SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 30, 2012

SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

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

As of September 30, 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	$	75,694	$	75,694	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(5)
U.S. agency-sponsored		234,332		—		234,332		2,606		—		—		23		2,629
Non-agency-sponsored		9,416		1,320		8,096		398		—		—		—		398
Citi-administered asset-backed commercial paper conduits (ABCP)		28,231		20,325		7,906		—		—		7,906		—		7,906
Third-party commercial paper conduits		—		—		—		—		—		—		—		—
Collateralized debt obligations (CDOs)		5,563		—		5,563		25		—		—		—		25
Collateralized loan obligations (CLOs)		10,565		—		10,565		398		20		—		—		418
Asset-based financing		27,004		1,163		25,841		11,914		81		2,883		117		14,995
Municipal securities tender option bond trusts (TOBs)		15,512		7,726		7,786		304		—		4,785		—		5,089
Municipal investments		19,030		275		18,755		1,949		2,998		1,454		—		6,401
Client intermediation		2,369		170		2,199		337		—		—		—		337
Investment funds		2,108		21		2,087		—		29		—		—		29
Trust preferred securities		12,699		—		12,699		—		127		—		—		127
Other		2,478		130		2,348		323		278		162		92		855
Total	$	445,001	$	106,824	$	338,177	$	18,254	$	3,533	$	17,190	$	232	$	39,209
Citi Holdings
Credit card securitizations	$	781	$	399	$	382	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations
U.S. agency-sponsored		118,940		—		118,940		695		—		—		143		838
Non-agency-sponsored		17,623		1,670		15,953		47		—		—		2		49
Student loan securitizations		1,723		1,723		—		—		—		—		—		—
Collateralized debt obligations (CDOs)		5,028		—		5,028		125		—		—		151		276
Collateralized loan obligations (CLOs)		4,884		—		4,884		438		—		—		101		539
Asset-based financing		7,945		3		7,942		3,048		11		328		—		3,387
Municipal investments		7,758		—		7,758		124		237		1,002		—		1,363
Client intermediation		33		33		—		—		—		—		—		—
Investment funds		1,151		—		1,151		—		46		—		—		46
Other		6,587		6,437		150		—		3		—		—		3
Total	$	172,453	$	10,265	$	162,188	$	4,477	$	297	$	1,330	$	397	$	6,501
Total Citigroup	$	617,454	$	117,089	$	500,365	$	22,731	$	3,830	$	18,520	$	629	$	45,710

(1)

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

(2)

Included in Citigroup's September 30, 2012 Consolidated Balance Sheet.

(3)

Not included in Citigroup's September 30, 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.

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		20,331		299		20,032		2,345		3,535		1,586		—		7,466
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	$	468,791	$	120,653	$	348,138	$	15,968	$	4,008	$	23,546	$	226	$	43,748
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		10,490		73		10,417		5,004		3		250		—		5,257
Municipal investments		7,820		—		7,820		206		265		1,049		—		1,520
Client intermediation		111		111		—		—		—		—		—		—
Investment funds		1,114		14		1,100		—		43		—		—		43
Other		6,762		6,581		181		3		36		15		—		54
Total	$	216,045	$	10,946	$	205,099	$	7,675	$	347	$	1,320	$	332	$	9,674
Total Citigroup	$	684,836	$	131,599	$	553,237	$	23,643	$	4,355	$	24,866	$	558	$	53,422

(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.

Schedule of funding commitments of unconsolidated Variable Interest Entities

In millions of dollars	Liquidity facilities		Loan commitments
Citicorp
Citi-administered asset-backed commercial paper conduits (ABCP)	$	7,906	$	—
Asset-based financing		6		2,877
Municipal securities tender option bond trusts (TOBs)		4,785		—
Municipal investments		—		1,454
Other		—		162
Total Citicorp	$	12,697	$	4,493
Citi Holdings
Asset-based financing	$	—	$	328
Municipal investments		—		1,002
Total Citi Holdings	$	—	$	1,330
Total Citigroup funding commitments	$	12,697	$	5,823

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

	September 30, 2012						December 31, 2011
In billions of dollars	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Cash	$	0.2	$	0.4	$	0.6	$	0.2	$	0.4	$	0.6
Trading account assets		0.5		—		0.5		0.4		0.1		0.5
Investments		7.4		—		7.4		10.6		—		10.6
Total loans, net		97.7		9.6		107.3		109.0		10.1		119.1
Other		1.0		0.2		1.2		0.5		0.3		0.8
Total assets	$	106.8	$	10.2	$	117.0	$	120.7	$	10.9	$	131.6
Short-term borrowings	$	18.7	$	—	$	18.7	$	22.5	$	0.8	$	23.3
Long-term debt		29.7		6.0		35.7		44.8		5.6		50.4
Other liabilities		0.5		0.1		0.6		0.4		0.2		0.6
Total liabilities	$	48.9	$	6.1	$	55.0	$	67.7	$	6.6	$	74.3

