Section 14. Form .

(a) Series C Preferred Stock Certificates . Series C Preferred Stock shall be issued in certificated form in substantially the form attached hereto as Exhibit A (each, a “ Series C

Preferred Stock Certificate ”). Exhibit A is hereby incorporated in and expressly made a part of this Certificate of Designations. The Series C Preferred Stock Certificates may have notations, legends or endorsements required by law, stock exchange rules, agreements to which the Company is subject, if any, or usage (provided that any such notation, legend or endorsement is in a form acceptable to the Company).

(b) Signature . Two Officers shall sign any Series C Preferred Stock Certificate for the Company, in accordance with the Company’s by-laws and applicable law, by manual or facsimile signature. If an Officer whose signature is on a Series C Preferred Stock Certificate no longer holds that office at the time the Transfer Agent countersigned the Series C Preferred Stock Certificate, such Series C Preferred Stock Certificate shall be valid nevertheless. A Series C Preferred Stock Certificate shall not be valid until an authorized signatory of the Transfer Agent manually countersigns such Series C Preferred Stock Certificate. Each Series C Preferred Stock Certificate shall be dated the date of its countersignature.

Section 15. Taxes .

(a) Transfer Taxes . The Company shall pay any and all stock transfer, documentary, stamp and similar taxes that may be payable in respect of any issuance or delivery of shares of Series C Preferred Stock. The Company shall not, however, be required to pay any such tax that may be payable in respect of any transfer involved in the issuance or delivery of shares of Series C Preferred Stock, in a name other than that in which the shares of Series C Preferred Stock were registered, or in respect of any payment to any Person other than a payment to the registered holder thereof, and shall not be required to make any such issuance, delivery or payment unless and until the Person otherwise entitled to such issuance, delivery or payment has paid to the Company the amount of any such tax or has established, to the satisfaction of the Company, that such tax has been paid or is not payable.

(b) Withholding . All payments and distributions (or deemed distributions) on the shares of Series C Preferred Stock shall be subject to withholding and backup withholding of tax to the extent required by law, subject to applicable exemptions, and amounts withheld, if any, shall be treated as received by Holders.

Section 16. Notices .

All notices referred to herein shall be in writing, and, unless otherwise specified herein, all notices hereunder shall be deemed to have been given upon the earlier of receipt thereof or three Business Days after the mailing thereof if sent by registered or certified mail (unless first class mail shall be specifically permitted for such notice under the terms of this Certificate of Designations) with postage prepaid, addressed: (i) if to the Company, to its office at 399 Park Avenue, New York, New York 10043 (Attention: Corporate Secretary) or to the Transfer Agent at its office at 250 Royall Street, Canton, Massachusetts 02021, or other agent of the Company designated as permitted by this Certificate of Designations, or (ii) if to any Holder, to such Holder at the address of such Holder as listed in the stock record books of the Company (which

may include the records of the Transfer Agent) or (iii) to such other address as the Company or any such Holder, as the case may be, shall have designated by notice similarly given.

Section 17. Other Rights Disclaimed.

The shares of Series C Preferred Stock have no voting powers, preferences or relative, participating, optional or other special rights, or qualifications, limitations or restrictions thereof, other than as set forth herein or in the Certificate of Incorporation of the Company.

IN WITNESS WHEREOF, this Certificate of Designations as has been executed on behalf of the Company by its Chief Accounting Officer this 25 ^th day of March, 2013.

CITIGROUP INC.

By: /s/John C. Gerspach

Name: John C. Gerspach

Title: Chief Financial Officer

Exhibit A

FORM OF
5.80% NONCUMULATIVE PREFERRED STOCK, SERIES C

Certificate Number_______ Number of Shares of Series C Preferred Stock______

CUSIP NO.:

CITIGROUP INC.

5.80% Noncumulative Preferred Stock, Series C

(par value $1.00 per share)
(liquidation preference $25,000 per share)

Citigroup Inc., a Delaware corporation (the “Company”), hereby certifies that [ ] (the “Holder”) is the registered owner of [ ] fully paid and non-assessable shares of the Company’s designated 5.80% Noncumulative Preferred Stock, Series C, with a par value of $1.00 per share and a liquidation preference of $25,000 per share (the “Series C Preferred Stock”). The shares of Series C Preferred Stock are transferable on the books and records of the Registrar, in person or by a duly authorized attorney, upon surrender of this certificate duly endorsed and in proper form for transfer. The designations, rights, privileges, restrictions, preferences and other terms and provisions of the Series C Preferred Stock represented hereby are and shall in all respects be subject to the provisions of the Certificate of Designations dated March 25, 2013 as the same may be amended from time to time (the “Certificate of Designations”). Capitalized terms used herein but not defined shall have the meaning given them in the Certificate of Designations. The Company will provide a copy of the Certificate of Designations to a Holder without charge upon written request to the Company at its principal place of business.

Reference is hereby made to select provisions of the Series C Preferred Stock set forth on the reverse hereof, and to the Certificate of Designations, which select provisions and the Certificate of Designations shall for all purposes have the same effect as if set forth at this place.

Upon receipt of this certificate, the Holder is bound by the Certificate of Designations and is entitled to the benefits thereunder.

Unless the Registrar has properly countersigned, these shares of Series C Preferred Stock shall not be entitled to any benefit under the Certificate of Designations or be valid or obligatory for any purpose.

IN WITNESS WHEREOF, this certificate has been executed on behalf of the Company by its [Title] and by its [Title] this __ day of ________, ________.

CITIGROUP INC.

By: _______________________________________
Name:
Title:

REGISTRAR’S COUNTERSIGNATURE

These are shares of Series C Preferred Stock referred to in the within-mentioned Certificate of Designations.

Dated:

COMPUTERSHARE TRUST COMPANY, N.A., as Registrar

By: _______________________________________
Name:
Title:

REVERSE OF CERTIFICATE

Dividends on each share of Series C Preferred Stock shall be payable at the rate provided in the Certificate of Designations.

The shares of Series C Preferred Stock shall be redeemable at the option of the Company in the manner and in accordance with the terms set forth in the Certificate of Designations.

ASSIGNMENT

FOR VALUE RECEIVED, the undersigned assigns and transfers the shares of Series C Preferred Stock evidenced hereby to:

___________________________________________________

(Insert assignee’s social security or taxpayer identification number, if any)

___________________________________________________

(Insert address and zip code of assignee)

and irrevocably appoints:

___________________________________________________

as agent to transfer the shares of Series A Preferred Stock evidenced hereby on the books of the Transfer Agent. The agent may substitute another to act for him or her.

Date:

Signature:

___________________________________________________

(Sign exactly as your name appears on the other side of this Certificate)

Signature Guarantee: ___________________________________________________

CERTIFICATE OF DESIGNATIONS

5.350% FIXED RATE / FLOATING RATE NONCUMULATIVE PREFERRED STOCK,
SERIES D

CITIGROUP INC.

______________________________

pursuant to Section 151 of the

General Corporation Law of the State of Delaware

______________________________

Citigroup Inc. , a Delaware corporation (the “Company”), hereby certifies that:

3. Pursuant to the authority conferred upon a pricing committee (the “ Pricing Committee ”) by the Board of Directors, the Pricing Committee, by action duly taken on April 23, 2013, adopted resolutions (i) authorizing the issuance and sale of up to 50,000 shares of the Company’s preferred stock and (ii) approving this final form of Certificate of Designations of

5.350% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series D (the “ Series D Preferred Stock ”) establishing the number of shares to be included in this Series D Preferred Stock and fixing the designation, powers, preferences and rights of the shares of this Series D Preferred Stock and the qualifications, limitations or restrictions thereof as follows:

Section 1. Designation .

The designation of the series of preferred stock shall be “5.350% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series D” (the “Series D Preferred Stock”). Each share of

Series D Preferred Stock shall be identical in all respects to every other share of Series D Preferred Stock.

Section 2. Number of Shares .

The number of authorized shares of Series D Preferred Stock shall be 50,000. That number from time to time may be increased (but not in excess of the total number of authorized shares of preferred stock) or decreased (but not below the number of shares of Series D Preferred Stock then outstanding) by further resolution duly adopted by the Board of Directors, the Pricing Committee or any other duly authorized committee thereof and by the filing of a certificate pursuant to the provisions of the General Corporation Law of the State of Delaware stating that such increase or reduction, as the case may be, has been so authorized. The Company shall have the authority to issue fractional shares of Series D Preferred Stock.

Section 3. Definitions . As used herein with respect to Series D Preferred Stock:

“ Board of Directors ” has the meaning set forth in the recitals above.

“ Business Day ” means any weekday that is not a legal holiday in New York City and is not a day on which banking institutions in New York City are authorized or required by law or regulation to be closed.

“ Calculation Agent ” means the Transfer Agent acting in its capacity as calculation agent for the Series D Preferred Stock, and its successors and assigns.

“ Depositary ” means DTC or its nominee or any successor depositary appointed by the Company.

“ Dividend Payment Date ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Period ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Record Date ” shall have the meaning set forth in Section 4(a) hereof.

“ DTC ” means The Depository Trust Company.

“ Holder ” means the Person in whose name the shares of the Series D Preferred Stock are registered, which may be treated by the Company, Calculation Agent, Transfer Agent, Registrar and paying agent as the absolute owner of the shares of Series D Preferred Stock for the purpose of making payment and for all other purposes.

“ Junior Stock ” means the Common Stock and any other class or series of stock of the Company now existing or hereafter authorized over which Series D Preferred Stock has

preference or priority in the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

“ LIBOR Determination Date ” means the second London Banking Day immediately preceding the first day of the relevant Dividend Period.

