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CITIGROUP GLOBAL MARKETS LIMITED
(Registered Number: 01763297)
UNAUDITED INTERIM REPORT AND FINANCIAL STATEMENTS
for the six months ended 30 June 2017
CITIGROUP GLOBAL MARKETS LIMITED These condensed interim financial statements are unaudited
INTERIM MANAGEMENT REPORT for the six months ended 30 June 2017
2
The Directors present their Report and the unaudited financial statements of Citigroup Global Markets Limited
(the Company) for the six months ended 30 June 2017.
Business environment
CGML is a wholly-owned indirect subsidiary of Citigroup Inc. (Citi). It was incorporated in 1983 and has a major
international presence as a dealer, market maker and underwriter in equity, fixed income and commodity markets,
as well as providing advisory services to a wide range of corporate, institutional and government clients. It is
headquartered in London, and operates globally, generating the majority of its business from the Europe, Middle
East and Africa (EMEA) region, with the remainder coming from Asia and the Americas. It is authorised by the
Prudential Regulation Authority (PRA) and regulated by the Financial Conduct Authority (FCA) and the PRA. As
at 30 June 2017, it had eight branch offices and five subsidiaries across EMEA, listed below:
EU Branches Subsidiaries
Czech Republic Citigroup Global Markets Luxembourg S.a.R.L. (Luxembourg) France Citigroup Global Markets Funding Luxembourg SCA (Luxembourg)
Ireland Citigroup Global Markets Funding Luxembourg GP S.a.R.L. (Luxembourg)
Italy Citi Global Wealth Management S.A.M. (Monaco) Spain Citigroup South Africa Credit Products (Proprietary) Limited (South Africa) (scheduled for
liquidation)
Non-EU Branches
Israel Switzerland
UAE
CGML’s key activities encompass cash, exchange traded and over-the-counter (OTC) derivative products in the
following markets:
G10 Rates
Foreign Exchange
Equities
Credit Markets
Securitised Markets
Prime, Futures and Securities Services (comprising Prime Finance, Delta-One and Futures & OTC
Clearing)
Commodities
Capital Markets Origination (CMO)
Corporate and Investment Banking
The above business areas variously include market making, facilitating client flow trading and providing tailored
solutions to client financing, risk or investment needs. Further details of these areas can be found in the Strategic
Report of the Company’s financial statements for the year ended 31 December 2016.
A number of CGML’s functional operations are carried out in locations outside London, including at Citi Service
Centres (CSCs) in a variety of locations. CGML operates an established governance framework over the activities
carried out in these CSC locations. In addition, CGML makes use of a number of third party outsourcing
arrangements which are subject to similar governance arrangements.
Mission and Strategy
CGML’s strategic objectives are founded on Citi’s mission and value proposition.
Citi’s mission is to serve as a trusted partner to its clients by responsibly providing financial services that enable
growth and economic progress. Its core activities are safeguarding assets, lending money, making payments and
accessing the capital markets on behalf of its clients.
CITIGROUP GLOBAL MARKETS LIMITED These condensed interim financial statements are unaudited
INTERIM MANAGEMENT REPORT for the six months ended 30 June 2017
3
Mission and Strategy (continued)
The mission forms the framework for CGML’s entity level strategic goals. The strategy and its execution will seek
to create sustainable, growing earnings and contribute to Citi’s overall client franchise, allowing CGML to deliver
returns consistent with the group’s overall business strategy. CGML’s 2017 objectives comprise the following:
Continued focus on providing solutions for our target market client base;
Market survey data indicated that the CIB and Commodities businesses were meeting their strategic
objectives whilst other businesses continued to make progress towards targeted benchmark rankings.
Maintaining and reinforcing the Ethics and Execution framework across all levels of the organisation;
The effectiveness of Citi’s leadership, behavioural and ethical expectations is tracked via the Voice of the
Employee Pulse survey which allows employees to share feedback three times a year and which indicates
high levels of ethical engagement. Citi also participates in the Banking Standards Board’s external
assessment which similarly confirms a strong focus on ethics.
Attraction, development and retention of talent;
Citi and CGML’s institutional business demonstrated significant progress with a number of high calibre
senior hires across a range of business areas. Strong momentum in the recruitment of high-profile senior
talent is expected to continue into 2018. All employees have access to best-in-class learning throughout
the year, with a number of initiatives focussed on development and innovation.
Achievement of diversity targets and promotion of equal employment opportunities;
Diversity continues to be a strong focus of senior management with diverse slates achieved for senior
recruitment.
Continued simplification of the organisation and infrastructure;
The current phase of the simplification initiative is focused on standardising organisational structures and
streamlining processes and activities across business and support functions, prior to integration into
ongoing operations.
Maintenance of a robust internal control infrastructure, focusing upon risk identification and
documentation of processes, policies and procedures;
Progress is being made on management led initiatives to improve monitoring of the control environment.
Continued improvement in its operational metrics;
During the period CGML’s operating efficiency and return on assets and tangible common equity
continued to meet or exceed targets.
Completing the rollout of the investment in the Equities franchise;
Considerable investment in the Equities franchise has taken place in 2017 in order to further develop the
business’s capabilities and increase its EMEA wallet share, with a particular focus on the sales effort.
Revenues, transaction volumes and wallet share have all increased year on year. The ongoing investment
programme is expected to generate further improvements to Equities revenues in future reporting periods.
Maintenance of strong capital and liquidity levels
Capital and liquidity levels were maintained at an appropriate level throughout the period to support
business and regulatory requirements including resolvability. Regulatory capital quality was enhanced,
with new Additional Tier 1 (AT1) Notes replacing a tranche of the Company’s Tier 2 capital.
