SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

6 Months Ended

Jun. 30, 2011

SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

Schedule of consolidated and unconsolidated VIEs with which the Company holds significant variable interests

As of June 30, 2011
								Maximum exposure to loss in significant unconsolidated VIEs(1)
								Funded exposures(2)				Unfunded exposures(3)
		Total involvement with SPE assets
In millions of dollars				Consolidated VIE / SPE assets		Significant unconsolidated VIE assets(4)		Debt investments		Equity investments		Funding commitments		Guarantees and derivatives		Total
Citicorp
Credit card securitizations		$	56,547	$	56,547	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(5)
	U.S. agency-sponsored		229,475		—		229,475		5,005		—		—		29		5,034
	Non-agency-sponsored		12,585		2,083		10,502		486		—		—		—		486
Citi-administered asset-backed commercial paper conduits (ABCP)			29,615		20,078		9,537		—		—		9,537		—		9,537
Third-party commercial paper conduits			8,011		220		7,791		466		—		298		—		764
Collateralized debt obligations (CDOs)			4,410		—		4,410		51		—		—		—		51
Collateralized loan obligations (CLOs)			5,866		—		5,866		56		—		—		—		56
Asset-based financing			17,713		1,505		16,208		5,896		—		3,057		178		9,131
Municipal securities tender option bond trusts (TOBs)			16,098		7,822		8,276		707		—		5,258		54		6,019
Municipal investments			13,568		192		13,376		2,224		2,803		1,745		—		6,772
Client intermediation			4,747		157		4,590		788		—		—		—		788
Investment funds			3,855		100		3,755		—		95		63		—		158
Trust preferred securities			17,889		—		17,889		—		128		—		—		128
Other			6,733		138		6,595		366		62		135		82		645
Total		$	427,112	$	88,842	$	338,270	$	16,045	$	3,088	$	20,093	$	343	$	39,569
Citi Holdings
Credit card securitizations		$	28,549	$	28,271	$	278	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations
	U.S. agency-sponsored		186,269		—		186,269		2,453		—		—		153		2,606
	Non-agency-sponsored		19,441		1,878		17,563		131		—		—		—		131
Student loan securitizations			2,765		2,765		—		—		—		—		—		—
Collateralized debt obligations (CDOs)			7,441		—		7,441		146		—		—		137		283
Collateralized loan obligations (CLOs)			13,480		—		13,480		1,533		—		7		98		1,638
Asset-based financing			14,965		123		14,842		6,340		3		399		—		6,742
Municipal investments			5,286		—		5,286		438		259		98		—		795
Client intermediation			199		164		35		35		—		—		—		35
Investment funds			1,483		16		1,467		29		106		—		—		135
Other			7,543		6,922		621		160		69		135		—		364
Total		$	287,421	$	40,139	$	247,282	$	11,265	$	437	$	639	$	388	$	12,729
Total Citigroup		$	714,533	$	128,981	$	585,552	$	27,310	$	3,525	$	20,732	$	731	$	52,298

(1)

The definition of maximum exposure to loss is included in the text that follows.

(2)

Included in Citigroup's June 30, 2011 Consolidated Balance Sheet.

(3)

Not included in Citigroup's June 30, 2011 Consolidated Balance Sheet.

(4)

A significant unconsolidated VIE is an entity where the Company has any variable interest considered to be significant, regardless of the likelihood of loss or the notional amount of exposure.

(5)

Citicorp mortgage securitizations also include agency and non-agency (private label) re-securitization activities. These SPE entities are not consolidated. See "Re-Securitizations" below for further discussion.

