* International Energy Agency scenarios. ** Only includes power generation clients. Clients primarily in the transmission and distribution value chain were excluded. *** The emissions intensity from the IEA SDS OECD scenario is derived by dividing the CO 2 e emissions resulting from the Power sector with the electricity generation at 2030. Note: These targets are based on available data as of September 2021. Updates to improve data quality of the baseline numbers may result in changes to these targets. Sector Scenario 2020 Baseline 2030 Targets Energy (Scope 1, 2, 3) Net Zero Emissions by 2050 (NZE 2050) * 143.8 million mt CO 2 e 29% reduction from 2020 baseline 102.1 million mt CO 2 e Power ** (Scope 1) Sustainable Development Scenario (SDS 2020) * 313.5 kg CO 2 e/MWh 63% reduction in Scope 1 intensity per MWh 115 kg CO 2 e/MWh *** More i nformation a bout t he a nalysis w e conducted t o e stablish t hese t argets, i nclud - ing scenario selection and the scope and boundaries of the targets, is available in our 2021 TCFD Report . I n fu ture y ears, w e w ill conduct fu rther a nalysis t o f acilitate t arget setting for additional sectors. In 2022, we plan to focus on the Auto Manufacturing, Steel, T hermal C oal M ining a nd C ommercial Real E state s ectors f or c ore a nalysis a nd target setting, in alignment with the NZBA guidelines. W e w ill c onsider t he r emaining sectors, in cluding A luminum, A viation, Cement a nd A gricultural su bsectors i n 2 023 and 2024. Citi’s Approach to Managing Climate Risk Citi’s R isk M anagement fu nction i s respon sible f or i dentifying, m easuring, managing, c ontrolling a nd r eporting r isks to t he c ompany. W e i dentify c limate r isk as a n “ emerging r isk” i n C iti’s E nterprise Risk M anagement F ramework. W ithin t he framework, e merging r isks a re t hose t hat are n ew o r r apidly c hanging, w ith h igh growth p otential, a nd a re c haracterized b y data u navailability o r o ther u ncertainties. We d o n ot v iew c limate r isk a s a s tand-alone risk c ategory b ut a s a t ransversal r isk, capable o f m anifesting a cross e ach o f C iti’s seven r isk c ategories i n o ur r isk t axonomy: Credit, M arket, L iquidity, S trategic, Operational, C ompliance a nd R eputation. Climate i mpacts m ay b e e ither p hysical- o r transition-related a nd m ay v ary d epending on t he t ime h orizon. During 2021, we strengthened our gover - nance and deepened our expertise to advance effective management of climate risks and opportunities. Highlights include the f ollowing: • Formation of a new Global ESG Council, consisting o f s enior m embers o f m anage - ment, with the aim of providing enhanced oversight o f o ur E SG a ctivities a nd g oals • Creation o f t he N atural R esources & Clean E nergy T ransition t eam t o i nte - grate o ur E nergy, P ower a nd C hemicals businesses, i n o rder t o a ssist o ur c lients across t hese s ectors a s t hey t ransition • Growth of our dedicated Climate Risk team, w ith a n e mphasis o n e xpertise in c redit r isk, s cenario a nalysis, s tress testing a nd r egulatory e ngagement • Establishment of a Net Zero Task Force to support t he d evelopment a nd l aunch o f our net zero plan Regulatory Compliance Interest in climate risk management from regulators continues to grow globally. We are monitoring and responding to emerging regulatory obligations and engaging with regulators around the world about climate risk issues, especially related to risk management, strategy and scenario analysis r equirements. As w e a nticipate a n in crease in r egulatory requirements, v oluntary f rameworks a nd mandated p roduct c lassifications, w e a re strengthening o ur i nternal r egulatory t eams with su bject m atter e xperts. W e a re a lso improving o ur a ccess t o r elevant, a ccurate data to sharpen our scenario analyses and building a s tandardized, gl obal c limate disclosure s trategy t hat c an m onitor a nd manage r equirements a nd p rovide c onsis - tent r eporting a cross o ur o perations. Contents ESGatCiti SustainableFinance SustainableProgress Equitable&ResilientCommunities Talent& DEI RiskManagement&ResponsibleBusiness Appendices CITI 2021 ESG REPORT 42