The Quarterly
C 2009 10-K

Citigroup Inc (C) SEC Annual Report (10-K) for 2010

C 2011 10-K
C 2009 10-K C 2011 10-K

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-K

ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934

For the fiscal year ended December 31, 2010

Commission file number 1-9924

Citigroup Inc.
(Exact name of registrant as specified in its charter)

Delaware 52-1568099
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
399 Park Avenue, New York, NY 10043
(Address of principal executive offices) (Zip code)

Registrant's telephone number, including area code: (212) 559-1000

Securities registered pursuant to Section 12(b) of the Act: See Exhibit 99.01

Securities registered pursuant to Section 12(g) of the Act: none

Indicate by check mark if the Registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.   o Yes  X   No

Indicate by check mark if the Registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.   o Yes  X   No

Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.   X Yes  o   No

Indicate by check mark whether the Registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the Registrant was required to submit and post such files).   X Yes  o   No

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of Registrant's knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.  o

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company. See the definitions of "large accelerated filer," "accelerated filer," and "smaller reporting company" in Rule 12b-2 of the Exchange Act.

X   Large accelerated filer o   Accelerated filer o   Non-accelerated filer o   Smaller reporting company
(Do not check if a smaller reporting company)

Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).   o Yes  X   No

The aggregate market value of Citigroup Inc. common stock held by non-affiliates of Citigroup Inc. on June 30, 2010 was approximately $108.8 billion.

Number of shares of common stock outstanding on January 31, 2011: 29,056,025,228

Documents Incorporated by Reference: Portions of the Registrant's Proxy Statement for the annual meeting of stockholders scheduled to be held on April 21, 2011, are incorporated by reference in this Form 10-K in response to Items 10, 11, 12, 13 and 14 of Part III.

1


10-K CROSS-REFERENCE INDEX


This Annual Report on Form 10-K incorporates the requirements of the accounting profession and the Securities and Exchange Commission.

Form 10-K
Item Number Page
Part I
1. Business 4-33, 37, 114-121,
124-125, 162, 281-282
1A. Risk Factors 51-60
1B. Unresolved Staff Comments Not Applicable
2. Properties 282-283
3. Legal Proceedings 263-268
4. (Removed and Reserved) -
Part II
5. Market for Registrant's Common
Equity, Related Stockholder
Matters, and Issuer Purchases of
Equity Securities 40, 169, 279,
283-284, 286
6. Selected Financial Data 8-9
7. Management's Discussion and
Analysis of Financial Condition
and Results of Operations 4-50, 61-113
7A. Quantitative and Qualitative
Disclosures About Market Risk 61-113, 163-164,
183-208,
211-255
8. Financial Statements and
Supplementary Data 131-280
9. Changes in and Disagreements
with Accountants on Accounting
and Financial Disclosure Not Applicable
9A. Controls and Procedures 122-123
9B. Other Information Not Applicable
Part III
10. Directors, Executive Officers and
Corporate Governance 285-286, 288*
11. Executive Compensation **
12. Security Ownership of Certain
Beneficial Owners and
Management and Related
Stockholder Matters ***
13. Certain Relationships and Related
Transactions, and Director
Independence ****
14. Principal Accounting Fees and
Services *****
Part IV
15. Exhibits and Financial Statement
Schedules

* For additional information regarding Citigroup's Directors, see "Corporate Governance," "Proposal 1: Election of Directors" and "Section 16(a) Beneficial Ownership Reporting Compliance" in the definitive Proxy Statement for Citigroup's Annual Meeting of Stockholders scheduled to be held on April 21, 2011, to be filed with the SEC (the Proxy Statement), incorporated herein by reference.
** See "Executive Compensation-Compensation Discussion and Analysis," "-2010 Summary Compensation Table" and "-The Personnel and Compensation Committee Report" in the Proxy Statement, incorporated herein by reference.
*** See "About the Annual Meeting," "Stock Ownership" and "Proposal 3: Approval of Amendment to the Citigroup 2009 Stock Incentive Plan" in the Proxy Statement, incorporated herein by reference.
**** See "Corporate Governance-Director Independence," "-Certain Transactions and Relationships, Compensation Committee Interlocks and Insider Participation," "-Indebtedness," "Proposal 1: Election of Directors" and "Executive Compensation" in the Proxy Statement, incorporated herein by reference.
***** See "Proposal 2: Ratification of Selection of Independent Registered Public Accounting Firm" in the Proxy Statement, incorporated herein by reference.

2


CITIGROUP'S 2010 ANNUAL REPORT ON FORM 10-K

OVERVIEW 4
CITIGROUP SEGMENTS AND REGIONS 5
MANAGEMENT'S DISCUSSION AND ANALYSIS

OF FINANCIAL CONDITION AND RESULTS

OF OPERATIONS

6
EXECUTIVE SUMMARY 6
RESULTS OF OPERATIONS 8
FIVE-YEAR SUMMARY OF SELECTED

FINANCIAL DATA

8
SEGMENT, BUSINESS AND PRODUCT-

INCOME (LOSS) AND REVENUES

10
CITICORP 12

Regional Consumer Banking

13

North America Regional Consumer Banking

14

EMEA Regional Consumer Banking

16

Latin America Regional Consumer Banking

18

Asia Regional Consumer Banking

20

Institutional Clients Group

22

Securities and Banking

23

Transaction Services

25
CITI HOLDINGS 26

Brokerage and Asset Management

27

Local Consumer Lending

28

Special Asset Pool

30
CORPORATE/OTHER 33
BALANCE SHEET REVIEW 34

Segment Balance Sheet at December 31, 2010

37
CAPITAL RESOURCES AND LIQUIDITY 38

Capital Resources

38

Funding and Liquidity

44
CONTRACTUAL OBLIGATIONS 50
RISK FACTORS 51
MANAGING GLOBAL RISK 61

Risk Management-Overview

61

Risk Aggregation and Stress Testing

62

Risk Capital

62

Credit Risk

63

Loan and Credit Overview

63

Loans Outstanding

64

Details of Credit Loss Experience

66

Impaired Loans, Non-Accrual
Loans and Assets, and

Renegotiated Loans

68

U.S. Consumer Mortgage Lending

72

North America Cards

79

Consumer Loan Details

83

Consumer Loan Modification Programs

85

Consumer Mortgage Representations and Warranties

90

Securities and Banking-Sponsored Private Label

Residential Mortgage Securitizations

93

Corporate Loan Details

94

Exposure to Commercial Real Estate

96

Market Risk

97

Operational Risk

106

Country and Cross-Border Risk
Management Process;

Sovereign Exposure

108
DERIVATIVES 110
SIGNIFICANT ACCOUNTING POLICIES AND

SIGNIFICANT ESTIMATES

114
DISCLOSURE CONTROLS AND PROCEDURES 122
MANAGEMENT'S ANNUAL REPORT ON

INTERNAL CONTROL OVER FINANCIAL

REPORTING

123
FORWARD-LOOKING STATEMENTS 124
REPORT OF INDEPENDENT REGISTERED

PUBLIC ACCOUNTING FIRM-INTERNAL

CONTROL OVER FINANCIAL REPORTING

126
REPORT OF INDEPENDENT REGISTERED

PUBLIC ACCOUNTING FIRM-

CONSOLIDATED FINANCIAL STATEMENTS

127
FINANCIAL STATEMENTS AND NOTES TABLE

OF CONTENTS

129
CONSOLIDATED FINANCIAL STATEMENTS 131
NOTES TO CONSOLIDATED FINANCIAL

STATEMENTS

139
FINANCIAL DATA SUPPLEMENT (Unaudited) 280

Ratios

280

Average Deposit Liabilities in Offices
Outside the U.S.

280

Maturity Profile of Time Deposits
($100,000 or more) in U.S. Offices

280
SUPERVISION AND REGULATION 281
CUSTOMERS 282
COMPETITION 282
PROPERTIES 282
LEGAL PROCEEDINGS 283
UNREGISTERED SALES OF EQUITY;

PURCHASES OF EQUITY SECURITIES;

DIVIDENDS

283
PERFORMANCE GRAPH 284
CORPORATE INFORMATION 285

Citigroup Executive Officers

285
CITIGROUP BOARD OF DIRECTORS 288

3


OVERVIEW

Introduction
Citigroup's history dates back to the founding of Citibank in 1812. Citigroup's original corporate predecessor was incorporated in 1988 under the laws of the State of Delaware. Following a series of transactions over a number of years, Citigroup Inc. was formed in 1998 upon the merger of Citicorp and Travelers Group Inc.
Citigroup is a global diversified financial services holding company whose businesses provide consumers, corporations, governments and institutions with a broad range of financial products and services. Citi has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions.
Citigroup currently operates, for management reporting purposes, via two primary business segments: Citicorp, consisting of Citi's Regional Consumer Banking businesses and Institutional Clients Group ; and Citi Holdings, consisting of Citi's Brokerage and Asset Management and Local Consumer Lending businesses, and a Special Asset Pool . There is also a third segment, Corporate/Other . For a further description of the business segments and the products and services they provide, see "Citigroup Segments" below, "Management's Discussion and Analysis of Financial Condition and Results of Operations" and Note 4 to the Consolidated Financial Statements.
Throughout this report, "Citigroup", "Citi" and "the Company" refer to Citigroup Inc. and its consolidated subsidiaries.
Additional information about Citigroup is available on the company's Web site at www.citigroup.com . Citigroup's recent annual reports on Form 10-K, quarterly reports on Form 10-Q, current reports on Form 8-K, as well as its other filings with the SEC are available free of charge through the company's Web site by clicking on the "Investors" page and selecting "All SEC Filings." The SEC's Web site also contains periodic and current reports, proxy and information statements, and other information regarding Citi at www.sec.gov .
Within this Form 10-K, please refer to the tables of contents on pages 3 and 129 for page references to Management's Discussion and Analysis of Financial Condition and Results of Operations and Notes to Consolidated Financial Statements, respectively.
At December 31, 2010, Citi had approximately 260,000 full-time employees compared to approximately 265,300 full-time employees at December 31, 2009.

Please see "Risk Factors" below for a discussion of
certain risks and uncertainties that could materially impact
Citigroup's financial condition and results of operations.

Certain reclassifications have been made to the prior periods' financial statements to conform to the current period's presentation.

Impact of Adoption of SFAS 166/167
As previously disclosed, effective January 1, 2010, Citigroup adopted Accounting Standards Codification (ASC) 860, Transfers and Servicing , formerly SFAS No. 166, Accounting for Transfers of Financial Assets, an amendment of FASB Statement No. 140 (SFAS 166), and ASC 810, Consolidations, formerly SFAS No. 167, Amendments to FASB Interpretation No. 46(R) (SFAS 167). Among other requirements, the adoption of these standards includes the requirement that Citi consolidate certain of its credit card securitization trusts and cease sale accounting for transfers of credit card receivables to those trusts. As a result, reported and managed-basis presentations are comparable for periods beginning January 1, 2010. For comparison purposes, prior period revenues, net credit losses, provisions for credit losses and for benefits and claims and loans are presented where indicated on a managed basis in this Form 10-K. Managed presentations were applicable only to Citi's North American branded and retail partner credit card operations in North America Regional Consumer Banking and Citi Holdings- Local Consumer Lending and any aggregations in which they are included. See "Capital Resources and Liquidity" and Note 1 to the Consolidated Financial Statements for an additional discussion of the adoption of SFAS 166/167 and its impact on Citigroup.


4


As described above, Citigroup is managed pursuant to the following segments:

The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.

(1) Asia includes Japan, Latin America includes Mexico, and North America comprises the U.S., Canada and Puerto Rico.


5


MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

EXECUTIVE SUMMARY

2010 Summary Results
During 2010, Citi continued to execute its strategy of growing and investing in its core businesses in Citicorp- Regional Consumer Banking, Securities and Banking and Transaction Services -while at the same time winding down the assets and businesses in Citi Holdings in an economically rational manner.

Citigroup
Citigroup reported net income for 2010 of $10.6 billion, compared to a net loss of $1.6 billion in 2009. Diluted EPS was $0.35 per share in 2010 versus a loss of $0.80 per share in 2009, and net revenues were $86.6 billion in 2010, versus $91.1 billion in 2009, on a comparable basis. On a reported basis, net interest revenue increased by $5.7 billion, or 12%, to $54.7 billion in 2010, generally as a result of the adoption of SFAS 166/167, partially offset by the continued run-off of higher-yielding assets in Citi Holdings and investments in lower-yielding securities. Non-interest revenues improved by approximately $578 million, or 2%, to $31.9 billion in 2010, primarily due to positive gross revenue marks in the Special Asset Pool in Citi Holdings of $2.0 billion in 2010 versus negative revenue marks of $4.6 billion in 2009, a $11.1 billion gain in 2009 on the sale of Smith Barney, a $1.4 billion pretax gain related to the public and private exchange offers consummated in July and September of 2009, and a $10.1 billion pretax loss associated with the repayment of TARP and the exit from the loss-sharing agreement with the U.S. government in December 2009.

Citicorp
Despite continued weaker market conditions, Citicorp net income remained strong in 2010 at $14.9 billion versus $15.3 billion in 2009, with earnings in Asia and Latin America contributing more than half of the total. The continued strength of the core Citi franchise was demonstrated by Citicorp revenues of $65.6 billion for 2010, with a 3% growth in revenues in Regional Consumer Banking on a comparable basis and a 3% growth in Transaction Services , offset by lower revenues in Securities and Banking.
Business drivers in international Regional Consumer Banking reflected the impact in 2010 of the accelerating pace of economic recovery in regions outside of North America and increased investment spending by Citi:

Revenues of $17.7 billion were up 9% year over year. Net income more than doubled to $4.2 billion. Average deposits and average loans each grew by 12% year over year. Card purchase sales grew 17% year over year.

Securities and Banking revenues declined 15% to $23.1 billion in 2010. Excluding the impact of credit value adjustments (CVA), revenues were down 19% year over year to $23.5 billion. The decrease mainly reflected the impact of lower overall client market activity and more challenging global capital market conditions in 2010, as compared to 2009, which was a particularly strong year driven by robust fixed income markets and higher client activity levels in investment banking, especially in the first half of the year.

Citi Holdings
Citi Holdings' net loss decreased 52%, from $8.9 billion to $4.2 billion, as compared to 2009. Lower revenues reflected the absence of the $11.1 billion pretax gain on the sale of Smith Barney in 2009 as well as a declining loan balance resulting mainly from asset sales and net paydowns.
Citi Holdings assets stood at $359 billion at the end of 2010, down $128 billion, or 26%, from $487 billion at the end of 2009. Adjusting for the impact of adopting SFAS 166/167, which added approximately $43 billion of assets to the balance sheet on January 1, 2010, Citi Holdings assets were down by $171 billion during 2010, consisting of approximately:

$108 billion in asset sales and business dispositions; $50 billion of net run-off and paydowns; and $13 billion of net cost of credit and net asset marks.

As of December 31, 2010, Citi Holdings represented 19% of Citigroup assets, as compared to 38% in the first quarter of 2008. At December 31, 2010, Citi Holdings risk-weighted assets were approximately $330 billion, or 34%, of total Citigroup risk-weighted assets.

Credit Costs
Global credit continued to recover with the sixth consecutive quarter of sustained improvement in credit costs in the fourth quarter of 2010. For the full year, Citigroup net credit losses declined $11.4 billion, or 27%, to $30.9 billion in 2010 on a comparable basis, reflecting improvement in net credit losses in every region. During 2010, Citi released $5.8 billion in net reserves for loan losses and unfunded lending commitments, primarily driven by international Regional Consumer Banking , retail partner cards in Local Consumer Lending and the Corporate loan portfolio, while it built $8.3 billion of reserves in 2009. The total provision for credit losses and for benefits and claims of $26.0 billion in 2010 decreased 50% on a comparable basis year over year.
Net credit losses in Citicorp declined 10% year-over-year on a comparable basis to $11.8 billion, and Citicorp released $2.2 billion in net reserves for loan losses and unfunded lending commitments, compared to a $2.9 billion reserve build in 2009. Net credit losses in Citi Holdings declined 35% on a comparable basis to $19.1 billion, and Citi Holdings released $3.6 billion in net reserves for loan losses and unfunded lending commitments, compared to a $5.4 billion reserve build in 2009.


6


Operating Expenses
Citigroup operating expenses were down 1% versus the prior year at $47.4 billion in 2010, as increased investment spending, FX translation, and inflation in Citicorp were more than offset by lower expenses in Citi Holdings. In Citicorp, expenses increased 10% year over year to $35.9 billion, mainly due to higher investment spending across all Citicorp businesses as well as FX translation and inflation. In Citi Holdings, operating expenses were down 31% year over year to $9.6 billion, reflecting the continued reduction of assets.

Capital and Loan Loss Reserve Positions
Citi increased its Tier 1 Common and Tier 1 Capital ratios during 2010. At December 31, 2010, Citi's Tier 1 Common ratio was 10.8% and its Tier 1 Capital ratio was 12.9%, compared to 9.6% and 11.7% at December 31, 2009, respectively. Tier 1 Common was relatively flat year over year at $105 billion, even after absorbing a $14.2 billion reduction from the impact of SFAS 166/167 in the first quarter, while total risk-weighted assets declined 10% to $978 billion.
Citigroup ended the year with a total allowance for loan losses of $40.7 billion, up $4.6 billion, or 13%, from the prior year, reflecting the impact of adopting SFAS 166/167 which added $13.4 billion on January 1, 2010. The allowance represented 6.31% of total loans and 209% of non-accrual loans as of December 31, 2010, up from 6.09% and 114%, respectively, at the end of 2009. The consumer loan loss reserve was $35.4 billion at December 31, 2010, representing 7.77% of total loans, versus $28.4 billion, or 6.70%, at December 31, 2009.

Liquidity and Funding
Citigroup maintained a high level of liquidity, with aggregate liquidity resources (including cash at major central banks and unencumbered liquid securities) of $322 billion at year-end 2010, up from $316 billion at year-end 2009. Citi also continued to grow its deposit base, closing 2010 with $845 billion in deposits, up 1% from year-end 2009. Structural liquidity (defined as deposits, long-term debt and equity as a percentage of total assets) remained strong at 73% as of December 31, 2010, flat compared to December 31, 2009, and up from 66% at December 31, 2008.
Citigroup issued approximately $22 billion (excluding local country and securitizations) of long-term debt in 2010, representing just over half of its 2010 long-term maturities, due to its strong liquidity position and proceeds received from asset reductions in Citi Holdings. For additional information, see "Capital Resources and Liquidity-Funding and Liquidity" below.

2011 Business Outlook
In 2011, management will continue its focus on growing and investing in the core Citicorp franchise, while economically rationalizing Citi Holdings. However, Citigroup's results will continue to be affected by factors outside of its control, such as the global economic and regulatory environment in the regions in which Citi operates. In particular, the macroeconomic environment in the U.S. remains challenging, with unemployment levels still elevated and continued pressure and uncertainty in the housing market, including home prices. Additionally, the continued implementation of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Financial Reform Act), including the ongoing extensive rulemaking and interpretive issues, as well as the new capital standards for bank holding companies as adopted by the Basel Committee on Banking Supervision (Basel Committee) and U.S. regulators, will remain a significant source of uncertainty in 2011. Moreover, the implementation of the change in methodology for calculating FDIC insurance premiums, to be effective in the second quarter 2011, will have a negative impact on Citi's earnings. (For additional information on these factors, see "Capital Resources and Liquidity" and "Risk Factors" below.)

In Citicorp, Securities and Banking results for 2011 will depend on the level of client activity and on macroeconomic conditions, market valuations and volatility, interest rates and other market factors. Transaction Services business performance will also continue to be impacted by macroeconomic conditions as well as market factors, including interest rate levels, global economic and trade activity, volatility in capital markets, foreign exchange and market valuations.
In Regional Consumer Banking , results during the year are likely to be driven by different trends in North America versus the international regions. In North America , if economic recovery is sustained, revenues could grow modestly, particularly in the second half of the year, assuming loan demand begins to recover. However, net credit margin in North America will likely continue to be driven primarily by improvement in net credit losses. Internationally, given continued economic expansion in these regions, net credit margin is likely to be driven by revenue growth, particularly in the second half of the year, as investment spending should continue to generate volume growth to outpace spread compression. International credit costs are likely to increase in 2011, reflecting a growing loan portfolio.
In Citi Holdings, revenues for Local Consumer Lending should continue to decline reflecting a shrinking loan balance resulting from paydowns and asset sales. Based on current delinquency trends and ongoing loss-mitigation actions, credit costs are expected to continue to improve. Overall, however, Local Consumer Lending will likely continue to drive results in Citi Holdings.
Operating expenses are expected to show some variability across quarters as the Company continues to invest in Citicorp while rationalizing Citi Holdings and maintaining expense discipline. Although Citi currently expects net interest margin (NIM) to remain under pressure during the first quarter of 2011, driven by continued low yields on investments and the run-off of higher yielding loan assets, NIM could begin to stabilize during the remainder of the year.


7


RESULTS OF OPERATIONS

FIVE-YEAR SUMMARY OF SELECTED FINANCIAL DATA-PAGE 1 Citigroup Inc. and Consolidated Subsidiaries
In millions of dollars, except per-share amounts, ratios and direct staff 2010  (1)(2) 2009  (2) 2008  (2) 2007  (2) 2006  (2)
Net interest revenue $ 54,652 $ 48,914 $ 53,749 $ 45,389 $ 37,928
Non-interest revenue 31,949 31,371 (2,150 ) 31,911 48,399
Revenues, net of interest expense $ 86,601 $ 80,285 $ 51,599 $ 77,300 $ 86,327
Operating expenses 47,375 47,822 69,240 58,737 50,301
Provisions for credit losses and for benefits and claims 26,042 40,262 34,714 17,917 7,537
Income (loss) from continuing operations before income taxes $ 13,184 $ (7,799 ) $ (52,355 ) $ 646 $ 28,489
Income taxes (benefits) 2,233 (6,733 ) (20,326 ) (2,546 ) 7,749
Income (loss) from continuing operations $ 10,951 $ (1,066 ) $ (32,029 ) $ 3,192 $ 20,740
Income (loss) from discontinued operations, net of taxes (3) (68 ) (445 ) 4,002 708 1,087
Net income (loss) before attribution of noncontrolling interests $ 10,883 $ (1,511 ) $ (28,027 ) $ 3,900 $ 21,827
Net income (loss) attributable to noncontrolling interests 281 95 (343 ) 283 289
Citigroup's net income (loss) $ 10,602 $ (1,606 ) $ (27,684 ) $ 3,617 $ 21,538
Less:
       Preferred dividends–Basic $ 9 $ 2,988 $ 1,695 $ 36 $ 64
       Impact of the conversion price reset related to the $12.5 billion
              convertible preferred stock private issuance-Basic - 1,285 - - -
       Preferred stock Series H discount accretion-Basic - 123 37 - -
       Impact of the public and private preferred stock exchange offer - 3,242 - - -
       Dividends and undistributed earnings allocated to participating
              securities, applicable to Basic EPS 90 2 221 261 512
Income (loss) allocated to unrestricted common shareholders for basic EPS $ 10,503 $ (9,246 ) $ (29,637 ) $ 3,320 $ 20,962
       Less: Convertible preferred stock dividends - (540 ) (877 ) - -
       Add: Incremental dividends and undistributed earnings allocated to participating securities,
              applicable to Diluted EPS 2 - - - 2
Income (loss) allocated to unrestricted common shareholders for diluted EPS $ 10,505 $ (8,706 ) $ (28,760 ) $ 3,320 $ 20,964
Earnings per share
Basic
Income (loss) from continuing operations 0.37 (0.76 ) (6.39 ) 0.53 4.07
Net income (loss) 0.36 (0.80 ) (5.63 ) 0.68 4.29
Diluted (4)
Income (loss) from continuing operations $ 0.35 $ (0.76 ) $ (6.39 ) $ 0.53 $ 4.05
Net income (loss) 0.35 (0.80 ) (5.63 ) 0.67 4.27
Dividends declared per common share 0.00 0.01 1.12 2.16 1.96

Statement continues on the next page, including notes to the table.

8


FIVE-YEAR SUMMARY OF SELECTED FINANCIAL DATA-PAGE 2 Citigroup Inc. and Consolidated Subsidiaries
In millions of dollars, except per-share amounts, ratios and direct staff 2010  (1) 2009  (2) 2008  (2) 2007  (2) 2006  (2)
At December 31
Total assets $ 1,913,902 $ 1,856,646 $ 1,938,470 $ 2,187,480 $ 1,884,167
Total deposits 844,968 835,903 774,185 826,230 712,041
Long - term debt 381,183 364,019 359,593 427,112 288,494
Mandatorily redeemable securities of subsidiary trusts (included in long-term debt) 18,131 19,345 24,060 23,756 8,972
Common stockholders' equity 163,156 152,388 70,966 113,447 118,632
Total stockholders' equity 163,468 152,700 141,630 113,447 119,632
Direct staff (in thousands) 260 265 323 375 327
Ratios
Return on average common stockholders' equity (5) 6.8 % (9.4 )% (28.8 )% 2.9 % 18.8 %
Return on average total stockholders' equity (5) 6.8 (1.1 ) (20.9 ) 3.0 18.7
Tier 1 Common (6) 10.75 % 9.60 % 2.30 % 5.02 % 7.49 %
Tier 1 Capital 12.91 11.67 11.92 7.12 8.59
Total Capital 16.59 15.25 15.70 10.70 11.65
Leverage (7) 6.60 6.87 6.08 4.03 5.16
Common stockholders' equity to assets 8.52 % 8.21 % 3.66 % 5.19 % 6.30 %
Total stockholders' equity to assets 8.54 8.22 7.31 5.19 6.35
Dividend payout ratio (8) NM NM NM 322.4 45.9
Book value per common share $ 5.61 $ 5.35 $ 13.02 $ 22.71 $ 24.15
Ratio of earnings to fixed charges and preferred stock dividends 1.52 x NM NM 1.01 x 1.50 x

(1) On January 1, 2010, Citigroup adopted SFAS 166/167. Prior periods have not been restated as the standards were adopted prospectively. See Note 1 to the Consolidated Financial Statements.
(2) On January 1, 2009, Citigroup adopted SFAS No. 160, Noncontrolling Interests in Consolidated Financial Statements (now ASC 810-10-45-15, Consolidation: Noncontrolling Interest in a Subsidiary ), and FSP EITF 03-6-1, "Determining Whether Instruments Granted in Share-Based Payment Transactions Are Participating Securities" (now ASC 260-10-45-59A, Earnings Per Share: Participating Securities and the Two-Class Method ). All prior periods have been restated to conform to the current period's presentation.
(3) Discontinued operations for 2006 to 2009 reflect the sale of Nikko Cordial Securities to Sumitomo Mitsui Banking Corporation, the sale of Citigroup's German retail banking operations to Crédit Mutuel, and the sale of CitiCapital's equipment finance unit to General Electric. In addition, discontinued operations for 2006 include the operations and associated gain on sale of substantially all of Citigroup's asset management business. Discontinued operations for 2006 to 2010 also include the operations and associated gain on sale of Citigroup's Travelers Life & Annuity; substantially all of Citigroup's international insurance business; and Citigroup's Argentine pension business sold to MetLife Inc. Discontinued operations for the second half of 2010 also reflect the sale of The Student Loan Corporation. See Note 3 to the Consolidated Financial Statements.
(4) The diluted EPS calculation for 2009 and 2008 utilizes basic shares and income allocated to unrestricted common stockholders (Basic) due to the negative income allocated to unrestricted common stockholders. Using diluted shares and income allocated to unrestricted common stockholders (Diluted) would result in anti-dilution.
(5) The return on average common stockholders' equity is calculated using net income less preferred stock dividends divided by average common stockholders' equity. The return on total stockholders' equity is calculated using net income divided by average stockholders' equity.
(6) As defined by the banking regulators, the Tier 1 Common ratio represents Tier 1 Capital less qualifying perpetual preferred stock, qualifying noncontrolling interests in subsidiaries and qualifying mandatorily redeemable securities of subsidiary trusts divided by risk-weighted assets.
(7) The Leverage ratio represents Tier 1 Capital divided by adjusted average total assets.
(8) Dividends declared per common share as a percentage of net income per diluted share.

NM Not meaningful


9


SEGMENT, BUSINESS AND PRODUCT - INCOME (LOSS) AND REVENUES

The following tables show the income (loss) and revenues for Citigroup on a segment, business and product view:

CITIGROUP INCOME (LOSS)

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
Income (loss) from continuing operations
CITICORP
Regional Consumer Banking
       North America $ 607 $ 730 $ (1,504 ) (17 )% NM
       EMEA 103 (209 ) 50 NM NM
       Latin America 1,885 525 (3,083 ) NM NM
       Asia 2,172 1,432 1,770 52 (19 )%
Total $ 4,767 $ 2,478 $ (2,767 ) 92 % NM
Securities and Banking
       North America $ 2,537 $ 2,385 $ 2,395 6 % -
       EMEA 1,832 3,426 588 (47 ) NM
       Latin America 1,072 1,536 1,113 (30 ) 38 %
       Asia 1,138 1,838 1,970 (38 ) (7 )
Total $ 6,579 $ 9,185 $ 6,066 (28 )% 51 %
Transaction Services
       North America $ 544 $ 615 $ 323 (12 )% 90 %
       EMEA 1,224 1,287 1,246 (5 ) 3
       Latin America 653 604 588 8 3
       Asia 1,253 1,230 1,196 2 3
Total $ 3,674 $ 3,736 $ 3,353 (2 )% 11 %
       Institutional Clients Group $ 10,253 $ 12,921 $ 9,419 (21 )% 37 %
Total Citicorp $ 15,020 $ 15,399 $ 6,652 (2 )% NM
CITI HOLDINGS
Brokerage and Asset Management $ (203 ) $ 6,937 $ (851 ) NM NM
Local Consumer Lending (4,993 ) (10,416 ) (8,357 ) 52 % (25 )%
Special Asset Pool 1,173 (5,369 ) (27,289 ) NM 80
Total Citi Holdings $ (4,023 ) $ (8,848 ) $ (36,497 ) 55 % 76 %
Corporate/Other $ (46 ) $ (7,617 ) $ (2,184 ) 99 % NM
Income (loss) from continuing operations $ 10,951 $ (1,066 ) $ (32,029 ) NM 97 %
Discontinued operations $ (68 ) $ (445 ) $ 4,002 NM NM
Net income (loss) attributable to noncontrolling interests 281 95 (343 ) NM NM
Citigroup's net income (loss) $ 10,602 $ (1,606 ) $ (27,684 ) NM 94 %

NM Not meaningful

10


CITIGROUP REVENUES

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
CITICORP
Regional Consumer Banking
       North America $ 14,790 $ 8,576 $ 8,607 72 % - %
       EMEA 1,511 1,555 1,865 (3 ) (17 )
       Latin America 8,727 7,917 9,488 10 (17 )
       Asia 7,414 6,766 7,461 10 (9 )
Total $ 32,442 $ 24,814 $ 27,421 31 % (10 )%
Securities and Banking
       North America $ 9,392 $ 8,833 $ 10,821 6 % (18 )%
       EMEA 6,842 10,049 5,963 (32 ) 69
       Latin America 2,532 3,421 2,374 (26 ) 44
       Asia 4,318 4,806 5,570 (10 ) (14 )
Total $ 23,084 $ 27,109 $ 24,728 (15 )% 10 %
Transaction Services
       North America $ 2,483 $ 2,526 $ 2,161 (2 )% 17 %
       EMEA 3,356 3,389 3,677 (1 ) (8 )
       Latin America 1,490 1,373 1,439 9 (5 )
       Asia 2,705 2,501 2,669 8 (6 )
Total $ 10,034 $ 9,789 $ 9,946 3 % (2 )%
       Institutional Clients Group $ 33,118 $ 36,898 $ 34,674 (10 )% 6 %
Total Citicorp $ 65,560 $ 61,712 $ 62,095 6 % (1 )%
CITI HOLDINGS
Brokerage and Asset Management $ 609 $ 14,623 $ 7,963 (96 )% 84 %
Local Consumer Lending 15,826 17,765 23,498 (11 ) (24 )
Special Asset Pool 2,852 (3,260 ) (39,699 ) NM 92
Total Citi Holdings $ 19,287 $ 29,128 $ (8,238 ) (34 )% NM
Corporate/Other $ 1,754 $ (10,555 ) $ (2,258 ) NM NM
Total net revenues $ 86,601 $ 80,285 $ 51,599 8 % 56 %

NM Not meaningful

11


CITICORP

Citicorp is the Company's global bank for consumers and businesses and represents Citi's core franchise. Citicorp is focused on providing best-in-class products and services to customers and leveraging Citigroup's unparalleled global network. Citicorp is physically present in approximately 100 countries, many for over 100 years, and offers services in over 160 countries and jurisdictions. Citi believes this global network provides a strong foundation for servicing the broad financial services needs of large multinational clients and for meeting the needs of retail, private banking, commercial, public sector and institutional customers around the world. Citigroup's global footprint provides coverage of the world's emerging economies, which Citi believes represent a strong area of growth. At December 31, 2010, Citicorp had approximately $1.3 trillion of assets and $760 billion of deposits, representing approximately 67% of Citi's total assets and approximately 90% of its deposits.
Citicorp consists of the following businesses: Regional Consumer Banking (which includes retail banking and Citi-branded cards in four regions- North America , EMEA , Latin America and Asia ) and Institutional Clients Group (which includes Securities and Banking and Transaction Services ).

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
       Net interest revenue $ 38,820 $ 34,432 $ 35,328 13 % (3 )%
       Non-interest revenue 26,740 27,280 26,767 (2 ) 2
Total revenues, net of interest expense $ 65,560 $ 61,712 $ 62,095 6 % (1 )%
Provisions for credit losses and for benefits and claims
       Net credit losses $ 11,789 $ 6,155 $ 4,984 92 % 23 %
       Credit reserve build(release) (2,167 ) 2,715 3,405 NM (20 )
       Provision for loan losses $ 9,622 $ 8,870 $ 8,389 8 % 6 %
       Provision for benefits and claims 151 164 176 (8 ) (7 )
       Provision for unfunded lending commitments (32 ) 138 (191 ) NM NM
              Total provisions for credit losses and for benefits and claims $ 9,741 $ 9,172 $ 8,374 6 % 10 %
Total operating expenses $ 35,859 $ 32,640 $ 44,625 10 % (27 )%
Income from continuing operations before taxes $ 19,960 $ 19,900 $ 9,096 - NM
Provisions for income taxes 4,940 4,501 2,444 10 % 84 %
Income from continuing operations $ 15,020 $ 15,399 $ 6,652 (2 )% NM
Net income attributable to noncontrolling interests 122 68 29 79 NM
Citicorp's net income $ 14,898 $ 15,331 $ 6,623 (3 )% NM
Balance sheet data (in billions of dollars)
Total EOP assets $ 1,283 $ 1,138 $ 1,067 13 % 7 %
Average assets 1,257 1,088 1,325 16 % (18 )%
Total EOP deposits 760 734 675 4 % 9 %

NM Not meaningful

12


REGIONAL CONSUMER BANKING

Regional Consumer Banking (RCB) consists of Citigroup's four RCB businesses that provide traditional banking services to retail customers. RCB also contains Citigroup's branded cards business and Citi's local commercial banking business. RCB is a globally diversified business with over 4,200 branches in 39 countries around the world. During 2010, 54% of total RCB revenues were from outside North America . Additionally, the majority of international revenues and loans were from emerging economies in Asia , Latin America , Central and Eastern Europe and the Middle East. At December 31, 2010, RCB had $330 billion of assets and $309 billion of deposits.

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
Net interest revenue $ 23,244 $ 16,404 $ 17,275 42 % (5 )%
Non-interest revenue 9,198 8,410 10,146 9 (17 )
Total revenues, net of interest expense $ 32,442 $ 24,814 $ 27,421 31 % (10 )%
Total operating expenses $ 16,454 $ 15,041 $ 23,618 9 % (36 )%
Net credit losses $ 11,221 $ 5,410 $ 4,068 NM 33 %
Credit reserve build (release) (1,543 ) 1,819 2,091 NM (13 )
Provisions for unfunded lending commitments (4 ) - - - -
Provision for benefits and claims 151 164 176 (8 )% (7 )
Provisions for credit losses and for benefits and claims $ 9,825 $ 7,393 $ 6,335 33 % 17 %
Income (loss) from continuing operations before taxes $ 6,163 $ 2,380 $ (2,532 ) NM NM
Income taxes (benefits) 1,396 (98 ) 235 NM NM
Income (loss) from continuing operations $ 4,767 $ 2,478 $ (2,767 ) 92 % NM
Net income (loss) attributable to noncontrolling interests (9 ) - 11 - (100 )
Net income (loss) $ 4,776 $ 2,478 $ (2,778 ) 93 % NM
Average assets (in billions of dollars) $ 311 242 268 29 % (10 )%
Return on assets 1.54 % 1.02 % (1.04 )%
Total EOP assets $ 330 $ 256 $ 245 29 5
Average deposits (in billions of dollars) 295 275 269 7 2
Net credit losses as a percentage of average loans 5.07 % 3.63 % 2.58 %
Revenue by business
Retail banking $ 15,834 $ 14,842 $ 15,427 7 % (4 )%
Citi-branded cards 16,608 9,972 11,994 67 (17 )
Total $ 32,442 $ 24,814 $ 27,421 31 % (10 )%
Income (loss) from continuing operations by business
       Retail banking $ 3,231 $ 2,593 $ (3,592 ) 25 % NM
       Citi-branded cards 1,536 (115 ) 825 NM NM
Total $ 4,767 $ 2,478 $ (2,767 ) 92 % NM

NM Not meaningful

13


NORTH AMERICA REGIONAL CONSUMER BANKING

North America Regional Consumer Banking (NA RCB) provides traditional banking and Citi-branded card services to retail customers and small to mid-size businesses in the U.S. NA RCB 's approximate 1,000 retail bank branches and 13.1 million retail customer accounts are largely concentrated in the greater metropolitan areas of New York, Los Angeles, San Francisco, Chicago, Miami, Washington, D.C., Boston, Philadelphia, and certain larger cities in Texas. At December 31, 2010, NA RCB had $30.7 billion of retail banking and residential real estate loans and $144.8 billion of average deposits. In addition, NA RCB had 21.2 million Citi-branded credit card accounts, with $77.5 billion in outstanding card loan balances.

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
Net interest revenue $ 11,216 $ 5,204 $ 4,332 NM 20 %
Non-interest revenue 3,574 3,372 4,275 6 % (21 )
Total revenues, net of interest expense $ 14,790 $ 8,576 $ 8,607 72 % -
Total operating expenses $ 6,224 $ 5,987 $ 9,105 4 % (34 )%
       Net credit losses $ 8,022 $ 1,151 $ 617 NM 87 %
       Credit reserve build (release) (313 ) 527 465 NM 13
       Provisions for benefits and claims 24 50 4 (52 )% NM
Provisions for loan losses and for benefits and claims $ 7,733 $ 1,728 $ 1,086 NM 59 %
Income (loss) from continuing operations before taxes $ 833 861 $ (1,584 ) (3 )% NM
Income taxes (benefits) 226 131 (80 ) 73 NM
Income (loss) from continuing operations $ 607 $ 730 $ (1,504 ) (17 )% NM
Net income attributable to noncontrolling interests - - - - -
Net income (loss) $ 607 $ 730 $ (1,504 ) (17 )% NM
Average assets (in billions of dollars) $ 119 $ 73 $ 75 63 % (3 )%
Average deposits (in billions of dollars) $ 145 $ 140 $ 125 4 % 12 %
Net credit losses as a percentage of average loans 7.48 % 2.43 % 1.39 %
Revenue by business
       Retail banking $ 5,325 $ 5,237 $ 4,613 2 % 14 %
       Citi-branded cards 9,465 3,339 3,994 NM (16 )
Total $ 14,790 $ 8,576 $ 8,607 72 % -
Income (loss) from continuing operations by business
       Retail banking $ 771 $ 805 $ (1,714 ) (4 )% NM
       Citi-branded cards (164 ) (75 ) 210 NM NM
Total $ 607 $ 730 $ (1,504 ) (17 )% NM
NM Not meaningful

2010 vs. 2009
Revenues, net of interest expense increased 72% from the prior year, primarily due to the consolidation of securitized credit card receivables pursuant to the adoption of SFAS 166/167 effective January 1, 2010. On a comparable basis, Revenues, net of interest expense , declined 3% from the prior year, mainly due to lower volumes in branded cards as well as the net impact of the Credit Card Accountability Responsibility and Disclosure Act of 2009 (CARD Act) on cards revenues. This decrease was partially offset by better mortgage-related revenues.
Net interest revenue was down 6% on a comparable basis driven primarily by lower volumes in cards, with average managed loans down 7% from the prior year, and in retail banking, where average loans declined 11%. The increase in deposit volumes, up 4% from the prior year, was offset by lower spreads in the current interest rate environment.