As of December 31, 2010
								Maximum exposure to loss in significant unconsolidated VIEs(1)
								Funded exposures(2)				Unfunded exposures(3)
		Total involvement with SPE assets
In millions of dollars				Consolidated VIE / SPE assets		Significant unconsolidated VIE assets(4)		Debt investments		Equity investments		Funding commitments		Guarantees and derivatives		Total
Citicorp
Credit card securitizations		$	62,061	$	62,061	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(5)
	U.S. agency-sponsored		211,178		—		211,178		3,331		—		—		27		3,358
	Non-agency-sponsored		16,441		1,454		14,987		718		—		—		—		718
Citi-administered asset-backed commercial paper conduits (ABCP)			30,941		21,312		9,629		—		—		9,629		—		9,629
Third-party commercial paper conduits			4,845		308		4,537		415		—		298		—		713
Collateralized debt obligations (CDOs)			5,379		—		5,379		103		—		—		—		103
Collateralized loan obligations (CLOs)			6,740		—		6,740		68		—		—		—		68
Asset-based financing			17,571		1,421		16,150		5,641		—		5,596		11		11,248
Municipal securities tender option bond trusts (TOBs)			17,047		8,105		8,942		—		—		6,454		423		6,877
Municipal investments			13,720		178		13,542		2,057		2,929		1,836		—		6,822
Client intermediation			6,612		1,899		4,713		1,312		8		—		—		1,320
Investment funds			3,741		259		3,482		2		82		66		19		169
Trust preferred securities			19,776		—		19,776		—		128		—		—		128
Other			5,085		1,412		3,673		467		32		119		80		698
Total		$	421,137	$	98,409	$	322,728	$	14,114	$	3,179	$	23,998	$	560	$	41,851
Citi Holdings
Credit card securitizations		$	33,606	$	33,196	$	410	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(5)
	U.S. agency-sponsored		207,729		—		207,729		2,701		—		—		108		2,809
	Non-agency-sponsored		22,274		2,727		19,547		160		—		—		—		160
Student loan securitizations			2,893		2,893		—		—		—		—		—		—
Third-party commercial paper conduits			3,365		—		3,365		—		—		252		—		252
Collateralized debt obligations (CDOs)			8,452		755		7,697		189		—		—		141		330
Collateralized loan obligations (CLOs)			12,234		—		12,234		1,754		—		29		401		2,184
Asset-based financing			22,756		136		22,620		8,626		3		300		—		8,929
Municipal investments			5,241		—		5,241		561		200		196		—		957
Client intermediation			659		195		464		62		—		—		345		407
Investment funds			1,961		627		1,334		—		70		45		—		115
Other			8,444		6,955		1,489		276		112		91		—		479
Total		$	329,614	$	47,484	$	282,130	$	14,329	$	385	$	913	$	995	$	16,622
Total Citigroup		$	750,751	$	145,893	$	604,858	$	28,443	$	3,564	$	24,911	$	1,555	$	58,473

(1)

The definition of maximum exposure to loss is included in the text that follows.

(2)

Included in Citigroup's December 31, 2010 Consolidated Balance Sheet.

(3)

Not included in Citigroup's December 31, 2010 Consolidated Balance Sheet.

(4)

A significant unconsolidated VIE is an entity where the Company has any variable interest considered to be significant, regardless of the likelihood of loss or the notional amount of exposure.

(5)

Citicorp mortgage securitizations also include agency and non-agency (private label) re-securitization activities. These SPE entities are not consolidated. See "Re-Securitizations" below for further discussion.

(6)

Restated to conform to the current period's presentation.

Schedule of funding commitments of unconsolidated Variable Interest Entities

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 June 30, 2011:

In millions of dollars	Liquidity Facilities		Loan Commitments
Citicorp
Citi-administered asset-backed commercial paper conduits (ABCP)	$	9,537	$	—
Third-party commercial paper conduits		298		—
Asset-based financing		5		3,052
Municipal securities tender option bond trusts (TOBs)		5,258		—
Municipal investments		—		1,745
Investment Funds		—		63
Other		—		135
Total Citicorp	$	15,098	$	4,995
Citi Holdings
Collateralized loan obligations (CLOs)	$	—	$	7
Asset-based financing		—		399
Municipal investments		—		98
Other		—		135
Total Citi Holdings	$	—	$	639
Total Citigroup funding commitments	$	15,098	$	5,634

Schedule of carrying amounts and classifications of consolidated assets that are collateral for consolidated VIE and SPE obligations

