16. LOANS

Citigroup loans are reported in two categories—Consumer and Corporate. These categories are classified primarily according to the segment and subsegment that manages 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	2012			2011
Consumer loans
In U.S. offices
Mortgage and real estate ⁽¹⁾	$	125,946		$	139,177
Installment, revolving credit, and other		14,070			15,616
Cards		111,403			117,908
Commercial and industrial		5,344			4,766
Lease financing		—			1
	$	256,763		$	277,468
In offices outside the U.S.
Mortgage and real estate ⁽¹⁾	$	54,709		$	52,052
Installment, revolving credit, and other		36,182			34,613
Cards		40,653			38,926
Commercial and industrial		20,001			19,975
Lease financing		781			711
	$	152,326		$	146,277
Total Consumer loans	$	409,089		$	423,745
Net unearned income		(418	)		(405	)

Consumer loans, net of unearned income	$	408,671		$	423,340

(1)

Loans secured primarily by real estate.

     Included in the loan table above are lending products whose terms may give rise to additional 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 additional inherent risk.
     During the years ended December 31, 2012 and 2011, the Company sold and/or reclassified (to held-for-sale) $4.3 billion and $21.0 billion, respectively, of Consumer loans. The Company did not have significant purchases of Consumer loans during the years ended December 31, 2012 or December 31, 2011.
     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 carefully 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 December 31, 2012 and December 31, 2011:

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

Past due

Total

30–89 days

≥ 90 days

Government

Total

90 days past due

In millions of dollars

current

⁽¹⁾⁽²⁾

past due

⁽³⁾

past due

⁽³⁾

guaranteed

⁽⁴⁾

loans

⁽²⁾

non-accrual

⁽⁵⁾

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 ⁽⁶⁾

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

Commercial market loans

7,874

—

7,925

210

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 ⁽⁶⁾

—

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

—

592

—

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 ≥ 90 days past due of $4.7 billion.
(5)		During 2012, there was an increase in Consumer non-accrual loans in North America of approximately $1.5 billion, as a result of OCC guidance issued in the third quarter of 2012 regarding mortgage loans where the borrower has gone through Chapter 7 bankruptcy. Of the $1.5 billion non-accrual loans, $1.3 billion were current. Additionally, during 2012, there was an increase in non-accrual Consumer loans in North America during the first quarter of 2012, which was attributable to a $0.8 billion reclassification from accrual to non-accrual status of home equity loans where the related residential first mortgage was 90 days or more past due. The vast majority of these loans were current at the time of reclassification. The reclassification reflected regulatory guidance issued on January 31, 2012. The reclassification had no impact on Citi’s delinquency statistics or its loan loss reserves.
(6)		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, 2011

										Past due
	Total			30–89 days			≥ 90 days			Government			Total			Total		90 days past due
In millions of dollars	current		⁽¹⁾⁽²⁾	past due		⁽³⁾	past due		⁽³⁾	guaranteed		⁽⁴⁾	loans		⁽²⁾	non-accrual		and accruing
In North America offices
Residential first mortgages	$	81,081		$	3,550		$	4,121		$	6,686		$	95,438		$	4,176	$	5,054
Home equity loans ⁽⁵⁾		41,585			868			1,022			—			43,475			982		—
Credit cards		114,022			2,344			2,058			—			118,424			—		2,058
Installment and other		15,215			340			222			—			15,777			438		10
Commercial market loans		6,643			15			207			—			6,865			220		14
Total	$	258,546		$	7,117		$	7,630		$	6,686		$	279,979		$	5,816	$	7,136
In offices outside North America
Residential first mortgages	$	43,310		$	566		$	482		$	—		$	44,358		$	744	$	—
Home equity loans ⁽⁵⁾		6			—			2			—			8			2		—
Credit cards		38,289			930			785			—			40,004			496		490
Installment and other		26,300			528			197			—			27,025			258		—
Commercial market loans		30,491			79			127			—			30,697			401		—
Total	$	138,396		$	2,103		$	1,593		$	—		$	142,092		$	1,901	$	490
Total *GCB* and *LCL*	$	396,942		$	9,220		$	9,223		$	6,686		$	422,071		$	7,717	$	7,626
Special Asset Pool (SAP)		1,193			29			47			—			1,269			115		—
Total Citigroup	$	398,135		$	9,249		$	9,270		$	6,686		$	423,340		$	7,832	$	7,626

(1)		Loans less than 30 days past due are presented as current.
(2)		Includes $1.3 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 $1.6 billion and ≥ 90 days past due of $5.1 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 December 31, 2012 and 2011 (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.