CITIGROUP GLOBAL MARKETS LIMITED These condensed interim financial statements are unaudited
INTERIM MANAGEMENT REPORT for the six months ended 30 June 2017
4
Income statement summary
2014 2015 2016 2017
$ Million $ Million $ Million $ Million
Commission income and fees 1,157 1,093 593 583
Net dealing income 768 747 942 1,391
Interest receivable 410 335 308 334
Interest payable (359) (321) (420) (533)
Gross profit 1,976 1,854 1,423 1,775
Operating expenses (1,641) (1,478) (1,148) (1,309)
Other income and expenses 7 12 2 8
Operating profit on ordinary activities before taxation 342 388 277 474
Gross Profit
Gross profit was $1,775 million (2016: $1,423 million) which represented an increase of $352 million or 25%.
Contributing to the increase were higher revenues across a number of businesses, most notably G10 Rates,
Commodities and Equities. Increased revenues were driven by tightening credit spreads, an improved trading
environment and client and market activity related to elections in a number of European countries in 2017, as well
as investment in resource and technology in Equities. The 2016 results included revenues from a section of the
Securitisation business which were no longer included in 2017. This was due to the transfer from CGML to another
Citi entity of certain Securitisation personnel and the associated revenue streams.
Operating Expenses
Operating expenses were $1,309 million (2016: $1,148 million) which represented an increase of $161 million or
14%. This reflected higher technology investment, reduced impact from share price movements on deferred awards
and higher current year incentive compensation. This was partly offset by beneficial exchange rate movements.
Profit for the Period
Net profit for the first six months was $329 million (2016: $326 million), a 1% increase. This included a tax charge
of $145 million for the period, compared to prior periods where earlier losses in CGML and other Citi entities were
available to offset against taxable income. In 2016 the positive tax movement of $49 million arose from the
deferred tax asset associated with CGML’s pension asset, and was offset by an equivalent movement on the related
deferred tax liability reflected within the 2016 Statement of Comprehensive Income.
Balance Sheet
2014 2015 2016 2017
$ Million $ Million $ Million $ Million
Total assets 383,350 323,339 345,608 372,404
Total liabilities 370,215 309,892 331,728 356,447
Shareholders' funds 13,135 13,447 13,880 15,957
Total assets of $372 billion (31 December 2016: $346 billion) grew mainly due to increases in trading inventory,
particularly government bonds and equity securities, and collateralised financing transactions, partly offset by a
decrease in derivative assets as Sterling and Euro yields rose.
Total liabilities, excluding shareholders’ funds, of $356 billion (31 December 2016: $332 billion) principally
reflected increases in collateralised financing transactions to facilitate client activity and enhance liquidity. These
were partly offset by a reduction in derivative liabilities, mirroring the impact of the yield upturn described above.
Shareholders’ funds were $15,957 million (31 December 2016: $13,880 million) which represented an increase of
$2,077 million. In addition to the profit for the period, this included an injection of $1,800 million of AT1 capital
in the form of loan notes purchased by another Citi entity, Pipestone LLC, which took place on 20 June 2017.
These replaced an equivalent amount of subordinated loans which were repaid, as part of an initiative to enhance
the quality of CGML’s regulatory capital. Further details are included in Note 9.
CITIGROUP GLOBAL MARKETS LIMITED These condensed interim financial statements are unaudited
INTERIM MANAGEMENT REPORT for the six months ended 30 June 2017
5
Future outlook
Themes which the Company believes may impact its performance include the following:
Brexit and its associated economic, political, legal and regulatory ramifications. Detailed contingency
plans have been developed in order to ensure that Citi, CGML and other affiliates are able to continue
serving their clients following the expected exit by the United Kingdom from the European Union in the
first half of 2019. CGML continues to assess the potential impact of Brexit on market and economic
conditions.
Quantitative easing by the European Central Bank which has been extended out to the end of 2017.
Protectionist policies such as the withdrawal by the United States from the Trans-Pacific Partnership
(TPP)) which has raised the possibility of international trade disputes, impacting liquidity and capital
flows.
Uncertainties over the future path of interest rates with the capacity to inhibit capital markets and
reduce client volumes.
Markets in Financial Instruments Directive and Regulation (MiFID II / MiFIR), effective 3 January
2018, which regulate firms that provide services linked to financial instruments. The new regulations
broaden existing requirements to other asset classes, and introduce new requirements related to market
structure, authorization and supervision, pre- and post-trade transparency, trade execution, commodity
position limits, post-trade processes and investor protection.
Citi and CGML will continue to monitor and assess developments in relation to the above themes, in order to
mitigate any potential impact on future activities.
Key performance indicators
In addition to the financial results of the Company, senior management considers the monitoring of the following
key financial and non-financial items critical to the Company’s future: adequacy of regulatory capital and liquidity,
external ratings and future regulatory developments. Please refer to the Strategic Report of the Company’s
financial statements for the year ended 31 December 2016 for further information.
Risk Management
The financial risk management objectives and policy and the exposure to market, liquidity, credit, country and
operational risk have been disclosed in the risk management policies in the Strategic Report of the Company’s
financial statements for the year ended 31 December 2016 and have not materially changed in the reporting period.
Statement of Directors’ responsibilities
The Directors are responsible for preparing the Strategic Report and the Directors' Report and the financial
statements in accordance with applicable law and regulations.