	June 30, 2011						December 31, 2010
In billions of dollars	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Cash	$	0.2	$	0.8	$	1.0	$	0.2	$	0.6	$	0.8
Trading account assets		0.6		0.2		0.8		4.9		1.6		6.5
Investments		7.8		0.2		8.0		7.9		—		7.9
Total loans, net		79.6		37.8		117.4		85.3		44.7		130.0
Other		0.6		1.1		1.7		0.1		0.6		0.7
Total assets	$	88.8	$	40.1	$	128.9	$	98.4	$	47.5	$	145.9
Short-term borrowings	$	21.8	$	0.8	$	22.6	$	23.1	$	2.2	$	25.3
Long-term debt		35.8		19.5		55.3		47.6		22.1		69.7
Other liabilities		0.1		0.4		0.5		0.6		0.2		0.8
Total liabilities	$	57.7	$	20.7	$	78.4	$	71.3	$	24.5	$	95.8

Schedule of significant interests in unconsolidated VIEs - balance sheet classification

	June 30, 2011						December 31, 2010
In billions of dollars	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Trading account assets	$	3.6	$	1.5	$	5.1	$	3.6	$	2.7	$	6.3
Investments		3.4		5.5		8.9		3.8		5.9		9.7
Loans		9.9		3.0		12.9		7.3		5.0		12.3
Other		2.3		1.7		4.0		2.7		2.0		4.7
Total assets	$	19.2	$	11.7	$	30.9	$	17.4	$	15.6	$	33.0
Long-term debt	$	0.3	$	—	$	0.3	$	0.4	$	0.5	$	0.9
Other liabilities		—		—		—		—		—		—
Total liabilities	$	0.3	$	—	$	0.3	$	0.4	$	0.5	$	0.9

Schedule of securitized credit card receivables

		Citicorp				Citi Holdings
In billions of dollars		June 30, 2011		December 31, 2010		June 30, 2011		December 31, 2010
Principal amount of credit card receivables in trusts		$	61.3	$	67.5	$	30.2	$	34.1
Ownership interests in principal amount of trust credit card receivables
	Sold to investors via trust-issued securities	$	32.2	$	42.0	$	13.1	$	16.4
	Retained by Citigroup as trust-issued securities		8.5		3.4		7.1		7.1
	Retained by Citigroup via non-certificated interests		20.6		22.1		10.0		10.6
Total ownership interests in principal amount of trust credit card receivables		$	61.3	$	67.5	$	30.2	$	34.1

Schedule of cash flow information, credit card securitizations of Citicorp

	Three months ended June 30,
In billions of dollars	2011			2010
Proceeds from new securitizations	$	—		$	—
Pay down of maturing notes		(10.8	)		(6.9	)

	Six months ended June 30,
In billions of dollars	2011			2010
Proceeds from new securitizations	$	—		$	—
Pay down of maturing notes		(10.8	)		(17.4	)

Schedule of cash flow information, credit card securitizations of Citi Holdings

	Three months ended June 30,
In billions of dollars	2011			2010
Proceeds from new securitizations	$	3.0		$	2.1
Pay down of maturing notes		(4.8	)		(4.0	)

	Six months ended June 30,
In billions of dollars	2011			2010
Proceeds from new securitizations	$	3.9		$	3.8
Pay down of maturing notes		(7.2	)		(13.8	)

Schedule of Master Trust liabilities (at par value)

In billions of dollars	June 30, 2011		December 31, 2010
Term notes issued to multi- seller CP conduits	$	—	$	0.3
Term notes issued to third parties		32.2		41.8
Term notes retained by Citigroup affiliates		8.5		3.4
Total Master Trust Liabilities	$	40.7	$	45.5

Schedule of Omni Trust liabilities (at par value)

In billions of dollars	June 30, 2011		December 31, 2010
Term notes issued to multi-seller commercial paper conduits	$	3.9	$	7.2
Term notes issued to third parties		9.2		9.2
Term notes retained by Citigroup affiliates		7.1		7.1
Total Omni Trust Liabilities	$	20.2	$	23.5

Schedule of cash flow information, mortgage securitizations of Citicorp

	Three months ended June 30,
	2011				2010
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		Agency- and non-agency- sponsored mortgages
Proceeds from new securitizations	$	11.1		—	$	12.0
Contractual servicing fees received		0.1		—		0.1

	Six months ended June 30,
	2011				2010
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		Agency- and non-agency- sponsored mortgages
Proceeds from new securitizations	$	25.8	$	0.1	$	24.3
Contractual servicing fees received		0.3		—		0.3

Schedule of key assumptions used in measuring fair value of retained interest at the date of sale or securitization of mortgage receivables of Citicorp

