The Quarterly
C 2010 10-K

Citigroup Inc (C) SEC Annual Report (10-K) for 2011

C 2012 10-K
C 2010 10-K C 2012 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, 2011

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 10022
(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, 2011 was approximately $121.3 billion.

Number of shares of common stock outstanding on January 31, 2012: 2,928,662,136

Documents Incorporated by Reference: Portions of the Registrant's Proxy Statement for the annual meeting of stockholders scheduled to be held on April 17, 2012, are incorporated by reference in this Form 10-K in response to Items 10, 11, 12, 13 and 14 of Part III.



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 4–36, 40,
116–121,
124–125,
156, 287–289
1A. Risk Factors 55–65
1B. Unresolved Staff Comments Not Applicable
2. Properties 289
3. Legal Proceedings 267–275
4. Mine Safety Disclosures Not Applicable
Part II
5. Market for Registrant's
Common Equity,
Related Stockholder
Matters, and Issuer
Purchases of
Equity Securities 43, 163, 285,
290–291, 293
6. Selected Financial Data 10–11
7. Management's Discussion
and Analysis of Financial
Condition and Results
of Operations
6–54, 66–115
7A. Quantitative and Qualitative
Disclosures About Market Risk 66–115,
157–158,
181–212,
215–259
8. Financial Statements and
Supplementary Data 131–286
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 292–293, 295*
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 17, 2012, to be filed with the SEC (the Proxy Statement), incorporated herein by reference.
** See "Executive Compensation-The Personnel and Compensation Committee Report," "-Compensation Discussion and Analysis" and "-2011 Summary Compensation Table" and 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 2011 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 10
Five-Year Summary of Selected
Financial Data 10
SEGMENT AND BUSINESS-INCOME (LOSS)
     AND REVENUES 12
CITICORP 14
     Global Consumer Banking 15
North America Regional Consumer Banking 16
EMEA Regional Consumer Banking 18
Latin America Regional Consumer Banking 20
Asia Regional Consumer Banking 22
     Institutional Clients Group 24
Securities and Banking 26
Transaction Services 28
CITI HOLDINGS 30
Brokerage and Asset Management 31
Local Consumer Lending 32
Special Asset Pool 35
CORPORATE/OTHER 36
BALANCE SHEET REVIEW 37
Segment Balance Sheet at December 31, 2011 40
CAPITAL RESOURCES AND LIQUIDITY 41
Capital Resources 41
Funding and Liquidity 47
Off-Balance-Sheet Arrangements 53
CONTRACTUAL OBLIGATIONS 54
RISK FACTORS 55
MANAGING GLOBAL RISK 66
Risk Management-Overview 66
Risk Aggregation and Stress Testing 67
Risk Capital 67
Credit Risk 67
Loans Outstanding 68
Details of Credit Loss Experience 69
Non-Accrual Loans and Assets, and
Renegotiated Loans 71
North America Consumer Mortgage Lending 75
North America Cards 82
Consumer Loan Details 84
Consumer Loan Modification Programs 86
Consumer Mortgage-Representations and
Warranties 88
Securities and Banking-Sponsored Legacy Private-Label
Residential Mortgage Securitizations-
Representations and Warranties 91
Corporate Loan Details 92
Exposure to Commercial Real Estate 94
Market Risk 95
Operational Risk 106
Country and Cross-Border Risk 107
FAIR VALUE ADJUSTMENTS FOR
     DERIVATIVES AND STRUCTURED DEBT 113
CREDIT DERIVATIVES 114
SIGNIFICANT ACCOUNTING POLICIES AND
     SIGNIFICANT ESTIMATES 116
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 137
FINANCIAL DATA SUPPLEMENT (Unaudited) 286
Ratios 286
Average Deposit Liabilities in Offices Outside the U.S. 286
Maturity Profile of Time Deposits ($100,000 or more)
in U.S. Offices 286
SUPERVISION AND REGULATION 287
Customers 288
Competition 288
Properties 289
Legal Proceedings 289
Unregistered Sales of Equity;
Purchases of Equity Securities; Dividends 290
Performance Graph 291
CORPORATE INFORMATION 292
Citigroup Executive Officers 292
CITIGROUP BOARD OF DIRECTORS 295

3


OVERVIEW

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 Global Consumer Banking businesses and Institutional Clients Group ; and Citi Holdings, consisting of Brokerage and Asset Management, Local Consumer Lending and Special Asset Pool . 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 Citi's Web site at www.citigroup.com . Citigroup's recent annual reports on Form 10-K, quarterly reports on Form 10-Q, proxy statements, as well as other filings with the SEC, are available free of charge through the Citi's Web site by clicking on the "Investors" page and selecting "All SEC Filings." The SEC's Web site also contains current reports, 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, 2011, Citi had approximately 266,000 full-time employees compared to approximately 260,000 full-time employees at December 31, 2010.

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.


4


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


* Effective in the first quarter of 2012, Citi will transfer the substantial majority of the retail partner cards business (approximately $45 billion of assets, including approximately $41 billion of loans) from Citi Holdings – Local Consumer Lending to Citicorp- North America RCB .

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


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

5


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

EXECUTIVE SUMMARY

Market and Economic Environment
During 2011, Citigroup remained focused on executing its strategy of growth through increasing the returns on and investments in its core businesses of Citicorp- Global Consumer Banking and Institutional Clients Group -while continuing to reduce the assets and businesses within Citi Holdings in an economically rational manner. While Citi continued to make progress in these areas during the year, its 2011 operating results were impacted by the ongoing challenging operating environment, particularly in the second half of the year, as macroeconomic concerns, including in the U.S. and the Eurozone, weighed heavily on investor and corporate confidence. Market activity was down globally, with a particular impact on capital markets-related activities in the fourth quarter of 2011. This affected Citigroup's results of operations in many businesses, including not only Securities and Banking , but also the Securities and Fund Services business in Transaction Services and investment sales in Global Consumer Banking . Citi believes that the European sovereign debt crisis and its potential impact on the global markets and growth will likely continue to create macro uncertainty and remain an issue until the market, investors and Citi's clients and customers believe that a comprehensive resolution to the crisis is structured, and achievable. Such uncertainty could have a continued negative impact on investor activity, and thus on Citi's activity levels and results of operations, in 2012.
Compounding this continuing macroeconomic uncertainty is the ongoing uncertainty facing Citigroup and its businesses as a result of the numerous regulatory initiatives underway, both in the U.S. and internationally. As of December 31, 2011, regulatory changes in significant areas, such as Citi's future capital requirements and prudential standards, the proposed implementation of the "Volcker Rule" and the proposed regulation of the derivatives markets, were incomplete and significant rulemaking and interpretation remained. See "Risk Factors-Regulatory Risks" below. The continued uncertainty, including the potential costs, associated with the actual implementation of these changes will continue to require significant attention by Citi's management. In addition, it is also not clear what the cumulative impact of regulatory reform will be.

2011 Summary Results

Citigroup
Citigroup reported net income of $11.1 billion and diluted EPS of $3.63 per share in 2011, compared to $10.6 billion and $3.54 per share, respectively, in 2010. In 2011, results included a net positive impact of $1.8 billion from credit valuation adjustments (CVA) on derivatives (excluding monolines), net of hedges, and debt valuation adjustments (DVA) on Citigroup's fair value option debt, compared to a net negative impact of $(469) million in 2010. In addition, Citi has adjusted its 2011 results of operations that were previously announced on January 17, 2012 for an additional $209 million (after tax) charge. This charge relates to the agreement in principle with the United States and state attorneys general announced on February 9, 2012 regarding the settlement of a number of investigations into residential loan servicing and origination litigation, as well as the resolution of related mortgage litigation (see Notes 29, 30 and 32 to the Consolidated Financial Statements). Excluding CVA/DVA, Citi's net income declined $952 million, or 9%, to $9.9 billion in 2011, reflecting lower revenues and higher operating expenses as compared to 2010, partially offset by a significant decline in credit costs.
Citi's revenues of $78.4 billion were down $8.2 billion, or 10%, compared to 2010. Excluding CVA/DVA, revenues of $76.5 billion were down $10.5 billion, or 12%, as lower revenues in Citi Holdings and Securities and Banking more than offset growth in Global Consumer Banking and Transaction Services . Net interest revenues decreased by $5.7 billion, or 11%, to $48.4 billion in 2011 as compared to 2010, primarily due to continued declining loan balances and lower interest-earning assets in Citi Holdings. Non-interest revenues, excluding CVA/DVA, declined by $4.8 billion, or 15%, to $28.1 billion in 2011 as compared to 2010, driven by lower revenues in Citi Holdings and Securities and Banking .
Because of Citi's extensive global operations, foreign exchange translation also impacts Citi's results of operations as Citi translates revenues, expenses, loan balances and other metrics from foreign currencies to U.S. dollars in preparing its financial statements. During 2011, the U.S. dollar generally depreciated versus local currencies in which Citi operates. As a result, the impact of foreign exchange translation (as used throughout this Form 10-K, FX translation) accounted for an approximately 1% growth in Citi's revenues and 2% growth in expenses, while contributing less than 1% to Citi's pretax net income for the year.


6



Expenses
Citigroup expenses were $50.9 billion in 2011, up $3.6 billion, or 8%, compared to 2010. Over two-thirds of this increase resulted from higher legal and related costs (approximately $1.5 billion) and higher repositioning charges (approximately $200 million, including severance) as compared to 2010, as well as the impact of FX translation (approximately $800 million). Excluding these items, expenses were up $1.0 billion, or 2%, compared to the prior year.
Investment spending was $3.9 billion higher in 2011, of which roughly half was funded with efficiency savings, primarily in operations and technology, labor reengineering and business support functions (e.g., call centers and collections) of $1.9 billion. The $3.9 billion increase in investment spending in 2011 included higher investments in Global Consumer Banking ($1.6 billion, including incremental cards marketing campaigns and new branch openings), Securities and Banking (approximately $800 million, including new hires and technology investments) and Transaction Services (approximately $600 million, including new mandates and platform enhancements), as well as additional firm-wide initiatives and investments to comply with regulatory requirements. All other expense increases, including higher volume-related costs in Citicorp, were more than offset by a decline in Citi Holdings expenses. While Citi will continue some level of incremental investment spending in its businesses going forward, Citi currently believes these increases in investments will be self-funded through ongoing reengineering and efficiency savings. Accordingly, Citi believes that the increased level of investment spending incurred during the latter part of 2010 and 2011 was largely completed by year end 2011.
Citicorp expenses were $39.6 billion in 2011, up $3.5 billion, or 10%, compared to 2010. Over one-third of this increase resulted from higher legal and related costs and higher repositioning charges (including severance) as compared to 2010, as well as the impact of FX translation. The remainder of the increase was primarily driven by investment spending (as described above), partially offset by ongoing productivity savings and other expense reductions.
Citi Holdings expenses were $8.8 billion in 2011, down $824 million, or 9%, principally due to the continued decline in assets, partially offset by higher legal and related costs.

Credit Costs
Credit trends for Citigroup continued to improve in 2011, particularly for Citi's North America Citi-branded and retail partner cards businesses, as well as its North America mortgage portfolios in Citi Holdings, although the pace of improvement in these businesses slowed. Citi's total provisions for credit losses and for benefits and claims of $12.8 billion declined $13.2 billion, or 51%, from 2010. Net credit losses of $20.0 billion in 2011 were down $10.8 billion, or 35%, reflecting improvement in both Consumer and Corporate credit trends. Consumer net credit losses declined $10.0 billion, or 35%, to $18.4 billion, driven by continued improvement in credit in North America Citi-branded cards and retail partner cards and North America real estate lending in Citi Holdings. Corporate net credit losses decreased $810 million, or 33%, to $1.6 billion, as credit quality continued to improve in the Corporate portfolio.
The net release of allowance for loan losses and unfunded lending commitments was $8.2 billion in 2011, compared to a net release of $5.8 billion in 2010. Of the $8.2 billion net reserve release in 2011, $5.9 billion related to Consumer and was mainly driven by North America Citi-branded cards and retail partner cards. The $2.3 billion net Corporate reserve release reflected continued improvement in Corporate credit trends, partially offset by loan growth.
More than half of the net credit reserve release in 2011, or $4.8 billion, was attributable to Citi Holdings. The $3.5 billion net credit release in Citicorp increased from $2.2 billion in the prior year, as a higher net release in Citi-branded cards in North America was partially offset by lower net releases in international Regional Consumer Banking and the Corporate portfolio, each driven by loan growth.


7


Capital and Loan Loss Reserve Positions
Citigroup's capital and loan loss reserve positions remained strong at year end 2011. Citigroup's Tier 1 Capital ratio was 13.6% and the Tier 1 Common ratio was 11.8%.
Citigroup's total allowance for loan losses was $30.1 billion at year end 2011, or 4.7% of total loans, down from $40.7 billion, or 6.3% of total loans, at the end of the prior year. The decline in the total allowance for loan losses reflected asset sales, lower non-accrual loans, and overall continued improvement in the credit quality of Citi's loan portfolios. The Consumer allowance for loan losses was $27.2 billion, or 6.45%, of total Consumer loans at year end 2011, compared to $35.4 billion, or 7.80%, of total Consumer loans at year end 2010. See details of "Credit Loss Experience-Allowance for Loan Losses" below for additional information on Citi's loan loss coverage ratios as of December 31, 2011.
Citigroup's non-accrual loans of $11.2 billion at year end 2011 declined 42% from the prior year, and the allowance for loan losses represented 268% of non-accrual loans.

Citicorp
Citicorp net income of $14.4 billion in 2011 decreased by $269 million, or 2%, from the prior year. Excluding CVA/DVA, Citicorp's net income declined $1.6 billion, or 10.6%, to $13.4 billion in 2011, reflecting lower revenues and higher operating expenses, partially offset by the significantly lower credit costs. Asia and Latin America contributed roughly half of Citicorp's net income for the year.
Citicorp revenues were $64.6 billion, down $989 million, or 2%, from 2010. Excluding CVA/DVA, revenues of $62.8 billion were down $3.1 billion, or 5%, as compared to 2010. Net interest revenues decreased by $450 million, or 1%, to $38.1 billion, as lower revenues in North America Regional Consumer Banking and Securities and Banking more than offset growth in Latin America and Asia Regional Consumer Banking and Transaction Services . Non-interest revenues, excluding CVA/DVA, declined by $2.7 billion, or 10%, to $24.7 billion in 2011 as compared to 2010, driven by lower revenues in Securities and Banking .
Global Consumer Banking revenues of $32.6 billion were up $211 million year-over-year, as continued growth in Asia and Latin America Regional Consumer Banking was partially offset by lower revenues in North America Regional Consumer Banking . The 2011 results in Global Consumer Banking included continued momentum in Citi's international regions, as well as early signs of growth in its North America business:

International Regional Consumer Banking revenues of $19.0 billion were up 8% year-over-year (5% excluding the impact of FX translation). International average loans were up 15% and average deposits grew 11% (11% and 8% excluding the impact of FX translation, respectively). International card purchase sales grew 19% (13% excluding the impact of FX translation). Asia achieved positive operating leverage (with year-over-year revenue growth in excess of expense growth) in the third and fourth quarters of 2011, and Latin America achieved positive operating leverage in the fourth quarter. North America Regional Consumer Banking grew revenues, card accounts and card loans sequentially in the second, third and fourth quarters of 2011.

