13. LOANS

Citigroup loans are reported in two categories—Consumer and Corporate. These categories are classified primarily according to the segment and subsegment that manage the loans.

Consumer Loans

Consumer loans represent loans and leases managed primarily by the Global Consumer Banking and Local Consumer Lending businesses. The following table provides information by loan type:

*In millions of dollars*	March 31, 2013			December 31, 2012

Consumer loans
In U.S. offices
Mortgage and real estate(1)	$	120,768		$	125,946
Installment, revolving credit, and other		12,955			14,070
Cards		104,535			111,403
Commercial and industrial		5,386			5,344
	$	243,644		$	256,763

In offices outside the U.S.
Mortgage and real estate(1)	$	54,717		$	54,709
Installment, revolving credit, and other		34,020			33,958
Cards		39,522			40,653
Commercial and industrial		22,906			22,225
Lease financing		745			781

	$	151,910		$	152,326

Total Consumer loans	$	395,554		$	409,089
Net unearned income		(378	)		(418	)

Consumer loans, net of unearned income	$	395,176		$	408,671

(1): Loans secured primarily by real estate.

Included in the loan table above are lending products whose terms may give rise to greater credit issues. Credit cards with below-market introductory interest rates and interest-only loans are examples of such products. These products are closely managed using credit techniques that are intended to mitigate their higher inherent risk.

During the three months ended March 31, 2013 and 2012, the Company sold and/or reclassified (to held-for-sale) $3.7 billion and $0.6 billion, respectively, of Consumer loans. The Company did not have significant purchases of Consumer loans during the three months ended March 31, 2013 or March 31, 2012.

Citigroup has established a risk management process to monitor, evaluate and manage the principal risks associated with its Consumer loan portfolio. Credit quality indicators that are actively monitored include delinquency status, consumer credit scores (FICO), and loan to value (LTV) ratios, each as discussed in more detail below.

Delinquency Status

Delinquency status is monitored and considered a key indicator of credit quality of Consumer loans. Substantially all of the U.S. residential first mortgage loans use the MBA method of reporting delinquencies, which considers a loan delinquent if a monthly payment has not been received by the end of the day immediately preceding the loan's next due date. All other loans use the OTS method of reporting delinquencies, which considers a loan delinquent if a monthly payment has not been received by the close of business on the loan's next due date.

As a general policy, residential first mortgages, home equity loans and installment loans are classified as non-accrual when loan payments are 90 days contractually past due. Credit cards and unsecured revolving loans generally accrue interest until payments are 180 days past due. As a result of OCC guidance issued in the first quarter of 2012, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage is 90 days or more past due. As a result of OCC guidance issued in the third quarter of 2012, mortgage loans in regulated bank entities discharged through Chapter 7 bankruptcy, other than FHA-insured loans, are classified as non-accrual. Commercial market loans are placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due.

The policy for re-aging modified U.S. Consumer loans to current status varies by product. Generally, one of the conditions to qualify for these modifications is that a minimum number of payments (typically ranging from one to three) be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open-ended Consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended Consumer loans subject to FFIEC guidelines, one of the conditions for the loan to be re-aged to current status is that at least three consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years). Furthermore, Federal Housing Administration (FHA) and Department of Veterans Affairs (VA) loans are modified under those respective agencies' guidelines, and payments are not always required in order to re-age a modified loan to current.

The following tables provide details on Citigroup's Consumer loan delinquency and non-accrual loans as of March 31, 2013 and December 31, 2012:

Consumer Loan Delinquency and Non-Accrual Details at March 31, 2013

*In millions of dollars*	Total current(1)(2)		30-89 days past due(3)		³ 90 days past due(3)		Past due Government guaranteed(4)		Total loans(2)		Total non-accrual		90 days past due and accruing

In North America offices
Residential first mortgages	$	73,495	$	2,567	$	2,667	$	5,624	$	84,353	$	4,098	$	4,465
Home equity loans(5)		34,329		528		742		—		35,599		1,626		—
Credit cards		102,339		1,378		1,395		—		105,112		—		1,395
Installment and other		12,360		195		248		—		12,803		252		5
Commercial market loans		8,115		43		22		—		8,180		161		9