“ London Banking Day ” means any day on which commercial banks are open for general business (including dealings in deposits in United States dollars) in London.

“ Nonpayment ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Officer ” means the Chief Executive Officer, the Chairman, the Chief Administrative Officer, any Vice Chairman, the Chief Financial Officer, the Controller, the Chief Accounting Officer, the Treasurer, any Deputy Treasurer, any Assistant Treasurer, any Vice President, the General Counsel and Corporate Secretary and any Assistant Secretary of the Company.

“ Person ” means a legal person, including any individual, corporation, estate, partnership, joint venture, association, joint-stock company, limited liability company, trust, or other entity.

“ Preferred Stock Director ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Preferred Stock Director Termination Date ” shall have the meaning set forth in Section 7(b)(iv) hereof.

“ Registrar ” means the Transfer Agent acting in its capacity as registrar for the Series D Preferred Stock, and its successors and assigns.

“ Regulatory Capital Event ” means the good faith determination by the Company that, as a result of (i) any amendment to, clarification of, or change in, the laws or regulations of the United States or any political subdivision of or in the United States that is enacted or becomes effective after the initial issuance of any share of the Series D Preferred Stock, (ii) any proposed change in those laws or regulations that is announced or becomes effective after the initial issuance of any share of the Series D Preferred Stock, or (iii) any official administrative decision or judicial decision or administrative action or other official pronouncement interpreting or applying those laws or regulations or policies with respect thereto that is announced after the initial issuance of any share of the Series D Preferred Stock, there is more than an insubstantial risk that the Company will not be entitled to treat the full liquidation preference amount of $25,000 per share of the Series D Preferred Stock then outstanding as “tier 1 capital” (or its equivalent) for purposes of the capital adequacy guidelines of the Federal Reserve (or, as and if applicable, the capital adequacy guidelines or regulations of any successor Appropriate Federal Banking Agency) as then in effect and applicable, for so long as any share of the Series D Preferred Stock is outstanding.

“ Series D Preferred Stock ” shall have the meaning set forth in Section 1 hereof.

“ Series D Preferred Stock Certificate ” shall have the meaning set forth in Section 14(a) hereof.

“ Three-month LIBOR ” means the rate (expressed as a percentage per annum) for deposits in United States dollars for a three-month period commencing on the first day of a Dividend Period that appears on the Reuters LIBOR01 page as of 11:00 a.m. (London time) on the LIBOR Determination Date for that Dividend Period. If such rate does not appear on the Reuters LIBOR01 page, Three-month LIBOR will be determined on the basis of the rates at which deposits in United States dollars for a three-month period commencing on the first day of that Dividend Period and in a principal amount of not less than $1 million are offered to prime banks in the London interbank market by four major banks in the London interbank market selected by the Calculation Agent (after consultation with the Company), at approximately 11:00 a.m., London time, on the LIBOR Determination Date for that Dividend Period. The Calculation Agent will request the principal London office of each of such banks to provide a quotation of its rate. If at least two such quotations are provided, Three-month LIBOR with respect to that Dividend Period will be the arithmetic mean (rounded upward if necessary to the nearest whole multiple of 0.00001%) of such quotations. If fewer than two quotations are provided, Three-month LIBOR with respect to that Dividend Period will be the arithmetic mean (rounded upward if necessary to the nearest whole multiple of 0.00001%) of the rates quoted by three major banks in New York City selected by the Calculation Agent (after consultation with the Company), at approximately 11:00 a.m., New York City time, on the LIBOR Determination Date for that Dividend Period for loans in United States dollars to leading European banks for a three-month period commencing on the first day of that Dividend Period and in a principal amount of not less than $1 million. However, if fewer than three banks selected by the Calculation Agent to provide quotations are quoting as described above, Three-month LIBOR for that Dividend Period will be the same Three-month LIBOR as determined for the previous Dividend Period or, in the case of the Dividend Period beginning on May 15, 2023, 0.2756%. The determination of Three-month LIBOR for each relevant Dividend Period by the Calculation Agent will (in the absence of manifest error) be final and binding.

“ Trust ” shall have the meaning set forth in Section 6(d).

Section 4. Dividends .

on that date will be made on the next succeeding day that is a Business Day (except if after May 15, 2023, that day falls in the next calendar month, in which case the payment of any dividend otherwise payable will be made on the first preceding Business Day), (i) on or prior to May 15, 2023, without any interest or other payment in respect of such postponement, and (ii) after May 15, 2023, with dividends accruing to the actual payment date (each such day on which dividends are payable a “ Dividend Payment Date ”). The period from and including the date of issuance of the Series D Preferred Stock or any Dividend Payment Date to, but excluding, the next Dividend Payment Date is a “ Dividend Period .” Dividends on each share of Series D Preferred Stock will accrue on the liquidation preference of $25,000 per share at a rate per annum equal to (i) 5.350%, for each Dividend Period from and including the date of issuance to, but excluding, May 15, 2023 and (ii) Three-month LIBOR plus 3.466%, for each Dividend Period from and including May 15, 2023. The record date for payment of dividends on the Series D Preferred Stock will be the record date fixed by the Board of Directors or any other duly authorized committee thereof that is not more than 30 nor less than 10 days prior to such Dividend Payment Date (each, a “ Dividend Record Date ”). Any such day that is a Dividend Record Date will be a Dividend Record Date whether or not such day is a Business Day. The amount of dividends payable on or prior to May 15, 2023 will be computed on the basis of a 360-day year of twelve 30-day months. The amount of dividends payable after May 15, 2023 will be computed on the basis of a 360-day year and the actual number of days elapsed.

(b) Noncumulative Dividends . If the Board of Directors or any duly authorized committee thereof does not declare a dividend on the Series D Preferred Stock for any Dividend Period prior to the related Dividend Payment Date, that dividend will not accrue, and the Company will have no obligation to pay, and Holders shall have no right to receive, a dividend for that Dividend Period on the related Dividend Payment Date or at any future time, whether or not dividends on the Series D Preferred Stock or any other series of preferred stock or common stock are declared for any subsequent period. References herein to the “accrual” of dividends refer only to the determination of the amount of such dividend and do not imply that any right to a dividend arises prior to the date on which a dividend is declared.

(c) Priority of Dividends . So long as any share of Series D Preferred Stock remains outstanding, unless as to a Dividend Payment Date full dividends on all outstanding shares of the Series D Preferred Stock have been declared and paid or declared and a sum sufficient for the payment of those dividends has been set aside for the Dividend Period then ending, the Company will not, and will cause its subsidiaries not to, during the next succeeding Dividend Period that commences on such Dividend Payment Date, declare or pay any dividend on, make any distributions relating to, or redeem, purchase, acquire or make a liquidation payment relating to, any Junior Stock, or make any guarantee payment with respect thereto, other than:

(iii) as a result of an exchange or conversion of any class or series of Junior Stock for any other class or series of Junior Stock;

(iv) the purchase of fractional interests in shares of Junior Stock pursuant to the conversion or exchange provisions of such Junior Stock or the security being converted or exchanged;

(v) the purchase of Junior Stock by an investment banking subsidiary of the Company in connection with the distribution thereof; or

Except as provided below, for so long as any share of Series D Preferred Stock remains outstanding, if dividends are not declared and paid in full upon the shares of Series D Preferred Stock and any class or series of stock of the Company now existing or hereafter authorized that ranks equally with the Series D Preferred Stock in the payment of dividends, all dividends declared upon shares of Series D Preferred Stock and such other stock will be declared on a proportional basis so that the amount of dividends declared per share will bear to each other the same ratio that accrued dividends for the then-current Dividend Period per share of Series D Preferred Stock and accrued dividends for the then-current Dividend Period per share of such other stock (including, in the case of any such other stock that bears cumulative dividends, all accrued and unpaid dividends) bear to each other.

Section 5. Liquidation Rights .

from the last Dividend Payment Date to, but excluding, the date of the liquidation, dissolution or winding up if and to the extent declared but not yet paid. Holders shall not be entitled to any further payments in the event of any such voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company other than what is expressly provided for in this Section 5.

(b) Partial Payment . If the assets of the Company are not sufficient to pay in full the aforesaid liquidation distributions to the Holders and any liquidation distributions owed to holders of any class or series of stock of the Company ranking equally with the Series D Preferred Stock in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company, the amounts paid to the Holders and to the holders of all such equally ranking stock shall be pro rata in accordance with the respective aggregate liquidating distributions to which they would otherwise be entitled.

(c) Merger, Consolidation and Sale of Assets Not Liquidation . For purposes of this Section 5, the sale, conveyance, exchange or transfer (for cash, shares of stock, securities or other consideration) of all or substantially all of the property and assets of the Company shall not be deemed a voluntary or involuntary dissolution, liquidation or winding up of the affairs of the Company, nor shall the merger, consolidation or any other business combination transaction of the Company into or with any other corporation or Person or the merger, consolidation or any other business combination transaction of any other corporation or Person into or with the Company be deemed to be a voluntary or involuntary dissolution, liquidation or winding up of the affairs of the Company.

Section 6. Redemption .

(a) Optional Redemption . The Company, at the option of its Board of Directors or any duly authorized committee thereof, may redeem out of funds legally available therefor, (i) in whole or in part, from time to time, the shares of Series D Preferred Stock at the time outstanding, on any Dividend Payment Date on or after May 15, 2023, or (ii) in whole but not in part at any time within 90 days following a Regulatory Capital Event, in each case at a redemption price equal to $25,000 per share plus any declared and unpaid dividends, without accumulation of any undeclared dividends, to but excluding the redemption date, upon notice given as provided in Section 6(b) below.