Company law requires the Directors to prepare financial statements for each financial year. Under that law they
have elected to prepare the financial statements in accordance with United Kingdom Accounting Standards and
applicable law (United Kingdom Generally Accepted Accounting Practice), including FRS 101 Reduced Disclosure
Framework.
Under company law, the Directors must not approve the financial statements unless they are satisfied that they give
a true and fair view of the state of affairs of CGML and of the profit or loss of CGML for the relevant period.
In preparing these financial statements, the Directors are required to:
select suitable accounting policies and then apply them consistently;
make judgments and estimates that are reasonable and prudent;
state whether applicable United Kingdom Accounting Standards have been followed, subject to any
material departures disclosed and explained in the financial statements; and
prepare the financial statements on a going concern basis unless it is inappropriate to assume that CGML
will continue in business.
CITIGROUP GLOBAL MARKETS LIMITED These condensed interim financial statements are unaudited
INTERIM MANAGEMENT REPORT for the six months ended 30 June 2017
6
Statement of Directors’ responsibilities (continued)
The Directors are responsible for keeping adequate accounting records that are sufficient to show and explain
CGML’s transactions, disclose with reasonable accuracy at any time the financial position of CGML, and enable
them to ensure that the financial statements comply with the Companies Act 2006. They have general
responsibility for taking such steps as are reasonably open to them to safeguard the assets of CGML and to prevent
and detect fraud and other irregularities. Legislation in the United Kingdom governing the preparation and
dissemination of financial statements may differ from legislation in other jurisdictions.
Directors
The Directors who held office during the period ended 30 June 2017 were:
Non-Executive
J P Asquith (Chairman)
S H Dean
R Goulding
D L Taylor
Executive
L Arduini
J Bardrick
J C Cowles
P McCarthy
Cyrus Ardalan was appointed Non-Executive Director on 2 August 2017 and appointed Chairman on 30 August
2017.
J P Asquith resigned as Non-Executive Director and Chairman on 30 August 2017.
Directors’ indemnity
Throughout the period and at the date of this report the Company is party to a group-wide indemnity policy which
benefits all of its current directors and is a qualifying third party indemnity provision for the purpose of section 236
of the Companies Act 2006.
Political contributions
No political contributions were made during the period. During 2016, the Company made a donation of $353,350
(£250,000) to the Britain Stronger in Europe campaign, in advance of the UK Referendum on EU membership.
Auditors
The Company has elected not to have an audit of these interim financial statements. A full audit will be performed
at 31 December 2017.
By order of the Board.
J Bardrick
Director
6 October 2017
Incorporated in England and Wales
Registered office: Citigroup Centre, Canada Square, Canary Wharf, London E14 5LB
Registered Number: 01763297
CITIGROUP GLOBAL MARKETS LIMITED These condensed interim financial statements are unaudited
INTERIM INCOME STATEMENT for the six months ended 30 June 2017
7
30 June 2017 30 June 2016
Notes $ Million $ Million
Commission income and fees 5 583 593
Net dealing income 1,391 942
Interest receivable 334 308
Interest payable (533) (420)
Gross profit 11 1,775 1,423
Operating expenses (1,309) (1,148)
Other finance income / (expense) 6 -
Other income 2 2
Operating profit on ordinary activities before taxation 474 277
Tax on profits on ordinary activities 6 (145) 49
Profit for the period 329 326
The accompanying notes on pages 10 to 19 form an integral part of these financial statements.
CITIGROUP GLOBAL MARKETS LIMITED These condensed interim financial statements are unaudited
INTERIM STATEMENT OF COMPREHENSIVE INCOME for the six months ended 30 June 2017
8
30 June 2017 30 June 2016
$ Million $ Million
Profit for the period 329 326
Other Comprehensive Income (Expense)
Items that will not be reclassified subsequently to profit or loss:
Gains/(losses) on remeasurement of defined benefit pension asset (55) 174
Tax charge associated with remeasurement of pension asset 14 (45)
Total comprehensive gain for the period 288 455
The net movement in the Statement of Comprehensive Income in respect of the pension scheme reflects changes in
the actual and expected returns on scheme assets and liabilities and the related tax impact associated with the
balance sheet valuation of the defined pension asset.
INTERIM STATEMENT OF CHANGES IN EQUITY for the six months ended 30 June 2017
Share
Capital
Other
equity
instruments
Capital
reserve
Retained
Earnings and
other reserves
Total
Notes $ Million $ Million $ Million $ Million $ Million
At 1 January 2016 1,500 - 9,989 1,958 13,447
Profit after taxation for the period - - - 326 326
Net movement in Statement of Comprehensive
Income in respect of the pension scheme- - - 129 129
Share based payment transactions 34 34
Capital contribution - - 10 - 10
At 30 June 2016 1,500 - 9,999 2,447 13,946
At 1 January 2017 1,500 - 9,999 2,381 13,880
Profit after taxation for the period - - - 329 329
Net movement in Statement of Comprehensive
Income in respect of the pension scheme- - - (41) (41)
Share based payment transactions - - - (11) (11)
Other equity instruments issued - 1,800 - - 1,800
At 30 June 2017 1,500 1,800 9,999 2,658 15,957
The other equity instruments relate to Additional Tier 1 notes. Further information is included in Note 9.
The capital reserve includes capital contributions from the parent company, which are distributable.
The retained earnings and other reserves include the equity reserve, which is the fair value movement of the share
based incentives issued.
The accompanying notes on pages 10 to 19 form an integral part of these financial statements.
