SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 30, 2011

SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

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

As of September 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		$	55,538	$	55,538	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(5)
	U.S. agency-sponsored		234,048		—		234,048		3,806		—		—		28		3,834
	Non-agency-sponsored		11,770		1,774		9,996		405		—		—		—		405
Citi-administered asset-backed commercial paper conduits (ABCP)			31,602		20,073		11,529		—		—		11,529		—		11,529
Third-party commercial paper conduits			7,808		—		7,808		457		—		298		—		755
Collateralized debt obligations (CDOs)			3,964		—		3,964		24		—		—		—		24
Collateralized loan obligations (CLOs)			9,432		—		9,432		103		—		—		—		103
Asset-based financing			17,998		1,471		16,527		6,329		2		2,984		105		9,420
Municipal securities tender option bond trusts (TOBs)			16,761		8,324		8,437		708		—		5,356		25		6,089
Municipal investments			15,996		288		15,708		2,315		2,704		1,223		—		6,242
Client intermediation			3,515		157		3,358		562		—		—		—		562
Investment funds			3,715		87		3,628		—		111		57		—		168
Trust preferred securities			17,939		—		17,939		—		128		—		—		128
Other			6,253		124		6,129		354		67		112		79		612
Total		$	436,339	$	87,836	$	348,503	$	15,063	$	3,012	$	21,559	$	237	$	39,871
Citi Holdings
Credit card securitizations		$	29,305	$	29,070	$	235	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations
	U.S. agency-sponsored		176,268		—		176,268		1,879		—		—		145		2,024
	Non-agency-sponsored		18,309		1,699		16,610		73		—		—		—		73
Student loan securitizations			1,836		1,836		—		—		—		—		—		—
Collateralized debt obligations (CDOs)			6,956		—		6,956		139		—		—		137		276
Collateralized loan obligations (CLOs)			9,416		—		9,416		1,376		—		7		98		1,481
Asset-based financing			12,954		84		12,870		5,476		3		287		—		5,766
Municipal investments			5,191		—		5,191		344		266		85		—		695
Client intermediation			155		120		35		35		—		—		—		35
Investment funds			1,239		14		1,225		29		45		—		—		74
Other			7,337		6,818		519		101		62		160		—		323
Total		$	268,966	$	39,641	$	229,325	$	9,452	$	376	$	539	$	380	$	10,747
Total Citigroup		$	705,305	$	127,477	$	577,828	$	24,515	$	3,388	$	22,098	$	617	$	50,618

(1)

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

(2)

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

(3)

Not included in Citigroup's September 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 SPEs 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 SPEs are not consolidated. See "Re-Securitizations" below for further discussion.

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 September 30, 2011:

In millions of dollars	Liquidity Facilities		Loan Commitments
Citicorp
Citi-administered asset-backed commercial paper conduits (ABCP)	$	11,529	$	—
Third-party commercial paper conduits		298		—
Asset-based financing		5		2,979
Municipal securities tender option bond trusts (TOBs)		5,356		—
Municipal investments		344		879
Investment funds		—		57
Other		—		112
Total Citicorp	$	17,532	$	4,027
Citi Holdings
Collateralized loan obligations (CLOs)	$	—	$	7
Asset-based financing		70		217
Municipal investments		—		85
Other		—		160
Total Citi Holdings	$	70	$	469
Total Citigroup funding commitments	$	17,602	$	4,496

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

	September 30, 2011						December 31, 2010
In billions of dollars	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Cash	$	0.2	$	0.7	$	0.9	$	0.2	$	0.6	$	0.8
Trading account assets		0.6		0.2		0.8		4.9		1.6		6.5
Investments		8.0		1.5		9.5		7.9		—		7.9
Total loans, net		78.4		37.0		115.4		85.3		44.7		130.0
Other		0.6		0.3		0.9		0.1		0.6		0.7
Total assets	$	87.8	$	39.7	$	127.5	$	98.4	$	47.5	$	145.9
Short-term borrowings	$	22.6	$	0.8	$	23.4	$	23.1	$	2.2	$	25.3
Long-term debt		34.0		18.4		52.4		47.6		22.1		69.7
Other liabilities		0.1		0.2		0.3		0.6		0.2		0.8
Total liabilities	$	56.7	$	19.4	$	76.1	$	71.3	$	24.5	$	95.8

Schedule of significant interests in unconsolidated VIEs - balance sheet classification