FICO score distribution in U.S. portfolio ⁽¹⁾⁽²⁾

December 31, 2012

					Equal to or
	Less than		≥ 620 but less		greater
In millions of dollars	620		than 660		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.

FICO score distribution in U.S. portfolio ⁽¹⁾⁽²⁾

December 31, 2011

					Equal to or
	Less than		≥ 620 but less		greater
In millions of dollars	620		than 660		than 660
Residential first mortgages	$	20,370	$	8,815	$	52,839
Home equity loans		6,783		3,703		30,884
Credit cards		9,621		10,905		93,234
Installment and other		3,789		2,858		6,704
Total	$	40,563	$	26,281	$	183,661

(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 Ratios (LTV)
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 December 31, 2012 and 2011. 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 and 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.

LTV distribution in U.S. portfolio ⁽¹⁾⁽²⁾

December 31, 2012

			> 80% but less		Greater
	Less than or		than or equal to		than
In millions of dollars	equal to 80%		100%		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.

LTV distribution in U.S. portfolio ⁽¹⁾⁽²⁾

December 31, 2011

			> 80% but less		Greater
	Less than or		than or equal to		than
In millions of dollars	equal to 80%		100%		100%
Residential first mortgages	$	36,422	$	21,146	$	24,425
Home equity loans		12,724		10,232		18,226
Total	$	49,146	$	31,378	$	42,651

(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). Approximately $635 million of incremental charge-offs was recorded in the third quarter as a result of this new guidance, the vast majority of which related to current loans, and was substantially offset by a related reserve release of approximately $600 million. 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 years ending December 31, 2012 and 2011, respectively:

Impaired Consumer Loans

At and for the year ended December 31, 2012

Recorded

Unpaid

Related specific

Average

Interest income

In millions of dollars

investment

⁽¹⁾⁽²⁾

principal balance

allowance

⁽³⁾

carrying value

⁽⁴⁾

recognized

⁽⁵⁾⁽⁶⁾

Mortgage and real estate

Residential first mortgages

20,870

22,062

3,585

19,956

875

Home equity loans

2,135

2,727

636

1,911

Credit cards

4,584

4,639

1,800

5,272

308

Installment and other

Individual installment and other

1,612

1,618

860

1,958

248

Commercial market loans

439

737

495

Total ⁽⁷⁾

29,640

31,783

6,941

29,592

1,520

(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 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 $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.

	At and for the year ended December 31, 2011
	Recorded			Unpaid		Related specific			Average			Interest income
In millions of dollars	investment		⁽¹⁾⁽²⁾	principal balance		allowance		⁽³⁾	carrying value		⁽⁴⁾	recognized		⁽⁵⁾⁽⁶⁾
Mortgage and real estate
Residential first mortgages	$	19,616		$	20,803	$	3,987		$	18,642		$	888
Home equity loans		1,771			1,823		669			1,680			72
Credit cards		6,695			6,743		3,122			6,542			387
Installment and other
Individual installment and other		2,264			2,267		1,032			2,644			343
Commercial market loans		517			782		75			572			21
Total ⁽⁷⁾	$	30,863		$	32,418	$	8,885		$	30,080		$	1,711

(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)		$858 million of residential first mortgages, $16 million of home equity loans and $182 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)		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 $30.3 billion at December 31, 2011. However, information derived from Citi’s risk management systems indicates that the amounts of outstanding modified loans, including those modified prior to 2008, approximated $31.5 billion at December 31, 2011.

Consumer Troubled Debt Restructurings
The following tables present Consumer TDRs occurring during the years ended December 31, 2012 and 2011:

	At and for the year ended December 31, 2012
					Chapter 7						Contingent					Average
In millions of dollars except	Number of	Post-modification			bankruptcy			Deferred			principal			Principal		interest rate
number of loans modified	loans modified	recorded investment		⁽¹⁾⁽²⁾	charge-offs		⁽²⁾	principal		⁽³⁾	forgiveness		⁽⁴⁾	forgiveness		reduction
North America
Residential first mortgages	59,869	$	8,107		$	154		$	10		$	7		$	553	1	%
Home equity loans	33,586		862			450			5			—			78	2
Credit cards	204,999		1,053			—			—			—			—	16
Installment and other revolving	64,858		469			—			—			—			—	6
Commercial markets ⁽⁵⁾	170		18			—			—			—			—	—
Total	363,482	$	10,509		$	604		$	15		$	7		$	631
International
Residential first mortgages	9,447	$	324		$	—		$	—		$	—		$	2	1	%
Home equity loans	58		4			—			—			—			—	—
Credit cards	206,755		632			—			—			—			1	29
Installment and other revolving	45,191		280			—			—			—			1	22
Commercial markets ⁽⁵⁾	377		171			—			—			1			2	—
Total	261,828	$	1,411		$	—		$	—		$	1		$	6