Non-interest revenue increased 9% on a comparable basis from the prior year mainly driven by better servicing hedge results and higher gains from loan sales in mortgages.
Operating expenses increased 4% from the prior year, driven by the impact of litigation reserves in the first quarter of 2010 and higher marketing costs.
Provisions for loan losses and for benefits and claims increased $6.0 billion primarily due to the consolidation of securitized credit card receivables pursuant to the adoption of SFAS 166/167. On a comparable basis, Provisions for loan losses and for benefits and claims decreased $0.9 billion, or 11%, primarily due to a net loan loss reserve release of $0.3 billion in 2010 compared to a $0.5 billion loan loss reserve build in the prior year, and lower net credit losses in the branded cards portfolio. Also on a comparable basis, the cards net credit loss ratio increased 61 basis points to 10.02%, driven by lower average loans.



14


2009 vs. 2008
Revenues, net of interest expense were fairly flat as higher credit losses in the securitization trusts were offset by higher net interest margin in cards, higher volumes in retail banking, and higher gains from loan sales in mortgages.
Net interest revenue was up 20% driven by the impact of pricing actions relating to the CARD Act and lower funding costs in Citi-branded cards, and by higher deposit and loan volumes in retail banking, with average deposits up 12% and average loans up 11%. 
Non-interest revenue declined 21%, driven by higher credit losses flowing through the securitization trusts and by the absence of a $349 million gain on the sale of Visa shares and a $170 million gain from a cards portfolio sale in 2008. This decline was partially offset by higher gains from loan sales in mortgages.
Operating expenses declined 34%. Excluding a 2008 goodwill impairment charge of $2.3 billion, expenses were down 12% reflecting the benefits from re-engineering efforts, lower marketing costs, and the absence of $217 million of repositioning charges in 2008 offset by the absence of a $159 million Visa litigation reserve release in 2008.
Provisions for credit losses and for benefits and claims increased $642 million, or 59%, primarily due to rising net credit losses in both cards and retail banking. The continued weakening of leading credit indicators and trends in the macroeconomic environment during the period, including rising unemployment and higher bankruptcy filings, drove higher credit costs. The cards managed net credit loss ratio increased 376 basis points to 9.41%, while the retail banking net credit loss ratio increased 44 basis points to 0.90%.



15


EMEA REGIONAL CONSUMER BANKING
EMEA Regional Consumer Banking (EMEA RCB) provides traditional banking and Citi-branded card services to retail customers and small to mid-size businesses, primarily in Central and Eastern Europe, the Middle East and Africa. Remaining activities in respect of Western Europe retail banking are included in Citi Holdings. EMEA RCB has generally repositioned its business, shifting from a strategy of widespread distribution to a focused strategy concentrating on larger urban markets within the region. An exception is Bank Handlowy, which has a mass market presence in Poland. The countries in which EMEA RCB has the largest presence are Poland, Turkey, Russia and the United Arab Emirates. At December 31, 2010, EMEA RCB had 298 retail bank branches with 3.7 million customer accounts, $4.4 billion in retail banking loans and $9.2 billion in average deposits. In addition, the business had 2.5 million Citi-branded card accounts with $2.8 billion in outstanding card loan balances.

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
Net interest revenue $ 931 $ 979 $ 1,269 (5 )% (23 )%
Non-interest revenue 580 576 596 1 (3 )
Total revenues, net of interest expense $ 1,511 $ 1,555 $ 1,865 (3 )% (17 )%
Total operating expenses $ 1,169 $ 1,094 $ 1,500 7 % (27 )%
       Net credit losses $ 320 $ 487 $ 237 (34 )% NM
       Provision for unfunded lending commitments (4 ) - - - NM
       Credit reserve build (release) (119 ) 307 75 NM NM
Provisions for loan losses $ 197 $ 794 $ 312 (75 )% NM
Income (loss) from continuing operations before taxes $ 145 $ (333 ) $ 53 NM NM
Income taxes (benefits) 42 (124 ) 3 NM NM
Income (loss) from continuing operations $ 103 $ (209 ) $ 50 NM NM
Net income (loss) attributable to noncontrolling interests (1 ) - 12 - (100 )%
Net income (loss) $ 104 $ (209 ) $ 38 NM NM
Average assets (in billions of dollars) $ 10 $ 11 $ 13 (9 )% (15 )%
Return on assets 1.04 % (1.90 )% 0.29 %
Average deposits (in billions of dollars) $ 9 $ 9 $ 11 - (18 )
Net credit losses as a percentage of average loans 4.34 % 5.81 % 2.48 %
Revenue by business
       Retail banking $ 830 $ 889 $ 1,160 (7 )% (23 )%
       Citi-branded cards 681 666 705 2 (6 )
Total $ 1,511 $ 1,555 $ 1,865 (3 )% (17 )%
Income (loss) from continuing operations by business
       Retail banking $ (40 ) $ (179 ) $ (57 ) 78 % NM
       Citi-branded cards 143 (30 ) 107 NM NM
Total $ 103 $ (209 ) $ 50 NM NM
NM Not meaningful

2010 vs. 2009
Revenues, net of interest expense declined 3% from the prior-year period. The decrease was due to lower lending revenues, driven by the repositioning of the lending strategy toward better profile customer segments for new acquisitions and liquidation of the existing non-strategic customer portfolios, across EMEA RCB markets. The lower lending revenues were partially offset by a 45% growth in investment sales with assets under management increasing by 14%.
Net interest revenue was 5% lower than the prior year due to lower retail volumes, with average loans for retail banking down 17%. 
Non-interest revenue was higher by 1%, reflecting a marginal increase in the contribution from an equity investment in Turkey.

Operating expenses increased by 7%, reflecting targeted investment spending, expansion of the sales force and regulatory and legal expenses.
Provisions for loan losses decreased by $597 million to $197 million. Net credit losses decreased from $487 million to $320 million, while the loan loss reserve had a release of $119 million in 2010 compared to a build of $307 million in 2009. These numbers reflected the ongoing improvement in credit quality during the period.



16


2009 vs. 2008

Revenues, net of interest expense declined 17%. More than half of the revenue decline was attributable to the impact of foreign currency translation (FX translation). Other drivers included lower wealth-management and lending revenues due to lower volumes and spread compression from credit tightening initiatives. Investment sales declined by 26% due to market conditions at the start of 2009, with assets under management increasing by 9% by year end.
Net interest revenue was 23% lower than the prior year due to external competitive pressure on rates and higher funding costs, with average loans for retail banking down 18% and average deposits down 18%.
Non-interest revenue decreased by 3%, primarily due to the impact of FX translation. Excluding FX translation, there was marginal growth.
Operating expenses declined 27%, reflecting expense control actions, lower marketing expenses and the impact of FX translation. Cost savings were achieved by branch closures, headcount reductions and process re-engineering efforts.
Provisions for loan losses increased $482 million to $794 million. Net credit losses increased from $237 million to $487 million, while the loan loss reserve build increased from $75 million to $307 million. Higher credit costs reflected the continued credit deterioration across the region during the period.



17


LATIN AMERICA REGIONAL CONSUMER BANKING
Latin America Regional Consumer Banking (LATAM RCB) provides traditional banking and Citi-branded card services to retail customers and small to mid-size businesses, with the largest presence in Mexico and Brazil. LATAM RCB includes branch networks throughout Latin America as well as Banco Nacional de Mexico, or Banamex, Mexico's second largest bank, with over 1,700 branches. At December 31, 2010, LATAM RCB had 2,190 retail branches, with 26.6 million customer accounts, $21.3 billion in retail banking loan balances and $42.6 billion in average deposits. In addition, the business had 12.5 million Citi-branded card accounts with $13.4 billion in outstanding loan balances.

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
Net interest revenue $ 6,009 $ 5,399 $ 6,604 11 % (18 )%
Non-interest revenue 2,718 2,518 2,884 8 (13 )
Total revenues, net of interest expense $ 8,727 $ 7,917 $ 9,488 10 % (17 )%
Total operating expenses $ 5,060 $ 4,438 $ 9,123 14 % (51 )%
       Net credit losses $ 1,867 $ 2,433 $ 2,204 (23 )% 10 %
       Credit reserve build (release) (826 ) 462 1,116 NM (59 )
       Provision for benefits and claims 127 114 172 11 (34 )
Provisions for loan losses and for benefits and claims $ 1,168 $ 3,009 $ 3,492 (61 )% (14 )%
Income (loss) from continuing operations before taxes $ 2,499 $ 470 $ (3,127 ) NM NM
Income taxes (benefits) 614 (55 ) (44 ) NM (25 )%
Income (loss) from continuing operations $ 1,885 $ 525 $ (3,083 ) NM NM
Net (loss) attributable to noncontrolling interests (8 ) - - NM -
Net income (loss) $ 1,893 $ 525 $ (3,083 ) NM NM
Average assets (in billions of dollars) $ 74 66 $ 83 12 % (20 )%
Return on assets 2.56 % 0.80 % (3.72 )%
Average deposits (in billions of dollars) $ 40 $ 36 $ 40 11 % (10 )%
Net credit losses as a percentage of average loans 5.79 % 8.52 % 7.05 %
Revenue by business
       Retail banking $ 5,075 $ 4,435 $ 4,807 14 % (8 )%
       Citi-branded cards 3,652 3,482 4,681 5 (26 )
Total $ 8,727 $ 7,917 $ 9,488 10 % (17 )%
Income (loss) from continuing operations by business
       Retail banking $ 1,039 $ 749 $ (3,235 ) 39 % NM
       Citi-branded cards 846 (224 ) 152 NM NM
Total $ 1,885 $ 525 $ (3,083 ) NM NM
NM Not meaningful

2010 vs. 2009
Revenues, net of interest expense increased 10%, driven by higher loan volumes and higher investment assets under management in the retail business, as well as the impact of FX translation.
Net interest revenue increased 11%, driven by higher loan volumes, primarily in the retail business, and FX translation impact offset by spread compression.
Non-interest revenue increased 8%, driven by higher branded cards fee income from increased customer activity.
Operating expenses increased 14% as compared to the prior year, primarily driven by investments and the impact of FX translation. The

increase in 2010 was primarily driven by an increase in transaction volumes, higher investment spending and FX translation.
Provisions for loan losses and for benefits and claims decreased 61%, primarily reflecting loan loss reserve releases of $826 million compared to a build of $426 million in the prior year. This decrease resulted from improved credit conditions, improved portfolio quality and lower net credit losses in the branded cards portfolio driven by Mexico, partially offset by higher credit costs attributable to higher volumes, particularly as the year progressed.



18


2009 vs. 2008
Revenues, net of interest expense declined 17%, driven by the impact of FX translation as well as lower activity in the branded cards business.
Net interest revenue decreased 18%, mainly driven by FX translation as well as lower volumes and spread compression in the branded cards business that offset the growth in loans, deposits and investment products in the retail business.
Non-interest revenue decreased 13%, driven also by FX translation and lower branded cards fee income from lower customer activity.
Operating expenses decreased 51%, primarily driven by the absence of the goodwill impairment charge of $4.3 billion in 2008, the benefit associated with FX translation and savings from restructuring actions implemented primarily at the end of 2008. A $125 million restructuring charge in 2008 was offset by an expense benefit of $257 million related to a legal vehicle restructuring. Expenses increased slightly in the fourth quarter 2009, primarily due to selected marketing and investment spending.
Provisions for loan losses and for benefits and claims decreased 14% primarily reflecting lower loan loss reserve builds as a result of lower volumes, improved portfolio quality and lower net credit losses in the branded cards portfolio, primarily in Mexico due to repositioning in the portfolio.



19


ASIA REGIONAL CONSUMER BANKING
Asia Regional Consumer Banking (Asia RCB) provides traditional banking and Citi-branded card services to retail customers and small to mid-size businesses, with the largest Citi presence in South Korea, Japan, Taiwan, Singapore, Australia, Hong Kong, India and Indonesia. At December 31, 2010, Asia RCB had 711 retail branches, 16.1 million retail banking accounts, $105.6 billion in average customer deposits, and $61.2 billion in retail banking loans. In addition, the business had 15.1 million Citi-branded card accounts with $20.4 billion in outstanding loan balances.

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
Net interest revenue $ 5,088 $ 4,822 $ 5,070 6 % (5 )%
Non-interest revenue 2,326 1,944 2,391 20 (19 )
Total revenues, net of interest expense $ 7,414 $ 6,766 $ 7,461 10 % (9 )%
Total operating expenses $ 4,001 $ 3,522 $ 3,890 14 % (9 )%
       Net credit losses $ 1,012 $ 1,339 $ 1,010 (24 )% 33 %
       Credit reserve build (release) (285 ) 523 435 NM 20
Provisions for loan losses and for benefits and claims $ 727 $ 1,862 $ 1,445 (61 )% 29 %
Income from continuing operations before taxes $ 2,686 $ 1,382 $ 2,126 94 % (35 )%
Income taxes (benefits) 514 (50 ) 356 NM NM
Income from continuing operations $ 2,172 $ 1,432 $ 1,770 52 % (19 )%
Net income attributable to noncontrolling interests - - (1 ) - -
Net income $ 2,172 $ 1,432 $ 1,771 52 % (19 )%
Average assets (in billions of dollars) $ 108 $ 93 $ 98 16 % (5 )%
Return on assets 2.01 % 1.54 % 1.81 %
Average deposits (in billions of dollars) $ 100 $ 89 $ 93 12 % (4 )%
Net credit losses as a percentage of average loans 1.36 % 2.07 % 1.40 %
Revenue by business
       Retail banking $ 4,604 $ 4,281 $ 4,847 8 % (12 )%
       Citi-branded cards 2,810 2,485 2,614 13 (5 )
Total $ 7,414 $ 6,766 $ 7,461 10 % (9 )%
Income from continuing operations by business
       Retail banking $ 1,461 $ 1,218 $ 1,414 20 % (14 )%
       Citi-branded cards 711 214 356 NM (40 )
Total $ 2,172 $ 1,432 $ 1,770 52 % (19 )%
NM Not meaningful

2010 vs. 2009
Revenues, net of interest expense increased 10%, driven by higher cards purchase sales, investment sales and loan and deposit volumes, as well as the impact of FX translation, partially offset by lower spreads.
Net interest revenue was 6% higher than the prior-year period, mainly due to higher lending and deposit volumes and the impact of FX translation, partially offset by lower spreads.
Non-interest revenue increased 20%, primarily due to higher investment revenues, higher cards purchase sales, and the impact of FX translation.
Operating expenses increased 14%, primarily due to an increase in volumes, continued investment spending, and the impact of FX translation. 
Provisions for loan losses and for benefits and claims decreased 61%, mainly due to the impact of a net credit reserve release of $285 million in 2010, compared to a $523 million net credit reserve build in the prior-

year period, and a 24% decline in net credit losses. These declines were partially offset by the impact of FX translation. The decrease in provision for loan losses and for benefits and claims reflected continued credit quality improvement across the region, particularly in India, partially offset by increasing volumes. 
During 2010, the effective tax rate in Japan was approximately 19%, which reflected continued tax benefits (APB 23). These benefits are not likely to continue, or continue at the same levels, in 2011, however, which will likely lead to an increase in the effective tax rate for Asia RCB in 2011.



20


2009 vs. 2008
Revenues, net of interest expense declined 9%, driven by the absence of the gain on Visa shares in 2008, lower investment product revenues and cards purchase sales, lower spreads, and the impact of FX translation.
Net interest revenue was 5% lower than in 2008. Average loans and deposits were down 10% and 4%, respectively, in each case partly due to the impact of FX translation.
Non-interest revenue declined 19%, primarily due to the decline in investment revenues, lower cards purchase sales, the absence of the gain on Visa shares and the impact of FX translation.
Operating expenses declined 9%, reflecting the benefits of re-engineering efforts and the impact of FX translation. Expenses increased slightly in the fourth quarter 2009, primarily due to targeted marketing and investment spending.
Provisions for loan losses and for benefits and claims increased 29%, mainly due to the impact of a higher credit reserve build and an increase in net credit losses, partially offset by the impact of FX translation. In the first half of 2009, rising credit losses were particularly apparent in the portfolios in India and South Korea. However, delinquencies improved in the latter part of the year and net credit losses flattened as the region showed early signs of economic recovery and increased levels of customer activity.



21


INSTITUTIONAL CLIENTS GROUP
Institutional Clients Group (ICG) includes Securities and Banking and Transaction Services . ICG provides corporate, institutional, public sector and high-net-worth clients with a full range of products and services, including cash management, trade finance and services, securities services, trading, underwriting, lending and advisory services, around the world. ICG 's international presence is supported by trading floors in approximately 75 countries and a proprietary network within Transaction Services in over 95 countries. At December 31, 2010, ICG had $953 billion of assets and $451 billion of deposits.

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
Commissions and fees $ 4,266 $ 4,194 $ 5,136 2 % (18 )%
Administration and other fiduciary fees 2,747 2,850 3,178 (4 ) (10 )
Investment banking 3,520 4,687 3,334 (25 ) 41
Principal transactions 5,567 5,626 6,102 (1 ) (8 )
Other 1,442 1,513 (1,129 ) (5 ) NM
       Total non-interest revenue $ 17,542 $ 18,870 $ 16,621 (7 )% 14 %
       Net interest revenue (including dividends) 15,576 18,028 18,053 (14 ) -
Total revenues, net of interest expense $ 33,118 $ 36,898 $ 34,674 (10 )% 6 %
Total operating expenses 19,405 17,599 21,007 10 (16 )
       Net credit losses 568 745 916 (24 ) (19 )
       Provision (release) for unfunded lending commitments (28 ) 138 (191 ) NM NM
       Credit reserve build (release) (624 ) 896 1,314 NM (32 )
Provisions for loan losses and benefits and claims $ (84 ) $ 1,779 $ 2,039 NM (13 )%
Income from continuing operations before taxes $ 13,797 $ 17,520 $ 11,628 (21 )% 51 %
Income taxes 3,544 4,599 2,209 (23 ) NM
Income from continuing operations $ 10,253 $ 12,921 $ 9,419 (21 )% 37 %
Net income attributable to noncontrolling interests 131 68 18 93 NM
Net income $ 10,122 $ 12,853 $ 9,401 (21 )% 37 %
Average assets (in billions of dollars) $ 946 $ 846 $ 1,057 12 % (20 )%
Return on assets 1.07 % 1.52 % 0.89 %
Revenues by region
North America $ 11,875 $ 11,359 $ 12,982 5 % (13 )%
EMEA 10,198 13,438 9,640 (24 ) 39
Latin America 4,022 4,794 3,813 (16 ) 26
Asia 7,023 7,307 8,239 (4 ) (11 )
Total $ 33,118 $ 36,898 $ 34,674 (10 )% 6 %
Income from continuing operations by region
North America $ 3,081 $ 3,000 $ 2,718 3 % 10 %
EMEA 3,056 4,713 1,834 (35 ) NM
Latin America 1,725 2,140 1,701 (19 ) 26
Asia 2,391 3,068 3,166 (22 ) (3 )
Total $ 10,253 $ 12,921 $ 9,419 (21 )% 37 %
Average loans by region (in billions of dollars)
North America $ 66 $ 52 $ 58 27 % (10 )%
EMEA 38 45 56 (16 ) (20 )
Latin America 22 22 25 - (12 )
Asia 36 28 37 29 (24 )
Total $ 162 $ 147 $ 176 10 % (16 )%

NM Not meaningful

22


SECURITIES AND BANKING
Securities and Banking (S&B) offers a wide array of investment and commercial banking services and products for corporations, governments, institutional and retail investors, and high-net-worth individuals. S&B includes investment banking and advisory services, lending, debt and equity sales and trading, institutional brokerage, foreign exchange, structured products, cash instruments and related derivatives, and private banking. S&B revenue is generated primarily from fees for investment banking and advisory services, fees and interest on loans, fees and spread on foreign exchange, structured products, cash instruments and related derivatives, income earned on principal transactions, and fees and spreads on private banking services.

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
Net interest revenue $ 9,927 $ 12,377 $ 12,568 (20 )% (2 )%
Non-interest revenue 13,157 14,732 12,160 (11 ) 21
Revenues, net of interest expense $ 23,084 $ 27,109 $ 24,728 (15 )% 10 %
Total operating expenses 14,537 13,084 15,851 11 (17 )
       Net credit losses 563 742 898 (24 ) (17 )
       Provisions for unfunded lending commitments (28 ) 138 (185 ) NM NM
       Credit reserve build (release) (560 ) 892 1,291 NM (31 )
Provisions for loan losses and benefits and claims $ (25 ) $ 1,772 $ 2,004 NM (12 )%
Income before taxes and noncontrolling interests $ 8,572 $ 12,253 $ 6,873 (30 )% 78 %
Income taxes 1,993 3,068 807 (35 ) NM
Income from continuing operations 6,579 9,185 6,066 (28 ) 51
Net income (loss) attributable to noncontrolling interests 110 55 (13 ) 100 NM
Net income $ 6,469 $ 9,130 $ 6,079 (29 )% 50 %
Average assets (in billions of dollars) $ 875 $ 786 $ 986 11 % (20 )%
Return on assets 0.74 % 1.16 % 0.62 %
Revenues by region
North America $ 9,392 $ 8,833 $ 10,821 6 % (18 )%
EMEA 6,842 10,049 5,963 (32 ) 69
Latin America 2,532 3,421 2,374 (26 ) 44
Asia 4,318 4,806 5,570 (10 ) (14 )
Total revenues $ 23,084 $ 27,109 $ 24,728 (15 )% 10 %
Net income from continuing operations by region
North America $ 2,537 $ 2,385 $ 2,395 6 % -
EMEA 1,832 3,426 588 (47 ) NM
Latin America 1,072 1,536 1,113 (30 ) 38 %
Asia 1,138 1,838 1,970 (38 ) (7 )
Total net income from continuing operations $ 6,579 $ 9,185 $ 6,066 (28 )% 51 %
Securities and Banking revenue details
       Total investment banking $ 3,828 $ 4,767 $ 3,251 (20 )% 47 %
       Lending 932 (2,480 ) 4,771 NM NM
       Equity markets 3,501 3,183 2,878 10 11
       Fixed income markets 14,075 21,296 13,606 (34 ) 57
       Private bank 2,004 2,068 2,326 (3 ) (11 )
       Other Securities and Banking (1,256 ) (1,725 ) (2,104 ) 27 18
Total Securities and Banking revenues $ 23,084 $ 27,109 $ 24,728 (15 )% 10 %

NM Not meaningful

23


2010 vs. 2009
Revenues, net of interest expense of $23.1 billion decreased 15%, or $4.0 billion, from $27.1 billion in 2009, which was a particularly strong year driven by robust fixed income markets and higher client activity levels in investment banking, especially in the first half of that year. The decline in revenue was mainly due to fixed income markets, which decreased from $21.0 billion to $14.3 billion (excluding CVA, net of hedges, of negative $0.2 billion and positive $0.3 billion in the current year and prior year, respectively). This decrease primarily reflected weaker results in rates and currencies, credit products and securitized products, due to an overall weaker market environment. Equity markets declined from $5.4 billion to $3.7 billion (excluding CVA, net of hedges, of negative $0.2 billion and negative $2.2 billion in the current year and prior year, respectively), driven by lower trading revenues linked to the derivatives business and principal positions. Investment banking revenues declined from $4.8 billion to $3.8 billion, reflecting lower levels of market activity in debt and equity underwriting. The declines were partially offset by an increase in lending revenues and CVA. Lending revenues increased from negative $2.5 billion to positive $0.9 billion, mainly driven by a reduction in losses on credit default swap hedges. CVA increased $1.6 billion to negative $0.4 billion, mainly due to a larger narrowing of Citigroup spreads in 2009 compared to 2010.
Operating expenses increased 11%, or $1.5 billion. Excluding the 2010 U.K. bonus tax impact and litigation reserve releases in 2010 and 2009, operating expenses increased 8%, or $1.0 billion, mainly as a result of higher compensation and transaction costs.
Provisions for loan losses and for benefits and claims decreased by $1.8 billion, to negative $25 million, mainly due to credit reserve releases and lower net credit losses as the result of an improvement in the credit environment during 2010.

2009 vs. 2008
Revenues, net of interest expense of $27.1 billion increased 10%, or $2.4 billion, from $24.7 billion, as markets began to recover in the early part of 2009, bringing back higher levels of volume activity and higher levels of liquidity, which began to decline again in the third quarter of 2009. The growth in revenue was driven mainly by an $8.1 billion increase to $21.0 billion in fixed income markets (excluding CVA, net of hedges, of positive $0.3 billion and positive $0.7 billion in 2009 and 2008, respectively), reflecting strong trading opportunities across all asset classes in the first half of 2009. Equity markets doubled from $2.7 billion to $5.4 billion (excluding CVA, net of hedges, of negative $2.2 billion and positive $0.1 billion in 2009 and 2008, respectively), with growth being driven by derivatives, convertibles, and equity trading. Investment banking revenues grew $1.5 billion, from $3.3 billion to $4.8 billion, primarily from increases in debt and equity underwriting activities reflecting higher transaction volumes from depressed 2008 levels. These increases were partially offset by decreases in lending revenues and CVA. Lending revenues decreased by $7.3 billion, from $4.8 billion to negative $2.5 billion, primarily from losses on credit default swap hedges. CVA decreased from $0.9 billion to negative $2.0 billion, mainly due to the narrowing of Citigroup spreads throughout 2009.
Operating expenses decreased 17%, or $2.8 billion. Excluding the 2008 repositioning and restructuring charges and a 2009 litigation reserve release, operating expenses declined 9%, or $1.4 billion, mainly as a result of headcount reductions and benefits from expense management.
Provisions for loan losses and for benefits and claims decreased 12%, or $232 million, to $1.8 billion, mainly due to lower credit reserve builds and net credit losses, due to an improved credit environment, particularly in the latter part of 2009.



24


TRANSACTION SERVICES

Transaction Services is composed of Treasury and Trade Solutions (TTS) and Securities and Fund Services (SFS). TTS provides comprehensive cash management and trade finance and services for corporations, financial institutions and public sector entities worldwide. SFS provides securities services to investors, such as global asset managers, custody and clearing services to intermediaries such as broker-dealers, and depository and agency/trust services to multinational corporations and governments globally. Revenue is generated from net interest revenue on deposits in TTS and SFS, as well as from trade loans and fees for transaction processing and fees on assets under custody and administration in SFS.

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
Net interest revenue $ 5,649 $ 5,651 $ 5,485 - 3 %
Non-interest revenue 4,385 4,138 4,461 6 % (7 )
Total revenues, net of interest expense $ 10,034 $ 9,789 $ 9,946 3 % (2 )%
Total operating expenses 4,868 4,515 5,156 8 (12 )
Provisions (releases) for credit losses and for benefits and claims (59 ) 7 35 NM (80 )
Income before taxes and noncontrolling interests $ 5,225 $ 5,267 $ 4,755 (1 )% 11 %
Income taxes 1,551 1,531 1,402 1 9
Income from continuing operations 3,674 3,736 3,353 (2 ) 11
Net income attributable to noncontrolling interests 21 13 31 62 (58 )
Net income $ 3,653 $ 3,723 $ 3,322 (2 )% 12 %
Average assets (in billions of dollars) $ 71 $ 60 $ 71 18 % (15 )%
Return on assets 5.15 % 6.21 % 4.69 %
Revenues by region
North America $ 2,483 $ 2,526 $ 2,161 (2 )% 17 %
EMEA 3,356 3,389 3,677 (1 ) (8 )
Latin America 1,490 1,373 1,439 9 (5 )
Asia 2,705 2,501 2,669 8 (6 )
Total revenues $ 10,034 $ 9,789 $ 9,946 3 % (2 )%
Income from continuing operations by region
North America $ 544 $ 615 $ 323 (12 )% 90 %
EMEA 1,224 1,287 1,246 (5 ) 3
Latin America 653 604 588 8 3
Asia 1,253 1,230 1,196 2 3
Total net income from continuing operations $ 3,674 $ 3,736 $ 3,353 (2 )% 11 %
Key indicators (in billions of dollars)
Average deposits and other customer liability balances $ 333 $ 304 $ 281 10 % 8 %
EOP assets under custody (in trillions of dollars) 12.6 12.1 11.0 4 10

NM Not meaningful

2010 vs. 2009
Revenues, net of interest expense, grew 3% compared to 2009, reflecting a strong year despite a low interest rate environment, driven by growth in both the TTS and SFS businesses. TTS revenues grew 2% as a result of increased customer liability balances and solid growth in trade and fees, partially offset by spread compression. SFS revenues improved by 3% on higher volumes and balances reflecting the impact of sales and increased market activity.
Average deposits and other customer liability balances grew 10%, driven by strong growth in the emerging markets.
Operating expenses grew 8% due to investment spending and higher business volumes.
Provisions for credit losses and for benefits and claims declined as compared to 2009, attributable to overall improvement in portfolio quality.

2009 vs. 2008
Revenues, net of interest expense declined 2% compared to 2008 as strong growth in balances was more than offset by lower spreads driven by low interest rates and reduced securities asset valuations globally. TTS revenues grew 7% as a result of strong growth in balances and higher trade revenues. SFS revenues declined 18%, attributable to reductions in asset valuations and volumes.
Average deposits and other customer liability balances grew 8%, driven by strong growth in all regions.
Operating expenses declined 12%, mainly as a result of benefits from expense management and re-engineering initiatives.
Provisions for credit losses and for benefits and claims declined 80%, primarily attributable to overall portfolio management.


25


CITI HOLDINGS

Citi Holdings contains businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses. Consistent with its strategy, Citi intends to exit these businesses as quickly as practicable in an economically rational manner through business divestitures, portfolio run-offs and asset sales. During 2009 and 2010, Citi made substantial progress divesting and exiting businesses from Citi Holdings, having completed more than 30 divestiture transactions, including Smith Barney, Nikko Cordial Securities, Nikko Asset Management, Primerica Financial Services, various credit card businesses (including Diners Club North America) and The Student Loan Corporation (which is reported as discontinued operations within the Corporate/Other segment for the second half of 2010 only). Citi Holdings' GAAP assets of $359 billion have been reduced by $128 billion from December 31, 2009, and $468 billion from the peak in the first quarter of 2008. Citi Holdings' GAAP assets of $359 billion represent approximately 19% of Citi's assets as of December 31, 2010. Citi Holdings' risk-weighted assets of approximately $330 billion represent approximately 34% of Citi's risk-weighted assets as of December 31, 2010.
Citi Holdings consists of the following: Brokerage and Asset Management, Local Consumer Lending, and Special Asset Pool.

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
Net interest revenue $ 14,773 $ 16,139 $ 21,092 (8 )% (23 )%
Non-interest revenue 4,514 12,989 (29,330 ) (65 ) NM
Total revenues, net of interest expense $ 19,287 $ 29,128 $ (8,238 ) (34 )% NM
Provisions for credit losses and for benefits and claims
Net credit losses $ 19,070 $ 24,585 $ 14,026 (22 )% 75 %
Credit reserve build (release) (3,500 ) 5,305 11,258 NM (53 )
Provision for loan losses $ 15,570 $ 29,890 $ 25,284 (48 )% 18 %
Provision for benefits and claims 813 1,094 1,228 (26 ) (11 )
Provision (release) for unfunded lending commitments (82 ) 106 (172 ) NM NM
Total provisions for credit losses and for benefits and claims $ 16,301 $ 31,090 $ 26,340 (48 )% 18 %
Total operating expenses $ 9,563 $ 13,764 $ 24,104 (31 ) (43 )%
Loss from continuing operations before taxes $ (6,577 ) $ (15,726 ) $ (58,682 ) 58 % 73 %
Benefits for income taxes (2,554 ) (6,878 ) (22,185 ) 63 69
(Loss) from continuing operations $ (4,023 ) $ (8,848 ) $ (36,497 ) 55 % 76 %
Net income (loss) attributable to noncontrolling interests 207 29 (372 ) NM NM
Citi Holdings net loss $ (4,230 ) $ (8,877 ) $ (36,125 ) 52 % 75 %
Balance sheet data (in billions of dollars)
Total EOP assets $ 359 $ 487 $ 650 (26 )% (25 )%
Total EOP deposits $ 79 $ 89 $ 81 (11 )% 10 %

NM Not meaningful

26


BROKERAGE AND ASSET MANAGEMENT

Brokerage and Asset Management (BAM) , which constituted approximately 8% of Citi Holdings by assets as of December 31, 2010, consists of Citi's global retail brokerage and asset management businesses. This segment was substantially reduced in size due to the sale in 2009 of Smith Barney to the Morgan Stanley Smith Barney joint venture (MSSB JV) and of Nikko Cordial Securities (reported as discontinued operations within Corporate/Other for all periods presented). At December 31, 2010, BAM had approximately $27 billion of assets, primarily consisting of Citi's investment in, and assets related to, the MSSB JV. Morgan Stanley has options to purchase Citi's remaining stake in the MSSB JV over three years starting in 2012.

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
Net interest revenue $ (277 ) $ 390 $ 1,280 NM (70 )%
Non-interest revenue 886 14,233 6,683 (94 )% NM
Total revenues, net of interest expense $ 609 $ 14,623 $ 7,963 (96 )% 84 %
Total operating expenses $ 951 $ 3,141 $ 8,973 (70 )% (65 )%
       Net credit losses $ 17 $ 1 $ 9 NM (89 )%
       Credit reserve build (release) (18 ) 36 8 NM NM
       Provision for unfunded lending commitments (6 ) (5 ) - (20 )% -
       Provision (release) for benefits and claims 38 40 36 (5 ) 11
Provisions for credit losses and for benefits and claims $ 31 $ 72 $ 53 (57 )% 36 %
Income (loss) from continuing operations before taxes $ (373 ) $ 11,410 $ (1,063 ) NM NM
Income taxes (benefits) (170 ) 4,473 (212 ) NM NM
Income (loss) from continuing operations $ (203 ) $ 6,937 $ (851 ) NM NM
Net income attributable to noncontrolling interests 11 12 (179 ) (8 )% NM
Net income (loss) $ (214 ) $ 6,925 $ (672 ) NM NM
EOP assets reflecting the sale of Nikko Cordial Securities
(in billions of dollars) $ 27 $ 30 $ 31 (10 )% (3 )%
EOP deposits (in billions of dollars) 58 60 58 (3 ) 3

NM Not meaningful

2010 vs. 2009
Revenues, net of interest expense decreased 96% versus the prior year mainly driven by the absence of the $11.1 billion pretax gain on sale ($6.7 billion after tax) related to the MSSB JV transaction in the second quarter of 2009 and a $320 million pretax gain on the sale of the managed futures business to the MSSB JV in the third quarter of 2009. Excluding these gains, revenue decreased primarily due to the absence of Smith Barney from May 2009 onwards and the absence of Nikko Asset Management, partially offset by higher revenues from the MSSB JV and an improvement in marks in Retail Alternative Investments.
Operating expenses decreased 70% from the prior year, mainly driven by the absence of Smith Barney from May 2009 onwards, lower MSSB JV separation-related costs and the absence of Nikko and Colfondos, partially offset by higher legal settlements and reserves associated with Smith Barney.
Provisions for credit losses and for benefits and claims decreased 57%, mainly due to the absence of credit reserve builds.
Assets decreased 10% versus the prior year, mostly driven by the sales of the Citi private equity business and the run-off of tailored loan portfolios.

2009 vs. 2008
Revenues, net of interest expense increased 84% versus the prior year mainly driven by the gain on sale related to the MSSB JV transaction and the gain on the sale of the managed futures business to the MSSB JV. Excluding these gains, revenue decreased primarily due to the absence of Smith Barney from May 2009 onwards and the absence of 2009 fourth-quarter revenue of Nikko Asset Management, partially offset by an improvement in marks in Retail Alternative Investments. Revenues in 2008 included a $347 million pretax gain on the sale of CitiStreet and charges related to the settlement of auction rate securities of $393 million pretax.
Operating expenses decreased 65% from 2008, mainly driven by the absence of Smith Barney and Nikko Asset Management expenses, re-engineering efforts and the absence of 2008 one-time expenses ($0.9 billion intangible impairment, $0.2 billion of restructuring and $0.5 billion of write-downs and other charges).
Provisions for credit losses and for benefits and claims increased 36%, mainly reflecting an increase in reserve builds of $28 million.
Assets decreased 3% versus the prior year, mostly driven by the impact of the sale of Nikko Asset Management.


27


LOCAL CONSUMER LENDING

Local Consumer Lending (LCL) , which constituted approximately 70% of Citi Holdings by assets as of December 31, 2010, includes a portion of Citigroup's North American mortgage business, retail partner cards, Western European cards and retail banking, CitiFinancial North America and other local Consumer finance businesses globally. The Student Loan Corporation is reported as discontinued operations within the Corporate/Other segment for the second half of 2010 only. At December 31, 2010, LCL had $252 billion of assets ($226 billion in North America ). Approximately $129 billion of assets in LCL as of December 31, 2010 consisted of U.S. mortgages in the Company's CitiMortgage and CitiFinancial operations. The North American assets consist of residential mortgage loans (first and second mortgages), retail partner card loans, personal loans, commercial real estate (CRE), and other consumer loans and assets.

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
Net interest revenue $ 13,831 $ 12,995 $ 17,136 6 % (24 )%
Non-interest revenue 1,995 4,770 6,362 (58 ) (25 )
Total revenues, net of interest expense $ 15,826 $ 17,765 $ 23,498 (11 )% (24 )%
Total operating expenses $ 8,064 $ 9,799 $ 14,238 (18 )% (31 )%
       Net credit losses $ 17,040 $ 19,185 $ 13,111 (11 )% 46 %
       Credit reserve build (release) (1,771 ) 5,799 8,573 NM (32 )
       Provision for benefits and claims 775 1,054 1,192 (26 ) (12 )
       Provision for unfunded lending commitments - - - - -
Provisions for credit losses and for benefits and claims $ 16,044 $ 26,038 $ 22,876 (38 )% 14 %
(Loss) from continuing operations before taxes $ (8,282 ) $ (18,072 ) $ (13,616 ) 54 % (33 )%
Benefits for income taxes (3,289 ) (7,656 ) (5,259 ) 57 (46 )
(Loss) from continuing operations $ (4,993 ) $ (10,416 ) $ (8,357 ) 52 % (25 )%
Net income attributable to noncontrolling interests 8 33 12 (76 ) NM
Net (loss) $ (5,001 ) $ (10,449 ) $ (8,369 ) 52 % (25 )%
Average assets (in billions of dollars) $ 324 $ 351 $ 420 (8 )% (16 )
Net credit losses as a percentage of average loans 6.20 % 6.38 % 3.80 %

NM Not meaningful

2010 vs. 2009
Revenues, net of interest expense decreased 11% from the prior year. Net interest revenue increased 6% due to the adoption of SFAS 166/167, partially offset by the impact of lower balances due to portfolio run-off and asset sales. Non-interest revenue declined 58%, primarily due to the absence of the $1.1 billion gain on the sale of Redecard in the first quarter of 2009 and a higher mortgage repurchase reserve charge.
Operating expenses decreased 18%, primarily due to the impact of divestitures, lower volumes, re-engineering actions and the absence of costs associated with the U.S. government loss-sharing agreement, which was exited in the fourth quarter of 2009.
Provisions for credit losses and for benefits and claims decreased 38%, reflecting a net $1.8 billion credit reserve release in 2010 compared to a $5.8 billion build in 2009. Lower net credit losses across most businesses were partially offset by the impact of the adoption of SFAS 166/167. On a comparable basis, net credit losses were lower year-over-year, driven by improvement in U.S. mortgages, international portfolios and retail partner cards.
Assets declined 21% from the prior year, primarily driven by portfolio run-off, higher loan loss reserve balances, and the impact of asset sales and divestitures, partially offset by an increase of $41 billion resulting from the adoption of SFAS 166/167. Key divestitures in 2010 included The Student Loan Corporation, Primerica, auto loans, the Canadian Mastercard business and U.S. retail sales finance portfolios.