Securities and Banking revenues of $21.4 billion decreased 7% year-over-year. Excluding CVA/DVA (for details on Securities and Banking CVA/DVA amounts, see " Institutional Clients Group-Securities and Banking " below), revenues were $19.7 billion, down 16% from the prior year, due primarily to the continued challenging macroeconomic environment, which resulted in lower revenues across fixed income and equity markets as well as investment banking.
     Fixed income markets revenues, which constituted over 50% of Securities and Banking revenues in 2011, of $10.9 billion, excluding CVA/DVA, decreased 24% in 2011 as compared to 2010, driven primarily by a decline in credit-related and securitized products and, to a lesser extent, a decline in rates and currencies. Equity markets revenues of $2.4 billion, excluding CVA/DVA, were down 35% year-over-year, mainly driven by weak trading performance in equity derivatives as well as losses in equity proprietary trading resulting from the wind down of this business, which was complete as of December 31, 2011. Investment banking revenues of $3.3 billion were down 14% in 2011 as compared to 2010, driven by lower market activity levels across all products. Lending revenues of $1.8 billion were up $840 million, from $962 million in 2010, primarily due to net hedging gains of $73 million in 2011, as compared to net hedging losses of $711 million in 2010, driven by spread tightening in Citi's lending portfolio.
Transaction Services revenues were $10.6 billion in 2011, up 5% from the prior year, driven by growth in Treasury and Trade Solutions as well as Securities and Fund Services. Revenues grew in 2011 in all international regions as strong growth in business volumes was partially offset by continued spread compression. Average deposits and other customer liabilities grew 9% in 2011, while assets under custody remained relatively flat year over year.
Citicorp end of period loans increased 14% in 2011 to $465.4 billion, with 7% growth in Consumer loans and 24% growth in Corporate loans.


8


Citi Holdings
Citi Holdings' net loss of $(2.6) billion in 2011 improved by $1.6 billion as compared to the net loss in 2010. The improvement in 2011 reflected a significant decline in credit costs and lower operating expenses, given the continued decline in assets, partially offset by lower revenues.
While Citi Holdings' impact on Citi has been declining, it will likely continue to present a headwind for Citi's overall performance due to, among other factors, the lower percentage of interest-earning assets remaining in Citi Holdings, the slower pace of asset reductions and the transfer of the substantial majority of retail partner cards out of Citi Holdings into Citicorp- North America Regional Consumer Banking in the first quarter of 2012. During the first quarter of 2012, Citi will republish its historical segment reporting for Citicorp and Citi Holdings to reflect this transfer in prior periods. The adjusted net loss in Citi Holdings for these historical periods will be higher than previously reported, as the retail partner cards business in Local Consumer Lending was the primary source of profitability in Citi Holdings.
     Citi Holdings' revenues declined 33% to $12.9 billion from the prior year. Net interest revenues decreased by $4.5 billion, or 30%, to $10.3 billion, primarily due to the decline in assets, including lower interest-earning assets in the Special Asset Pool . Non-interest revenues declined by $1.9 billion, or 42%, to $2.6 billion in 2011, driven by lower gains on asset sales and other revenue marks as compared to 2010, as well as divestitures.

Citi Holdings' assets declined $90 billion, or 25%, to $269 billion at the end of 2011, although Citi believes the pace of asset wind-down in Citi Holdings will decrease going forward. The decline during 2011 reflected nearly $49 billion in asset sales and business dispositions, $35 billion in net run-off and amortization and approximately $6 billion in net cost of credit and net asset marks. As of December 31, 2011, Local Consumer Lending continued to represent the largest segment within Citi Holdings, with $201 billion of assets. Over half of Local Consumer Lending assets, or approximately $109 billion, were related to North America real estate lending. As of December 31, 2011, there were approximately $10 billion of loan loss reserves allocated to North America real estate lending in Citi Holdings, representing roughly 31 months of coincident net credit loss coverage.
At the end of 2011, Citi Holdings assets comprised approximately 14% of total Citigroup GAAP assets and 25% of its risk-weighted assets. The first quarter of 2012 transfer of the substantial majority of the retail partner cards business (approximately $45 billion of assets, including approximately $41 billion of loans) will result in Citi Holdings comprising approximately 12% of total Citigroup GAAP assets and 21% of risk-weighted assets.


9


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 2011  (1) 2010  (2)(3)   2009  (3) 2008  (3) 2007  (3)
Net interest revenue $ 48,447 $ 54,186 $ 48,496 $ 53,366 $ 45,300
Non-interest revenue 29,906 32,415 31,789 (1,767 ) 32,000
Revenues, net of interest expense $ 78,353 $ 86,601 $ 80,285 $ 51,599 $ 77,300
Operating expenses 50,933 47,375 47,822 69,240 58,737
Provisions for credit losses and for benefits and claims 12,796 26,042 40,262 34,714 17,917
Income (loss) from continuing operations before income taxes $ 14,624 $ 13,184 $ (7,799 ) $ (52,355 ) $ 646
Income taxes (benefits) 3,521 2,233 (6,733 ) (20,326 ) (2,546 )
Income (loss) from continuing operations $ 11,103 $ 10,951 $ (1,066 ) $ (32,029 ) $ 3,192
Income (loss) from discontinued operations, net of taxes (4) 112 (68 ) (445 ) 4,002 708
Net income (loss) before attribution of noncontrolling interests $ 11,215 $ 10,883 $ (1,511 ) $ (28,027 ) $ 3,900
Net income (loss) attributable to noncontrolling interests 148 281 95 (343 ) 283
Citigroup's net income (loss) $ 11,067 $ 10,602 $ (1,606 ) $ (27,684 ) $ 3,617
Less:
       Preferred dividends-Basic $ 26 $ 9 $ 2,988 $ 1,695 $ 36
       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 employee restricted
              and deferred shares that contain nonforfeitable rights to dividends,
              applicable to Basic EPS 186 90 2 221 261
Income (loss) allocated to unrestricted common shareholders for Basic EPS $ 10,855 $ 10,503 $ (9,246 ) $ (29,637 ) $ 3,320
       Less: Convertible preferred stock dividends (5) - - (540 ) (877 ) -
       Add: Interest expense, net of tax, on convertible securities and
              adjustment of undistributed earnings allocated to employee
              restricted and deferred shares that contain nonforfeitable rights to
              dividends, applicable to diluted EPS 17 2 - - -
Income (loss) allocated to unrestricted common shareholders for diluted EPS (5) $ 10,872 $ 10,505 $ (8,706 ) $ (28,760 ) $ 3,320
Earnings per share (6)
Basic
Income (loss) from continuing operations 3.69 3.66 (7.61 ) (63.89 ) 5.32
Net income (loss) 3.73 3.65 (7.99 ) (56.29 ) 6.77
Diluted (5)
Income (loss) from continuing operations $ 3.59 $ 3.55 $ (7.61 ) $ (63.89 ) $ 5.30
Net income (loss) 3.63 3.54 (7.99 ) (56.29 ) 6.74
Dividends declared per common share 0.03 0.00 0.10 11.20 21.60

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

10


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 2011 (1) 2010 (2) 2009 (3) 2008 (3) 2007 (3)
At December 31
Total assets $ 1,873,878 $ 1,913,902 $ 1,856,646 $ 1,938,470 $ 2,187,480
Total deposits 865,936 844,968 835,903 774,185 826,230
Long - term debt 323,505 381,183 364,019 359,593 427,112
Mandatorily redeemable securities of subsidiary trusts (included in long-term debt) 16,057 18,131 19,345 24,060 23,756
Common stockholders' equity 177,494 163,156 152,388 70,966 113,447
Total Citigroup stockholders' equity 177,806 163,468 152,700 141,630 113,447
Direct staff (in thousands) 266 260 265 323 375
Ratios
Return on average common stockholders' equity (7) 6.3 % 6.8 % (9.4 )% (28.8 )% 2.9 %
Return on average total stockholders' equity (7) 6.3 6.8 (1.1 ) (20.9 ) 3.0
Tier 1 Common (8) 11.80 % 10.75 % 9.60 % 2.30 % 5.02 %
Tier 1 Capital 13.55 12.91 11.67 11.92 7.12
Total Capital 16.99 16.59 15.25 15.70 10.70
Leverage (9) 7.19 6.60 6.87 6.08 4.03
Common stockholders' equity to assets 9.47 % 8.52 % 8.21 % 3.66 % 5.19 %
Total Citigroup stockholders' equity to assets 9.49 8.54 8.22 7.31 5.19
Dividend payout ratio (10) 0.8 NM NM NM 320.5
Book value per common share (6) $ 60.70 $ 56.15 $ 53.50 $ 130.21 $ 227.12
Ratio of earnings to fixed charges and preferred stock dividends 1.59 x 1.51 x NM NM 1.01 x

(1) As noted in the "Executive Summary" above, Citi has adjusted its 2011 results of operations that were previously announced on January 17, 2012 for an additional $209 million (after tax) charge. This charge relates to the agreement in principle with the United States and state attorneys general announced on February 9, 2012 regarding the settlement of a number of investigations into residential loan servicing and origination litigation, as well as the resolution of related mortgage litigation. The impact of these adjustments was a $275 million (pretax) increase in Other operating expenses , a $209 million (after-tax) reduction in Net income and a $0.06 (after-tax) reduction in Diluted earnings per share , for the full year of 2011. See Notes 29, 30 and 32 to the Consolidated Financial Statements.
(2) 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.
(3) 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.
(4) Discontinued operations for 2007 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. Discontinued operations for 2007 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 and, for 2011, primarily reflect the sale of the Egg Banking PLC credit card business. See Note 3 to the Consolidated Financial Statements.
(5) 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.
(6) All per share amounts and Citigroup shares outstanding for all periods reflect Citigroup's 1-for-10 reverse stock split, which was effective May 6, 2011.
(7) 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 average total Citigroup stockholders' equity is calculated using net income divided by average Citigroup stockholders' equity.
(8) 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.
(9) The Leverage ratio represents Tier 1 Capital divided by adjusted average total assets.
(10) Dividends declared per common share as a percentage of net income per diluted share.
NM Not meaningful


11


SEGMENT AND BUSINESS - INCOME (LOSS) AND REVENUES

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

CITIGROUP INCOME (LOSS)

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
Income (loss) from continuing operations
CITICORP
Global Consumer Banking
       North America $ 2,589 $ 650 $ 789 NM (18 )%
       EMEA 79 91 (220 ) (13 )% NM
       Latin America 1,601 1,789 429 (11 ) NM
       Asia 1,927 2,131 1,391 (10 ) 53
Total $ 6,196 $ 4,661 $ 2,389 33 % 95 %
Securities and Banking
       North America $ 1,011 $ 2,465 $ 2,369 (59 )% 4 %
       EMEA 2,008 1,805 3,414 11 (47 )
       Latin America 978 1,091 1,558 (10 ) (30 )
       Asia 898 1,138 1,854 (21 ) (39 )
Total $ 4,895 $ 6,499 $ 9,195 (25 )% (29 )%
Transaction Services
       North America $ 447 $ 529 $ 609 (16 )% (13 )%
       EMEA 1,142 1,225 1,299 (7 ) (6 )
       Latin America 645 664 616 (3 ) 8
       Asia 1,173 1,255 1,254 (7 ) -
Total $ 3,407 $ 3,673 $ 3,778 (7 )% (3 )%
       Institutional Clients Group $ 8,302 $ 10,172 $ 12,973 (18 )% (22 )%
Total Citicorp $ 14,498 $ 14,833 $ 15,362 (2 )% (3 )%
CITI HOLDINGS
Brokerage and Asset Management $ (286 ) $ (226 ) $ 6,850 (27 )% NM
Local Consumer Lending (2,834 ) (4,988 ) (10,484 ) 43 52 %
Special Asset Pool 596 1,158 (5,425 ) (49 ) NM
Total Citi Holdings $ (2,524 ) $ (4,056 ) $ (9,059 ) 38 % 55 %
Corporate/Other $ (871 ) $ 174 $ (7,369 ) NM NM
Income (loss) from continuing operations $ 11,103 $ 10,951 $ (1,066 ) 1 % NM
Discontinued operations $ 112 $ (68 ) $ (445 )
Net income attributable to noncontrolling interests 148 281 95 (47 )% NM
Citigroup's net income (loss) $ 11,067 $ 10,602 $ (1,606 ) 4 % NM

NM Not meaningful

12


CITIGROUP REVENUES

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
CITICORP
Global Consumer Banking
       North America $ 13,614 $ 14,790 $ 8,575 (8 )% 72 %
       EMEA 1,479 1,503 1,550 (2 ) (3 )
       Latin America 9,483 8,685 7,883 9 10
       Asia 8,009 7,396 6,746 8 10
Total $ 32,585 $ 32,374 $ 24,754 1 % 31 %
Securities and Banking
       North America $ 7,558 $ 9,393 $ 8,836 (20 )% 6 %
       EMEA 7,221 6,849 10,056 5 (32 )
       Latin America 2,364 2,547 3,435 (7 ) (26 )
       Asia 4,274 4,326 4,813 (1 ) (10 )
Total $ 21,417 $ 23,115 $ 27,140 (7 )% (15 )%
Transaction Services
       North America $ 2,442 $ 2,485 $ 2,525 (2 )% (2 )%
       EMEA 3,486 3,356 3,389 4 (1 )
       Latin America 1,705 1,516 1,391 12 9
       Asia 2,936 2,714 2,513 8 8
Total $ 10,569 $ 10,071 $ 9,818 5 % 3 %
       Institutional Clients Group $ 31,986 $ 33,186 $ 36,958 (4 )% (10 )%
Total Citicorp $ 64,571 $ 65,560 $ 61,712 (2 )% 6 %
CITI HOLDINGS
Brokerage and Asset Management $ 282 $ 609 $ 14,623 (54 )% (96 )%
Local Consumer Lending 12,067 15,826 17,765 (24 ) (11 )
Special Asset Pool 547 2,852 (3,260 ) (81 ) NM
Total Citi Holdings $ 12,896 $ 19,287 $ 29,128 (33 )% (34 )%
Corporate/Other $ 886 $ 1,754 $ (10,555 ) (49 )% NM
Total net revenues $ 78,353 $ 86,601 $ 80,285 (10 )% 8 %

NM Not meaningful

13


CITICORP

Citicorp is Citigroup's global bank for consumers and businesses and represents Citi's core franchises. 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 clients around the world. Citigroup's global footprint provides coverage of the world's emerging economies, which Citi continues to believe represent a strong area of growth. At December 31, 2011, Citicorp had approximately $1.3 trillion of assets and $797 billion of deposits, representing approximately 70% of Citi's total assets and approximately 92% of its deposits.
At December 31, 2011, Citicorp consisted of the following businesses: Global Consumer Banking (which included retail banking and Citi-branded cards in four regions- North America, EMEA, Latin America and Asia ) and Institutional Clients Group (which included Securities and Banking and Transaction Services ).

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
       Net interest revenue $ 38,135 $ 38,585 $ 34,197 (1 )% 13 %
       Non-interest revenue 26,436 26,975 27,515 (2 ) (2 )
Total revenues, net of interest expense $ 64,571 $ 65,560 $ 61,712 (2 )% 6 %
Provisions for credit losses and for benefits and claims
Net credit losses $ 8,307 $ 11,789 $ 6,155 (30 )% 92 %
Credit reserve build (release) (3,544 ) (2,167 ) 2,715 (64 ) NM
Provision for loan losses $ 4,763 $ 9,622 $ 8,870 (50 )% 8 %
Provision for benefits and claims 152 151 164 1 (8 )
Provision for unfunded lending commitments 92 (32 ) 138 NM NM
Total provisions for credit losses and for benefits and claims $ 5,007 $ 9,741 $ 9,172 (49 )% 6 %
Total operating expenses $ 39,620 $ 36,144 $ 32,698 10 % 11 %
Income from continuing operations before taxes $ 19,944 $ 19,675 $ 19,842 1 % (1 )%
Provisions for income taxes 5,446 4,842 4,480 12 8 %
Income from continuing operations $ 14,498 $ 14,833 $ 15,362 (2 )% (3 )%
Net income attributable to noncontrolling interests 56 122 68 (54 ) 79
Citicorp's net income $ 14,442 $ 14,711 $ 15,294 (2 )% (4 )%
Balance sheet data (in billions of dollars)
Total EOP assets $ 1,319 $ 1,284 $ 1,138 3 % 13 %
Average assets $ 1,358 $ 1,257 $ 1,088 8 % 16 %
Total EOP deposits 797 760 734 5 4

NM Not meaningful

14


GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB) consists of Citigroup's four geographical Regional Consumer Banking (RCB) businesses that provide traditional banking services to retail customers. As of December 31, 2011, GCB also contained Citigroup's branded cards and local commercial banking businesses and, effective in the first quarter of 2012, will also include its retail partner cards business. GCB is a globally diversified business with nearly 4,200 branches in 39 countries around the world. At December 31, 2011, GCB had $340 billion of assets and $313 billion of deposits.