	At and for the year ended December 31, 2011
								Contingent					Average
In millions of dollars except	Number of	Post-modification			Deferred			principal			Principal		interest rate
number of loans modified	loans modified	recorded investment		⁽¹⁾	principal		⁽³⁾	forgiveness		⁽⁴⁾	forgiveness		reduction
North America
Residential first mortgages	33,025	$	5,137		$	66		$	50		$	—	2	%
Home equity loans	18,099		923			17			1			—	4
Credit cards	611,715		3,554			—			—			—	19
Installment and other revolving	101,107		756			—			—			—	4
Commercial markets ⁽⁵⁾	579		55			—			—			1	—
Total	764,525	$	10,425		$	83		$	51		$	1
International
Residential first mortgages	8,206	$	311		$	—		$	—		$	5	1	%
Home equity loans	61		4			—			—			—	—
Credit cards	225,238		628			—			—			2	24
Installment and other revolving	133,062		545			—			—			8	12
Commercial markets ⁽⁵⁾	55		167			—			—			1	—
Total	366,622	$	1,655		$	—		$	—		$	16

(1)		Post-modification balances include past due amounts that are capitalized at modification date.
(2)		Post-modification balances in North America include $2,740 million of residential first mortgages and $497 million of home equity loans to borrowers that have gone through Chapter 7 bankruptcy. These amounts include $1,414 million of residential first mortgages and $409 million of home equity loans that are newly classified as TDRs as a result of this OCC guidance. Chapter 7 bankruptcy column amounts are the incremental charge-offs that were recorded in the year ended December 31, 2012 as a result of this new OCC guidance.
(3)		Represents portion of loan principal that is non-interest bearing but still due from borrower. Effective in the first quarter of 2012, such deferred principal is charged-off at the time of modification to the extent that the related loan balance exceeds the underlying collateral value. A significant amount of the reported balances have been charged-off.
(4)		Represents portion of loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(5)		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 years ended December 31, 2012 and 2011, respectively, and for which the payment default occurred within one year of the modification:

	Year ended			Year ended
In millions of dollars	December 31, 2012		⁽¹⁾	December 31, 2011		⁽¹⁾
North America
Residential first mortgages	$	1,145		$	1,713
Home equity loans		128			113
Credit cards		434			1,307
Installment and other revolving		121			113
Commercial markets		—			3
Total	$	1,828		$	3,249
International
Residential first mortgages	$	64		$	123
Home equity loans		1			2
Credit cards		209			329
Installment and other revolving		117			238
Commercial markets		5			14
Total	$	396		$	706

(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 or the Special Asset Pool in Citi Holdings. The following table presents information by Corporate loan type as of December 31, 2012 and 2011:

	December 31,			December 31,
In millions of dollars	2012			2011
Corporate
In U.S. offices
Commercial and industrial	$	26,985		$	20,830
Financial institutions		18,159			15,113
Mortgage and real estate ⁽¹⁾		24,705			21,516
Installment, revolving credit and other		32,446			33,182
Lease financing		1,410			1,270
	$	103,705		$	91,911
In offices outside the U.S.
Commercial and industrial	$	82,939		$	79,764
Installment, revolving credit and other		14,958			14,114
Mortgage and real estate ⁽¹⁾		6,485			6,885
Financial institutions		37,739			29,794
Lease financing		605			568
Governments and official institutions		1,159			1,576
	$	143,885		$	132,701
Total Corporate loans	$	247,590		$	224,612
Net unearned income (loss)		(797	)		(710	)
Corporate loans, net of unearned income	$	246,793		$	223,902

(1)

Loans secured primarily by real estate.

For the years ended December 31, 2012 and 2011, the Company sold and/or reclassified (to held-for-sale) $4.4 billion and $6.4 billion, respectively, of held-for-investment Corporate loans. The Company did not have significant purchases of Corporate loans classified as held-for-investment for the year ended December 31, 2012 or December 31, 2011.