Total	$	230,638	$	4,711	$	5,074	$	5,624	$	246,047	$	6,137	$	5,874

In offices outside North America
Residential first mortgages	$	45,371	$	567	$	449	$	—	$	46,387	$	709	$	—
Home equity loans(5)		3		—		2		—		5		2		—
Credit cards		37,653		949		774		—		39,376		508		467
Installment and other		29,706		463		172		—		30,341		241		—
Commercial market loans		32,219		106		148		—		32,473		477		—

Total	$	144,952	$	2,085	$	1,545	$	—	$	148,582	$	1,937	$	467

Total *GCB* and *LCL*	$	375,590	$	6,796	$	6,619	$	5,624	$	394,629	$	8,074	$	6,341
Special Asset Pool (SAP)		504		18		25		—		547		75		—

Total Citigroup	$	376,094	$	6,814	$	6,644	$	5,624	$	395,176	$	8,149	$	6,341

(1): Loans less than 30 days past due are presented as current.
(2): Includes $1.2 billion of residential first mortgages recorded at fair value.
(3): Excludes loans guaranteed by U.S. government entities.
(4): Consists of residential first mortgages that are guaranteed by U.S. government entities that are 30-89 days past due of $1.2 billion and ³ 90 days past due of $4.4 billion.
(5): Fixed rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.

Consumer Loan Delinquency and Non-Accrual Details at December 31, 2012

*In millions of dollars*	Total current(1)(2)		30-89 days past due(3)		³ 90 days past due(3)		Past due Government guaranteed(4)		Total loans(2)		Total non-accrual		90 days past due and accruing

In North America offices
Residential first mortgages	$	75,791	$	3,074	$	3,339	$	6,000	$	88,204	$	4,922	$	4,695
Home equity loans(5)		35,740		642		843		—		37,225		1,797		—
Credit cards		108,892		1,582		1,527		—		112,001		—		1,527
Installment and other		13,319		288		325		—		13,932		179		8
Commercial market loans		7,874		32		19		—		7,925		210		11

Total	$	241,616	$	5,618	$	6,053	$	6,000	$	259,287	$	7,108	$	6,241

In offices outside North America
Residential first mortgages	$	45,496	$	547	$	485	$	—	$	46,528	$	807	$	—
Home equity loans(5)		4		—		2		—		6		2		—
Credit cards		38,920		970		805		—		40,695		516		508
Installment and other		29,350		496		167		—		30,013		254		—
Commercial market loans		31,263		106		181		—		31,550		428		—

Total	$	145,033	$	2,119	$	1,640	$	—	$	148,792	$	2,007	$	508

Total *GCB* and *LCL*	$	386,649	$	7,737	$	7,693	$	6,000	$	408,079	$	9,115	$	6,749
Special Asset Pool (SAP)		545		18		29		—		592		81		—

Total Citigroup	$	387,194	$	7,755	$	7,722	$	6,000	$	408,671	$	9,196	$	6,749

(1): Loans less than 30 days past due are presented as current.
(2): Includes $1.2 billion of residential first mortgages recorded at fair value.
(3): Excludes loans guaranteed by U.S. government entities.
(4): Consists of residential first mortgages that are guaranteed by U.S. government entities that are 30-89 days past due of $1.3 billion and ³ 90 days past due of $4.7 billion.
(5): Fixed rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.

Consumer Credit Scores (FICO)

In the U.S., independent credit agencies rate an individual's risk for assuming debt based on the individual's credit history and assign every consumer a "FICO" credit score. These scores are continually updated by the agencies based upon an individual's credit actions (e.g., taking out a loan or missed or late payments).

The following table provides details on the FICO scores attributable to Citi's U.S. Consumer loan portfolio as of March 31, 2013 and December 31, 2012 (commercial market loans are not included in the table since they are business-based and FICO scores are not a primary driver in their credit evaluation). FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis.

	March 31, 2013

FICO score distribution in U.S. portfolio(1)(2) *In millions of dollars*	Less than 620		³ 620 but less than 660		Equal to or greater than 660
Residential first mortgages	$	15,035	$	7,445	$	49,731
Home equity loans		4,929		3,104		25,847
Credit cards		7,608		9,928		83,619
Installment and other		3,803		2,249		5,118

Total	$	31,375	$	22,726	$	164,315

(1): Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (LTSCs) with U.S. government-sponsored entities and loans recorded at fair value.
(2): Excludes balances where FICO was not available. Such amounts are not material.