CITIGROUP GLOBAL MARKETS LIMITED These condensed interim financial statements are unaudited
INTERIM BALANCE SHEET as at 30 June 2017
9
30 June
2017
31 December
2016
Notes $ Million $ Million
Assets
Financial assets at amortised cost
- cash at bank and in hand 4,763 3,738
- collateralised financing transactions 65,559 56,222
Financial assets classed as held for trading
- derivatives 7 158,811 167,634
- inventory 7 49,132 36,613
- financial assets designated at fair value through profit or loss 7 61,003 51,451
Financial assets classed as available for sale 33 31
Pension asset 410 437
Other assets 32,693 29,482
Total Assets 372,404 345,608
Liabilities and Equity
Financial liabilities at amortised cost
- bank loans and overdrafts 14,653 10,454
- collateralised financing transactions 44,956 33,509
Financial liabilities classed as held for trading
- derivatives 7 163,983 170,258
- securities sold but not yet purchased 7 42,814 44,654
- financial liabilities designated at fair value through profit or loss 7 52,278 35,783
Other liabilities 34,845 32,485
Subordinated loans 8 2,918 4,585
Total Liabilities 356,447 331,728
Capital and reserves
Called up share capital 1,500 1,500
Other equity instruments 9 1,800 -
Capital reserve 9,999 9,989
Profit and loss account 2,658 2,381
Shareholders' funds 15,957 13,880
Total Liabilities and Shareholders' Funds 372,404 345,608
The accompanying notes on pages 10 to 19 form an integral part of these financial statements.
The financial statements on pages 7 to 19 were approved by the Directors on 6 October 2017 and were signed on their
behalf by:
J Bardrick
Director
Registered Number: 01763297
CITIGROUP GLOBAL MARKETS LIMITED
NOTES TO THE FINANCIAL STATEMENTS
10
1. Reporting Entity
This report comprises the unaudited condensed interim financial statements of CGML as at and for the six months
ended 30 June 2017.
The financial statements of the Company at the year ended 31 December 2016 are available upon request from the
Company’s registered office at Citigroup Centre, Canada Square, Canary Wharf, London, E14 5LB.
2. Statement of compliance
These condensed interim financial statements have been prepared and approved by the Directors in accordance with
the EU Transparency Directive as implemented in the UK via the Disclosure and Transparency Rules issued by the
FCA. They have been drawn up in compliance with IAS 34 ‘Interim Financial Reporting’. The condensed
financial statements do not include all the information required for the full annual financial statements, and should
be read in conjunction with the financial statements of the Company for the year ended 31 December 2016.
3. Principal accounting policies
The financial statements of the Company have been prepared in accordance with Financial Reporting Standard 101,
‘Reduced Disclosure Framework’ (FRS 101). In preparing these financial statements, the Company applies the
recognition, measurement and disclosure requirements of International Financial Reporting Standards as adopted by
the EU, but makes amendments where necessary in order to comply with Companies Act 2006 and has set out
below where advantage of the FRS 101 disclosure exemptions has been taken.
The Company has taken exemption available under FRS 101 not to disclose all transactions with other group
companies and investees of the group qualifying as related parties. It has also taken the exemption available under
FRS 101 not to prepare a cash flow statement.
The financial statements have been prepared in US Dollars, which is the functional currency of the Company, and
any reference to $ in these financial statements refers to US Dollars.
As permitted under section 401 of the Companies Act 2006, consolidated financial statements have not been
prepared because the Company is a wholly owned subsidiary of the ultimate parent Citigroup Inc. which prepares
consolidated financial statements under US GAAP. Citigroup Inc. makes its financial statements available to the
public on a quarterly basis.
4. Use of assumptions, estimates and judgements
The results of the Company are sensitive to the accounting policies, assumptions and estimates that underlie the
preparation of its financial statements. The assumptions and estimates used in the preparation of the financial
statements are described in detail in the Company’s financial statements for the year ended 31 December 2016.
5. Turnover and results
As permitted by paragraph 4 of Schedule 1 to the Companies Act 2006 The Large and Medium-sized Companies
and Groups (Accounts and Reports) Regulations 2008 (SI 2008 No 410), the format of the profit and loss account
has been adapted to the circumstances of the Company. Instead of turnover, the Directors have reported
commission income and fees, net dealing income and interest income less interest expense in determining the gross
profit of the Company.
CITIGROUP GLOBAL MARKETS LIMITED
NOTES TO THE FINANCIAL STATEMENTS
11
6. Tax on profit on ordinary activities
30 June
2017
30 June
2016
$ Million $ Million
Current tax:
UK corporation tax 115 -
Adjustment in respect of prior periods (2) -
113 -
Overseas current tax 12 1
Adjustment in respect of prior periods 3 -
15 1
Total current tax 128 1
Deferred tax:
Origination and reversal of temporary differences 14 (45)
Overseas deferred tax in respect of foreign branch operations 3 (5)
Total deferred tax 17 (50)
Tax charge (credit) on ordinary activities per Income Statement 145 (49)
Tax on profit per Statement of Comprehensive Income (14) 45
131 (4)
The company's Income Statement effective tax rate for the six months ended 30 June 2017 was 30.46% (30 June
2016: -17.93%).
The main rate of corporation tax in the UK was reduced from 20% to 19% on 1 April 2017 which resulted in a
weighted average tax rate of 19.25% for 2017 (2016: 20%). The corporation tax rate will reduce to 17% from 1
April 2020. CGML is also subject to the bank surcharge of 8% from 1 January 2016 giving an overall standard rate
of 27.25% in 2017 (2016: 28%).