(b) Notice of Redemption . Notice of every redemption of shares of Series D Preferred Stock shall be mailed by first class mail, postage prepaid, addressed to the Holders of such shares to be redeemed at their respective last addresses appearing on the stock register of the Company. Such mailing shall be at least 30 days and not more than 60 days before the date fixed for redemption. Any notice mailed as provided in this Section 6(b) shall be conclusively presumed to have been duly given, whether or not the Holder receives such notice, but failure duly to give such notice by mail, or any defect in such notice or in the mailing thereof, to any Holder of shares of Series D Preferred Stock designated for redemption shall not affect the validity of the proceedings for the redemption of any other shares of Series D Preferred Stock. Each notice shall state:

(i) the redemption date;

(ii) the total number of shares of Series D Preferred Stock to be redeemed and, if fewer than all the shares of a Holder are to be redeemed, the number of such shares to be redeemed;

(iii) the redemption price;

(iv) the place or places where the certificates for such shares are to be surrendered for payment of the redemption price, if applicable; and

(v) that dividends on the shares to be redeemed will cease to accrue on the redemption date.

Notwithstanding the foregoing, if the certificates evidencing the shares of Series D Preferred Stock are held of record by a depositary and any related depository shares are held of record by a Depositary or its nominee, the Company may give such notice in any manner permitted by the Depositary.

(c) Partial Redemption . In case of any redemption of only part of the shares of Series D Preferred Stock at the time outstanding, the shares of Series D Preferred Stock to be redeemed shall be selected pro rata from the Holders in proportion to the number of shares of Series D Preferred Stock held by such Holders, by lot or in such other manner as the Board of Directors or any duly authorized committee thereof may determine, in its sole discretion, to be fair and equitable. Subject to the provisions of this Section 6, the Board of Directors or any duly authorized committee thereof shall have full power and authority to prescribe the terms and conditions upon which shares of Series D Preferred Stock shall be redeemed from time to time.

(d) Effectiveness of Redemption . If notice of redemption has been duly given and if on or before the redemption date specified in the notice all funds necessary for the redemption have been set aside by the Company, separate and apart from its other assets, for the pro rata benefit of the Holders of the shares called for redemption, so as to be and continue to be available therefor, or deposited by the Company with a bank or trust company selected by the Board of Directors or any duly authorized committee thereof (the “ Trust ”) in trust for the pro rata benefit of the Holders of the shares called for redemption, then, notwithstanding that any certificate for any share so called for redemption has not been surrendered for cancellation, on and after the redemption date all shares so called for redemption shall cease to be outstanding, all dividends with respect to such shares shall cease to accrue on such redemption date, and all rights with respect to such shares shall forthwith on such redemption date cease and terminate, except only the right of the Holders thereof to receive the amount payable on such redemption from the Trust at any time after the redemption date from the funds so deposited, without interest. The Company shall be entitled to receive, from time to time, from the Trust any interest accrued on such funds, and the Holders of any shares called for redemption shall have no claim to any such interest. Any funds so deposited and unclaimed at the end of three years from the redemption

date shall, to the extent permitted by law, be released or repaid to the Company, and in the event of such repayment to the Company, the Holders of the shares so called for redemption shall be deemed to be unsecured creditors of the Company for an amount equivalent to the amount deposited as stated above for the redemption of such shares and so repaid to the Company, but shall in no event be entitled to any interest.

Section 7. Voting Rights .

(a) General . The Holders shall not be entitled to vote on any matter except as set forth in Section 7(b) below or as required by the Delaware General Corporation Law.

(b) Special Voting Right .

(i) Voting Right . If and whenever dividends on the Series D Preferred Stock or any other class or series of preferred stock that ranks on parity with Series D Preferred Stock as to payment of dividends and upon which voting rights equivalent to those granted by this Section 7(b)(i) have been conferred and are exercisable (any such class or series being referred to herein as “dividend parity stock”) have not been paid in an aggregate amount equal, as to any class or series, to at least three semi-annual or six quarterly Dividend Periods, as applicable, (whether consecutive or not) (a “ Nonpayment ”), the authorized number of directors constituting the Board of Directors shall be increased by two, and the Holders, together with holders of dividend parity stock, shall have the right, voting separately as a single class without regard to class or series (and with voting rights allocated pro rata based on the liquidation preference of each such class or series), to the exclusion of the holders of Common Stock, to elect two directors of the Company to fill such newly created directorships (and to fill any vacancies in the terms of such directorships), provided that it shall be a qualification for election of any such director that the election of such director shall not cause the Company to violate the corporate governance requirements of the New York Stock Exchange (or other exchange on which the Company’s securities may be listed) that listed companies must have a majority of independent directors and further provided that the Board of Directors shall at no time include more than two such directors. Each such director elected by the Holders together with holders of dividend parity stock is a “ Preferred Stock Director .”

annual or special meeting of the stockholders at which Preferred Stock Directors are to be elected, in which event such election shall be held at such next annual or special meeting of stockholders), call a special meeting of the holders of Series D Preferred Stock and any dividend parity stock for the purposes of electing Preferred Stock Directors. The Preferred Stock Directors shall each be entitled to one vote per director on any matter.

(iii) Notice of Special Meeting . Notice for a special meeting to elect Preferred Stock Directors will be given in a similar manner to that provided in the Company’s by-laws for a special meeting of the stockholders. If the secretary of the Company does not call a special meeting within 20 days after receipt of any such request, then any Holder may (at the expense of the Company) call such meeting, upon notice as provided in this Section 7(b)(iii), and for that purpose will have access to the stock register of the Company. The Preferred Stock Directors elected at any such special meeting and each Preferred Stock Director elected at a subsequent annual or special meeting of stockholders, will be elected for term expiring upon the earlier of the Preferred Stock Director Termination Date and the next annual meeting of stockholders following such Preferred Stock Director's election. In case any vacancy in the office of a Preferred Stock Director occurs (other than prior to the initial election of the Preferred Stock Directors), the vacancy may be filled by the Preferred Stock Director remaining in office, or if none remains in office, by a plurality of the votes cast by the holders of Series D Preferred Stock and any dividend parity stock, voting together as a single class, and the Preferred Stock Director so appointed or elected to fill such vacancy shall serve for a term expiring at the next annual meeting of the stockholders. Preferred Stock Directors may only be elected by the holders of Series D Preferred Stock and dividend parity stock in accordance with this Section 7. If the holders of Series D Preferred Stock and such dividend parity stock fail to elect a sufficient number of directors to fill all directorships for which they are entitled to elect directors pursuant to this Section 7, then any directorship not so filled shall remain vacant until such time as the holders of Series D Preferred Stock and such dividend parity stock elect a person to fill such directorship in accordance with this Section 7, or such vacancy is otherwise filled in accordance with this Section 7; and no such directorship may be filled by stockholders of the Corporation other than in accordance with this Section 7.

Preferred Stock Directors shall cease to be directors of the Company and the number of directors constituting the Board of Directors shall be automatically reduced, without any action by the Board of Directors or the stockholders of the Company, by the number of Preferred Stock Directors authorized immediately prior to such termination. Any Preferred Stock Director may be removed at any time without cause by the holders of a majority of the voting power of outstanding shares of the capital stock then entitled to vote in the election of Preferred Stock Directors, voting together as a single class (with such voting power measured based on the voting power to elect Preferred Stock Directors).

(c) Senior Issuances; Adverse Changes . So long as any shares of Series D Preferred Stock are outstanding, but subject to the final paragraph of this Section 7(c), in addition to any other vote or consent of holders of the Company’s capital stock required by Delaware law, the vote or consent of the holders of at least two-thirds of the voting power of the Series D Preferred Stock and the holders of any other preferred stock entitled to vote thereon, voting together as a single class, given in person or by proxy at an annual or special meeting of stockholders, or given in writing without a meeting, will be necessary for effecting or validating any of the following actions, whether or not such approval is required by Delaware law:

(i) any amendment, alteration or repeal of any provision of the Company’s certificate of incorporation (including the certificate of designations creating the Series D Preferred Stock) or the Company’s by-laws that would alter or change the voting powers, preferences, economic rights or special rights of the Series D Preferred Stock so as to affect them adversely;

(ii) any amendment or alteration of the Company’s certificate of incorporation to authorize or create, or increase the authorized amount of, any shares of, or any securities convertible into shares of, any class or series of the Company's capital stock ranking prior to the Series D Preferred Stock in the payment of dividends or in the distribution of assets on any liquidation, dissolution, or winding up of the Company; or

(iii) the consummation of a binding share exchange or reclassification involving the Series D Preferred Stock or a merger or consolidation of the Company with another entity, except that holders of Series D Preferred Stock will have no right to vote under this provision or otherwise under Delaware law if in each case (i) the Series D Preferred Stock remains outstanding or, in the case of any such merger or consolidation with respect to which the Company is not the surviving or resulting entity, is converted into or exchanged for preferred securities of the surviving or resulting entity or its ultimate parent, that is an entity organized and existing under the laws of the United States of America, any state thereof or the District of Columbia and that is a corporation for U.S. federal income tax purposes (or if such entity is not a corporation, the Company having received an opinion of nationally recognized counsel experienced in such matters to the effect that Holders will be subject to tax for U.S. federal income tax purposes with respect to such new preferred securities after such merger or consolidation in the same amount, at the same time and otherwise in the same manner as would have been the case

under the Series D Preferred Stock prior to such merger or consolidation), and (ii) such Series D Preferred Stock remaining outstanding or such preferred securities, as the case may be, have such rights, preferences, privileges and voting powers, taken as a whole, as are not materially less favorable to the holders thereof than the rights, preferences, privileges and voting powers of the Series D Preferred Stock, taken as a whole;

provided, however , that, for the avoidance of doubt, any increase in the amount of the authorized or issued Series D Preferred Stock or authorized preferred stock or any securities convertible into preferred stock or the creation and issuance, or an increase in the authorized or issued amount, of other series of preferred stock or any securities convertible into preferred stock ranking equally with and/or junior to the Series D Preferred Stock with respect to the payment of dividends (whether such dividends are cumulative or noncumulative) and/or the distribution of assets upon the Company’s liquidation, dissolution or winding up will not be deemed to adversely affect the voting powers, preferences or special rights of the Series D Preferred Stock, and no stockholder will have the right to vote on such an increase, creation or issuance by reason of this Section 7.