	December 31, 2012

FICO score distribution in U.S. portfolio(1)(2) *In millions of dollars*	Less than 620		³ 620 but less than 660		Equal to or greater than 660
Residential first mortgages	$	16,754	$	8,013	$	50,833
Home equity loans		5,439		3,208		26,820
Credit cards		7,833		10,304		90,248
Installment and other		4,414		2,417		5,365

Total	$	34,440	$	23,942	$	173,266

(1): Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.
(2): Excludes balances where FICO was not available. Such amounts are not material.

Loan to Value (LTV) Ratios

LTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data.

The following tables provide details on the LTV ratios attributable to Citi's U.S. Consumer mortgage portfolios as of March 31, 2013 and December 31, 2012. LTV ratios are updated monthly using the most recent Core Logic HPI data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Office of Federal Housing Enterprise Oversight indices.

	March 31, 2013

LTV distribution in U.S. portfolio(1)(2) *In millions of dollars*	Less than or equal to 80%		>;;;;; 80% but less than or equal to 100%		Greater than 100%
Residential first mortgages	$	41,377	$	17,908	$	12,797
Home equity loans		12,050		8,897		12,373

Total	$	53,427	$	26,805	$	25,170

(1): Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.
(2): Excludes balances where LTV was not available. Such amounts are not material.

	December 31, 2012

LTV distribution in U.S. portfolio(1)(2) *In millions of dollars*	Less than or equal to 80%		>;;;;; 80% but less than or equal to 100%		Greater than 100%
Residential first mortgages	$	41,555	$	19,070	$	14,995
Home equity loans		12,611		9,529		13,153

Total	$	54,166	$	28,599	$	28,148

(1): Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.
(2): Excludes balances where LTV was not available. Such amounts are not material.

Impaired Consumer Loans

Impaired loans are those loans about which Citigroup believes it is probable that it will not collect all amounts due according to the original contractual terms of the loan. Impaired Consumer loans include non-accrual commercial market loans, as well as smaller-balance homogeneous loans whose terms have been modified due to the borrower's financial difficulties and where Citigroup has granted a concession to the borrower. These modifications may include interest rate reductions and/or principal forgiveness. Impaired Consumer loans exclude smaller-balance homogeneous loans that have not been modified and are carried on a non-accrual basis. In addition, impaired Consumer loans exclude substantially all loans modified pursuant to Citi's short-term modification programs (i.e., for periods of 12 months or less) that were modified prior to January 1, 2011.

As a result of OCC guidance issued in the third quarter of 2012, mortgage loans to borrowers that have gone through Chapter 7 bankruptcy are classified as TDRs. These TDRs, other than FHA-insured loans, are written down to collateral value less cost to sell. FHA-insured loans are reserved based on a discounted cash flow model (see Note 1 to the Consolidated Financial Statements). The recorded investment in receivables reclassified to TDRs in the third quarter of 2012 as a result of this OCC guidance approximated $1,714 million, composed of $1,327 million of residential first mortgages and $387 million of home equity loans.

The following tables present information about total impaired Consumer loans at and for the periods ending March 31, 2013 and December 31, 2012, respectively, and for the three months ended March 31, 2013 and March 31, 2012 for interest income recognized on impaired Consumer loans:

Impaired Consumer Loans

	March 31, 2013								Three Months Ended Mar. 31, 2013		Three Months Ended Mar. 31, 2012

*In millions of dollars*	Recorded investment(1)(2)		Unpaid principal balance		Related specific allowance(3)		Average carrying value(4)		Interest income recognized(5)(6)		Interest income recognized(5)(6)
Mortgage and real estate
Residential first mortgages	$	19,268	$	20,220	$	3,199	$	20,004	$	217	$	215
Home equity loans		2,057		2,653		529		1,999		21		15
Credit cards		4,279		4,341		1,596		4,849		65		87
Installment and other
Individual installment and other		1,093		1,130		657		1,679		49		69
Commercial market loans		442		720		61		473		4		4