The difference between the effective tax rate for the six months ended 30 June 2017 and the standard rate arose
from various factors. These included the accounting treatment for tax on the changes in valuation of the pension
asset and the non recognition of deferred tax.
When comparing the effective tax rate in 2017 to the prior year, there were two main factors contributing to the
difference. Firstly, the valuation movement on the pension asset taken to reserves in the first half of 2016 was a
gain, compared to the loss reflected in 2017. Secondly, in the first half of 2016 the use of significant temporary
differences on which deferred tax had not been recognised resulted in a decrease to the 2016 effective tax rate. The
impact of the use of temporary differences in 2017 was significantly lower.
Both foreign tax incurred and deferred tax recorded in the foreign branches have been recognised at the relevant
country rates.
The UK deferred tax liability on the pension asset has been reflected on the balance sheet at 25% based on the tax
rate substantively enacted at the respective balance sheet date. A deferred tax asset has been recognised up to the
level of this deferred tax liability. No further deferred tax asset has been recognised due to uncertainty around the
timing of its reversal. The unrecognised deferred tax asset at 30 June 2017 was $126 million, at 25% ($110 million
at 30 June 2016 at a rate of 26%).
The impact of the banking surcharge, introduced in full from 1 January 2016, has been included in the current tax
charge at 8%. The bank levy, which reduces year on year from 18% in 2016 to 10% in 2021, has been included in
Operating Expenses for 2017 at 17%.
CITIGROUP GLOBAL MARKETS LIMITED
NOTES TO THE FINANCIAL STATEMENTS
12
7. Financial assets and liabilities accounting classifications and fair values
The table below sets out the Company’s classification of each class of financial assets and liabilities, and their fair
values.
Held for
Trading
Designated at
fair value
Amortised
cost
Available for
Sale
Total
carrying
amount Fair value
30 June 2017 $ Million $ Million $ Million $ Million $ Million $ Million
Cash - - 4,763 - 4,763 4,763
Derivatives 158,811 - - - 158,811 158,811
Inventory 49,132 - - 49,132 49,132
Collateralised financing transactions - 61,003 65,559 - 126,562 126,562
Cash collateral pledged - - 21,966 - 21,966 21,966
Trade debtors - - 10,135 - 10,135 10,135
Other debtors - - 258 - 258 258
Financial assets classed as available for
sale
- - - 33 33 33
207,943 61,003 102,681 33 371,660 371,660
Bank loans and overdrafts - - 14,653 14,653 14,653
Derivatives 163,983 - - - 163,983 163,983
Securities sold but not yet purchased 42,814 - - - 42,814 42,814
Collateralised financing transactions - 52,278 44,956 - 97,234 97,234
Cash collateral held - - 23,530 - 23,530 23,530
Trade creditors - - 9,553 - 9,553 9,553
Other creditors and accruals - - 1,435 - 1,435 1,435
Subordinated loans - - 2,918 - 2,918 3,061
206,797 52,278 97,045 - 356,120 356,263
Held for
Trading
Designated at
fair value
Amortised
cost
Available for
Sale
Total
carrying
amount Fair value
31 December 2016 $ Million $ Million $ Million $ Million $ Million $ Million
Cash - - 3,738 - 3,738 3,738
Derivatives 167,634 - - - 167,634 167,634
Inventory 36,613 - - 36,613 36,613
Collateralised financing transactions - 51,451 56,222 - 107,673 107,673
Cash collateral pledged - - 21,992 - 21,992 21,992
Trade debtors - - 7,146 - 7,146 7,146
Other debtors - - 9 - 9 9
Financial assets classed as available for
sale
- - - 31 31 31
204,247 51,451 89,107 31 344,836 344,836
Bank loans and overdrafts - - 10,454 10,454 10,454
Derivatives 170,258 - - - 170,258 170,258
Securities sold but not yet purchased 44,654 - - - 44,654 44,654
Collateralised financing transactions 35,783 33,509 - 69,292 69,292
Cash collateral held - - 22,595 - 22,595 22,595
Trade creditors - - 8,680 - 8,680 8,680
Other creditors and accruals - - 988 - 988 988
Subordinated loans - - 4,585 - 4,585 4,846
214,912 35,783 80,811 - 331,506 331,767
CITIGROUP GLOBAL MARKETS LIMITED
NOTES TO THE FINANCIAL STATEMENTS
13
7. Financial assets and liabilities accounting classifications and fair values (continued)
The following table shows an analysis of financial assets and liabilities classified as held for trading or designated at
fair value by level in the hierarchy:
Level 1 Level 2 Level 3 Total
$ Million $ Million $ Million $ Million
Financial assets held for trading
Derivatives 65 156,843 1,903 158,811
Government bonds 21,395 1,587 33 23,015
Eurobonds and other corporate bonds 298 6,839 253 7,390
Equities 16,757 1,895 40 18,692
Physical Commodities - 35 - 35
38,515 167,199 2,229 207,943
Financial assets designated at fair value
Collateralised financing transactions 66 60,937 - 61,003
38,581 228,136 2,229 268,946
Financial liabilities held for trading
Derivatives 89 160,633 3,261 163,983
Securities sold but not yet purchased 39,368 3,241 205 42,814
39,457 163,874 3,466 206,797
Financial liabilities designated at fair value
Collateralised financing transactions - 52,278 - 52,278
39,457 216,152 3,466 259,075
Level 1 Level 2 Level 3 Total
$ Million $ Million $ Million $ Million
Financial assets held for trading
Derivatives 39 165,335 2,260 167,634
Government bonds 11,292 3,827 2 15,121
Eurobonds and other corporate bonds 8 6,335 183 6,526
Equities 13,581 1,235 15 14,831
Physical Commodities - 117 18 135
24,920 176,849 2,478 204,247
Financial assets designated at fair value
Collateralised financing transactions - 51,451 0 51,451
Financial assets available for sale
Investment securities - 31 - 31
24,920 228,331 2,478 255,729
Financial liabilities held for trading
Derivatives 57 166,675 3,526 170,258
Securities sold but not yet purchased 39,598 4,946 110 44,654
39,655 171,621 3,636 214,912
Financial liabilities designated at fair value
Collateralised financing transactions - 35,783 - 35,783
39,655 207,404 3,636 250,695
30 June 2017
31 December 2016
For the period ended 30 June 2017, there were no significant transfers between Level 2 and Level 1.
