SECURITIZATIONS AND VARIABLE INTEREST ENTITIES (Tables)

12 Months Ended

Dec. 31, 2012

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

In millions of dollars								As of December 31, 2012
								Maximum exposure to loss in significant
								unconsolidated VIEs												⁽¹⁾
								Funded exposures				⁽²⁾	Unfunded exposures				⁽³⁾
	Total
	involvement				Significant										Guarantees
	with SPE		Consolidated		unconsolidated			Debt		Equity			Funding		and
Citicorp	assets		VIE / SPE assets		VIE assets		⁽⁴⁾	investments		investments			commitments		derivatives			Total
Credit card securitizations	$	79,109	$	79,109	$	—		$	—	$	—		$	—	$	—		$	—
Mortgage securitizations ⁽⁵⁾
U.S. agency-sponsored		232,741		—		232,741			3,042		—			—		45			3,087
Non-agency-sponsored		9,308		1,686		7,622			382		—			—		—			382
Citi-administered asset-backed
commercial paper conduits (ABCP)		30,002		22,387		7,615			—		—			7,615		—			7,615
Third-party commercial
paper conduits		—		—		—			—		—			—		—			—
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	$	469,090	$	114,597	$	354,493		$	21,675	$	3,674		$	16,015	$	280		$	41,644
Citi Holdings
Credit card securitizations	$	838	$	397	$	441		$	—	$	—		$	—	$	—		$	—
Mortgage securitizations
U.S. agency-sponsored		106,888		—		106,888			700		—			—		163			863
Non-agency-sponsored		16,693		1,628		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	$	154,561	$	9,573	$	144,988		$	2,391	$	291		$	1,248	$	397		$	4,327
Total Citigroup	$	623,651	$	124,170	$	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.

In millions of dollars								As of December 31, 2011
								Maximum exposure to loss in significant
								unconsolidated VIEs												⁽¹⁾
								Funded exposures				⁽²⁾	Unfunded exposures				⁽³⁾
	Total
	involvement		Consolidated		Significant										Guarantees
	with SPE		VIE / SPE		unconsolidated			Debt		Equity			Funding		and
	assets		assets		VIE assets		⁽⁴⁾	investments		investments			commitments		derivatives			Total
	$	87,083	$	87,083	$	—		$	—	$	—		$	—	$	—		$	—

		232,179		—		232,179			3,769		—			—		26			3,795
		9,743		1,622		8,121			348		—			—		—			348

		34,987		21,971		13,016			—		—			13,016		—			13,016

		7,507		—		7,507			—		—			298		—			298
		3,334		—		3,334			20		—			—		—			20
		8,127		—		8,127			64		—			—		—			64
		19,034		1,303		17,731			7,892		2			2,891		121			10,906

		16,849		8,224		8,625			708		—			5,413		—			6,121
		20,331		299		20,032			2,345		3,535			1,586		—			7,466
		2,110		24		2,086			468		—			—		—			468
		4,621		2,027		2,594			—		70			—		—			70
		17,882		—		17,882			—		128			—		—			128
		6,210		97		6,113			354		172			279		79			884
	$	469,997	$	122,650	$	347,347		$	15,968	$	3,907		$	23,483	$	226		$	43,584

	$	780	$	581	$	199		$	—	$	—		$	—	$	—		$	—

		152,265		—		152,265			1,159		—			—		120			1,279
		20,821		1,764		19,057			61		—			—		2			63
		1,822		1,822		—			—		—			—		—			—
		6,581		—		6,581			117		—			—		120			237
		7,479		—		7,479			1,125		—			6		90			1,221
		10,490		73		10,417			5,004		3			250		—			5,257
		7,820		—		7,820			206		265			1,049		—			1,520
		111		111		—			—		—			—		—			—
		1,114		14		1,100			—		43			—		—			43
		6,762		6,581		181			3		36			15		—			54
	$	216,045	$	10,946	$	205,099		$	7,675	$	347		$	1,320	$	332		$	9,674
	$	686,042	$	133,596	$	552,446		$	23,643	$	4,254		$	24,803	$	558		$	53,258