2009 vs. 2008
Revenues, net of interest expense decreased 24% from the prior year. Net interest revenue was 24% lower than the prior year, primarily due to lower balances, de-risking of the portfolio, and spread compression. Non-interest revenue decreased $1.6 billion, mostly driven by the impact of higher credit losses flowing through the securitization trusts, partially offset by the $1.1 billion gain on the sale of Redecard in the first quarter of 2009.
Operating expenses declined 31% from the prior year, due to lower volumes and reductions from expense re-engineering actions, and the impact of goodwill write-offs of $3.0 billion in the fourth quarter of 2008, partially offset by higher costs associated with delinquent loans.
Provisions for credit losses and for benefits and claims increased 14% from the prior year, reflecting an increase in net credit losses of $6.1 billion, partially offset by lower reserve builds of $2.8 billion. Higher net credit losses were primarily driven by higher losses of $3.6 billion in residential real estate lending, $1.0 billion in retail partner cards, and $0.7 billion in international.
Assets decreased $57 billion from the prior year, primarily driven by lower originations, wind-down of specific businesses, asset sales, divestitures, write-offs and higher loan loss reserve balances. Key divestitures in 2009 included the FI credit card business, Italy Consumer finance, Diners Europe, Portugal cards, Norway Consumer and Diners Club North America.


28


Japan Consumer Finance
Citigroup continues to actively monitor a number of matters involving its Japan Consumer Finance business, including customer refund claims and defaults, as well as financial and legislative, regulatory, judicial and other political developments, relating to the charging of gray zone interest. Gray zone interest represents interest at rates that are legal but for which claims may not be enforceable. Although Citi determined in 2008 to exit its Japan Consumer Finance business and has been liquidating its portfolio and otherwise winding down the business, this business has incurred, and will continue to face, net credit losses and refunds, due in part to legislative, regulatory and judicial actions taken in recent years. These actions may also reduce credit availability and increase potential claims and losses relating to gray zone interest.
In September 2010, one of Japan's largest consumer finance companies (Takefuji) declared bankruptcy and is currently in the process of restructuring, with court protection and assistance. Citi believes this action reflects the financial distress that Japan's top consumer finance lenders are facing as they continue to deal with liabilities for gray zone interest refund claims. During 2010, LCL recorded a charge of approximately $325 million (pretax) to increase its reserves related to customer refunds in the Japan Consumer Finance business.
Citi continues to monitor and evaluate these developments and the potential impact to both currently and previously outstanding loans in this business, and its reserves related thereto. However, the trend in the type, number and amount of claims, and the potential full amount of losses and their impact on Citi, requires evaluation in a potentially volatile environment, is subject to significant uncertainties and continues to be difficult to predict.


29


SPECIAL ASSET POOL

Special Asset Pool (SAP) , which constituted approximately 22% of Citi Holdings by assets as of December 31, 2010, is a portfolio of securities, loans and other assets that Citigroup intends to actively reduce over time through asset sales and portfolio run-off. At December 31, 2010, SAP had $80 billion of assets. SAP assets have declined by $248 billion, or 76%, from peak levels in 2007 reflecting cumulative write-downs, asset sales and portfolio run-off.

% Change % Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
Net interest revenue $ 1,219 $ 2,754 $ 2,676 (56 )% 3 %
Non-interest revenue 1,633 (6,014 ) (42,375 ) NM 86
Revenues, net of interest expense $ 2,852 $ (3,260 ) $ (39,699 ) NM 92 %
Total operating expenses $ 548 $ 824 $ 893 (33 )% (8 )%
       Net credit losses $ 2,013 $ 5,399 $ 906 (63 )% NM
       Provision (releases) for unfunded lending commitments (76 ) 111 (172 ) NM NM
       Credit reserve builds (releases) (1,711 ) (530 ) 2,677 NM NM
Provisions for credit losses and for benefits and claims $ 226 $ 4,980 $ 3,411 (95 )% 46 %
Income (loss) from continuing operations before taxes $ 2,078 $ (9,064 ) $ (44,003 ) NM 79 %
Income taxes (benefits) 905 (3,695 ) (16,714 ) NM 78
Net income (loss) from continuing operations $ 1,173 $ (5,369 ) $ (27,289 ) NM 80 %
Net income (loss) attributable to noncontrolling interests 188 (16 ) (205 ) NM 92
Net income (loss) $ 985 $ (5,353 ) $ (27,084 ) NM 80 %
EOP assets (in billions of dollars) $ 80 $ 136 $ 219 (41 )% (38 )%

NM Not meaningful

2010 vs. 2009
Revenues, net of interest expense increased $6.1 billion, primarily due to the improvement of revenue marks in 2010. Aggregate marks were negative $2.6 billion in 2009 as compared to positive marks of $3.4 billion in 2010 (see "Items Impacting SAP Revenues" below). Revenue in the current year included positive marks of $2.0 billion related to sub-prime related direct exposure, a positive $0.5 billion CVA related to the monoline insurers, and $0.4 billion on private equity positions. These positive marks were partially offset by negative revenues of $0.5 billion on Alt-A mortgages and $0.4 billion on commercial real estate.
Operating expenses decreased 33% in 2010, mainly driven by the absence of the U.S. government loss-sharing agreement, lower compensation, and lower transaction expenses.
Provisions for credit losses and for benefits and claims decreased $4.8 billion due to a decrease in net credit losses of $3.4 billion and a higher release of loan loss reserves and unfunded lending commitments of $1.4 billion.
Assets declined 41% from the prior year, primarily driven by sales and amortization and prepayments. Asset sales of $39 billion for the year of 2010 generated pretax gains of approximately $1.3 billion.

2009 vs. 2008
Revenues, net of interest expense increased $36.4 billion in 2009, primarily due to the absence of significant negative revenue marks occurring in the prior year. Total negative marks were $2.6 billion in 2009 as compared to $37.4 billion in 2008. Revenue in 2009 included positive marks of $0.8 billion on subprime-related direct exposures. These positive revenues were partially offset by negative revenues of $1.5 billion on Alt-A mortgages, $0.8 billion of write-downs on commercial real estate, and a negative $1.6 billion CVA on the monoline insurers and fair value option liabilities. Revenue was also affected by negative marks on private equity positions and write-downs on highly leveraged finance commitments.
Operating expenses decreased 8% in 2009, mainly driven by lower compensation and lower volumes and transaction expenses, partially offset by costs associated with the U.S. government loss-sharing agreement exited in the fourth quarter of 2009.
Provisions for credit losses and for benefits and claims increased $1.6 billion, primarily driven by $4.5 billion in increased net credit losses, partially offset by a lower provision for loan losses and unfunded lending commitments of $2.9 billion.
Assets declined 38% versus the prior year, primarily driven by amortization and prepayments, sales, marks and charge-offs.


30


The following table provides details of the composition of SAP assets as of December 31, 2010.

Assets within Special Asset Pool as of December 31, 2010
Carrying value Carrying value as % of
In billions of dollars of assets Face value face value
Securities in available-for-sale (AFS)
       Corporates $ 5.5 $ 5.6 98 %
       Prime and non-U.S. mortgage-backed securities (MBS) 1.4 1.7 83
       Auction rate securities (ARS) 2.0 2.5 80
       Other securities (1) 0.2 0.2 73
Total securities in AFS $ 9.1 $ 10.0 89 %
Securities in held-to-maturity (HTM)
       Prime and non-U.S. MBS $ 8.0 $ 9.9 81 %
       Alt-A mortgages 8.8 17.1 52
       Corporates 6.1 6.7 90
       ARS 0.9 1.1 79
       Other securities (2) 3.1 3.9 77
Total securities in HTM $ 26.9 $ 38.8 69 %
Loans, leases and letters of credit (LCs) in held-for-investment (HFI)/held-for-sale (HFS) (3)
       Corporates $ 8.1 $ 9.0 89 %
       Commercial real estate (CRE) 3.6 3.7 97
       Other (4) 1.7 2.1 83
       Loan loss reserves (1.8 ) - NM
Total loans, leases and LCs in HFI/HFS $ 11.6 $ 14.8 78 %
Mark to market
       Subprime securities $ 0.2 $ 2.2 8 %
       Other securities (5) 7.3 24.0 30
       Derivatives 4.6 NM NM
       Loans, leases and LCs 2.4 3.4 71
       Repurchase agreements 5.5 NM NM
Total mark to market $ 20.0 NM NM
Highly leveraged finance commitments $ 1.9 $ 2.6 74 %
Equities (excludes ARS in AFS) 5.7 NM NM
Monolines 0.4 NM NM
Consumer and other (6) 4.8 NM NM
Total $ 80.4

(1) Includes $0.1 billion of CRE.
(2) Includes assets previously held by structured investment vehicles (SIVs) ($2.1 billion of asset-backed securities, collateralized debt obligations (CDOs)/collateralized loan obligations (CLOs) and government bonds).
(3) HFS accounts for approximately $1.0 billion of the total.
(4) Includes $0.5 billion of subprime and $0.4 billion of leases.
(5) Includes $4.2 billion of ARS and $1.2 billion of Corporate securities.
(6) Includes $1.3 billion of small business banking and finance loans and $0.9 billion of personal loans.

Excludes Discontinued Operations.
Totals may not sum due to rounding.
NM Not meaningful

Note: Assets previously held by the Citi-advised SIVs have been allocated to the corresponding asset categories above. SAP had total CRE exposures of $6.1 billion at December 31, 2010, which included unfunded commitments of $1.9 billion. SAP had total subprime assets of $1.7 billion at December 31, 2010, including assets of $0.8 billion of subprime-related direct exposures and $0.9 billion of trading account positions, which includes securities purchased from CDO liquidations.

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Items Impacting SAP Revenues
The table below provides additional information regarding the net revenue marks affecting SAP during 2010 and 2009.

Pretax revenue
In millions of dollars 2010 2009
Subprime-related direct exposures (1) $ 1,994 $ 810
Private equity and equity investments 414 (1,128 )
Alt-A mortgages (2)(3) (457 ) (1,451 )
Highly leveraged loans and financing commitments (4) 20 (521 )
Commercial real estate positions (2)(5) (447 ) (804 )
Structured investment vehicles' (SIVs) assets (179 ) (80 )
ARS proprietary positions (6) 239 (23 )
CVA related to exposure to monoline insurers 522 (1,301 )
CVA on Citi debt liabilities under fair value option (10 ) (252 )
CVA on derivatives positions, excluding monoline insurers (2) (60 ) 172
Subtotal $ 2,036 $ (4,578 )
Accretion on reclassified assets (7) 1,329 1,994
Total selected revenue items $ 3,365 $ (2,584 )

(1) Net of impact from hedges against direct subprime asset-backed security (ABS) CDO super senior positions.
(2) Net of hedges.
(3) For these purposes, Alt-A mortgage securities are non-agency residential MBS (RMBS) where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) for instances where FICO scores are greater than 720, RMBS have 30% or less of the underlying collateral composed of full documentation loans.
(4) Net of underwriting fees.
(5) Excludes positions in SIVs.
(6) Excludes write-downs from buy-backs of ARS.
(7) Recorded as net interest revenue.

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CORPORATE/OTHER

Corporate/Other includes global staff functions (including finance, risk, human resources, legal and compliance) and other corporate expense, global operations and technology, residual Corporate Treasury and Corporate items. At December 31, 2010, this segment had approximately $272 billion of assets, consisting primarily of Citi's liquidity portfolio, including $87 billion of cash and deposits with banks .

In millions of dollars 2010 2009 2008
Net interest revenue $ 1,059 $ (1,657 ) $ (2,671 )
Non-interest revenue 695 (8,898 ) 413
Total revenues, net of interest expense $ 1,754 $ (10,555 ) $ (2,258 )
Total operating expenses $ 1,953 $ 1,418 $ 511
Provisions for loan losses and for benefits and claims - - -
(Loss) from continuing operations before taxes $ (199 ) $ (11,973 ) $ (2,769 )
Benefits for income taxes (153 ) (4,356 ) (585 )
(Loss) from continuing operations $ (46 ) $ (7,617 ) $ (2,184 )
Income (loss) from discontinued operations, net of taxes (68 ) (445 ) 4,002
Net income (loss) before attribution of noncontrolling interests $ (114 ) $ (8,062 ) $ 1,818
Net (loss) attributable to noncontrolling interests (48 ) (2 ) -
Net income (loss) $ (66 ) $ (8,060 ) $ 1,818

2010 vs. 2009
Revenues, net of interest expense increased primarily due to the absence of the loss on debt extinguishment related to the repayment of the $20 billion of TARP trust preferred securities and the exit from the loss-sharing agreement with the U.S. government, each in the fourth quarter of 2009. Revenues also increased due to gains on sales of AFS securities, benefits from lower short-term interest rates and other improved Treasury results during the current year. These increases were partially offset by the absence of the pretax gain related to Citi's public and private exchange offers in 2009.
Operating Expenses increased primarily due to various legal and related expenses, as well as other non-compensation expenses.

2009 vs. 2008
Revenues, net of interest expense declined primarily due to the pretax loss on debt extinguishment related to the repayment of TARP and the exit from the loss-sharing agreement with the U.S. government. Revenues also declined due to the absence of the 2008 sale of Citigroup Global Services Limited recorded in operations and technology. These declines were partially offset by a pretax gain related to the exchange offers, revenues and higher intersegment eliminations.
Operating expenses increased primarily due to intersegment eliminations and increases in compensation, partially offset by lower repositioning reserves.


33


BALANCE SHEET REVIEW

The following sets forth a general discussion of the changes in certain of the more significant line items of Citi's Consolidated Balance Sheet during 2010. For additional information on Citigroup's deposits, debt and secured financing (lending), see "Capital Resources and Liquidity-Funding and Liquidity" below.

December 31, Increase %
In billions of dollars 2010 2009 (decrease) Change
Assets
Cash and deposits with banks $ 190 $ 193 $ (3 ) (2 )%
Loans, net of unearned income and allowance for loan losses 608 555 53 10
Trading account assets 317 343 (26 ) (8 )
Federal funds sold and securities borrowed or purchased under agreements to resell 247 222 25 11
Investments 318 306 12 4
Other assets 234 238 (4 ) (2 )
Total assets $ 1,914 $ 1,857 $ 57 3 %
Liabilities
Deposits $ 845 $ 836 $ 9 1 %
Federal funds purchased and securities loaned or sold under agreements to repurchase 190 154 36 23
Short-term borrowings and long-term debt 460 433 27 6
Trading account liabilities 129 138 (9 ) (7 )
Other liabilities 124 141 (17 ) (12 )
Total liabilities $ 1,748 $ 1,702 $ 46 3 %
Total equity $ 166 $ 155 $ 11 7 %
Total liabilities and equity $ 1,914 $ 1,857 $ 57 3 %

Cash and Deposits with Banks
Cash and deposits with banks are composed of Cash and due from banks and Deposits with banks. Cash and due from banks includes (i) all currency and coin (both foreign and local currencies) in the possession of domestic and overseas offices of Citigroup, and (ii) non-interest-bearing balances due from banks, including non-interest-bearing demand deposit accounts with correspondent banks, central banks (such as the Federal Reserve Bank), and other banks or depository institutions for normal operating purposes. Deposits with banks includes interest-bearing balances, demand deposits and time deposits held in or due from banks (including correspondent banks, central banks and other banks or depository institutions) maintained for, among other things, normal operating purposes and regulatory reserve requirement purposes.
During 2010, cash and deposits with banks decreased $3 billion, or 2%. The decrease is composed of a $5 billion, or 3%, decrease in Deposits with banks offset by a $3 billion, or 10%, increase in Cash and due from banks .

Loans
Loans include credit cards, mortgages, other real estate lending, personal loans, auto loans, student loans and corporate loans. Citigroup loans are reported in two categories-Consumer and Corporate. These categories are classified according to the segment and sub-segment that manage the loans. As of December 31, 2010, Consumer and Corporate loans constituted 71% and 29%, respectively, of Citi's total loans (net of unearned income and before the allowance for loan losses).

Consumer loans (net of allowance for loan losses) increased by $27 billion, or 7%, during 2010. On January 1, 2010, approximately $120 billion of Consumer loans (primarily credit card receivables and student loans, net of $13 billion in allowance for loan loss reserves) were consolidated as a result of the adoption of SFAS 166/167. The increase in credit cards and student loans as a result of the adoption of SFAS 166/167 was partially offset by paydowns over the year on credit cards and the sale of The Student Loan Corporation. Also offsetting the increase was a $27 billion, or 12%, decrease in Consumer mortgage and real estate loans, driven by run-off, net credit losses and asset sales, as well as the sale of a Citigroup auto portfolio.
Corporate loans (net of allowance for loan losses) increased by $26 billion, or 16%, during 2010, primarily due to the $28 billion of Corporate loans consolidated as of January 1, 2010 as a result of the adoption of SFAS 166/167. The majority of the loans consolidated were Citi-administered asset-backed commercial paper conduits classified as loans to financial institutions. In addition, a $2 billion, or 32%, decrease in the allowance for loan loss reserves added to the increase of Corporate loans for the year. These increases were partially offset by the impact of a $7 billion, or 21%, decrease in Corporate mortgage and real estate loans, primarily due to run-off and net credit losses.


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During 2010, average Consumer loans (net of unearned income) of $495 billion yielded an average rate of 9.4%, compared to $456 billion and 7.8%, respectively, in the prior year. Average Corporate loans of $189 billion yielded an average rate of 4.5% during 2010, compared to $190 billion and 6.3%, respectively, in the prior year.
For further information on Citi's loan portfolios, see generally "Managing Global Risk-Credit Risk" and Notes 1 and 16 to the Consolidated Financial Statements.

Trading Account Assets and Liabilities
Trading account assets includes debt and marketable equity securities, derivatives in a receivable position, residual interests in securitizations and physical commodities inventory. In addition, certain assets that Citigroup has elected to carry at fair value, such as certain loans and purchase guarantees, are also included in Trading account assets. Trading account liabilities includes securities sold, not yet purchased (short positions), and derivatives in a net payable position, as well as certain liabilities that Citigroup has elected to carry at fair value.
During 2010, Trading account assets decreased by $26 billion, or 8%, primarily due to decreases in debt securities ($17 billion, or 53%), derivative assets ($9 billion, or 15%), equity securities ($8 billion, or 17%) and U.S. Treasury and federal agency securities ($7 billion, or 24%), partially offset by a $16 billion, or 21%, increase in foreign government securities. Average Trading account assets were $337 billion in 2010, compared to $350 billion in 2009.
During 2010, Trading account liabilities decreased by $9 billion, or 7%, primarily due to a $4 billion, or 7%, decrease in derivative liabilities, and a $4 billion, or 6%, decrease in securities short positions (primarily U.S. Treasury securities). In 2010, average Trading account liabilities were $128 billion, compared to $139 billion in 2009.
For further information on Citi's Trading account assets and Trading account liabilities , see Note 14 to the Consolidated Financial Statements.

Federal Funds Sold (Purchased) and Securities Borrowed (Loaned) or Purchased (Sold) Under Agreements to Resell (Repurchase)
Securities sold under agreements to repurchase (repos) and securities lending transactions generally do not constitute a sale of the underlying securities for accounting purposes and, as such, are treated as collateralized financing transactions. Similarly, securities purchased under agreements to resell (reverse repos) and securities borrowing transactions generally do not constitute a purchase of the underlying securities for accounting purposes

and so are treated as collateralized lending transactions. Reverse repos and securities borrowing transactions increased by $25 billion, or 11%, during 2010. For further information on repos and securities lending transactions, see "Capital Resources and Liquidity-Funding and Liquidity" below.
Federal funds sold and federal funds purchased consist of unsecured advances of excess balances in reserve accounts held at the Federal Reserve Banks to and from third parties. During 2009 and 2010, Citi's federal funds sold and federal funds purchased were not significant.
For further information regarding these balance sheet categories, see Notes 1 and 12 to the Consolidated Financial Statements.

Investments
Investments consists of debt and equity securities that are available-for-sale, debt securities that are held-to-maturity, non-marketable equity securities that are carried at fair value, and non-marketable equity securities carried at cost. Debt securities include bonds, notes and redeemable preferred stock, as well as certain loan-backed securities (such as mortgage-backed securities) and other structured notes. Marketable and non-marketable equity securities carried at fair value include common and nonredeemable preferred stock. Non-marketable equity securities carried at cost primarily include equity shares issued by the Federal Reserve Bank and the Federal Home Loan Banks that Citigroup is required to hold.
During 2010, investments increased by $12 billion, or 4%, primarily due to a $34 billion, or 14%, increase in available-for-sale (predominantly U.S. Treasury and federal agency securities), offset by a $22 billion decrease in held-to-maturity securities (predominantly asset-backed and mortgage-backed securities).
For further information regarding Investments , see Notes 1 and 15 to the Consolidated Financial Statements.

Other Assets
Other assets consists of Brokerage receivables, Goodwill, Intangibles and Mortgage servicing rights in addition to Other assets as presented on the Consolidated Balance Sheet (including, among other items, loans held-for-sale, deferred tax assets, equity-method investments, interest and fees receivable, premises and equipment, end-user derivatives in a net receivable position, repossessed assets, and other receivables). During 2010, Other assets decreased $4 billion, or 2%, primarily due to a $2 billion decrease in brokerage receivables, a $2 billion decrease in mortgage servicing rights and a $1 billion decrease in intangible assets, partially offset by a $1 billion increase in goodwill and a $1 billion increase in other assets.


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For further information regarding Goodwill and Intangible assets , see Note 18 to the Consolidated Financial Statements. For further information on Brokerage receivables , see Note 13 to the Consolidated Financial Statements.

Deposits
Deposits represent customer funds that are payable on demand or upon maturity. For a discussion of deposits, see "Capital Resources and Liquidity-Funding and Liquidity" below.

Debt
Debt is composed of both short-term and long-term borrowings. Long-term borrowings include senior notes, subordinated notes, trust preferred securities and securitizations. Short-term borrowings include commercial paper and borrowings from unaffiliated banks and other market participants. During 2010, total debt increased by $27 billion, or 6%, including the consolidation of securitizations as a result of the adoption of SFAS 166/167 effective January 1, 2010. Absent the impact of SFAS 166/167, total debt decreased by $57 billion, or 13%. For further information on long-term and short-term debt, see "Capital Resources and Liquidity-Funding and Liquidity" below and Note 19 to the Consolidated Financial Statements.

Other Liabilities
Other liabilities consists of Brokerage payables and Other liabilities as presented on the Consolidated Balance Sheet (including, among other items, accrued expenses and other payables, deferred tax liabilities, end-user derivatives in a net payable position, and reserves for legal claims, taxes, restructuring reserves for unfunded lending commitments, and other matters). During 2010, Other liabilities decreased $17 billion, or 12%, primarily due to a $9 billion decrease in brokerage payables and a $7 billion decrease in other liabilities.
For further information regarding Brokerage Payables , see Note 13 to the Consolidated Financial Statements.


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SEGMENT BALANCE SHEET AT DECEMBER 31, 2010

In millions of dollars Regional
Consumer
Banking
Institutional
Clients
Group
Subtotal
Citicorp
Citi Holdings Corporate/Other,
Discontinued
Operations
and Consolidating
Eliminations
Total Citigroup
Consolidated
Assets
       Cash and due from banks $ 8,576 $ 17,259 $ 25,835 $ 1,164 $ 973 $ 27,972
       Deposits with banks 7,617 60,139 67,756 3,204 91,477 162,437
       Federal funds sold and securities borrowed
              or purchased under agreements to resell - 240,886 240,886 5,831 - 246,717
       Brokerage receivables 218 19,316 19,534 10,803 876 31,213
       Trading account assets 12,804 287,101 299,905 17,367 - 317,272
       Investments 35,472 99,977 135,449 51,263 131,452 318,164
       Loans, net of unearned income
       Consumer 231,210 - 231,210 226,422 - 457,632
       Corporate - 175,110 175,110 16,052 - 191,162
       Loans, net of unearned income $ 231,210 $ 175,110 $ 406,320 $ 242,474 - $ 648,794
       Allowance for loan losses (13,530 ) (3,546 ) (17,076 ) (23,579 ) - (40,655 )
       Total loans, net $ 217,680 $ 171,564 $ 389,244 $ 218,895 - $ 608,139
       Goodwill 10,701 10,826 21,527 4,625 - 26,152
       Intangible assets (other than MSRs) 2,215 971 3,186 4,318 - 7,504
       Mortgage servicing rights (MSRs) 2,043 76 2,119 2,435 - 4,554
       Other assets 32,953 44,609 77,562 39,287 46,929 163,778
Total assets $ 330,279 $ 952,724 $ 1,283,003 $ 359,192 $ 271,707 $ 1,913,902
Liabilities and equity
       Total deposits $ 308,538 $ 451,192 $ 759,730 $ 79,248 $ 5,990 $ 844,968
       Federal funds purchased and securities
              loaned or sold under agreements
              to repurchase
5,776 183,464 189,240 176 142 189,558
       Brokerage payables 192 49,862 50,054 - 1,695 51,749
       Trading account liabilities 25 126,935 126,960 2,094 - 129,054
       Short-term borrowings 336 55,957 56,293 1,573 20,924 78,790
       Long-term debt 3,033 75,479 78,512 13,530 289,141 381,183
       Other liabilities 18,503 18,191 36,694 20,991 15,126 72,811
       Net inter-segment funding (lending) (6,124 ) (8,356 ) (14,480 ) 241,580 (227,100 ) -
       Total Citigroup stockholders' equity - - - - 163,468 163,468
       Noncontrolling interest - - - - 2,321 2,321
Total equity - - - - $ 165,789 $ 165,789
Total liabilities and equity $ 330,279 $ 952,724 $ 1,283,003 $ 359,192 $ 271,707 $ 1,913,902

The supplemental information presented above reflects Citigroup's consolidated GAAP balance sheet by reporting segment as of December 31, 2010. The respective segment information depicts the assets and liabilities managed by each segment as of such date. While this presentation is not defined by GAAP, Citi believes that these non-GAAP financial measures enhance investors' understanding of the balance sheet components managed by the underlying business segments, as well as the beneficial inter-relationship of the asset and liability dynamics of the balance sheet components among Citi's business segments.


37


CAPITAL RESOURCES AND LIQUIDITY

CAPITAL RESOURCES

Overview
Citi generates capital through earnings from its operating businesses. However, Citi may augment, and during the financial crisis did augment, its capital through issuances of common stock, convertible preferred stock, preferred stock and equity issued through awards under employee benefit plans. Citi also augmented its regulatory capital through the issuance of subordinated debt underlying trust preferred securities, although the treatment of such instruments as regulatory capital will be phased out under Basel III and the Financial Reform Act (see "Regulatory Capital Standards Developments" and "Risk Factors" below). Further, the impact of future events on Citi's business results, such as corporate and asset dispositions, as well as changes in regulatory and accounting standards, also affects Citi's capital levels.

Capital is used primarily to support assets in Citi's businesses and to absorb market, credit or operational losses. While capital may be used for other purposes, such as to pay dividends or repurchase common stock, Citi's ability to utilize its capital for these purposes is currently restricted due to, among other things, its agreements with certain U.S. government entities, generally for so long as the U.S. government continues to hold any Citi trust preferred securities acquired in connection with the exchange offers consummated in 2009. See "Risk Factors" below.

Citigroup's capital management framework is designed to ensure that Citigroup and its principal subsidiaries maintain sufficient capital consistent with Citi's risk profile and all applicable regulatory standards and guidelines, as well as external rating agency considerations. Senior management is responsible for the capital management process mainly through Citigroup's Finance and Asset and Liability Committee (FinALCO), with oversight from the Risk Management and Finance Committee of Citigroup's Board of Directors. FinALCO is composed of the senior-most management of Citigroup for the purpose of engaging management in decision-making and related discussions on capital and liquidity matters. Among other things, FinALCO's responsibilities include: determining the financial structure of Citigroup and its principal subsidiaries; ensuring that Citigroup and its regulated entities are adequately capitalized in consultation with its regulators; determining appropriate asset levels and return hurdles for Citigroup and individual businesses; reviewing the funding and capital markets plan for Citigroup; and setting and monitoring corporate and bank liquidity levels, and the impact of currency translation on non-U.S. capital.

Capital Ratios
Citigroup is subject to the risk-based capital guidelines issued by the Federal Reserve Board. Historically, capital adequacy has been measured, in part, based on two risk-based capital ratios, the Tier 1 Capital and Total Capital (Tier 1 Capital + Tier 2 Capital) ratios. Tier 1 Capital consists of the sum of "core capital elements," such as qualifying common stockholders' equity, as adjusted, qualifying noncontrolling interests, and qualifying mandatorily redeemable securities of subsidiary trusts, principally reduced by goodwill, other disallowed intangible assets, and disallowed deferred tax assets. Total Capital also includes "supplementary" Tier 2 Capital elements, such as qualifying subordinated debt and a limited portion of the allowance for credit losses. Both measures of capital adequacy are stated as a percentage of risk-weighted assets.

In 2009, the U.S. banking regulators developed a new measure of capital termed "Tier 1 Common," which is defined as Tier 1 Capital less non-common elements, including qualifying perpetual preferred stock, qualifying noncontrolling interests, and qualifying mandatorily redeemable securities of subsidiary trusts. For more detail on all of these capital metrics, see "Components of Capital Under Regulatory Guidelines" below.

Citigroup's risk-weighted assets are principally derived from application of the risk-based capital guidelines related to the measurement of credit risk. Pursuant to these guidelines, on-balance-sheet assets and the credit equivalent amount of certain off-balance-sheet exposures (such as financial guarantees, unfunded lending commitments, letters of credit, and derivatives) are assigned to one of several prescribed risk-weight categories based upon the perceived credit risk associated with the obligor, or if relevant, the guarantor, the nature of the collateral, or external credit ratings. Risk-weighted assets also incorporate a measure for market risk on covered trading account positions and all foreign exchange and commodity positions whether or not carried in the trading account. Excluded from risk-weighted assets are any assets, such as goodwill and deferred tax assets, to the extent required to be deducted from regulatory capital. See "Components of Capital Under Regulatory Guidelines" below.

Citigroup is also subject to a Leverage ratio requirement, a non-risk-based measure of capital adequacy, which is defined as Tier 1 Capital as a percentage of quarterly adjusted average total assets.

To be "well capitalized" under current federal bank regulatory agency definitions, a bank holding company must have a Tier 1 Capital ratio of at least 6%, a Total Capital ratio of at least 10%, and a Leverage ratio of at least 3%, and not be subject to a Federal Reserve Board directive to maintain higher capital levels. The following table sets forth Citigroup's regulatory capital ratios as of December 31, 2010 and December 31, 2009.


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Citigroup Regulatory Capital Ratios

At year end 2010 2009
Tier 1 Common 10.75 % 9.60 %
Tier 1 Capital 12.91 11.67
Total Capital (Tier 1 Capital + Tier 2 Capital) 16.59 15.25
Leverage ratio 6.60 6.87

As noted in the table above, Citigroup was "well capitalized" under the current federal bank regulatory agency definitions as of December 31, 2010 and December 31, 2009.


Components of Capital Under Regulatory Guidelines

In millions of dollars at year end 2010 2009
Tier 1 Common
Citigroup common stockholders' equity     $ 163,156 $ 152,388
Less: Net unrealized losses on securities available-for-sale, net of tax (1) (2,395 ) (4,347 )
Less: Accumulated net losses on cash flow hedges, net of tax (2,650 ) (3,182 )
Less: Pension liability adjustment, net of tax (2) (4,105 ) (3,461 )
Less: Cumulative effect included in fair value of financial liabilities attributable to the change in own credit worthiness, net of tax (3) 164 760
Less: Disallowed deferred tax assets (4) 34,946 26,044
Less: Intangible assets:
         Goodwill 26,152 25,392
         Other disallowed intangible assets 5,211 5,899
Other (698 ) (788 )
Total Tier 1 Common $ 105,135 $ 104,495
Qualifying perpetual preferred stock $ 312 $ 312
Qualifying mandatorily redeemable securities of subsidiary trusts 18,003 19,217
Qualifying noncontrolling interests 868 1,135
Other 1,875 1,875
Total Tier 1 Capital $ 126,193 $ 127,034
Tier 2 Capital
Allowance for credit losses (5) $ 12,627 $ 13,934
Qualifying subordinated debt (6) 22,423 24,242
Net unrealized pretax gains on available-for-sale equity securities (1) 976 773
Total Tier 2 Capital $ 36,026 $ 38,949
Total Capital (Tier 1 Capital and Tier 2 Capital) $ 162,219 $ 165,983
Risk-weighted assets (RWA) (7) $ 977,629 $ 1,088,526

(1) Tier 1 Capital excludes net unrealized gains (losses) on available-for-sale debt securities and net unrealized gains on available-for-sale equity securities with readily determinable fair values, in accordance with risk-based capital guidelines. In arriving at Tier 1 Capital, banking organizations are required to deduct net unrealized losses on available-for-sale equity securities with readily determinable fair values, net of tax. Banking organizations are permitted to include in Tier 2 Capital up to 45% of net unrealized pretax gains on available-for-sale equity securities with readily determinable fair values.
(2) The Federal Reserve Board granted interim capital relief for the impact of ASC 715-20, Compensation-Retirement Benefits-Defined Benefits Plans (formerly SFAS 158).
(3) The impact of including Citigroup's own credit rating in valuing financial liabilities for which the fair value option has been elected is excluded from Tier 1 Capital, in accordance with risk-based capital guidelines.
(4) Of Citi's approximately $52 billion of net deferred tax assets at December 31, 2010, approximately $13 billion of such assets were includable without limitation in regulatory capital pursuant to risk-based capital guidelines, while approximately $35 billion of such assets exceeded the limitation imposed by these guidelines and, as "disallowed deferred tax assets," were deducted in arriving at Tier 1 Capital. Citigroup's approximately $4 billion of other net deferred tax assets primarily represented approximately $2 billion of deferred tax effects of unrealized gains and losses on available-for-sale debt securities and approximately $2 billion of deferred tax effects of the pension liability adjustment, which are permitted to be excluded prior to deriving the amount of net deferred tax assets subject to limitation under the guidelines.
(5) Includable up to 1.25% of risk-weighted assets. Any excess allowance for credit losses is deducted in arriving at risk-weighted assets.
(6) Includes qualifying subordinated debt in an amount not exceeding 50% of Tier 1 Capital.
(7) Includes risk-weighted credit equivalent amounts, net of applicable bilateral netting agreements, of $62.1 billion for interest rate, commodity and equity derivative contracts, foreign exchange contracts, and credit derivatives as of December 31, 2010, compared with $64.5 billion as of December 31, 2009. Market risk equivalent assets included in risk-weighted assets amounted to $51.4 billion at December 31, 2010 and $80.8 billion at December 31, 2009. Risk-weighted assets also include the effect of certain other off-balance-sheet exposures, such as unused lending commitments and letters of credit, and reflect deductions such as certain intangible assets and any excess allowance for credit losses.

39


Adoption of SFAS 166/167 Impact on Capital
As previously disclosed and as described further in Note 1 to the Consolidated Financial Statements, the adoption of SFAS 166/167 resulted in the consolidation of $137 billion of incremental assets and $146 billion of liabilities, including securitized credit card receivables, onto Citigroup's Consolidated Balance Sheet on the date of adoption, as of January 1, 2010. The adoption of SFAS 166/167 also resulted in a net increase of $10 billion in risk-weighted assets. In addition, Citi added $13.4 billion to the loan loss allowance, increased deferred tax assets by $5.0 billion, and reduced retained earnings by $8.4 billion. This translated into a decrease in Tier 1 Common, Tier 1 Capital and Total Capital of $14.2 billion, $14.2 billion and $14.0 billion, respectively, and a reduction in Tangible Common Equity (described below) of $8.4 billion.

The impact on Citigroup's capital ratios from the January 1, 2010 adoption of SFAS 166/167 was as follows:

As of January 1, 2010 Impact
Tier 1 Common     (138) bps
Tier 1 Capital (141) bps
Total Capital (142) bps
Leverage ratio (118) bps
Tangible Common Equity (TCE)/RWA (87) bps

Common Stockholders' Equity
Citigroup's common stockholders' equity increased during 2010 by $10.8 billion to $163.2 billion, and represented 8.5% of total assets as of December 31, 2010. The table below summarizes the change in Citigroup's common stockholders' equity during 2010:

In billions of dollars
Common stockholders' equity, December 31, 2009      $ 152.4
Transition adjustment to retained earnings associated with the
       adoption of SFAS 166/167 (as of January 1, 2010) and the
       adoption of ASU 2010-11 (recorded on July 1, 2010) (8.5 )
Net income 10.6
Employee benefit plans and other activities 2.2
ADIA Upper DECs equity units purchase contract 3.8

Net change in accumulated other comprehensive income (loss),

       net of tax

2.7
Common stockholders' equity, December 31, 2010 $ 163.2

As of December 31, 2010, $6.7 billion of stock repurchases remained under Citi's authorized repurchase programs. No material repurchases were made in 2010 and 2009.

Tangible Common Equity (TCE)
TCE, as defined by Citigroup, represents Common equity less Goodwill and Intangible assets (other than Mortgage Servicing Rights (MSRs) ) , net of the related net deferred taxes. Other companies may calculate TCE in a manner different from that of Citigroup. Citi's TCE was $129.4 billion at December 31, 2010 and $118.2 billion at December 31, 2009.

The TCE ratio (TCE divided by risk-weighted assets) was 13.2% at December 31, 2010 and 10.9% at December 31, 2009.

TCE is a capital adequacy metric used and relied upon by industry analysts; however, it is a non-GAAP financial measure for SEC purposes. A reconciliation of Citigroup's total stockholders' equity to TCE follows:

In millions of dollars at year end, except ratios 2010 2009
Total Citigroup stockholders' equity     $ 163,468 $ 152,700
Less:
       Preferred stock 312 312
Common equity $ 163,156 $ 152,388
Less:
       Goodwill 26,152 25,392
       Intangible assets (other than MSRs) 7,504 8,714
       Related net deferred tax assets 56 68
Tangible common equity (TCE) $ 129,444 $ 118,214
Tangible assets
GAAP assets $ 1,913,902 $ 1,856,646
Less:
       Goodwill 26,152 25,392
       Intangible assets (other than MSRs) 7,504 8,714
       Related deferred tax assets 359 386
Federal bank regulatory adjustment (1) - 5,746
Tangible assets (TA) $ 1,879,887 $ 1,827,900
Risk-weighted assets (RWA) $ 977,629 $ 1,088,526
TCE/TA ratio 6.89 % 6.47 %
TCE/RWA ratio 13.24 % 10.86 %

(1) Adjustment to recognize repurchase agreements and securities lending agreements as secured borrowing transactions for Federal bank regulatory reporting purposes at December 31, 2009. See Note 1 to the Consolidated Financial Statements for further discussion.

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Capital Resources of Citigroup's Depository Institutions

Citigroup's U.S. subsidiary depository institutions are also subject to risk-based capital guidelines issued by their respective primary federal bank regulatory agencies, which are similar to the guidelines of the Federal Reserve Board. To be "well capitalized" under current regulatory definitions, Citigroup's depository institutions must have a Tier 1 Capital ratio of at least 6%, a Total Capital (Tier 1 Capital + Tier 2 Capital) ratio of at least 10%, and a Leverage ratio of at least 5%, and not be subject to a regulatory directive to meet and maintain higher capital levels.

At December 31, 2010 and December 31, 2009, all of Citigroup's U.S. subsidiary depository institutions including Citigroup's primary subsidiary depository institution, Citibank, N.A., were "well capitalized" under current federal bank regulatory agency definitions, as noted in the following table:

Citibank, N.A. Components of Capital and Ratios Under Regulatory Guidelines

In billions of dollars at year end, except ratios 2010 2009
Tier 1 Common      $ 103.9 $ 95.8
Tier 1 Capital 104.6 96.8
Total Capital (Tier 1 Capital + Tier 2 Capital) 117.7 110.6
Tier 1 Common ratio 15.07 % 13.02 %
Tier 1 Capital ratio 15.17 13.16
Total Capital ratio 17.06 15.03
Leverage ratio 8.88 8.31

There are various legal and regulatory limitations on the ability of Citigroup's subsidiary depository institutions to pay dividends to Citigroup and its non-bank subsidiaries. In determining the declaration of dividends, each depository institution must also consider its effect on applicable risk-based capital and Leverage ratio requirements, as well as policy statements of the federal regulatory agencies that indicate that banking organizations should generally pay dividends out of current operating earnings. Citigroup did not receive any dividends from its bank subsidiaries during 2010. See also "Funding and Liquidity-Liquidity Transfer Between Entities" below.