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 December 31, 2012 and 2011:

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

30–89 days

≥ 90 days

past due

past due and

Total past due

Total

In millions of dollars

and accruing

⁽¹⁾

accruing

⁽¹⁾

and accruing

non-accrual

⁽²⁾

current

⁽³⁾

loans

Commercial and industrial

1,078

107,650

108,776

Financial institutions

—

454

53,858

54,317

Mortgage and real estate

224

109

333

680

30,057

31,070

Leases

—

1,956

2,015

Other

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 ≥ 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 ≥ 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, 2011

	30–89 days			≥ 90 days
	past due			past due and			Total past due		Total			Total			Total
In millions of dollars	and accruing		⁽¹⁾	accruing		⁽¹⁾	and accruing		non-accrual		⁽²⁾	current		⁽³⁾	loans
Commercial and industrial	$	93		$	30		$	123	$	1,134		$	98,157		$	99,414
Financial institutions		—			2			2		763			42,642			43,407
Mortgage and real estate		224			125			349		1,039			26,908			28,296
Leases		3			11			14		13			1,811			1,838
Other		225			15			240		287			46,481			47,008
Loans at fair value																3,939
Total	$	545		$	183		$	728	$	3,236		$	215,999		$	223,902

(1)	Corporate loans that are ≥ 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 ≥ 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
December 31, 2012 and December 31, 2011

	Recorded investment in loans				⁽¹⁾
	December 31,		December 31,
In millions of dollars	2012		2011
Investment grade ⁽²⁾
Commercial and industrial	$	73,822	$	67,282
Financial institutions		43,895		35,159
Mortgage and real estate		12,587		10,729
Leases		1,404		1,161
Other		42,575		42,428
Total investment grade	$	174,283	$	156,759
Non-investment grade ⁽²⁾
Accrual
Commercial and industrial	$	33,876	$	30,998
Financial institutions		9,968		7,485
Mortgage and real estate		2,858		3,812
Leases		559		664
Other		3,915		4,293
Non-accrual
Commercial and industrial		1,078		1,134
Financial institutions		454		763
Mortgage and real estate		680		1,039
Leases		52		13
Other		69		287
Total non-investment grade	$	53,509	$	50,488
Private Banking loans managed on a
delinquency basis ⁽²⁾	$	14,945	$	12,716
Loans at fair value		4,056		3,939
Corporate loans, net of unearned income	$	246,793	$	223,902

(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 and for the years ended December 31, 2012, 2011 and 2010, respectively:

Non-Accrual Corporate Loans

At and for the period ended December 31, 2012

Recorded

Unpaid

Related specific

Average

Interest income

In millions of dollars

investment

⁽¹⁾

principal balance

allowance

carrying value

⁽²⁾

recognized

Non-accrual Corporate loans

Commercial and industrial

1,078

1,368

155

1,076

Financial institutions

454

504

518

—

Mortgage and real estate

680

810

811

Lease financing

Other

245

154

Total non-accrual Corporate loans

2,333

2,988

284

2,578

	December 31, 2011
	Recorded			Unpaid		Related specific		Average			Interest Income
In millions of dollars	investment		⁽¹⁾	principal balance		allowance		carrying value		⁽³⁾	recognized
Non-accrual Corporate loans
Commercial and industrial	$	1,134		$	1,455	$	186	$	1,446		$	76
Financial institutions		763			1,127		28		1,056			—
Mortgage and real estate		1,039			1,245		151		1,487			14
Lease financing		13			21		—		25			2
Other		287			640		55		420			17
Total non-accrual Corporate loans	$	3,236		$	4,488	$	420	$	4,434		$	109

At and for the period ended
	Dec. 31,
In millions of dollars	2010
Average carrying value ⁽³⁾	$	10,643
Interest income recognized		65

	December 31, 2012					December 31, 2011
	Recorded			Related specific		Recorded			Related specific
In millions of dollars	investment		⁽¹⁾	allowance		investment		⁽¹⁾	allowance
Non-accrual Corporate loans with valuation allowances
Commercial and industrial	$	608		$	155	$	501		$	186
Financial institutions		41			14		78			28
Mortgage and real estate		345			74		540			151
Lease financing		47			16		—			—
Other		59			25		120			55
Total non-accrual Corporate loans with specific allowance	$	1,100		$	284	$	1,239		$	420
Non-accrual Corporate loans without specific allowance
Commercial and industrial	$	470				$	633
Financial institutions		413					685
Mortgage and real estate		335					499
Lease financing		5					13
Other		10					167
Total non-accrual Corporate loans without specific allowance	$	1,233			N/A	$	1,997			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.
N/A	Not Applicable

Corporate Troubled Debt Restructurings
The following tables provide details on Corporate TDR activity and default information as of and for the years ended December 31, 2012 and 2011.