CITIGROUP GLOBAL MARKETS LIMITED
NOTES TO THE FINANCIAL STATEMENTS
14
7. Financial assets and liabilities accounting classifications and fair values (continued)
The following table shows an analysis of financial assets and liabilities classified as held at amortised cost by level
in the hierarchy:
Level 1 Level 2 Level 3 Total
$ Million $ Million $ Million $ Million
Financial assets at amortised cost
Cash 4,763 - - 4,763
Collateralised financing transactions - 65,559 - 65,559
Cash collateral pledged - 21,966 - 21,966
Trade debtors - 10,135 - 10,135
Other debtors - 258 - 258
4,763 97,918 - 102,681
Financial liabilities at amortised cost
Bank loans and overdrafts - 14,653 - 14,653
Collateralised financing transactions - 44,956 - 44,956
Cash collateral held - 23,530 - 23,530
Trade creditors - 9,553 - 9,553
Other creditors - 1,435 - 1,435
Subordinated loans - 2,918 - 2,918
- 97,045 - 97,045
Level 1 Level 2 Level 3 Total
$ Million $ Million $ Million $ Million
Financial assets at amortised cost
Cash 3,738 - - 3,738
Collateralised financing transactions - 56,222 - 56,222
Cash collateral pledged - 21,992 - 21,992
Trade debtors - 7,146 - 7,146
Other debtors - 9 - 9
3,738 85,369 - 89,107
Financial liabilities at amortised cost
Bank loans and overdrafts - 10,454 - 10,454
Collateralised financing transactions - 33,509 - 33,509
Cash collateral held - 22,595 - 22,595
Trade creditors - 8,680 - 8,680
Other creditors - 988 - 988
Subordinated loans - 4,585 - 4,585
- 80,811 - 80,811
30 June 2017
31 December 2016
CITIGROUP GLOBAL MARKETS LIMITED
NOTES TO THE FINANCIAL STATEMENTS
15
7. Financial assets and liabilities accounting classifications and fair values (continued)
Given the short term nature and characteristics of trade debtors, other debtors, trade creditors, other creditors and
accruals the fair value has been assumed to approximate the carrying value. The fair value of subordinated loans
has been calculated using the present value of future estimated cash flows, discounted using a discount rate of USD
3 month Overnight Indexed Swap (OIS) or 3 month Euro Overnight Index Average (EONIA) plus the Company’s
credit spread as at 30 June 2017.
Financial instruments may move between levels in the fair value hierarchy when factors such as liquidity or the
observability of input parameters change. As conditions around these factors improve, financial instruments may
transfer higher up the fair value hierarchy. Further information about the Company’s measurement of fair value and
classification of financial assets and liabilities under the fair value hierarchy can be found in Note 15 of the
Company’s financial statements for the year ended 31 December 2016.
Level 3 movement
The movement on Level 3 items for the period was:
2017
At 1
January Realised Unrealised Purchases Sales Issuances Settlements
Transfers
into Level 3
Transfers out
of Level 3
At 30
June
$ Million $ Million $ Million $ Million $ Million $ Million $ Million $ Million $ Million $ Million
Financial assets held for trading
Derivatives 2,260 (21) (59) 3 (1) - 91 197 (567) 1,903
Government bonds 2 1 1 31 (8) - - 8 (2) 33
Eurobonds and other corporate bonds 183 (8) 63 151 (152) - - 111 (95) 253
Equities 15 (5) 18 6 (10) - - 21 (5) 40
Physical Commodities 18 - (36) 18 - - - - - --
2,478 (33) (13) 209 (171) - 91 337 (669) 2,229
At 1
January Realised Unrealised Purchases Sales Issuances Settlements
Transfers
into Level 3
Transfers out
of Level 3
At 30
June
Financial liabilities held for trading $ Million $ Million $ Million $ Million $ Million $ Million $ Million $ Million $ Million
Derivatives 3,526 (43) (93) (1) 1 - 327 241 (697) 3,261
Securities sold but not yet purchased 110 1 92 - 4 - (10) 10 (2) 205
3,636 (42) (1) (1) 5 - 317 251 (699) 3,466
2016
At 1
January Realised Unrealised Purchases Sales Issuances Settlements
Transfers
into Level 3
Transfers out
of Level 3
At 31
December
$ Million $ Million $ Million $ Million $ Million $ Million $ Million $ Million $ Million $ Million
Financial assets held for trading
Derivatives 3,031 (38) (110) 9 (2) - (416) 1,000 (1,214) 2,260
Government bonds 3 - - - - - - - (1) 2
Eurobonds and other corporate bonds 223 (66) 23 423 (497) - - 161 (84) 183
Equities 31 (114) 11 93 (8) - - 9 (7) 15
Physical Commodities - - - - - - - 18 - 18
Financial assets designated at fair value
Collateralised financing transactions 218 99 - 82 (102) - (297) - - -
3,506 (119) (76) 607 (609) - (713) 1,188 (1,306) 2,478
At 1
January Realised Unrealised Purchases Sales Issuances Settlements
Transfers
into Level 3
Transfers out
of Level 3
At 31
December
Financial liabilities held for trading $ Million $ Million $ Million $ Million $ Million $ Million $ Million $ Million $ Million
Derivatives 3,634 (7) (276) (5) 5 - 520 1,113 (1,458) 3,526
Securities sold but not yet purchased 3 (27) 69 (9) 4 11 16 111 (68) 110
3,637 (34) (207) (14) 9 11 536 1,224 (1,526) 3,636
Gain/(loss) recorded in the
profit and loss statement
(Gain)/loss recorded in the
profit and loss statement
Gain/(loss) recorded in the
profit and loss statement
(Gain)/loss recorded in the
profit and loss statement
CITIGROUP GLOBAL MARKETS LIMITED These condensed interim financial statements are unaudited
NOTES TO THE FINANCIAL STATEMENTS
16
7. Financial assets and liabilities accounting classifications and fair values (continued)
During the first half of 2017, the Level 3 financial instruments inventory decreased due to maturing trades and some
moves to Level 2. Such trades were mainly in the Rates (Finance Desk) and Credit Markets business.