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Impact of Changes on Capital Ratios
The following table presents the estimated sensitivity of Citigroup's and Citibank, N.A.'s capital ratios to changes of $100 million in Tier 1 Common, Tier 1 Capital, or Total Capital (numerator), or changes of $1 billion in risk-weighted assets or adjusted average total assets (denominator), based on financial information as of December 31, 2010. This information is provided

for the purpose of analyzing the impact that a change in Citigroup's or Citibank, N.A.'s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, or adjusted average total assets. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in this table.


Tier 1 Common ratio Tier 1 Capital ratio Total Capital ratio Leverage ratio
Impact of $100
million change in
Tier 1 Common
Impact of $1
billion change in
risk-weighted
assets
Impact of $100
million change
in Tier 1 Capital
Impact of $1
billion change in
risk-weighted
assets
Impact of $100
million change
in Total Capital
Impact of $1
billion change in
risk-weighted
assets
Impact of $100
million change
in Tier 1 Capital
Impact of $1
billion change
in adjusted
average total
assets
Citigroup 1.0 bps 1.1 bps 1.0 bps 1.3 bps 1.0 bps 1.7 bps 0.5 bps 0.3 bps
Citibank, N.A. 1.4 bps 2.2 bps 1.4 bps 2.2 bps 1.4 bps 2.5 bps 0.8 bps 0.7 bps

Broker-Dealer Subsidiaries
At December 31, 2010, Citigroup Global Markets Inc., a broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup Global Markets Holdings Inc., had net capital, computed in accordance with the SEC's net capital rule, of $8.9 billion, which exceeded the minimum requirement by $8.2 billion.

In addition, certain of Citi's broker-dealer subsidiaries are subject to regulation in the other countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup's broker-dealer subsidiaries were in compliance with their capital requirements at December 31, 2010.


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Regulatory Capital Standards Developments
The prospective regulatory capital standards for financial institutions are currently subject to significant debate, rulemaking activity and uncertainty, both in the U.S. and internationally. See "Risk Factors" below.

Basel II and III. In late 2005, the Basel Committee on Banking Supervision (Basel Committee) published a new set of risk-based capital standards (Basel II) that would permit banking organizations, including Citigroup, to leverage internal risk models used to measure credit, operational, and market risk exposures to drive regulatory capital calculations. In late 2007, the U.S. banking agencies adopted these standards for large banking organizations, including Citigroup. As adopted, the standards require Citigroup, as a large and internationally active banking organization, to comply with the most advanced Basel II approaches for calculating credit and operational risk capital requirements. The U.S. implementation timetable consists of a parallel calculation period under the current regulatory capital regime (Basel I) and Basel II, followed by a three-year transitional period.

Citi began parallel reporting on April 1, 2010. There will be at least four quarters of parallel reporting before Citi enters the three-year transitional period. The U.S. banking agencies have reserved the right to change how Basel II is applied in the U.S. following a review at the end of the second year of the transitional period, and to retain the existing prompt corrective action and leverage capital requirements applicable to banking organizations in the U.S.

Apart from the Basel II rules regarding credit and operational risks, in June 2010, the Basel Committee agreed on certain revisions to the market risk capital framework that would also result in additional capital requirements. In December 2010, the U.S. banking agencies issued a proposal that would amend their market risk capital rules to implement certain revisions approved by the Basel Committee to the market risk capital framework.

Further, as an outgrowth of the financial crisis, in December 2010, the Basel Committee issued final rules to strengthen existing capital requirements (Basel III). The U.S. banking agencies will be required to finalize, within two years, the rules to be applied by U.S. banking organizations commencing on January 1, 2013.

Under Basel III, when fully phased in on January 1, 2019, Citigroup would be required to maintain risk-based capital ratios as follows:

 Tier 1 Common Tier 1 Capital Total Capital
Stated minimum ratio 4.5 % 6.0 % 8.0 %
Plus: Capital conservation
       buffer requirement 2.5 2.5 2.5
Effective minimum ratio 7.0 % 8.5 % 10.5 %

While banking organizations may draw on the 2.5% capital conservation buffer to absorb losses during periods of financial or economic stress, restrictions on earnings distributions (e.g., dividends, equity repurchases, and discretionary compensation) would result, with the degree of such restrictions greater based upon the extent to which the buffer is utilized. Moreover, subject to national discretion by the respective bank supervisory or regulatory authorities, a countercyclical capital buffer ranging from 0% to 2.5%, consisting of common equity or other fully loss absorbing capital, would also be imposed on banking organizations when it is deemed that excess aggregate credit growth is resulting in a build-up of systemic risk in a given country. This countercyclical capital buffer, when in effect, would serve as an additional buffer supplementing the capital conservation buffer.

As a systemically important financial institution, Citigroup may also be subject to additional capital requirements. The Basel Committee and the Financial Stability Board are currently developing an integrated approach to systemically important financial institutions that could include combinations of capital surcharges, contingent capital and bail-in debt.

Under Basel III, Tier 1 Common capital will be required to be measured after applying generally all regulatory adjustments (including applicable deductions). The impact of these regulatory adjustments on Tier 1 Common capital would be phased in incrementally at 20% annually beginning on January 1, 2014, with full implementation by January 1, 2018. During the transition period, the portion of the regulatory adjustments (including applicable deductions) not applied against Tier 1 Common capital would continue to be subject to existing national treatments.

Moreover, under Basel III certain capital instruments will no longer qualify as non-common components of Tier 1 Capital (e.g., trust preferred securities and cumulative perpetual preferred stock) or Tier 2 Capital. These instruments will be subject to a 10% per-year phase-out over 10 years beginning on January 1, 2013, except for certain limited grandfathering. This phase-out period will be substantially shorter in the U.S. as a result of the so-called "Collins Amendment" to the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, which will generally require a phase out of these securities over a three-year period also beginning on January 1, 2013. In addition, the Basel Committee has subsequently issued supplementary minimum requirements to those contained in Basel III, which must be met or exceeded in order to ensure that qualifying non-common Tier 1 or Tier 2 Capital instruments fully absorb losses at the point of a banking organization's non-viability before taxpayers are exposed to loss. These requirements must be reflected within the terms of the capital instruments unless, subject to certain conditions, they are implemented through the governing jurisdiction ' s legal framework.

Although U.S. banking organizations, such as Citigroup, are currently subject to a supplementary, non-risk-based measure of leverage for capital adequacy purposes (see "Capital Ratios" above), Basel III establishes a more constrained Leverage ratio requirement. Initially, during a four-year parallel run beginning on January 1, 2013, banking organizations will be required to maintain a minimum 3% Tier 1 Capital Leverage ratio. Disclosure of such ratio, and its components, will start on January 1, 2015. Depending upon the results of the parallel run test period, there could be subsequent adjustments to the definition and calibration of the Leverage ratio, which is to be finalized in 2017 and become a formal requirement by January 1, 2018.


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FUNDING AND LIQUIDITY

Overview
Citi's funding and liquidity objective is to both fund its existing asset base and maintain sufficient excess liquidity so that it can operate under a wide variety of market conditions. An extensive range of liquidity scenarios is considered based on both historical industry experience and hypothetical situations. The approach is to ensure Citi has sufficient funding that is structural in nature so as to accommodate market disruptions for both short- and long-term periods. Due to various constraints that limit the free transfer of liquidity or capital between Citi-affiliated entities (as discussed below), Citigroup's primary liquidity objectives are established by entity, and in aggregate, across:

(i) the non-bank, which is largely comprised of the parent holding company (Citigroup), Citigroup Funding Inc. (CFI) and Citi's broker-dealer subsidiaries (collectively referred to in this section as "non-bank"); and
(ii) Citi's bank subsidiaries, such as Citibank, N.A.

At an aggregate level, Citigroup's goal is to ensure that there is sufficient funding in amount and tenor to ensure that aggregate liquidity resources are available for these entities. The liquidity framework requires that entities

be self-sufficient or net providers of liquidity in their designated stress tests and have excess cash capital (as further discussed in "Liquidity Measures and Stress Testing" below).

The primary sources of funding include (i) deposits via Citi's bank subsidiaries, which are Citi's most stable and lowest-cost source of long-term funding, (ii) long-term debt (including trust preferred securities and other long-term collateralized financing) issued at the non-bank level and certain bank subsidiaries, and (iii) stockholders' equity. These sources are supplemented by short-term borrowings, primarily in the form of commercial paper and secured financing (securities loaned or sold under agreements to repurchase) at the non-bank level.

Citigroup works to ensure that the structural tenor of these funding sources is sufficiently long in relation to the tenor of its asset base. In fact, the key goal of Citi's asset-liability management is to ensure that there is excess tenor in the liability structure so as to provide excess liquidity to fund the assets. The excess liquidity resulting from a longer-term tenor profile can effectively offset potential downward pressures on liquidity that may occur under stress. This excess funding is held in the form of aggregate liquidity resources, as described below.


Aggregate Liquidity Resources

Non-bank Significant bank entities Total
Dec. 31, Sept. 30, Dec. 31, Dec. 31, Sept. 30, Dec. 31, Dec. 31, Sept. 30, Dec. 31,
In billions of dollars 2010 2010 2009 2010 2010 2009 2010 2010 2009
Cash at major central banks $ 22.7 $ 16.1 $ 10.4 $ 82.1 $ 79.1 $ 105.1 $ 104.8 $ 95.2 $ 115.5
Unencumbered liquid securities 71.8 73.9 76.4 145.3 161.7 123.6 217.1 235.6 200.0
Total $ 94.5 $ 90.0 $ 86.8 $ 227.4 $ 240.8 $ 228.7 $ 321.9 $ 330.8 $ 315.5

As noted in the table above, Citigroup's aggregate liquidity resources totaled $321.9 billion at December 31, 2010, compared with $330.8 billion at September 30, 2010 and $315.5 billion at December 31, 2009. These amounts are as of period-end, and may increase or decrease intra-period in the ordinary course of business. During the quarter ended December 31, 2010, the intra-quarter amounts did not fluctuate materially from the quarter-end amounts noted above.

At December 31, 2010, Citigroup's non-bank "cash box" totaled $94.5 billion, compared with $90.0 billion at September 30, 2010 and $86.8 billion at December 31, 2009. This includes the liquidity portfolio and "cash box" held in the United States as well as government bonds held by Citigroup's broker-dealer entities in the United Kingdom and Japan.

Citigroup's bank subsidiaries had an aggregate of approximately $82.1 billion of cash on deposit with major central banks (including the U.S. Federal Reserve Bank, European Central Bank, Bank of England, Swiss National Bank, Bank of Japan, the Monetary Authority of Singapore, and the Hong Kong Monetary Authority) at December 31, 2010, compared with $79.1 billion at September 30, 2010 and $105.1 billion at December 31, 2009.

Citigroup's bank subsidiaries also have significant additional liquidity resources through unencumbered highly liquid government and government-backed securities. These securities are available for sale or secured funding through private markets or by pledging to the major central banks. The liquidity value of these liquid securities was $145.3 billion at December 31, 2010, compared with $161.7 billion at September 30, 2010 and $123.6 billion at December 31, 2009. Significant amounts of cash and liquid securities are also available in other Citigroup entities.

In addition to the highly liquid securities noted above, Citigroup's bank subsidiaries also maintain additional unencumbered securities and loans, which are currently pledged to the U.S. Federal Home Loan Banks' (FHLB) and the U.S. Federal Reserve Bank's discount window.


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Deposits
Citi continues to focus on maintaining a geographically diverse retail and corporate deposit base that stood at $845 billion at December 31, 2010, as compared with $836 billion at December 31, 2009 and $850 billion at September 30, 2010. The $9 billion increase in deposits year over year was largely due to FX translation and higher deposit volumes in Regional Consumer Banking and Transaction Services . These increases were partially offset by a decrease in Securities and Banking and Citi Holdings' deposits. Compared to the prior quarter, deposits decreased modestly by $5 billion due primarily to lower balances in Securities and Banking and Citi Holdings, partially offset by increases in FX translation and higher deposit volumes in Regional Consumer Banking .

Citigroup's deposits are diversified across clients, products and regions, with approximately 64% outside of the United States as of December 31, 2010. Deposits can be interest bearing or non-interest bearing. As of December 31, 2010, interest-bearing deposits payable by Citigroup ' s foreign and domestic banking subsidiaries constituted 58% and 27% of total deposits, respectively, while non-interest-bearing deposits constituted 7% and 9%, respectively.

Long-Term Debt
Long-term debt is an important funding source because of its multi-year maturity structure. At December 31, 2010, long-term debt outstanding for Citigroup was as follows:

Total
In billions of dollars Non-bank Bank Citigroup  (1)
Long-term debt (2)(3) $ 268.0 $ 113.2  (4) $ 381.2

(1) Total long-term debt at December 31, 2010 includes $69.7 billion of long-term debt related to VIEs consolidated effective January 1, 2010 with the adoption of SFAS 166/167.
(2) Original maturities of one year or more.
(3) Of this amount, approximately $58.3 billion is guaranteed by the FDIC under the TLGP with $20.3 billion maturing in 2011 and $38.0 billion maturing in 2012.
(4) At December 31, 2010, collateralized advances from the FHLBs were $18.2 billion.

The table below details the long-term debt issuances of Citigroup during the past five quarters.

Full year Full year
In billions of dollars 4Q09 2009 1Q10 2Q10 3Q10 4Q10 2010
Unsecured long-term debt issued under TLGP guarantee $ 10.0 $ 58.9 $ - $ - $ - $ - $ -
Unsecured long-term debt issued without TLGP guarantee 4.6  (1) 26.0 1.3 5.3  (2) 7.6 5.9  (3) 20.1
Unsecured long-term debt issued on a local country level 2.5 7.3 1.7 0.9 2.1 2.2 6.9
Trust preferred securities (TRUPS) - 27.1 2.3 - - - 2.3
Secured debt and securitizations 2.7 17.0 2.0 - - 2.5 4.5
Total $ 19.8 $ 136.3 $ 7.3 $ 6.2 $ 9.7 $ 10.6 $ 33.8

(1) Includes $1.9 billion of senior debt issued under remarketing of $1.9 billion of Citigroup Capital XXIX Trust Preferred securities held by ADIA to enable them to execute the forward stock purchase contract in March 2010.
(2) Includes $1.9 billion of senior debt issued under remarketing of $1.9 billion of Citigroup Capital XXX Trust Preferred securities held by ADIA to enable them to execute the forward stock purchase contract in September 2010.
(3) Includes $1.9 billion of senior debt issued under remarketing of $1.9 billion of Citigroup Capital XXXI Trust Preferred securities held by ADIA to enable them to execute the forward stock purchase contract in March 2011.

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Absent the impact of consolidating securitizations under SFAS 166/167, which increased long-term debt by approximately $70 billion, long-term debt decreased by $53 billion from $364 billion for the year ended December 31, 2009 to $311 billion for the year ended December 31, 2010. The $53 billion decrease (excluding securitizations) was driven by approximately $79 billion of redemptions, maturities and business sales, which was partially offset by approximately $29 billion of issuances during the year, with the remainder primarily attributable to FX translation and fair value.

As noted in the table above, during 2010 Citi issued approximately one-quarter of the amount of long-term debt it issued in 2009. Moreover, the status of Citi's liquidity resources and asset reductions in Citi Holdings during 2010 prompted less of a need to fully refinance long-term debt maturities. Citi refinanced approximately $22 billion, or slightly more than half, of the approximate $40 billion long-term debt that matured during 2010 (excluding local country, securitizations and FHLB).


The table below shows the aggregate annual maturities of Citi ' s long-term debt obligations:

Long-term debt maturities by year
In billions of dollars 2011 2012 2013 2014 2015 Thereafter Total
Senior/subordinated debt $ 41.5 $ 62.6 $ 27.0 $ 23.1 $ 15.5 $ 85.1 $ 254.8
Local country maturities 5.2 5.3 3.5 2.3 1.0 2.9 20.2
Trust preferred securities (TRUPS) - - - - - 18.1 18.1
Securitized debt and securitizations 12.3 26.3 4.2 6.6 5.4 15.3 70.1
FHLB borrowings 12.5 - 2.5 - - 3.0 18.0
Total long-term debt $ 71.5 $ 94.2 $ 37.2 $ 32.0 $ 21.9 $ 124.4 $ 381.2

Long-Term Debt Funding Outlook
Citi currently estimates its long-term debt maturing during 2011 to be approximately $41 billion (which excludes maturities relating to local country, securitizations and FHLB), of which approximately $20.3 billion is TLGP debt. Given the current status of its liquidity resources and continued reductions of assets in Citi Holdings, Citi currently expects to refinance approximately $20 billion of long-term debt during 2011. Citi does not expect to refinance its TLGP debt as it matures either during 2011 or 2012 (approximately $38 billion). Citi continues to review its funding and liquidity needs, and may adjust its expected issuances due to market conditions or regulatory requirements, among other factors.
Secured Financing and Short-Term Borrowings
As referenced above, Citi supplements its primary sources of funding with short-term borrowings. Short-term borrowings generally include (i) secured financing (securities loaned or sold under agreements to repurchase) and (ii) short-term borrowings consisting of commercial paper and borrowings from banks and other market participants. As required by SEC rules, the following table contains the year-end, average and maximum month-end amounts for the following respective short-term borrowing categories at the end of each of the three prior fiscal years.

Federal funds purchased
and securities sold under
agreements to Short-term borrowings  (1)
repurchase  (2) Commercial paper  (3) Other short-term borrowings  (4)
In billions of dollars 2010 2009 2008 2010 2009 2008 2010 2009 2008
Amounts outstanding at year end     $ 189.6 $ 154.3 $ 205.3 $ 24.7 $ 10.2 $ 29.1 $ 54.1 $ 58.7 $ 97.6
Average outstanding during the year (5) 212.3 205.6 281.5 35.0 24.7 31.9 68.8 76.5 82.6
Maximum month-end outstanding 246.5 252.2 354.7 40.1 36.9 41.2 106.0 99.8 121.8
Weighted-average interest rate
During the year (5)(6) 1.32 % 1.67 % 4.00 % 0.15 % 0.99 % 3.10 % 1.26 % 1.54 % 1.70 %
At year end (7) 0.99 0.85 2.22 0.35 0.34 1.67 0.40 0.66 2.40

(1) Original maturities of less than one year.
(2) Rates reflect prevailing local interest rates including inflationary effects and monetary correction in certain countries.
(3) Includes $15 billion of commercial paper related to VIEs consolidated effective January 1, 2010 with the adoption of SFAS 166/167.
(4) Other short-term borrowings include broker borrowings and borrowings from banks and other market participants.
(5) Excludes discontinued operations. While the annual average balance is primarily calculated from daily balances, in some cases, the average annual balance is calculated using a 13-point average composed of each of the month-end balances during the year plus the prior year-end ending balance.
(6) Interest rates include the effects of risk management activities. See Notes 20 and 24 to the Consolidated Financial Statements.
(7) Based on contractual rates at year end.

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Secured financing is primarily conducted through Citi's broker-dealer subsidiaries to facilitate customer matched-book activity and to efficiently fund a portion of the trading inventory. Secured financing appears as a liability on Citi's Consolidated Balance Sheet ("Securities Loaned or Sold Under Agreements to Repurchase"). As of December 31, 2010, secured financing was $189.6 billion and averaged approximately $207 billion during the quarter ended December 31, 2010. Secured financing at December 31, 2010 increased by $35 billion from $154.3 billion at December 31, 2009. During the same period, reverse repos and securities borrowing increased by $25 billion.

The majority of secured financing is collateralized by highly liquid government, government-backed and government agency securities. This collateral comes primarily from Citi's trading assets and its secured lending, and is part of Citi's client matched-book activity given that Citi both borrows and lends similar asset types on a secured basis.

The minority of secured financing is collateralized by less liquid collateral, and supports both Citi's trading assets as well as the business of secured lending to customers, which is also part of Citi's client matched-book activity. The less liquid secured borrowing is carefully calibrated by asset quality, tenor and counterparty exposure, including those that might be sensitive to ratings stresses, in order to increase the reliability of the funding.

Citi believes there are several potential mitigants available to it in the event of stress on the secured financing markets for less liquid collateral. Citi's significant liquidity resources in its non-bank entities as of December 31, 2010, supplemented by collateralized liquidity transfers between entities, provide a cushion. Within the matched-book activity, the secured lending positions, which are carefully managed in terms of collateral and tenor, could be unwound to provide additional liquidity under stress. Citi also has excess funding capacity for less liquid collateral with existing counterparties that can be accessed during potential dislocation. In addition, Citi has the ability to adjust the size of select trading books to provide further mitigation.

At December 31, 2010, commercial paper outstanding for Citigroup's non-bank entities and bank subsidiaries, respectively, was as follows:

Total
In billions of dollars Non-bank Bank   (1) Citigroup
Commercial paper $ 9.7 $ 15.0 $ 24.7

(1) Includes $15 billion of commercial paper related to VIEs consolidated effective January 1, 2010 with the adoption of SFAS 166/167.

Other short-term borrowings of approximately $54 billion (as set forth in the Secured Financing and Short-Term Borrowings table above) include $42.4 billion of borrowings from banks and other market participants, which includes borrowings from the Federal Home Loan Banks. This represented a decrease of approximately $11 billion as compared to year-end 2009. The average balance of borrowings from banks and other market participants for the quarter ended December 31, 2010 was approximately $43 billion. Other short-term borrowings also include $11.7 billion of broker borrowings at December 31, 2010, which averaged approximately $13 billion for the quarter ended December 31, 2010.

See Notes 12 and 19 to the Consolidated Financial Statements for further information on Citigroup's and its affiliates' outstanding long-term debt and short-term borrowings.

Liquidity Transfer Between Entities
Liquidity is generally transferable within the non-bank, subject to regulatory restrictions (if any) and standard legal terms. Similarly, the non-bank can generally transfer excess liquidity into Citi's bank subsidiaries, such as Citibank, N.A. In addition, Citigroup's bank subsidiaries, including Citibank, N.A., can lend to the Citigroup parent and broker-dealer in accordance with Section 23A of the Federal Reserve Act. As of December 31, 2010, the amount available for lending under Section 23A was approximately $26.6 billion, provided the funds are collateralized appropriately.

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Liquidity Risk Management
Citigroup runs a centralized treasury model where the overall balance sheet is managed by Citigroup Treasury through Global Franchise Treasurers and Regional Treasurers. Day-to-day liquidity and funding are managed by treasurers at the country and business level and are monitored by Corporate Treasury and Citi risk management.

Liquidity management is the responsibility of senior management through Citigroup's Finance and Asset and Liability Committee (FinALCO) and is overseen by the Board of Directors through its Risk Management and Finance Committee. Asset and liability committees are also established globally and for each region, country and/or major line of business.

Liquidity Measures and Stress Testing
Citi uses multiple measures in monitoring its liquidity, including liquidity ratios, stress testing and liquidity limits, each as described below.

In broad terms, the structural liquidity ratio, defined as the sum of deposits, long-term debt and stockholders' equity as a percentage of total assets, measures whether the asset base is funded by sufficiently long-dated liabilities. Citi's structural liquidity ratio was 73% at December 31, 2010, 71% at September 30, 2010, and 73% at December 31, 2009.

Another measure of Citi's structural liquidity is cash capital. Cash capital is a more detailed measure of the ability to fund the structurally illiquid portion of Citigroup's balance sheet. Cash capital measures the amount of long-term funding-or core customer deposits, long-term debt (over one year) and equity-available to fund illiquid assets. Illiquid assets generally include loans (net of securitization adjustments), securities haircuts and other assets (i.e., goodwill, intangibles, fixed assets). At December 31, 2010, both the non-bank and the aggregate bank subsidiaries had a significant excess of cash capital. In addition, as of December 31, 2010, the non-bank maintained liquidity to meet all maturing obligations significantly in excess of a one-year period without access to the unsecured wholesale markets.

Liquidity stress testing is performed for each major entity, operating subsidiary and/or country. Stress testing and scenario analyses are intended to quantify the potential impact of a liquidity event on the balance sheet and liquidity position, and to identify viable funding alternatives that can be utilized. These scenarios include assumptions about significant changes in key funding sources, market triggers (such as credit ratings), potential uses of funding and political and economic conditions in certain countries. These conditions include standard and stressed market conditions as well as firm-specific events.

A wide range of liquidity stress tests are important for monitoring purposes. Some span liquidity events over a full year, some may cover an intense stress period of one month, and still other time frames may be appropriate. These potential liquidity events are useful to ascertain potential mis-matches between liquidity sources and uses over a variety of horizons (overnight, one week, two week, one month, three month, one year), and liquidity limits are set accordingly. To monitor the liquidity of a unit, those stress tests and potential mismatches may be calculated with varying frequencies, with several important tests performed daily.

Given the range of potential stresses, Citi maintains a series of Contingency Funding Plans on a consolidated basis as well as for individual entities. These plans specify a wide range of readily available actions that are available in a variety of adverse market conditions, or idiosyncratic disruptions.

Credit Ratings
Citigroup's ability to access the capital markets and other sources of funds, as well as the cost of these funds and its ability to maintain certain deposits, is dependent on its credit ratings. The table below indicates the current ratings for Citigroup and Citibank, N.A.


Citigroup's Debt Ratings as of December 31, 2010

Citigroup Inc./Citigroup
Funding Inc.  (1) Citibank, N.A.
Senior Commercial Long- Short-
debt paper term term
Fitch Ratings (Fitch) A + F1 + A + F1 +
Moody's Investors Service (Moody's) A3 P-1 A1 P-1
Standard & Poor's (S&P) A A-1 A + A-1

(1) As a result of the Citigroup guarantee, changes in ratings for CFI are the same as those of Citigroup.

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Each of the credit rating agencies is evaluating the impact of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Financial Reform Act) on the rating support assumptions currently included in their methodologies, as related to large U.S. bank holdings companies (see also "Risk Factors" below). It is their belief that the Financial Reform Act increases the uncertainty regarding the U.S. government's willingness to provide support to large bank holding companies in the future. Consistent with this belief, and their actions with respect to other large U.S. banks, both S&P and Moody's revised their outlooks on Citigroup's supported ratings from stable to negative, and Fitch placed Citigroup's supported ratings on rating watch negative, during 2010. The ultimate timing of the completion of the credit rating agencies' evaluations of the impact of the Financial Reform Act, as well as the outcomes, is uncertain.
Also in 2010, however, Citi's unsupported ratings were improved at two of the three agencies listed above. In both the first quarter and fourth quarter of 2010, S&P upgraded Citi's stand alone credit profile, or unsupported rating, by one notch, for a total two-notch upgrade during 2010. In the fourth quarter of 2010, Fitch upgraded Citi's unsupported rating by a notch. Further, Fitch stated that as long as Citi's intrinsic performance and fundamental credit profile remain stable or improve, any future lowering or elimination of government support from its ratings would still result in a long-term unsupported rating in the "A" category, and short-term unsupported rating of at least "F1." Citi believes these upgrades were based on its progress to date, and such upgrades have narrowed the gap between Citi's supported and unsupported ratings.
Ratings downgrades by Fitch, Moody's or S&P could have material impacts on funding and liquidity through cash obligations, reduced funding capacity, and due to collateral triggers. Because of the current credit ratings of Citigroup, a one-notch downgrade of its senior debt/long-term rating may or may not impact Citigroup's commercial paper/short-term rating by one notch.

As of December 31, 2010, Citi currently believes that a one-notch downgrade of both the senior debt/long-term rating of Citigroup and a one-notch downgrade of Citigroup's commercial paper/short-term rating could result in the assumed loss of unsecured commercial paper ($8.9 billion) and tender option bonds funding ($0.3 billion), as well as derivative triggers and additional margin requirements ($1.0 billion). Other funding sources, such as secured financing and other margin requirements for which there are no explicit triggers, could also be adversely affected.
The aggregate liquidity resources of Citigroup's non-bank stood at $95 billion as of December 31, 2010, in part as a contingency for such an event, and a broad range of mitigating actions are currently included in Citigroup's Contingency Funding Plans (as described under "Liquidity Measures and Stress Testing" above). These mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending, adjusting the size of select trading books, and collateralized borrowings from significant bank subsidiaries.
Citi currently believes that a more severe ratings downgrade scenario, such as a two-notch downgrade of the senior debt/long-term rating of Citigroup, accompanied by a one-notch downgrade of Citigroup's commercial paper/short-term rating, could result in an additional $1.2 billion in funding requirement in the form of cash obligations and collateral.
Further, as of December 31, 2010, a one-notch downgrade of the senior debt/long-term ratings of Citibank, N.A. could result in an approximate $4.6 billion funding requirement in the form of collateral and cash obligations. Because of the current credit ratings of Citibank, N.A., a one-notch downgrade of its senior debt/long-term rating is unlikely to have any impact on its commercial paper/short-term rating. The significant bank entities, Citibank, N.A., and other bank vehicles have aggregate liquidity resources of $227 billion, and have detailed contingency funding plans that encompass a broad range of mitigating actions.


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CONTRACTUAL OBLIGATIONS

The following table includes information on Citigroup's contractual obligations, as specified and aggregated pursuant to SEC requirements.
Purchase obligations consist of those obligations to purchase goods or services that are enforceable and legally binding on Citi. For presentation purposes, purchase obligations are included in the table below through the termination date of the respective agreements, even if the contract is renewable. Many of the purchase agreements for goods or services include clauses that would allow Citigroup to cancel the agreement with specified notice; however, that impact is not included in the table below (unless Citigroup has already notified the counterparty of its intention to terminate the agreement).
Other liabilities reflected on Citigroup's Consolidated Balance Sheet include obligations for goods and services that have already been received, uncertain tax positions and other liabilities that have been incurred and will ultimately be paid in cash.

       Excluded from the following table are obligations that are generally short-term in nature, including deposits and securities sold under agreements to repurchase (see "Capital Resources and Liquidity - Funding and Liquidity" above for a discussion of these obligations). The table also excludes certain insurance and investment contracts subject to mortality and morbidity risks or without defined maturities, such that the timing of payments and withdrawals is uncertain. The liabilities related to these insurance and investment contracts are included as Other liabilities on the Consolidated Balance Sheet.


Contractual obligations by year
In millions of dollars at December 31, 2010 2011 2012 2013 2014 2015 Thereafter Total
Long-term debt obligations (1) $ 71,473 $ 94,234 $ 37,219 $ 31,903 $ 21,927 $ 124,427 $ 381,183
Operating and capital lease obligations 1,137 1,030 939 856 763 2,440 7,165
Purchase obligations 680 433 378 298 282 535 2,606
Other liabilities (2) 37,462 2,318 284 237 233 4,683 45,217
Total $ 110,752 $ 98,015 $ 38,820 $ 33,294 $ 23,205 $ 132,085 $ 436,171

(1) For additional information about long-term debt obligations, see "Capital Resources and Liquidity-Funding and Liquidity" above and Note 19 to the Consolidated Financial Statements.
(2) Includes accounts payable and accrued expenses recorded in Other liabilities on Citi's Consolidated Balance Sheet. Also includes discretionary contributions for 2011 for Citi's non-U.S. pension plans and the non-U.S. postretirement plans, as well as employee benefit obligations accounted for under SFAS 87 (ASC 715), SFAS 106 (ASC 715) and SFAS 112 (ASC 712).


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RISK FACTORS

The ongoing implementation of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 will require Citigroup to restructure or change certain of its business practices and potentially reduce revenues or otherwise limit its profitability, including by imposing additional costs on Citigroup, some of which may be significant.
The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Financial Reform Act), signed into law on July 21, 2010, calls for significant structural reforms and new substantive regulation across the financial industry. Because most of the provisions of the Financial Reform Act that could particularly impact Citi are currently or will be subject to extensive rulemaking and interpretation, a significant amount of uncertainty remains as to the ultimate impact of the Financial Reform Act on Citigroup, especially when combined with other ongoing U.S. and global regulatory developments.
This uncertainty impedes future planning with respect to certain of Citi's businesses and, combined with the extensive and comprehensive regulatory requirements adopted and implemented in compressed time frames, presents operational and compliance costs and risks. What is certain is that the Financial Reform Act will require Citigroup to restructure, transform or change certain of its business activities and practices, potentially limit or eliminate Citi's ability to pursue business opportunities, and impose additional costs, some significant, on Citigroup, each of which could negatively impact, possibly significantly, Citigroup's earnings.

Increases in FDIC insurance premiums will significantly increase Citi's required premiums, which will negatively impact Citigroup's earnings.
The FDIC maintains a fund out of which it covers losses on insured deposits. The fund is composed of assessments on financial institutions that hold FDIC-insured deposits, including Citibank, N.A. and Citigroup's other FDIC-insured depository institutions. As a result of the recent financial crisis, the Financial Reform Act seeks to put the FDIC fund on a sounder financial footing by requiring that the fund have assets equal to at least 1.35% of insurable deposits. The FDIC has adopted a higher target of 2.0% of insurable deposits.
The cost of FDIC assessments to FDIC-insured depository institutions, including Citibank, N.A. and Citigroup's other FDIC-insured depository institutions, depends on the assessment rate and the assessment base of each institution. The Financial Reform Act changed the assessment base from the amount of U.S. domestic deposits to the amount of worldwide average consolidated total assets less average tangible equity. The FDIC has adopted a complex set of calculation rules for its assessment rate, to be effective in the second quarter of 2011. As a result of these changes, Citigroup's FDIC assessments could increase significantly (prior to any potential mitigating actions), which will negatively impact its earnings. Given Citi's substantial global footprint, the change from an assessment based on Citigroup's relatively smaller U.S. deposit base, as compared to its U.S. competitors, to one related to global assets (including Citigroup's relatively larger global deposit base as compared to its U.S. competitors) will cause a

disproportionate increase in Citigroup's assessment base relative to many of its U.S. competitors that are subject to the FDIC assessment. The assessment could also disadvantage Citi's competitive position in relation to foreign local banks which are not subject to the assessment.

Although Citigroup currently believes it is "well capitalized," prospective regulatory capital requirements for financial institutions are uncertain and Citi's capitalization may not prove to be sufficient relative to future requirements.
The prospective regulatory capital standards for financial institutions are currently subject to significant debate and rulemaking activity, both in the U.S. and internationally, resulting in a degree of uncertainty as to their ultimate scope and effect.
As an outgrowth of the financial crisis, the Basel Committee on Banking Supervision (Basel Committee) has established global financial reforms designed, in part, to strengthen existing capital requirements (Basel III). Under Basel III, when fully phased in, Citigroup would be subject to stated minimum capital ratio requirements for Tier 1 Common of 4.5%, for Tier 1 Capital of 6.0%, and for Total Capital of 8.0%. Further, the new standards also require a capital conservation buffer of 2.5%, and potentially also a countercyclical capital buffer, above these stated minimum requirements for each of these three capital tiers. Apart from risk-based capital, Basel III also introduced a more constrained Leverage ratio requirement than that currently imposed on U.S. banking organizations. For more information on Basel III and other requirements and proposals relating to capital adequacy, see "Capital Resources-Regulatory Capital Standards Developments" above.
Even though Citigroup continues to be "well capitalized" in accordance with current federal bank regulatory agency definitions, with a Tier 1 Capital ratio of 12.9%, a Total Capital ratio of 16.6%, and a Leverage ratio of 6.6%, as well as a Tier 1 Common ratio of 10.8%, each as of December 31, 2010, Citigroup may not be able to maintain sufficient capital consistent with Basel III and other future regulatory capital requirements. Because the rules relating to the U.S. implementation of Basel III and other future regulatory capital requirements are not entirely certain, Citigroup's ability to comply with these requirements on a timely basis depends upon certain assumptions, including, for instance, those with respect to Citigroup's significant investments in unconsolidated financial entities (such as the Morgan Stanley Smith Barney joint venture), the size of Citigroup's deferred tax assets and MSRs, and its internal risk calibration models. If any of these assumptions proves to be incorrect, it could negatively affect Citigroup's ability to comply in a timely manner with these future regulatory capital requirements.
In addition, the Financial Reform Act grants new regulatory authority to various U.S. federal regulators, including the Federal Reserve Board and a newly created Financial Stability Oversight Council, to impose heightened prudential standards on financial institutions that pose a systemic risk to market-wide financial stability (Citigroup will be defined as such an institution under the Financial Reform Act). These standards include heightened capital, leverage and liquidity standards, as well as requirements


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for periodic stress tests (the first round of which is in the process of being implemented). The Federal Reserve Board may also impose other prudential standards, including contingent capital requirements, based upon its authority to distinguish among bank holding companies such as Citigroup in relation to their perceived riskiness, complexity, activities, size and other factors. The exact nature of these future requirements remains uncertain.
Further, the so-called "Collins Amendment" reflected in the Financial Reform Act will result in new minimum capital requirements for bank holding companies such as Citigroup, and provides for the phase-out of trust preferred securities and other hybrid capital securities from Tier 1 Capital for regulatory capital purposes, beginning January 1, 2013. As of December 31, 2010, Citigroup had approximately $15.4 billion in outstanding trust preferred securities that will be subject to the provisions of the Collins Amendment. As a result, Citigroup may need to replace certain of its existing Tier 1 Capital with new capital.
Accordingly, Citigroup may not be able to maintain sufficient capital in light of the changing and uncertain regulatory capital requirements resulting from the Financial Reform Act, the Basel Committee, and U.S. or international regulators, or Citigroup's costs to maintain such capital levels may increase.

Changes in regulation of derivatives under the Financial Reform Act, including certain central clearing and exchange trading activities, will require Citigroup to restructure certain areas of its derivatives business which will be disruptive and may adversely affect the results of operations from certain of its over-the-counter and other derivatives activities.
The Financial Reform Act and the regulations to be promulgated thereunder will require certain over-the-counter derivatives to be standardized, subject to requirements for transaction reporting, clearing through regulatorily recognized clearing facilities and trading on exchanges or exchange-like facilities. The regulations implementing this aspect of the Financial Reform Act, including for example the definition of, and requirements for, "swap execution facilities" through which transactions and reporting in standardized products may be required to be carried out, and the determination of margin requirements, are still in the process of being formulated, and thus, the final scope of the requirements is not known. These requirements will, however, necessitate changes to certain areas of Citi's derivatives business structures and practices, including without limitation the successful and timely installation of the appropriate technological and operational systems to report and trade the applicable derivatives accurately, which will be disruptive, divert management attention and require additional investment into such businesses.
The above changes could also increase Citigroup's exposure to the regulatorily recognized clearing facilities and exchanges, which could build up into material concentrations of exposure. This could result in Citigroup having a significant dependence on the continuing efficient and effective functioning of these clearing and trading facilities, and on their continuing financial stability.

       In addition, under the so-called "push-out" provisions of the Financial Reform Act and the regulations to be promulgated thereunder, derivatives activities, with the exception of bona fide hedging activities and derivatives related to traditional bank-permissible reference assets, will be curtailed on FDIC-insured depository institutions. Citigroup, like many of its U.S. bank competitors, conducts a substantial portion of its derivatives activities through an insured depository institution. Moreover, to the extent that certain of Citi's competitors conduct such activities outside of FDIC-insured depository institutions, Citi would be disproportionately impacted by any restructuring of its business for push-out purposes. While the exact nature of the changes required under the Financial Reform Act is uncertain, the changes that are ultimately implemented will require restructuring these activities which could negatively impact Citi's results of operations from these activities.

Regulatory requirements aimed at facilitating the future orderly resolution of large financial institutions could result in Citigroup having to change its business structures, activities and practices in ways that negatively impact its operations.
The Financial Reform Act requires Citi to plan for a rapid and orderly resolution in the event of future material financial distress or failure, and to provide its regulators information regarding the manner in which Citibank, N.A. and its other insured depository institutions are adequately protected from the risk of non-bank affiliates. Regulatory requirements aimed at facilitating future resolutions in the U.S. and globally could result in Citigroup having to restructure or reorganize businesses, legal entities, or intercompany systems or transactions in ways that negatively impact Citigroup's operations. For example, Citi could be required to create new subsidiaries instead of branches in foreign jurisdictions, or create separate subsidiaries to house particular businesses or operations (so-called "subsidiarization"), which would, among other things, increase Citi's legal, regulatory and managerial costs, negatively impact Citi's global capital and liquidity management and potentially impede its global strategy.