(1)		The definition of maximum exposure to loss is included in the text that follows this table.
(2)		Included in Citigroup’s December 31, 2011 Consolidated Balance Sheet.
(3)		Not included in Citigroup’s December 31, 2011 Consolidated Balance Sheet.
(4)		A significant unconsolidated VIE is an entity where the Company has any variable interest considered to be significant, regardless of the likelihood of loss or the notional amount of exposure.
(5)		Citicorp mortgage securitizations also include agency and non-agency (private-label) re-securitization activities. These SPEs are not consolidated. See “Re-Securitizations” below for further discussion.
Reclassified to conform to the current year’s presentation.

Schedule of funding commitments of unconsolidated Variable Interest Entities

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

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

In billions of dollars	December 31, 2012						December 31, 2011
	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Cash	$	0.3	$	0.2	$	0.5	$	0.2	$	0.4	$	0.6
Trading account assets		0.5		—		0.5		0.4		0.1		0.5
Investments		10.7		—		10.7		12.5		—		12.5
Total loans, net		102.6		9.1		111.7		109.0		10.1		119.1
Other		0.5		0.2		0.7		0.5		0.3		0.8
Total assets	$	114.6	$	9.5	$	124.1	$	122.6	$	10.9	$	133.5
Short-term borrowings	$	17.9	$	—	$	17.9	$	22.5	$	0.8	$	23.3
Long-term debt		23.8		2.6		26.4		44.8		5.6		50.4
Other liabilities		1.1		0.1		1.2		0.9		0.2		1.1
Total liabilities	$	42.8	$	2.7	$	45.5	$	68.2	$	6.6	$	74.8

Schedule of significant interests in unconsolidated VIEs - balance sheet classification

In billions of dollars	December 31, 2012						December 31, 2011
	Citicorp		Citi Holdings		Citigroup		Citicorp		Citi Holdings		Citigroup
Trading account assets	$	4.0	$	0.5	$	4.5	$	5.5	$	1.0	$	6.5
Investments		5.4		0.7		6.1		3.8		4.4		8.2
Total loans, net		14.6		0.9		15.5		9.0		1.6		10.6
Other		1.4		0.5		1.9		1.6		1.0		2.6
Total assets	$	25.4	$	2.6	$	28.0	$	19.9	$	8.0	$	27.9

Long-term debt	$	—	$	—	$	—	$	—	$	—	$	—
Total liabilities		—		—		—		—		—		—

Schedule of securitized credit card receivables

	Citicorp				Citi Holdings
In billions of dollars	December 31, 2012		December 31, 2011		December 31, 2012		December 31, 2011
Principal amount of credit card receivables in trusts	$	80.7	$	89.8	$	0.4	$	0.6
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities	$	22.9	$	42.7	$	0.1	$	0.3
Retained by Citigroup as trust-issued securities		13.2		14.7		0.1		0.1
Retained by Citigroup via non-certificated interests		44.6		32.4		0.2		0.2
Total ownership interests in principal amount of trust credit card receivables	$	80.7	$	89.8	$	0.4	$	0.6

Schedule of Master Trust liabilities (at par value)

In billions of dollars	December 31, 2012		December 31, 2011
Term notes issued to multi-seller commercial paper conduits	$	—	$	—
Term notes issued to third parties		18.6		30.4
Term notes retained by Citigroup affiliates		4.8		7.7
Total Master Trust liabilities	$	23.4	$	38.1

Schedule of Omni Trust liabilities (at par value)

In billions of dollars	December 31, 2012		December 31, 2011
Term notes issued to multi-seller commercial paper conduits	$	—	$	3.4
Term notes issued to third parties		4.4		9.2
Term notes retained by Citigroup affiliates		7.1		7.1
Total Omni Trust liabilities	$	11.5	$	19.7

Schedule of changes in capitalized MSRs

In millions of dollars	2012			2011
Balance, beginning of year	$	2,569		$	4,554
Originations		423			611
Changes in fair value of MSRs due to changes in inputs and assumptions		(198	)		(1,210	)
Other changes ⁽¹⁾		(852	)		(1,174	)
Sale of MSRs		—			(212	)
Balance, end of year	$	1,942		$	2,569

(1)

Represents changes due to customer payments and passage of time.

