SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

9 Months Ended

Sep. 30, 2013

Variable Interest Entity

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

As of September 30, 2013
							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(5)	$	50,234	$	50,234	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(6)
U.S. agency-sponsored		240,823		—		240,823		3,482		—		—		38		3,520
Non-agency-sponsored		7,738		755		6,983		525		—		—		—		525
Citi-administered asset-backed commercial paper conduits (ABCP)		27,763		27,763		—		—		—		—		—		—
Collateralized debt obligations (CDOs)		4,554		—		4,554		77		—		—		—		77
Collateralized loan obligations (CLOs)		13,685		—		13,685		1,498		—		—		—		1,498
Asset-based financing		41,013		991		40,022		15,131		75		2,251		193		17,650
Municipal securities tender option bond trusts (TOBs)		13,026		6,991		6,035		47		—		4,123		—		4,170
Municipal investments		15,962		226		15,736		1,871		2,138		1,335		—		5,344
Client intermediation		1,690		48		1,642		214		—		—		—		214
Investment funds		5,131		3,451		1,680		—		49		—		—		49
Trust preferred securities		5,206		—		5,206		—		62		—		—		62
Other		2,404		245		2,159		139		607		27		76		849
Total	$	429,229	$	90,704	$	338,525	$	22,984	$	2,931	$	7,736	$	307	$	33,958
Citi Holdings
Credit card securitizations	$	1,904	$	1,423	$	481	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations
U.S. agency-sponsored		78,545		—		78,545		532		—		—		136		668
Non-agency-sponsored		14,176		1,747		12,429		40		—		—		2		42
Student loan securitizations		1,561		1,561		—		—		—		—		—		—
Collateralized debt obligations (CDOs)		4,104		—		4,104		101		—		—		87		188
Collateralized loan obligations (CLOs)		2,926		—		2,926		381		—		—		110		491
Asset-based financing		3,556		3		3,553		625		3		252		—		880
Municipal investments		7,372		—		7,372		5		218		944		—		1,167
Client intermediation		10		10		—		—		—		—		—		—
Investment funds		1,293		—		1,293		—		64		—		—		64
Other		4,820		4,686		134		—		—		—		—		—
Total	$	120,267	$	9,430	$	110,837	$	1,684	$	285	$	1,196	$	335	$	3,500
Total Citigroup	$	549,496	$	100,134	$	449,362	$	24,668	$	3,216	$	8,932	$	642	$	37,458

(1)

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

(2)

Included in Citigroup's September 30, 2013 Consolidated Balance Sheet.

(3)

Not included in Citigroup's September 30, 2013 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)

As part of its liquidity and funding strategy, during the first quarter of 2013, the Company elected to remove approximately $27 billion of randomly selected credit card receivables from the Master Trust ($12 billion) and Omni Trust ($15 billion) that represented a portion of the excess seller's interest in each trust. Subsequently, during the third quarter of 2013, Citi elected to add approximately $5.9 billion of credit card receivables to the Master Trust from the U.S. Citi-branded cards business' portfolio of eligible unsecuritized credit card receivables (for a discussion of Citi's credit card securitizations, see "Credit Card Securitizations" below). These credit card receivables continue to be included in Consumer loans on the Consolidated Balance Sheet as of September 30, 2013.

(6)

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, 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	$	77,770	$	77,770	$	—	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations(5)
U.S. agency-sponsored		232,741		—		232,741		3,042		—		—		45		3,087
Non-agency-sponsored		8,810		1,188		7,622		382		—		—		—		382
Citi-administered asset-backed commercial paper conduits (ABCP)		30,002		22,387		7,615		—		—		7,615		—		7,615
Collateralized debt obligations (CDOs)		5,539		—		5,539		24		—		—		—		24
Collateralized loan obligations (CLOs)		15,120		—		15,120		642		19		—		—		661
Asset-based financing		41,399		1,125		40,274		14,798		84		2,081		159		17,122
Municipal securities tender option bond trusts (TOBs)		15,163		7,573		7,590		352		—		4,628		—		4,980
Municipal investments		19,693		255		19,438		2,003		3,049		1,669		—		6,721
Client intermediation		2,486		151		2,335		319		—		—		—		319
Investment funds		4,286		2,196		2,090		—		14		—		—		14
Trust preferred securities		12,221		—		12,221		—		126		—		—		126
Other		2,023		115		1,908		113		382		22		76		593
Total	$	467,253	$	112,760	$	354,493	$	21,675	$	3,674	$	16,015	$	280	$	41,644
Citi Holdings
Credit card securitizations	$	2,177	$	1,736	$	441	$	—	$	—	$	—	$	—	$	—
Mortgage securitizations
U.S. agency-sponsored		106,888		—		106,888		700		—		—		163		863
Non-agency-sponsored		17,192		2,127		15,065		43		—		—		2		45
Student loan securitizations		1,681		1,681		—		—		—		—		—		—
Collateralized debt obligations (CDOs)		4,752		—		4,752		139		—		—		124		263
Collateralized loan obligations (CLOs)		4,676		—		4,676		435		—		13		108		556
Asset-based financing		4,166		3		4,163		984		6		243		—		1,233
Municipal investments		7,766		—		7,766		90		235		992		—		1,317
Client intermediation		13		13		—		—		—		—		—		—
Investment funds		1,083		—		1,083		—		47		—		—		47
Other		6,005		5,851		154		—		3		—		—		3
Total	$	156,399	$	11,411	$	144,988	$	2,391	$	291	$	1,248	$	397	$	4,327
Total Citigroup	$	623,652	$	124,171	$	499,481	$	24,066	$	3,965	$	17,263	$	677	$	45,971