	September 30, 2011						December 31, 2010
In billions of dollars	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Trading account assets	$	5.4	$	1.4	$	6.8	$	5.0	$	2.7	$	7.7
Investments		3.3		5.2		8.5		3.8		5.9		9.7
Loans		7.9		2.1		10.0		5.9		5.0		10.9
Other		1.5		1.2		2.7		2.7		2.0		4.7
Total assets	$	18.1	$	9.9	$	28.0	$	17.4	$	15.6	$	33.0
Long-term debt	$	0.2	$	—	$	0.2	$	0.4	$	0.5	$	0.9
Other liabilities		—		—		—		—		—		—
Total liabilities	$	0.2	$	—	$	0.2	$	0.4	$	0.5	$	0.9

Schedule of securitized credit card receivables

		Citicorp				Citi Holdings
In billions of dollars		September 30, 2011		December 31, 2010		September 30, 2011		December 31, 2010
Principal amount of credit card receivables in trusts		$	59.6	$	67.5	$	29.6	$	34.1
Ownership interests in principal amount of trust credit card receivables
	Sold to investors via trust-issued securities	$	31.5	$	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		19.6		22.1		9.4		10.6
Total ownership interests in principal amount of trust credit card receivables		$	59.6	$	67.5	$	29.6	$	34.1

Schedule of cash flow information, credit card securitizations of Citicorp

	Three months ended September 30,
In billions of dollars	2011			2010
Proceeds from new securitizations	$	—		$	—
Pay down of maturing notes		(0.6	)		(1.0	)

	Nine months ended September 30,
In billions of dollars	2011			2010
Proceeds from new securitizations	$	—		$	—
Pay down of maturing notes		(11.5	)		(18.4	)

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

	Three months ended September 30,
In billions of dollars	2011		2010
Proceeds from new securitizations	$	—	$	1.8
Pay down of maturing notes		—		(2.1	)

	Nine months ended September 30,
In billions of dollars	2011			2010
Proceeds from new securitizations	$	3.9		$	5.5
Pay down of maturing notes		(7.2	)		(15.8	)

Schedule of Master Trust liabilities (at par value)

In billions of dollars	September 30, 2011		December 31, 2010
Term notes issued to multi-seller commercial paper conduits	$	—	$	0.3
Term notes issued to third parties		31.5		41.8
Term notes retained by Citigroup affiliates		8.5		3.4
Total Master Trust Liabilities	$	40.0	$	45.5

Schedule of Omni Trust liabilities (at par value)

In billions of dollars	September 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 September 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	$	12.8		—	$	17.6
Contractual servicing fees received		0.1		—		0.1
Cash flows received on retained interests and other net cash flows		—		—		0.1

	Nine months ended September 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	$	38.6	$	0.1	$	41.9
Contractual servicing fees received		0.4		—		0.4
Cash flows received on retained interests and other net cash flows		0.1		—		0.1

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 September 30, 2011					Three months ended September 30, 2010
			Non-agency-sponsored mortgages(1)
		U.S. agency- sponsored mortgages	Senior Interests		Subordinated Interests		Agency- and non-agency- sponsored mortgages
Discount rate		3.0% to 17.5%		—		—	0.8% to 44.9%
	Weighted average discount rate	10.9%		—		—
Constant prepayment rate		5.0% to 23.1%		—		—	1.5% to 49.5%
	Weighted average constant prepayment rate	9.6%		—		—
Anticipated net credit losses(2)		NM		—		—	13.0% to 80.0%
	Weighted average anticipated net credit losses	NM		—		—

		Nine months ended September 30, 2011			Nine months ended September 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%	0.8% to 44.9%
	Weighted average discount rate	11.4%	4.5%	8.4%
Constant prepayment rate		2.2% to 23.1%	1.0% to 2.2%	22.1%	1.5% to 49.5%
	Weighted average constant prepayment rate	7.2%	1.9%	22.1%
Anticipated net credit losses(2)		NM	35.0% to 72.0%	11.4%	13.0% to 80.0%
	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, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.

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

		September 30, 2011
			Non-agency-sponsored mortgages(1)
		U.S. agency- sponsored mortgages	Senior Interests	Subordinated Interests
Discount rate		2.4% to 22.7%	3.6% to 27.6%	1.5% to 32.7%
	Weighted average discount rate	8.3%	8.4%	15.4%
Constant prepayment rate		16.2% to 30.6%	2.2% to 54.7%	1.0% to 30.3%
	Weighted average constant prepayment rate	27.2%	11.6%	11.0%
Anticipated net credit losses(2)		NM	0.0% to 79.3%	31.8% to 90.0%
	Weighted average anticipated net credit losses	NM	41.7%	48.3%

(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, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.