Total(7)	$	27,139	$	29,064	$	6,042	$	29,004	$	356	$	390

(1): Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
(2): $2,240 million of residential first mortgages, $423 million of home equity loans and $184 million of commercial market loans do not have a specific allowance.
(3): Included in the Allowance for loan losses.
(4): Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.
(5): Includes amounts recognized on both an accrual and cash basis.
(6): Cash interest receipts on smaller-balance homogeneous loans are generally recorded as revenue. The interest recognition policy for commercial market loans is identical to that for Corporate loans, as described below.
(7): Prior to 2008, the Company's financial accounting systems did not separately track impaired smaller-balance, homogeneous Consumer loans whose terms were modified due to the borrowers' financial difficulties and where it was determined that a concession was granted to the borrower. Smaller-balance consumer loans modified since January 1, 2008 amounted to $26.7 billion at March 31, 2013. However, information derived from Citi's risk management systems indicates that the amounts of outstanding modified loans, including those modified prior to 2008, approximated $27.6 billion at March 31, 2013.

	December 31, 2012

*In millions of dollars*	Recorded investment(1)(2)		Unpaid principal balance		Related specific allowance(3)		Average carrying value(4)
Mortgage and real estate
Residential first mortgages	$	20,870	$	22,062	$	3,585	$	19,956
Home equity loans		2,135		2,727		636		1,911
Credit cards		4,584		4,639		1,800		5,272
Installment and other
Individual installment and other		1,612		1,618		860		1,958
Commercial market loans		439		737		60		495

Total(5)	$	29,640	$	31,783	$	6,941	$	29,592

(1): Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
(2): $2,344 million of residential first mortgages, $378 million of home equity loans and $183 million of commercial market loans do not have a specific allowance.
(3): Included in the Allowance for loan losses.
(4): Average carrying value represents the average recorded investment ending balance for last four quarters and does not include related specific allowance.
(5): Prior to 2008, the Company's financial accounting systems did not separately track impaired smaller-balance, homogeneous Consumer loans whose terms were modified due to the borrowers' financial difficulties and where it was determined that a concession was granted to the borrower. Smaller-balance consumer loans modified since January 1, 2008 amounted to $29.2 billion at December 31, 2012. However, information derived from Citi's risk management systems indicates that the amounts of outstanding modified loans, including those modified prior to 2008, approximated $30.1 billion at December 31, 2012.

Consumer Troubled Debt Restructurings

The following tables present Consumer TDRs occurring during the three months ended March 31, 2013 and 2012:

	For the three months ended March 31, 2013

*In millions of dollars except number of loans modified*	Number of loans modified		Post-modification recorded investment(1)(2)		Deferred principal(3)		Contingent principal forgiveness(4)		Principal forgiveness(5)		Average interest rate reduction
North America
Residential first mortgages		9,304	$	1,244	$	5	$	—	$	54		2	%
Home equity loans		3,093		87		—		—		27		2
Credit cards		39,469		205		—		—		—		16
Installment and other revolving		13,595		98		—		—		—		6
Commercial markets(6)		57		14		—		—		—		—

Total		65,518	$	1,648	$	5	$	—	$	81

International
Residential first mortgages		1,594	$	60	$	—	$	—	$	1		1	%
Home equity loans		4		—		—		—		—		—
Credit cards		49,339		159		—		—		2		35
Installment and other revolving		11,761		80		—		—		—		19
Commercial markets(6)		86		10		—		—		—		—

Total		62,784	$	309	$	—	$	—	$	3

	For the three months ended March 31, 2012

*In millions of dollars except number of loans modified*	Number of loans modified		Post-modification recorded investment(1)		Deferred principal(3)		Contingent principal forgiveness(4)		Principal forgiveness(5)		Average interest rate reduction
North America
Residential first mortgages		6,201	$	828	$	4	$	2	$	21		2	%
Home equity loans		2,645		106		2		—		2		4
Credit cards		65,236		345		—		—		—		17
Installment and other revolving		19,978		146		—		—		—		5
Commercial markets(6)		35		—		—		—		—		—

Total		94,095	$	1,425	$	6	$	2	$	23

International
Residential first mortgages		1,454	$	51	$	—	$	—	$	1		1	%
Home equity loans		2		—		—		—		—		—
Credit cards		53,592		153		—		—		—		29
Installment and other revolving		13,754		94		—		—		—		15
Commercial markets(6)		20		—		—		—		1		—