Schedule of fees received on servicing previously securitized mortgages

In millions of dollars	2012		2011		2010
Servicing fees	$	990	$	1,170	$	1,356
Late fees		65		76		87
Ancillary fees		122		130		214
Total MSR fees	$	1,177	$	1,376	$	1,657

Citicorp

Variable Interest Entity

Schedule of cash flow information, credit card securitizations

In billions of dollars	2012			2011			2010
Proceeds from new securitizations	$	2.4		$	3.9		$	5.5
Pay down of maturing notes		(21.7	)		(20.5	)		(40.3	)

Schedule of cash flow information, mortgage securitizations

	2012				2011		2010
In billions of dollars	U.S. agency- sponsored mortgages		Non-agency- sponsored mortgages		Agency- and non-agency- sponsored mortgages		Agency- and non-agency- sponsored mortgages
Proceeds from new securitizations	$	54.2	$	2.3	$	57.3	$	65.1
Contractual servicing fees received		0.5		—		0.5		0.5
Cash flows received on retained interests and other net cash flows		0.1		—		0.1		0.1

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

	December 31, 2012
			Non-agency-sponsored mortgages			⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.2% to 14.4	%	1.2% to 24.0	%	1.1% to 29.2	%
Weighted average discount rate	11.4	%	8.1	%	13.8	%
Constant prepayment rate	6.7% to 36.4	%	1.9% to 22.8	%	1.6% to 29.4	%
Weighted average constant prepayment rate	10.2	%	9.3	%	10.1	%
Anticipated net credit losses ⁽²⁾	NM		37.5% to 80.2	%	33.4% to 90.0	%
Weighted average anticipated net credit losses	NM		60.3	%	54.1	%

	December 31, 2011
			Non-agency-sponsored mortgages			⁽¹⁾
	U.S. agency- sponsored mortgages		Senior interests		Subordinated interests
Discount rate	0.6% to 28.3	%	2.4% to 10.0	%	8.4% to 17.6	%
Weighted average discount rate	12.0	%	4.5	%	11.0	%
Constant prepayment rate	2.2% to 30.6	%	1.0% to 2.2	%	5.2% to 22.1	%
Weighted average constant prepayment rate	7.9	%	1.9	%	17.3	%
Anticipated net credit losses ⁽²⁾	NM		35.0% to 72.0	%	11.4% to 58.6	%
Weighted average anticipated net credit losses	NM		45.3	%	25.0	%

(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

	December 31, 2012
			Non-agency-sponsored mortgages			⁽¹⁾
	U.S. agency-		Senior		Subordinated
	sponsored mortgages		interests		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 22.8	%	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	%

	December 31, 2011
			Non-agency-sponsored mortgages			⁽¹⁾
	U.S. agency-		Senior		Subordinated
	sponsored mortgages		interests		interests
Discount rate	1.3% to 16.4	%	2.2% to 24.4	%	1.3% to 28.1	%
Weighted average discount rate	8.1	%	9.6	%	13.5	%
Constant prepayment rate	18.9% to 30.6	%	1.7% to 51.8	%	0.6% to 29.1	%
Weighted average constant prepayment rate	28.7	%	26.2	%	10.5	%
Anticipated net credit losses ⁽²⁾	NM		0.0% to 77.9	%	29.3% to 90.0	%
Weighted average anticipated net credit losses	NM		37.6	%	57.2	%

(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.

	U.S. agency-sponsored			Non-agency-sponsored mortgages					⁽¹⁾
In millions of dollars at December 31, 2012	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%		(11	)		(1	)		(13	)
Adverse change of 20%		(21	)		(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.

Schedule of asset-based financing

	Total		Maximum
	unconsolidated		exposure to
In billions of dollars	VIE assets		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

In billions of dollars	2012		2011		2010
Cash flows received on retained
interests and other net cash flows	$	0.3	$	—	$	—

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

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

Citi Holdings