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
Net interest revenue $ 23,090 $ 23,184 $ 16,353 - 42 %
Non-interest revenue 9,495 9,190 8,401 3 % 9
Total revenues, net of interest expense $ 32,585 $ 32,374 $ 24,754 1 % 31 %
Total operating expenses $ 18,933 $ 16,547 $ 15,125 14 % 9 %
       Net credit losses $ 7,688 $ 11,216 $ 5,395 (31 )% NM
       Credit reserve build (release) (2,988 ) (1,541 ) 1,823 (94 ) NM
       Provisions for unfunded lending commitments 3 (3 ) - NM -
       Provision for benefits and claims 152 151 164 1 (8 )%
Provisions for credit losses and for benefits and claims $ 4,855 $ 9,823 $ 7,382 (51 )% 33 %
Income (loss) from continuing operations before taxes $ 8,797 $ 6,004 $ 2,247 47 % NM
Income taxes (benefits) 2,601 1,343 (142 ) 94 NM
Income (loss) from continuing operations $ 6,196 $ 4,661 $ 2,389 33 % 95 %
Net income (loss) attributable to noncontrolling interests - (9 ) - 100 -
Net income (loss) $ 6,196 $ 4,670 $ 2,389 33 % 95 %
Average assets (in billions of dollars) $ 335 $ 309 $ 242 8 % 28 %
Return on assets 1.85 % 1.51 % 0.99 %
Total EOP assets $ 340 $ 328 $ 255 4 29
Average deposits (in billions of dollars) 311 295 275 5 7
Net credit losses as a percentage of average loans 3.25 % 5.11 % 3.62 %
Revenue by business
       Retail banking $ 16,229 $ 15,767 $ 14,782 3 % 7 %
       Citi-branded cards 16,356 16,607 9,972 (2 ) 67
Total $ 32,585 $ 32,374 $ 24,754 1 % 31 %
Income (loss) from continuing operations by business
       Retail banking $ 2,529 $ 3,082 $ 2,387 (18 )% 29 %
       Citi-branded cards 3,667 1,579 2 NM NM
Total $ 6,196 $ 4,661 $ 2,389 33 % 95 %

NM Not meaningful

15


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. Effective in the first quarter of 2012, NA RCB will also include the substantial majority of Citi's retail partner cards business, which will add approximately $45 billion of assets, including $41 billion of loans, to NA RCB . NA RCB's 1,016 retail bank branches and 12.7 million customer accounts, as of December 31, 2011, 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, 2011, NA RCB had $38.9 billion of retail banking loans and $148.8 billion of deposits. In addition, NA RCB had 22.0 million Citi-branded credit card accounts, with $75.9 billion in outstanding card loan balances.

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
Net interest revenue $ 10,367 $ 11,216 $ 5,206 (8 )% NM
Non-interest revenue 3,247 3,574 3,369 (9 ) 6 %
Total revenues, net of interest expense $ 13,614 $ 14,790 $ 8,575 (8 )% 72 %
Total operating expenses $ 7,329 $ 6,163 $ 5,890 19 % 5 %
       Net credit losses $ 4,949 $ 8,019 $ 1,152 (38 )% NM
       Credit reserve build (release) (2,740 ) (312 ) 527 NM NM
       Provisions for benefits and claims 22 24 50 (8 ) (52 )%
Provisions for loan losses and for benefits and claims $ 2,231 $ 7,731 $ 1,729 (71 )% NM
Income from continuing operations before taxes $ 4,054 $ 896 956 NM (6 )%
Income taxes 1,465 246 167 NM 47
Income from continuing operations $ 2,589 $ 650 $ 789 NM (18 )%
Net income attributable to noncontrolling interests - - - - -
Net income $ 2,589 $ 650 $ 789 NM (18 )%
Average assets (in billions of dollars) $ 123 $ 119 $ 73 3 % 63 %
Average deposits (in billions of dollars) 145 145 141 - 3
Net credit losses as a percentage of average loans 4.60 % 7.48 % 2.43 %
Revenue by business
       Retail banking $ 5,111 $ 5,325 $ 5,236 (4 )% 2 %
       Citi-branded cards 8,503 9,465 3,339 (10 ) NM
Total $ 13,614 $ 14,790 $ 8,575 (8 )% 72 %
Income (loss) from continuing operations by business
       Retail banking $ 488 $ 762 $ 751 (36 )% 1 %
       Citi-branded cards 2,101 (112 ) 38 NM NM
Total $ 2,589 $ 650 $ 789 NM (18 )%
Total GAAP revenues $ 13,614 $ 14,790 $ 8,575 (8 )% 72 %
       Net impact of credit card securitizations activity (1) - - 6,672
Total managed revenues $ 13,614 $ 14,790 $ 15,247 (3 )%
Total GAAP net credit losses $ 4,949 $ 8,019 $ 1,152 (38 )% NM
       Impact of credit card securitizations activity (1) - - 6,931
Total managed net credit losses $ 4,949 $ 8,019 $ 8,083 (1 )%

(1) See Note 1 to the Consolidated Financial Statements for a discussion of the impact of SFAS 166/167.
NM Not meaningful

2011 vs. 2010
Net income increased $1.9 billion as compared to the prior year, driven by higher loan loss reserve releases and an improvement in net credit losses, partly offset by lower revenues and higher expenses. Citi does not expect the same level of loan loss reserve releases in NA RCB in 2012 as it believes credit costs in the business have generally stabilized.

Revenues decreased 8% mainly due to lower net interest margin and loan balances in the Citi-branded cards business as well as lower mortgage-related revenues, primarily relating to lower refinancing activity and lower margins as compared to the prior year.


16


Net interest revenue decreased 8%, driven primarily by lower cards net interest margin which was negatively impacted by the look-back provision of The Credit Card Accountability Responsibility and Disclosure Act (CARD Act). As previously disclosed, the look-back provision of the CARD Act generally requires a review to be done once every six months for card accounts where the annual percentage rate (APR) has been increased since January 1, 2009 to assess whether changes in credit risk, market conditions or other factors merit a future decline in the APR. In addition, net interest margin for cards was negatively impacted by higher promotional balances and lower total average loans. As a result, cards net interest revenue as a percentage of average loans decreased to 9.48% from 10.28% in the prior year. Citi expects margin growth to remain under pressure into 2012 given the continued investment spending in the business during 2012, which largely began in the second half of 2011.
Non-interest revenue decreased 9%, primarily due to lower gains from the sale of mortgage loans as Citi held more loans on-balance sheet. In addition, the decline in non-interest revenue reflected lower banking fee income.
Expenses increased 19%, primarily driven by the higher investment spending in the business during the second half of 2011, particularly in cards marketing and technology, and increases in litigation accruals related to the interchange litigation (see Note 29 to the Consolidated Financial Statements).
Provisions decreased $5.5 billion, or 71%, primarily due to a loan loss reserve release of $2.7 billion in 2011, compared to a loan loss reserve release of $0.3 billion in 2010, and lower net credit losses in the Citi-branded cards portfolio. Cards net credit losses were down $3.0 billion, or 39%, from 2010, and the net credit loss ratio decreased 366 basis points to 6.36% for 2011. The decline in credit costs was driven by improving credit conditions as well as continued stricter underwriting criteria, which lowered the cards risk profile. As referenced above, Citi believes the improvements in, and Citi's resulting benefit from, declining credit costs in NA RCB will likely slow into 2012.

2010 vs. 2009
Net income declined by $139 million, or 18%, as compared to the prior year, driven by higher credit costs due to Citi's adoption of SFAS 166/167, partially offset by higher revenues.
Revenues 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 declined 3% from the prior year, mainly due to lower volumes in Citi-branded cards as well as the net impact of the CARD Act on cards revenues. This decrease was partially offset by better mortgage-related revenues driven by higher refinancing activity.
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 decline in cards was driven by the stricter underwriting criteria referenced above as well as the impact of CARD Act. The increase in deposit volumes, up 3% from the prior year, was offset by lower spreads due to the then-current interest rate environment.
Non-interest revenue increased 6% on a comparable basis from the prior year mainly driven by better servicing hedge results and higher gains on sale from the sale of mortgage loans.
Expenses increased 5% from the prior year, driven by the impact of higher litigation accruals, primarily in the first quarter of 2010, and higher marketing costs.
Provisions 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 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 coupled with lower net credit losses in the 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.


17


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 retail banking and cards activities in Western Europe are included in Citi Holdings). The countries in which EMEA RCB has the largest presence are Poland, Turkey, Russia and the United Arab Emirates. At December 31, 2011, EMEA RCB had 292 retail bank branches with 3.7 million customer accounts, $4.2 billion in retail banking loans and $9.5 billion in deposits. In addition, the business had 2.6 million Citi-branded card accounts with $2.7 billion in outstanding card loan balances.

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
Net interest revenue $ 893 $ 923 $ 974 (3 )% (5 )%
Non-interest revenue 586 580 576 1 1
Total revenues, net of interest expense $ 1,479 $ 1,503 $ 1,550 (2 )% (3 )%
Total operating expenses $ 1,287 $ 1,179 $ 1,120 9 % 5 %
       Net credit losses $ 172 $ 316 $ 472 (46 )% (33 )%
       Provision for unfunded lending commitments 3 (4 ) - NM -
       Credit reserve build (release) (118 ) (118 ) 310 - NM
Provisions for loan losses $ 57 $ 194 $ 782 (71 )% (75 )%
Income (loss) from continuing operations before taxes $ 135 $ 130 $ (352 ) 4 % NM
Income taxes (benefits) 56 39 (132 ) 44 NM
Income (loss) from continuing operations $ 79 $ 91 $ (220 ) (13 )% NM
Net income (loss) attributable to noncontrolling interests - (1 ) - 100 -
Net income (loss) $ 79 $ 92 $ (220 ) (14 )% NM
Average assets (in billions of dollars) $ 10 $ 10 $ 11 - (9 )%
Return on assets 0.79 % 0.92 % (2.01 )%
Average deposits (in billions of dollars) $ 10 $ 9 $ 9 11 -
Net credit losses as a percentage of average loans 2.38 % 4.45 % 5.64 %
Revenue by business
       Retail banking $ 811 $ 822 $ 884 (1 )% (7 )%
       Citi-branded cards 668 681 666 (2 ) 2
Total $ 1,479 $ 1,503 $ 1,550 (2 )% (3 )%
Income (loss) from continuing operations by business
       Retail banking $ (56 ) $ (54 ) $ (188 ) (4 )% 71 %
       Citi-branded cards 135 145 (32 ) (7 ) NM
Total $ 79 $ 91 $ (220 ) (13 )% NM

NM Not meaningful

2011 vs. 2010
Net income declined 14% as compared to the prior year as an improvement in net credit losses was partially offset by lower revenues and higher expenses from increased investment spending. During 2011, the U.S. dollar generally depreciated versus local currencies. As a result, the impact of FX translation accounted for an approximately 1% growth in revenues and expenses, respectively.
Revenues declined 2% driven by the continued liquidation of higher yielding non-strategic customer portfolios and a lower contribution from Akbank, Citi's equity investment in Turkey. The revenue decline was partly offset by the impact of FX translation and improved underlying trends in the core lending portfolio, discussed below.
Net interest revenue declined 3% due to the continued decline in the higher yielding non-strategic retail banking portfolio and spread compression in the Citi-branded cards portfolio. Interest rate caps on credit cards, particularly in Turkey and Poland, contributed to the lower spreads in the cards portfolio.

Non-interest revenue increased 1%, reflecting higher investment sales and cards fees, partly offset by the lower contribution from Akbank. Underlying drivers continued to show growth as investment sales grew 28% from the prior year and cards purchase sales grew 14%.
Expenses increased 9%, due to the impact of FX translation, investment spending and higher transactional expenses, partly offset by continued savings initiatives. Expenses could remain at elevated levels in 2012 given continued investment spending.
Provisions were 71% lower than the prior year driven by a reduction in net credit losses. Net credit losses decreased 46%, reflecting the continued credit quality improvement during the year, stricter underwriting criteria and the move to lower risk products. Loan loss reserve releases were flat. Assuming the underlying core portfolio continues to grow and season in 2012, Citi expects credit costs to rise.


18


2010 vs. 2009
Net income improved by $313 million, driven by the reduction in credit costs, partly offset by lower revenues and higher expenses. During 2010, the U.S. dollar generally appreciated versus local currencies. As a result, the impact of FX translation accounted for an approximately 1% decline in revenues and expenses, respectively.
Revenues declined 3% driven by FX translation and the continued liquidation of non-strategic customer portfolios. Net interest revenue was 5% lower due to the continued decline in the higher yielding non-strategic retail banking portfolio. In 2010, Citi focused its lending strategy around higher credit quality customers who tend to revolve less, meaning they have lower average balances than customers previously had. While this led to lower credit costs, it also negatively impacted Net interest revenue as customers paid off their loans more quickly. Non-interest revenue increased 1%, reflecting higher investment sales and a higher contribution from Citi's equity investment in Akbank.
Expenses increased 5%, due to account acquisition-focused investment spending and volumes. As the average customer credit quality improved, Citi focused on volume growth to compensate for the lower revenue. The expansion of the sales force in 2010 drove some of the expense increase as compared to 2009.
Provisions decreased 75% from the prior year driven by reduction in net credit losses and higher loan loss reserve releases. Net credit losses decreased 33%, reflecting continued credit quality improvement and the move to lower risk products.


19


LATIN AMERICA REGIONAL CONSUMER BANKING
Latin America Regional Consumer Banking (LATAM RCB) provides traditional banking and 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, 2011, LATAM RCB overall had 2,221 retail branches, with 29.2 million customer accounts, $24.0 billion in retail banking loans and $44.8 billion in deposits. In addition, the business had 12.9 million Citi-branded card accounts with $13.7 billion in outstanding loan balances.