The increase in settlements was mainly focussed on Foreign Exchange Derivatives.
Transfers into Level 3 arose predominantly from the Equity Derivatives & Delta One trading desks within the
Equities business. These were primarily on positions where consensus data was no longer available and on trades
where the valuation uncertainty had increased to a material level. Transfers out of Level 3 were driven by greater
observability within Rates (Finance Desk), where due to market activity the valuation uncertainty had reduced to
immaterial levels, and within the Equities business, which saw an increase in observable pricing data.
Valuation process for Level 3 Fair Value Measurements
Price verification procedures and related internal control procedures are governed by the Citi Pricing and Price
Verification Policy and Standards, which are jointly owned by Finance and Risk Management. Finance has
implemented the Pricing and Price Verification Standards and Procedures to facilitate compliance with this policy.
Further information about the Company’s valuation process for Level 3 fair value measurements is contained within
Note 15 of the Company’s financial statements for the year ended 31 December 2016.
Unobservable inputs
During the period, total changes in fair value, representing a loss of $3 million (2016: $46 million gain) were
recognised in the profit and loss account relating to items where fair value was estimated using a valuation
technique that incorporates one or more significant inputs based on unobservable market data. As these valuation
techniques are based upon assumptions, changing the assumptions will change the estimate of fair value. The
potential impact of using reasonably possible alternative assumptions for the valuation techniques for both
observable and unobservable market data has been quantified as approximately $182 million downside and $181
million upside (2016: $263 million downside and $190 million upside). The main contributors to this impact are
Equity Markets, Credit Trading, Interest Rate Derivatives and other cross-asset businesses.
Further information regarding valuation uncertainty and the methodology used to derive the impact across each
product is contained in Note 15 of the Company’s financial statements for the year ended 31 December 2016.
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 30 June 2016 and 31 December 2016.
Note that this tab le represents key drivers by disclosures line and may not agree back to the Changes in Level 3
Fair Value Category table.
2017
Fair Value
$ million Methodology Input Low High Unit
Assets
Equities 22 Price-based Price 0.0 232.0 $
Commodity derivatives (124) Model-based Forward Price 0.3 303.8 %
Credit derivatives 41 Model-based Credit Spread 0.0 688.5 bps
Credit derivatives 98 Price-based Price 0.0 239.4 $
Credit derivatives 157 Price-based Upfront Points 0.2 141.4 %
Equity derivatives 1,475 Model-based Equity Volatility 3.0 86.2 %
Equity derivatives 967 Model-based Forward Price 4.3 134.5 %
Equity derivatives 47 Model-based Price 0.0 3,925.1 $
Equity derivatives 17 Price-based Price 0.0 595.5 $
Interest rate derivatives 109 Model-based Credit Spread 158.9 3,914.6 bps
Interest rate derivatives 333 Model-based IR Normal Volatility 0.1 80.1 %
Eurobonds 50 Price-based Price 0.0 595.5 $
Liabilities
Commodity derivatives 148 Model-based Forward Price 28.6 303.8 %
Credit derivatives 42 Model-based Credit Spread 0.0 850.0 bps
Credit derivatives 72 Price-based Price 0.0 239.4 $
Credit derivatives 157 Price-based Upfront Points 0.2 141.4 %
Equity derivatives 1,880 Model-based Equity Volatility 3.0 86.2 %
Equity derivatives 1,802 Model-based Forward Price 4.3 134.5 %
Equity derivatives 46 Model-based Price 0.0 3,925.1 $
Interest rate derivatives 109 Model-based Credit Spread 158.9 3,914.6 bps
Interest rate derivatives 311 Model-based IR Normal Volatility 0.1 80.1 %
CITIGROUP GLOBAL MARKETS LIMITED These condensed interim financial statements are unaudited
NOTES TO THE FINANCIAL STATEMENTS
17
7. Financial assets and liabilities accounting classifications and fair values (continued)
2016
Fair Value
$ million Methodology Input Low High Unit
Assets
Credit derivatives 363 Model-based Credit Correlation 5.0 95.0 %
Credit derivatives 47 Model-based Credit Spread 0.3 850.0 bps
Credit derivatives 375 Model-based Recovery Rate 7.0 40.0 %
Equity contracts 864 Model-based Equity Volatility - 97.8 %
Equity contracts 751 Model-based Forward Price 35.7 235.4 %
Equity contracts 359 Model-based Price 0.0 1,495.9 $
Interest rate contracts 102 Model-based Credit Spread 308.3 3,790.7 bps
Interest rate contracts 347 Model-based IR Normal Volatility 0.2 94.0 %
Equity securities 7 Model-based Price - 5,500.0 $
Liabilities
Commodity and other contracts 363 Model-based Credit Correlation 5.0 95.0 %
Credit derivatives 47 Model-based Credit Spread 3.4 850.0 bps
Credit derivatives 375 Model-based Recovery Rate 7.0 40.0 %
Equity contracts 1,712 Model-based Equity Volatility - 243.5 %
Equity contracts 1,932 Model-based Forward Price 35.7 235.4 %
Equity contracts 145 Model-based Equity-IR Correlation (35.0) 41.0 %
Foreign exchange contracts 102 Model-based Credit Spread 75.1 3,790.7 bps
Interest rate contracts 305 Model-based IR Normal Volatility 0.2 94.0 %
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.