If any amendment, alteration, repeal, share exchange, reclassification, merger or consolidation specified in this Section 7(c) would adversely affect the Series D Preferred Stock but not all series of preferred stock of the Company, then only such series of preferred stock as are adversely affected by and entitled to vote on the matter shall vote on the matter together with the Series D Preferred Stock as a single class (in lieu of all other series of preferred stock) for purposes of the vote or consent required by this Section 7(c).

(d) No Vote if Redemption . No vote or consent of the Holders shall be required pursuant to Section 7(b) or 7(c) if, at or prior to the time when the act with respect to such vote or consent would otherwise be required shall be effected, the Company shall have redeemed or shall have called for redemption all outstanding shares of Series D Preferred Stock, with proper notice and sufficient funds having been set aside for such redemption, in each case pursuant to Section 6 above.

Section 8. Preemption and Conversion Rights .

The Holders shall not have any preemptive rights or conversion rights as a result of the terms hereof.

Section 9. Rank .

For the avoidance of doubt, the Board of Directors or any duly authorized committee thereof may, without the vote of the Holders, authorize and issue additional shares of Junior Stock or shares of any class or series of stock of the Company now existing or hereafter authorized that ranks equally with the Series D Preferred Stock in the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

Section 10. Reacquired Shares .

The Board of Directors shall take such actions as are necessary to cause the shares of Series D Preferred Stock which have been redeemed or otherwise purchased or acquired by the Company to be retired and restored to the status of authorized but unissued shares of preferred stock without designation as to series.

Section 11. No Sinking Fund .

Shares of Series D Preferred Stock are not subject to the operation of a sinking fund.

Section 12. Transfer Agent, Calculation Agent, Registrar and Paying Agent .

The duly appointed Transfer Agent, Calculation Agent, Registrar and paying agent for the Series D Preferred Stock shall be Computershare Trust Company, N.A. The Company may, in its sole discretion, remove the Transfer Agent in accordance with the agreement between the Company and the Transfer Agent; provided, however , that the Company shall appoint a successor transfer agent who shall accept such appointment prior to the effectiveness of such removal. Upon any such removal or appointment, the Company shall send notice thereof by first-class mail, postage prepaid, to the Holders.

Section 13. Replacement Certificates for Mutilated, Destroyed, Stolen and Lost Certificates .

Section 14. Form .

(a) Series D Preferred Stock Certificates . Series D Preferred Stock shall be issued in certificated form in substantially the form attached hereto as Exhibit A (each, a “ Series D Preferred Stock Certificate ”). Exhibit A is hereby incorporated in and expressly made a part of this Certificate of Designations. The Series D Preferred Stock Certificates may have notations, legends or endorsements required by law, stock exchange rules, agreements to which the Company is subject, if any, or usage (provided that any such notation, legend or endorsement is in a form acceptable to the Company).

(b) Signature . Two Officers shall sign any Series D Preferred Stock Certificate for the Company, in accordance with the Company’s by-laws and applicable law, by manual or facsimile signature. If an Officer whose signature is on a Series D Preferred Stock Certificate no longer holds that office at the time the Transfer Agent countersigned the Series D Preferred Stock Certificate, such Series D Preferred Stock Certificate shall be valid nevertheless. A Series D Preferred Stock Certificate shall not be valid until an authorized signatory of the Transfer Agent manually countersigns such Series D Preferred Stock Certificate. Each Series D Preferred Stock Certificate shall be dated the date of its countersignature.

Section 15. Taxes .

(a) Transfer Taxes . The Company shall pay any and all stock transfer, documentary, stamp and similar taxes that may be payable in respect of any issuance or delivery of shares of Series D Preferred Stock. The Company shall not, however, be required to pay any such tax that may be payable in respect of any transfer involved in the issuance or delivery of shares of Series D Preferred Stock, in a name other than that in which the shares of Series D Preferred Stock were registered, or in respect of any payment to any Person other than a payment to the registered holder thereof, and shall not be required to make any such issuance, delivery or payment unless and until the Person otherwise entitled to such issuance, delivery or payment has paid to the Company the amount of any such tax or has established, to the satisfaction of the Company, that such tax has been paid or is not payable.

(b) Withholding . All payments and distributions (or deemed distributions) on the shares of Series D Preferred Stock shall be subject to withholding and backup withholding of tax to the extent required by law, subject to applicable exemptions, and amounts withheld, if any, shall be treated as received by Holders.

Section 16. Notices .

All notices referred to herein shall be in writing, and, unless otherwise specified herein, all notices hereunder shall be deemed to have been given upon the earlier of receipt thereof or three Business Days after the mailing thereof if sent by registered or certified mail (unless first class mail shall be specifically permitted for such notice under the terms of this Certificate of Designations) with postage prepaid, addressed: (i) if to the Company, to its office at 399 Park Avenue, New York, New York 10043 (Attention: Corporate Secretary) or to the Transfer Agent at its office at 250 Royall Street, Canton, Massachusetts 02021, or other agent of the Company designated as permitted by this Certificate of Designations, or (ii) if to any Holder, to such Holder at the address of such Holder as listed in the stock record books of the Company (which may include the records of the Transfer Agent) or (iii) to such other address as the Company or any such Holder, as the case may be, shall have designated by notice similarly given.

Section 17. Other Rights Disclaimed.

The shares of Series D Preferred Stock have no voting powers, preferences or relative, participating, optional or other special rights, or qualifications, limitations or restrictions thereof, other than as set forth herein or in the Certificate of Incorporation of the Company.

IN WITNESS WHEREOF, this Certificate of Designations as has been executed on behalf of the Company by its Chief Financial Officer this 29 ^th day of April, 2013.

CITIGROUP INC.

By: _ /s/ John C. Gerspach __________________
Name: John C. Gerspach
Title: Chief Financial Officer

Exhibit A

FORM OF
5.350% FIXED RATE / FLOATING RATE NONCUMULATIVE PREFERRED STOCK, SERIES D

Certificate Number_______ Number of Shares of Series D Preferred Stock______

CUSIP NO.:

CITIGROUP INC.

5.350% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series D

(par value $1.00 per share)
(liquidation preference $25,000 per share)

Citigroup Inc., a Delaware corporation (the “Company”), hereby certifies that [ ] (the “Holder”) is the registered owner of [ ] fully paid and non-assessable shares of the Company’s designated 5.350% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series D, with a par value of $1.00 per share and a liquidation preference of $25,000 per share (the “Series D Preferred Stock”). The shares of Series D Preferred Stock are transferable on the books and records of the Registrar, in person or by a duly authorized attorney, upon surrender of this certificate duly endorsed and in proper form for transfer. The designations, rights, privileges, restrictions, preferences and other terms and provisions of the Series D Preferred Stock represented hereby are and shall in all respects be subject to the provisions of the Certificate of Designations dated April 29, 2013 as the same may be amended from time to time (the “Certificate of Designations”). Capitalized terms used herein but not defined shall have the meaning given them in the Certificate of Designations. The Company will provide a copy of the Certificate of Designations to a Holder without charge upon written request to the Company at its principal place of business.

Reference is hereby made to select provisions of the Series D Preferred Stock set forth on the reverse hereof, and to the Certificate of Designations, which select provisions and the Certificate of Designations shall for all purposes have the same effect as if set forth at this place.

Upon receipt of this certificate, the Holder is bound by the Certificate of Designations and is entitled to the benefits thereunder.

Unless the Registrar has properly countersigned, these shares of Series D Preferred Stock shall not be entitled to any benefit under the Certificate of Designations or be valid or obligatory for any purpose.

IN WITNESS WHEREOF, this certificate has been executed on behalf of the Company by its [Title] and by its [Title] this __ day of ________, ________.

CITIGROUP INC.

By: _______________________________________
Name:
Title:

REGISTRAR’S COUNTERSIGNATURE

These are shares of Series D Preferred Stock referred to in the within-mentioned Certificate of Designations.

Dated:

COMPUTERSHARE TRUST COMPANY, N.A., as Registrar

By: _______________________________________
Name:
Title:

REVERSE OF CERTIFICATE

Dividends on each share of Series D Preferred Stock shall be payable at the rate provided in the Certificate of Designations.

The shares of Series D Preferred Stock shall be redeemable at the option of the Company in the manner and in accordance with the terms set forth in the Certificate of Designations.

ASSIGNMENT

FOR VALUE RECEIVED, the undersigned assigns and transfers the shares of Series D Preferred Stock evidenced hereby to:

___________________________________________________

(Insert assignee’s social security or taxpayer identification number, if any)

___________________________________________________

(Insert address and zip code of assignee)

and irrevocably appoints:

___________________________________________________

as agent to transfer the shares of Series D Preferred Stock evidenced hereby on the books of the Transfer Agent. The agent may substitute another to act for him or her.

Date:

Signature:

___________________________________________________

(Sign exactly as your name appears on the other side of this Certificate)

Signature Guarantee: ___________________________________________________

CERTIFICATE OF RETIREMENT

OF PREFERRED STOCK

OF CITIGROUP INC.