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
Net interest revenue $ 6,465 $ 5,968 $ 5,365 8 % 11 %
Non-interest revenue 3,018 2,717 2,518 11 8
Total revenues, net of interest expense $ 9,483 $ 8,685 $ 7,883 9 % 10 %
Total operating expenses $ 5,734 $ 5,159 $ 4,550 11 % 13 %
       Net credit losses $ 1,684 $ 1,868 $ 2,432 (10 )% (23 )%
       Credit reserve build (release) (67 ) (823 ) 463 92 NM
       Provision for benefits and claims 130 127 114 2 11
Provisions for loan losses and for benefits and claims $ 1,747 $ 1,172 $ 3,009 49 % (61 )%
Income (loss) from continuing operations before taxes $ 2,002 $ 2,354 $ 324 (15 )% NM
Income taxes (benefits) 401 565 (105 ) (29 ) NM
Income (loss) from continuing operations $ 1,601 $ 1,789 $ 429 (11 )% NM
Net (loss) attributable to noncontrolling interests - (8 ) - 100 -
Net income (loss) $ 1,601 $ 1,797 $ 429 (11 )% NM
Average assets (in billions of dollars) $ 80 $ 73 $ 66 10 % 11 %
Return on assets 2.00 % 2.45 % 0.65 %
Average deposits (in billions of dollars) $ 46 $ 41 $ 36 12 % 14 %
Net credit losses as a percentage of average loans 4.64 % 6.05 % 8.52 %
Revenue by business
       Retail banking $ 5,482 $ 5,034 $ 4,401 9 % 14 %
       Citi-branded cards 4,001 3,651 3,482 10 5
Total $ 9,483 $ 8,685 $ 7,883 9 % 10 %
Income (loss) from continuing operations by business
       Retail banking $ 923 $ 938 $ 657 (2 )% 43 %
       Citi-branded cards 678 851 (228 ) (20 ) NM
Total $ 1,601 $ 1,789 $ 429 (11 )% NM

NM Not meaningful

2011 vs. 2010
Net income declined 11% as lower loan loss reserve releases more than offset increased operating margin. During 2011, the U.S. dollar generally depreciated versus local currencies. As a result, FX translation contributed approximately 2% to the growth in each of revenues and expenses.
Revenues increased 9% primarily due to higher volumes as well as the impact of FX translation. Net interest revenue increased 8% driven by the continued growth in lending and deposit volumes, partially offset by continued spread compression. The declining rate environment negatively impacted Net interest revenue as interest revenue declined at a faster pace than interest expense. Spread compression was also driven by the continued move towards customers with a lower risk profile and stricter underwriting criteria, especially in the branded cards portfolio. Non-interest revenue increased 11%, predominantly driven by an increase in banking fee income from credit card purchase sales, which grew 22%.

Expenses increased 11% due to higher volumes and investment spending, including increased marketing and customer acquisition costs as well as new branches. These increased expenses were partially offset by continued savings initiatives. The increase in the level of investment spending in the business was largely completed at the end of 2011.
Provisions increased 49% reflecting lower loan loss reserve releases in 2011 as compared to 2010. Towards the end of 2011, there was a build in the loan loss reserves, primarily driven by increased volumes, particularly in the personal loan portfolio in Mexico. Net credit losses declined 10%, driven primarily by improvements in the Mexico cards portfolio. The cards net credit loss ratio declined from 11.7% in 2010 to 8.8% in 2011, driven in part by the continued move towards customers with a lower risk profile and stricter underwriting criteria. Citi currently expects the Citi-branded cards net credit loss ratio to stabilize in 2012 as new loans continue to season. Credit costs will likely increase in line with portfolio growth.


20


2010 vs. 2009
Net income increased $1.4 billion driven by lower credit costs as Citi released reserves in 2010 as compared to reserve builds in 2009. During 2010, the U.S. dollar generally appreciated versus local currencies. As a result, FX translation contributed approximately 5% to the decline in both revenues and expenses.
Revenues increased 10%. Net interest revenue increased 11% as higher loan volumes, particularly in the retail bank, offset the effect of spread compression. Spread compression was driven by the lower interest rates and move towards the above referenced lower risk customer base. Non-interest revenue increased 8% due to higher banking fee income from increased purchase sale activity and FX translation.
Expenses increased 13% due to FX translation as well as higher volumes and transaction-related expenses as economic conditions improved. The increase in expenses was also due to increased investment spending, including new cards acquisitions and new branches.
Provisions decreased 61% primarily reflecting loan loss reserve releases of $823 million compared to a build of $463 million in the prior year as well as a $564 million improvement in net credit losses. The increase in loan loss reserve releases and decrease in net credit losses primarily resulted from improved credit conditions and portfolio quality in the Citi-branded cards portfolio, primarily in Mexico, as well as the move to customers with a lower risk profile and stricter underwriting criteria referenced above.


21


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. Citi's Japan Consumer Finance business, which Citi has been exiting since 2008, is included in Citi Holdings (see "Citi Holdings- Local Consumer Lending " below). At December 31, 2011, Asia RCB had 671 retail branches, 16.3 million customer accounts, $66.2 billion in retail banking loans and $109.7 billion in deposits. In addition, the business had 15.9 million Citi-branded card accounts with $21.0 billion in outstanding loan balances.

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
Net interest revenue $ 5,365 $ 5,077 $ 4,808 6 % 6 %
Non-interest revenue 2,644 2,319 1,938 14 20
Total revenues, net of interest expense $ 8,009 $ 7,396 $ 6,746 8 % 10 %
Total operating expenses $ 4,583 $ 4,046 $ 3,565 13 % 13 %
       Net credit losses $ 883 $ 1,013 $ 1,339 (13 )% (24 )%
       Credit reserve build (release) (63 ) (287 ) 523 78 NM
Provisions for loan losses and for benefits and claims $ 820 $ 726 $ 1,862 13 % (61 )%
Income from continuing operations before taxes $ 2,606 $ 2,624 $ 1,319 (1 )% 99 %
Income taxes (benefits) 679 493 (72 ) 38 NM
Income from continuing operations $ 1,927 $ 2,131 $ 1,391 (10 )% 53 %
Net income attributable to noncontrolling interests - - - - -
Net income $ 1,927 $ 2,131 $ 1,391 (10 )% 53 %
Average assets (in billions of dollars) $ 122 $ 108 $ 93 13 % 16 %
Return on assets 1.58 % 1.97 % 1.50 %
Average deposits (in billions of dollars) $ 110 $ 100 $ 89 10 % 12 %
Net credit losses as a percentage of average loans 1.03 % 1.37 % 2.07 %
Revenue by business
       Retail banking $ 4,825 $ 4,586 $ 4,261 5 % 8 %
       Citi-branded cards 3,184 2,810 2,485 13 13
Total $ 8,009 $ 7,396 $ 6,746 8 % 10 %
Income from continuing operations by business
       Retail banking $ 1,174 $ 1,436 $ 1,167 (18 )% 23 %
       Citi-branded cards 753 695 224 8 NM
Total $ 1,927 $ 2,131 $ 1,391 (10 )% 53 %
NM Not meaningful

2011 vs. 2010
Net income decreased 10%, driven by higher operating expenses, lower loan loss reserve releases and a higher effective tax rate, partially offset by growth in revenue. The higher effective tax rate was due to lower tax benefits (APB 23) and a tax charge of $66 million due to a write-down in the value of deferred tax assets due to a change in the tax law, each in Japan. During 2011, the U.S. dollar generally depreciated versus local currencies. As a result, the impact of FX translation accounted for an approximately 5% growth in revenues and expenses.
Revenues increased 8%, primarily driven by higher business volumes and the impact of FX translation, partially offset by continued spread compression and $65 million of net charges relating to the repurchase of certain Lehman

structured notes (see Note 29 to the Consolidated Financial Statements). Net interest revenue increased 6%, as investment initiatives and sustained economic growth in the region continued to drive higher lending and deposit volumes. Spread compression continued to partly offset the benefit of higher balances and continued to be driven by stricter underwriting criteria resulting in a lowering of the risk profile for personal and other loans. Spread compression will likely continue to have a negative impact on net interest revenue in the near-term. Non-interest revenue increased 14%, primarily due to a 17% increase in Citi-branded cards purchase sales and higher revenues from foreign exchange products, partially offset by a 12% decrease in investment sales, particularly in the second half of 2011, and the net charges for the repurchase of certain Lehman structured notes.


22


Expenses increased 13% due to continued investment spending, growth in business volumes, repositioning charges and higher legal and related expenses, as well as the impact of FX translation, partially offset by ongoing productivity savings. The increase in the level of incremental investment spending in the business was largely completed at the end of 2011.
Provisions increased 13% as lower loan loss reserve releases were partially offset by lower net credit losses. The increase in credit provisions reflected the increasing volumes in the region, partially offset by continued credit quality improvement. India remained a significant driver of the improvement in credit quality, as it continued to de-risk elements of its legacy portfolio. Citi believes that provisions could continue to increase as the portfolio continues to grow and season.

2010 vs. 2009
Net income increased 53%, driven by growth in revenue and a decrease in provisions, partially offset by higher operating expenses and a higher effective tax rate. During 2010, the U.S. dollar generally depreciated versus local currencies. As a result, the impact of FX translation accounted for approximately 6% growth in revenues, and 7% growth in expenses.
Revenues increased 10%, driven by higher business volumes and the impact of FX translation, partially offset by spread compression. Net interest revenue increased 6%, as investment initiatives and sustained economic growth in the region drove higher lending and deposit volumes, which were partly offset by the spread compression. Non-interest revenue increased 20%, primarily due to higher investment sales and a 19% increase in Citi-branded cards purchase sales.
Expenses increased 13%, due to growth in business volumes, investment spending and the impact of FX translation.
Provisions decreased 61%, mainly due to the net impact of a loan loss reserve release of $287 million in 2010, compared to a $523 million loan loss reserve build in 2009 and a 24% decline in net credit losses. The decrease in provisions reflected continued credit quality improvement across the region, particularly in India, partially offset by the increasing volumes in the region.


23


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 around the world with a full range of products and services, including cash management, foreign exchange, trade finance and services, securities services, sales and trading, institutional brokerage, underwriting, lending and advisory services. ICG 's international presence is supported by trading floors in approximately 75 countries and jurisdictions and a proprietary network within Transaction Services in over 95 countries and jurisdictions. At December 31, 2011, ICG had $979 billion of assets and $484 billion of deposits.

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
Commissions and fees $ 4,447 $ 4,266 $ 4,197 4 % 2 %
Administration and other fiduciary fees 2,775 2,751 2,855 1 (4 )
Investment banking 3,029 3,520 4,687 (14 ) (25 )
Principal transactions 4,873 5,567 5,626 (12 ) (1 )
Other 1,817 1,681 1,749 8 (4 )
Total non-interest revenue $ 16,941 $ 17,785 $ 19,114 (5 )% (7 )%
Net interest revenue (including dividends) 15,045 15,401 17,844 (2 ) (14 )
Total revenues, net of interest expense $ 31,986 $ 33,186 $ 36,958 (4 )% (10 )%
Total operating expenses 20,687 19,597 17,573 6 12
       Net credit losses 619 573 760 8 (25 )
       Provision (release) for unfunded lending commitments 89 (29 ) 138 NM NM
       Credit reserve build (release) (556 ) (626 ) 892 11 NM
Provisions for loan losses and benefits and claims $ 152 $ (82 ) $ 1,790 NM NM
Income from continuing operations before taxes $ 11,147 $ 13,671 $ 17,595 (18 )% (22 )%
Income taxes 2,845 3,499 4,622 (19 ) (24 )
Income from continuing operations $ 8,302 $ 10,172 $ 12,973 (18 )% (22 )%
Net income attributable to noncontrolling interests 56 131 68 (57 ) 93
Net income $ 8,246 $ 10,041 $ 12,905 (18 )% (22 )%
Average assets ( in billions of dollars ) $ 1,024 $ 948 $ 846 8 % 12 %
Return on assets 0.81 % 1.06 % 1.53 %
Revenues by region
North America $ 10,000 $ 11,878 $ 11,361 (16 )% 5 %
EMEA 10,707 10,205 13,445 5 (24 )
Latin America 4,069 4,063 4,826 - (16 )
Asia 7,210 7,040 7,326 2 (4 )
Total revenues $ 31,986 $ 33,186 $ 36,958 (4 )% (10 )%
Income from continuing operations by region
North America $ 1,458 $ 2,994 $ 2,978 (51 )% 1 %
EMEA 3,150 3,030 4,713 4 (36 )
Latin America 1,623 1,755 2,174 (8 ) (19 )
Asia 2,071 2,393 3,108 (13 ) (23 )
Total income from continuing operations $ 8,302 $ 10,172 $ 12,973 (18 )% (22 )%
Average loans by region ( in billions of dollars )
North America $ 69 $ 67 $ 52 3 % 29 %
EMEA 47 38 45 24 (16 )
Latin America 29 23 22 26 5
Asia 52 36 28 44 29
Total average loans $ 197 $ 164 $ 147 20 % 12 %
NM Not meaningful

24


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25


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 transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity, and commodity products. S&B includes investment banking and advisory services, lending, debt and equity sales and trading, institutional brokerage, derivative services and private banking.
S&B revenue is generated primarily from fees and spreads associated with these activities. S&B earns fee income for assisting clients in clearing transactions, providing brokerage and investment banking services and other such activities. Revenue generated from these activities is recorded in Commissions and fees . In addition, as a market maker, S&B facilitates transactions, including holding product inventory to meet client demand, and earns the differential between the price at which it buys and sells the products. These price differentials and the unrealized gains and losses on the inventory are recorded in Principal transactions . S&B interest income earned on inventory and loans held is recorded as a component of Net interest revenue .

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
Net interest revenue $ 9,116 $ 9,723 $ 12,170 (6 )% (20 )%
Non-interest revenue 12,301 13,392 14,970 (8 ) (11 )
Revenues, net of interest expense $ 21,417 $ 23,115 $ 27,140 (7 )% (15 )%
Total operating expenses 15,028 14,693 13,090 2 12
       Net credit losses 602 567 758 6 (25 )
       Provision (release) for unfunded lending commitments 86 (29 ) 138 NM NM
       Credit reserve build (release) (572 ) (562 ) 887 (2 ) NM
Provisions for loan losses and benefits and claims $ 116 $ (24 ) $ 1,783 NM NM
Income before taxes and noncontrolling interests $ 6,273 $ 8,446 $ 12,267 (26 )% (31 )%
Income taxes 1,378 1,947 3,072 (29 ) (37 )
Income from continuing operations 4,895 6,499 9,195 (25 ) (29 )
Net income attributable to noncontrolling interests 37 110 55 (66 ) 100
Net income $ 4,858 $ 6,389 $ 9,140 (24 )% (30 )%
Average assets (in billions of dollars) $ 894 $ 841 $ 759 6 % 11 %
Return on assets 0.54 % 0.76 % 1.21 %
Revenues by region
North America $ 7,558 $ 9,393 $ 8,836 (20 )% 6 %
EMEA 7,221 6,849 10,056 5 (32 )
Latin America 2,364 2,547 3,435 (7 ) (26 )
Asia 4,274 4,326 4,813 (1 ) (10 )
Total revenues $ 21,417 $ 23,115 $ 27,140 (7 )% (15 )%
Income from continuing operations by region
North America $ 1,011 $ 2,465 $ 2,369 (59 )% 4 %
EMEA 2,008 1,805 3,414 11 (47 )
Latin America 978 1,091 1,558 (10 ) (30 )
Asia 898 1,138 1,854 (21 ) (39 )
Total income from continuing operations $ 4,895 $ 6,499 $ 9,195 (25 )% (29 )%
Securities and Banking revenue details
       Total investment banking $ 3,310 $ 3,828 $ 4,767 (14 )% (20 )%
       Lending 1,802 962 (2,447 ) 87 NM
       Equity markets 2,756 3,501 3,183 (21 ) 10
       Fixed income markets 12,263 14,077 21,294 (13 ) (34 )
       Private bank 2,146 2,004 2,068 7 (3 )
       Other Securities and Banking (860 ) (1,257 ) (1,725 ) 32 27
Total Securities and Banking revenues $ 21,417 $ 23,115 $ 27,140 (7 )% (15 )%
NM Not meaningful

26


2011 vs. 2010
S&B's results of operations for 2011 were significantly impacted by the macroeconomic concerns during the year, including the overall pace of U.S. economic recovery, the U.S. debt ceiling debate and subsequent downgrade of U.S. sovereign credit, the ongoing sovereign debt crisis in Europe and general continued concerns about the health of the global economy and financial markets. These concerns led to heightened volatility as well as overall declines in liquidity and market activity during the second half of the year as clients reduced their activity and risk.
Net income of $4.9 billion decreased 24%. Excluding CVA/DVA (see table below), net income decreased 43% as declines in fixed income and equity markets revenues and investment banking revenues, along with higher expenses, more than offset increases in lending and private bank revenues.
Revenues of $21.4 billion decreased 7% from the prior year. CVA/DVA increased by $2.1 billion from the prior year, driven by the widening of Citi's credit spreads in 2011. Excluding CVA/DVA, S&B revenues decreased 16%, reflecting lower results in fixed income markets, equity markets and investment banking, partially offset by increased revenues in lending and the private bank. 
Fixed income markets revenues, which constituted over 50% of S&B revenues in 2011, decreased 24% excluding CVA/DVA. This was driven by lower results in securitized and credit products, reflecting the challenging market environment and reduced customer risk appetite and, to a lesser extent, rates and currencies.
Equity markets revenues decreased 35% excluding CVA/DVA, driven by declining revenues in equity proprietary trading (which Citi also refers to as equity principal strategies) as positions in the business were wound down, a decline in equity derivatives revenues and, to a lesser extent, a decline in cash equities. The wind down of Citi's equity proprietary trading was completed at the end of 2011.
Investment banking revenues declined 14%, as the macroeconomic concerns and market uncertainty drove lower volumes in debt and equity issuance.
Lending revenues increased 87%, mainly due to the absence of losses on credit default swap hedges in the prior year (see the table below). Excluding the impact of these hedging gains and losses, lending revenues increased 3%, primarily due to growth in the Corporate loan portfolio. Private bank revenues increased 6% excluding CVA/DVA, primarily due to higher loan and deposit balances and improved customer pricing, partially offset by declines in investment and capital markets-related products given the negative market sentiment.
Expenses increased 2%, primarily due to investment spending, which largely occurred in the first half of the year, relating to new hires and technology investments. The increase in expenses was also driven by higher repositioning charges and the negative impact of FX translation (which contributed approximately 2% to the expense growth), partially offset by productivity saves and reduced incentive compensation due to business results. The increase in the level of investment spending in S&B was largely completed at the end of 2011.
Provisions increased by $140 million, primarily due to builds in the allowance for unfunded lending commitments as a result of portfolio growth and higher net credit losses.

