Reducing Climate Risk in Our Financing Climate risk is one of the three pillars of our Sustainable Progress Strategy . When it comes to analyzing and reducing climate risk associated with our clients, we have identified the following three primary focus areas: • Policy development • Portfolio analysis and measurement • Engagement Policy Development As part of our work to integrate climate risk into Citi’s risk policies and governance frameworks, we have updated our ESRM Policy Sector Approaches for carbon- intensive sectors to incorporate emerging best practices. One area where we have made significant progress is in our fossil fuel Sector Approaches for thermal coal mining and the generation of coal-fired power, which predated our net zero commitment. See the box on the right for more details on our targets and policy. Portfolio Analysis and Measurement Citi aims to understand the transition and physical risks that Citi and our clients are exposed to by conducting climate scenario analysis, measuring the GHG emissions associated with our financing portfolio and evaluating portfolio decarbonization pathways. During 2021, we conducted an analysis of our Energy and Power loan portfolios to establish baseline emissions and establish interim 2030 emissions targets as we work toward our net zero commitment. Learn more about this analysis and our targets in the Energy and Power Baseline Emissions and Interim Targets s ection . Our Commitment to Reduce Financing for Coal Thermal Coal Mining Our ESRM Policy commitments related to coal mining began in 2009, with our first coal mining Sector Approach. Since that time, we have updated our policy, including updates focused on enhanced due diligence and continued reductions in our credit exposure to the coal mining industry. As of 2020, Citi has established a policy prohibition on project- related financing of new thermal coal mines and significant expansions. We have also committed to the following targets to reduce our exposure to companies that derive 25% or more of their revenue from thermal coal mining: • By the end of 2025: Reduce our credit exposure to these companies by 50% from a 2020 baseline • After 2025: No longer facilitate capital markets transactions or mergers and acquisition advisory and financing for these companies • By the end of 2030: Reduce all remaining exposure to these companies to zero Coal-Fired Power Generation Our ESRM Policy commitments related to coal-fired power generation have also been updated over time as the credit and reputation risk related to coal has increased. We have committed to not finance any new coal-fired power plants or expansions of existing plants. Our expectations have increased as we aim to help our clients transition to a future aligned with the Paris Agreement. A comprehensive summary of time-bound milestones for coal-fired power clients through 2040 is available in our Environmental and Social Policy Framework . In 2021, we reviewed our coal-fired power clients’ GHG reporting and low-carbon transition plans, including commitments to retire existing coal plants. Our analysis considered a combination of client disclosures, third-party ESG analysis, CDP disclosures and direct client engagement. Moving forward, this evaluation will be wrapped into our net zero engagement and progress towards our 2030 targets. * This figure has been updated as one metallurgical coal company was erroneously included in the baseline reported in our 2020 ESG report. 2020 baseline * $1.091B Credit exposure as of Dec. 31, 2021 $759M (30% reduction from baseline) Risk Exposure During 2021, we updated our climate risk heat-mapping framework to refine our understanding of the sectors we finance that are most sensitive to climate risk. The heat map on the following pages is based on a qualitative assessment of how transition and physical climate risk drivers are expected to impact different sectors. The results of this assessment will help us to prioritize portfolios when further evaluating risks. Contents ESGatCiti SustainableFinance SustainableProgress Equitable&ResilientCommunities Talent& DEI RiskManagement&ResponsibleBusiness Appendices CITI 2021 ESG REPORT 45