(1)

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

(2)

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

(3)

Not included in Citigroup's December 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.

Schedule of funding commitments of unconsolidated Variable Interest Entities

	September 30, 2013				December 31, 2012
In millions of dollars	Liquidity facilities		Loan commitments		Liquidity facilities		Loan commitments
Citicorp
Citi-administered asset-backed commercial paper conduits (ABCP)	$	—	$	—	$	7,615	$	—
Asset-based financing		5		2,246		6		2,075
Municipal securities tender option bond trusts (TOBs)		4,123		—		4,628		—
Municipal investments		—		1,335		—		1,669
Other		—		27		—		22
Total Citicorp	$	4,128	$	3,608	$	12,249	$	3,766
Citi Holdings
Collateralized loan obligations (CLOs)	$	—	$	—	$	13	$	—
Asset-based financing		—		252		—		243
Municipal investments		—		944		—		992
Total Citi Holdings	$	—	$	1,196	$	13	$	1,235
Total Citigroup funding commitments	$	4,128	$	4,804	$	12,262	$	5,001

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

	September 30, 2013						December 31, 2012
In billions of dollars
	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Cash	$	0.3	$	0.2	$	0.5	$	0.3	$	0.2	$	0.5
Trading account assets		0.9		—		0.9		0.5		—		0.5
Investments		10.8		—		10.8		10.7		—		10.7
Total loans, net		77.5		9.0		86.5		100.8		11.0		111.8
Other		1.3		0.2		1.5		0.5		0.2		0.7
Total assets	$	90.8	$	9.4	$	100.2	$	112.8	$	11.4	$	124.2
Short-term borrowings	$	24.2	$	—	$	24.2	$	17.9	$	—	$	17.9
Long-term debt		29.4		2.1		31.5		23.8		2.6		26.4
Other liabilities		1.1		0.1		1.2		1.1		0.1		1.2
Total liabilities	$	54.7	$	2.2	$	56.9	$	42.8	$	2.7	$	45.5

Schedule of significant interests in unconsolidated VIEs - balance sheet classification

	September 30, 2013						December 31, 2012
In billions of dollars
	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Trading account assets	$	4.3	$	0.5	$	4.8	$	4.0	$	0.5	$	4.5
Investments		3.9		0.4		4.3		5.4		0.7		6.1
Total loans, net		15.8		0.6		16.4		14.6		0.9		15.5
Other		1.9		0.5		2.4		1.4		0.5		1.9
Total assets	$	25.9	$	2.0	$	27.9	$	25.4	$	2.6	$	28.0

Schedule of securitized credit card receivables

	Citicorp				Citi Holdings
In billions of dollars	September 30, 2013		December 31, 2012		September 30, 2013		December 31, 2012
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	28.7	$	22.9	$	—	$	0.1
Retained by Citigroup as trust-issued securities		7.1		11.9		1.3		1.4
Retained by Citigroup via non-certificated interests(1)		13.9		44.6		—		0.2
Total ownership interests in principal amount of trust credit card receivables	$	49.7	$	79.4	$	1.3	$	1.7

(1)

As part of its liquidity and funding strategy, during the first quarter of 2013, the Company elected to remove approximately $27 billion of randomly selected credit card receivables from the Master Trust ($12 billion) and Omni Trust ($15 billion) that represented a portion of the excess seller's interest in each trust. Subsequently, during the third quarter of 2013, Citi elected to add approximately $5.9 billion of credit card receivables to the Master Trust from the U.S. Citi-branded cards business' portfolio of eligible unsecuritized credit card receivables. These credit card receivables continue to be included in Consumer loans on the Consolidated Balance Sheet as of September 30, 2013.

