SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

3 Months Ended

Mar. 31, 2012

SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

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

As of March 31, 2012
							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	$	77,582	$	77,582	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(5)
U.S. agency-sponsored		239,080		—		239,080		3,756		—		—		24		3,780
Non-agency-sponsored		9,771		1,550		8,221		399		—		—		—		399
Citi-administered asset-backed commercial paper conduits (ABCP)		29,302		18,821		10,481		—		—		10,481		—		10,481
Third-party commercial paper conduits		—		—		—		—		—		—		—		—
Collateralized debt obligations (CDOs)		3,086		—		3,086		74		—		—		—		74
Collateralized loan obligations (CLOs)		10,115		—		10,115		497		—		—		—		497
Asset-based financing		20,057		1,221		18,836		9,089		15		3,582		150		12,836
Municipal securities tender option bond trusts (TOBs)		16,250		7,915		8,335		708		—		5,019		—		5,727
Municipal investments		20,096		259		19,837		1,955		3,377		1,330		—		6,662
Client intermediation		2,323		57		2,266		502		—		—		—		502
Investment funds		3,321		24		3,297		—		160		48		—		208
Trust preferred securities		17,958		—		17,958		—		128		—		—		128
Other		2,778		136		2,642		303		312		218		81		914
Total	$	451,719	$	107,565	$	344,154	$	17,283	$	3,992	$	20,678	$	255	$	42,208
Citi Holdings
Credit card securitizations	$	648	$	480	$	168	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations
U.S. agency-sponsored		142,067		—		142,067		1,131		—		—		148		1,279
Non-agency-sponsored		19,780		1,751		18,029		66		—		—		2		68
Student loan securitizations		1,793		1,793		—		—		—		—		—		—
Collateralized debt obligations (CDOs)		5,777		—		5,777		159		—		—		115		274
Collateralized loan obligations (CLOs)		5,664		—		5,664		489		—		9		93		591
Asset-based financing		7,182		32		7,150		3,748		3		237		—		3,988
Municipal investments		5,849		—		5,849		185		260		65		—		510
Client intermediation		83		83		—		—		—		—		—		—
Investment funds		1,161		14		1,147		—		44		—		—		44
Other		6,555		6,320		235		—		38		—		—		38
Total	$	196,559	$	10,473	$	186,086	$	5,778	$	345	$	311	$	358	$	6,792
Total Citigroup	$	648,278	$	118,038	$	530,240	$	23,061	$	4,337	$	20,989	$	613	$	49,000

(1)

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

(2)

Included in Citigroup's March 31, 2012 Consolidated Balance Sheet.

(3)

Not included in Citigroup's March 31, 2012 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.

Reclassified to conform to the current year's presentation.