(Pursuant to Section 243 of the General

Corporation Law of the State of Delaware)

CITIGROUP INC., a corporation duly organized and existing under the General Corporation Law of the State of Delaware, certifies as follows:

FIRST: Citigroup's Restated Certificate of Incorporation, as amended (the "Certificate of Incorporation"), authorizes the issuance of 92,000 shares of 8.50% Non-Ccumulative Preferred Stock, Series F (the "Preferred Stock, Series F"), each such share with $1.00 par value and a stated value of $25,000 per share.

SECOND: Citigroup has retired all of the authorized shares of the Preferred Stock, Series F.

THIRD: Pursuant to the provisions of Section 243 of the General Corporation Law of the State of Delaware, the shares that were designated to Preferred Stock, Series F are hereby returned to the status of authorized but unissued shares of the Preferred Stock of Citigroup.

IN WITNESS WHEREOF, CITIGROUP INC. has caused this certificate to be signed by the below duly authorized Assistant Treasurer this 1 ^st day of July, 2013.

CITIGROUP INC.

By: /s/ Martin A Waters

Martin A. Waters

Assistant Treasurer

CERTIFICATE OF RETIREMENT

OF PREFERRED STOCK

OF CITIGROUP INC.

(Pursuant to Section 243 of the General

Corporation Law of the State of Delaware)

CITIGROUP INC., a corporation duly organized and existing under the General Corporation Law of the State of Delaware, certifies as follows:

FIRST: Citigroup's Restated Certificate of Incorporation, as amended (the "Certificate of Incorporation"), authorizes the issuance of 66,700 shares of 6.5% Non-Cumulative Convertible Preferred Stock, Series T (the "Preferred Stock, Series T"), each such share with $1.00 par value and a stated value of $25,000 per share.

SECOND: Citigroup has retired all of the authorized shares of the Preferred Stock, Series T.

THIRD: Pursuant to the provisions of Section 243 of the General Corporation Law of the State of Delaware, the shares that were designated to Preferred Stock, Series T are hereby returned to the status of authorized but unissued shares of the Preferred Stock of Citigroup.

IN WITNESS WHEREOF, CITIGROUP INC. has caused this certificate to be signed by the below duly authorized Assistant Treasurer this 1 ^st day of July, 2013.

CITIGROUP INC.

By: /s/ Martin A Waters

Martin A. Waters

Assistant Treasurer

CERTIFICATE OF DESIGNATIONS

7.125% FIXED RATE / FLOATING RATE NONCUMULATIVE PREFERRED STOCK SERIES J

CITIGROUP INC.

______________________________

pursuant to Section 151 of the

General Corporation Law of the State of Delaware

______________________________

Citigroup Inc. , a Delaware corporation (the “Company”), hereby certifies that:

3. Pursuant to the authority conferred upon a pricing committee (the “ Pricing Committee ”) by the Board of Directors, the Pricing Committee, by action duly taken on September 12, 2013, adopted resolutions (i) authorizing the issuance and sale of up to 41,400 shares of the Company’s preferred stock and (ii) approving this final form of Certificate of Designations of 7.125% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series J (the “ Series J Preferred Stock ”) establishing the number of shares to be included in this Series J Preferred Stock and fixing the designation, powers, preferences and rights of the shares of this Series J Preferred Stock and the qualifications, limitations or restrictions thereof as follows:

Section 1. Designation .

The designation of the series of preferred stock shall be “7.125% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series J” (the “Series J Preferred Stock”). Each share of

Series J Preferred Stock shall be identical in all respects to every other share of Series J Preferred Stock.

Section 2. Number of Shares .

The number of authorized shares of Series J Preferred Stock shall be 41,400. That number from time to time may be increased (but not in excess of the total number of authorized shares of preferred stock) or decreased (but not below the number of shares of Series J Preferred Stock then outstanding) by further resolution duly adopted by the Board of Directors, the Pricing Committee or any other duly authorized committee thereof and by the filing of a certificate pursuant to the provisions of the General Corporation Law of the State of Delaware stating that such increase or reduction, as the case may be, has been so authorized. The Company shall have the authority to issue fractional shares of Series J Preferred Stock.

Section 3. Definitions . As used herein with respect to Series J Preferred Stock:

“ Board of Directors ” has the meaning set forth in the recitals above.

“ Business Day ” means any weekday that is not a legal holiday in New York City and is not a day on which banking institutions in New York City are authorized or required by law or regulation to be closed.

“ Calculation Agent ” means the Transfer Agent acting in its capacity as calculation agent for the Series J Preferred Stock, and its successors and assigns.

“ Depositary ” means DTC or its nominee or any successor depositary appointed by the Company.

“ Dividend Payment Date ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Period ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Record Date ” shall have the meaning set forth in Section 4(a) hereof.

“ DTC ” means The Depository Trust Company.

“ Holder ” means the Person in whose name the shares of the Series J Preferred Stock are registered, which may be treated by the Company, Calculation Agent, Transfer Agent, Registrar and paying agent as the absolute owner of the shares of Series J Preferred Stock for the purpose of making payment and for all other purposes.

“ Junior Stock ” means the Common Stock and any other class or series of stock of the

Company now existing or hereafter authorized over which Series J Preferred Stock has

preference or priority in the payment of dividends or in the distribution of assets on any

voluntary or involuntary liquidation, dissolution or winding up of the Company.

“ LIBOR Determination Date ” means the second London Banking Day immediately preceding the first day of the relevant Dividend Period.

“ London Banking Day ” means any day on which commercial banks are open for general business (including dealings in deposits in United States dollars) in London.

“ Nonpayment ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Officer ” means the Chief Executive Officer, the Chairman, the Chief Administrative Officer, any Vice Chairman, the Chief Financial Officer, the Controller, the Chief Accounting Officer, the Treasurer, any Deputy Treasurer, any Assistant Treasurer, any Vice President, the General Counsel and Corporate Secretary and any Assistant Secretary of the Company.

“ Person ” means a legal person, including any individual, corporation, estate, partnership, joint venture, association, joint-stock company, limited liability company, trust, or other entity.

“ Preferred Stock Director ” shall have the meaning set forth in Section 7(b)(i) hereof.

“ Preferred Stock Director Termination Date ” shall have the meaning set forth in Section 7(b)(iv) hereof.

“ Registrar ” means the Transfer Agent acting in its capacity as registrar for the Series J Preferred Stock, and its successors and assigns.

“ Regulatory Capital Event ” means the good faith determination by the Company that, as a result of (i) any amendment to, clarification of, or change in, the laws or regulations of the United States or any political subdivision of or in the United States that is enacted or becomes effective after the initial issuance of any share of the Series J Preferred Stock, (ii) any proposed change in those laws or regulations that is announced or becomes effective after the initial issuance of any share of the Series J Preferred Stock, or (iii) any official administrative decision or judicial decision or administrative action or other official pronouncement interpreting or applying those laws or regulations or policies with respect thereto that is announced after the initial issuance of any share of the Series J Preferred Stock, there is more than an insubstantial risk that the Company will not be entitled to treat the full liquidation preference amount of $25,000 per share of the Series J Preferred Stock then outstanding as “tier 1 capital” (or its equivalent) for purposes of the capital adequacy guidelines of the Federal Reserve (or, as and if applicable, the capital adequacy guidelines or regulations of any successor Appropriate Federal Banking Agency) as then in effect and applicable, for so long as any share of the Series J Preferred Stock is outstanding.

“ Series J Preferred Stock ” shall have the meaning set forth in Section 1 hereof.

“ Series J Preferred Stock Certificate ” shall have the meaning set forth in Section 14(a) hereof.

“ Three-month LIBOR ” means the rate (expressed as a percentage per annum) for deposits in United States dollars for a three-month period commencing on the first day of a Dividend Period that appears on the Reuters LIBOR01 page as of 11:00 a.m. (London time) on the LIBOR Determination Date for that Dividend Period. If such rate does not appear on the Reuters LIBOR01 page, Three-month LIBOR will be determined on the basis of the rates at which deposits in United States dollars for a three-month period commencing on the first day of that Dividend Period and in a principal amount of not less than $1 million are offered to prime banks in the London interbank market by four major banks in the London interbank market selected by the Calculation Agent (after consultation with the Company), at approximately 11:00 a.m., London time, on the LIBOR Determination Date for that Dividend Period. The Calculation Agent will request the principal London office of each of such banks to provide a quotation of its rate. If at least two such quotations are provided, Three-month LIBOR with respect to that Dividend Period will be the arithmetic mean (rounded upward if necessary to the nearest whole multiple of 0.00001%) of such quotations. If fewer than two quotations are provided, Three-month LIBOR with respect to that Dividend Period will be the arithmetic mean (rounded upward if necessary to the nearest whole multiple of 0.00001%) of the rates quoted by three major banks in New York City selected by the Calculation Agent (after consultation with the Company), at approximately 11:00 a.m., New York City time, on the LIBOR Determination Date for that Dividend Period for loans in United States dollars to leading European banks for a three-month period commencing on the first day of that Dividend Period and in a principal amount of not less than $1 million. However, if fewer than three banks selected by the Calculation Agent to provide quotations are quoting as described above, Three-month LIBOR for that Dividend Period will be the same Three-month LIBOR as determined for the previous Dividend Period or, in the case of the Dividend Period beginning on September 30, 2023, 0.2544%. The determination of Three-month LIBOR for each relevant Dividend Period by the Calculation Agent will (in the absence of manifest error) be final and binding.

“ Trust ” shall have the meaning set forth in Section 6(d).