While Citigroup believes one of its competitive advantages is its extensive global network, Citi's extensive operations outside of the U.S. subject it to emerging market and sovereign volatility and numerous inconsistent or conflicting regulations, which increase Citi's compliance, regulatory and other costs.
Citigroup believes its extensive global network-which includes a physical presence in approximately 100 countries and services offered in over 160 countries and jurisdictions-provides it a competitive advantage in servicing the broad financial services needs of large multinational clients and its customers around the world, including in many of the world's emerging markets. This global footprint, however, subjects Citi to emerging market and sovereign volatility and extensive, often inconsistent or conflicting, regulation, all of which increase Citi's compliance, regulatory and other costs.


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       The emerging markets in which Citi operates or invests are often more volatile than the U.S. markets or other developed markets, and are subject to changing political, social, economic and financial factors, including currency exchange laws or other laws or restrictions applicable to companies or investments in those markets or countries. Citi's extensive global operations also expose it to sovereign risk, particularly in the countries in which Citi has a physical presence. There have recently been instances of disruptions and internal strife in some countries in which Citigroup operates which can place Citi's staff at risk and can result in losses, particularly if the sovereign defaults or nationalizes Citi's assets. These risks must be balanced against Citigroup's obligations to its customers in the country and its obligations to the central bank as a major international participant in the functioning of the country's wholesale market. In addition, Citi's global footprint also subjects it to higher compliance risk relating to U.S. regulations primarily focused on various aspects of global corporate activities, such as anti-money laundering and Foreign Corrupt Practices Act violations, which can also be more acute in less developed markets and which can require substantial investments in order to comply.
Citigroup believes the level of regulation of financial institutions around the world will likely further increase as a result of the recent financial crisis and the numerous regulatory efforts underway outside the U.S., which, to date, have not necessarily been undertaken on a coordinated basis. For example, uncertainties in the global regulatory arena that could impact Citigroup include, among others, different and inconsistent insolvency and resolution regimes and capital and liquidity requirements that may result in mandatory "ring-fencing" of capital or liquidity in certain jurisdictions, thus increasing Citigroup's overall global capital and liquidity needs, as well as the possibility of bank taxes or fees, some of which could be significant.
The extensive regulations to which Citi is subject, or may be subject in the future, are often inconsistent or conflicting, not only with U.S. regulations, but among jurisdictions around the world. Moreover, depending on the final regulations, Citi could be disproportionately impacted in comparison to other global financial institutions. Any failure by Citi to remain in compliance with applicable U.S. regulations as well as the regulations in the countries and markets in which it operates as a result of its global footprint could result in fines, penalties, injunctions or other similar restrictions, any of which could negatively impact Citi's earnings as well as its reputation generally. In addition, complying with inconsistent, conflicting or duplicative regulations requires extensive time and effort and further increases Citigroup's compliance, regulatory and other costs.

Provisions of the Financial Reform Act and other regulations relating to securitizations will impose additional costs on securitization transactions, increase Citigroup's potential liability in respect of securitizations and may prohibit Citigroup from performing certain roles in securitizations, each of which could make it impractical to execute certain types of transactions and may have an overall negative effect on the recovery of the securitization markets.
Citigroup plays a variety of roles in asset securitization transactions, including acting as underwriter of asset-backed securities, depositor of the underlying assets into securitization vehicles and counterparty to securitization vehicles under derivative contracts. The Financial Reform Act contains a number of provisions intended to increase the regulation of securitizations. These include a requirement that securitizers retain un-hedged exposure to at least 5% of the economic risk of certain assets they securitize, a prohibition on securitization participants engaging in transactions that would involve a conflict with investors in the securitization and extensive additional requirements for review and disclosure of the characteristics of the assets underlying securitizations. In addition, the FDIC has adopted new criteria for establishing transfers of assets into securitization transactions from entities subject to its resolution authority, and the FASB has modified the requirements for transfers of assets to be recognized for financial accounting purposes and for securitization vehicles to be consolidated with a securitization participant. In April 2010, the SEC proposed further additional, extensive regulation of securitization transactions.
       The cumulative effect of these extensive regulatory changes, as well as other potential future regulatory changes (e.g., GSE reform), on the nature and profitability of securitization transactions, and Citi's participation therein, cannot currently be assessed. It is likely, however, that these various measures will increase the costs of executing securitization transactions, could effectively limit Citi's overall volume of, and the role Citi may play in, securitizations, expose Citigroup to additional potential liability for securitization transactions and make it impractical for Citigroup to execute certain types of securitization transactions it previously executed. In addition, certain sectors of the overall securitization markets, such as residential mortgage-backed securitizations, have been inactive or experienced dramatically diminished transaction volumes for the last several years due to the financial crisis. The recovery of the overall securitization markets, and thus the opportunities for Citigroup to participate in securitization transactions, could also be adversely affected by these various regulatory reform measures.


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The credit rating agencies continuously review the ratings of Citigroup and its subsidiaries, and have particularly focused on the impact of the Financial Reform Act on the ratings support assumptions of U.S. bank holding companies, including Citigroup. Reductions in Citigroup's and its subsidiaries' credit ratings could have a significant and immediate impact on Citi's funding and liquidity through cash obligations, reduced funding capacity and collateral triggers.
Each of Citigroup's and Citibank, N.A.'s long-term/senior debt and short-term/commercial paper ratings are currently rated investment grade by Fitch, Moody's and Standard & Poor's (S&P). The rating agencies continuously evaluate Citigroup and its subsidiaries, and their ratings of Citigroup's and its subsidiaries' long-term and short-term debt are based on a number of factors, including financial strength, as well as factors not entirely within the control of Citigroup and its subsidiaries, such as conditions affecting the financial services industry generally.
Moreover, each of Fitch, Moody's and S&P has indicated that they are evaluating the impact of the Financial Reform Act on the rating support assumptions currently included in their methodologies as related to large U.S. bank holding companies, including Citigroup. These evaluations are generally a result of the rating agencies' belief that the Financial Reform Act, including the establishment and development of the new orderly liquidation regime, increases the uncertainty regarding the U.S. government's willingness and ability to provide extraordinary support to such companies. Consistent with this belief and to bring Citigroup in line with other large U.S. banks, during 2010, S&P and Moody's revised their outlooks on Citigroup's supported ratings from stable to negative, and Fitch placed Citigroup's supported ratings on negative rating watch. The ultimate timing of the completion of the credit rating agencies' evaluations, as well as the outcomes, is uncertain.
In light of these reviews and the continued focus on the financial services industry generally, Citigroup and its subsidiaries may not be able to maintain their current respective ratings. Ratings downgrades by Fitch, Moody's or S&P could have a significant and immediate impact on Citi's funding and liquidity through cash obligations, reduced funding capacity and collateral triggers. A reduction in Citigroup's or its subsidiaries' credit ratings could also widen Citi's credit spreads or otherwise increase its borrowing costs and limit its access to the capital markets. For additional information on the potential impact of a reduction in Citigroup's or its subsidiaries' credit ratings, see "Capital Resources and Liquidity - Funding and Liquidity - Credit Ratings" above.

The restrictions imposed on proprietary trading and funds-related activities by the Financial Reform Act and the regulations thereunder will limit Citigroup's trading for its own account and could also, depending on the scope of the final regulations, adversely impact Citigroup's market-making activities and force Citi to dispose of certain of its investments at less than fair market value.
The so-called "Volcker Rule" provisions of the Financial Reform Act restrict the proprietary trading activities of depository institutions, entities that own or control depository institutions and their affiliates. The ultimate contours of the restrictions on proprietary trading will depend on the final regulations. The rulemaking must address, among other things, the scope of permissible market-making and hedging activities. The ultimate outcome of the rulemaking process as to these and other issues is currently uncertain and, accordingly, so is the level of compliance and monitoring costs and the degree to which Citigroup's trading activities, and the results of operations from those activities, will be negatively impacted. In addition, any restrictions imposed by final regulations in this area will affect Citigroup's trading activities globally, and thus will likely impact it disproportionately in comparison to foreign financial institutions which will not be subject to the Volcker Rule provisions of the Financial Reform Act with respect to their activities outside of the United States.
In addition, the Volcker Rule restricts Citigroup's funds-related activities, including Citi's ability to sponsor or invest in private equity and/or hedge funds. Under the Financial Reform Act, bank regulators have the flexibility to provide firms with extensions allowing them to hold their otherwise restricted investments in private equity and hedge funds for some time beyond the statutory divestment period. If the regulators elect not to grant such extensions, Citi could be forced to divest certain of its investments in illiquid funds in the secondary market on an untimely basis. Based on the illiquid nature of the investments and the prospect that other industry participants subject to similar requirements would likely be divesting similar assets at the same time, such sales could be at substantial discounts to their otherwise current fair market value.

The establishment of the new Bureau of Consumer Financial Protection, as well as other provisions of the Financial Reform Act and ensuing regulations, could affect Citi's practices and operations with respect to a number of its U.S. Consumer businesses and increase its costs.
The Financial Reform Act established the Bureau of Consumer Financial Protection (CFPB), an independent agency within the Federal Reserve Board. The CFPB was given rulemaking authority over most providers of consumer financial services in the U.S. as well as enforcement authority over the consumer operations of banks with assets over $10 billion, such as Citibank, N.A. The CFPB was also given interpretive authority with respect to numerous existing consumer financial services regulations (such as Regulation Z, Truth in Lending) that were previously interpreted by the Federal Reserve Board. Because this is an entirely new agency, the impact on Citigroup, including its retail banking, mortgages and cards businesses,


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is largely uncertain. However, any new regulatory requirements, or modified interpretations of existing regulations, will affect Citi's U.S. Consumer practices and operations, potentially resulting in increased compliance costs. Moreover, the Financial Reform Act also provides authority to the SEC to determine fiduciary duty standards applicable to brokers of retail customers. Any new such standards could also affect Citigroup's business practices with retail investment customers and could have indirect additional effects on standards applicable to business with certain institutional customers.
In addition, the Financial Reform Act fundamentally altered the current balance between state and federal regulation of consumer financial law. The provisions of the Financial Reform Act relating to the doctrine of "federal preemption" may allow a broader application of state consumer financial laws to federally chartered institutions such as Citibank, N.A. and Citibank (South Dakota), N.A. In addition, the Financial Reform Act eliminated federal preemption protection for operating subsidiaries such as CitiMortgage, Inc. The Financial Reform Act also allows state authorities to bring certain types of enforcement actions against national banks under applicable law and granted states the ability to bring enforcement actions and to secure remedies against national banks for violation of CFPB regulations as well. This additional exposure to state lawsuits and enforcement actions, which could be extensive, could subject Citi to increased litigation and regulatory enforcement actions, further increasing costs.

Recent legislative and regulatory changes have imposed substantial changes and restrictions on Citi's U.S. credit card businesses, leading to adverse financial impact and uncertainty regarding the nature of the credit card business model going forward.
In May 2009, the U.S. Congress enacted the Credit Card Accountability Responsibility and Disclosure Act (CARD Act) which, among other things, restricts certain credit card practices, requires expanded disclosures to consumers and provides consumers with the right to opt out of certain interest rate increases. Complying with these changes, as well as the requirements of the amendments to Regulation Z adopted by the Federal Reserve Board to implement them, required Citigroup to invest significant management attention and resources to make the necessary disclosure, system and practices changes in its U.S. card businesses, and has negatively impacted Citi's credit card revenues.
While Citi has fully implemented all of the provisions of the CARD Act that have taken effect, the so-called "look-back" rules, requiring a re-evaluation of rate increases since January 2009, remain to be implemented during 2011, and could further adversely impact Citi's credit card revenues.
In addition to any potential ongoing financial impact, the CARD Act has raised uncertainties regarding the nature of the credit card business model going forward. These uncertainties include, among others, potential changes to revenue streams, reduction in the availability of credit to higher risk populations, and reduction in the amount of credit to eligible populations, all of which may impact the traditional credit card business model, including Citi's.

There has been increased attention relating to mortgage representation and warranty claims, foreclosure process issues and the legitimacy of mortgage securitizations and transfers, which has increased, and may continue to increase, Citi's potential liability with respect to mortgage repurchases or indemnification claims and its foreclosures in process.
Citigroup is exposed to representation and warranty claims relating to its U.S. Consumer mortgage businesses and, to a lesser extent, through private-label residential mortgage securitizations sponsored by Citi's S&B business. With regard to the U.S. Consumer mortgage businesses, as of December 31, 2010, Citi services approximately $456 billion of loans previously sold. During 2010, Citi increased its repurchase reserve from approximately $482 million to $969 million at December 31, 2010. See "Managing Global Risk - Credit Risk-Consumer Mortgage Representations and Warranties " below. Pursuant to U.S. GAAP, Citigroup is required to use certain assumptions and estimates in calculating repurchase reserves. If these assumptions or estimates prove to be incorrect, the liabilities incurred in connection with successful repurchase or indemnification claims may be substantially higher or lower than the amounts reserved.
With regard to S&B private-label mortgage securitizations, S&B has to date received only a small number of claims for breaches of representations and warranties. Particularly in light of the increased attention to these and related matters, the number of such claims and Citi's potential liability could increase. Citigroup is also exposed to potential underwriting liability relating to S&B mortgage securitizations as well as underwritings of other residential mortgage-backed securities sponsored and issued by third parties. See Note 29 to the Consolidated Financial Statements.
In addition, allegations of irregularities in foreclosure processes across the industry, including so-called "robo-signing" by mortgage loan servicers, and questions relating to the legitimacy of the securitization of mortgage loans and the Mortgage Electronic Registration System's role in tracking mortgages, holding title and participating in the mortgage foreclosure process, have gained the attention of the U.S. Congress, Department of Justice, regulatory agencies, state attorneys general and the media, among other parties. Numerous governmental entities, including a number of federal agencies and all 50 state attorneys general, have commenced proceedings or otherwise sought information from various financial institutions, including Citigroup, relating to these issues. Governmental or regulatory investigations of alleged irregularities in the industry's foreclosure processes, or any governmental or regulatory scrutiny of Citigroup's foreclosure processes, has resulted in, and may continue to result in, the diversion of management's attention and increased expense, and could result in fines, penalties, other equitable remedies, such as principal reduction programs, and significant legal, negative reputational and other costs.


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       While Citigroup has determined that the integrity of its current foreclosure process is sound and there are no systemic issues, in the event deficiencies materialize, or if there is any adverse industry-wide regulatory or judicial action taken with respect to mortgage foreclosures, the costs associated with Citigroup's mortgage operations could increase significantly and Citigroup's ability to continue to implement its current foreclosure processes could be adversely affected.
Any increase or backlog in the number of foreclosures in process, whether related to Citi foreclosure process issues or industry-wide efforts to prevent or forestall foreclosure, has broader implications for Citigroup's U.S. Consumer mortgage portfolios. Specifically, to the extent that Citigroup is unable to take possession of the underlying assets and sell the properties on a timely basis, growth in the number of foreclosures in process could:

inflate the amount of 180+ day delinquencies in Citigroup's mortgage statistics; increase Consumer non-accrual loans (90+ day delinquencies); create a dampening effect on Citi's net interest margin as non-accrual assets build on the balance sheet; negatively impact the amounts ultimately realized for property subject to foreclosure; and cause additional costs to be incurred in connection with legislative or regulatory investigations.

Further, any increase in the time to complete foreclosure sales may result in an increase in servicing advances and may negatively impact the value of Citigroup's MSRs and mortgage-backed securities, in each case due to an adverse change in the expected timing and/or amount of cash flows to be received.

The continued uncertainty relating to the sustainability and pace of economic recovery has adversely affected, and may continue to adversely affect, Citigroup's businesses and results of operations.
The financial services industry and the capital markets have been, and may continue to be, adversely affected by the economic recession and continued disruptions in the global financial markets. This continued uncertainty and disruption has adversely affected, and may continue to adversely affect, the corporate and sovereign bond markets, equity markets, debt and equity underwriting and other elements of the financial markets. Volatile financial markets and reduced (or only slightly increased) levels of client business activity may continue to negatively impact Citigroup's business, capital, liquidity, financial condition and results of operations, as well as the trading price of Citigroup's common stock, preferred stock and debt securities.
       In addition, there has recently been increased focus on the potential for sovereign debt defaults and/or significant bank failures in the Eurozone. Despite assistance packages to Greece and Ireland, and the creation in May 2010 of a joint EU-IMF European Financial Stability Facility, yields on government bonds of certain Eurozone countries, including Portugal and Spain, have continued to rise. There can be no assurance that the market disruptions in the Eurozone, including the increased cost of funding

for certain Eurozone governments, will not spread, nor can there be any assurance that future assistance packages will be available or sufficiently robust to address any further market contagion in the Eurozone or elsewhere.
Moreover, market and economic disruptions have affected, and may continue to affect, consumer confidence levels and spending, personal bankruptcy rates, levels of incurrence and default on consumer debt (including strategic defaults on home mortgages) and home prices, among other factors, particularly in Citi's North America Consumer businesses. Combined with persistently high levels of U.S. unemployment, as well as any potential future regulatory actions, these factors could result in reduced borrower interaction and participation in Citi's loss mitigation and modification programs, particularly Citi's U.S. mortgage modification programs, or increase the risk of re-default by borrowers who have completed a modification, either of which could increase Citi's net credit losses and delinquency statistics. To date, asset sales and modifications under Citi's modification programs, including the U.S. Treasury's Home Affordable Modification Program (HAMP), have been the primary drivers of improved performance within Citigroup's U.S. Consumer mortgage portfolios (see "Managing Global Risk-Credit Risk-U.S. Consumer Mortgage Lending" and "Consumer Loan Modification Programs" below). To the extent uncertainty regarding the economic recovery continues to negatively impact consumer confidence and the consumer credit factors discussed above, Citi's businesses and results of operations could be adversely affected.

The maintenance of adequate liquidity depends on numerous factors outside of Citi's control, including but not limited to market disruptions and regulatory and legislative liquidity requirements, and Citi's need to maintain adequate liquidity has negatively impacted, and may continue to negatively impact, its net interest margin (NIM).
Adequate liquidity is essential to Citigroup's businesses. As seen in recent years, Citigroup's liquidity can be, and has been, significantly and negatively impacted by factors Citigroup cannot control, such as general disruption of the financial markets, negative views about the financial services industry in general, or Citigroup's short-term or long-term financial prospects or perception that it is experiencing greater liquidity or financial risk. Moreover, Citigroup's ability to access the capital markets and its cost of obtaining long-term unsecured funding is directly related to its credit spreads in both the cash bond and derivatives markets, also outside of its control. Credit spreads are influenced by market and rating agency perceptions of Citigroup's creditworthiness and may also be influenced by movements in the costs to purchasers of credit default swaps referenced to Citigroup's long-term debt. Increases in Citigroup's credit qualifying spreads can, and did during the financial crisis, significantly increase the cost of this funding.
       Further, the prospective regulatory liquidity standards for financial institutions are currently subject to rulemaking and change, both in the U.S. and internationally, resulting in uncertainty as to their ultimate scope and effect. In particular, the Basel Committee has developed two quantitative measures intended to strengthen liquidity risk management and supervision:


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a short-term Liquidity Coverage Ratio (LCR) and a long-term, structural Net Stable Funding Ratio (NSFR). The LCR, which will become a minimum requirement on January 1, 2015, is designed to ensure banking organizations maintain an adequate level of unencumbered cash and high quality unencumbered assets that can be converted into cash to meet liquidity needs. The NSFR, which will become a minimum requirement by January 1, 2018, is designed to promote the medium- and long-term funding of assets and activities over a one-year time horizon. The LCR must be at least 100%, while the NSFR must be greater than 100%.
Citi may not be able to maintain adequate liquidity in light of the liquidity standards proposed by the Basel Committee or other regulators in the U.S. or abroad, or Citi's costs to maintain such liquidity levels may increase. For example, Citi could be required to increase its long-term funding to meet the NSFR, the cost of which could also be negatively effected by the regulatory requirements aimed at facilitating the orderly resolution of financial institutions. Moreover, Citigroup's ability to maintain and manage adequate liquidity is dependent upon the continued economic recovery as well as the scope and effect of any other legislative or regulatory developments or requirements relating to or impacting liquidity.
During 2010, consistent with its strategy, Citigroup continued to divest relatively higher yielding assets from Citi Holdings. The desire to maintain adequate liquidity continued to cause Citigroup to invest its available funds in lower-yielding assets, such as those issued by the U.S. government. As a result, during 2010, the yields across both the interest-earning assets and the interest-bearing liabilities continued to remain under pressure. The lower asset yields more than offset the lower cost of funds, resulting in continued low NIM. There can be no assurance that Citigroup's NIM will not continue to be negatively impacted by these factors.

Citigroup's ability to utilize its DTAs to offset future taxable income may be significantly limited if it experiences an "ownership change" under the Internal Revenue Code.
As of December 31, 2010, Citigroup had recognized net DTAs of approximately $52.1 billion, which are included in its tangible common equity. Citigroup's ability to utilize its DTAs to offset future taxable income may be significantly limited if Citigroup experiences an "ownership change" as defined in Section 382 of the Internal Revenue Code of 1986, as amended (Code). In general, an ownership change will occur if there is a cumulative change in Citigroup's ownership by "5-percent shareholders" (as defined in the Code) that exceeds 50 percentage points over a rolling three-year period.
A corporation that experiences an ownership change will generally be subject to an annual limitation on its pre-ownership change DTAs equal to the value of the corporation immediately before the ownership change, multiplied by the long-term tax-exempt rate (subject to certain adjustments), provided that the annual limitation would be increased each year to the extent that there is an unused limitation in a prior year. The limitation arising from an ownership change under Section 382 on Citigroup's ability to utilize its DTAs will depend on the value of Citigroup's stock at the time of the ownership change. Under IRS Notice 2010-2, Citi did not experience an ownership change within the meaning of Section 382 as a result of the sales of its common stock held by the U.S. Treasury.

The value of Citi's DTAs could be reduced if corporate tax rates in the U.S., or certain foreign jurisdictions, are decreased.
There have been recent discussions in Congress and by the Obama Administration regarding potentially decreasing the U.S. corporate tax rate. In addition, the Japanese government has proposed reductions in the national and local corporate tax rates by 4.5% and 0.9%, respectively, which could be enacted as early as the first or second quarter of 2011. While Citigroup may benefit in some respects from any decreases in these corporate tax rates, any reduction in the U.S. corporate tax rate would result in a decrease to the value of Citi's DTAs, which could be significant. Moreover, if the legislation in Japan is enacted as proposed, it would require Citi to take an approximate $200 million charge in the quarter in which the legislation is so enacted.

The expiration of a provision of the U.S. tax law that allows Citigroup to defer U.S. taxes on certain active financing income could significantly increase Citi's tax expense.
Citigroup's tax provision has historically been reduced because active financing income earned and indefinitely reinvested outside the U.S. is taxed at the lower local tax rate rather than at the higher U.S. tax rate. Such reduction has been dependent upon a provision of the U.S. tax law that defers the imposition of U.S. taxes on certain active financing income until that income is repatriated to the U.S. as a dividend. This "active financing exception" is scheduled to expire on December 31, 2011, and while it has been scheduled to expire on numerous prior occasions and has been extended each time, there can be no assurance that the exception will continue to be extended. In the event this exception is not extended beyond 2011, the U.S. tax imposed on Citi's active financing income earned outside the U.S. would increase after 2011, which could further result in Citi's tax expense increasing significantly.

Citigroup may not be able to continue to wind down Citi Holdings at the same pace as it has in the past two years.
While Citigroup intends to dispose of or wind down the Citi Holdings businesses as quickly as practicable yet in an economically rational manner, and while Citi made substantial progress towards this goal during 2009 and 2010, Citi may not be able to dispose of or wind down the businesses or assets that are part of Citi Holdings at the same level or pace as in the past two years. BAM primarily consists of the MSSB JV, pursuant to which Morgan Stanley has call rights on Citi's ownership interest in the venture over a three-year period beginning in 2012. Of the remaining assets in SAP , as of December 31, 2010, approximately one-third are held-to-maturity. In LCL , approximately half of the remaining assets consist of U.S. mortgages as of December 31, 2010, which will run off over time, and larger businesses such as CitiFinancial. As a result, Citi's ability to simplify its organization may not occur as rapidly as it has in the past. In addition, the ability of Citigroup to continue to reduce its risk-weighted assets or limit its expenses through, among other things, the winding down of Citi Holdings may be adversely affected depending on the ultimate pace or level of Citi Holdings business divestitures, portfolio run-offs and asset sales.


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Citigroup remains subject to restrictions on its ability to pay common stock dividends and to redeem or repurchase Citigroup equity or trust preferred securities for so long as its trust preferred securities continue to be held by the U.S government.
Pursuant to its agreements with certain U.S. government entities, dated June 9, 2009, executed in connection with Citi's exchange offers consummated in July and September 2009, Citigroup remains subject to dividend and share repurchase restrictions for so long as the U.S. government continues to hold any Citigroup trust preferred securities acquired in connection with the exchange offers. These restrictions, subject to certain exceptions, generally prohibit Citigroup from paying regular cash dividends in excess of $0.01 per share of common stock per quarter or from redeeming or repurchasing any Citigroup equity securities or trust preferred securities. As of December 31, 2010, approximately $3.025 billion of trust preferred securities issued to the FDIC remains outstanding (of which approximately $800 million is being held for the benefit of the U.S. Treasury). In addition, even if Citigroup were no longer contractually bound by the dividend and share purchase restrictions of these agreements, any decision by Citigroup to pay common stock dividends or initiate a share repurchase will be subject to further regulatory approval.

Citi could be harmed competitively if it is unable to hire or retain qualified employees as a result of regulatory uncertainty regarding compensation practices or otherwise.
Citigroup's performance and competitive standing is heavily dependent on the talents and efforts of the highly skilled individuals that it is able to attract and retain, including without limitation in its S&B business. Competition for such individuals within the financial services industry has been, and will likely continue to be, intense.
Compensation is a key element of attracting and retaining highly qualified employees. Banking regulators in the U.S., European Union and elsewhere are in the process of developing principles, regulations and other guidance governing what are deemed to be sound compensation practices and policies, and the outcome of these processes is uncertain. In addition, compensation for certain employees of financial institutions, such as bankers, continues to be a legislative focus both in Europe and in the U.S.
Changes required to be made to the compensation policies and practices of Citigroup, or those of the banking industry generally, may hinder Citi's ability to compete in or manage its businesses effectively, to expand into or maintain its presence in certain businesses and regions, or to remain competitive in offering new financial products and services. This is particularly the case in emerging markets, where Citigroup is often competing for qualified employees with other financial institutions that seek to expand in these markets. Moreover, new disclosure requirements may result from the worldwide regulatory processes described above. If this were to occur, Citi could be required to make additional disclosures relating to the compensation of its employees in a manner that creates competitive harm through the disclosure of previously confidential information, or through the direct or indirect new disclosures of the identity of certain employees and their compensation. Any such additional public disclosure of employee

compensation, or any future legislation or regulation that requires Citigroup to restrict or modify its compensation policies, could hurt Citi's ability to hire, retain and motivate its key employees and thus harm it competitively.

Citigroup is subject to a significant number of legal and regulatory proceedings that are often highly complex, slow to develop and are thus difficult to predict or estimate.
At any given time, Citigroup is defending a significant number of legal and regulatory proceedings, and the volume of claims and the amount of damages and penalties claimed in litigation, arbitration and regulatory proceedings against financial institutions generally remain high. Proceedings brought against Citi may result in judgments, settlements, fines, penalties, injunctions, business improvement orders, or other results adverse to it, which could materially and negatively affect Citigroup's businesses, financial condition or results of operations, require material changes in Citi's operations, or cause Citigroup reputational harm. Moreover, the many large claims asserted against Citi are highly complex and slow to develop, and they may involve novel or untested legal theories. The outcome of such proceedings may thus be difficult to predict or estimate until late in the proceedings, which may last several years. Although Citigroup establishes accruals for its litigation and regulatory matters according to accounting requirements, the amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued.
In addition, while Citi seeks to prevent and detect employee misconduct, such as fraud, employee misconduct is not always possible to deter or prevent, and the extensive precautions Citigroup takes to prevent and detect this activity may not be effective in all cases, which could subject Citi to additional liability. Moreover, the so-called "whistle-blower" provisions of the Financial Reform Act, which apply to all corporations and other entities and persons, provide substantial financial incentives for persons to report alleged violations of law to the SEC and the Commodity Futures Trading Commission. These provisions could increase the number of claims that Citigroup will have to investigate or against which Citigroup will have to defend itself, and may otherwise further increase Citigroup's legal liabilities.
For additional information relating to Citigroup's potential exposure relating to legal and regulatory matters, see Note 29 to the Consolidated Financial Statements.

The Financial Accounting Standards Board (FASB) is currently reviewing or proposing changes to several key financial accounting and reporting standards utilized by Citi which, if adopted as proposed, could have a material impact on how Citigroup records and reports its financial condition and results of operations.
The FASB is currently reviewing or proposing changes to several of the financial accounting and reporting standards that govern key aspects of Citigroup's financial statements. While the outcome of these reviews and proposed changes is uncertain and difficult to predict, certain of these changes could have a material impact on how Citigroup records and reports its financial condition and results of operations, and could hinder


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understanding or cause confusion across comparative financial statement periods. For example, the FASB's financial instruments and balance sheet offsetting projects could, among other things, significantly change how Citigroup classifies, measures and reports financial instruments, determines the impairment on those assets, accounts for hedges, and determines when assets and liabilities may be offset. In addition, the FASB's leasing project could eliminate most operating leases and instead capitalize them, which would result in a gross-up of Citi's balance sheet and a change in the timing of income and expense recognition patterns for leases.
       Moreover, the FASB continues its convergence project with the International Accounting Standards Board (IASB) pursuant to which U.S. GAAP and International Financial Reporting Standards (IFRS) are to be converged. The FASB and IASB continue to have significant disagreements on the convergence of certain key standards affecting Citi's financial reporting, including accounting for financial instruments and hedging. In addition, the SEC has not yet determined whether, or when, U.S. companies will be required to adopt IFRS. There can be no assurance that the transition to IFRS, if and when required to be adopted by Citi, will not have a material impact on how Citi reports its financial results, or that Citi will be able to meet any transition timeline so adopted.

Citigroup's financial statements are based in part on assumptions and estimates, which, if wrong, could cause unexpected losses in the future, sometimes significant.
Pursuant to U.S. GAAP, Citigroup is required to use certain assumptions and estimates in preparing its financial statements, including in determining credit loss reserves, reserves related to litigation and regulatory exposures, mortgage representation and warranty claims and the fair value of certain assets and liabilities, among other items. If the assumptions or estimates underlying Citigroup's financial statements are incorrect, Citigroup may experience significant losses. For additional information on the key areas for which assumptions and estimates are used in preparing Citi's financial statements, see "Significant Accounting Policies and Significant Estimates" below, and for further information relating to litigation and regulatory exposures, see Note 29 to the Consolidated Financial Statements.

Citigroup may incur significant losses as a result of ineffective risk management processes and strategies, and concentration of risk increases the potential for such losses.
Citigroup seeks to monitor and control its risk exposure across businesses, regions and critical products through a risk and control framework encompassing a variety of separate but complementary financial, credit, operational, compliance and legal reporting systems, internal controls, management review processes and other mechanisms. While Citigroup employs a broad and diversified set of risk monitoring and risk mitigation techniques, those techniques and the judgments that accompany their application may not be effective and may not anticipate every economic and financial outcome in all market environments or the specifics and timing of such outcomes. Market conditions over the last several years have involved unprecedented dislocations and highlight the limitations inherent in using historical data to manage risk.

       Concentration of risk increases the potential for significant losses. Because of concentration of risk, Citigroup may suffer losses even when economic and market conditions are generally favorable for Citigroup's competitors. These concentrations can limit, and have limited, the effectiveness of Citigroup's hedging strategies and have caused Citigroup to incur significant losses, and they may do so again in the future. In addition, Citigroup extends large commitments as part of its credit origination activities. Citigroup's inability to reduce its credit risk by selling, syndicating or securitizing these positions, including during periods of market dislocation, could negatively affect its results of operations due to a decrease in the fair value of the positions, as well as the loss of revenues associated with selling such securities or loans.
       Although Citigroup's activities expose it to the credit risk of many different entities and counterparties, Citigroup routinely executes a high volume of transactions with counterparties in the financial services sector, including banks, other financial institutions, insurance companies, investment banks and government and central banks. This has resulted in significant credit concentration with respect to this sector. To the extent regulatory or market developments lead to an increased centralization of trading activity through particular clearing houses, central agents or exchanges, this could increase Citigroup's concentration of risk in this sector.

A failure in Citigroup's operational systems or infrastructure, or those of third parties, could impair its liquidity, disrupt its businesses, result in the disclosure of confidential information, damage Citigroup's reputation and cause losses.
Citigroup's businesses are highly dependent on their ability to process and monitor, on a daily basis, a very large number of transactions, many of which are highly complex, across numerous and diverse markets in many currencies. These transactions, as well as the information technology services Citigroup provides to clients, often must adhere to client-specific guidelines, as well as legal and regulatory standards. Due to the breadth of Citigroup's client base and its geographical reach, developing and maintaining Citigroup's operational systems and infrastructure is challenging, particularly as a result of rapidly evolving legal and regulatory requirements and technological shifts. Citigroup's financial, account, data processing or other operating systems and facilities may fail to operate properly or become disabled as a result of events that are wholly or partially beyond its control, such as a spike in transaction volume, cyberattack or other unforeseen catastrophic events, which may adversely affect Citigroup's ability to process these transactions or provide services.
       In addition, Citigroup's operations rely on the secure processing, storage and transmission of confidential and other information on its computer systems and networks. Although Citigroup takes protective measures to maintain the confidentiality, integrity and availability of Citi's and its clients' information across all geographic and product lines, and endeavors to modify these protective measures as circumstances warrant, the nature of the threats continues to evolve. As a result, Citigroup's computer systems, software and networks may be vulnerable to unauthorized access, loss or destruction of data (including confidential client information), account


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takeovers, unavailability of service, computer viruses or other malicious code, cyberattacks and other events that could have an adverse security impact. Despite the defensive measures Citigroup has taken, these threats may come from external actors such as governments, organized crime and hackers, third parties such as outsource or infrastructure-support providers and application developers, or may originate internally from within Citigroup. Given the high volume of transactions at Citigroup, certain errors may be repeated or compounded before they are discovered and rectified.
Citigroup also faces the risk of operational disruption, failure, termination or capacity constraints of any of the third parties that facilitate Citigroup's business activities, including exchanges, clearing agents, clearing houses or other financial intermediaries. Such parties could also be the source of an attack on or breach of Citigroup's operational systems, data or infrastructure. In addition, as Citigroup's interconnectivity with its clients grows, it increasingly faces the risk of operational failure with respect to its clients' systems.
If one or more of these events occurs, it could potentially jeopardize the confidential, proprietary and other information processed and stored in, and transmitted through, Citigroup's computer systems and networks, or otherwise cause interruptions or malfunctions in Citi's, as well as its clients' or other third parties', operations, which could result in reputational damage, financial losses, regulatory penalties and/or client dissatisfaction or loss.

Failure to maintain the value of the Citigroup brand could harm Citi's global competitive advantage and its strategy.
Citi's ability to continue to leverage its extensive global footprint, and thus maintain one of its key competitive advantages, depends on the continued strength and recognition of the Citigroup brand on a global basis, including the emerging markets as other financial institutions grow their operations in these markets and competition intensifies. The Citi name is integral to its businesses as well as to the implementation of its strategy to be a global bank for its clients and customers. Maintaining, promoting and positioning the Citigroup brand will depend largely on the success of its ability to provide consistent, high-quality financial services and products to these clients and customers around the world. Citigroup's brand could be harmed if its public image or reputation were to be tarnished by negative publicity, whether or not true, about Citigroup or the financial services industry in general, or by a negative perception of Citigroup's short-term or long-term financial prospects. Failure to maintain its brand could hurt Citi's competitive advantage and its strategy.


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MANAGING GLOBAL RISK

RISK MANAGEMENT-OVERVIEW

Citigroup believes that effective risk management is of primary importance to its overall operations. Accordingly, Citigroup has a comprehensive risk management process to monitor, evaluate and manage the principal risks it assumes in conducting its activities. These include credit, market and operational risks, which are each discussed in more detail throughout this section.
Citigroup's risk management framework is designed to balance corporate oversight with well-defined independent risk management functions. Enhancements continued to be made to the risk management framework throughout 2010 based on guiding principles established by Citi's Chief Risk Officer:

a common risk capital model to evaluate risks; a defined risk appetite, aligned with business strategy; accountability through a common framework to manage risks; risk decisions based on transparent, accurate and rigorous analytics; expertise, stature, authority and independence of risk managers; and empowering risk managers to make decisions and escalate issues.

Significant focus has been placed on fostering a risk culture based on a policy of "Taking Intelligent Risk with Shared Responsibility, Without Forsaking Individual Accountability":

"Taking intelligent risk" means that Citi must carefully measure and aggregate risks, must appreciate potential downside risks, and must understand risk/return relationships. "Shared responsibility" means that risk and business management must actively partner to own risk controls and influence business outcomes. "Individual accountability" means that all individuals are ultimately responsible for identifying, understanding and managing risks.

The Chief Risk Officer, working closely with the Citi CEO and established management committees, and with oversight from the Risk Management and Finance Committee of the Board of Directors as well as the full Board of Directors, is responsible for:

establishing core standards for the management, measurement and reporting of risk; identifying, assessing, communicating and monitoring risks on a company-wide basis; engaging with senior management on a frequent basis on material matters with respect to risk-taking activities in the businesses and related risk management processes; and ensuring that the risk function has adequate independence, authority, expertise, staffing, technology and resources.

The risk management organization is structured so as to facilitate the management of risk across three dimensions: businesses, regions and critical products. Each of Citi's major business groups has a Business Chief Risk Officer who is the focal point for risk decisions, such as setting risk limits or approving transactions in the business. There are Business Chief Risk Officers for Global Commercial, Global Consumer, Institutional Clients Group and the Private Bank. The majority of the staff in Citi's independent risk management organization report to these Business Chief Risk Officers. There are also Chief Risk Officers for Citibank, N.A. and Citi Holdings.
Regional Chief Risk Officers, appointed in each of Asia , EMEA and Latin America, are accountable for all the risks in their geographic areas and are the primary risk contacts for the regional business heads and local regulators. In addition, the positions of Product Chief Risk Officers are created for those risk areas of critical importance to Citigroup, currently real estate and structural market risk as well as fundamental credit. The Product Chief Risk Officers are accountable for the risks within their specialty and focus on problem areas across businesses and regions. The Product Chief Risk Officers serve as a resource to the Chief Risk Officer, as well as to the Business and Regional Chief Risk Officers, to better enable the Business and Regional Chief Risk Officers to focus on the day-to-day management of risks and responsiveness to business flow.
In addition to revising the risk management organization to facilitate the management of risk across these three dimensions, independent risk also includes the business management team to ensure that the risk organization has the appropriate infrastructure, processes and management reporting. This team includes:

the risk capital group, which continues to enhance the risk capital model and ensure that it is consistent across all business activities; the risk architecture group, which ensures the company has integrated systems and common metrics, and thereby allows Citi to aggregate and stress-test exposures across the institution; the infrastructure risk group, which focuses on improving Citi's operational processes across businesses and regions; and the office of the Chief Administrative Officer, which focuses on re- engineering and risk communications, including maintaining critical regulatory relationships.

Each of the Business, Regional and Product Chief Risk Officers, as well as the heads of the groups in the business management team report to Citi's Chief Risk Officer, who reports directly to the Chief Executive Officer.


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Risk Aggregation and Stress Testing
While Citi's major risk areas are described individually on the following pages, these risks also need to be reviewed and managed in conjunction with one another and across the various businesses. 
The Chief Risk Officer, as noted above, monitors and controls major risk exposures and concentrations across the organization. This means aggregating risks, within and across businesses, as well as subjecting those risks to alternative stress scenarios in order to assess the potential economic impact they may have on Citigroup. 
Comprehensive stress tests are in place across Citi for mark-to-market, available-for-sale and accrual portfolios. These firm-wide stress reports measure the potential impact to Citi and its component businesses of very large changes in various types of key risk factors (e.g., interest rates, credit spreads, etc.), as well as the potential impact of a number of historical and hypothetical forward-looking systemic stress scenarios. 
Supplementing the stress testing described above, Citi risk management, working with input from the businesses and finance, provides periodic updates to senior management on significant potential areas of concern across Citigroup that can arise from risk concentrations, financial market participants, and other systemic issues. These areas of focus are intended to be forward-looking assessments of the potential economic impacts to Citi that may arise from these exposures. Risk management also reports to the Risk Management and Finance Committee of the Board of Directors, as well as the full Board of Directors, on these matters.
The stress testing and focus position exercises are a supplement to the standard limit-setting and risk-capital exercises described below, as these processes incorporate events in the marketplace and within Citi that impact the firm's outlook on the form, magnitude, correlation and timing of identified risks that may arise. In addition to enhancing awareness and understanding of potential exposures, the results of these processes then serve as the starting point for developing risk management and mitigation strategies.