		Three months ended June 30, 2011						Three months ended June 30, 2010
			Non-agency-sponsored mortgages(1)
		U.S. agency- sponsored mortgages	Senior Interests			Subordinated Interests		Agency- and non-agency- sponsored mortgages
Discount rate		0.6% to 23.7%		10.0	%		—	0.9% to 39.8%
	Weighted average discount rate	10.4%		10.0	%		—
Constant prepayment rate		3.6% to 22.6%		1.0	%		—	3.0% to 25.0%
	Weighted average constant prepayment rate	7.3%		1.0	%		—
Anticipated net credit losses(2)		NM		72.0	%		—	40.0% to 75.0%
	Weighted average anticipated net credit losses	NM		72.0	%		—

		Six months ended June 30, 2011					Six months ended June 30, 2010
			Non-agency-sponsored mortgages(1)
		U.S. agency- sponsored mortgages	Senior Interests	Subordinated Interests			Agency- and non-agency- sponsored mortgages
Discount rate		0.6% to 28.3%	2.4% to 10.0%		8.4	%	0.9% to 39.8%
	Weighted average discount rate	10.6%	4.5%		8.4	%
Constant prepayment rate		2.2% to 22.6%	1.0% to 2.2%		22.1	%	3.0% to 25.0%
	Weighted average constant prepayment rate	5.7%	1.9%		22.1	%
Anticipated net credit losses(2)		NM	35.0% to 72.0%		11.4	%	40.0% to 75.0%
	Weighted average anticipated net credit losses	NM	45.3%		11.4	%

(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, does not represent total credit losses incurred to date, nor does it represent credit losses expected on retained interests in mortgage securitzations.

NM    Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

Schedule of key assumptions used to value retained interests and sensitivity of adverse changes of 10% and 20%, mortgage securitizations of Citicorp

		June 30, 2011
			Non-agency-sponsored mortgages(1)
		U.S. agency- sponsored mortgages	Senior Interests	Subordinated Interests
Discount rate		0.6% to 23.7%	3.5% to 20.1%	0.1% to 12.7%
	Weighted average discount rate	9.8%	10.1%	8.0%
Constant prepayment rate		9.5% to 22.6%	0.8% to 20.2%	0.5% to 27.0%
	Weighted average constant prepayment rate	9.9%	7.4%	4.7%
Anticipated net credit losses(2)		NM	0.0% to 85.0%	35.0% to 90.0%
	Weighted average anticipated net credit losses	NM	38.1%	52.5%

(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, does not represent total credit losses incurred to date, nor does it represent credit losses expected on retained interests in mortgage securitzations.

NM    Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

					Non-agency- sponsored mortgages
In millions of dollars		U.S. agency- sponsored mortgages			Senior Interests			Subordinated Interests
Carrying value of retained interests		$	3,146		$	276		$	275
Discount rates
	Adverse change of 10%	$	(104	)	$	(10	)	$	(12	)
	Adverse change of 20%		(206	)		(20	)		(23	)
Constant prepayment rate
	Adverse change of 10%	$	(94	)	$	(8	)	$	(4	)
	Adverse change of 20%		(185	)		(16	)		(9	)
Anticipated net credit losses
	Adverse change of 10%	$	(9	)	$	(18	)	$	(21	)
	Adverse change of 20%		(18	)		(29	)		(38	)

Schedule of cash flow information, mortgage securitizations of Citi Holdings

	Three months ended June 30,
	2011				2010
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		Agency- and Non-agency- sponsored mortgages
Proceeds from new securitizations	$	0.3	$	—	$	—
Contractual servicing fees received		0.1		—		0.3
Cash flows received on retained interests and other net cash flows		—		—		0.1

	Six months ended June 30,
	2011				2010
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		Agency- and Non-agency- sponsored mortgages
Proceeds from new securitizations	$	0.6	$	—	$	—
Contractual servicing fees received		0.3		0.1		0.5
Cash flows received on retained interests and other net cash flows		—		—		0.1

Schedule of key assumptions used to value retained interests and sensitivity of adverse changes of 10% and 20%, mortgage securitizations of Citi Holdings

		June 30, 2011
			Non-agency-sponsored mortgages(1)
		U.S. agency- sponsored mortgages	Senior Interests	Subordinated Interests
Discount rate		13.3%	4.7% to 15.8%	0.1% to 10.0%
	Weighted average discount rate	13.3%	6.8%	3.4%
Constant prepayment rate		14.0%	8.0% to 100.0%	2.0% to 3.0%
	Weighted average constant prepayment rate	14.0%	18.6%	0.8%
Anticipated net credit losses		NM	0.3% to 60.0%	40.0% to 95.0%
	Weighted average anticipated net credit losses	NM	3.5%	34.7%
Weighted average life		6.2 years	4.3-5.6 years	0.6-8.2 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.