Total		68,822	$	298	$	—	$	—	$	2

(1): Post-modification balances include past due amounts that are capitalized at modification date.
(2): Post-modification balances in North America in the first quarter of 2013 include $123 million of residential first mortgages and $20 million of home equity loans to borrowers that have gone through Chapter 7 bankruptcy. These amounts include $97 million of residential first mortgages and $16 million of home equity loans that are newly classified as TDRs as a result of OCC guidance received in the third quarter of 2012, as described above.
(3): Represents portion of contractual loan principal that is non-interest bearing but still due from borrower. Such deferred principal is charged-off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(4): Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(5): Represents portion of contractual loan principal that is forgiven at the time of permanent modification.
(6): Commercial markets loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.

The following table presents Consumer TDRs that defaulted during the first three months of 2013 and 2012, respectively, and for which the payment default occurred within one year of a permanent modification:

*In millions of dollars*	March 31, 2013(1)		March 31, 2012(1)

North America
Residential first mortgages	$	236	$	439
Home equity loans		42		30
Credit cards		62		165
Installment and other revolving		19		34
Commercial markets		—		—

Total	$	359	$	668

International
Residential first mortgages	$	16	$	15
Home equity loans		—
Credit cards		57		53
Installment and other revolving		32		36
Commercial markets		2		—

Total	$	107	$	104

(1): Default is defined as 60 days past due, except for classifiably managed commercial markets loans, where default is defined as 90 days past due.

Corporate Loans

Corporate loans represent loans and leases managed by the Institutional Clients Group in Citicorp or the Special Asset Pool in Citi Holdings. The following table presents information by Corporate loan type as of March 31, 2013 and December 31, 2012:

*In millions of dollars*	March 31, 2013			December 31, 2012

Corporate
In U.S. offices
Commercial and industrial	$	28,558		$	26,985
Financial institutions		16,500			18,159
Mortgage and real estate(1)		25,576			24,705
Installment, revolving credit and other		33,621			32,446
Lease financing		1,369			1,410

	$	105,624		$	103,705

In offices outside the U.S.
Commercial and industrial	$	85,258		$	82,939
Installment, revolving credit and other		14,733			14,958
Mortgage and real estate(1)		6,231			6,485
Financial institutions		38,332			37,739
Lease financing		593			605
Governments and official institutions		1,265			1,159

	$	146,412		$	143,885

Total Corporate loans	$	252,036		$	247,590
Net unearned income (loss)		(848	)		(797	)

Corporate loans, net of unearned income	$	251,188		$	246,793

(1): Loans secured primarily by real estate.

During the three months ended March 31, 2013 and 2012, the Company sold and/or reclassified (to held-for-sale) $1,029 million and $925 million, respectively, of held-for-investment Corporate loans. The Company did not have significant purchases of Corporate loans classified as held-for-investment for the three months ended March 31, 2013 or 2012.

Corporate loans are identified as impaired and placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due, except when the loan is well collateralized and in the process of collection. Any interest accrued on impaired Corporate loans and leases is reversed at 90 days and charged against current earnings, and interest is thereafter included in earnings only to the extent actually received in cash. When there is doubt regarding the ultimate collectability of principal, all cash receipts are thereafter applied to reduce the recorded investment in the loan. While Corporate loans are generally managed based on their internally assigned risk rating (see further discussion below), the following tables present delinquency information by Corporate loan type as of March 31, 2013 and December 31, 2012:

Corporate Loan Delinquency and Non-Accrual Details at March 31, 2013

*In millions of dollars*	30-89 days past due and accruing(1)		³ 90 days past due and accruing(1)		Total past due and accruing		Total non-accrual(2)		Total current(3)		Total loans

Commercial and industrial	$	61	$	5	$	66	$	1,171	$	111,400	$	112,637
Financial institutions		5		—		5		449		52,885		53,339
Mortgage and real estate		234		105		339		630		30,717		31,686
Leases		2		1		3		189		1,770		1,962
Other		135		5		140		65		47,573		47,778
Loans at fair value												3,786

Total	$	437	$	116	$	553	$	2,504	$	244,345	$	251,188

(1): Corporate loans that are ³ 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2): Citi generally does not manage Corporate loans on a delinquency basis. Non-accrual loans generally include those loans that are ³ 90 days past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful.
(3): Corporate loans are past due when principal or interest is contractually due but unpaid. Loans less than 30 days past due are presented as current.