Risk Capital
Risk capital is defined as the amount of capital required to absorb potential unexpected economic losses resulting from extremely severe events over a one-year time period.

"Economic losses" include losses that are reflected on Citi's Consolidated Income Statement and fair value adjustments to the Consolidated Financial Statements, as well as any further declines in value not captured on the Consolidated Income Statement. "Unexpected losses" are the difference between potential extremely severe losses and Citigroup's expected (average) loss over a one-year time period. "Extremely severe" is defined as potential loss at a 99.9% and a 99.97% confidence level, based on the distribution of observed events and scenario analysis.

The drivers of economic losses are risks which, for Citi, as referenced above, are broadly categorized as credit risk, market risk and operational risk.

Credit risk losses primarily result from a borrower's or counterparty's inability to meet its financial or contractual obligations. Market risk losses arise from fluctuations in the market value of trading and non-trading positions, including the changes in value resulting from fluctuations in rates. Operational risk losses result from inadequate or failed internal processes, systems or human factors or from external events.

These risks, discussed in more detail below, are measured and aggregated within businesses and across Citigroup to facilitate the understanding of Citi's exposure to extreme downside events as described under "Risk Aggregation and Stress Testing" above. The risk capital framework is reviewed and enhanced on a regular basis in light of market developments and evolving practices.



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CREDIT RISK
Credit risk is the potential for financial loss resulting from the failure of a borrower or counterparty to honor its financial or contractual obligations. Credit risk arises in many of Citigroup's business activities, including:

lending; sales and trading; derivatives; securities transactions; settlement; and when Citigroup acts as an intermediary.

Loan and Credit Overview
During 2010, Citigroup's aggregate loan portfolio increased by $57.3 billion to $648.8 billion primarily due to the adoption of SFAS 166/167 on January 1, 2010. Excluding the impact of SFAS 166/167, the aggregate loan portfolio decreased by $102.1 billon. Citi's total allowance for loan losses totaled $40.7 billion at December 31, 2010, a coverage ratio of 6.31% of total loans, up from 6.09% at December 31, 2009. 
During 2010, Citi had a net release of $5.8 billion from its credit reserves and allowance for unfunded lending commitments, compared to a net build of $8.3 billion in 2009. The release consisted of a net release of $2.5 billion for Corporate loans (primarily in SAP ) and a net release of $3.3 billion for Consumer loans (mainly a $1.5 billion release in RCB and a $1.8 billion release in LCL ) . Despite the reserve release for Consumer loans, the coincident months of net credit loss coverage for the Consumer portfolio increased from 13.7 months in 2009 to 15.0 months in 2010.
Net credit losses of $30.9 billion during 2010 decreased $11.4 billion from year-ago levels (on a managed basis). The decrease consisted of a net decrease of $7.9 billion for Consumer loans (mainly a $1.1 billion decrease in RCB and a $6.7 billion decrease in LCL ) and a decrease of $3.5 billion for corporate loans (almost all of which is related to SAP ).

Consumer non-accrual loans (which generally exclude credit cards with the exception of certain international portfolios) totaled $10.8 billion at December 31, 2010, compared to $18.3 billion at December 31, 2009. For total Consumer loans, the 90 days or more past due delinquency rate was 2.99% at December 31, 2010, compared to 4.29% at December 31, 2009 (on a managed basis). The 30 to 89 days past due Consumer loan delinquency rate was 2.92% at December 31, 2010, compared to 3.50% at December 31, 2009 (on a managed basis). During 2010, early- and later-stage delinquencies improved on a dollar basis across most of the Consumer loan portfolios, driven by improvement in North America mortgages, both in first and second mortgages, Citi-branded cards in Citicorp and retail partner cards in Citi Holdings. The improvement in first mortgages was driven by asset sales and loans moving to permanent modifications.
Corporate non-accrual loans were $8.6 billion at December 31, 2010, compared to $13.5 billion at December 31, 2009. The decrease in non-accrual loans from the prior year was mainly due to loan sales, write-offs and paydowns, which were partially offset by increases due to the weakening of certain borrowers.
For Citi's loan accounting policies, see Note 1 to the Consolidated Financial Statements. See Notes 16 and 17 for additional information on Citigroup's Consumer and Corporate loan, credit and allowance data.



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Loans Outstanding

In millions of dollars at year end 2010 2009 2008 2007 2006
Consumer loans
In U.S. offices
       Mortgage and real estate (1) $ 151,469 $ 183,842 $ 219,482 $ 240,644 $ 208,592
       Installment, revolving credit, and other 28,291 58,099 64,319 69,379 62,758
       Cards (2)(3) 122,384 28,951 44,418 46,559 48,849
       Commercial and industrial 5,021 5,640 7,041 7,716 7,595
       Lease financing 2 11 31 3,151 4,743
$ 307,167 $ 276,543 $ 335,291 $ 367,449 $ 332,537
In offices outside the U.S.
       Mortgage and real estate (1) $ 52,175 $ 47,297 $ 44,382 $ 49,326 $ 41,859
       Installment, revolving credit, and other 38,024 42,805 41,272 70,205 61,509
       Cards 40,948 41,493 42,586 46,176 30,745
       Commercial and industrial 18,584 14,780 16,814 18,422 15,750
       Lease financing 665 331 304 1,124 960
$ 150,396 $ 146,706 $ 145,358 $ 185,253 $ 150,823
Total Consumer loans $ 457,563 $ 423,249 $ 480,649 $ 552,702 $ 483,360
Unearned income 69 808 738 787 460
Consumer loans, net of unearned income $ 457,632 $ 424,057 $ 481,387 $ 553,489 $ 483,820
Corporate loans
In U.S. offices
       Commercial and industrial $ 14,334 $ 15,614 $ 26,447 $ 20,696 $ 18,066
       Loans to financial institutions (2) 29,813 6,947 10,200 8,778 4,126
       Mortgage and real estate (1) 19,693 22,560 28,043 18,403 17,476
       Installment, revolving credit, and other 12,640 17,737 22,050 26,539 17,051
       Lease financing 1,413 1,297 1,476 1,630 2,101
$ 77,893 $ 64,155 $ 88,216 $ 76,046 $ 58,820
In offices outside the U.S.
       Commercial and industrial $ 69,718 $ 66,747 $ 79,421 $ 94,188 $ 88,449
       Installment, revolving credit, and other 11,829 9,683 17,441 21,037 14,146
       Mortgage and real estate (1) 5,899 9,779 11,375 9,981 7,932
       Loans to financial institutions 22,620 15,113 18,413 20,467 21,827
       Lease financing 531 1,295 1,850 2,292 2,024
       Governments and official institutions 3,644 2,949 773 1,029 2,523
$ 114,241 $ 105,566 $ 129,273 $ 148,994 $ 136,901
Total Corporate loans $ 192,134 $ 169,721 $ 217,489 $ 225,040 $ 195,721
Unearned income (972 ) (2,274 ) (4,660 ) (536 ) (349 )
Corporate loans, net of unearned income $ 191,162 $ 167,447 $ 212,829 $ 224,504 $ 195,372
Total loans-net of unearned income $ 648,794 $ 591,504 $ 694,216 $ 777,993 $ 679,192
Allowance for loan losses-on drawn exposures (40,655 ) (36,033 ) (29,616 ) (16,117 ) (8,940 )
Total loans-net of unearned income and allowance for credit losses $ 608,139 $ 555,471 $ 664,600 $ 761,876 $ 670,252
Allowance for loan losses as a percentage of total loans-net of
unearned income (3) 6.31 % 6.09 % 4.27 % 2.07 % 1.32 %
Allowance for Consumer loan losses as a percentage of total Consumer
loans-net of unearned income (3) 7.77 % 6.70 % 4.61 % 2.26 %
Allowance for Corporate loan losses as a percentage of total Corporate
loans-net of unearned income (3) 2.76 % 4.56 % 3.48 % 1.61 %
(1) Loans secured primarily by real estate.
(2) 2010 includes the impact of consolidating entities in connection with Citi's adoption of SFAS 167 (see discussion on page 4 and Note 1 to the Consolidated Financial Statements).
(3) Excludes loans in 2010 that are carried at fair value.

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Details of Credit Loss Experience

In millions of dollars at year end 2010 2009 2008 2007 2006
Allowance for loan losses at beginning of year $ 36,033 $ 29,616 $ 16,117 $ 8,940 $ 9,782
Provision for loan losses
       Consumer $ 25,119 $ 32,418 $ 27,942 $ 15,660 $ 6,129
       Corporate 75 6,342 5,732 1,172 191
$ 25,194 $ 38,760 $ 33,674 $ 16,832 $ 6,320
Gross credit losses
Consumer
       In U.S. offices $ 24,183 $ 17,637 $ 11,624 $ 5,765 $ 4,413
       In offices outside the U.S. 6,892 8,834 7,172 5,165 3,932
Corporate
Mortgage and real estate
       In U.S. offices 953 592 56 1 -
       In offices outside the U.S. 286 151 37 3 1
Governments and official institutions outside the U.S. - - 3 - -
Loans to financial institutions
       In U.S. offices 275 274 - - -
       In offices outside the U.S. 111 448 463 69 6
Commercial and industrial
       In U.S. offices 1,222 3,299 627 635 85
       In offices outside the U.S. 569 1,549 778 226 203
$ 34,491 $ 32,784 $ 20,760 $ 11,864 $ 8,640
Credit recoveries
Consumer
       In U.S. offices $ 1,323 $ 576 $ 585 $ 695 $ 646
       In offices outside the U.S. 1,315 1,089 1,050 966 897
Corporate
Mortgage and real estate
       In U.S. offices 130 3 - 3 5
       In offices outside the U.S. 26 1 1 - 18
Governments and official institutions outside the U.S. - - - 4 7
Loans to financial institutions
       In U.S. offices - - - - -
       In offices outside the U.S. 132 11 2 1 4
Commercial and industrial
       In U.S. offices 591 276 6 49 20
       In offices outside the U.S. 115 87 105 220 182
$ 3,632 $ 2,043 $ 1,749 $ 1,938 $ 1,779
Net credit losses
       In U.S. offices $ 24,589 $ 20,947 $ 11,716 $ 5,654 $ 3,827
       In offices outside the U.S. 6,270 9,794 7,295 4,272 3,034
Total $ 30,859 $ 30,741 $ 19,011 $ 9,926 $ 6,861
Other-net (1) $ 10,287 $ (1,602 ) $ (1,164 ) $ 271 $ (301 )
Allowance for loan losses at end of year (2) $ 40,655 $ 36,033 $ 29,616 $ 16,117 $ 8,940
Allowance for unfunded lending commitments (3) $ 1,066 $ 1,157 $ 887 $ 1,250 $ 1,100
Total allowance for loans, leases and unfunded lending commitments $ 41,721 $ 37,190 $ 30,503 $ 17,367 $ 10,040
Net Consumer credit losses $ 28,437 $ 24,806 $ 17,161 $ 9,269 $ 6,802
As a percentage of average Consumer loans 5.74 % 5.44 % 3.34 % 1.87 % 1.52 %
Net Corporate credit losses (recoveries) $ 2,422 $ 5,935 $ 1,850 $ 657 $ 59
As a percentage of average Corporate loans 1.28 % 3.12 % 0.84 % 0.30 % 0.05 %
Allowance for loan losses at end of period (4)
Citicorp $ 17,075 $ 10,731 $ 8,202 $ 5,262
Citi Holdings 23,580 25,302 21,414 10,855
       Total Citigroup $ 40,655 $ 36,033 $ 29,616 $ 16,117
Allowance by type
Consumer (5) $ 35,445 $ 28,397 $ 22,204 $ 12,493
Corporate 5,210 7,636 7,412 3,624
       Total Citigroup $ 40,655 $ 36,033 $ 29,616 $ 16,117

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(1) 2010 primarily includes an addition of $13.4 billion related to the impact of consolidating entities in connection with Citi's adoption of SFAS 166/167 (see discussion on page 4 and in Note 1 to the Consolidated Financial Statements) and reductions of approximately $2.7 billion related to the sale or transfer to held-for-sale of various U.S. loan portfolios and approximately $290 million related to the transfer of a U.K. first mortgage portfolio to held-for-sale. 2009 primarily includes reductions to the loan loss reserve of approximately $543 million related to securitizations, approximately $402 million related to the sale or transfers to held-for-sale of U.S. real estate lending loans, and $562 million related to the transfer of the U.K. cards portfolio to held-for-sale. 2008 primarily includes reductions to the loan loss reserve of approximately $800 million related to FX translation, $102 million related to securitizations, $244 million for the sale of the German retail banking operation, $156 million for the sale of CitiCapital, partially offset by additions of $106 million related to the Cuscatlán and Bank of Overseas Chinese acquisitions. 2007 primarily includes reductions to the loan loss reserve of $475 million related to securitizations and transfers to loans held-for-sale, and reductions of $83 million related to the transfer of the U.K. CitiFinancial portfolio to held-for-sale, offset by additions of $610 million related to the acquisitions of Egg, Nikko Cordial, Grupo Cuscatlán and Grupo Financiero Uno. 2006 primarily includes reductions to the loan loss reserve of $429 million related to securitizations and portfolio sales and the addition of $84 million related to the acquisition of the CrediCard portfolio in Brazil.
(2) Included in the allowance for loan losses are reserves for loans that have been modified subject to troubled debt restructurings (TDRs) of $7,609 million, $4,819 million, and $2,180 million, as of December 31, 2010, December 31, 2009, and December 31, 2008, respectively.
(3) Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.
(4) Allowance for loan losses represents management's best estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and TDRs. See "Significant Accounting Policies and Significant Estimates." Attribution of the allowance is made for analytical purposes only, and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.
(5) Included in the December 31, 2010 Consumer loan loss reserve is $18.4 billion related to Citi's global credit card portfolio. See discussion in Note 1 to the Consolidated Financial Statements.

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Impaired Loans, Non-Accrual Loans and Assets and
Renegotiated Loans
The following pages include information on Citi's impaired loans, non-accrual loans and assets and renegotiated loans. There is a certain amount of overlap between these categories. The following general summary provides a basic description of each category:

Impaired loans:

Corporate loans are determined to be impaired when they are placed on non-accrual status; that is, when it is determined that the payment of interest or principal is doubtful. Consumer impaired loans include: (i) Consumer loans modified in troubled debt restructurings (TDRs) where a long-term concession has been granted to a borrower in financial difficulty; and (ii) non-accrual Consumer (commercial market) loans.

Non-accrual loans and assets:

Corporate and Consumer (commercial market) non-accrual status is based on the determination that payment of interest or principal is doubtful. These loans are also included in impaired loans. Consumer non-accrual status is based on aging, i.e., the borrower has fallen behind in payments. North America branded and retail partner cards are not included in non- accrual loans and assets as, under industry standards, they accrue interest until charge-off.

Renegotiated loans:

Includes both Corporate and Consumer loans whose terms have been modified in a TDR. Includes both accrual and non-accrual TDRs.

Impaired Loans
Impaired loans are those where Citigroup believes it is probable that it will not collect all amounts due according to the original contractual terms of the loan. Impaired loans include Corporate and Consumer (commercial market) non-accrual loans as well as smaller-balance homogeneous loans whose terms have been modified due to the borrower's financial difficulties and Citigroup having granted a concession to the borrower. Such modifications may include interest rate reductions and/or principal forgiveness.
Valuation allowances for impaired loans are determined in accordance with ASC 310-10-35 and estimated considering all available evidence including, as appropriate, the present value of the expected future cash flows discounted at the loan's original effective rate, the secondary market value of the loan and the fair value of collateral less disposal costs.

Consumer impaired loans exclude smaller-balance homogeneous loans that have not been modified and are carried on a non-accrual basis, as well as substantially all loans modified for periods of 12 months or less. As of December 31, 2010, loans included in these short-term programs amounted to approximately $5.7 billion. The allowance for loan losses for these loans is materially consistent with the requirements of ASC 310-10-35.
The following table presents information about impaired loans:

Dec. 31, Dec. 31,
In millions of dollars 2010 2009
Non-accrual Corporate loans
       Commercial and industrial $ 5,125 $ 6,347
       Loans to financial institutions 1,258 1,794
       Mortgage and real estate 1,782 4,051
       Lease financing 45 -
       Other 400 1,287
       Total non-accrual corporate loans $ 8,610 $ 13,479
Impaired Consumer loans (1)(2)
       Mortgage and real estate $ 17,677 $ 10,629
       Installment and other 3,745 3,853
       Cards 5,906 2,453
       Total impaired Consumer loans $ 27,328 $ 16,935
Total (3) $ 35,938 $ 30,414
Non-accrual Corporate loans with
       valuation allowances $ 6,324 $ 8,578
Impaired Consumer loans with
       valuation allowances 25,949 16,453
Non-accrual Corporate valuation allowance $ 1,689 $ 2,480
Impaired Consumer valuation allowance 7,735 4,977
Total valuation allowances (4) $ 9,424 $ 7,457
(1) Prior to 2008, Citi'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 it was determined that a concession be granted to the borrower. Smaller-balance Consumer loans modified since January 1, 2008 amounted to $26.6 billion and $15.9 billion at December 31, 2010 and December 31, 2009, respectively. However, information derived from Citi's risk management systems indicates that the amounts of outstanding modified loans, including those modified prior to 2008, approximated $28.2 billion and $18.1 billion at December 31, 2010 and December 31, 2009, respectively.
(2) Excludes deferred fees/costs.
(3) Excludes loans purchased for investment purposes.
(4) Included in the Allowance for loan losses .


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Non-Accrual Loans and Assets
The table below summarizes Citigroup's view of non-accrual loans as of the periods indicated. Non-accrual loans are loans in which the borrower has fallen behind in interest payments or, for Corporate and Consumer (commercial market) loans, where Citi has determined that the payment of interest or principal is doubtful, and which are thus considered impaired. In situations where Citi reasonably expects that only a portion of the principal and interest owed will ultimately be collected, all payments received are reflected as a reduction of principal and not as interest income. There is no  

Non-Accrual Loans

industry-wide definition of non-accrual assets, however, and as such, analysis across the industry is not always comparable.

Corporate and Consumer (commercial markets) non-accrual loans may still be current on interest payments but are considered non-accrual if Citi has determined that the payment of interest or principal is doubtful. As referenced above, consistent with industry standards, Citi generally accrues interest on credit card loans until such loans are charged-off, which typically occurs at 180 days contractual delinquency. As such, credit card loans are not included in the table below.

In millions of dollars 2010 2009 2008 2007 2006
Citicorp $ 4,909 $ 5,353 $ 3,193 $ 2,027 $ 1,141
Citi Holdings 14,498 26,387 19,104 6,941 3,906
       Total non-accrual loans (NAL) $ 19,407 $ 31,740 $ 22,297 $ 8,968 $ 5,047
Corporate non-accrual loans (1)
North America $ 2,112 $ 5,621 $ 2,660 $ 291 $ 68
EMEA 5,327 6,308 6,330 1,152 128
Latin America 701 569 229 119 152
Asia 470 981 513 103 88
$ 8,610 $ 13,479 $ 9,732 $ 1,665 $ 436
Citicorp $ 3,081 $ 3,238 $ 1,364 $ 247 $ 133
Citi Holdings 5,529 10,241 8,368 1,418 303
$ 8,610 $ 13,479 $ 9,732 $ 1,665 $ 436
Consumer non-accrual loans (1)
North America $ 8,540 $ 15,111 $ 9,617 $ 4,841 $ 3,139
EMEA 662 1,159 948 696 441
Latin America 1,019 1,340 1,290 1,133 643
Asia 576 651 710 633 388
$ 10,797 $ 18,261 $ 12,565 $ 7,303 $ 4,611
Citicorp $ 1,828 $ 2,115 $ 1,829 $ 1,780 $ 1,008
Citi Holdings 8,969 16,146 10,736 5,523 3,603
$ 10,797 $ 18,261 $ 12,565 $ 7,303 $ 4,611
(1) Excludes purchased distressed loans as they are generally accreting interest. The carrying value of these loans was $469 million at December 31, 2010, $920 million at December 31, 2009, $1.510 billion at December 31, 2008, $2.373 billion at December 31, 2007, and $949 million at December 31, 2006.

Statement continues on the next page

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Non-Accrual Loans and Assets (continued)
The table below summarizes Citigroup's other real estate owned (OREO) assets. This represents the carrying value of all property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral.

In millions of dollars 2010 2009 2008 2007 2006
OREO
Citicorp $ 826 $ 874 $ 371 $ 541 $ 342
Citi Holdings 863 615 1,022 679 358
Corporate/Other 14 11 40 8 1
       Total OREO $ 1,703 $ 1,500 $ 1,433 $ 1,228 $ 701
North America $ 1,440 $ 1,294 $ 1,349 $ 1,168 $ 640
EMEA 161 121 66 40 35
Latin America 47 45 16 17 19
Asia 55 40 2 3 7
$ 1,703 $ 1,500 $ 1,433 $ 1,228 $ 701
Other repossessed assets $ 28 $ 73 $ 78 $ 99 $ 75
Non-accrual assets-Total Citigroup 2010 2009 2008 2007 2006
Corporate non-accrual loans $ 8,610 $ 13,479 $ 9,732 $ 1,665 $ 436
Consumer non-accrual loans 10,797 18,261 12,565 7,303 4,611
Non-accrual loans (NAL) $ 19,407 $ 31,740 $ 22,297 $ 8,968 $ 5,047
OREO $ 1,703 $ 1,500 $ 1,433 $ 1,228 $ 701
Other repossessed assets 28 73 78 99 75
Non-accrual assets (NAA) $ 21,138 $ 33,313 $ 23,808 $ 10,295 $ 5,823
NAL as a percentage of total loans 2.99 % 5.37 % 3.21 % 1.15 %
NAA as a percentage of total assets 1.10 1.79 1.23 0.47
Allowance for loan losses as a percentage of NAL (1)(2) 209 114 133 180
(1) The $6.403 billion of non-accrual loans transferred from the held-for-sale portfolio to the held-for-investment portfolio during the fourth quarter of 2008 were marked to market at the transfer date and, therefore, no allowance was necessary at the time of the transfer. $2.426 billion of the par value of the loans reclassified was written off prior to transfer.
(2) The allowance for loan losses includes the allowance for credit card and purchased distressed loans, while the non-accrual loans exclude credit card balances and purchased distressed loans as these continue to accrue interest until write-off.

Non-accrual assets-Total Citicorp 2010 2009 2008 2007 2006
Non-accrual loans (NAL) $ 4,909 $ 5,353 $ 3,193 $ 2,027 $ 1,141
OREO 826 874 371 541 342
Other repossessed assets N/A N/A N/A N/A N/A
       Non-accrual assets (NAA) $ 5,735 $ 6,227 $ 3,564 $ 2,568 $ 1,483
NAA as a percentage of total assets 0.45 % 0.55 % 0.36 % 0.21 %
Allowance for loan losses as a percentage of NAL (1) 348 200 241 242
Non-accrual assets-Total Citi Holdings
Non-accrual loans (NAL) $ 14,498 $ 26,387 $ 19,104 $ 6,941 $ 3,906
OREO 863 615 1,022 679 358
Other repossessed assets N/A N/A N/A N/A N/A
       Non-accrual assets (NAA) $ 15,361 $ 27,002 $ 20,126 $ 7,620 $ 4,264
NAA as a percentage of total assets 4.28 % 5.54 % 2.81 % 0.86 %
Allowance for loan losses as a percentage of NAL (1) 163 96 115 161
(1) The allowance for loan losses includes the allowance for credit card and purchased distressed loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios) and purchased distressed loans as these continue to accrue interest until write-off.
N/A Not available at the Citicorp or Citi Holdings level.

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Renegotiated Loans
The following table presents Citi's renegotiated loans, which represent loans modified in TDRs.

Dec. 31, Dec. 31,
In millions of dollars 2010 2009
Corporate renegotiated loans (1)
In U.S. offices
       Commercial and industrial (2) $ 240 $ 203
       Mortgage and real estate (3) 61 -
       Other 699 -
$ 1,000 $ 203
In offices outside the U.S.
       Commercial and industrial (2) $ 207 $ 145
       Mortgage and real estate (3) 90 2
       Other 18 -
$ 315 $ 147
Total Corporate renegotiated loans $ 1,315 $ 350
Consumer renegotiated loans (4)(5)(6)(7)
In U.S. offices
       Mortgage and real estate $ 17,717 $ 11,165
       Cards 4,747 992
       Installment and other 1,986 2,689
$ 24,450 $ 14,846
In offices outside the U.S.
       Mortgage and real estate $ 927 $ 415
       Cards 1,159 1,461
       Installment and other 1,875 1,401
$ 3,961 $ 3,277
Total Consumer renegotiated loans $ 28,411 $ 18,123
(1) Includes $553 million and $317 million of non-accrual loans included in the non-accrual assets table above, at December 31, 2010 and December 31, 2009, respectively. The remaining loans are accruing interest.
(2) In addition to modifications reflected as TDRs, at December 31, 2010, Citi also modified $190 million and $416 million of commercial loans risk rated "Substandard Non-Performing" or worse (asset category defined by banking regulators) in U.S. offices and in offices outside the U.S., respectively. These modifications were not considered TDRs, because the modifications did not involve a concession (a required element of a TDR for accounting purposes).
(3) In addition to modifications reflected as TDRs, at December 31, 2010, Citi also modified $695 million and $155 million of commercial real estate loans risk rated "Substandard Non-Performing" or worse (asset category defined by banking regulators) in U.S. offices and in offices outside the U.S., respectively. These modifications were not considered TDRs, because the modifications did not involve a concession (a required element of a TDR for accounting purposes).
(4) Includes $2,751 million and $2,000 million of non-accrual loans included in the non-accrual assets table above at December 31, 2010 and December 31, 2009, respectively. The remaining loans are accruing interest.
(5) Includes $22 million of commercial real estate loans at December 31, 2010.
(6) Includes $177 million and $16 million of commercial loans at December 31, 2010 and December 31, 2009, respectively.
(7) Smaller-balance homogeneous loans were derived from Citi's risk management systems.

In certain circumstances, Citigroup modifies certain of its corporate loans involving a non-troubled borrower. These modifications are subject to Citi's normal underwriting standards for new loans and are made in the normal course of business to match customers' needs with available Citi products or programs (these modifications are not included in the table above). In other cases, loan modifications involve a troubled borrower to whom Citi may grant a concession (modification). Modifications involving troubled borrowers may include extension of maturity date, reduction in the stated interest rate, rescheduling of future cash flows, reduction in the face amount of the debt, or reduction of past accrued interest. In cases where Citi grants a concession to a troubled borrower, Citi accounts for the modification as a TDR under ASC 310-40.

Foregone Interest Revenue on Loans (1)

In non-
In U.S. U.S 2010
In millions of dollars offices offices total
Interest revenue that would have been accrued
       at original contractual rates (2) $ 4,709 $ 1,593 $ 6,302
Amount recognized as interest revenue (2) 1,666 431 2,097
Foregone interest revenue $ 3,043 $ 1,162 $ 4,205
(1) Relates to Corporate non-accruals, renegotiated loans and Consumer loans on which accrual of interest has been suspended.
(2) Interest revenue in offices outside the U.S. may reflect prevailing local interest rates, including the effects of inflation and monetary correction in certain countries.


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Loan Maturities and Fixed/Variable Pricing Corporate Loans

Due Over 1 year
within but within Over 5
In millions of dollars at year end 1 year 5 years years Total
Corporate loan portfolio
       maturities
In U.S. offices
Commercial and
industrial loans $ 9,559 $ 2,507 $ 2,268 $ 14,334
Financial institutions 19,881 5,215 4,717 29,813
Mortgage and real estate 13,133 3,445 3,115 19,693
Lease financing 943 247 223 1,413
Installment, revolving
credit, other 8,429 2,211 2,000 12,640
In offices outside the U.S. 69,874 32,910 11,457 114,241
Total Corporate loans $ 121,819 $ 46,535 $ 23,780 $ 192,134
Fixed/variable pricing of
       corporate loans with
       maturities due after one
       year (1)
Loans at fixed interest rates $ 9,730 $ 9,436
Loans at floating or adjustable
interest rates 36,805 14,344
Total $ 46,535 $ 23,780
(1) Based on contractual terms. Repricing characteristics may effectively be modified from time to time using derivative contracts. See Note 23 to the Consolidated Financial Statements.

U.S. Consumer Mortgage Lending

Overview
Citi's North America Consumer mortgage portfolio consists of both first and second mortgages. As set forth in the table below, as of December 31, 2010, the first mortgage portfolio totaled approximately $102 billion while the second mortgage portfolio was approximately $49 billion. Although the majority of the mortgage portfolio is reported in LCL within Citi Holdings, there are $20 billion of first mortgages and $4 billion of second mortgages reported in Citicorp.

U.S. Consumer Mortgage and Real Estate Loans

Due Over 1 year
within but within Over 5
In millions of dollars at year end 2010 1 year 5 years years Total
U.S. Consumer mortgage
       loan portfolio type
First mortgages $ 17,601 $ 18,802 $ 66,086 $ 102,489
Second mortgages 478 9,107 39,395 48,980
Total $ 18,079 $ 27,909 $ 105,481 $ 151,469
Fixed/variable pricing of
       U.S. Consumer
       mortgage loans with
       maturities due after one year
Loans at fixed interest rates $ 2,662 $ 80,327
Loans at floating or adjustable
interest rates 25,247 25,154
Total $ 27,909 $ 105,481


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Citi's first mortgage portfolio includes $9.3 billion of loans with FHA or VA guarantees. These portfolios consist of loans originated to low-to-moderate-income borrowers with lower FICO (Fair Isaac Corporation) scores and generally have higher loan-to-value ratios (LTVs). Losses on FHA loans are borne by the sponsoring agency, provided that the insurance has not been breached as a result of an origination defect. The VA establishes a loan-level loss cap, beyond which Citi is liable for loss. FHA and VA loans have high delinquency rates but, given the guarantees, Citi has experienced negligible credit losses on these loans. The first mortgage portfolio also includes $1.8 billion of loans with LTVs above 80%, which have insurance through private mortgage insurance (PMI) companies, and $1.7 billion of loans subject to long-term standby commitments (LTSC), with U.S. government sponsored entities (GSEs), for which Citi has limited exposure to credit losses. Citi's second mortgage portfolio also includes $0.6 billion of loans subject to LTSCs with GSEs, for which Citi has limited exposure to credit losses. Citi's allowance for loan loss calculations take into consideration the impact of these guarantees.

Consumer Mortgage Quarterly Trends-Delinquencies and Net Credit Losses
The following charts detail the quarterly trends in delinquencies and net credit losses for Citi's first and second Consumer mortgage portfolios in North America . As set forth in the charts below, net credit losses and delinquencies of 90 days or more in both first and second mortgages continued to improve during the fourth quarter of 2010. Citi continued to

manage down its first and second mortgage portfolios in Citi Holdings during 2010. The first mortgage portfolio in Citi Holdings was reduced by almost 20% to $80 billion, and the second mortgage portfolio by 14% to $44 billion, each as of December 31, 2010. These reductions were achieved through a combination of sales (first mortgages only), run-off and net credit losses.
For first mortgages, delinquencies of 90 days or more were down for the fourth consecutive quarter. The sequential decline in delinquencies was due entirely to asset sales and trial modifications converting into permanent modifications, without which the delinquencies in first mortgages would have been up slightly. During the full year 2010, Citi sold $4.8 billion in delinquent mortgages. In addition, as of December 31, 2010, Citi had converted a total of approximately $4.8 billion of trial modifications under Citi's loan modification programs to permanent modifications, more than three-quarters of which were pursuant to the U.S. Treasury's Home Affordable Modification Program (HAMP).
For second mortgages, the net credit loss and delinquencies of 90 days or more were relatively stable compared to the third quarter of 2010.
For information on Citi's loan modification programs regarding mortgages, see "Consumer Loan Modification Programs" below.


73


First Mortgages



Note: Includes loans for Canada and Puerto Rico. Excludes loans recorded at fair value and loans that are guaranteed by U.S. government agencies.

Second Mortgages



Note: Includes loans for Canada and Puerto Rico.

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Consumer Mortgage FICO and LTV
Data appearing in the tables below have been sourced from Citigroup's risk systems and, as such, may not reconcile with disclosures elsewhere generally due to differences in methodology or variations in the manner in which information is captured. Citi has noted such variations in instances where it believes they could be material to reconcile to the information presented elsewhere.
Citi's credit risk policy is not to offer option adjustable rate mortgages (ARMs)/negative amortizing mortgage products to its customers. As a result, option ARMs/negative amortizing mortgages represent an insignificant portion of total balances, since they were acquired only incidentally as part of prior portfolio and business purchases.
A portion of loans in the U.S. Consumer mortgage portfolio currently require a payment to satisfy only the current accrued interest for the payment period, or an interest-only payment. Citi's mortgage portfolio includes approximately $27 billion of first- and second-mortgage home equity lines of credit (HELOCs) that are still within their revolving period and have not commenced amortization. The interest-only payment feature during the revolving period is standard for the HELOC product across the industry. The first mortgage portfolio contains approximately $18 billion of ARMs that are currently required to make an interest-only payment. These loans will be required to make a fully amortizing payment upon expiration of their interest-only payment period, and most will do so within a few years of origination. Borrowers that are currently required to make an interest-only payment cannot select a lower payment that would negatively amortize the loan. First mortgage loans with this payment feature are primarily to high-credit-quality borrowers that have on average significantly higher origination and refreshed FICO scores than other loans in the first mortgage portfolio.

Loan Balances
First Mortgages-Loan Balances. As a consequence of the economic environment and the decrease in housing prices, LTV and FICO scores have generally deteriorated since origination, although they generally stabilized during the latter half of 2010. On a refreshed basis, approximately 30% of first mortgages had a LTV ratio above 100%, compared to approximately 0% at origination. Approximately 28% of first mortgages had FICO scores less than 620 on a refreshed basis, compared to 15% at origination.

Balances: December 31, 2010 - First Mortgages
AT   FICO ≥ 660   620 ≤ FICO < 660   FICO < 620 
ORIGINATION 
LTV ≤ 80% 58%  6%  7% 
80% < LTV ≤ 100% 14%  7%  8% 
LTV > 100% NM  NM  NM 
REFRESHED   FICO ≥ 660   620 ≤ FICO < 660   FICO < 620 
LTV ≤ 80% 28%  4%  9% 
80% < LTV ≤ 100% 18%  3%  8% 
LTV > 100% 16%  3%  11% 

Note: NM-Not meaningful. First mortgage table excludes loans in Canada and Puerto Rico. Table excludes loans guaranteed by U.S. government agencies, loans recorded at fair value and loans subject to LTSCs. Table also excludes $1.6 billion from At Origination balances and $0.4 billion from Refreshed balances for which FICO or LTV data was unavailable. Balances exclude deferred fees/costs. Refreshed FICO scores based on updated credit scores obtained from Fair Isaac Corporation. Refreshed LTV ratios are derived from data at origination updated using mainly the Core Logic Housing Price Index (HPI) or the Federal Housing Finance Agency Price Index.

Second Mortgages-Loan Balances. In the second mortgage portfolio, the majority of loans are in the higher FICO categories. Economic conditions and the decrease in housing prices generally caused a migration towards lower FICO scores and higher LTV ratios, although the negative migration slowed during the latter half of 2010. Approximately 48% of second mortgages had refreshed LTVs above 100%, compared to approximately 0% at origination. Approximately 17% of second mortgages had FICO scores less than 620 on a refreshed basis, compared to 3% at origination.

Balances: December 31, 2010 - Second Mortgages
AT   FICO ≥ 660   620 ≤ FICO < 660   FICO < 620 
ORIGINATION 
LTV ≤ 80% 51%  2%  2% 
80% < LTV ≤ 100% 41%  3%  1% 
LTV > 100% NM  NM  NM 
REFRESHED   FICO ≥ 660   620 ≤ FICO < 660   FICO < 620 
LTV ≤ 80% 22%  1%  3% 
80% < LTV ≤ 100% 20%  2%  4% 
LTV > 100% 33%  5%  10% 

Note: NM-Not meaningful. Second mortgage table excludes loans in Canada and Puerto Rico. Table excludes loans subject to LTSCs. Table also excludes $1.5 billion from At Origination balances and $0.3 billion from Refreshed balances for which FICO or LTV data was unavailable. Balances exclude deferred fees/costs. Refreshed FICO scores are based on updated credit scores obtained from Fair Isaac Corporation. Refreshed LTV ratios are derived from data at origination updated using mainly the Core Logic Housing Price Index (HPI) or the Federal Housing Finance Agency Price Index.


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Delinquencies
The tables below provide delinquency statistics for loans 90 or more days past due (90+DPD) as a percentage of outstandings in each of the FICO/LTV combinations, in both the first and second mortgage portfolios, at December 31, 2010. For example, loans with FICO ≥ 660 and LTV ≤ 80% at origination have a 90+DPD rate of 3.6%.
As evidenced by the tables below, loans with FICO scores of less than 620 continue to exhibit significantly higher delinquencies than in any other FICO band. Similarly, loans with LTVs greater than 100% have higher delinquencies than LTVs of less than or equal to 100%. While the dollar balances of 90+DPD loans have declined for both first and second mortgages, the delinquency rates have declined for first mortgages, and increased for second mortgages, from those reflected in refreshed statistics at September 30, 2010.

Delinquencies: 90+DPD Rates - First Mortgages
AT ORIGINATION  FICO ≥ 660   620 ≤ FICO < 660  FICO < 620 
LTV ≤ 80% 3.6%  9.1%  10.9% 
80% < LTV ≤ 100% 6.9%  11.4%  14.5% 
LTV > 100% NM  NM  NM 
REFRESHED  FICO ≥ 660   620 ≤ FICO < 660  FICO < 620 
LTV ≤ 80% 0.2%  3.3%  13.5% 
80% < LTV ≤ 100% 0.5%  6.3%  18.3% 
LTV > 100% 1.2%  10.7%  23.5% 

Note: NM-Not meaningful. 90+DPD are based on balances referenced in the tables above.

Delinquencies: 90+DPD Rates - Second Mortgages
AT ORIGINATION  FICO ≥ 660   620 ≤ FICO < 660  FICO < 620 
LTV ≤ 80% 1.7%  4.4%  6.4% 
80% < LTV ≤ 100% 3.5%  5.7%  7.7% 
LTV > 100% NM  NM  NM 
REFRESHED  FICO ≥ 660   620 ≤ FICO < 660  FICO < 620 
LTV ≤ 80% 0.1%  1.8%  9.7% 
80% < LTV ≤ 100% 0.2%  1.9%  11.2% 
LTV > 100% 0.3%  3.3%  16.3% 

Note: NM-Not meaningful. 90+DPD are based on balances referenced in the tables above.

Origination Channel, Geographic Distribution and Origination Vintage
The following tables detail Citi's first and second mortgage portfolios by origination channels, geographic distribution and origination vintage.

By Origination Channel
Citi's U.S. Consumer mortgage portfolio has been originated from three main channels: retail, broker and correspondent.

Retail: loans originated through a direct relationship with the borrower. Broker: loans originated through a mortgage broker, where Citi underwrites the loan directly with the borrower. Correspondent: loans originated and funded by a third party, where Citi purchases the closed loans after the correspondent has funded the loan. This channel includes loans acquired in large bulk purchases from other mortgage originators primarily in 2006 and 2007. Such bulk purchases were discontinued in 2007.

First Mortgages: December 31, 2010
As of December 31, 2010, approximately 51% of the first mortgage portfolio was originated through third-party channels. Given that loans originated through correspondents have historically exhibited higher 90+DPD delinquency rates than retail originated mortgages, Citi terminated business with a number of correspondent sellers in 2007 and 2008. During 2008, Citi also severed relationships with a number of brokers, maintaining only those who have produced strong, high-quality and profitable volume. 90+DPD delinquency amounts and amount of loans with FICO scores of less than 620 have generally improved, with loan amounts with LTV over 100% remaining stable during the latter half of 2010.