Schedule of significant interests in unconsolidated VIEs - balance sheet classification

	September 30, 2012						December 31, 2011
In billions of dollars	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Trading account assets	$	3.4	$	0.5	$	3.9	$	5.5	$	1.0	$	6.5
Investments		3.3		2.8		6.1		3.9		4.4		8.3
Loans		13.7		1.0		14.7		9.0		1.6		10.6
Other		1.4		0.5		1.9		1.6		1.0		2.6
Total assets	$	21.8	$	4.8	$	26.6	$	20.0	$	8.0	$	28.0
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	September 30, 2012		December 31, 2011		September 30, 2012		December 31, 2011
Principal amount of credit card receivables in trusts	$	78.4	$	89.8	$	0.4	$	0.6
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	28.8	$	42.7	$	0.1	$	0.3
Retained by Citigroup as trust-issued securities		13.0		14.7		0.1		0.1
Retained by Citigroup via non-certificated interests		36.6		32.4		0.2		0.2
Total ownership interests in principal amount of trust credit card receivables	$	78.4	$	89.8	$	0.4	$	0.6

Schedule of cash flow information, credit card securitizations of Citicorp

	Three months ended September 30,
In billions of dollars	2012			2011
Proceeds from new securitizations	$	0.5		$	—
Pay down of maturing notes		(3.0	)		(0.6	)

	Nine months ended September 30,
In billions of dollars	2012			2011
Proceeds from new securitizations	$	0.5		$	—
Pay down of maturing notes		(14.4	)		(11.5	)

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

	Three months ended September 30,
In billions of dollars	2012		2011
Proceeds from new securitizations	$	0.3	$	—
Pay down of maturing notes		—		—

	Nine months ended September 30,
In billions of dollars	2012			2011
Proceeds from new securitizations	$	0.3		$	3.9
Pay down of maturing notes		(0.1	)		(7.2	)

Schedule of Master Trust liabilities (at par value)

In billions of dollars	Sept. 30, 2012		Dec. 31, 2011
Term notes issued to multi-seller commercial paper conduits	$	—	$	—
Term notes issued to third parties		22.9		30.4
Term notes retained by Citigroup affiliates		5.9		7.7
Total Master Trust liabilities	$	28.8	$	38.1

Schedule of Omni Trust liabilities (at par value)

In billions of dollars	Sept. 30, 2012		Dec. 31, 2011
Term notes issued to multi-seller commercial paper conduits	$	1.7	$	3.4
Term notes issued to third parties		4.4		9.2
Term notes retained by Citigroup affiliates		7.1		7.1
Total Omni Trust liabilities	$	13.2	$	19.7

Schedule of cash flow information, mortgage securitizations of Citicorp

	Three months ended September 30,
	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	$	13.8	$	1.5	$	12.8
Contractual servicing fees received		0.1		—		0.1
Cash flows received on retained interests and other net cash flows		—		—		—

	Nine months ended September 30,
	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	$	40.7	$	2.0	$	38.7
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, 2012
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests		Subordinated interests
Discount rate	0.2% to 12.9%		—	4.6% to 17.2%
Weighted average discount rate	12.0%		—	9.0%
Constant prepayment rate	9.4% to 36.4%		—	3.8% to 8.4%
Weighted average constant prepayment rate	10.8%		—	6.6%
Anticipated net credit losses(2)	NM		—	35.0% to 60.0%
Weighted average anticipated net credit losses	NM		—	44.0%

	Three months ended September 30, 2011
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests		Subordinated interests
Discount rate	3.0% to 17.5%		—		—
Weighted average discount rate	10.9%		—		—
Constant prepayment rate	5.0% to 23.1%		—		—
Weighted average constant prepayment rate	9.6%		—		—
Anticipated net credit losses(2)	NM		—		—
Weighted average anticipated net credit losses	NM		—		—

	Nine months ended September 30, 2012
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests			Subordinated interests
Discount rate	0.2% to 14.4%		13.4	%	4.6% to 19.3%
Weighted average discount rate	11.4%		13.4	%	13.2%
Constant prepayment rate	7.3% to 36.4%		8.1	%	2.2% to 8.4%
Weighted average constant prepayment rate	10.2%		8.1	%	4.7%
Anticipated net credit losses(2)	NM		50.5	%	35.0% to 62.9%
Weighted average anticipated net credit losses	NM		50.5	%	54.3%

	Nine months ended September 30, 2011
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests	Subordinated interests
Discount rate	0.6% to 28.3%	2.4% to 10.0%	8.4%
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%
Weighted average constant prepayment rate	7.2%	1.9%	22.1%
Anticipated net credit losses(2)	NM	35.0% to 72.0%	11.4%
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.