Corporate Loan Delinquency and Non-Accrual Details at December 31, 2012

*In millions of dollars*	30-89 days past due and accruing(1)		³ 90 days past due and accruing(1)		Total past due and accruing		Total non-accrual(2)		Total current(3)		Total loans

Commercial and industrial	$	38	$	10	$	48	$	1,078	$	107,650	$	108,776
Financial institutions		5		—		5		454		53,858		54,317
Mortgage and real estate		224		109		333		680		30,057		31,070
Leases		7		—		7		52		1,956		2,015
Other		70		6		76		69		46,414		46,559
Loans at fair value												4,056

Total	$	344	$	125	$	469	$	2,333	$	239,935	$	246,793

(1): Corporate loans that are ³ 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2): Citi generally does not manage Corporate loans on a delinquency basis. Non-accrual loans generally include those loans that are ³ 90 days past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful.
(3): Corporate loans are past due when principal or interest is contractually due but unpaid. Loans less than 30 days past due are presented as current.

Citigroup has a risk management process to monitor, evaluate and manage the principal risks associated with its Corporate loan portfolio. As part of its risk management process, Citi assigns numeric risk ratings to its Corporate loan facilities based on quantitative and qualitative assessments of the obligor and facility. These risk ratings are reviewed at least annually or more often if material events related to the obligor or facility warrant. Factors considered in assigning the risk ratings include: financial condition of the obligor, qualitative assessment of management and strategy, amount and sources of repayment, amount and type of collateral and guarantee arrangements, amount and type of any contingencies associated with the obligor, and the obligor's industry and geography.

The obligor risk ratings are defined by ranges of default probabilities. The facility risk ratings are defined by ranges of loss norms, which are the product of the probability of default and the loss given default. The investment grade rating categories are similar to the category BBB-/Baa3 and above as defined by S&P and Moody's. Loans classified according to the bank regulatory definitions as special mention, substandard and doubtful will have risk ratings within the non-investment grade categories.

Corporate Loans Credit Quality Indicators at March 31, 2013 and December 31, 2012

	Recorded investment in loans(1)

*In millions of dollars*	March 31, 2013		December 31, 2012
Investment grade(2)
Commercial and industrial	$	76,662	$	73,822
Financial institutions		42,974		43,895
Mortgage and real estate		12,764		12,587
Leases		1,363		1,404
Other		43,817		42,575

Total investment grade	$	177,580	$	174,283

Non-investment grade(2)
Accrual
Commercial and industrial	$	34,804	$	33,876
Financial institutions		9,916		9,968
Mortgage and real estate		3,069		2,858
Leases		410		559
Other		3,896		3,915
Non-accrual
Commercial and industrial		1,171		1,078
Financial institutions		449		454
Mortgage and real estate		630		680
Leases		189		52
Other		65		69

Total non-investment grade	$	54,599	$	53,509

Private Banking loans managed on a delinquency basis(2)	$	15,223	$	14,945
Loans at fair value		3,786		4,056

Corporate loans, net of unearned income	$	251,188	$	246,793

(1): Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2): Held-for-investment loans accounted for on an amortized cost basis.

Corporate loans and leases identified as impaired and placed on non-accrual status are written down to the extent that principal is judged to be uncollectible. Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying collateral and there are no other available and reliable sources of repayment, are written down to the lower of cost or collateral value, less cost to sell. Cash-basis loans are returned to an accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance, generally six months, in accordance with the contractual terms of the loan.

The following tables present non-accrual loan information by Corporate loan type at March 31, 2013 and December 31, 2012, respectively, and interest income recognized on non-accrual Corporate loans for the three-month periods ended March 31, 2013 and 2012, respectively:

Non-Accrual Corporate Loans

	At and for the three months ended March 31, 2013

*In millions of dollars*	Recorded investment(1)		Unpaid principal balance		Related specific allowance		Average carrying value(2)		Interest income recognized(4)
Non-accrual Corporate loans
Commercial and industrial	$	1,171	$	1,416	$	146	$	1,061	$	7
Financial institutions		449		499		14		476		—
Mortgage and real estate		630		737		69		732		1
Lease financing		189		210		72		64		—
Other		65		237		23		126		—