CHANNEL First Lien   Channel   90+DPD %   *FICO < 620   *LTV > 100% 
($ in billions)  Mortgages   % Total 
Retail $43.6  49.0%  4.8%  $12.7  $9.0 
Broker $14.8  16.7%  5.4%  $2.5  $5.3 
Correspondent $30.6  34.3%  9.0%  $9.6  $12.7 

* Refreshed FICO and LTV.
Note: First mortgage table excludes Canada and Puerto Rico, deferred fees/costs, loans recorded at fair value, loans guaranteed by U.S. government agencies and loans subject to LTSCs.


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Second Mortgages: December 31, 2010
For second mortgages, approximately 46% of the loans were originated through third-party channels. As these mortgages have demonstrated a higher incidence of delinquencies, Citi no longer originates second mortgages through third-party channels. 90+DPD delinquency amounts, amount of loans with FICO scores of less than 620, and amount of loans with LTV over 100% were relatively stable during the latter half of 2010.

CHANNEL  Second Lien   Channel   90+DPD %   *FICO < 620   *LTV > 100% 
($ in billions) Mortgages  % Total 
Retail $22.5  53.5%  2.0%  $3.5  $6.8 
Broker $10.3  24.5%  3.7%  $1.7  $6.3 
Correspondent $9.2  22.0%  3.8%  $2.1  $6.9 

* Refreshed FICO and LTV.
Note: Excludes Canada and Puerto Rico, deferred fees/costs and loans subject to LTSCs.

By State
Approximately half of Citi's U.S. Consumer mortgage portfolio is located in five states: California, New York, Florida, Illinois and Texas. These states represent 50% of first mortgages and 55% of second mortgages.
With respect to first mortgages, Florida and Illinois had above average 90+DPD delinquency rates as of December 31, 2010. Florida has 56% of its first mortgage portfolio with refreshed LTV > 100%, compared to 30% overall for first mortgages. Illinois has 42% of its loan portfolio with refreshed LTV > 100%. Texas, despite having 40% of its portfolio with FICO < 620, had a lower delinquency rate relative to the overall portfolio. Texas had 5% of its loan portfolio with refreshed LTV > 100%.
In the second mortgage portfolio, Florida continued to experience above-average delinquencies at 4.4% as of December 31, 2010, with approximately 73% of its loans with refreshed LTV > 100%, compared to 48% overall for second mortgages.

By Vintage
For Citigroup's combined U.S. Consumer mortgage portfolio (first and second mortgages), as of December 31, 2010, approximately half of the portfolio consisted of 2006 and 2007 vintages, which demonstrate above average delinquencies. In first mortgages, approximately 41% of the portfolio is of 2006 and 2007 vintages, which had 90+DPD rates well above the overall portfolio rate, at 8.0% for 2006 and 8.8% for 2007. In second mortgages, 61% of the portfolio is of 2006 and 2007 vintages, which again had higher delinquencies compared to the overall portfolio rate, at 3.4% for 2006 and 3.3% for 2007.

FICO and LTV Trend Information - U.S. Consumer
Mortgage Lending

First Mortgages
In billions of dollars

First Mortgage - 90+ DPD % 4Q09  1Q10  2Q10  3Q10  4Q10 
FICO ≥ 660, LTV  ≤ 100% 0.5%  0.4%  0.5%  0.4%  0.3% 
FICO ≥ 660, LTV > 100% 2.8%  1.7%  2.0%  1.8%  1.2% 
FICO < 660, LTV ≤ 100% 17.9%  17.2%  15.1%  14.6%  12.7% 
FICO < 660, LTV > 100% 37.7%  32.8%  26.8%  24.3%  20.3% 

Note: First mortgage chart/table excludes loans in Canada and Puerto Rico, loans guaranteed by U.S. government agencies, loans recorded at fair value and loans subject to LTSCs. Balances excludes deferred fees/costs. Balances based on refreshed FICO and LTV ratios. Chart/table also excludes balances for which FICO or LTV data was unavailable ($1.0 billion in 4Q09, $0.6 billion in 1Q10, $0.4 billion in 2Q10, $0.4 billion in 3Q10 and $0.4 billion in 4Q10).

Second Mortgages
In billions of dollars

Second Mortgage-90+ DPD % 4Q09  1Q10  2Q10  3Q10  4Q10 
FICO ≥ 660, LTV ≤ 100% 0.1%  0.1%  0.1%  0.1%  0.1% 
FICO ≥ 660, LTV > 100% 0.4%  0.4%  0.4%  0.3%  0.3% 
FICO < 660, LTV ≤ 100% 6.7%  6.6%  6.6%  7.3%  7.8% 
FICO < 660, LTV > 100% 15.4%  13.2%  12.8%  12.3%  12.3% 

Note: Second mortgage chart/table excludes loans in Canada and Puerto Rico, and loans subject to LTSCs. Balances exclude deferred fees/costs. Balances based on refreshed FICO and LTV ratios. Chart/table also excludes balances for which FICO or LTV data was unavailable ($0.8 billion in 4Q09, $0.4 billion in 1Q10, $0.4 billion in 2Q10, $0.4 billion in 3Q10 and $0.3 billion in 4Q10).


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As of December 31, 2010, the first mortgage portfolio was approximately $89 billion, a reduction of $18 billion, or 17%, from December 2009. First mortgage loans with refreshed FICO score below 660 and refreshed LTV above 100% were $12.6 billion as of December 31, 2010, $2.3 billion, or 15%, lower than the balance as of December 2009. Similarly, the second mortgage portfolio was approximately $42 billion as of December 31, 2010, a reduction of $7 billion, or 14%, from December 2009. Second mortgage loans with refreshed FICO score below 660 and refreshed LTV above 100% were $6.1 billion as of December 31, 2010, $0.6 billion, or 8%, lower than the balance as of December 2009. Across both portfolios, 90+ DPD rates have generally improved since December 31, 2009 across each of the FICO/LTV segments outlined above, particularly those segments with refreshed FICO scores below 660.


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Interest Rate Risk Associated with Consumer Mortgage Lending Activity
Citigroup originates and funds mortgage loans. As with all other lending activity, this exposes Citigroup to several risks, including credit, liquidity and interest rate risks. To minimize credit and liquidity risk, Citigroup sells most of the mortgage loans it originates, but retains the servicing rights. These sale transactions create an intangible asset referred to as MSRs, which expose Citi to interest rate risk. For example, the fair value of MSRs declines with increased prepayments, and lower interest rates are generally one factor that tends to lead to increased prepayments.
In managing this risk, Citigroup hedges a significant portion of the value of its MSRs. However, since the change in the value of these hedges does not perfectly match the change in the value of the MSRs, Citigroup is still exposed to what is commonly referred to as "basis risk." Citigroup manages this risk by reviewing the mix of the various hedges on a daily basis.
Citigroup's MSRs totaled $4.554 billion and $6.530 billion at December 31, 2010 and December 31, 2009, respectively. For additional information on Citi's MSRs, see Notes 18 and 22 to the Consolidated Financial Statements.
As part of its mortgage lending activity, Citigroup commonly enters into purchase commitments to fund residential mortgage loans at specific interest rates within a given period of time, generally up to 60 days after the rate has been set. If the resulting loans will be classified as loans held-for-sale, Citigroup accounts for the commitments as derivatives. Accordingly, changes in the fair value of these commitments, which are driven by changes in mortgage interest rates, are recognized in current earnings after taking into consideration the likelihood that the commitment will be funded.
Citigroup hedges its exposure to the change in the value of these commitments.

North America Cards

Overview
Citi's North America cards portfolio consists of its Citi-branded and retail partner cards portfolios reported in Citicorp -Regional Consumer Banking and Citi Holdings -Local Consumer Lending , respectively. As of December 31, 2010, the Citi-branded portfolio totaled $78 billion, while the retail partner cards portfolio was $46 billion.
Beginning as early as 2008, Citi actively pursued loss mitigation measures, such as stricter underwriting standards for new accounts and closing high-risk accounts, in each of its Citi-branded and retail partner cards portfolios. As a result of these efforts, higher risk customers have either had their available lines of credit reduced or their accounts closed. On a net basis, end-of-period open accounts are down 8% in Citi-branded cards and 11% in retail partner cards, each versus prior-year levels.
See "Consumer Loan Modification Programs" below for a discussion of Citi's modification programs for card loans.

Cards Quarterly Trends-Delinquencies and Net Credit Losses
The following charts detail the quarterly trends in delinquencies and net credit losses for Citigroup's North America Citi-branded and retail partner cards portfolios. Trends for both Citi-branded and retail partner cards continued to reflect the improving credit quality of these portfolios. In Citi-branded cards, delinquencies declined for the fourth consecutive quarter to $1.6 billion, an improvement of 12% from the prior quarter. Net credit losses declined for the third consecutive quarter to $1.7 billion, 11% lower than the prior quarter. In retail partner cards, delinquencies declined for the fourth consecutive quarter while net credit losses declined for the sixth consecutive quarter. For both portfolios, early-stage delinquencies also continued to show improvement.


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Citi-Branded Cards


Note: Includes Puerto Rico.

Retail Partner Cards


Note: Includes Canada, Puerto Rico and Installment Lending.

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North America Cards-FICO Information
As set forth in the table below, approximately 77% of the Citi-branded portfolio had FICO credit scores of at least 660 on a refreshed basis as of December 31, 2010, while 69% of the retail partner cards portfolio had scores of 660 or above. These percentages reflect an improvement during 2010.

Balances: December 31, 2010
Refreshed   Citi-Branded   Retail Partner 
FICO ≥ 660 77%  69% 
620 ≤ FICO < 660 9%  13% 
FICO < 620 14%  18% 

Note: Based on balances of $119 billion (increased from $116 billion at September 30, 2010). Balances include interest and fees. Excludes Canada, Puerto Rico and Installment and Classified portfolios. Excludes balances where FICO was unavailable ($0.5 billion for Citi-branded, $1.7 billion for retail partner cards).

The table below provides delinquency statistics for loans 90+DPD for both the Citi-branded and retail partner cards portfolios as of December 31, 2010. Given the economic environment, customers have generally migrated down from higher FICO score ranges, driven by their delinquencies with Citi and/ or other creditors. As these customers roll through the delinquency buckets, they materially damage their credit score and may ultimately go to charge-off. Loans 90+DPD are more likely to be associated with low refreshed FICO scores, both because low scores are indicative of repayment risk and because their delinquency has been reported by Citigroup to the credit bureaus. Loans with FICO scores less than 620, which constituted 14% of the Citi-branded portfolio as of December 31, 2010 (down from 15% at September 30, 2010), have a 90+DPD rate of 13.9% (down from 15.0% at September 30, 2010). In the retail partner cards portfolio, loans with FICO scores less than 620 constituted 18% of the portfolio as of December 31, 2010 (down from 21% at September 30, 2010) and have a 90+DPD rate of 17.8% (up from 17.3% at September 30, 2010).

90+DPD Delinquency Rate: December 31, 2010
Refreshed   Citi-Branded 90+DPD%   Retail Partner 90+DPD% 
FICO ≥ 660 0.1%  0.1% 
620 ≤ FICO < 660 0.6%  0.9% 
FICO < 620 13.9%  17.8% 

Note: Based on balances of $119 billion (increased from $116 billion at September 30, 2010). Balances include interest and fees. Excludes Canada, Puerto Rico and Installment and Classified portfolios. Excludes balances where FICO was unavailable ($0.5 billion for Citi-branded, $1.7 billion for retail partner cards).

FICO Trend Information-North America Cards

Citi-Branded Cards
In billions of dollars


Note: Excludes Canada, Puerto Rico and Installment and Classified portfolios. Balances include interest and fees. Balances based on refreshed FICO. Chart also excludes balances for which FICO was unavailable ($0.7 billion in 4Q09, $0.6 billion in 1Q10, $0.6 billion in 2Q10, $0.6 billion in 3Q10 and $0.5 billion in 4Q10).

Retail Partner Cards
In billions of dollars


Note: Excludes Canada, Puerto Rico and Installment and Classified portfolios. Balances include interest and fees. Balances based on refreshed FICO. Chart also excludes balances for which FICO was unavailable ($2.1 billion in 4Q09, $2.1 billion in 1Q10, $2.1 billion in 2Q10, $2.0 billion in 3Q10 and $1.7 billion in 4Q10).

       As of December 31, 2010, the Citi-branded cards portfolio totaled approximately $76 billion (excluding the items noted above), a reduction of $7 billion, or 9%, from December 31, 2009, primarily driven by lower balances in the FICO below 660 segment. In the Citi-branded cards portfolio, loans with refreshed FICO scores below 660 were $17.7 billion as of December 31, 2010, $4.2 billion or 19% lower than the balance as of December 31, 2009. Similarly, the retail partner cards portfolio was approximately $43 billion (excluding the items noted above) as of December 31, 2010, a reduction of $11 billion, or 20%, from December 31, 2009. In the retail partner cards portfolio, loans with refreshed FICO scores below 660 were $13.2 billion as of December 31, 2010, $6.8 billion, or 34%, lower than the balance as of December 31, 2009.


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U.S. Installment and Other Revolving Loans
The U.S. Installment portfolio consists of Consumer loans in the following businesses: Consumer Finance, Retail Banking, Auto, Student Lending and Cards. Other Revolving consists of Consumer loans (Ready Credit and Checking Plus products) in the Consumer Retail Banking business. Commercial-related loans are not included.
As of December 31, 2010, the U.S. Installment portfolio totaled approximately $26 billion, while the U.S. Other Revolving portfolio was approximately $0.9 billion. In the table below, the U.S. Installment portfolio excludes loans associated with the sale of The Student Loan Corporation that occurred in the fourth quarter of 2010. 
While substantially all of the U.S. Installment portfolio is reported in LCL within Citi Holdings, it does include $0.4 billion of Consumer Retail Banking loans, which is reported in Citicorp. The U.S. Other Revolving portfolio is managed under Citicorp. Approximately 44% of the Installment portfolio had FICO credit scores less than 620 on a refreshed basis. Approximately 26% of the Other Revolving portfolio is composed of loans having FICO scores less than 620.

Balances: December 31, 2010
Refreshed  Installment  Other Revolving 
FICO ≥ 660 41%  59% 
620 ≤ FICO < 660 15%  15% 
FICO < 620 44%  26% 

Note: Based on balances of $25 billion for Installment and $0.8 billion for Other Revolving. Excludes Canada and Puerto Rico. Excludes balances where FICO was unavailable ($0.9 billion for Installment).

The table below provides delinquency statistics for loans 90+DPD for both the Installment and Other Revolving portfolios. Loans 90+DPD are more likely to be associated with low refreshed FICO scores both because low scores are indicative of repayment risk and because their delinquency has been reported by Citigroup to the credit bureaus. On a refreshed basis, loans with FICO scores less than 620 exhibit significantly higher delinquencies than in any other FICO band and will drive the majority the losses. 
       For information on Citi's loan modification programs regarding Installment loans, see "Consumer Loan Modification Programs" below.

90+DPD Delinquency Rate: December 31, 2010
Refreshed   Installment 90+DPD%   Other Revolving 90+DPD% 
FICO ≥ 660 0.2%  0.0% 
620 ≤ FICO < 660 0.6%  0.3% 
FICO < 620 8.3%  7.4% 

Note: Based on balances of $25 billion for Installment and $0.8 billion for Other Revolving. Excludes Canada and Puerto Rico. Excludes balances where FICO was unavailable ($0.9 billion for Installment).


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CONSUMER LOAN DETAILS

Consumer Loan Delinquency Amounts and Ratios

Total
loans  (7) 90+ days past due (1) 30–89 days past due  (1)
December 31, December 31,
In millions of dollars, except EOP loan amounts in billions 2010 2010 2009 2008 2010 2009 2008
Citicorp (2)(3)(4)
Total $ 232.0 $ 3,114 $ 4,103 $ 3,596 $ 3,555 $ 4,338 $ 4,713
              Ratio 1.35 % 1.83 % 1.62 % 1.54 % 1.93 % 2.13 %
Retail banking
       Total $ 117.9 $ 773 $ 805 $ 719 $ 1,148 $ 1,107 $ 1,391
              Ratio 0.66 % 0.75 % 0.69 % 0.98 % 1.03 % 1.33 %
North America 30.7 228 106 83 212 81 100
              Ratio 0.76 % 0.33 % 0.25 % 0.71 % 0.25 % 0.30 %
EMEA 4.4 96 129 111 136 223 215
              Ratio 2.18 % 2.48 % 1.76 % 3.09 % 4.29 % 3.41 %
Latin America 21.6 224 311 239 267 344 261
              Ratio 1.04 % 1.71 % 1.52 % 1.24 % 1.89 % 1.66 %
Asia 61.2 225 259 286 533 459 815
              Ratio 0.37 % 0.50 % 0.58 % 0.87 % 0.89 % 1.66 %
Citi-branded cards
       Total $ 114.1 $ 2,341 $ 3,298 $ 2,877 $ 2,407 $ 3,231 $ 3,322
              Ratio 2.05 % 2.81 % 2.46 % 2.11 % 2.75 % 2.84 %
North America 77.5 1,597 2,371 2,000 1,539 2,182 2,171
              Ratio 2.06 % 2.82 % 2.35 % 1.99 % 2.59 % 2.55 %
EMEA 2.8 58 85 37 72 140 123
              Ratio 2.07 % 2.83 % 1.32 % 2.57 % 4.67 % 4.39 %
Latin America 13.4 446 565 566 456 556 638
              Ratio 3.33 % 4.56 % 4.68 % 3.40 % 4.48 % 5.27 %
Asia 20.4 240 277 274 340 353 390
              Ratio 1.18 % 1.55 % 1.63 % 1.67 % 1.97 % 2.32 %
Citi Holdings- Local Consumer Lending (2)(3)(5)(6)
       Total $ 224.9 $ 10,225 $ 18,457 $ 13,017 $ 9,462 $ 14,105 $ 15,412
              Ratio 4.76 % 6.11 % 3.65 % 4.41 % 4.67 % 4.32 %
       International 21.9 657 1,362 1,166 848 1,482 1,846
              Ratio 3.00 % 4.22 % 2.77 % 3.87 % 4.59 % 4.38 %
North America retail partner cards 46.4 1,610 2,681 2,630 1,751 2,674 3,077
              Ratio 3.47 % 4.42 % 3.80 % 3.77 % 4.41 % 4.44 %
North America (excluding cards) 156.6 7,958 14,414 9,221 6,863 9,949 10,489
              Ratio 5.43 % 6.89 % 3.76 % 4.68 % 4.76 % 4.27 %
Total Citigroup (excluding Special Asset Pool ) $ 456.9 $ 13,339 $ 22,560 $ 16,613 $ 13,017 $ 18,443 $ 20,125
              Ratio 2.99 % 4.29 % 2.87 % 2.92 % 3.50 % 3.48 %

(1) The ratios of 90+ days past due and 30–89 days past due are calculated based on end-of-period (EOP) loans.
(2) The 90+ days past due balances for Citi-branded cards and retail partner cards are generally still accruing interest. Citigroup's policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(3) The above information presents Consumer credit information on a managed basis. Citigroup adopted SFAS 166/167 effective January 1, 2010. As a result, beginning in the first quarter of 2010, there is no longer a difference between reported and managed delinquencies. Prior years' managed delinquencies are included herein for comparative purposes to the 2010 delinquencies. Managed basis reporting historically impacted the North America Regional Consumer Banking -Citi-branded cards and the Local Consumer Lending -retail partner cards businesses. The historical disclosures reflect the impact from credit card securitizations only. See discussion of adoption of SFAS 166/167 in Note 1 to the Consolidated Financial Statements.
(4) The 90+ days and 30–89 days past due and related ratios for North America Regional Consumer Banking exclude U.S. mortgage loans that are guaranteed by U.S. government sponsored agencies since the potential loss predominantly resides within the U.S. agencies. The amounts excluded for loans 90+ days past due and (end-of-period loans) are $235 million ($0.8 billion) at December 31, 2010. The amount excluded for loans 30–89 days past due (end-of-period loans have the same adjustment as above) is $30 million.
(5) The 90+ days and 30–89 days past due and related ratios for North America LCL (excluding cards) exclude U.S. mortgage loans that are guaranteed by U.S. government sponsored agencies since the potential loss predominantly resides within the U.S. agencies. The amounts excluded for loans 90+ days past due and (end-of-period loans) for each period are $5.2 billion ($8.4 billion), $5.4 billion ($9.0 billion), and $3.0 billion ($6.2 billion) at December 31, 2010, December 31, 2009, and December 31, 2008, respectively. The amounts excluded for loans 30–89 days past due (end-of-period loans have the same adjustment as above) for each period are $1.6 billion, $1.0 billion, and $0.6 billion, as of December 31, 2010, December 31, 2009, and December 31, 2008, respectively.
(6) The December 31, 2010 loans 90+ days past due and 30–89 days past due and related ratios for North America (excluding Cards) exclude $1.7 billion of loans that are carried at fair value.
(7) Total loans include interest and fees on credit cards.

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Consumer Loan Net Credit Losses and Ratios

Average
loans  (1) Net credit losses  (2)
In millions of dollars, except average loan amounts in billions 2010 2010 2009 2008
Citicorp
       Total $ 221.5 $ 11,221 $ 5,410 $ 4,068
              Add: impact of credit card securitizations (3) - 6,931 4,299
              Managed NCL 11,221 12,341 8,367
              Ratio 5.07 % 5.64 % 3.66 %
Retail banking
       Total $ 111.4 $ 1,269 $ 1,570 $ 1,201
              Ratio 1.14 % 1.50 % 1.10 %
North America 30.6 339 310 145
              Ratio 1.11 % 0.90 % 0.47 %
EMEA 4.6 171 302 159
              Ratio 3.74 % 5.44 % 2.36 %
Latin America 19.9 438 513 489
              Ratio 2.20 % 3.09 % 2.90 %
Asia 56.3 321 445 408
              Ratio 0.57 % 0.92 % 0.74 %
Citi-branded cards
       Total $ 110.1 $ 9,952 $ 3,840 $ 2,867
              Add: impact of credit card securitizations (3) - 6,931 4,299
              Managed NCL 9,952 10,771 7,166
              Ratio 9.03 % 9.46 % 6.03 %
North America 76.7 7,683 841 472
              Add: impact of credit card securitizations (3) - 6,931 4,299
              Managed NCL 7,683 7,772 4,771
              Ratio 10.02 % 9.41 % 5.65 %
EMEA 2.8 149 185 78
              Ratio 5.32 % 6.55 % 2.76 %
Latin America 12.4 1,429 1,920 1,715
              Ratio 11.57 % 16.10 % 11.93 %
Asia 18.2 691 894 602
              Ratio 3.77 % 5.42 % 3.52 %
Citi Holdings- Local Consumer Lending
       Total $ 274.8 $ 17,040 $ 19,185 $ 13,111
              Add: impact of credit card securitizations (3) - 4,590 3,110
              Managed NCL 17,040 23,775 16,221
              Ratio 6.20 % 7.03 % 4.23 %
       International 26.2 1,927 3,521 2,795
              Ratio 7.36 % 9.18 % 5.88 %
North America retail partner cards 51.2 6,564 3,485 2,454
              Add: impact of credit card securitizations (3) - 4,590 3,110
              Managed NCL 6,564 8,075 5,564
              Ratio 12.82 % 12.77 % 8.04 %
North America (excluding cards) 197.4 8,549 12,179 7,862
              Ratio 4.33 % 5.15 % 2.95 %
Total Citigroup (excluding Special Asset Pool ) $ 496.3 $ 28,261 $ 24,595 $ 17,179
              Add: impact of credit card securitizations (3) - 11,521 7,409
              Managed NCL 28,261 36,116 24,588
              Ratio 5.69 % 6.49 % 4.02 %

(1) Average loans include interest and fees on credit cards.
(2) The ratios of net credit losses are calculated based on average loans, net of unearned income.
(3) See page 4 and Note 1 to the Consolidated Financial Statements for a discussion of the impact of SFAS 166/167.

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Consumer Loan Modification Programs
Citigroup has instituted a variety of long-term and short-term modification programs to assist borrowers with financial difficulties. These programs, as described below, include modifying the original loan terms, reducing interest rates, extending the remaining loan duration and/or waiving a portion of the remaining principal balance. At December 31, 2010, Citi's significant modification programs consisted of the U.S. Treasury's Home Affordable Modification Program (HAMP), as well as short-term and long-term modification programs in the U.S., each as summarized below.
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.
HAMP and Other Long-Term Programs. Long-term modification programs or TDRs occur when the terms of a loan have been modified due to the borrower's financial difficulties and a long-term concession has been granted to the borrower. Substantially all long-term programs in place provide interest rate reductions. See Note 1 to the Consolidated Financial Statements for a discussion of the allowance for loan losses for such modified loans.
The following table presents Citigroup's Consumer loan TDRs as of December 31, 2010 and 2009. As discussed below under "HAMP," HAMP loans whose terms are contractually modified after successful completion of the trial period are included in the balances below:

Accrual Non-accrual
Dec. 31, Dec. 31, Dec. 31, Dec. 31,
In millions of dollars 2010 2009 2010 2009
Mortgage and real estate $ 15,140 $ 8,654 $ 2,290 $ 1,413
Cards (1) 5,869 2,303 38 150
Installment and other 3,015 3,128 271 250

(1)       2010 balances reflect the adoption of SFAS 166/167.

These TDRs are predominately concentrated in the U.S. Citi's significant long-term U.S. modification programs include:

U.S. Mortgages
HAMP. The HAMP is designed to reduce monthly first mortgage payments to a 31% housing debt ratio (monthly mortgage payment, including property taxes, insurance and homeowner dues, divided by monthly gross income) by lowering the interest rate, extending the term of the loan and deferring or forgiving principal of certain eligible borrowers who have defaulted on their mortgages or who are at risk of imminent default due to economic hardship. The interest rate reduction for first mortgages under HAMP is in effect for five years and the rate then increases up to 1% per year until the interest rate cap (the lower of the original rate or the Freddie Mac Weekly Primary Mortgage Market Survey rate for a 30-year fixed rate conforming loan as of the date of the modification) is reached. 
In order to be entitled to a HAMP loan modification, borrowers must complete a three-month trial period, make the agreed payments and provide the required documentation. Beginning March 1, 2010, documentation was required to be provided prior to the beginning of the trial period, whereas prior to that date, documentation was required before the end of the trial period. This change generally means that Citi is able to verify income for potential HAMP participants before they begin making lower monthly payments. Because customers entering the trial period are qualified prior to trial entry, more are successfully completing the trial period.
During the trial period, Citi requires that the original terms of the loans remain in effect pending completion of the modification. From inception through December 31, 2010, approximately $9.5 billion of first mortgages were enrolled in the HAMP trial period, while $3.8 billion have successfully completed the trial period. Upon completion of the trial period, the terms of the loan are contractually modified, and it is accounted for as a TDR. 
Citi also began participating in the U.S. Treasury's HAMP second mortgage program (2MP) in the fourth quarter of 2010. 2MP requires Citi to either: (1) modify the borrower's second mortgage according to a defined protocol; or (2) accept a lump sum payment from the U.S. Treasury in exchange for full extinguishment of the second mortgage. For a borrower to qualify, the borrower must have successfully modified his/her first mortgage under the HAMP and met other criteria. Under the 2MP program, if the first mortgage is modified under HAMP through principal forgiveness, the same percentage of principal forgiveness is required on the second mortgage.


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Loans included in the HAMP trial period are not classified as modified under short-term or long-term programs, and the allowance for loan losses for these loans is calculated under ASC 450-20. 
As of December 31, 2010, for the loans that were put in the HAMP trial period, 34% of the loans were successfully modified under HAMP, 13% were modified under the Citi Supplemental program (see below), 5% were in HAMP or Citi Supplemental trial, 2% subsequently received other Citi modifications, 13% received HAMP re-age (see below), and 33% have not received any modification from Citi to date.
Citi Supplemental. The Citi Supplemental (CSM) program was designed by Citi to assist borrowers ineligible for HAMP or who become ineligible through the HAMP trial period process. If the borrower already has less than a 31% housing debt ratio, the modification offered is an interest rate reduction (up to 2.5% with a floor rate of 4%), which is in effect for two years, and the rate then increases up to 1% per year until the interest rate is at the pre-modified contractual rate. If the borrower's housing debt ratio is greater than 31%, specific treatment steps for HAMP, including an interest rate reduction, will be followed to achieve a 31% housing debt ratio. The modified interest rate is in effect for two years, and then increases up to 1% per year until the interest rate is at the pre-modified contractual rate. If income documentation was not supplied previously pursuant to HAMP, it is required for CSM. Three trial payments are required prior to modification, which can be made during the HAMP and/or CSM trial period. 
HAMP Re-Age. As disclosed above, loans in the HAMP trial period are aged according to their original contractual terms, rather than the modified HAMP terms. This results in the loan being reported as delinquent even if the reduced payments, as agreed under the program, are made by the borrower. Upon conclusion of the trial period, loans that do not qualify for a long-term modification are returned to the delinquency status in which they began their trial period. However, that delinquency status would be further deteriorated for each trial payment not made. HAMP re-age establishes a non-interest-bearing deferral based on the difference between the original contractual amounts due and the HAMP trial payments made. Citigroup considers this re-age and deferral process to constitute a concession to a borrower in financial difficulty and therefore records the loans as TDRs upon re-age. 
2nd FDIC. The 2nd FDIC modification program guidelines were created by the FDIC for delinquent or current borrowers where default is reasonably foreseeable. The program is designed for second mortgages and uses various concessions, including interest rate reductions, non-interest-bearing principal deferral, principal forgiveness, extending maturity dates, and forgiving accrued interest and late fees. These potential concessions are applied in a series of steps (similar to HAMP) that provides an affordable payment to the borrower (generally a combined housing payment ratio of 42%). The first step generally reduces the borrower's interest rate to 2% for fixed-rate home equity loans and 0.5% for home equity lines of credit. The interest rate reduction is in effect for the remaining term of the loan.

FHA/VA. Loans guaranteed by the FHA or VA are modified through the normal modification process required by those respective agencies. Borrowers must be delinquent, and concessions include interest rate reductions, principal forgiveness, extending maturity dates, and forgiving accrued interest and late fees. The interest rate reduction is in effect for the remaining loan term. Losses on FHA loans are borne by the sponsoring agency, provided that the insurance has not been breached as a result of an origination defect. The VA establishes a loan-level loss cap, beyond which Citi is liable for loss. Historically, Citi's losses on FHA and VA loans have been negligible.
Responsible Lending. The Responsible Lending (RL) program was designed by Citi to assist current borrowers unlikely to be able to refinance due to negative equity in their home and/or other borrower characteristics. These loans are not eligible for modification under HAMP or CSM. This program, launched in the fourth quarter of 2010, is designed to provide payment relief based on a floor interest rate by product type. All adjustable rate and interest only loans are converted to fixed rate, amortizing loans for the remaining mortgage term. Because the borrower has been offered terms that are not available in the general market, the loan is accounted for as a TDR. 
CFNA Adjustment of Terms (AOT). This program is targeted to Consumer Finance customers with a permanent hardship. Payment reduction is provided through the re-amortization of the remaining loan balance, typically at a lower interest rate. Modified loan tenors may not exceed a period of 480 months. Generally, the rescheduled payment cannot be less than 50% of the original payment amount unless the AOT is a result of participation in the CitiFinancial Home Affordability Modification Program (CHAMP) (terminated August 2010) or as a result of settlement, court order, judgment, or bankruptcy. Customers must make a qualifying payment at the reduced payment amount in order to qualify for the modification. In addition, customers must provide income verification (pay stubs and/or tax returns), employment is verified and monthly obligations are validated through an updated credit report.
Other. Prior to the implementation of the HAMP, CSM and 2nd FDIC programs, Citigroup's U.S. mortgage business offered certain borrowers various tailored modifications, which included reducing interest rates, extending the remaining loan duration and/or waiving a portion of the remaining principal balance. Citigroup currently believes that substantially all of its future long-term U.S. mortgage modifications, at least in the near term, will be included in the programs mentioned above.


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North America Cards
North America cards consists of Citi's branded and retail partner cards.
Paydown. The Paydown program is designed to liquidate a customer's balance within 60 months. It is available to customers who indicate a long-term hardship (e.g., long-term disability, medical issues or a non-temporary income reduction, such as an occupation change). Payment requirements are decreased by reducing interest rates charged to either 9.9% or 0%, depending upon the customer situation, and designed to amortize at least 1.67% of the balance each month. Under this program, fees are discontinued and charging privileges are permanently rescinded.
CCG. The Credit Counseling Group (CCG) program handles proposals received via external consumer credit counselors on the customer's behalf. In order to qualify, customers work with a credit counseling agency to develop a plan to handle their overall budget, including money owed to Citi. A copy of the counseling agency's proposal letter is required. The annual percentage rate (APR) is reduced to 9.9% and the account fully amortizes in 60 months. Under this program, fees are discontinued and charging privileges are permanently rescinded.
Interest Reversal Paydown. The Interest Reversal Paydown program is also designed to liquidate a customer's balance within 60 months. It is available to customers who indicate a long-term hardship. Accumulated

interest and fees owed to Citi are reversed upon enrollment, and future interest and fees are discontinued. Payment requirements are reduced and are designed to amortize at least 1.67% of the balance each month. Under this program, like the programs discussed above, fees are discontinued, and charging privileges are permanently rescinded.

U.S. Installment Loans
CFNA AOT. This program is targeted to Citi's Consumer Finance customers with a permanent hardship. Payment reduction is provided through the re-amortization of the remaining loan balance, typically at a lower interest rate. Loan payments may be rescheduled over a period not to exceed 120 months. Generally, the rescheduled payment cannot be less than 50% of the original payment amount, unless the AOT is a result of settlement, court order, judgment or bankruptcy. The interest rate generally cannot be reduced below 9% (except in the instances listed above). Customers must make a qualifying payment at the reduced payment amount in order to qualify for the modification. In addition, customers must provide proof of income, employment is verified and monthly obligations are validated through an updated credit report.


Long-Term Modification Programs-Summary

The following table sets forth, as of December 31, 2010, information relating to Citi's significant long-term U.S. mortgage, card and installment loan modification programs:

Average Average
Program Program interest rate Average % tenor of Deferred Principal
In millions of dollars balance start date (1) reduction payment relief modified loans principal forgiveness
U.S. Consumer mortgage lending (2)
       HAMP $ 3,414 3Q09 4 % 41 % 32 years $ 429 $ 2
       Citi Supplemental 1,625 4Q09 3 24 27 years 75 1
       HAMP Re-age 492 1Q10 N/A N/A 24 years 10 -
       2nd FDIC 422 2Q09 6 49 26 years 31 6
       FHA/VA 3,407 2 19 28 years - -
       CFNA AOT 3,801 3 23 29 years
       Other 3,331 4 43 25 years 45 47
North America cards
       Paydown 2,516 16 - 5 years
       CCG 1,863 11 - 5 years
       Interest Reversal Paydown 328 20 - 5 years
U.S. installment loans
       CFNA AOT 837 7 33 9 years

(1)        Provided if program was introduced after 2008.
(2) Balances for RL and 2MP not material at December 31, 2010.

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Short-Term Programs. Citigroup has also instituted short-term programs (primarily in the U.S.) to assist borrowers experiencing temporary hardships. These programs include short-term (12 months or less) interest rate reductions and deferrals of past due payments. The loan volume under these short-term programs has increased significantly over the past 18 months, and loan loss reserves for these loans have been enhanced, giving consideration to the higher risk associated with those borrowers and reflecting the estimated future credit losses for those loans. See Note 1 to the Consolidated Financial Statements for a discussion of the allowance for loan losses for such modified loans.
The following table presents the amounts of gross loans modified under short-term interest rate reduction programs in the U.S. as of December 31, 2010:

December 31, 2010
In millions of dollars Accrual Non-accrual
Cards $ 2,757 $ -
Mortgage and real estate 1,634 70
Installment and other 1,086 110

Significant short-term U.S. programs include:

North America Cards
Universal Payment Program (UPP). The North America cards business provides short-term interest rate reductions to assist borrowers experiencing temporary hardships through the UPP. Under this program, a participant's APR is reduced by at least 500 basis points for a period of up to 12 months. The minimum payment is established based upon the customer's specific circumstances and is designed to amortize at least 1% of the principal balance each month. The participant's APR returns to its original rate at the end of the program or earlier if they fail to make the required payments.

U.S. Mortgages
Temporary AOT. This program is targeted to Consumer Finance customers with a temporary hardship. Examples of temporary hardships include a short-term medical disability or a temporary reduction of pay. Under this program, which can include both an interest rate reduction and a term extension, the interest rate is reduced for either a five- or an eleven-month period. At the end of the temporary modification period, the interest rate reverts to the pre-modification rate. To qualify, customers must make a payment at the reduced payment amount prior to the AOT being processed. In addition, customers must provide income verification, while employment is verified and monthly obligations are validated through an updated credit report. If the customer is still undergoing hardship at the conclusion of the

temporary payment reduction, an extension of the temporary terms can be considered in either of the time period increments above, to a maximum of 24 months. Effective December 2010, the timing of the qualifying payment is earlier and updated documentation is required at each extension. These changes are expected to reduce overall entry volumes. In cases where the account is over 60 days past due at the expiration of the temporary modification period, the terms of the modification are made permanent and the payment is kept at the reduced amount for the remaining life of the loan.

U.S Installment Loans
Temporary AOT. This program is targeted to Consumer Finance customers with a temporary hardship. Examples of temporary hardships include a short-term medical disability or a temporary reduction of pay. Under this program, which can include both an interest rate reduction and a term extension, the interest rate is reduced for either a five- or an eleven-month period. At the end of the temporary modification period, the interest rate reverts to the pre-modification rate. To qualify, customers must make a payment at the reduced payment amount prior to the AOT being processed. In addition, customers must provide income verification, while employment is verified and monthly obligations are validated through an updated credit report. If the customer is still undergoing hardship at the conclusion of the temporary payment reduction, an extension of the temporary terms can be considered in either of the time period increments referenced above, to a maximum of 24 months. Effective December 2010, the timing of the qualifying payment is earlier and updated documentation is required at each extension. These changes are expected to reduce overall entry volumes. In cases where the account is over 90 days past due at the expiration of the temporary modification period, the terms of the modification are made permanent and the payment is kept at the reduced amount for the remaining life of the loan.

Short-Term Modification Programs-Summary
The following table sets forth, as of December 31, 2010, information related to Citi's significant short-term U.S. cards, mortgage, and installment loan modification programs:

Average Average time
Program Program interest rate period for
In millions of dollars balance start date (1) reduction reduction
UPP $ 2,757 22 % 12 months
Mortgage
       Temporary AOT 1,701 1Q09 3 8 months
Installment
       Temporary AOT 1,196 1Q09 4 7 months

(1)       Provided if program was introduced after 2008.


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Payment deferrals that do not continue to accrue interest (extensions) primarily occur in the U.S. residential mortgage business. Under an extension, payments that are contractually due are deferred to a later date, thereby extending the maturity date by the number of months of payments being deferred. Extensions assist delinquent borrowers who have experienced short-term financial difficulties that have been resolved by the time the extension is granted. An extension can only be offered to borrowers who are past due on their monthly payments but have since demonstrated the ability and willingness to pay as agreed. Other payment deferrals continue to accrue interest and are not deemed to offer concessions to the customer. Other types of concessions are not material.

Impact of Modification Programs
Citi considers various metrics in analyzing the success of U.S. modification programs. Payment behavior of customers during the modification (both short-term and long-term) is monitored. For short-term modifications, performance is also measured for an additional period of time after the expiration of the concession. Balance reductions and annualized loss rates are also important metrics that are monitored. Based on actual experience, program terms, including eligibility criteria, interest charged and loan tenor, may be refined. The main objective of the modification programs is to reduce the payment burden for the borrower and improve the net present value of Citi's expected cash flows.