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

	September 30, 2012
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests		Subordinated interests
Discount rate	0.2% to 15.9%		1.5% to 32.6%	7.2% to 28.3%
Weighted average discount rate	6.4%		12.7%	14.1%
Constant prepayment rate	17.2% to 52.6%		2.3% to 23.5%	0.5% to 30.0%
Weighted average constant prepayment rate	31.1%		16.7%	9.9%
Anticipated net credit losses(2)	NM		0.0% to 28.8%	29.4%
Weighted average anticipated net credit losses	NM		3.1%	29.4%

	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	$	1,745		$	95		$	498
Discount rates
Adverse change of 10%	$	(45	)	$	(3	)	$	(30	)
Adverse change of 20%		(87	)		(5	)		(57	)
Constant prepayment rate
Adverse change of 10%	$	(120	)	$	(2	)	$	(11	)
Adverse change of 20%		(221	)		(3	)		(23	)
Anticipated net credit losses
Adverse change of 10%	$	(11	)	$	(1	)	$	(10	)
Adverse change of 20%		(23	)		(2	)		(20	)

(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,
	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	$	0.1	$	—	$	0.3
Contractual servicing fees received		0.1		—		0.1
Cash flows received on retained interests and other net cash flows		—		—		—

	Nine months ended September 30,
	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	$	0.3	$	—	$	0.9
Contractual servicing fees received		0.3		—		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

	September 30, 2012
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests	Subordinated interests
Discount rate	7.2%	9.3% to 10.0%	3.3% to 8.1%
Weighted average discount rate	7.2%	9.3%	5.7%
Constant prepayment rate	29.3%	22.2%	6.6% to 9.8%
Weighted average constant prepayment rate	29.3%	22.2%	8.2%
Anticipated net credit losses	NM	0.2%	37.0% to 48.0%
Weighted average anticipated net credit losses	NM	0.2%	42.4%
Weighted average life	3.8 years	4.2 years	9.7 to 11.5 years

	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 to 4.9 years	0.3 to 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	$	603		$	102		$	19
Discount rates
Adverse change of 10%	$	(17	)	$	(2	)	$	(1	)
Adverse change of 20%		(34	)		(5	)		(2	)
Constant prepayment rate
Adverse change of 10%	$	(57	)	$	(6	)	$	—
Adverse change of 20%		(109	)		(12	)		(1	)
Anticipated net credit losses
Adverse change of 10%	$	(40	)	$	(7	)	$	(2	)
Adverse change of 20%		(79	)		(14	)		(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	2012			2011
Balance, as of June 30	$	2,117		$	4,258
Originations		101			126
Changes in fair value of MSRs due to changes in inputs and assumptions		(118	)		(1,196	)
Other changes(1)		(180	)		(336	)
Balance, as of September 30	$	1,920		$	2,852

	Nine months ended September 30,
In millions of dollars	2012			2011
Balance, as of the beginning of year	$	2,569		$	4,554
Originations		324			425
Changes in fair value of MSRs due to changes in inputs and assumptions		(289	)		(1,301	)
Other changes(1)		(684	)		(826	)
Balance, as of September 30	$	1,920		$	2,852

(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	2012		2011		2012		2011
Servicing fees	$	236	$	292	$	757	$	897
Late fees		16		19		49		58
Ancillary fees		37		39		90		92
Total MSR fees	$	289	$	350	$	896	$	1,047

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	46.2% to 50.8%	1.9% to 2.1%

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		$	403
Discount rates
Adverse change of 10%	$	(1	)	$	(2	)
Adverse change of 20%		(2	)		(4	)

Schedule of asset-based financing of Citicorp

In billions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	8.9	$	2.2
Hedge funds and equities		0.6		0.4
Airplanes, ships and other assets		16.3		12.4
Total	$	25.8	$	15.0

Schedule of asset-based financing of Citi Holdings

In billions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	1.4	$	0.4
Corporate loans		2.9		2.3
Airplanes, ships and other assets		3.6		0.7
Total	$	7.9	$	3.4

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

	Three months ended September 30,
In billions of dollars	2012		2011
Cash flows received on retained interests and other net cash flows	$	0.4	$	0.2

	Nine months ended September 30,
In billions of dollars	2012		2011
Cash flows received on retained interests and other net cash flows	$	1.7	$	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	$	2,350
Value of underlying portfolio
Adverse change of 10%	$	—
Adverse change of 20%		—