As of December 31, 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	$	87,083	$	87,083	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(5)
U.S. agency-sponsored		232,179		—		232,179		3,769		—		—		26		3,795
Non-agency-sponsored		9,743		1,622		8,121		348		—		—		—		348
Citi-administered asset-backed commercial paper conduits (ABCP)		34,987		21,971		13,016		—		—		13,016		—		13,016
Third-party commercial paper conduits		7,507		—		7,507		—		—		298		—		298
Collateralized debt obligations (CDOs)		3,334		—		3,334		20		—		—		—		20
Collateralized loan obligations (CLOs)		8,127		—		8,127		64		—		—		—		64
Asset-based financing		19,034		1,303		17,731		7,892		2		2,891		121		10,906
Municipal securities tender option bond trusts (TOBs)		16,849		8,224		8,625		708		—		5,413		—		6,121
Municipal investments		19,931		299		19,632		2,220		3,397		1,439		—		7,056
Client intermediation		2,110		24		2,086		468		—		—		—		468
Investment funds		3,415		30		3,385		—		171		63		—		234
Trust preferred securities		17,882		—		17,882		—		128		—		—		128
Other		6,210		97		6,113		354		172		279		79		884
Total	$	468,391	$	120,653	$	347,738	$	15,843	$	3,870	$	23,399	$	226	$	43,338
Citi Holdings
Credit card securitizations	$	780	$	581	$	199	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations
U.S. agency-sponsored		152,265		—		152,265		1,159		—		—		120		1,279
Non-agency-sponsored		20,821		1,764		19,057		61		—		—		2		63
Student loan securitizations		1,822		1,822		—		—		—		—		—		—
Collateralized debt obligations (CDOs)		6,581		—		6,581		117		—		—		120		237
Collateralized loan obligations (CLOs)		7,479		—		7,479		1,125		—		6		90		1,221
Asset-based financing		9,480		73		9,407		5,004		3		250		—		5,257
Municipal investments		5,637		—		5,637		206		265		71		—		542
Client intermediation		111		111		—		—		—		—		—		—
Investment funds		1,114		14		1,100		—		43		—		—		43
Other		6,762		6,581		181		3		36		15		—		54
Total	$	212,852	$	10,946	$	201,906	$	7,675	$	347	$	342	$	332	$	8,696
Total Citigroup	$	681,243	$	131,599	$	549,644	$	23,518	$	4,217	$	23,741	$	558	$	52,034

(1)

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

(2)

Included in Citigroup's December 31, 2011 Consolidated Balance Sheet.

(3)

Not included in Citigroup's December 31, 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.

Reclassified to conform to the current year'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 March 31, 2012:

In millions of dollars	Liquidity facilities		Loan commitments
Citicorp
Citi-administered asset-backed commercial paper conduits (ABCP)	$	10,481	$	—
Asset-based financing		5		3,577
Municipal securities tender option bond trusts (TOBs)		5,019		—
Municipal investments		—		1,330
Investment funds		—		48
Other		—		218
Total Citicorp	$	15,505	$	5,173
Citi Holdings
Collateralized loan obligations (CLOs)	$	—	$	9
Asset-based financing		81		156
Municipal investments		—		65
Total Citi Holdings	$	81	$	230
Total Citigroup funding commitments	$	15,586	$	5,403

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

	March 31, 2012						December 31, 2011
In billions of dollars	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Cash	$	0.2	$	0.3	$	0.5	$	0.2	$	0.4	$	0.6
Trading account assets		0.5		0.1		0.6		0.4		0.1		0.5
Investments		7.6		—		7.6		10.6		—		10.6
Total loans, net		98.8		9.7		108.5		109.0		10.1		119.1
Other		0.5		0.3		0.8		0.5		0.3		0.8
Total assets	$	107.6	$	10.4	$	118.0	$	120.7	$	10.9	$	131.6
Short-term borrowings	$	22.0	$	—	$	22.0	$	22.5	$	0.8	$	23.3
Long-term debt		38.8		6.3		45.1		44.8		5.6		50.4
Other liabilities		0.4		0.2		0.6		0.4		0.2		0.6
Total liabilities	$	61.2	$	6.5	$	67.7	$	67.7	$	6.6	$	74.3

Schedule of significant interests in unconsolidated VIEs - balance sheet classification

	March 31, 2012						December 31, 2011
In billions of dollars	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Trading account assets	$	5.7	$	0.5	$	6.2	$	5.5	$	1.0	$	6.5
Investments		3.7		3.5		7.2		3.8		4.4		8.2
Loans		10.1		1.2		11.3		8.8		1.6		10.4
Other		1.7		0.9		2.6		1.6		1.0		2.6
Total assets	$	21.2	$	6.1	$	27.3	$	19.7	$	8.0	$	27.7
Long-term debt	$	0.2	$	—	$	0.2	$	0.2	$	—	$	0.2
Other liabilities		—		—		—		—		—		—
Total liabilities	$	0.2	$	—	$	0.2	$	0.2	$	—	$	0.2