Section 4. Dividends .

dividend otherwise payable on that date will be made on the next succeeding day that is a Business Day (except if after September 30, 2023, that day falls in the next calendar month, in which case the payment of any dividend otherwise payable will be made on the first preceding Business Day), (i) on or prior to September 30, 2023, without any interest or other payment in respect of such postponement, and (ii) after September 30, 2023, with dividends accruing to the actual payment date (each such day on which dividends are payable a “ Dividend Payment Date ”). The period from and including the date of issuance of the Series J Preferred Stock or any Dividend Payment Date to, but excluding, the next Dividend Payment Date is a “ Dividend Period .” Dividends on each share of Series J Preferred Stock will accrue on the liquidation preference of $25,000 per share at a rate per annum equal to (i) 7.125%, for each Dividend Period from and including the date of issuance to, but excluding, September 30, 2023 and (ii) Three-month LIBOR plus 4.040%, for each Dividend Period from and including September 30, 2023. The record date for payment of dividends on the Series J Preferred Stock will be the record date fixed by the Board of Directors or any other duly authorized committee thereof that is not more than 30 nor less than 10 days prior to such Dividend Payment Date (each, a “ Dividend Record Date ”). Any such day that is a Dividend Record Date will be a Dividend Record Date whether or not such day is a Business Day. The amount of dividends payable on or prior to September 30, 2023 will be computed on the basis of a 360-day year of twelve 30-day months. The amount of dividends payable after September 30, 2023 will be computed on the basis of a 360-day year and the actual number of days elapsed.

(b) Noncumulative Dividends . If the Board of Directors or any duly authorized committee thereof does not declare a dividend on the Series J Preferred Stock for any Dividend Period prior to the related Dividend Payment Date, that dividend will not accrue, and the Company will have no obligation to pay, and Holders shall have no right to receive, a dividend for that Dividend Period on the related Dividend Payment Date or at any future time, whether or not dividends on the Series J Preferred Stock or any other series of preferred stock or common stock are declared for any subsequent period. References herein to the “accrual” of dividends refer only to the determination of the amount of such dividend and do not imply that any right to a dividend arises prior to the date on which a dividend is declared.

(c) Priority of Dividends . So long as any share of Series J Preferred Stock remains outstanding, unless as to a Dividend Payment Date full dividends on all outstanding shares of the Series J Preferred Stock have been declared and paid or declared and a sum sufficient for the payment of those dividends has been set aside for the Dividend Period then ending, the Company will not, and will cause its subsidiaries not to, during the next succeeding Dividend Period that commences on such Dividend Payment Date, declare or pay any dividend on, make any distributions relating to, or redeem, purchase, acquire or make a liquidation payment relating to, any Junior Stock, or make any guarantee payment with respect thereto, other than:

(iii) as a result of an exchange or conversion of any class or series of Junior Stock for any other class or series of Junior Stock;

(iv) the purchase of fractional interests in shares of Junior Stock pursuant to the conversion or exchange provisions of such Junior Stock or the security being converted or exchanged;

(v) the purchase of Junior Stock by an investment banking subsidiary of the Company in connection with the distribution thereof; or

Except as provided below, for so long as any share of Series J Preferred Stock remains outstanding, if dividends are not declared and paid in full upon the shares of Series J Preferred Stock and any class or series of stock of the Company now existing or hereafter authorized that ranks equally with the Series J Preferred Stock in the payment of dividends, all dividends declared upon shares of Series J Preferred Stock and such other stock will be declared on a proportional basis so that the amount of dividends declared per share will bear to each other the same ratio that accrued dividends for the then-current Dividend Period per share of Series J Preferred Stock and accrued dividends for the then-current Dividend Period per share of such other stock (including, in the case of any such other stock that bears cumulative dividends, all accrued and unpaid dividends) bear to each other.

Section 5. Liquidation Rights .

(a) Liquidation . In the event of any voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company, Holders shall be entitled, out of funds legally available

therefor, before any distribution or payment may be made by the Company or set aside for the holders of any Junior Stock and subject to the rights of the holders of any class or series of stock ranking senior to or on parity with Series J Preferred Stock upon liquidation and the rights of the Company’s depositors and other creditors, to receive in full a liquidating distribution in the amount of the liquidation preference of $25,000 per share (the “ Series J Liquidation Preference ”), plus any accrued dividends thereon from the last Dividend Payment Date to, but excluding, the date of the liquidation, dissolution or winding up if and to the extent declared but not yet paid. Holders shall not be entitled to any further payments in the event of any such voluntary or involuntary liquidation, dissolution or winding up of the affairs of the Company other than what is expressly provided for in this Section 5.

(b) Partial Payment . If the assets of the Company are not sufficient to pay in full the aforesaid liquidation distributions to the Holders and any liquidation distributions owed to holders of any class or series of stock of the Company ranking equally with the Series J Preferred Stock in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company, the amounts paid to the Holders and to the holders of all such equally ranking stock shall be pro rata in accordance with the respective aggregate liquidating distributions to which they would otherwise be entitled.

Section 6. Redemption .

(a) Optional Redemption . The Company, at the option of its Board of Directors or any duly authorized committee thereof, may redeem out of funds legally available therefor, (i) in whole or in part, from time to time, the shares of Series J Preferred Stock at the time outstanding, on any Dividend Payment Date on or after September 30, 2023, or (ii) in whole but not in part at any time within 90 days following a Regulatory Capital Event, in each case at a redemption price equal to $25,000 per share plus any declared and unpaid dividends, without accumulation of any undeclared dividends, to but excluding the redemption date, upon notice given as provided in Section 6(b) below.

(b) Notice of Redemption . Notice of every redemption of shares of Series J Preferred Stock shall be mailed by first class mail, postage prepaid, addressed to the Holders of such shares to be redeemed at their respective last addresses appearing on the stock register of the Company. Such mailing shall be at least 30 days and not more than 60 days before the date fixed for

redemption. Any notice mailed as provided in this Section 6(b) shall be conclusively presumed to have been duly given, whether or not the Holder receives such notice, but failure duly to give such notice by mail, or any defect in such notice or in the mailing thereof, to any Holder of shares of Series J Preferred Stock designated for redemption shall not affect the validity of the proceedings for the redemption of any other shares of Series J Preferred Stock. Each notice shall state:

(i) the redemption date;

(ii) the total number of shares of Series J Preferred Stock to be redeemed and, if fewer than all the shares of a Holder are to be redeemed, the number of such shares to be redeemed;

(iii) the redemption price;

(iv) the place or places where the certificates for such shares are to be surrendered for payment of the redemption price, if applicable; and

(v) that dividends on the shares to be redeemed will cease to accrue on the redemption date.

Notwithstanding the foregoing, if the certificates evidencing the shares of Series J Preferred Stock are held of record by a depositary and any related depository shares are held of record by a Depositary or its nominee, the Company may give such notice in any manner permitted by the Depositary.

(c) Partial Redemption . In case of any redemption of only part of the shares of Series A Preferred Stock at the time outstanding, the shares of Series J Preferred Stock to be redeemed shall be selected pro rata from the Holders in proportion to the number of shares of Series J Preferred Stock held by such Holders, by lot or in such other manner as the Board of Directors or any duly authorized committee thereof may determine, in its sole discretion, to be fair and equitable. Subject to the provisions of this Section 6, the Board of Directors or any duly authorized committee thereof shall have full power and authority to prescribe the terms and conditions upon which shares of Series J Preferred Stock shall be redeemed from time to time.

respect to such shares shall forthwith on such redemption date cease and terminate, except only the right of the Holders thereof to receive the amount payable on such redemption from the Trust at any time after the redemption date from the funds so deposited, without interest. The Company shall be entitled to receive, from time to time, from the Trust any interest accrued on such funds, and the Holders of any shares called for redemption shall have no claim to any such interest. Any funds so deposited and unclaimed at the end of three years from the redemption date shall, to the extent permitted by law, be released or repaid to the Company, and in the event of such repayment to the Company, the Holders of the shares so called for redemption shall be deemed to be unsecured creditors of the Company for an amount equivalent to the amount deposited as stated above for the redemption of such shares and so repaid to the Company, but shall in no event be entitled to any interest.

Section 7. Voting Rights .

(a) General . The Holders shall not be entitled to vote on any matter except as set forth in Section 7(b) below or as required by the Delaware General Corporation Law.

(b) Special Voting Right .

(i) Voting Right . If and whenever dividends on the Series J Preferred Stock or any other class or series of preferred stock that ranks on parity with Series J Preferred Stock as to payment of dividends and upon which voting rights equivalent to those granted by this Section 7(b)(i) have been conferred and are exercisable (any such class or series being referred to herein as “dividend parity stock”) have not been paid in an aggregate amount equal, as to any class or series, to at least three semi-annual or six quarterly Dividend Periods, as applicable, (whether consecutive or not) (a “ Nonpayment ”), the authorized number of directors constituting the Board of Directors shall be increased by two, and the Holders, together with holders of dividend parity stock, shall have the right, voting separately as a single class without regard to class or series (and with voting rights allocated pro rata based on the liquidation preference of each such class or series), to the exclusion of the holders of Common Stock, to elect two directors of the Company to fill such newly created directorships (and to fill any vacancies in the terms of such directorships), provided that it shall be a qualification for election of any such director that the election of such director shall not cause the Company to violate the corporate governance requirements of the New York Stock Exchange (or other exchange on which the Company’s securities may be listed) that listed companies must have a majority of independent directors and further provided that the Board of Directors shall at no time include more than two such directors. Each such director elected by the Holders together with holders of dividend parity stock is a “ Preferred Stock Director .”

written request (addressed to the secretary at the Company’s principal office) of the holders of at least 20% of the voting power of the Series J Preferred Stock or the holders of at least 20% of the voting power of any series of dividend parity stock (with such voting power measured based on the voting power to elect Preferred Stock Directors), must (unless such request is received less than 90 days before the date fixed for the next annual or special meeting of the stockholders at which Preferred Stock Directors are to be elected, in which event such election shall be held at such next annual or special meeting of stockholders), call a special meeting of the holders of Series J Preferred Stock and any dividend parity stock for the purposes of electing Preferred Stock Directors. The Preferred Stock Directors shall each be entitled to one vote per director on any matter.