2010 vs. 2009
Net income of $6.4 billion decreased 30%. Excluding CVA/DVA, net income decreased 36%, as an increase in lending was more than offset by declines in fixed income and equity trading activities, investment banking fees and higher expenses.
Revenues of $23.1 billion decreased 15% from the prior year, as performance in the first half of 2009 was particularly strong due to higher fixed income markets activity and client activity levels in investment banking. In addition, 2010 CVA/DVA increased $1.6 billion from the prior year, mainly due to a larger narrowing of Citi's spreads in 2009 compared 2010. Excluding CVA/DVA, revenues decreased 19%, reflecting lower results in fixed income markets, equity markets and investment banking, partially offset by increased revenues in lending.
Fixed income markets revenues decreased 32% excluding CVA/DVA, primarily reflecting lower results in rates and currencies, credit products and securitized products due to the overall weaker market environment during 2010.
Equity markets revenues decreased 31% excluding CVA/DVA, driven by lower trading revenues linked to the derivatives business and equity proprietary trading.
Investment banking revenues declined 20%, reflecting lower levels of market activity in debt and equity underwriting.
Lending revenues increased by $3.4 billion, mainly driven by a reduction in losses on credit default swap hedges.
Expenses increased 12%, or $1.6 billion, year over year. Excluding the 2010 U.K. bonus tax impact and litigation reserve releases in the first half of 2010 and 2009, expenses increased 8%, or $1.1 billion, mainly as a result of higher compensation, transaction costs and the negative impact of FX translation (which contributed approximately 1% to the expense growth).
Provisions decreased by $1.8 billion, to negative $24 million, mainly due to credit reserve releases and lower net credit losses as the result of an improvement in the credit environment during 2010.

In millions of dollars 2011 2010 2009
S&B CVA/DVA
Fixed Income Markets $ 1,368 $ (187 ) $ 276
Equity Markets 355 (207 ) (2,190 )
Private Bank 9 (5 ) (43 )
Total S&B CVA/DVA $ 1,732 $ (399 ) $ (1,957 )
Total S&B Lending Hedge gain (loss) $ 73 $ (711 ) $ (3,421 )


27


TRANSACTION SERVICES
Transaction Services is composed of Treasury and Trade Solutions and Securities and Fund Services. Treasury and Trade Solutions provides comprehensive cash management and trade finance and services for corporations, financial institutions and public sector entities worldwide. Securities and Fund Services 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 these businesses, as well as from trade loans and fees for transaction processing and fees on assets under custody and administration in Securities and Fund Services.

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
Net interest revenue $ 5,929 $ 5,678 $ 5,674 4 % -
Non-interest revenue 4,640 4,393 4,144 6 6 %
Total revenues, net of interest expense $ 10,569 $ 10,071 $ 9,818 5 % 3 %
Total operating expenses 5,659 4,904 4,483 15 9
Provisions (releases) for credit losses and for benefits and claims 36 (58 ) 7 NM NM
Income before taxes and noncontrolling interests $ 4,874 $ 5,225 $ 5,328 (7 )% (2 )%
Income taxes 1,467 1,552 1,550 (5 ) -
Income from continuing operations 3,407 3,673 3,778 (7 ) (3 )
Net income attributable to noncontrolling interests 19 21 13 (10 ) 62
Net income $ 3,388 $ 3,652 $ 3,765 (7 )% (3 )%
Average assets (in billions of dollars) 130 $ 107 $ 87 21 % 23 %
Return on assets 2.61 % 3.41 % 4.34 %
Revenues by region
       North America $ 2,442 $ 2,485 $ 2,525 (2 )% (2 )%
       EMEA 3,486 3,356 3,389 4 (1 )
       Latin America 1,705 1,516 1,391 12 9
       Asia 2,936 2,714 2,513 8 8
Total revenues $ 10,569 $ 10,071 $ 9,818 5 % 3 %
Income from continuing operations by region
       North America $ 447 $ 529 $ 609 (16 )% (13 )%
       EMEA 1,142 1,225 1,299 (7 ) (6 )
       Latin America 645 664 616 (3 ) 8
       Asia 1,173 1,255 1,254 (7 ) -
Total income from continuing operations $ 3,407 $ 3,673 $ 3,778 (7 )% (3 )%
Key indicators (in billions of dollars)
Average deposits and other customer liability balances $ 363 $ 333 $ 304 9 % 10 %
EOP assets under custody (1) (In trillions of dollars) 12.5 12.6 12.1 (1 ) 4

(1) Includes assets under custody, assets under trust and assets under administration.
NM Not meaningful

2011 vs. 2010
Net income decreased 7%, as higher expenses, driven by investment spending, outpaced revenue growth. Year-over-year, the U.S. dollar generally depreciated versus local currencies. As a result, the impact of FX translation accounted for an approximately 1% growth in revenues and expenses, respectively.
Revenues grew 5%, driven primarily by international growth, as improvement in fees and increased deposit balances more than offset the continued spread compression, which will likely continue to be a challenge in 2012. Treasury and Trade Solutions revenues increased 5%, driven

primarily by growth in the trade and commercial cards businesses and increased deposits, partially offset by the impact of the continued low rate environment. Overall, Securities and Fund Services revenues increased 4% year-over-year, primarily due to growth in transaction and settlement volumes, driven in part by the increase in activity resulting from market volatility, and new client mandates. During the fourth quarter of 2011, however, Securities and Fund Services experienced a 10% decline in revenues as compared to the prior year period, driven by a significant decrease in settlement volumes reflecting the overall decline in capital markets activity during the latter part of 2011, spread compression and the impact of FX translation.


28


Expenses increased 15% reflecting investment spending and higher business volumes, partially offset by productivity savings. The increase in the level of investment spending in the business was largely completed at the end of 2011.
Provisions increased by $94 million, to $36 million, reflecting reserve builds in 2011 versus a net reserve release in the prior year.
Average assets grew 21%, driven by a 59% increase in trade assets as a result of focused investment in the business. Average deposits and other customer liability balances grew 9% and included a favorable shift to operating balances as the business continued to emphasize stable, lower cost deposits as a way to mitigate spread compression.

2010 vs. 2009
Net income decreased 3%, as expenses driven by investment spending outpaced revenue growth. Year-over-year, the U.S. dollar generally depreciated versus local currencies. As a result, the impact of FX translation accounted for approximately 2% growth in revenues. 
Revenues grew 3%, despite the low interest rate environment. Treasury and Trade Solutions revenues grew 2% as a result of increased customer liability balances and growth in trade and fees, partially offset by the spread compression. Securities and Fund Services revenues grew by 3% as higher volumes and balances reflected the impact of sales and increased market activity.
Expenses increased 9% reflecting investment spending and higher business volumes.
Provisions decreased $65 million, to a negative $58 million, as compared to the prior year, reflecting credit reserve releases.
Average deposits and other customer liability balances grew 10%, driven primarily by growth in emerging markets.


29


CITI HOLDINGS

Citi Holdings contains businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses. Citi Holdings consists of the following: Brokerage and Asset Management, Local Consumer Lending and Special Asset Pool .
Consistent with its strategy, Citi intends to continue to exit these businesses and portfolios as quickly as practicable in an economically rational manner. To date, the decrease in Citi Holdings assets has been primarily driven by asset sales and business dispositions, as well as portfolio run-off and pay-downs. Asset levels have also been impacted, and will continue to be impacted, by charge-offs and revenue marks as and when appropriate.
As of December 31, 2011, Citi Holdings' GAAP assets were approximately $269 billion, a decrease of approximately $90 billion, or 25%, from year end 2010, and $558 billion, or 67%, from the peak in the first quarter of 2008. The decline in assets during 2011 reflected approximately $49 billion in asset sales and business dispositions, $35 billion in net run-off and amortization, and $6 billion in net cost of credit and net asset marks. Citi Holdings represented approximately 14% of Citi's GAAP assets as of December 31, 2011, while Citi Holdings' risk-weighted assets of approximately $245 billion at December 31, 2011 represented approximately 25% of Citi's risk-weighted assets as of such date. As previously disclosed, Citi's ability to continue to decrease the assets in Citi Holdings through the methods discussed above, including sales and dispositions, will not likely occur at the same pace or level as in the past. See also the "Executive Summary" above and "Risk Factors-Business Risks" below.

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
Net interest revenue $ 10,287 $ 14,773 $ 16,139 (30 )% (8 )%
Non-interest revenue 2,609 4,514 12,989 (42 ) (65 )
Total revenues, net of interest expense $ 12,896 $ 19,287 $ 29,128 (33 )% (34 )%
Provisions for credit losses and for benefits and claims
Net credit losses $ 11,731 $ 19,070 $ 24,585 (38 )% (22 )%
Credit reserve build (release) (4,720 ) (3,500 ) 5,305 (35 ) NM
Provision for loan losses $ 7,011 $ 15,570 $ 29,890 (55 )% (48 )%
Provision for benefits and claims 820 813 1,094 1 (26 )
Provision (release) for unfunded lending commitments (41 ) (82 ) 106 50 NM
Total provisions for credit losses and for benefits and claims $ 7,790 $ 16,301 $ 31,090 (52 )% (48 )%
Total operating expenses $ 8,791 $ 9,615 $ 14,085 (9 )% (32 )%
Loss from continuing operations before taxes $ (3,685 ) $ (6,629 ) $ (16,047 ) 44 % 59 %
Benefits for income taxes (1,161 ) (2,573 ) (6,988 ) 55 63
(Loss) from continuing operations $ (2,524 ) $ (4,056 ) $ (9,059 ) 38 % 55 %
Net income (loss) attributable to noncontrolling interests 119 207 29 (43 ) NM
Citi Holdings net loss $ (2,643 ) $ (4,263 ) $ (9,088 ) 38 % 53 %
Balance sheet data (in billions of dollars)
Total EOP assets $ 269 $ 359 $ 487 (25 )% (26 )%
Total EOP deposits $ 64 $ 79 $ 89 (19 )% (11 )%
NM Not meaningful

30


BROKERAGE AND ASSET MANAGEMENT
Brokerage and Asset Management (BAM) consists of Citi's global retail brokerage and asset management businesses. At December 31, 2011, BAM had approximately $27 billion of assets, or approximately 10% of Citi Holdings' assets, primarily consisting of Citi's investment in, and assets related to, the Morgan Stanley Smith Barney joint venture (MSSB JV). As more fully described in Forms 8-K filed with the SEC on January 14, 2009 and June 3, 2009, Morgan Stanley has options to purchase Citi's remaining stake in the MSSB JV over three years beginning in 2012.

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
Net interest revenue $ (180 ) $ (277 ) $ 390 35 % NM
Non-interest revenue 462 886 14,233 (48 ) (94 )%
Total revenues, net of interest expense $ 282 $ 609 $ 14,623 (54 )% (96 )%
Total operating expenses $ 729 $ 987 $ 3,276 (26 )% (70 )%
       Net credit losses $ 4 $ 17 $ 1 (76 )% NM
       Credit reserve build (release) (3 ) (18 ) 36 83 NM
       Provision for unfunded lending commitments (1 ) (6 ) (5 ) 83 (20 )%
       Provision (release) for benefits and claims 48 38 40 26 (5 )
Provisions for credit losses and for benefits and claims $ 48 $ 31 $ 72 55 % (57 )%
Income (loss) from continuing operations before taxes $ (495 ) $ (409 ) $ 11,275 (21 )% NM
Income taxes (benefits) (209 ) (183 ) 4,425 (14 ) NM
Income (loss) from continuing operations $ (286 ) $ (226 ) $ 6,850 (27 )% NM
Net income attributable to noncontrolling interests 9 11 12 (18 ) (8 )%
Net income (loss) $ (295 ) $ (237 ) $ 6,838 (24 )% NM
EOP assets (in billions of dollars) $ 27 $ 27 $ 30 - (10 )%
EOP deposits (in billions of dollars) 55 58 60 (5 )% (3 )
NM Not meaningful

2011 vs. 2010
Net loss increased 24% as lower revenues were only partly offset by lower expenses.
Revenues decreased by 54%, driven by the 2010 sale of the Habitat and Colfondos businesses (including a $78 million pretax gain on sale related to the transactions in the first quarter of 2010) and lower revenues from the MSSB JV.
Expenses decreased 26%, also driven by divestitures, as well as lower legal and related expenses.
Provisions increased 55% due to the absence of the prior-year reserve releases.

2010 vs. 2009
Net loss was $0.2 billion in 2010, compared to Net income of $6.9 billion in 2009. The decrease was driven by the absence of the gain on sale related to the MSSB JV transaction in 2009.
Revenues decreased 96% versus the prior year 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, revenues decreased primarily due to the absence of Smith Barney from May 2009 onwards as well as the absence of Nikko Asset Management, partially offset by higher revenues from the MSSB JV and an improvement in marks in the retail alternative investments business.
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 as compared to the prior year and the absence of Nikko and Colfondos, partially offset by higher legal settlements and reserves associated with Smith Barney.
Provisions decreased 57%, mainly due to the absence of credit reserve builds in 2009.
Assets decreased 10% versus the prior year, mostly driven by the sales of the private equity business and the run-off of tailored loan portfolios.


31


LOCAL CONSUMER LENDING
As of December 31, 2011, Local Consumer Lending (LCL) included a portion of Citigroup's North America mortgage business, retail partner cards, CitiFinancial North America (consisting of the OneMain and CitiFinancial Servicing businesses), remaining student loans, and other local Consumer finance businesses globally (including Western European cards and retail banking and Japan Consumer Finance). At December 31, 2011, LCL had approximately $201 billion of assets (approximately $186 billion in North America ) or approximately 75% of Citi Holdings assets. The North America assets consisted of residential mortgages (residential first mortgages and home equity loans), retail partner card loans, personal loans, commercial real estate, and other consumer loans and assets. As referenced under "Citi Holdings" above, the substantial majority of the retail partner cards business will be transferred to Citicorp-NA RCB, effective in the first quarter of 2012.
As of December 31, 2011, approximately $108 billion of assets in LCL consisted of North America mortgages in Citi's CitiMortgage and CitiFinancial operations.