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

					Non-agency-sponsored mortgages(1)
In millions of dollars		U.S. agency- sponsored mortgages			Senior Interests			Subordinated Interests
Carrying value of retained interests		$	2,254		$	185		$	339
Discount rates
	Adverse change of 10%	$	(56	)	$	(6	)	$	(26	)
	Adverse change of 20%		(109	)		(10	)		(47	)
Constant prepayment rate
	Adverse change of 10%	$	(125	)	$	(6	)	$	(6	)
	Adverse change of 20%		(242	)		(13	)		(14	)
Anticipated net credit losses
	Adverse change of 10%	$	(13	)	$	(1	)	$	(3	)
	Adverse change of 20%		(25	)		(3	)		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.

Schedule of cash flow information, mortgage securitizations of Citi Holdings

	Three months ended September 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		—	$	0.6
Contractual servicing fees received		0.1		—		0.2
Cash flows received on retained interests and other net cash flows		—		—		—

	Nine months ended September 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	$	0.9	$	—	$	0.6
Contractual servicing fees received		0.4		0.1		0.7
Cash flows received on retained interests and other net cash flows		0.1		—		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

		September 30, 2011
			Non-agency-sponsored mortgages(1)
		U.S. agency- sponsored mortgages	Senior Interests	Subordinated Interests
Discount rate		7.2%	1.9% to 16.0%	8.6% to 29.9%
	Weighted average discount rate	7.2%	0.3%	13.5%
Constant prepayment rate		29.1%	39.7%	2.0% to 25.6%
	Weighted average constant prepayment rate	29.1%	37.7%	10.0%
Anticipated net credit losses		NM	0.3% to 40.0%	40.0% to 95.0%
	Weighted average anticipated net credit losses	NM	1.6%	50.7%
Weighted average life		4.0 years	3.0-4.9 years	0.3-7.5 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(1)
In millions of dollars		U.S. agency- sponsored mortgages			Senior Interests			Subordinated Interests
Carrying value of retained interests		$	1,179		$	171		$	27
Discount rates
	Adverse change of 10%	$	(33	)	$	(1	)	$	(5	)
	Adverse change of 20%		(64	)		(1	)		(8	)
Constant prepayment rate
	Adverse change of 10%	$	(99	)	$	(26	)	$	(1	)
	Adverse change of 20%		(190	)		(51	)		(2	)
Anticipated net credit losses
	Adverse change of 10%	$	(22	)	$	(9	)	$	(5	)
	Adverse change of 20%		(44	)		(16	)		(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.

Schedule of changes in capitalized MSRs

	Three months ended September 30,
In millions of dollars	2011			2010
Balance, as of June 30	$	4,258		$	4,894
Originations		126			155
Changes in fair value of MSRs due to changes in inputs and assumptions		(1,196	)		(635	)
Other changes(1)		(336	)		(438	)
Balance, as of September 30	$	2,852		$	3,976

	Nine months ended September 30,
In millions of dollars	2011			2010
Balance, as of the beginning of year	$	4,554		$	6,530
Originations		425			424
Changes in fair value of MSRs due to changes in inputs and assumptions		(1,301	)		(1,929	)
Other changes(1)		(826	)		(1,049	)
Balance, as of September 30	$	2,852		$	3,976

(1)

Represents changes due to customer payments and passage of time.

Schedule of fees received on servicing previously securitized mortgages

	Three months ended September 30,				Nine months ended September 30,
In millions of dollars	2011		2010		2011		2010
Servicing fees	$	292	$	336	$	897	$	1,049
Late fees		19		22		58		67
Ancillary fees		39		53		92		145
Total MSR fees	$	350	$	411	$	1,047	$	1,261

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	50.3% to 55.3%	4.1% to 4.5%

Schedule of asset-based financing of Citicorp

In millions of dollars		CDOs			CLOs
Carrying value of retained interests		$	14		$	150
Discount rates
	Adverse change of 10%	$	(1	)	$	(3	)
	Adverse change of 20%		(3	)		(7	)

Schedule of asset-based financing of Citi Holdings

In billions of dollars	Total assets		Maximum exposure
Type
Commercial and other real estate	$	3.3	$	1.3
Hedge funds and equities		6.2		2.4
Airplanes, ships and other assets		7.0		5.7
Total	$	16.5	$	9.4

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	$	5.0	$	0.6
Corporate loans		5.0		4.2
Airplanes, ships and other assets		2.9		1.0
Total	$	12.9	$	5.8

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

	Three months ended September 30,
In billions of dollars	2011		2010
Cash flows received on retained interests and other net cash flows	$	0.2	$	0.2

	Nine months ended September 30,
In billions of dollars	2011		2010
Cash flows received on retained interests and other net cash flows	$	1.2	$	1.2

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		$	4,165
Value of underlying portfolio
	Adverse change of 10%	$	—
	Adverse change of 20%		(285	)