(iii) Notice of Special Meeting . Notice for a special meeting to elect Preferred Stock Directors will be given in a similar manner to that provided in the Company’s by-laws for a special meeting of the stockholders. If the secretary of the Company does not call a special meeting within 20 days after receipt of any such request, then any Holder may (at the expense of the Company) call such meeting, upon notice as provided in this Section 7(b)(iii), and for that purpose will have access to the stock register of the Company. The Preferred Stock Directors elected at any such special meeting and each Preferred Stock Director elected at a subsequent annual or special meeting of stockholders, will be elected for term expiring upon the earlier of the Preferred Stock Director Termination Date and the next annual meeting of stockholders following such Preferred Stock Director's election. In case any vacancy in the office of a Preferred Stock Director occurs (other than prior to the initial election of the Preferred Stock Directors), the vacancy may be filled by the Preferred Stock Director remaining in office, or if none remains in office, by a plurality of the votes cast by the holders of Series J Preferred Stock and any dividend parity stock, voting together as a single class, and the Preferred Stock Director so appointed or elected to fill such vacancy shall serve for a term expiring at the next annual meeting of the stockholders. Preferred Stock Directors may only be elected by the holders of Series J Preferred Stock and dividend parity stock in accordance with this Section 7. If the holders of Series J Preferred Stock and such dividend parity stock fail to elect a sufficient number of directors to fill all directorships for which they are entitled to elect directors pursuant to this Section 7, then any directorship not so filled shall remain vacant until such time as the holders of Series J Preferred Stock and such dividend parity stock elect a person to fill such directorship in accordance with this Section 7, or such vacancy is otherwise filled in accordance with this Section 7; and no such directorship may be filled by stockholders of the Corporation other than in accordance with this Section 7.

similar non-payment of dividends in respect of future Dividend Periods) (the time of such cessation, the “ Preferred Stock Director Termination Date ”). Upon a Preferred Stock Director Termination Date, the terms of office of the Preferred Stock Directors will immediately terminate, the persons then serving as Preferred Stock Directors shall immediately cease to be qualified to hold office as Preferred Stock Directors, the Preferred Stock Directors shall cease to be directors of the Company and the number of directors constituting the Board of Directors shall be automatically reduced, without any action by the Board of Directors or the stockholders of the Company, by the number of Preferred Stock Directors authorized immediately prior to such termination. Any Preferred Stock Director may be removed at any time without cause by the holders of a majority of the voting power of outstanding shares of the capital stock then entitled to vote in the election of Preferred Stock Directors, voting together as a single class (with such voting power measured based on the voting power to elect Preferred Stock Directors).

(c) Senior Issuances; Adverse Changes . So long as any shares of Series J Preferred Stock are outstanding, but subject to the final paragraph of this Section 7(c), in addition to any other vote or consent of holders of the Company’s capital stock required by Delaware law, the vote or consent of the holders of at least two-thirds of the voting power of the Series J Preferred Stock and the holders of any other preferred stock entitled to vote thereon, voting together as a single class, given in person or by proxy at an annual or special meeting of stockholders, or given in writing without a meeting, will be necessary for effecting or validating any of the following actions, whether or not such approval is required by Delaware law:

(i) any amendment, alteration or repeal of any provision of the Company’s certificate of incorporation (including the certificate of designations creating the Series J Preferred Stock) or the Company’s by-laws that would alter or change the voting powers, preferences, economic rights or special rights of the Series J Preferred Stock so as to affect them adversely;

(ii) any amendment or alteration of the Company’s certificate of incorporation to authorize or create, or increase the authorized amount of, any shares of, or any securities convertible into shares of, any class or series of the Company's capital stock ranking prior to the Series J Preferred Stock in the payment of dividends or in the distribution of assets on any liquidation, dissolution, or winding up of the Company; or

(iii) the consummation of a binding share exchange or reclassification involving the Series J Preferred Stock or a merger or consolidation of the Company with another entity, except that holders of Series J Preferred Stock will have no right to vote under this provision or otherwise under Delaware law if in each case (i) the Series J Preferred Stock remains outstanding or, in the case of any such merger or consolidation with respect to which the Company is not the surviving or resulting entity, is converted into or exchanged for preferred securities of the surviving or resulting entity or its ultimate parent, that is an entity organized and existing under the laws of the United States of America, any state thereof or the District of Columbia and that is a corporation for U.S.

federal income tax purposes (or if such entity is not a corporation, the Company having received an opinion of nationally recognized counsel experienced in such matters to the effect that Holders will be subject to tax for U.S. federal income tax purposes with respect to such new preferred securities after such merger or consolidation in the same amount, at the same time and otherwise in the same manner as would have been the case under the Series J Preferred Stock prior to such merger or consolidation), and (ii) such Series J Preferred Stock remaining outstanding or such preferred securities, as the case may be, have such rights, preferences, privileges and voting powers, taken as a whole, as are not materially less favorable to the holders thereof than the rights, preferences, privileges and voting powers of the Series J Preferred Stock, taken as a whole;

provided, however , that, for the avoidance of doubt, any increase in the amount of the authorized or issued Series J Preferred Stock or authorized preferred stock or any securities convertible into preferred stock or the creation and issuance, or an increase in the authorized or issued amount, of other series of preferred stock or any securities convertible into preferred stock ranking equally with and/or junior to the Series J Preferred Stock with respect to the payment of dividends (whether such dividends are cumulative or noncumulative) and/or the distribution of assets upon the Company’s liquidation, dissolution or winding up will not be deemed to adversely affect the voting powers, preferences or special rights of the Series J Preferred Stock, and no stockholder will have the right to vote on such an increase, creation or issuance by reason of this Section 7.

If any amendment, alteration, repeal, share exchange, reclassification, merger or consolidation specified in this Section 7(c) would adversely affect the Series J Preferred Stock but not all series of preferred stock of the Company, then only such series of preferred stock as are adversely affected by and entitled to vote on the matter shall vote on the matter together with the Series J Preferred Stock as a single class (in lieu of all other series of preferred stock) for purposes of the vote or consent required by this Section 7(c).

(d) No Vote if Redemption . No vote or consent of the Holders shall be required pursuant to Section 7(b) or 7(c) if, at or prior to the time when the act with respect to such vote or consent would otherwise be required shall be effected, the Company shall have redeemed or shall have called for redemption all outstanding shares of Series J Preferred Stock, with proper notice and sufficient funds having been set aside for such redemption, in each case pursuant to Section 6 above.

Section 8. Preemption and Conversion Rights .

The Holders shall not have any preemptive rights or conversion rights as a result of the terms hereof.

Section 9. Rank .

For the avoidance of doubt, the Board of Directors or any duly authorized committee thereof may, without the vote of the Holders, authorize and issue additional shares of Junior

Stock or shares of any class or series of stock of the Company now existing or hereafter authorized that ranks equally with the Series J Preferred Stock in the payment of dividends or in the distribution of assets on any voluntary or involuntary liquidation, dissolution or winding up of the Company.

Section 10. Reacquired Shares .

The Board of Directors shall take such actions as are necessary to cause the shares of Series J Preferred Stock which have been redeemed or otherwise purchased or acquired by the Company to be retired and restored to the status of authorized but unissued shares of preferred stock without designation as to series.

Section 11. No Sinking Fund .

Shares of Series J Preferred Stock are not subject to the operation of a sinking fund.

Section 12. Transfer Agent, Calculation Agent, Registrar and Paying Agent .

The duly appointed Transfer Agent, Calculation Agent, Registrar and paying agent for the Series J Preferred Stock shall be Computershare Trust Company, N.A. The Company may, in its sole discretion, remove the Transfer Agent in accordance with the agreement between the Company and the Transfer Agent; provided, however , that the Company shall appoint a successor transfer agent who shall accept such appointment prior to the effectiveness of such removal. Upon any such removal or appointment, the Company shall send notice thereof by first-class mail, postage prepaid, to the Holders.

Section 13. Replacement Certificates for Mutilated, Destroyed, Stolen and Lost Certificates .

Section 14. Form .

(a) Series J Preferred Stock Certificates . Series J Preferred Stock shall be issued in certificated form in substantially the form attached hereto as Exhibit A (each, a “ Series J Preferred Stock Certificate ”). Exhibit A is hereby incorporated in and expressly made a part of this Certificate of Designations. The Series J Preferred Stock Certificates may have notations, legends or endorsements required by law, stock exchange rules, agreements to which the

Company is subject, if any, or usage (provided that any such notation, legend or endorsement is in a form acceptable to the Company).

(b) Signature . Two Officers shall sign any Series J Preferred Stock Certificate for the Company, in accordance with the Company’s by-laws and applicable law, by manual or facsimile signature. If an Officer whose signature is on a Series J Preferred Stock Certificate no longer holds that office at the time the Transfer Agent countersigned the Series J Preferred Stock Certificate, such Series J Preferred Stock Certificate shall be valid nevertheless. A Series J Preferred Stock Certificate shall not be valid until an authorized signatory of the Transfer Agent manually countersigns such Series J Preferred Stock Certificate. Each Series J Preferred Stock Certificate shall be dated the date of its countersignature.

Section 15. Taxes .