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
Net interest revenue $ 10,872 $ 13,831 $ 12,995 (21 )% 6 %
Non-interest revenue 1,195 1,995 4,770 (40 ) (58 )
Total revenues, net of interest expense $ 12,067 $ 15,826 $ 17,765 (24 )% (11 )%
Total operating expenses $ 7,769 $ 8,057 $ 9,898 (4 )% (19 )%
       Net credit losses $ 10,659 $ 17,040 $ 19,185 (37 )% (11 )%
       Credit reserve build (release) (2,862 ) (1,771 ) 5,799 (62 ) NM
       Provision for benefits and claims 772 775 1,054 - (26 )
       Provision for unfunded lending commitments - - - - -
Provisions for credit losses and for benefits and claims $ 8,569 $ 16,044 $ 26,038 (47 )% (38 )%
(Loss) from continuing operations before taxes $ (4,271 ) $ (8,275 ) $ (18,171 ) 48 % 54 %
Benefits for income taxes (1,437 ) (3,287 ) (7,687 ) 56 57
(Loss) from continuing operations $ (2,834 ) $ (4,988 ) $ (10,484 ) 43 % 52 %
Net income attributable to noncontrolling interests 2 8 33 (75 ) (76 )
Net (loss) $ (2,836 ) $ (4,996 ) $ (10,517 ) 43 % 52 %
Average assets (in billions of dollars) $ 228 $ 324 $ 351 (30 )% (8 )%
Net credit losses as a percentage of average loans 5.34 % 6.20 % 6.38 %
Total GAAP revenues $ 12,067 $ 15,826 $ 17,765 (24 )% (11 )%
       Net impact of credit card securitizations activity (1) - - 4,135
Total managed revenues $ 12,067 $ 15,826 $ 21,900 (24 )% (28 )%
Total GAAP net credit losses $ 10,659 $ 17,040 $ 19,185 (37 )% (11 )%
       Impact of credit card securitizations activity (1) - - 4,590
Total managed net credit losses $ 10,659 $ 17,040 $ 23,775 (37 )% (28 )%

(1) See Note 1 to the Consolidated Financial Statements for a discussion of the impact of SFAS 166/167.
NM Not meaningful

2011 vs. 2010
Net loss decreased 43%, driven primarily by the improving credit environment, including lower net credit losses and higher loan loss reserve releases, in both retail partner cards and mortgages. The improvement in credit was partly offset by lower revenues due to decreasing asset balances and sales.
Revenues decreased 24%, driven primarily by the lower asset balances due to asset sales, divestitures and run-offs, which also drove the 21% decline in Net interest revenue . Non-interest revenue decreased 40% due to the impact of divestitures.
Expenses decreased 4%, driven by the lower volumes and divestitures, partly offset by higher legal and regulatory expenses, including without limitation those relating to the United States and state attorneys general mortgage servicing discussions and agreement in principle announced on February 9, 2012, reserves related to potential PPI refunds (see "Payment Protection Insurance" below) and, to a lesser extent, implementation costs associated with the OCC/Federal Reserve Board consent orders entered into in April 2011.

Provisions decreased 47%, driven by lower credit losses and higher loan loss reserve releases. Net credit losses decreased 37%, primarily due to the credit improvements in retail partner cards ($3.0 billion) and North America mortgages ($1.6 billion), although the pace of the decline in net credit losses in both portfolios slowed. Loan loss reserve releases increased 62%, driven by higher releases in retail partner cards and CitiFinancial North America due to better credit quality and lower loan balances.
Assets declined 20% from the prior year, primarily driven by portfolio run-off and the impact of asset sales and divestitures, including continued sales of student loans, auto loans and delinquent mortgages (see "North America Consumer Mortgage Lending" below).


32


2010 vs. 2009
Net loss decreased 52%, driven primarily by the improving credit environment. Decreases in revenues driven by lower gains on asset sales were mostly offset by decreased expenses due to lower volumes and divestitures.
Revenues decreased 11% from the prior year, driven primarily by portfolio run off, divestitures and asset sales. 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.
Expenses decreased 19%, 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 decreased 38%, reflecting a net $1.8 billion loan loss 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 by 28%, 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.

Japan Consumer Finance
Citi continues to actively monitor a number of matters involving its Japan Consumer Finance business, including customer defaults, refund claims and litigation, 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. In 2008, Citi decided to exit its Japan Consumer Finance business and has been liquidating its portfolio and otherwise winding down the business since such time. However, 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, reflecting 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. The publicity relating to Takefuji's bankruptcy resulted in a significant increase in the number of refund claims during the latter part of 2010 and first half of 2011, although Citi observed a steady decline in such claims during the remainder of 2011. During 2011, LCL recorded a net increase in its reserves related to customer refunds in the Japan Consumer Finance business of approximately $120 million (pretax), in addition to an increase of approximately $325 million (pretax) in 2010.
As evidenced by the events described above, the trend in the type, number and amount of refund claims remains volatile, and the potential full amount of losses and their impact on Citi is subject to significant uncertainties and continues to be difficult to predict. In addition, regulators in Japan have stated that they are considering legislation to establish a framework for collective legal action proceedings. If such legislation is passed and implemented, it could potentially introduce a more accessible procedure for current and former customers to pursue refund claims and other types of collective actions. 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.


33


Payment Protection Insurance
The alleged mis-selling of payment protection insurance products (PPI) by financial institutions in the UK, including Citi, has been, and continues to be, the subject of intense review and focus by the UK regulators, particularly the Financial Services Authority (FSA). PPI is designed to cover a customer's loan repayments in the event of certain events, such as long-term illness or unemployment. The FSA has found certain problems, across the industry, with how these products were sold, including customers not realizing that the cost of PPI premiums was being added to their loan or PPI being unsuitable for the customer. Prior to 2008, certain of Citi's UK consumer finance businesses, primarily CitiFinancial Europe plc and Egg Banking plc, engaged in the sale of PPI. While Citi has sold a significant portion of these businesses, and the remaining businesses are in the process of wind down, Citi generally retains the potential liability relating to the sale of PPI by these businesses.
As a result of this regulatory focus and resulting publicity, during 2010 and 2011, Citi observed an increase in customer complaints relating to the sale of PPI. In addition, in 2011, the FSA required all firms engaged in the sale of PPI in the UK, including Citi, to review their historical sales processes for PPI, generally from January 2005 forward. In addition, the FSA is requiring these firms to proactively contact any customers who may have been mis-sold PPI after January 2005 and invite them to have their individual sale reviewed. Redress, whether as a result of customer complaints or Citi's proactive contact with customers, generally involves the repayment of premiums and the refund of all applicable contractual interest together with compensatory interest of 8%. 
As a result of these developments during 2011, Citi increased its reserves related to potential PPI refunds by approximately $330 million ($230 million in LCL and $100 million in Corporate/Other for discontinued operations). Citi continues discussions with the FSA regarding its proposed remediation process, and the trend in the number of claims, the potential amount of refunds and the impact on Citi remains volatile and is subject to significant uncertainty and lack of predictability. This is particularly true with respect to the potential customer response to any direct customer contact exercise. Citi continues to monitor and evaluate the PPI remediation process and developments and its related reserves.


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SPECIAL ASSET POOL
Special Asset Pool (SAP) had approximately $41 billion of assets as of December 31, 2011, which constituted approximately 15% of Citi Holdings assets as of such date. SAP consists of a portfolio of securities, loans and other assets that Citigroup intends to continue to reduce over time through asset sales and portfolio run-off. SAP assets have declined by approximately $287 billion, or 88%, from peak levels in 2007, reflecting cumulative write-downs, asset sales and portfolio run-off.

% Change % Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
Net interest revenue $ (405 ) $ 1,219 $ 2,754 NM (56 )%
Non-interest revenue 952 1,633 (6,014 ) (42 )% NM
Revenues, net of interest expense $ 547 $ 2,852 $ (3,260 ) (81 )% NM
Total operating expenses $ 293 $ 571 $ 911 (49 )% (37 )%
       Net credit losses $ 1,068 $ 2,013 $ 5,399 (47 )% (63 )%
       Provision (releases) for unfunded lending commitments (40 ) (76 ) 111 47 NM
       Credit reserve builds (releases) (1,855 ) (1,711 ) (530 ) (8 ) NM
Provisions for credit losses and for benefits and claims $ (827 ) $ 226 $ 4,980 NM (95 )%
Income (loss) from continuing operations before taxes $ 1,081 $ 2,055 $ (9,151 ) (47 )% NM
Income taxes (benefits) 485 897 (3,726 ) (46 ) NM
Net income (loss) from continuing operations $ 596 $ 1,158 $ (5,425 ) (49 )% NM
Net income (loss) attributable to noncontrolling interests 108 188 (16 ) (43 ) NM
Net income (loss) $ 488 $ 970 $ (5,409 ) (50 )% NM
EOP assets (in billions of dollars) $ 41 $ 80 $ 136 (49 )% (41 )%
NM Not meaningful

2011 vs. 2010
Net income decreased 50%, driven by the decrease in revenues due to lower asset balances, partially offset by lower expenses and improved credit.
Revenues decreased 81%, driven by the overall decline in Net interest revenue during the year, as interest-earning assets declined and thus represent a smaller portion of SAP . Net interest revenue was a negative $405 million in 2011 and Citi expects to incur continued negative carrying costs in SAP going forward as the non-interest-earning assets of SAP , which require funding, now represent the larger portion of the total asset pool. Non-interest revenue decreased by 42% due to lower gains on asset sales and the absence of positive marks from the prior year, such as on subprime exposures.
Expenses decreased 49%, driven by lower volume and asset levels, as well as lower legal and related costs.
Provisions decreased $1.1 billion as credit conditions continued to improve during the year. The decline of $1.1 billion was driven by a $945 million decrease in net credit losses and an increase in loan loss reserve releases to $1.9 billion in 2011 from a release of $1.7 billion in 2010.
Assets declined 49%, primarily driven by sales and amortization and prepayments. Asset sales of $29 billion for 2011 generated pretax gains of approximately $0.5 billion.

2010 vs. 2009
Net income increased $6.4 billion from a net loss of $5.4 billion in 2009. The increase was driven by higher gains on asset sales and improved revenue marks, as well as improved credit.
Revenues 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. 2010 revenues included positive marks of $2.0 billion related to subprime-related direct exposure, a positive $0.5 billion CVA/DVA related to 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.
Expenses decreased 37%, mainly driven by the absence of the U.S. government loss-sharing agreement exited in the fourth quarter of 2009, lower compensation, and lower transaction expenses.
Provisions decreased 95% as credit conditions improved. The decline in credit costs was driven by 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%, primarily driven by sales and amortization and prepayments. Asset sales of $39 billion for 2010 generated pretax gains of approximately $1.3 billion.


35


CORPORATE/OTHER

Corporate/Other includes global staff functions (including finance, risk, human resources, legal and compliance) and other corporate expense, global operations and technology, unallocated Corporate Treasury and Corporate items and discontinued operations. At December 31, 2011, this segment had approximately $286 billion of assets, or 15% of Citigroup's total assets, consisting primarily of Citi's liquidity portfolio.

In millions of dollars 2011 2010 2009
Net interest revenue $ 25 $ 828 $ (1,840 )
Non-interest revenue 861 926 (8,715 )
Revenues, net of interest expense $ 886 $ 1,754 $ (10,555 )
Total operating expenses $ 2,522 $ 1,616 $ 1,039
Provisions (releases) for loan losses and for benefits and claims (1 ) - -
Income (loss) from continuing operations before taxes $ (1,635 ) $ 138 $ (11,594 )
Provision (benefits) for income taxes (764 ) (36 ) (4,225 )
Income (loss) from continuing operations $ (871 ) $ 174 $ (7,369 )
Income (loss) from discontinued operations, net of taxes 112 (68 ) (445 )
Net income (loss) before attribution of noncontrolling interests $ (759 ) $ 106 $ (7,814 )
Net (loss) attributable to noncontrolling interests (27 ) (48 ) (2 )
Net income (loss) $ (732 ) $ 154 $ (7,812 )

2011 vs. 2010
Net loss of $732 million reflected a decline of $886 million compared to Net income of $154 million in 2010. The decline was primarily due to the decrease in revenues coupled with the increase in expenses, as well as the absence of the net gain on the sale of Nikko Cordial Securities and the related benefit for income taxes recorded in discontinued operations in 2010. This was partially offset by the absence of the net loss on the sale of The Student Loan Corporation in 2010 and a net gain on the sale of the Egg Banking plc credit card business in 2011, each recorded in discontinued operations in the respective year.
Revenues decreased $868 million, primarily driven by lower investment yields in Treasury and lower gains on sales of AFS securities, partially offset by gains on hedging activities and the gain on the sale of a portion of Citi's holdings in the Housing Development Finance Corp. (HDFC) in the second quarter of 2011 (approximately $200 million pretax).
Expenses increased $906 million, due to higher legal and related costs and continued investment spending, primarily in technology.

2010 vs. 2009
Net loss decreased $8.0 billion, primarily due to the increase in revenues and the absence of prior-year losses related to Nikko Cordial, partially offset by the increase in expenses and the net loss on the sale of The Student Loan Corporation.
Revenues increased $12.3 billion, primarily due to the absence of the loss on debt extinguishment related to the repayment of TARP 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 in 2010. These increases were partially offset by the absence of the pretax gain related to Citi's public and private exchange offers in 2009.
Expenses increased $577 million, primarily due to various legal and related expenses as well as other non-compensation expenses.


36


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 2011. For additional information on Citigroup's deposits, short-term and long-term debt and secured financing transactions, see "Capital Resources and Liquidity-Funding and Liquidity" below.

December 31, Increase %
In billions of dollars 2011 2010 (decrease) Change
Assets
Cash and deposits with banks $ 184 $ 190 $ (6 ) (3 )%
Federal funds sold and securities borrowed or purchased under agreements to resell 276 247 29 12
Trading account assets 292 317 (25 ) (8 )
Investments 293 318 (25 ) (8 )
Loans, net of unearned income and allowance for loan losses 617 608 9 1
Other assets 212 234 (22 ) (9 )
Total assets $ 1,874 $ 1,914 $ (40 ) (2 )%
Liabilities
Deposits $ 866 $ 845 $ 21 2 %
Federal funds purchased and securities loaned or sold under agreements to repurchase 198 190 8 4
Trading account liabilities 126 129 (3 ) (2 )
Short-term borrowings and long-term debt 378 460 (82 ) (18 )
Other liabilities 126 124 2 2
Total liabilities $ 1,694 $ 1,748 $ (54 ) (3 )%
Total equity $ 180 $ 166 $ 14 8 %
Total liabilities and equity $ 1,874 $ 1,914 $ (40 ) (2 )%

ASSETS

Cash and Deposits with Banks
Cash and deposits with banks is comprised of both Cash and due from banks and Deposits with banks. Cash and due from banks includes (i) cash on hand at Citi's domestic and overseas offices, 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 and regulatory reserve requirement purposes.
During 2011, Cash and deposits with banks decreased $6 billion, or 3%, driven by a $7 billion, or 4%, decrease in Deposits with banks offset by a $1 billion, or 3%, increase in Cash and due from banks . These changes resulted from Citi's normal operations during the year.

Federal Funds Sold and Securities Borrowed or Purchased Under Agreements to Resell (Reverse Repos)
Federal funds sold consist of unsecured advances of excess balances in reserve accounts held at the Federal Reserve Banks to third parties. During 2010 and 2011, Citi's federal funds sold were not significant. Reverse repos and securities borrowing transactions increased by $29 billion, or 12%, during 2011, compared to 2010. The majority of this increase was due to additional secured lending to clients.
For further information regarding these Consolidated Balance Sheet categories, see Notes 1 and 12 to the Consolidated Financial Statements.