Schedule of Master Trust liabilities (at par value)

In billions of dollars	Sept. 30, 2013		Dec. 31, 2012
Term notes issued to third parties	$	24.4	$	18.6
Term notes retained by Citigroup affiliates		5.2		4.8
Total Master Trust liabilities	$	29.6	$	23.4

Schedule of Omni Trust liabilities (at par value)

In billions of dollars	Sept. 30, 2013		Dec. 31, 2012
Term notes issued to third parties	$	4.4	$	4.4
Term notes retained by Citigroup affiliates		1.9		7.1
Total Omni Trust liabilities	$	6.3	$	11.5

Schedule of changes in capitalized MSRs

	Three months ended September 30,
In millions of dollars	2013			2012
Balance, as of June 30	$	2,524		$	2,117
Originations		167			101
Changes in fair value of MSRs due to changes in inputs and assumptions		11			(118	)
Other changes(1)		(121	)		(180	)
Sale of MSRs		(1	)		—
Balance, as of September 30	$	2,580		$	1,920

	Nine months ended September 30,
In millions of dollars	2013			2012
Balance, beginning of year	$	1,942		$	2,569
Originations		543			324
Changes in fair value of MSRs due to changes in inputs and assumptions		481			(289	)
Other changes(1)		(384	)		(684	)
Sale of MSRs		(2	)		—
Balance, as of September 30	$	2,580		$	1,920

(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	2013		2012		2013		2012
Servicing fees	$	196	$	236	$	611	$	757
Late fees		12		16		31		49
Ancillary fees		27		37		79		90
Total MSR fees	$	235	$	289	$	721	$	896

Citicorp

Variable Interest Entity

Schedule of cash flow information, credit card securitizations

	Three months ended September 30,
In billions of dollars	2013		2012
Proceeds from new securitizations	$	5.4	$	0.5
Pay down of maturing notes		—		(3.0	)

	Nine months ended September 30,
In billions of dollars	2013			2012
Proceeds from new securitizations	$	9.9		$	0.5
Pay down of maturing notes		(10.1	)		(14.4	)

Schedule of cash flow information, mortgage securitizations

	Three months ended September 30,
	2013				2012
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Proceeds from new securitizations	$	15.4	$	2.0	$	13.8	$	1.5
Contractual servicing fees received		0.1		—		0.1		—
Cash flows received on retained interests and other net cash flows		—		—		—		—

	Nine months ended September 30,
	2013				2012
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Proceeds from new securitizations	$	54.2	$	5.0	$	40.7	$	2.0
Contractual servicing fees received		0.3		—		0.4		—
Cash flows received on retained interests and other net cash flows		—		—		0.1		—

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

	Three months ended September 30, 2013
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests	Subordinated interests
Discount rate	0.8% to 12.2%	3.9%	0.1% to 9.8%
Weighted average discount rate	10.0%	3.9%	6.1%
Constant prepayment rate	2.4% to 19.0%	5.4%	0.1% to 11.2%
Weighted average constant prepayment rate	4.5%	5.4%	6.8%
Anticipated net credit losses(2)	NM	47.8%	0.1% to 49.0%
Weighted average anticipated net credit losses	NM	47.8%	29.6%
Weighted average life	5.3 to 8.4 years	7.0 years	10.0 to 10.2 years

	Three months 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%
Weighted average life	2.4 to 6.3 years	—	2.5 to 13.1 years

	Nine months ended September 30, 2013
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests	Subordinated interests
Discount rate	0.8% to 12.4%	2.3% to 4.3%	0.1% to 19.2%
Weighted average discount rate	10.0%	3.4%	7.6%
Constant prepayment rate	2.4% to 21.4%	5.4% to 10.0%	0.1% to 11.2%
Weighted average constant prepayment rate	5.3%	7.2%	6.9%
Anticipated net credit losses(2)	NM	47.2% to 53.0%	0.1% to 89.0%
Weighted average anticipated net credit losses	NM	49.3%	49.3%
Weighted average life	0.1 to 11.8 years	2.9 to 9.7 years	2.5 to 16.5 years

	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%
Weighted average life	1.8 to 11.8 years	9.0 years	2.5 to 13.1 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.