Mortgage Modification Programs
With respect to long-term mortgage modification programs, for modifications in the "Other" category (as noted in the "Long-Term Modification Programs - Summary" table above and preceding narrative), generally at 24 months after modification, the total balance reduction has been approximately 32% (as a percentage of the balance at the time of modification), consisting of approximately 20% of paydowns and 12% of net credit losses. In addition, at 18 months after an "Other" loan modification, Citi currently estimates that credit loss rates are reduced by approximately one-third compared to loans that were not modified. 
For modifications under CFNA's long-term AOT program, the total balance reduction has been approximately 13% (as a percentage of the balance at the time of modification) 24 months after modification, consisting of approximately 4% of paydowns and 9% of net credit losses. 
Regarding HAMP, in Citi's experience to date, Citi continues to believe that re-default rates for HAMP modified loans will be significantly lower versus non-HAMP programs. Moreover, the first HAMP modified loans have been on the books for approximately 12 months and, as of December 31, 2010, were exhibiting re-default rates of approximately 15%. The CSM program has less vintage history and limited loss data but is currently tracking to Citi's expectations and is currently expected to perform better than the "Other" modifications discussed above. Generally, the other long-term mortgage modification programs discussed above do not have sufficient history, as of December 31, 2010, to summarize the impact of such programs. Similarly, the short-term AOT program has less vintage history and limited loss data.

Cards Modification Programs
Generally, at 24 months after modification, the total balance reduction for long-term card modification programs is approximately 64% (as a percentage of the balance at the time of modification), consisting of approximately 35% of paydowns and 29% of net credit losses. Citi has also generally observed that these credit losses are approximately one-half lower, depending upon the individual program and vintage, than those of similar card accounts that were not modified. Similarly, twenty-four months after starting a short-term modification, balances are typically reduced by approximately 64% (as a percentage of the balance at the time of modification), consisting of approximately 24% of paydowns and 40% of net credit losses, and Citi has observed that the credit losses are approximately one-fourth lower, depending upon the individual program and vintage, than those of similar accounts that were not modified.
As previously disclosed, Citigroup implemented certain changes to its credit card modification programs beginning in the fourth quarter of 2010, including revisions to the eligibility criteria for such programs. These programs are continually evaluated and additional changes may occur in 2011, depending upon factors such as program performance and overall credit conditions. As a result of these changes, as well as the overall improving portfolio trends, the overall volume of new entrants to Citi's card modification programs decreased, as expected, by approximately 25% during the fourth quarter of 2010 as compared to the third quarter. New entrants to short-term card modification programs decreased by approximately 50% in the fourth quarter of 2010 as compared to the prior quarter. While Citi currently expects these changes to negatively impact net credit losses beginning in 2011, Citi believes overall that net credit losses will continue to improve in 2011 for each of the North America cards businesses. Citi considered these changes to its cards modification programs and their potential effect on net credit losses in determining the loan loss reserve as of December 31, 2010.

Installment Loan Modification Programs
With respect to the long-term CFNA AOT program, the total balance reduction is approximately 49% (as a percentage of the balance at the time of modification) 24 months after modification, consisting of approximately 13% of paydowns and 36% of net credit losses. The short-term Temporary AOT program has less vintage history and limited loss data.


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Consumer Mortgage Representations and Warranties
The majority of Citi's exposure to representation and warranty claims relates to its U.S. Consumer mortgage business.

Representation and Warranties
As of December 31, 2010, Citi services loans previously sold as follows:

In millions December 31, 2010 (1)
Number Unpaid
Vintage sold: of loans principal balance
2005 and prior 1.0 $ 105,931
2006 0.2 34,969
2007 0.2 43,744
2008 0.3 53,759
2009 0.3 60,293
2010 0.3 54,936
Indemnifications (2) 0.9 102,142
Total 3.2 $ 455,774

(1) Excludes the fourth quarter of 2010 sale of servicing rights on 0.1 million loans with unpaid principal balances of approximately $28,745 million. Citi continues to be exposed to representation and warranty claims on those loans.
(2) Represents loans serviced by CitiMortgage that are covered by indemnification agreements relating to previous acquisitions of mortgage servicing rights.

In addition, since 2000, Citi has sold $94 billion of loans to private investors, of which $49 billion were sold through securitizations. As of December 31, 2010, $39 billion of these loans (including $15 billion sold through securitizations) continue to be serviced by Citi and are included in the $456 billion of serviced loans above.
When selling a loan, Citi (through its CitiMortgage business) makes various representations and warranties relating to, among other things, the following:

Citi's ownership of the loan; the validity of the lien securing the loan; the absence of delinquent taxes or liens against the property securing the loan; the effectiveness of title insurance on the property securing the loan; the process used in selecting the loans for inclusion in a transaction; the loan's compliance with any applicable loan criteria established by the buyer; and the loan's compliance with applicable local, state and federal laws.

The specific representations and warranties made by Citi depend on the nature of the transaction and the requirements of the buyer. Market conditions and credit-rating agency requirements may also affect representations and warranties and the other provisions to which Citi may agree in loan sales.

Repurchases or "Make-Whole" Payments
In the event of a breach of these representations and warranties, Citi may be required to either repurchase the mortgage loans (generally at unpaid principal balance plus accrued interest) with the identified defects, or indemnify ("make-whole") the investors for their losses. Citi's representations and warranties are generally not subject to stated limits in amount or time of coverage. However, contractual liability arises only when the representations and warranties are breached and generally only when a loss results from the breach. 
For the years ended December 31, 2010 and 2009, 77% and 64%, respectively, of Citi's repurchases and make-whole payments were attributable to misrepresentation of facts by either the borrower or a third party (e.g., income, employment, debts, FICO, etc.), appraisal issues (e.g., an error or misrepresentation of value), or program requirements (e.g., a loan that does not meet investor guidelines, such as contractual interest rate). To date, there has not been a meaningful difference in incurred or estimated loss for each type of defect.
In the case of a repurchase, Citi will bear any subsequent credit loss on the mortgage loan and the loan is typically considered a credit-impaired loan and accounted for under SOP 03-3, "Accounting for Certain Loans and Debt Securities, Acquired in a Transfer" (now incorporated into ASC 310-30, Receivables-Loans and Debt Securities Acquired with Deteriorated Credit Quality ). These repurchases have not had a material impact on Citi's non-performing loan statistics because credit-impaired purchased SOP 03-3 loans are not included in non-accrual loans, since they generally continue to accrue interest until write-off.
The unpaid principal balance of loans repurchased due to representation and warranty claims for the years ended December 31, 2010 and 2009, respectively, was as follows:

Year ended December 31,
2010 2009
Unpaid principal Unpaid principal
In millions of dollars balance balance
GSEs $ 280 $ 268
Private investors 26 22
Total $ 306 $ 290

As evidenced in the table above, to date, Citi's repurchases have primarily been from the U.S. government sponsored entities (GSEs). In addition, Citi recorded make-whole payments of $310 million and $49 million for the years ended December 31, 2010 and 2009, respectively.


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Repurchase Reserve
Citi has recorded a reserve for its exposure to losses from the obligation to repurchase previously sold loans (referred to as the repurchase reserve) that is included in Other liabilities in the Consolidated Balance Sheet. In estimating the repurchase reserve, Citi considers reimbursements estimated to be received from third-party correspondent lenders and indemnification agreements relating to previous acquisitions of mortgage servicing rights. Citi aggressively pursues collection from any correspondent lender that it believes has the financial ability to pay. The estimated reimbursements are based on Citi's analysis of its most recent collection trends and the financial solvency of the correspondents.
In the case of a repurchase of a credit-impaired SOP 03-3 loan, the difference between the loan's fair value and unpaid principal balance at the time of the repurchase is recorded as a utilization of the repurchase reserve. Make-whole payments to the investor are also treated as utilizations and charged directly against the reserve. The repurchase reserve is estimated when Citi sells loans (recorded as an adjustment to the gain on sale, which is included in Other revenue in the Consolidated Statement of Income) and is updated quarterly. Any change in estimate is recorded in Other revenue .
The repurchase reserve is calculated by individual sales vintage (i.e., the year the loans were sold) and is based on various assumptions. While substantially all of Citi's current loan sales are with GSEs, with which Citi has considerable historical experience, these assumptions contain a level of uncertainty and risk that, if different from actual results, could have a material impact on the reserve amounts. The most significant assumptions used to calculate the reserve levels are as follows:

Loan documentation requests: Assumptions regarding future expected loan documentation requests exist as a means to predict future repurchase claim trends. These assumptions are based on recent historical trends as well as anecdotal evidence and general industry knowledge about the current repurchase environment (e.g., the level of staffing and focus by the GSEs to "put" more loans back to servicers). These factors are considered in the forecast of expected future repurchase claims and changes in these trends could have a positive or negative impact on Citi's repurchase reserve. During 2009 and 2010, loan documentation requests trended higher than in the prior periods, which led to an increase in the repurchase reserve.
Repurchase claims as a percentage of loan documentation requests: Given that loan documentation requests are an indicator of future repurchase claims, an assumption is made regarding the conversion rate from loan documentation requests to repurchase claims. This assumption is also based on historical performance and, if actual rates differ in the future, could also impact repurchase reserve levels. While this percentage was generally stable during 2009, during 2010, Citi observed a slight increase in this conversion rate, meaning Citi observed a slight increase in the number of loan documentation requests converting to repurchase claims. However, in the fourth quarter of 2010, Citi observed an improvement in the conversion rate, meaning that as loan documentation requests increased, the claims as a percentage of such requests have been trending lower. Claims appeal success rate: This assumption represents Citi's expected success at rescinding a claim by satisfying the demand for more information, disputing the claim validity, etc. This assumption is also based on recent historical successful appeals rates. These rates could fluctuate and, in Citi's experience, have historically fluctuated significantly based on changes in the validity or composition of claims. Generally, during 2009 and 2010, Citi's appeal success rate improved from levels in prior periods, which had a favorable impact on the repurchase reserve. Estimated loss given repurchase or make-whole: The assumption of the estimated loss amount per repurchase or make-whole payment, or loss severity, is applied separately for each sales vintage to capture volatile housing price highs and lows. The assumption is based on actual and expected losses of recent repurchases/make-whole payments calculated for each sales vintage year, which are impacted by factors such as macroeconomic indicators, including overall housing values. During 2009 and 2010, including the fourth quarter of 2010, Citi's loss severity increased.

In sum, and as set forth in the table below, during 2009, loan documentation package requests and the level of outstanding claims increased. In addition, Citi's loss severity estimates increased during 2009 due to the impact of macroeconomic factors and its experience with actual losses at such time. These factors contributed to a change in estimate for the repurchase reserve amounting to $492 million for the year ended December 31, 2009. During 2010, loan documentation package requests, the level of outstanding claims and loss severity estimates increased, contributing to a change in estimate for the repurchase reserve amounting to $917 million for the year ended December 31, 2010. In addition, included in Citi's current reserve estimate is an assumption that repurchase claims will remain at elevated levels


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for the near term, although the actual number of claims may differ and is subject to uncertainty. Furthermore, in Citi's experience to date, approximately half of the repurchase claims have been successfully appealed and have resulted in no loss to Citi. The activity in the repurchase reserve for the years ended December 31, 2010 and 2009 was as follows:

Year ended December 31,
In millions of dollars 2010 2009
Balance, beginning of period $ 482 $ 75
Additions for new sales 16 34
Change in estimate 917 492
Utilizations (446 ) (119 )
Balance, end of period $ 969 $ 482

As referenced above, the repurchase reserve is calculated by sales vintage. The majority of the repurchases in 2010 were from the 2006 through 2008 sales vintages, which also represent the vintages with the largest loss severity. An insignificant percentage of 2010 repurchases were from vintages prior to 2006, and Citi anticipates that this percentage will continue to decrease, as those vintages are later in the credit cycle. Although still early in the credit cycle, Citi has to date experienced lower repurchases and loss severity from the 2009 and 2010 vintages.

Sensitivity of Repurchase Reserve
As discussed above, the repurchase reserve estimation process is subject to numerous estimates and judgments. The assumptions used to calculate the repurchase reserve contain a level of uncertainty and risk that, if different from actual results, could have a material impact on the reserve amounts. For example, Citi estimates that if there were a simultaneous 10% adverse change in each of the significant assumptions noted above, the repurchase reserve would increase by approximately $342 million as of December 31, 2010. This potential change is hypothetical and intended to indicate the sensitivity of the repurchase reserve to changes in the key assumptions. Actual changes in the key assumptions may not occur at the same time or to the same degree (i.e., an adverse change in one assumption may be offset by an improvement in another). Citi does not believe it has sufficient information to estimate a range of reasonably possible loss (as defined under ASC 450) relating to its Consumer representations and warranties.

Representation and Warranty Claims-By Claimant
The representation and warranty claims by claimant for the years ended December 31, 2010 and 2009, respectively, were as follows:

Year ended December 31,
2010 2009
Original Original
Number principal Number principal
Dollars in millions of claims balance of claims balance
GSEs 9,512 $ 2,063 5,835 $ 1,218
Private investors 321 73 409 69
Mortgage insurers (1) 268 58 316 65
Total 10,101 $ 2,194 6,560 $ 1,352

(1) Represents the insurer's rejection of a claim for loss reimbursement that has yet to be resolved. To the extent that mortgage insurance will not cover the claim on a loan, Citi may have to make the GSE or private investor whole.

The number of unresolved claims by type of claimant as of December 31, 2010 and 2009, respectively, was as follows:

December 31,
2010 2009
Original Original
Number principal Number principal
Dollars in millions of claims (1) balance of claims balance
GSEs 4,344 $ 954 2,600 $ 572
Private
       investors 163 30 311 40
Mortgage
       insurers 76 17 204 42
Total 4,583 $ 1,001 3,115 $ 654

(1) For GSEs, the response to the repurchase claim is required within 90 days of the claim receipt. If Citi does not respond within 90 days, the claim would then be discussed between Citi and the GSE. For private investors, the time period for responding is governed by the individual sale agreement. If the specified timeframe is exceeded, the investor may choose to initiate legal action.

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Securities and Banking-Sponsored Private Label Residential Mortgage Securitizations-Representations and Warranties
Over the years, S&B has been a sponsor of private-label mortgage-backed securitizations. Mortgage securitizations sponsored by Citi's S&B business represent a much smaller portion of Citi's mortgage business than Citi's Consumer business discussed above.
During the period 2005 through 2008, S&B sponsored approximately $66 billion in private-label mortgage-backed securitization transactions, of which approximately $28 billion remained outstanding at December 31, 2010. These outstanding transactions are backed by loan collateral composed of approximately $7.4 billion prime, $5.9 billion Alt-A and $14.3 billion subprime residential mortgage loans. Citi estimates the actual cumulative losses to date incurred by the issuing trusts on the $66 billion total transactions referenced above have been approximately $6.7 billion.
The mortgages included in these securitizations were purchased from parties outside of S&B, and fewer than 3% of the mortgages currently outstanding were originated by Citi. In addition, fewer than 10% of the currently outstanding mortgage loans underlying these securitization transactions are serviced by Citi. The loans serviced by Citi are included in the $456 billion of residential mortgage loans referenced under "Consumer Mortgage Representations and Warranties" above. (Citi acts as master servicer for certain of the securitization transactions.) 
In connection with such transactions, representations and warranties (representations) relating to the mortgage loans included in each trust issuing the securities were made either by (1) Citi, or (2) in a relatively small number of cases, third-party sellers (Selling Entities, which were also often the originators of the loans). These representations were generally made or assigned to the issuing trust.
The representations in these securitization transactions generally related to, among other things, the following:

the absence of fraud on the part of the mortgage loan borrower, the seller or any appraiser, broker or other party involved in the origination of the mortgage loan (which was sometimes wholly or partially limited to the knowledge of the representation provider); whether the mortgage property was occupied by the borrower as his or her principal residence; the mortgage loan's compliance with applicable federal, state and local laws; whether the mortgage loan was originated in conformity with the originator's underwriting guidelines; and the detailed data concerning the mortgage loans that was included on the mortgage loan schedule.

The specific representations relating to the mortgage loans in each securitization may vary, however, depending on various factors such as the Selling Entity, rating agency requirements and whether the mortgage loans were considered prime, Alt-A or subprime in credit quality.
In the event of a breach of its representations, Citi may be required either to repurchase the mortgage loans with the identified defects (generally at unpaid principal balance plus accrued interest) or indemnify the investors for their losses.

For securitizations in which Citi made representations, these representations typically were similar to those provided to Citi by the Selling Entities, with the exception of certain limited representations required by rating agencies. These latter representations overlapped in some cases with the representations described above.
In cases where Citi made representations and also received those representations from the Selling Entity for that loan, if Citi is the subject of a claim based on breach of those representations in respect of that loan, it may have a contractual right to pursue a similar (back-to-back) claim against the Selling Entity. If only the Selling Entity made representations, then only the Selling Entity should be responsible for a claim based on breach of these representations in respect of that loan. (This discussion only relates to contractual claims based on breaches of representations.)
However, in some cases where Citi made representations and received similar representations from Selling Entities, including a majority of such cases involving subprime and Alt-A collateral, Citi believes that those Selling Entities appear to be in bankruptcy, liquidation or financial distress. In those cases, in the event that claims for breaches of representations were to be made against Citi, the Selling Entities' financial condition may effectively preclude Citi from obtaining back-to-back recoveries against them.
To date, S&B has received only a small number of claims based on breaches of representations relating to the mortgage loans in these securitization transactions. Citi continues to monitor closely this claim activity relating to its S&B mortgage securitizations.
In addition to sponsoring residential mortgage securitization transactions as described above, S&B engages in other residential mortgage-related activities, including underwriting of residential mortgage-backed securities. S&B participated in the underwriting of these S&B -sponsored securitizations, as well as underwritings of other residential mortgage-backed securities sponsored and issued by third parties. 
For additional information on litigation claims relating to these activities, see Note 29 to the Consolidated Financial Statements.


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CORPORATE LOAN DETAILS
For corporate clients and investment banking activities across Citigroup, the credit process is grounded in a series of fundamental policies, in addition to those described under "Managing Global Risk-Risk Management-Overview," above. These include:

joint business and independent risk management responsibility for managing credit risks; a single center of control for each credit relationship that coordinates credit activities with that client; portfolio limits to ensure diversification and maintain risk/capital alignment; a minimum of two authorized credit officer signatures required on extensions of credit, one of which must be from a credit officer in credit risk management; risk rating standards, applicable to every obligor and facility; and consistent standards for credit origination documentation and remedial management.

Corporate Credit Portfolio
The following table represents the corporate credit portfolio (excluding Private Banking), before consideration of collateral, by maturity at December 31, 2010. The corporate portfolio is broken out by direct outstandings that include drawn loans, overdrafts, interbank placements, bankers' acceptances, certain investment securities and leases, and unfunded commitments that include unused commitments to lend, letters of credit and financial guarantees.


At December 31, 2010 At December 31, 2009
Greater Greater
Due than 1 year Greater Due than 1 year Greater
within but within than Total within but within than Total
In billions of dollars 1 year 5 years 5 years exposure 1 year 5 years 5 years exposure
Direct outstandings $ 191 $ 43 $ 8 $ 242 $ 213 $ 66 $ 7 $ 286
Unfunded lending commitments 174 94 19 287 182 120 10 312
Total $ 365 $ 137 $ 27 $ 529 $ 395 $ 186 $ 17 $ 598

Portfolio Mix
The corporate credit portfolio is diverse across counterparty, industry, and geography. The following table shows the percentage of direct outstandings and unfunded commitments by region:

December 31, December 31,
2010 2009
North America 47 % 51 %
EMEA 28 27
Latin America 7 9
Asia 18 13
Total 100 % 100 %

The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products.
Obligor risk ratings reflect an estimated probability of default for an obligor and are derived primarily through the use of statistical models (which are validated periodically), external rating agencies (under defined circumstances) or approved scoring methodologies. Facility risk ratings are assigned, using the obligor risk rating, and then factors that affect the

loss-given default of the facility, such as support or collateral, are taken into account. With regard to climate change risk, factors evaluated include consideration of the business impact, impact of regulatory requirements, or lack thereof, and impact of physical effects on obligors and their assets.
These factors may adversely affect the ability of some obligors to perform and thus increase the risk of lending activities to these obligors. Citigroup also has incorporated climate risk assessment criteria for certain obligors, as necessary. Internal obligor ratings equivalent to BBB and above are considered investment grade. Ratings below the equivalent of the BBB category are considered non-investment grade.


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The following table presents the corporate credit portfolio by facility risk rating at December 31, 2010 and 2009, as a percentage of the total portfolio:

Direct outstandings and
unfunded commitments
December 31, December 31,
2010 2009
AAA/AA/A 56 % 58 %
BBB 26 24
BB/B 13 11
CCC or below 5 7
Unrated - -
Total 100 % 100 %

The corporate credit portfolio is diversified by industry, with a concentration only in the financial sector, including banks, other financial institutions, insurance companies, investment banks and government and central banks. The following table shows the allocation of direct outstandings and unfunded commitments to industries as a percentage of the total corporate portfolio:

Direct outstandings and
unfunded commitments
December 31, December 31,
2010 2009
Government and central banks 12 % 12 %
Banks 10 9
Other financial institutions 10 12
Investment banks 8 5
Petroleum 5 4
Insurance 4 4
Utilities 4 4
Agriculture and food preparation 4 4
Real estate 3 3
Telephone and cable 3 3
Industrial machinery and equipment 3 2
Global information technology 2 2
Metals 2 2
Other industries (1) 30 34
Total 100 % 100 %

(1) Includes all other industries, none of which exceeds 2% of total outstandings.

Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its portfolio, in addition to outright asset sales. The purpose of these transactions is to transfer credit risk to third parties. The results of the mark to market and any realized gains or losses on credit derivatives are reflected in the Principal transactions line on the Consolidated Statement of Income.
At December 31, 2010 and 2009, $49.0 billion and $59.6 billion, respectively, of credit risk exposures were economically hedged. Citigroup's expected loss model used in the calculation of its loan loss reserve does not include the favorable impact of credit derivatives and other risk mitigants. In addition, the reported amounts of direct outstandings and unfunded commitments in this report do not reflect the impact of these hedging transactions. At December 31, 2010 and 2009, the credit protection was economically hedging underlying credit exposure with the following risk rating distribution, respectively:

Rating of Hedged Exposure

December 31, December 31,
2010 2009
AAA/AA/A 53 % 45 %
BBB 32 37
BB/B 11 11
CCC or below 4 7
Total 100 % 100 %

At December 31, 2010 and 2009, the credit protection was economically hedging underlying credit exposures with the following industry distribution, respectively:

Industry of Hedged Exposure

December 31, December 31,
2010 2009
Government 12 % 0 %
Other financial institutions 8 4
Agriculture and food preparation 7 8
Telephone and cable 6 9
Utilities 6 9
Autos 6 6
Metals 5 4
Chemicals 5 8
Petroleum 5 6
Retail 4 4
Insurance 4 4
Industrial machinery and equipment 3 6
Investment banks 3 1
Pharmaceuticals 3 5
Natural gas distribution 2 3
Global information technology 2 3
Other industries (1) 19 20
Total 100 % 100 %

(1) Includes all other industries, none of which is greater than 2% of the total hedged amount.

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EXPOSURE TO COMMERCIAL REAL ESTATE
ICG and the SAP , through their business activities and as capital markets participants, incur exposures that are directly or indirectly tied to the commercial real estate (CRE) market, and LCL and RCB hold loans that are collateralized by CRE. These exposures are represented primarily by the following three categories:
(1) Assets held at fair value include approximately $5.7 billion, of which approximately $4.5 billion are securities, loans and other items linked to CRE that are carried at fair value as trading account assets, approximately $0.7 billion are securities backed by CRE carried at fair value as available-for-sale (AFS) investments, and approximately $0.5 billion are loans held-for-sale. Changes in fair value for these trading account assets are reported in current earnings, while AFS investments are reported in Accumulated other comprehensive income with credit-related other-than-temporary impairments reported in current earnings.
The majority of these exposures are classified as Level 3 in the fair value hierarchy. Over the last several years, weakened activity in the trading markets for some of these instruments resulted in reduced liquidity, thereby decreasing the observable inputs for such valuations, and could continue to have an adverse impact on how these instruments are valued in the future. See Note 25 to the Consolidated Financial Statements.
(2) Assets held at amortized cost include approximately $1.6 billion of securities classified as held-to-maturity (HTM) and approximately $29.3 billion of loans and commitments. HTM securities are accounted for at amortized cost, subject to other-than-temporary impairment. Loans and commitments are recorded at amortized cost, less loan loss reserves. The impact from changes in credit is reflected in the calculation of the allowance for loan losses and in net credit losses.
(3) Equity and other investments include approximately $3.7 billion of equity and other investments, such as limited partner fund investments, that are accounted for under the equity method, which recognizes gains or losses based on the investor's share of the net income of the investee.

The following table provides a summary of Citigroup's global CRE funded and unfunded exposures at December 31, 2010:

December 31,
In billions of dollars 2010
Institutional Clients Group
       CRE exposures carried at fair value (including AFS securities) $ 4.4
       Loans and unfunded commitments 17.5
       HTM securities 1.5
       Equity method investments 3.5
Total ICG $ 26.9
Special Asset Pool
       CRE exposures carried at fair value (including AFS) $ 0.8
       Loans and unfunded commitments 5.1
       HTM securities 0.1
       Equity method investments 0.2
Total SAP $ 6.2
Regional Consumer Banking
       Loans and unfunded commitments $ 2.7
Local Consumer Lending
       Loans and unfunded commitments $ 4.0
Brokerage and Asset Management
       CRE exposures carried at fair value $ 0.5
Total Citigroup $ 40.3

The above table represents the vast majority of Citi's direct exposure to CRE. There may be other transactions that have indirect exposures to CRE that are not reflected in this table.


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MARKET RISK
Market risk encompasses liquidity risk and price risk, both of which arise in the normal course of business of a global financial intermediary. For a discussion of funding and liquidity risk, see "Capital Resources and Liquidity-Funding and Liquidity" above.
       Price risk is the earnings risk from changes in interest rates, foreign exchange rates, and equity and commodity prices, and in their implied volatilities. Price risk arises in non-trading portfolios, as well as in trading portfolios.
Market risks are measured in accordance with established standards to ensure consistency across businesses and the ability to aggregate risk. Each business is required to establish, with approval from Citi's market risk management, a market risk limit framework for identified risk factors that clearly defines approved risk profiles and is within the parameters of Citigroup's overall risk tolerance. In all cases, the businesses are ultimately responsible for the market risks they take and for remaining within their defined limits.

Non-Trading Portfolios Interest Rate Risk
One of Citigroup's primary business functions is providing financial products that meet the needs of its customers. Loans and deposits are tailored to the customers' requirements with regard to tenor, index (if applicable) and rate type. Net interest revenue (NIR) is the difference between the yield earned on the non-trading portfolio assets (including customer loans) and the rate paid on the liabilities (including customer deposits or company borrowings). NIR is affected by changes in the level of interest rates. For example:

At any given time, there may be an unequal amount of assets and liabilities that are subject to market rates due to maturation or repricing. Whenever the amount of liabilities subject to repricing exceeds the amount of assets subject to repricing, a company is considered "liability sensitive." In this case, a company's NIR will deteriorate in a rising rate environment. The assets and liabilities of a company may reprice at different speeds or mature at different times, subjecting both "liability-sensitive" and "asset- sensitive" companies to NIR sensitivity from changing interest rates. For example, a company may have a large amount of loans that are subject to repricing in the current period, but the majority of deposits are not scheduled for repricing until the following period. That company would suffer from NIR deterioration if interest rates were to fall.

       NIR in the current period is the result of customer transactions and the related contractual rates originated in prior periods as well as new transactions in the current period; those prior-period transactions will be impacted by changes in rates on floating-rate assets and liabilities in the current period.
       Due to the long-term nature of portfolios, NIR will vary from quarter to quarter even assuming no change in the shape or level of the yield curve as assets and liabilities reprice. These repricings are a function of implied forward interest rates, which represent the overall market's estimate of future interest rates and incorporate possible changes in the Federal Funds rate as well as the shape of the yield curve.

Interest Rate Risk Governance
The risks in Citigroup's non-traded portfolios are estimated using a common set of standards that define, measure, limit and report the market risk. Each business is required to establish, with approval from independent market risk management, a market risk limit framework that clearly defines approved risk profiles and is within the parameters of Citigroup's overall risk appetite. In all cases, the businesses are ultimately responsible for the market risks they take and for remaining within their defined limits. These limits are monitored by independent market risk, country and business Asset and Liability Committees and the Global Finance and Asset and Liability Committee.

Interest Rate Risk Measurement
Citigroup's principal measure of risk to NIR is interest rate exposure (IRE). IRE measures the change in expected NIR in each currency resulting solely from unanticipated changes in forward interest rates. Factors such as changes in volumes, spreads, margins and the impact of prior-period pricing decisions are not captured by IRE. IRE assumes that businesses make no additional changes in pricing or balances in response to the unanticipated rate changes.
       IRE tests the impact on NIR resulting from unanticipated changes in forward interest rates. For example, if the current 90-day LIBOR rate is 3% and the one-year-forward rate is 5% (i.e., the estimated 90-day LIBOR rate in one year), the +100 bps IRE scenario measures the impact on the company's NIR of a 100 bps instantaneous change in the 90-day LIBOR to 6% in one year.
       The impact of changing prepayment rates on loan portfolios is incorporated into the results. For example, in the declining interest rate scenarios, it is assumed that mortgage portfolios prepay faster and income is reduced. In addition, in a rising interest rate scenario, portions of the deposit portfolio are assumed to experience rate increases that may be less than the change in market interest rates.


97


Mitigation and Hedging of Risk
Financial institutions' financial performance is subject to some degree of risk due to changes in interest rates. In order to manage these risks effectively, Citigroup may modify pricing on new customer loans and deposits, enter into transactions with other institutions or enter into off-balance-sheet derivative transactions that have the opposite risk exposures. Thus, Citigroup regularly assesses the viability of strategies to reduce unacceptable risks to earnings and implements such strategies when it believes those actions are prudent. As information becomes available, Citigroup formulates strategies aimed at protecting earnings from the potential negative effects of changes in interest rates.
Citigroup employs additional measurements, including stress testing the impact of non-linear interest rate movements on the value of the balance sheet; the analysis of portfolio duration and volatility, particularly as they relate to mortgage loans and mortgage-backed securities; and the potential impact of the change in the spread between different market indices.

Non-Trading Portfolios
The exposures in the following table represent the approximate annualized risk to NIR assuming an unanticipated parallel instantaneous 100 bps change, as well as a more gradual 100 bps (25 bps per quarter) parallel change in rates compared with the market forward interest rates in selected currencies.

December 31, 2010 December 31, 2009
In millions of dollars Increase Decrease Increase Decrease
U.S. dollar
Instantaneous change $ (105 ) NM       $ (859 ) NM
Gradual change 25 NM (460 ) NM
Mexican peso
Instantaneous change $ 181 $ (181 ) $ 50         $ (50 )
Gradual change 107 (107 ) 26 (26 )
Euro
Instantaneous change $ (10 ) $ (38 ) $ 85 NM
Gradual change (8 ) 8 47 NM
Japanese yen
Instantaneous change $ 93 NM $ 200 NM
Gradual change 52 NM 116 NM
Pound sterling
Instantaneous change $ 33 $ (20 ) $ (11 ) NM
Gradual change 21 (21 ) (6 ) NM

NM Not meaningful
A 100 bps decrease in interest rates would imply negative rates for the yield curve.

The changes in the U.S. dollar IRE from the prior year reflect revised modeling of mortgages and deposits based on lower rates, pricing changes due to the CARD Act, asset sales, debt issuance and swapping activities, as well as repositioning of the liquidity portfolio.

Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the table above. The U.S. dollar IRE associated with these businesses is $(79) million for a 100 basis point instantaneous increase in interest rates.


The following table shows the risk to NIR from six different changes in the implied-forward rates. Each scenario assumes that the rate change will occur on a gradual basis every three months over the course of one year.

Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6
Overnight rate change (bps) - 100 200 (200 ) (100 ) -
10-year rate change (bps) (100 ) - 100 (100 ) - 100
Impact to net interest revenue (in millions of dollars)           $ (135 )           $ 61           $ (39 ) NM NM           $ (21 )

98


Trading Portfolios
Price risk in trading portfolios is monitored using a series of measures, including:

factor sensitivities; value-at-risk (VAR); and stress testing.

       Factor sensitivities are expressed as the change in the value of a position for a defined change in a market risk factor, such as a change in the value of a Treasury bill for a one-basis-point change in interest rates. Citigroup's independent market risk management ensures that factor sensitivities are calculated, monitored and, in most cases, limited, for all relevant risks taken in a trading portfolio.
       VAR estimates the potential decline in the value of a position or a portfolio under normal market conditions. The VAR method incorporates the factor sensitivities of the trading portfolio with the volatilities and correlations of those factors and is expressed as the risk to Citigroup over a one-day holding period, at a 99% confidence level. Citigroup's VAR is based on the volatilities of and correlations among a multitude of market risk factors as well as factors that track the specific issuer risk in debt and equity securities.

       Stress testing is performed on trading portfolios on a regular basis to estimate the impact of extreme market movements. It is performed on

both individual trading portfolios, and on aggregations of portfolios and businesses. Independent market risk management, in conjunction with the businesses, develops stress scenarios, reviews the output of periodic stress-testing exercises, and uses the information to make judgments as to the ongoing appropriateness of exposure levels and limits.
Each trading portfolio has its own market risk limit framework encompassing these measures and other controls, including permitted product lists and a new product approval process for complex products.
       Total revenues of the trading business consist of:

customer revenue, which includes spreads from customer flow and positions taken to facilitate customer orders; proprietary trading activities in both cash and derivative transactions; and net interest revenue.

       All trading positions are marked to market, with the result reflected in earnings. In 2010, negative trading-related revenue (net losses) was recorded for 55 of 260 trading days. Of the 55 days on which negative revenue (net losses) was recorded, one day was greater than $100 million. The following histogram of total daily revenue or loss captures trading volatility and shows the number of days in which Citigroup's VaR trading-related revenues fell within particular ranges.


Histogram of VAR Daily-Trading Related Revenue-12 Months Ended December 31, 2010

Trading Revenues Comparable to VAR (in millions of dollars)

Citigroup periodically performs extensive back-testing of many hypothetical test portfolios as one check of the accuracy of its VAR. Back-testing is the process in which the daily VAR of a portfolio is compared to the actual daily change in the market value of its transactions. Back-testing is conducted

to confirm that the daily market value losses in excess of a 99% confidence level occur, on average, only 1% of the time. The VAR calculation for the hypothetical test portfolios, with different degrees of risk concentration, meets this statistical criterion.


99


The level of price risk exposure at any given point in time depends on the market environment and expectations of future price and market movements, and will vary from period to period.
For Citigroup's major trading centers, the aggregate pretax VAR in the trading portfolios was $191 million at December 31, 2010 and $205 million at December 31, 2009. Daily exposures averaged $205 million in 2010 and ranged from $145 million to $289 million.
The following table summarizes VAR of Citigroup in the trading portfolios as of December 31, 2010 and 2009, including the total VAR, the specific risk-only component of VAR, and total-general market factors only, along with the yearly averages:

Dec. 31, 2010 Dec. 31, 2009
In millions of dollars 2010 Average 2009 Average
Interest rate      $ 235      $ 234 $ 191 $ 235
Foreign exchange 52 61 45 65
Equity 56 59 69 79
Commodity 19 23 18 34
Covariance adjustment (171 ) (172 ) (118 ) (147 )
Total-all market
       risk factors,
       including general
       and specific risk $ 191 $ 205 $ 205 $ 266
Specific risk-only
component $ 8 $ 18 $ 20 $ 20
Total-general
       market factors only $ 183 $ 187 $ 185 $ 246

The specific risk-only component represents the level of equity and debt issuer-specific risk embedded in VAR.

The table below provides the range of VAR in each type of trading portfolio that was experienced during 2010 and 2009:

2010 2009
In millions of dollars Low High Low High
Interest rate $ 171    $ 315 $ 185 $ 320
Foreign exchange 31 98 18 140
Equity 31 111 46 167
Commodity 15 39 12 50

The following table provides the VAR for Citicorp's Securities and Banking business ( ICG Citicorp VAR, which excludes Consumer) during 2010:

In millions of dollars Dec. 31, 2010
Total-all market risk
       factors, including
       general and specific risk                $ 159
Average-during year $ 151
High-during year 235
Low-during year 99

100


INTEREST REVENUE/EXPENSE AND YIELDS 
Average Rates-Interest Revenue, Interest Expense and Net Interest Margin

Change Change
In millions of dollars 2010 2009 2008 2010 vs. 2009 2009 vs. 2008
Interest revenue $ 80,035 $ 77,306 $ 107,130 4 % (28 )%
Interest expense 24,864 27,700 52,682 (10 ) (47 )
Net interest revenue (1)(2) $ 55,171 $ 49,606 $ 54,448 11 % (9 )%
Interest revenue-average rate 4.57 % 4.80 % 6.17 % (23 ) bps (137 ) bps
Interest expense-average rate 1.59 1.92 3.27 (33 ) bps (135 ) bps
Net interest margin 3.15 3.08 3.13 7  bps (5 ) bps
Interest-rate benchmarks
Federal Funds rate-end of period 0.00–0.25 % 0.00–0.25 % 0.00 – 0.25 % - -
Federal Funds rate-average rate 0.00–0.25 0.00–0.25 2.08 - (183+ ) bps
Two-year U.S. Treasury note-average rate 0.70 % 0.96 % 2.01 % (26 ) bps (105 ) bps
10-year U.S. Treasury note-average rate 3.21 3.26 3.66 (5 ) bps (40 ) bps
10-year vs. two-year spread 251  bps 230  bps 165  bps

(1) Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $519 million, $692 million, and $699 million for 2010, 2009, and 2008, respectively.
(2) Excludes expenses associated with hybrid financial instruments and beneficial interest in consolidated VIEs. These obligations are classified as Long-term debt and accounted for at fair value with changes recorded in Principal transactions .

A significant portion of Citi's business activities are based upon gathering deposits and borrowing money and then lending or investing those funds, or participating in market making activities in tradable securities. The net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest earning assets.

During 2010, NIM was positively impacted by the adoption of SFAS 166/167 as well as by the absence of interest on the $20 billion of TARP trust preferred securities repaid at the end of 2009. However, the continued de-risking of loan portfolios and run-off and sales of higher-yielding assets in Citi Holdings, and investing the proceeds in lower-yielding securities with a shorter duration, put pressure on NIM during 2010. See "Risk Factors" above.


101


AVERAGE BALANCES AND INTEREST RATES-ASSETS (1)(2)(3)(4)

Taxable Equivalent Basis

Average volume Interest revenue % Average rate
In millions of dollars 2010 2009 2008 2010 2009 2008 2010 2009 2008
Assets
Deposits with banks (5) $ 166,120 $ 186,841 $ 77,200 $ 1,252 $ 1,478 $ 3,074 0.75 % 0.79 % 3.98 %
Federal funds sold and securities borrowed
       or purchased under agreements to resell (6)
In U.S. offices $ 162,799 $ 138,579 $ 164,732 $ 1,774 $ 1,975 $ 5,071 1.09 % 1.43 % 3.08 %
In offices outside the U.S. (5) 86,926 63,909 73,833 1,382 1,109 4,079 1.59 1.74 5.52
Total $ 249,725 $ 202,488 $ 238,565 $ 3,156 $ 3,084 $ 9,150 1.26 % 1.52 % 3.84 %
Trading account assets (7)(8)
In U.S. offices $ 128,443 $ 140,233 $ 221,455 $ 4,352 $ 6,975 $ 12,646 3.39 % 4.97 % 5.71 %
In offices outside the U.S. (5) 151,717 126,309 151,071 3,819 3,879 5,115 2.52 3.07 3.39
Total $ 280,160 $ 266,542 $ 372,526 $ 8,171 $ 10,854 $ 17,761 2.92 % 4.07 % 4.77 %
Investments
In U.S. offices
Taxable $ 169,218 $ 124,404 $ 112,071 $ 4,806 $ 6,208 $ 4,846 2.84 % 4.99 % 4.32 %
Exempt from U.S. income tax 14,876 16,489 13,584 1,152 1,347 894 7.75 8.17 6.58
In offices outside the U.S. (5) 136,713 118,988 94,725 5,678 6,047 5,259 4.15 5.08 5.55
Total $ 320,807 $ 259,881 $ 220,380 $ 11,636 $ 13,602 $ 10,999 3.63 % 5.23 % 4.99 %
Loans (net of unearned income) (9)
In U.S. offices $ 430,685 $ 378,937 $ 416,867 $ 34,773 $ 24,748 $ 30,973 8.07 % 6.53 % 7.43