Trading Account Assets
Trading account assets includes debt and marketable equity securities, derivatives in a net 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 .
During 2011, Trading account assets decreased $25 billion, or 8%, primarily due to decreases in corporate bonds ($14 billion, or 28%), foreign government securities ($9 billion, or 10%), equity securities ($4 billion, or 11%) and U.S. Treasury and federal agency securities ($4 billion, or 18%), partially offset by a $12 billion, or 24%, increase in derivative assets. A significant portion of the decline in Citi's Trading account assets occurred in the second half of 2011 as the economic uncertainty that largely began in the third quarter of 2011 continued into the fourth quarter. Citi reduced its rates trading in the G10, particularly in Europe, given the market environment in the region, and credit trading and securitized markets also declined due to reduced client volume and less market liquidity.
Average Trading account assets were $270 billion in 2011, compared to $280 billion in 2010.
For further information on Citi's Trading account assets , see Notes 1 and 14 to the Consolidated Financial Statements.


37


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 mortgage-backed and asset-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 2011, Investments decreased by $25 billion, or 8%, primarily due to a $9 billion, or 3%, decrease in available-for-sale securities (predominantly U.S. Treasury and federal agency securities), and a $18 billion decrease in held-to-maturity securities (predominately mortgage-backed and Corporate securities) that included the $12.7 billion of assets in the Special Asset Pool that were reclassified and transferred to Trading account assets in the first quarter of 2011. The majority of the remaining decrease was largely due to a combined reduction in U.S. Treasury and federal agency securities and foreign government securities, which was partially offset by an increase in U.S. government agency mortgage-backed securities, as Citi began to modestly reallocate its portfolio into higher-yielding assets.
For further information regarding Investments , see Notes 1 and 15 to the Consolidated Financial Statements.

Loans
Loans represent the largest asset category of Citi's balance sheet. Citi's total loans (as discussed throughout this section, net of unearned income) were $647 billion at December 31, 2011, compared to $649 billion at December 31, 2010. Excluding the impact of FX translation, loans increased 1% year over year. At year end 2011, Consumer and Corporate loans represented 65% and 35%, respectively, of Citi's total loans.
In Citicorp, loans have increased for six consecutive quarters as of December 31, 2011, and were up 23% to $465 billion at year end 2011, as compared to $379 billion at the second quarter of 2010. Citicorp Corporate loans increased 24% year over year, and Citicorp Consumer loans were up 7% year over year. Corporate loan growth was driven by Transaction Services (37% growth), particularly from increased trade finance lending in Asia , Latin America and Europe, as well as growth in the Securities and Banking

Corporate loan book (20% growth), with increased borrowing generally across all client segments and geographies. Consumer loan growth was driven by Regional Consumer Banking , as loans increased 7% year over year, led by Asia and Latin America . The growth in Regional Consumer Banking loans reflected the economic growth in these regions, as well as the result of Citi's investment spending in these areas, which drove growth in both cards and retail loans. North America Consumer loans increased 6%, driven by retail loans as the cards market continued to adapt to the CARD Act and other regulatory changes. In contrast, Citi Holdings loans declined 25% year over year, due to the continued run-off and asset sales in the portfolio.
During 2011, average loans of $644 billion yielded an average rate of 7.8%, compared to $686 billion and 8.0%, respectively, in the prior year.
For further information on Citi's loan portfolios, see generally "Managing Global Risk-Credit Risk" below and Notes 1 and 16 to the Consolidated Financial Statements.

Other Assets
Other assets consists of Brokerage receivables, Goodwill, Intangibles and Mortgage servicing rights in addition to Other assets (including, among other items, loans held-for-sale, deferred tax assets, equity-method investments, interest and fees receivable, premises and equipment, certain end-user derivatives in a net receivable position, repossessed assets and other receivables). 
During 2011, Other assets decreased $22 billion, or 9%, primarily due to a $3 billion decrease in Brokerage receivables , a $2 billion decrease in Mortgage servicing rights , a $1 billion decrease in Intangible assets , a $1 billion decrease in Goodwill and a $15 billion decrease in Other assets .
For further information on Brokerage receivables , see Note 13 to the Consolidated Financial Statements. For further information regarding Goodwill and Intangible assets , see Note 18 to the Consolidated Financial Statements.


38


LIABILITIES

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

Federal Funds Purchased and Securities Loaned or Sold Under Agreements To Repurchase (Repos)
Federal funds purchased consist of unsecured advances of excess balances in reserve accounts held at the Federal Reserve Banks from third parties. During 2010 and 2011, Citi's federal funds purchased were not significant.
For further information on Citi's secured financing transactions, including repos and securities lending transactions, see "Capital Resources and Liquidity-Funding and Liquidity" below. See also Notes 1 and 12 to the Consolidated Financial Statements for additional information on these balance sheet categories.

Trading Account Liabilities
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 2011, Trading account liabilities decreased by $3 billion, or 2%, primarily due to a $3 billion, or 6%, decrease in derivative liabilities. In 2011, average Trading account liabilities were $86 billion, compared to $80 billion in 2010.
For further information on Citi's Trading account liabilities , see Notes 1 and 14 to the Consolidated Financial Statements.

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. For further information on Citi's long-term and short-term debt borrowings during 2011, see "Capital Resources and Liquidity-Funding and Liquidity" below and Notes 1 and 19 to the Consolidated Financial Statements.

Other Liabilities
Other liabilities consists of Brokerage payables and Other liabilities (including, among other items, accrued expenses and other payables, deferred tax liabilities, certain end-user derivatives in a net payable position, and reserves for legal claims, taxes, restructuring, unfunded lending commitments, and other matters).
During 2011, Other liabilities increased $2 billion, or 2%, primarily due to a $5 billion increase in Brokerage payables , offset by a $4 billion decrease in Other liabilities .
For further information regarding Brokerage payables , see Note 13 to the Consolidated Financial Statements.


39


SEGMENT BALANCE SHEET AT DECEMBER 31, 2011 (1)

Corporate/Other,
Discontinued
Operations
Global Institutional and
Consumer Clients Subtotal Citi Consolidating Total Citigroup
In millions of dollars Banking Group Citicorp Holdings Eliminations Consolidated
Assets
       Cash and due from banks   $ 9,020   $ 17,439 $ 26,459 $ 1,105           $ 1,137      $ 28,701
       Deposits with banks 7,659 52,249 59,908 1,342 94,534 155,784
       Federal funds sold and securities borrowed or purchased
              under agreements to resell 3,269 269,295 272,564 3,285 - 275,849
       Brokerage receivables - 16,162 16,162 11,181 434 27,777
       Trading account assets 13,224 265,577 278,801 12,933 - 291,734
       Investments 27,740 95,601 123,341 30,202 139,870 293,413
       Loans, net of unearned income
       Consumer 246,545 - 246,545 177,186 - 423,731
       Corporate - 218,779 218,779 4,732 - 223,511
       Loans, net of unearned income $ 246,545 $ 218,779 $ 465,324 $ 181,918 $ - $ 647,242
       Allowance for loan losses (10,040 ) (2,615 ) (12,655 ) (17,460 ) - (30,115 )
       Total loans, net $ 236,505 $ 216,164 $ 452,669 $ 164,458 $ - $ 617,127
       Goodwill 10,236 10,737 20,973 4,440 - 25,413
       Intangible assets (other than MSRs) 1,915 897 2,812 3,788 - 6,600
       Mortgage servicing rights (MSRs) 1,389 88 1,477 1,092 - 2,569
       Other assets 29,393 34,282 63,675 35,392 49,844 148,911
Total assets $ 340,350 $ 978,491 $ 1,318,841 $ 269,218 $ 285,819 $ 1,873,878
Liabilities and equity
       Total deposits $ 312,847 $ 483,557 $ 796,404 $ 64,391 $ 5,141 $ 865,936
       Federal funds purchased and securities loaned or sold
              under agreements to repurchase 6,238 192,134 198,372 1 - 198,373
       Brokerage payables - 55,885 55,885 7 804 56,696
       Trading account liabilities 50 124,684 124,734 1,348 - 126,082
       Short-term borrowings 213 42,121 42,334 402 11,705 54,441
       Long-term debt 3,077 63,779 66,856 9,884 246,765 323,505
       Other liabilities 15,577 25,034 40,611 11,911 16,750 69,272
       Net inter-segment funding (lending) 2,348 (8,703 ) (6,355 ) 181,274 (174,919 ) -
       Total Citigroup stockholders' equity - - - - 177,806 177,806
       Noncontrolling interest - - - - 1,767 1,767
Total equity $ - $ - $  - $ - $ 179,573 $ 179,573
Total liabilities and equity $ 340,350 $ 978,491 $ 1,318,841 $ 269,218 $ 285,819 $ 1,873,878

(1) The supplemental information presented in the table above reflects Citigroup's consolidated GAAP balance sheet by reporting segment as of December 31, 2011. 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.

40


CAPITAL RESOURCES AND LIQUIDITY

CAPITAL RESOURCES

Overview
Citi generates capital through earnings from its operating businesses. Citi may augment its capital through issuances of common stock, perpetual preferred stock and equity issued through awards under employee benefit plans, among other issuances. Citi has 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 Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (see "Regulatory Capital Standards" and "Risk Factors-Regulatory Risks" 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, may also affect Citi's capital levels.
Capital is used primarily to support assets in Citi's businesses and to absorb market, credit or operational losses. Capital may be used for other purposes, such as to pay dividends or repurchase common stock. However, Citi's ability to pay regular quarterly cash dividends of more than $0.01 per share, or to redeem or repurchase equity securities or trust preferred securities, is currently restricted (which restriction may be waived) due to Citi's 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-Business Risks" 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 and liquidity 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. 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. Asset and liability committees are also established globally and for each region, country and/or major line of business.

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 trust preferred securities, 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 trust preferred securities. 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 not be subject to a Federal Reserve Board directive to maintain higher capital levels. In addition, the Federal Reserve Board expects bank holding companies to maintain a minimum Leverage ratio of 3% or 4%, depending on factors specified in its regulations. The following table sets forth Citigroup's regulatory capital ratios as of December 31, 2011 and December 31, 2010:

Citigroup Regulatory Capital Ratios

At year end 2011 2010
Tier 1 Common 11.80 % 10.75 %
Tier 1 Capital 13.55 12.91
Total Capital (Tier 1 Capital + Tier 2 Capital) 16.99 16.59
Leverage 7.19 6.60

As indicated in the table above, Citigroup was "well capitalized" under the current federal bank regulatory agency definitions as of December 31, 2011 and December 31, 2010.


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Components of Capital Under Regulatory Guidelines

In millions of dollars at year end 2011 2010
Tier 1 Common Capital
Citigroup common stockholders' equity $ 177,494 $ 163,156
Less: Net unrealized losses on securities available-for-sale, net of tax (1) (35 ) (2,395 )
Less: Accumulated net losses on cash flow hedges, net of tax (2,820 ) (2,650 )
Less: Pension liability adjustment, net of tax (2) (4,282 ) (4,105 )
Less: Cumulative effect included in fair value of financial liabilities attributable to the change in
       own creditworthiness, net of tax (3) 1,265 164
Less: Disallowed deferred tax assets (4) 37,980 34,946
Less: Intangible assets:
       Goodwill 25,413 26,152
       Other disallowed intangible assets 4,550 5,211
Other (569 ) (698 )
Total Tier 1 Common Capital $ 114,854 $ 105,135
Tier 1 Capital
Qualifying perpetual preferred stock $ 312 $ 312
Qualifying mandatorily redeemable securities of subsidiary trusts 15,929 18,003
Qualifying noncontrolling interests 779 868
Other - 1,875
Total Tier 1 Capital $ 131,874 $ 126,193
Tier 2 Capital
Allowance for credit losses (5) $ 12,423 $ 12,627
Qualifying subordinated debt (6) 20,429 22,423
Net unrealized pretax gains on available-for-sale equity securities (1) 658 976
Total Tier 2 Capital $ 33,510 $ 36,026
Total Capital (Tier 1 Capital + Tier 2 Capital) $ 165,384 $ 162,219
Risk-weighted assets (RWA) (7) $ 973,369 $ 977,629

(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 changes in Citigroup's own creditworthiness 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, 2011, approximately $11 billion of such assets were includable without limitation in regulatory capital pursuant to risk-based capital guidelines, while approximately $38 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 $3 billion of other net deferred tax assets primarily represented 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 $67.0 billion for interest rate, commodity and equity derivative contracts, foreign exchange contracts, and credit derivatives as of December 31, 2011, compared with $62.1 billion as of December 31, 2010. Market risk equivalent assets included in risk-weighted assets amounted to $46.8 billion at December 31, 2011 and $51.4 billion at December 31, 2010. 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.

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Common Stockholders' Equity
Citigroup's common stockholders' equity increased during 2011 by $14.3 billion to $177.5 billion, and represented 9% of total assets as of December 31, 2011. The table below summarizes the change in Citigroup's common stockholders' equity during 2011:

In billions of dollars
Common stockholders' equity, December 31, 2010 $ 163.2
Citigroup's net income 11.1
Employee benefit plans and other activities (1) 0.9
Conversion of ADIA Upper DECs equity units purchase
       contracts to common stock 3.8
Net change in accumulated other comprehensive income (loss), net of tax (1.5 )
Common stockholders' equity, December 31, 2011 $ 177.5

(1) As of December 31, 2011, $6.7 billion of common stock repurchases remained under Citi's authorized repurchase programs. No material repurchases were made in 2011.

Tangible Common Equity and Tangible Book Value
Per Share
Tangible common equity (TCE), as defined by Citigroup, represents common equity less goodwill, intangible assets (other than mortgage servicing rights (MSRs)), and related net deferred tax assets. Other companies may calculate TCE in a manner different from that of Citigroup. Citi's TCE was $145.4 billion at December 31, 2011 and $129.4 billion at December 31, 2010.
The TCE ratio (TCE divided by risk-weighted assets) was 14.9% at December 31, 2011 and 13.2% at December 31, 2010.
TCE and tangible book value per share, as well as related ratios, are capital adequacy metrics used and relied upon by investors and industry analysts; however, they are non-GAAP financial measures for SEC purposes. A reconciliation of Citigroup's total stockholders' equity to TCE, and book value per share to tangible book value per share, as of December 31, 2011 and December 31, 2010, follows:

In millions of dollars or shares at year end,
except ratios and per-share data
2011 2010
Total Citigroup stockholders' equity $ 177,806 $ 163,468
Less:
       Preferred stock 312 312
Common equity $ 177,494 $ 163,156
Less:
       Goodwill 25,413 26,152
       Intangible assets (other than MSRs) 6,600 7,504
       Related net deferred tax assets 44 56
Tangible common equity (TCE) $ 145,437 $ 129,444
Tangible assets
GAAP assets $ 1,873,878 $ 1,913,902
       Less:
              Goodwill 25,413 26,152
              Intangible assets (other than MSRs) 6,600 7,504
              Related deferred tax assets 322 359
Tangible assets (TA) $ 1,841,543 $ 1,879,887
Risk-weighted assets (RWA) $ 973,369 $ 977,629
TCE/TA ratio 7.90 % 6.89 %
TCE/RWA ratio 14.94 % 13.24 %
Common shares outstanding (CSO) 2,923.9 2,905.8
Book value per share
(common equity/CSO) $ 60.70 $ 56.15
Tangible book value per share (TCE/CSO) $ 49.74 $ 44.55

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Capital Resources of Citigroup's U.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.
The following table sets forth the capital tiers and capital ratios of Citibank, N.A., Citi's primary U.S. subsidiary depository institution, as of December 31, 2011 and December 31, 2010:

Citibank, N.A. Capital Tiers and Capital Ratios Under
Regulatory Guidelines
(1)

In billions of dollars at year end, except ratios 2011 2010
Tier 1 Common Capital $ 121.3 $ 123.6
Tier 1 Capital 121.9 124.2
Total Capital (Tier 1 Capital + Tier 2 Capital) 134.3 138.4
Tier 1 Common ratio 14.63 % 15.33 %
Tier 1 Capital ratio 14.70 15.42
Total Capital ratio 16.20 17.18
Leverage ratio 9.66 9.32

(1) Effective July 1, 2011, Citibank (South Dakota) N.A. merged into Citibank, N.A. The amount of Tier 1 Common Capital, Tier 1 Capital and Total Capital, and the resultant capital ratios, at December 31, 2010 have been restated to reflect this merger. The 2011 Capital Ratios above also reflect the impact of dividends paid by Citibank, N.A. to Citigroup during 2011.

