Citigroup chief executive Michael L. Corbat sent a memo out to employees Friday announcing the fraud, the New York Times reported.
Corbat said as much as $400 million was misappropriated in the fraud, which was centered around the oil services company Oceanografía. It was unclear how many employees were involved in the scheme, Corbat said.
Citigroup said it was working with Mexican authorities who would "initiate criminal actions" that might yield "just penalties on the responsible parties" that might help the bank recoup the loss.
"I can assure you there will be accountability for those who perpetrated this despicable crime and any employee who enabled it," Corbat said in a memo to employees. "All will be held equally responsible, and we will make sure that the punishment sends a crystal-clear message about the consequences of such actions."