(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

	September 30, 2013
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests	Subordinated interests
Discount rate	0.0% to 21.4%	0.5% to 17.3%	0.1% to 20.0%
Weighted average discount rate	6.4%	7.2%	11.4%
Constant prepayment rate	6.0% to 23.7%	1.6% to 100.0%	0.1% to 31.2%
Weighted average constant prepayment rate	12.5%	5.4%	7.1%
Anticipated net credit losses(2)	NM	0.1% to 81.2%	23.9% to 83.5%
Weighted average anticipated net credit losses	NM	60.0%	50.7%
Weighted average life	3.2 to 27.1 years	0.3 to 13.0 years	0.0 to 23.0 years

	December 31, 2012
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests	Subordinated interests
Discount rate	0.6% to 17.2%	1.2% to 24.0%	1.1% to 29.2%
Weighted average discount rate	6.1%	9.0%	13.8%
Constant prepayment rate	9.0% to 57.8%	1.9% to 24.9%	0.5% to 29.4%
Weighted average constant prepayment rate	27.7%	12.3%	10.0%
Anticipated net credit losses(2)	NM	0.1% to 80.2%	33.4% to 90.0%
Weighted average anticipated net credit losses	NM	47.0%	54.1%
Weighted average life	0.3 to 18.3 years	0.4 to 11.2 years	0.0 to 25.7 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.

(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 at September 30, 2013	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	2,650		$	187		$	408
Discount rates
Adverse change of 10%	$	(72	)	$	(4	)	$	(25	)
Adverse change of 20%		(140	)		(8	)		(47	)
Constant prepayment rate
Adverse change of 10%		(99	)		(1	)		(5	)
Adverse change of 20%		(192	)		(3	)		(11	)
Anticipated net credit losses
Adverse change of 10%		NM			(1	)		(6	)
Adverse change of 20%		NM			(3	)		(13	)

				Non-agency-sponsored mortgages(1)
In millions of dollars at December 31, 2012	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	1,987		$	88		$	466
Discount rates
Adverse change of 10%	$	(46	)	$	(2	)	$	(31	)
Adverse change of 20%		(90	)		(4	)		(59	)
Constant prepayment rate
Adverse change of 10%		(110	)		(1	)		(11	)
Adverse change of 20%		(211	)		(3	)		(22	)
Anticipated net credit losses
Adverse change of 10%		NM			(1	)		(13	)
Adverse change of 20%		NM			(3	)		(24	)

(1)

Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests' position in the capital structure of the securitization.

NM

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

Schedule of asset-based financing

	September 30, 2013
In billions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	14.2	$	2.9
Corporate loans		2.2		1.8
Hedge funds and equities		—		—
Airplanes, ships and other assets		23.6		13.0
Total	$	40.0	$	17.7

	December 31, 2012
In billions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	16.1	$	3.1
Corporate loans		2.0		1.6
Hedge funds and equities		0.6		0.4
Airplanes, ships and other assets		21.5		12.0
Total	$	40.2	$	17.1

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

	Three months ended September 30,
In billions of dollars	2013		2012
Cash flows received on retained interests and other net cash flows	$	—		—

	Nine months ended September 30,
In billions of dollars	2013		2012
Cash flows received on retained interests and other net cash flows	$	0.6		—

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

	September 30, 2013
In millions of dollars	Asset-based Financing
Carrying value of retained interests	$	1,326
Value of underlying portfolio
Adverse change of 10%	$	(12	)
Adverse change of 20%		(24	)

	December 31, 2012
In millions of dollars	Asset-based Financing
Carrying value of retained interests	$	1,726
Value of underlying portfolio
Adverse change of 10%	$	(22	)
Adverse change of 20%		(44	)

Citi Holdings

Variable Interest Entity

Schedule of cash flow information, credit card securitizations

	Three months ended September 30,
In billions of dollars	2013		2012
Proceeds from new securitizations	$	0.2	$	0.3
Pay down of maturing notes		—		—

	Nine months ended September 30,
In billions of dollars	2013			2012
Proceeds from new securitizations	$	0.2		$	0.3
Pay down of maturing notes		(0.1	)		(0.1	)

Schedule of cash flow information, mortgage securitizations

	Three months ended September 30,
	2013				2012
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Proceeds from new securitizations	$	0.1	$	—	$	0.1	$	—
Contractual servicing fees received		0.1		—		0.1		—

	Nine months ended September 30,
	2013				2012
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages
Proceeds from new securitizations	$	0.1	$	—	$	0.3	$	—
Contractual servicing fees received		0.2		—		0.3		—