NM    Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

					Non-agency- sponsored mortgages
In millions of dollars		U.S. agency- sponsored mortgages			Senior Interests			Subordinated Interests
Carrying value of retained interests		$	1,979		$	316		$	12
Discount rates
	Adverse change of 10%	$	(83	)	$	(7	)	$	(3	)
	Adverse change of 20%		(160	)		(13	)		(3	)
Constant prepayment rate
	Adverse change of 10%	$	(103	)	$	(24	)	$	—
	Adverse change of 20%		(199	)		(47	)		—
Anticipated net credit losses
	Adverse change of 10%	$	(34	)	$	(16	)	$	(3	)
	Adverse change of 20%		(68	)		(29	)		(4	)

(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.

NM    Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

Schedule of changes in capitalized MSRs

	Three months ended June 30,
In millions of dollars	2011			2010
Balance, as of March 31	$	4,690		$	6,439
Originations		105			117
Changes in fair value of MSRs due to changes in inputs and assumptions		(277	)		(1,384	)
Other changes(1)		(260	)		(278	)
Balance, as of June 30	$	4,258		$	4,894

	Six months ended June 30,
In millions of dollars	2011			2010
Balance, as of the beginning of year	$	4,554		$	6,530
Originations		299			269
Changes in fair value of MSRs due to changes in inputs and assumptions		(105	)		(1,294	)
Other changes(1)		(490	)		(611	)
Balance, as of June 30	$	4,258		$	4,894

(1)

Represents changes due to customer payments and passage of time.

Schedule of fees received on servicing previously securitized mortgages

	Three months ended June 30,				Six months ended June 30,
In millions of dollars	2011		2010		2011		2010
Servicing fees	$	301	$	344	$	605	$	713
Late fees		18		21		39		44
Ancillary fees		25		53		53		92
Total MSR fees	$	344	$	418	$	697	$	849

Schedule of key assumptions for measuring fair value of retained interests at the date of sale or securitization of CDOs and CLOs of Citi Holdings

	CDOs	CLOs
Discount rate	42.0% to 45.8%	4.5% to 5.0%

Schedule of asset-based financing of Citicorp

In millions of dollars		CDOs			CLOs
Carrying value of retained interests		$	14		$	251
Discount rates
	Adverse change of 10%	$	(2	)	$	(1	)
	Adverse change of 20%		(3	)		(1	)

Schedule of asset-based financing of Citi Holdings

In billions of dollars	Total assets		Maximum exposure
Type
Commercial and other real estate	$	2.4	$	0.8
Hedge funds and equities		6.7		2.7
Airplanes, ships and other assets		7.1		5.6
Total	$	16.2	$	9.1

Schedule of selected cash flow information related to asset-based financing

In billions of dollars	Total assets		Maximum exposure
Type
Commercial and other real estate	$	5.4	$	0.7
Corporate loans		5.3		4.4
Airplanes, ships and other assets		4.1		1.6
Total	$	14.8	$	6.7

        The following table summarizes selected cash flow information related to asset-based financings for the three and six months ended June 30, 2011 and 2010:

	Three months ended June 30,
In billions of dollars	2011		2010
Cash flows received on retained interests and other net cash flows	$	0.5	$	0.4

	Six months ended June 30,
In billions of dollars	2011		2010
Cash flows received on retained interests and other net cash flows	$	0.9	$	0.9

Schedule of sensitivity of adverse changes of 10% and 20% to discount rate, asset-based financing

In millions of dollars		Asset-based financing
Carrying value of retained interests		$	4,387
Value of underlying portfolio
	Adverse change of 10%	$	—
	Adverse change of 20%		(35	)