The following table presents Corporate TDRs occurring during the year ended December 31, 2012.

									TDRs
			TDRs			TDRs			involving changes
			involving changes			involving changes			in the amount
			in the amount			in the amount			and/or timing of		Balance of		Net
	Carrying		and/or timing of			and/or timing of			both principal and		principal forgiven		P&L
In millions of dollars	Value		principal payments		⁽¹⁾	interest payments		⁽²⁾	interest payments		or deferred		impact		⁽³⁾
Commercial and industrial	$	99	$	84		$	4		$	11	$	—	$	1
Financial institutions		—		—			—			—		—		—
Mortgage and real estate		113		60			—			53		—		—
Other		—		—			—			—		—		—
Total	$	212	$	144		$	4		$	64	$	—	$	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 years ended December 31, 2012 on loans subject to a TDR during the year then ended.

The following table presents Corporate TDRs occurring during the year ended December 31, 2011.

									TDRs
			TDRs			TDRs			involving changes
			involving changes			involving changes			in the amount
			in the amount			in the amount			and/or timing of		Balance of		Net
	Carrying		and/or timing of			and/or timing of			both principal and		principal forgiven		P&L
In millions of dollars	Value		principal payments		⁽¹⁾	interest payments		⁽²⁾	interest payments		or deferred		impact		⁽³⁾
Commercial and industrial	$	126	$	—		$	16		$	110	$	—	$	16
Financial institutions		—		—			—			—		—		—
Mortgage and real estate		250		3			20			227		4		37
Other		74		—			67			7		—		—
Total	$	450	$	3		$	103		$	344	$	4	$	53

(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 year ended December 31, 2011 on loans subject to a TDR during the period then ended.

The following table presents total Corporate loans modified in a TDR at December 31, 2012 and 2011, as well as those TDRs that defaulted during 2012 and 2011, and for which the payment default occurred within one year of the modification:

			TDRs				TDRs
			in payment default				in payment default
	TDR Balances at		during the year Ended		TDR Balances at		during the year Ended
In millions of dollars	December 31, 2012		December 31, 2012		December 31, 2011		December 31, 2011
Commercial and industrial	$	275	$	94	$	429	$	7
Financial institutions		17		—		564		—
Mortgage and real estate		131		—		258		—
Other		450		—		85		—
Total	$	873	$	94	$	1,336	$	7

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

Purchased Distressed Loans
Included in the Corporate and Consumer loan outstanding tables above are purchased distressed loans, which are loans that have evidenced significant credit deterioration subsequent to origination but prior to acquisition by Citigroup. In accordance with SOP 03-3 (codified as ASC 310-30), the difference between the total expected cash flows for these loans and the initial recorded investment is recognized in income over the life of the loans using a level yield. Accordingly, these loans have been excluded from the impaired loan table information presented above. In addition, per SOP 03-3, subsequent decreases in the expected cash flows for a purchased

distressed loan require a build of an allowance so the loan retains its level yield. However, increases in the expected cash flows are first recognized as a reduction of any previously established allowance and then recognized as income prospectively over the remaining life of the loan by increasing the loan’s level yield. Where the expected cash flows cannot be reliably estimated, the purchased distressed loan is accounted for under the cost recovery method. The carrying amount of the Company’s purchased distressed loan portfolio at December 31, 2012 was $440 million, net of an allowance of $98 million.

The changes in the accretable yield, related allowance and carrying amount net of accretable yield for 2012 are as follows:

				Carrying
	Accretable			amount of loan
In millions of dollars	yield			receivable			Allowance
Balance at December 31, 2011	$	2		$	511		$	68
Purchases ⁽¹⁾		15			269			—
Disposals/payments received		(6	)		(171	)		(6	)
Accretion		—			—			—
Builds (reductions) to the allowance		9			—			41
Increase to expected cash flows		5			1			—
FX/other		(3	)		(72	)		(5	)
Balance at December 31, 2012 ⁽²⁾	$	22		$	538		$	98

(1)

The balance reported in the column “Carrying amount of loan receivable” consists of $269 million of purchased loans accounted for under the level-yield method and $0 million under the cost-recovery method. These balances represent the fair value of these loans at their acquisition date. The related total expected cash flows for the level-yield loans were $285 million at their acquisition dates.

(2)

The balance reported in the column “Carrying amount of loan receivable” consists of $524 million of loans accounted for under the level-yield method and $14 million accounted for under the cost-recovery method.