Schedule of securitized credit card receivables

	Citicorp				Citi Holdings
In billions of dollars	March 31, 2012		December 31, 2011		March 31, 2012		December 31, 2011
Principal amount of credit card receivables in trusts	$	82.4	$	89.8	$	0.5	$	0.6
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	37.6	$	42.7	$	0.2	$	0.3
Retained by Citigroup as trust-issued securities		14.4		14.7		0.1		0.1
Retained by Citigroup via non-certificated interests		30.4		32.4		0.2		0.2
Total ownership interests in principal amount of trust credit card receivables	$	82.4	$	89.8	$	0.5	$	0.6

Schedule of cash flow information, credit card securitizations of Citicorp

The following table summarizes selected cash flow information related to Citicorp's credit card securitizations for the three months ended March 31, 2012 and 2011:

In billions of dollars	2012			2011
Proceeds from new securitizations	$	—		$	—
Pay down of maturing notes		(5.0	)		—

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

The following table summarizes selected cash flow information related to Citi Holdings' credit card securitizations for the three months ended March 31, 2012 and 2011:

In billions of dollars	2012		2011
Proceeds from new securitizations	$	—	$	0.9
Pay down of maturing notes		—		(2.4	)

Schedule of Master Trust liabilities (at par value)

In billions of dollars	March 31, 2012		December 31, 2011
Term notes issued to multi-seller commercial paper conduits	$	—	$	—
Term notes issued to third parties		27.0		30.4
Term notes retained by Citigroup affiliates		7.4		7.7
Total Master Trust liabilities	$	34.4	$	38.1

Schedule of Omni Trust liabilities (at par value)

In billions of dollars	March 31, 2012		December 31, 2011
Term notes issued to multi-seller commercial paper conduits	$	1.6	$	3.4
Term notes issued to third parties		9.2		9.2
Term notes retained by Citigroup affiliates		7.1		7.1
Total Omni Trust liabilities	$	17.9	$	19.7

Schedule of cash flow information, mortgage securitizations of Citicorp

The following tables summarize selected cash flow information related to Citicorp mortgage securitizations for the quarters ended March 31, 2012 and 2011:

	2012				2011
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		Agency- and non-agency- sponsored mortgages
Proceeds from new securitizations	$	16.6	$	0.3	$	14.8
Contractual servicing fees received		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

	March 31, 2012			March 31, 2011
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests	Subordinated interests	Agency- and non-agency- sponsored mortgages
Discount rate	2.3% to 12.9%	—	16.9% to 19.3%	0.4% to 43.2%
Weighted average discount rate	11.0%	—	18.3%
Constant prepayment rate	7.3% to 13.4%	—	2.2% to 5.4%	1.0% to 31.2%
Weighted average constant prepayment rate	10.7%	—	3.3%
Anticipated net credit losses(2)	NM	—	55.2% to 62.9%	9.2% to 90.0%
Weighted average anticipated net credit losses	NM	—	59.1%

(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.

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

	March 31, 2012
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests	Subordinated interests
Discount rate	0.7% to 11.7%	2.9% to 26.5%	4.0% to 26.3%
Weighted average discount rate	8.9%	14.0%	13.5%
Constant prepayment rate	9.8% to 22.5%	2.1% to 28.1%	0.4% to 26.4%
Weighted average constant prepayment rate	19.8%	12.9%	7.3%
Anticipated net credit losses(2)	NM	0.0% to 79.4%	10.0% to 86.8%
Weighted average anticipated net credit losses	NM	41.2%	52.9%

(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	$	2,556		$	91		$	436
Discount rates
Adverse change of 10%	$	(72	)	$	(3	)	$	(29	)
Adverse change of 20%		(139	)		(6	)		(54	)
Constant prepayment rate
Adverse change of 10%	$	(115	)	$	(3	)	$	(11	)
Adverse change of 20%		(221	)		(5	)		(19	)
Anticipated net credit losses
Adverse change of 10%	$	(12	)	$	(1	)	$	(15	)
Adverse change of 20%		(24	)		(2	)		(26	)