(a) Transfer Taxes . The Company shall pay any and all stock transfer, documentary, stamp and similar taxes that may be payable in respect of any issuance or delivery of shares of Series J Preferred Stock. The Company shall not, however, be required to pay any such tax that may be payable in respect of any transfer involved in the issuance or delivery of shares of Series J Preferred Stock, in a name other than that in which the shares of Series J Preferred Stock were registered, or in respect of any payment to any Person other than a payment to the registered holder thereof, and shall not be required to make any such issuance, delivery or payment unless and until the Person otherwise entitled to such issuance, delivery or payment has paid to the Company the amount of any such tax or has established, to the satisfaction of the Company, that such tax has been paid or is not payable.

(b) Withholding . All payments and distributions (or deemed distributions) on the shares of Series J Preferred Stock shall be subject to withholding and backup withholding of tax to the extent required by law, subject to applicable exemptions, and amounts withheld, if any, shall be treated as received by Holders.

Section 16. Notices .

All notices referred to herein shall be in writing, and, unless otherwise specified herein, all notices hereunder shall be deemed to have been given upon the earlier of receipt thereof or three Business Days after the mailing thereof if sent by registered or certified mail (unless first class mail shall be specifically permitted for such notice under the terms of this Certificate of Designations) with postage prepaid, addressed: (i) if to the Company, to its office at 399 Park Avenue, New York, New York 10043 (Attention: Corporate Secretary) or to the Transfer Agent at its office at 250 Royall Street, Canton, Massachusetts 02021, or other agent of the Company designated as permitted by this Certificate of Designations, or (ii) if to any Holder, to such Holder at the address of such Holder as listed in the stock record books of the Company (which may include the records of the Transfer Agent) or (iii) to such other address as the Company or any such Holder, as the case may be, shall have designated by notice similarly given.

Section 17. Other Rights Disclaimed.

The shares of Series J Preferred Stock have no voting powers, preferences or relative, participating, optional or other special rights, or qualifications, limitations or restrictions thereof, other than as set forth herein or in the Certificate of Incorporation of the Company.

IN WITNESS WHEREOF, this Certificate of Designations as has been executed on behalf of the Company by its Chief Accounting Officer this 18 ^th day of September, 2013.

CITIGROUP INC.

By: _ /s/ Jeffrey R. Walsh ________________
Name: Jeffrey R. Walsh
Title: Chief Accounting Officer

Exhibit A

FORM OF
7.125% FIXED RATE / FLOATING RATE NONCUMULATIVE PREFERRED STOCK, SERIES J

Certificate Number_______ Number of Shares of Series J Preferred Stock______

CUSIP NO.:

CITIGROUP INC.

7.125% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series J

(par value $1.00 per share)
(liquidation preference $25,000 per share)

Citigroup Inc., a Delaware corporation (the “Company”), hereby certifies that [ ] (the “Holder”) is the registered owner of [ ] fully paid and non-assessable shares of the Company’s designated 7.125% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series J, with a par value of $1.00 per share and a liquidation preference of $25,000 per share (the “Series J Preferred Stock”). The shares of Series J Preferred Stock are transferable on the books and records of the Registrar, in person or by a duly authorized attorney, upon surrender of this certificate duly endorsed and in proper form for transfer. The designations, rights, privileges, restrictions, preferences and other terms and provisions of the Series J Preferred Stock represented hereby are and shall in all respects be subject to the provisions of the Certificate of Designations dated September 18, 2013 as the same may be amended from time to time (the “Certificate of Designations”). Capitalized terms used herein but not defined shall have the meaning given them in the Certificate of Designations. The Company will provide a copy of the Certificate of Designations to a Holder without charge upon written request to the Company at its principal place of business.

Reference is hereby made to select provisions of the Series J Preferred Stock set forth on the reverse hereof, and to the Certificate of Designations, which select provisions and the Certificate of Designations shall for all purposes have the same effect as if set forth at this place.

Upon receipt of this certificate, the Holder is bound by the Certificate of Designations and is entitled to the benefits thereunder.

Unless the Registrar has properly countersigned, these shares of Series J Preferred Stock shall not be entitled to any benefit under the Certificate of Designations or be valid or obligatory for any purpose.

IN WITNESS WHEREOF, this certificate has been executed on behalf of the Company by its [Title] and by its [Title] this __ day of ________, ________.

CITIGROUP INC.

By: _______________________________________
Name:
Title:

REGISTRAR’S COUNTERSIGNATURE

These are shares of Series J Preferred Stock referred to in the within-mentioned Certificate of Designations.

Dated:

COMPUTERSHARE TRUST COMPANY, N.A., as Registrar

By: _______________________________________
Name:
Title:

REVERSE OF CERTIFICATE

Dividends on each share of Series J Preferred Stock shall be payable at the rate provided in the Certificate of Designations.

The shares of Series J Preferred Stock shall be redeemable at the option of the Company in the manner and in accordance with the terms set forth in the Certificate of Designations.

ASSIGNMENT

FOR VALUE RECEIVED, the undersigned assigns and transfers the shares of Series J Preferred Stock evidenced hereby to:

___________________________________________________

(Insert assignee’s social security or taxpayer identification number, if any)

___________________________________________________

(Insert address and zip code of assignee)

and irrevocably appoints:

___________________________________________________

as agent to transfer the shares of Series J Preferred Stock evidenced hereby on the books of the Transfer Agent. The agent may substitute another to act for him or her.

Date:

Signature:

___________________________________________________

(Sign exactly as your name appears on the other side of this Certificate)

Signature Guarantee: ___________________________________________________

CERTIFICATE OF RETIREMENT

OF PREFERRED STOCK

OF CITIGROUP INC.

(Pursuant to Section 243 of the General

Corporation Law of the State of Delaware)

CITIGROUP INC., a corporation duly organized and existing under the General Corporation Law of the State of Delaware, certifies as follows:

FIRST: Citigroup's Restated Certificate of Incorporation, as amended (the "Certificate of Incorporation"), authorizes the issuance of up to 31,000 shares of Series R Cumulative Participating Preferred Stock (the "Series R Preferred Stock"), with $1.00 par value per share.

SECOND: No shares of the Series R Preferred Stock have been or will be issued.

THIRD: Pursuant to the provisions of Section 243 of the General Corporation Law of the State of Delaware, all references to the Series R Preferred Stock in the Certificate of Incorporation are hereby eliminated, and the shares that were designated to such series are hereby returned to the status of authorized but unissued shares of the Preferred Stock of Citigroup.

IN WITNESS WHEREOF, CITIGROUP INC. has caused this certificate to be signed by the below duly authorized Assistant Secretary this 9 ^th day of October, 2013.

CITIGROUP INC.

By: /s/Michael J. Tarpley

Michael J. Tarpley

Assistant Secretary

CERTIFICATE OF DESIGNATIONS

6.875% FIXED RATE / FLOATING RATE NONCUMULATIVE PREFERRED STOCK SERIES K

CITIGROUP INC.

______________________________

pursuant to Section 151 of the

General Corporation Law of the State of Delaware

______________________________

Citigroup Inc. , a Delaware corporation (the “Company”), hereby certifies that:

3. Pursuant to the authority conferred upon a preferred stock committee (the “ Preferred Stock Committee ”) by the Board of Directors, the Preferred Stock Committee, by action duly taken on October 24, 2013, adopted resolutions (i) authorizing the issuance and sale of up to 59,800 shares of the Company’s preferred stock and (ii) approving this final form of Certificate of Designations of 6.875% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series K (the “ Series K Preferred Stock ”) establishing the number of shares to be included in this Series K Preferred Stock and fixing the designation, powers, preferences and rights of the shares of this Series K Preferred Stock and the qualifications, limitations or restrictions thereof as follows:

Section 1. Designation .

The designation of the series of preferred stock shall be “6.875% Fixed Rate / Floating Rate Noncumulative Preferred Stock, Series K” (the “Series K Preferred Stock”). Each share of Series K Preferred Stock shall be identical in all respects to every other share of Series K Preferred Stock.

Section 2. Number of Shares .

The number of authorized shares of Series K Preferred Stock shall be 59,800. That number from time to time may be increased (but not in excess of the total number of authorized shares of preferred stock) or decreased (but not below the number of shares of Series K Preferred Stock then outstanding) by further resolution duly adopted by the Board of Directors, the Preferred Stock Committee or any other duly authorized committee thereof and by the filing of a certificate pursuant to the provisions of the General Corporation Law of the State of Delaware stating that such increase or reduction, as the case may be, has been so authorized. The Company shall have the authority to issue fractional shares of Series K Preferred Stock.

Section 3. Definitions . As used herein with respect to Series K Preferred Stock:

“ Board of Directors ” has the meaning set forth in the recitals above.

“ Business Day ” means any weekday that is not a legal holiday in New York City and is not a day on which banking institutions in New York City are authorized or required by law or regulation to be closed.

“ Calculation Agent ” means the Transfer Agent acting in its capacity as calculation agent for the Series K Preferred Stock, and its successors and assigns.

“ Depositary ” means DTC or its nominee or any successor depositary appointed by the Company.

“ Dividend Payment Date ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Period ” shall have the meaning set forth in Section 4(a) hereof.

“ Dividend Record Date ” shall have the meaning set forth in Section 4(a) hereof.

“ DTC ” means The Depository Trust Company.

“ Holder ” means the Person in whose name the shares of the Series K Preferred Stock are registered, which may be treated by the Company, Calculation Agent, Transfer Agent, Registrar and paying agent as the absolute owner of the shares of Series K Preferred Stock for the purpose of making payment and for all other purposes.

“ Junior Stock ” means the Common Stock and any other class or series of stock of the

Company now existing or hereafter authorized over which Series K Preferred Stock has