Further information about the sensitivities and interrelationships of the most significant unobservable inputs used by
the Company in Level 3 fair value measurements can be found in Note 15 of the Company’s financial statements
for the year ended 31 December 2016.
8. Subordinated Loans
The subordinated loans form part of the Company’s regulatory capital resources held to meet the capital adequacy
requirements of the PRA and can only be repaid with their consent. The loans, on which interest is payable at
market rates, are due to other group undertakings. The following amounts were included within subordinated loans:
30 June 2017 Currency $ Million Interest rate Maturity Date
Amounts falling due after five years EUR 628 0.796% 22 May 2024
1,140 0.696% 22 May 2024
USD 1,150 3.125% 22 May 2024
2,918
31 December 2016 Currency $ Million Interest rate Maturity Date
Amounts falling due after five years EUR 580 0.812% 22 May 2024
1,055 0.694% 22 May 2024
USD 2,950 2.325% 22 May 2024
4,585
CITIGROUP GLOBAL MARKETS LIMITED These condensed interim financial statements are unaudited
NOTES TO THE FINANCIAL STATEMENTS
18
8. Subordinated Loans (continued)
On 20 June 2017 CGML repaid $2,950 million of subordinated loan borrowings from Citigroup Financial Products
Inc. On 20 June 2017 the Company drew down $1,150 million of subordinated loan borrowings from Citigroup
Financial Products Inc.
There are no circumstances under which early repayment may be demanded by the lender. There are no provisions
whereby the loans may be converted into capital or any other form of liability.
The terms of subordination of the loans state that payment of any principal or interest amount is conditional upon:
- the Company being in compliance with not less than 120% of its Financial Resources Requirement
immediately after payment; and
- the Company being solvent immediately after payment, defined as being able to pay its other liabilities in
full.
9. Other equity instruments
On 20 June 2017 CGML issued $1,800 million of Additional Tier 1 Notes to Pipestone LLC, another Citi entity.
The notes are perpetual with no fixed redemption date, and are redeemable at the issuer’s option subject to approval
from the PRA. Interest is fixed every 5 years, interest payments are not cumulative and the issuer may cancel any
interest payment at its sole discretion. In the event that CGML’s common equity tier 1 (CET1) ratio falls below
7.0%, the notes will be written down to zero and CGML will issue a fixed number of ordinary shares to the holder
of the notes.
10. Financial instruments and risk management
All aspects of the Company’s financial risk management objectives and policies are consistent with those disclosed
in the financial statements as at and for the year ended 31 December 2016.
11. Group structure
The Company’s immediate parent undertaking is Citigroup Global Markets Holdings Bahamas Limited
(CGMHBL), a company registered at Ocean Centre, Montagu Foreshore, East Bay Street, and P.O. Box N3247,
Nassau Bahamas. It was transferred from its previous parent, CGMEL, on a going concern basis during 2015. The
Company’s ultimate parent company and ultimate controlling party is Citigroup Inc., registered at 1209 Orange
Street, Wilmington, DE 19801United States of America.
The audited consolidated financial statements of Citigroup Inc. are made available to the public annually in
accordance with Securities and Exchange Commission regulations and may be obtained from
http://www.citigroup.com/citi/investor/overview.html
12. Post Balance Sheet Event
In July 2017 the Board of Directors declared a dividend of $376 million. Approval has been sought from the PRA.
CITIGROUP GLOBAL MARKETS LIMITED These condensed interim financial statements are unaudited
NOTES TO THE FINANCIAL STATEMENTS
19
13. Segmental reporting
The Company is Citi’s international broker dealer and management reviews its performance by geography, in the
same way as Citigroup Inc. reports its performance.
Citi is organised into four regions, Asia, EMEA, Latin America and North America.
Revenue by Region $ Million $ Million $ Million $ Million $ Million $ Million $ Million
30 June 2017 149 1,325 20 16 1,510 265 1,775
30 June 2016 128 884 32 31 1,075 348 1,423
Increase (decrease)
compared to prior period21 441 (12) (15) 435 (83) 352
Total
Regional
Other /
Corp *TotalAsia EMEA
Latin
America
North
America
* Other / Corporate items relate to certain transfer pricing revenues and expenses. These form part of intercompany
pricing arrangements between affiliated Citi entities, to ensure that entities are appropriately compensated for the
use of their resources.
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