Total non-accrual Corporate loans	$	2,504	$	3,099	$	324	$	2,459	$	8

	At and for the three months ended December 31, 2012

*In millions of dollars*	Recorded investment(1)		Unpaid principal balance		Related specific allowance		Average carrying value(3)
Non-accrual Corporate loans
Commercial and industrial	$	1,078	$	1,368	$	155	$	1,076
Loans to financial institutions		454		504		14		518
Mortgage and real estate		680		810		74		811
Lease financing		52		61		16		19
Other		69		245		25		154

Total non-accrual Corporate loans	$	2,333	$	2,988	$	284	$	2,578

	March 31, 2013				December 31, 2012

*In millions of dollars*	Recorded investment(1)		Related specific allowance		Recorded investment(1)		Related specific allowance
Non-accrual Corporate loans with valuation allowances
Commercial and industrial	$	539	$	146	$	608	$	155
Financial institutions		21		14		41		14
Mortgage and real estate		324		69		345		74
Lease financing		102		72		47		16
Other		57		23		59		25

Total non-accrual Corporate loans with specific allowance	$	1,043	$	324	$	1,100	$	284

Non-accrual Corporate loans without specific allowance
Commercial and industrial	$	632			$	470
Financial institutions		428				413
Mortgage and real estate		306				335
Lease financing		87				5
Other		8				10

Total non-accrual Corporate loans without specific allowance	$	1,461		N/A	$	1,233		N/A

(1): Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2): Average carrying value represents the average recorded investment balance and does not include related specific allowance.
(3): Average carrying value does not include related specific allowance.
(4): Interest income recognized for the three months ended March 31, 2012 was $26 million.

N/A Not Applicable

Corporate Troubled Debt Restructurings

The following tables provide details on TDR activity and default information as of and for the three-month periods ended March 31, 2013 and 2012.

The following table presents TDRs occurring during the three-month period ended March 31, 2013.

*In millions of dollars*	Carrying Value		TDRs involving changes in the amount and/or timing of principal payments(1)		TDRs involving changes in the amount and/or timing of interest payments(2)		TDRs involving changes in the amount and/or timing of both principal and interest payments		Balance of principal forgiven or deferred		Net P&L impact(3)

Commercial and industrial	$	47	$	41	$	—	$	6	$	—	$	—
Financial institutions		—		—		—		—		—		—
Mortgage and real estate		14		—		14		—		—		—
Other		4		—		—		4		—		—

Total	$	65	$	41	$	14	$	10	$	—	$	—

(1): TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments.
(2): TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.
(3): Balances reflect charge-offs and reserves recorded during the three months ended March 31, 2013 on loans subject to a TDR during the period then ended.

The following table presents TDRs occurring during the three-month period ended March 31, 2012.

*In millions of dollars*	Carrying Value		TDRs involving changes in the amount and/or timing of principal payments(1)		TDRs involving changes in the amount and/or timing of interest payments(2)		TDRs involving changes in the amount and/or timing of both principal and interest payments		Balance of principal forgiven or deferred		Net P&L impact(3)

Commercial and industrial	$	17	$	17	$	—	$	—	$	—	$	1
Loans to financial institutions		—		—		—		—		—		—
Mortgage and real estate		61		60		—		1		—		—
Other		—		—		—		—		—		—

Total	$	78	$	77	$	—	$	1	$	—	$	1

(1): TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments.
(2): TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.
(3): Balances reflect charge-offs and reserves recorded during the three months ended March 31, 2012 on loans subject to a TDR during the period then ended.

The following table presents total corporate loans modified in a troubled debt restructuring at March 31, 2013 and 2012, and for which the payment default occurred within one year of the modification.

*In millions of dollars*	TDR Balances at March 31, 2013		TDRs in payment default during the year ended March 31, 2013(1)		TDR Balances at March 31, 2012		TDRs in payment default during the year ended March 31, 2012(1)

Commercial and industrial	$	311	$	15	$	272	$	—
Financial institutions		17		—		551		—
Mortgage and real estate		136		—		120		—
Other		437		—		20		—

Total	$	901	$	15	$	963	$	—

(1): Payment default constitutes failure to pay principal or interest when due per the contractual terms of the loan.