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

	September 30, 2013
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests	Subordinated interests
Discount rate	0.0% to 53.8%	10.0% to 16.9%	8.8% to 15.3%
Weighted average discount rate	11.9%	16.8%	12.1%
Constant prepayment rate	7.7% to 28.7%	12.7% to 28.7%	7.0% to 7.2%
Weighted average constant prepayment rate	21.3%	16.1%	7.1%
Anticipated net credit losses	NM	0.2%	49.5% to 53.1%
Weighted average anticipated net credit losses	NM	0.2%	51.3%
Weighted average life	2.3 to 7.8 years	5.1 years	10.1 to 10.5 years

	December 31, 2012
		Non-agency-sponsored mortgages(1)
	U.S. agency- sponsored mortgages	Senior interests	Subordinated interests
Discount rate	0.0% to 52.7%	4.1% to 29.2%	3.4% to 12.4%
Weighted average discount rate	9.7%	4.2%	8.0%
Constant prepayment rate	8.2% to 37.4%	21.7% to 26.0%	12.7% to 18.7%
Weighted average constant prepayment rate	28.6%	21.7%	15.7%
Anticipated net credit losses	NM	0.5%	50.0% to 50.1%
Weighted average anticipated net credit losses	NM	0.5%	50.1%
Weighted average life	2.2 to 7.8 years	2.1 to 4.4 years	6.0 to 7.4 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 at September 30, 2013	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	563		$	46		$	16
Discount rates
Adverse change of 10%	$	(20	)	$	(3	)	$	(1	)
Adverse change of 20%		(39	)		(5	)		(3	)
Constant prepayment rate
Adverse change of 10%		(34	)		(1	)		(1	)
Adverse change of 20%		(66	)		(2	)		(1	)
Anticipated net credit losses
Adverse change of 10%		NM			(8	)		(1	)
Adverse change of 20%		NM			(16	)		(1	)

				Non-agency-sponsored mortgages(1)
In millions of dollars at December 31, 2012	U.S. agency- sponsored mortgages			Senior interests			Subordinated interests
Carrying value of retained interests	$	618		$	39		$	16
Discount rates
Adverse change of 10%	$	(22	)	$	—		$	(1	)
Adverse change of 20%		(42	)		(1	)		(2	)
Constant prepayment rate
Adverse change of 10%		(57	)		(3	)		—
Adverse change of 20%		(109	)		(7	)		(1	)
Anticipated net credit losses
Adverse change of 10%		NM			(9	)		(2	)
Adverse change of 20%		NM			(19	)		(4	)

(1)

Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests' position in the capital structure of the securitization.

NM

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

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

	September 30, 2013
	CDOs	CLOs
Discount rate	44.3% to 48.7%	1.6% to 1.7%

	December 31, 2012
	CDOs	CLOs
Discount rate	46.9% to 51.6%	1.9% to 2.1%

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

	September 30, 2013
In millions of dollars	CDOs			CLOs
Carrying value of retained interests	$	17		$	1,373
Discount rates
Adverse change of 10%	$	(1	)	$	(9	)
Adverse change of 20%		(2	)		(18	)

	December 31, 2012
In millions of dollars	CDOs			CLOs
Carrying value of retained interests	$	16		$	428
Discount rates
Adverse change of 10%	$	(2	)	$	(2	)
Adverse change of 20%		(3	)		(4	)

Schedule of asset-based financing

	September 30, 2013
In billions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	0.8	$	0.3
Corporate loans		0.1		0.1
Airplanes, ships and other assets		2.7		0.5
Total	$	3.6	$	0.9

	December 31, 2012
In billions of dollars	Total unconsolidated VIE assets		Maximum exposure to unconsolidated VIEs
Type
Commercial and other real estate	$	0.9	$	0.3
Corporate loans		0.4		0.3
Airplanes, ships and other assets		2.9		0.6
Total	$	4.2	$	1.2

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

	Three months ended September 30,
In billions of dollars	2013		2012
Cash flows received on retained interests and other net cash flows	$	—	$	0.4

	Nine months ended September 30,
In billions of dollars	2013		2012
Cash flows received on retained interests and other net cash flows	$	0.2	$	1.7

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

	September 30, 2013
In millions of dollars	Asset-based Financing
Carrying value of retained interests	$	95
Value of underlying portfolio
Adverse change of 10%	$	—
Adverse change of 20%		—

	December 31, 2012
In millions of dollars	Asset-based Financing
Carrying value of retained interests	$	339
Value of underlying portfolio
Adverse change of 10%	$	—
Adverse change of 20%		—