(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

	2012				2011
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		Agency- and non-agency- sponsored mortgages
Proceeds from new securitizations	$	0.2	$	—	$	0.3
Contractual servicing fees received		0.1		—		0.1
Cash flows received on retained interests and other net cash flows		—		—		—

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

	March 31, 2012
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests	Subordinated interests
Discount rate	9.0%	7.4% to 15.7%	1.4% to 14.4%
Weighted average discount rate	9.0%	8.3%	4.1%
Constant prepayment rate	24.5%	24.2% to 100.0%	2.0% to 6.7%
Weighted average constant prepayment rate	24.5%	26.2%	6.1%
Anticipated net credit losses	NM	0.2% to 40.0%	12.5% to 57.0%
Weighted average anticipated net credit losses	NM	1.3%	49.5%
Weighted average life	4.4 years	4.2-5.4 years	1.1-10.5 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	$	1,049		$	169		$	30
Discount rates
Adverse change of 10%	$	(33	)	$	(5	)	$	(2	)
Adverse change of 20%		(64	)		(10	)		(2	)
Constant prepayment rate
Adverse change of 10%	$	(80	)	$	(12	)	$	(1	)
Adverse change of 20%		(154	)		(24	)		(2	)
Anticipated net credit losses
Adverse change of 10%	$	(24	)	$	(6	)	$	(5	)
Adverse change of 20%		(49	)		(11	)		(8	)

(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

In millions of dollars	2012			2011
Balance, beginning of year	$	2,569		$	4,554
Originations		144			194
Changes in fair value of MSRs due to changes in inputs and assumptions		249			172
Other changes(1)		(271	)		(230	)
Balance, as of March 31	$	2,691		$	4,690

(1)

Represents changes due to customer payments and passage of time.

Schedule of fees received on servicing previously securitized mortgages

The amounts of these fees for the quarters ended March 31, 2012 and 2011 were as follows:

In millions of dollars	2012		2011
Servicing fees	$	268	$	304
Late fees		17		21
Ancillary fees		28		28
Total MSR fees	$	313	$	353

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

The key assumptions, used for the securitization of CDOs and CLOs during the quarter ended March 31, 2012, in measuring the fair value of retained interests were as follows:

	CDOs	CLOs
Discount rate	46.9% to 51.6%	4.1% to 4.5%

Schedule of sensitivity of adverse changes of 10% and 20% to discount rate, CDOs and CLOs

In millions of dollars	CDOs			CLOs
Carrying value of retained interests	$	14		$	142
Discount rates
Adverse change of 10%	$	(2	)	$	(5	)
Adverse change of 20%		(3	)		(11	)

Schedule of asset-based financing of Citicorp

In billions of dollars	Total assets		Maximum exposure
Type
Commercial and other real estate	$	3.5	$	1.4
Hedge funds and equities		5.2		2.3
Airplanes, ships and other assets		10.1		9.1
Total	$	18.8	$	12.8

Schedule of asset-based financing of Citi Holdings

In billions of dollars	Total assets		Maximum Exposure
Type
Commercial and other real estate	$	1.7	$	0.4
Corporate loans		3.7		3.0
Airplanes, ships and other assets		1.8		0.6
Total	$	7.2	$	4.0

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

The following table summarizes selected cash flow information related to asset-based financings for the quarters ended March 31, 2012 and 2011:

In billions of dollars	2012		2011
Cash flows received on retained interests and other net cash flows	$	0.9	$	0.5

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

The effect of an adverse change of 10% and 20% in the discount rates used to determine the fair value of retained interests at March 31, 2012 is set forth in the table below:

In millions of dollars	Asset-based financing
Carrying value of retained interests	$	3,022
Value of underlying portfolio
Adverse change of 10%	$	—
Adverse change of 20%		—