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 Capital, 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, 2011. 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 $1
Impact of $1 Impact of $1 Impact of $1 billion change
Impact of $100 billion change in Impact of $100 billion change in Impact of $100 billion change in Impact of $100 in adjusted
million change in risk-weighted million change risk-weighted million change risk-weighted million change average total
Tier 1 Common Capital assets in Tier 1 Capital assets in Total Capital assets in Tier 1 Capital assets
Citigroup 1.0 bps 1.2 bps 1.0 bps 1.4 bps 1.0 bps 1.8 bps 0.6 bps 0.4 bps
Citibank, N.A. 1.2 bps 1.8 bps 1.2 bps 1.8 bps 1.2 bps 2.0 bps 0.8 bps 0.8 bps

Broker-Dealer Subsidiaries
At December 31, 2011, Citigroup Global Markets Inc., a broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC's net capital rule, of $7.8 billion, which exceeded the minimum requirement by $7.0 billion.
In addition, certain of Citi's other broker-dealer subsidiaries are subject to regulation in the 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, 2011.


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Regulatory Capital Standards
The prospective regulatory capital standards for financial institutions, both in the U.S. and internationally, continue to be subject to ongoing debate, extensive rulemaking activity and substantial uncertainty. See "Risk Factors-Regulatory Risks" below.
Basel II and II.5. In November 2005, the Basel Committee on Banking Supervision (Basel Committee) published a new set of risk-based capital standards (Basel II) that permits banking organizations to leverage internal risk models used to measure credit and operational risks to derive risk-weighted assets. In November 2007, the U.S. banking agencies adopted these standards for large, internationally active U.S. banking organizations, including Citi. As adopted, the standards require Citi to comply with the most advanced Basel II approaches for calculating risk-weighted assets for credit and operational risks. The U.S. Basel II implementation timetable originally consisted of a parallel calculation period under the current regulatory capital regime (Basel I), followed by a three-year transitional "floor" period, during which Basel II risk-based capital requirements could not fall below certain floors based on application of the Basel I rules. Citi began parallel Basel I and Basel II reporting to the U.S. banking agencies on April 1, 2010. 
In June 2011, the U.S. banking agencies adopted final regulations to implement the "capital floor" provision of the so-called "Collins Amendment" of The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd-Frank Act). These regulations eliminated the three-year transitional floor period in favor of a permanent floor based on the generally applicable risk-based capital rules (currently Basel I). Pursuant to these regulations, a banking organization that has formally implemented Basel II must calculate its risk-based capital requirements under both Basel I and Basel II, compare the two results, and then use the lower of the resulting capital ratios for purposes of determining compliance with its minimum Tier 1 Capital and Total Capital requirements. As of December 31, 2011 neither Citi nor any other U.S. banking organization had received approval from the U.S. banking agencies to formally implement Basel II. Accordingly, the timing of Citi's Basel II implementation remains subject to uncertainty.
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 (Basel II.5) that would also result in additional capital requirements. In January 2011, the U.S. banking agencies issued a proposal to amend the market risk capital rules to implement certain revisions approved by the Basel Committee. However, the U.S. banking agencies' proposal excluded the methodologies adopted by the Basel Committee for calculating capital requirements on certain debt and securitization positions covered by the market risk capital rules, as such methodologies include reliance on external credit ratings, which is prohibited by the Dodd-Frank Act (see below).

Basel III and Global Systemically Important Banks (G-SIBs)
Basel III. 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 are required to finalize, by December 2012, the rules to be applied by U.S. banking organizations commencing on January 1, 2013. While expected to be substantially the same as those of the Basel Committee as described below, as of December 31, 2011, the U.S. banking agencies had yet to issue the proposed U.S. version of the Basel III rules. 
Under Basel III, when fully phased in on January 1, 2019, Citi would be required to maintain minimum risk-based capital ratios (exclusive of a G-SIB capital surcharge) 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
       (without G-SIB surcharge) 7.0 % 8.5 % 10.5 %

While banking organizations would be permitted to 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 (i.e., for Citi, the U.S. banking agencies), a countercyclical capital buffer ranging from 0% to 2.5%, consisting of only Tier 1 Common Capital, could 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. 
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. 
Further, 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 Collins Amendment of the Dodd-Frank Act, 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,


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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 Citi, like other U.S. banking organizations, is 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 test period beginning on January 1, 2013, Citi, like other U.S. 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.
Global Systemically Important Banks (G-SIBs). In November 2011, the Basel Committee finalized rules which set forth measures for G-SIBs, including the methodology for assessing global systemic importance, the related additional loss absorbency capital requirements (surcharges), and the phase-in period regarding such requirements. 
Under the final rules, the methodology for assessing G-SIBs is to be based primarily on quantitative measurement indicators comprising five equally weighted broad categories: size, cross-jurisdictional activity, interconnectedness, substitutability/financial institution infrastructure, and complexity. G-SIBs will be subject to a progressive minimum additional Tier 1 Common Capital surcharge (over and above the Basel III minimum capital ratio requirements) ranging initially across four buckets from 1% to 2.5% of risk-weighted assets, depending upon the systemic importance of each individual banking organization. Further, a potential minimum additional 1% Tier 1 Common Capital requirement could also be imposed in the future on the largest G-SIBs that are deemed to have increased their global systemic importance (resulting in a total minimum additional Tier 1 Common Capital surcharge of 3.5%). Citi expects to be a G-SIB under the Basel Committee's rules, although the extent of its initial additional capital surcharge remains uncertain.
The minimum additional Tier 1 Common Capital surcharge for G-SIBs will be phased-in, as an extension of and in parallel with the Basel III capital conservation buffer and any countercyclical capital buffer, commencing on January 1, 2016 and becoming fully effective on January 1, 2019. 
Accordingly, based on Citi's current understanding, under Basel III, on a fully phased-in basis, the effective minimum Tier 1 Common ratio requirement for those banking organizations initially deemed to be the most global systemically important, which will likely include Citi, will be at least 9.5% (consisting of the aggregate of the 4.5% stated minimum Tier 1 Common ratio requirement, the 2.5% capital conservation buffer, and the maximum 2.5% G-SIB capital surcharge). However, as referenced above, these capital surcharge measures have not yet been proposed by the U.S. banking agencies, although they have indicated they intend to adopt implementing rules in 2014.

Dodd-Frank Act
In addition to the Collins Amendment, the Dodd-Frank Act contains other significant regulatory capital-related provisions that have not yet been fully implemented by the U.S. banking agencies. 
Alternative Creditworthiness Standards. In December 2011, the U.S banking agencies proposed to further amend and supplement the market risk capital rules beyond the January 2011 proposed modifications discussed above. The December 2011 proposals are intended to implement the provisions of the Dodd-Frank Act requiring that all federal agencies remove references to, and reliance on, credit ratings in their regulations, and replace these references with appropriate alternative standards for evaluating creditworthiness. Under the December 2011 proposal, the U.S. banking agencies set forth alternative methodologies to external credit ratings which are to be used to assess capital requirements on certain debt as well as securitization positions subject to the market risk capital rules. The U.S. banking agencies have also indicated they intend to propose similar revisions to the Basel I and Basel II rules to eliminate the use of external credit ratings to determine the risk weights applicable to securitization and certain corporate exposures under these regulations.
Enhanced Prudential Regulatory Capital Requirements. As mandated by the Dodd-Frank Act, in January 2012, the Federal Reserve Board issued a proposal designed to strengthen regulation and supervision of those financial institutions deemed to be systemically important and posing risk to market-wide financial stability, which would include Citi. The proposal incorporates a wide range of enhanced prudential standards, including those related to risk-based capital requirements and leverage limits. 
The Federal Reserve Board has already implemented the first phase of the proposal's enhanced capital requirements through the adoption of its capital plan rule in December 2011. As a result, Citi, like other covered bank holding companies, is required to develop annual capital plans, conduct stress tests, and maintain adequate capital, including a Tier 1 Common ratio in excess of 5% (under both expected and stressed conditions) in order to engage in capital distributions such as dividends or share repurchases (see "Risk Factors-Business Risks" below). The second phase of the enhanced capital requirements, as set forth in the January 2012 proposal, would involve a subsequent Federal Reserve Board proposal regarding the establishment of a quantitative risk-based capital surcharge for covered financial institutions or a subset thereof, to be consistent with the provisions of the Basel Committee's final G-SIB surcharge rules.


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FUNDING AND LIQUIDITY

Overview
Citi's funding and liquidity objectives generally are to maintain liquidity to fund its existing asset base as well as grow its core businesses in Citicorp, while at the same time maintain sufficient excess liquidity, structured appropriately, so that it can operate under a wide variety of market conditions, including market disruptions for both short- and long-term periods. Citigroup's primary liquidity objectives are established by entity, and in aggregate, across three major categories:

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

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, including in conditions established under their designated stress tests, and have excess cash capital.
Citi's primary sources of funding include (i) deposits via Citi's bank subsidiaries, which continue to be Citi's most stable and lowest cost source of long-term funding, (ii) long-term debt (including long-term collateralized financings) 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 secured financing transactions (securities loaned or sold under agreements to repurchase, or repos), and commercial paper at the non-bank level. 
As referenced above, Citigroup works to ensure that the structural tenor of these funding sources is sufficiently long in relation to the tenor of its asset base. 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 decreases in 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 (1) Significant bank entities Other entities (2) Total
Dec. 31, Dec. 31, Dec. 31, Dec. 31, Dec. 31, Dec. 31, Dec. 31, Dec. 31,
In billions of dollars 2011 2010 2011 2010 2011 2010 2011 2010
Cash at major central banks      $ 29.1 $ 22.7        $ 70.7 $ 77.4      $ 27.6 $ 32.5     $ 127.4 $ 132.6
Unencumbered liquid securities 69.3 71.8 129.5 145.3 79.3 77.1 278.1 294.2
Total $ 98.4 $ 94.5 $ 200.2 $ 222.7 $ 106.9 $ 109.6 $ 405.5 $ 426.8

(1) Non-bank includes the parent holding company (Citigroup), Citigroup Funding Inc. (CFI) and one of Citi's broker-dealer entities, Citigroup Global Markets Holdings Inc. (CGMHI).
(2) Other entities include Banamex and other bank entities.

As set forth in the table above, Citigroup's aggregate liquidity resources totaled $405.5 billion at December 31, 2011, compared with $426.8 billion at December 31, 2010. 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, 2011, the intra-quarter amounts did not fluctuate materially from the quarter-end amounts noted above. 
At December 31, 2011, Citigroup's non-bank aggregate liquidity resources totaled $98.4 billion, compared with $94.5 billion at December 31, 2010. This amount included unencumbered liquid securities and cash held in Citi's U.S. and non-U.S. broker-dealer entities. 
Citigroup's significant bank entities had approximately $200.2 billion of aggregate liquidity resources as of December 31, 2011. This amount included $70.7 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), compared with $77.4 billion at

December 31, 2010. The significant bank entities' liquidity resources also included 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 $129.5 billion at December 31, 2011, compared with $145.3 billion at December 31, 2010. As shown in the table above, overall, liquidity at Citi's significant bank entities was down at December 31, 2011, as compared to December 31, 2010, as Citi deployed some of its excess bank liquidity into loan growth within Citicorp (see "Balance Sheet Review" above) and paid down long-term bank debt. 
Citi estimates that its other entities and subsidiaries held approximately $106.9 billion in aggregate liquidity resources as of December 31, 2011. This included $27.6 billion of cash on deposit with major central banks and $79.3 billion of unencumbered liquid securities. Including these amounts, Citi's aggregate liquidity resources as of December 31, 2011 were approximately $405.5 billion.


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Further, Citi's summary of aggregate liquidity resources above does not include additional potential liquidity in the form of Citigroup's borrowing capacity at the U.S. Federal Reserve Bank discount window and from the various Federal Home Loan Banks (FHLB), which is maintained by pledged collateral to all such banks. Citi also maintains additional liquidity available in the form of diversified high grade non-government securities. 
In general, Citigroup can freely fund legal entities within its bank vehicles. In addition, Citigroup's bank subsidiaries, including Citibank, N.A., can lend to the Citigroup parent and broker-dealer entities in accordance with Section 23A of the Federal Reserve Act. As of December 31, 2011, the amount available for lending to these non-bank entities under Section 23A was approximately $20.4 billion, provided the funds are collateralized appropriately.

Deposits
Citi continued to focus on maintaining a geographically diverse retail and corporate deposits base that stood at $866 billion at December 31, 2011, as compared with $845 billion at December 31, 2010. The $21 billion increase in deposits year-over-year was largely due to higher deposit volumes in Global Consumer Banking and Transaction Services . These increases were partially offset by a decrease in deposits in Citi Holdings year-over-year, while deposits in Securities and Banking were relatively flat. Compared to the prior quarter, deposits increased in Global Consumer Banking, Securities and Banking and Transaction Services . Citi grew deposits year-over-year in all regions as customers continued a "flight to quality" given the market environment, including increases in Europe and North America in the fourth quarter of 2011. As of December 31, 2011, approximately 60% of Citi's deposits were located outside of the United States. 
Deposits can be interest-bearing or non-interest-bearing. Citi had $866 billion of deposits at December 31, 2011; of those, $177 billion were non-interest-bearing, compared to $133 billion at December 31, 2010. The remainder, or $689 billion, was interest-bearing, compared to $712 billion at December 31, 2010. 
While Citi's deposits have grown year over year, Citi's overall cost of funds on deposits decreased, reflecting the low rate environment as well as Citi's ability to lower price points that widens its margins given the high levels of customer liquidity while still remaining competitive. Citi's average rate on total deposits was 0.96% at December 31, 2011, compared with 0.99% at December 31, 2010. Excluding the impact of the higher FDIC assessment effective beginning in the second quarter of 2011 and deposit insurance, the average rate on Citi's total deposits was 0.80% at December 31, 2011, compared with 0.86% at December 31, 2010. As interest rates rise, however, Citi expects to see pressure on these rates.

In addition, the composition of Citi's deposits shifted significantly year-over-year. Specifically, time deposits, where rates are fixed for the term of the deposit and have generally lower margins, became a smaller proportion of the deposit base, whereas operating accounts became a larger proportion of deposits. As defined by Citigroup, operating accounts consist of accounts such as checking and savings accounts for individuals, as well as cash management accounts for corporations, and, in Citi's experience, provide wider margins and exhibit retentive behavior. During 2011, operating account deposits grew across most of Citi's deposit-taking businesses, including retail, the private bank and Transaction Services . Operating accounts represented 75% of Citicorp's deposit base as of December 31, 2011, compared to 70% as of December 31, 2010 and 63% at December 31, 2009.

Long-Term Debt
Long-term debt (generally defined as original maturities of one year or more) is an important funding source, primarily for the non-bank entities, because of its multi-year maturity structure. The weighted average maturities of structural long-term debt (as defined in note 1 to the long-term debt issuances and maturities table below), issued by Citigroup, CFI, CGMHI and Citibank, N.A., excluding trust preferred securities, was approximately 7.1 years at December 31, 2011, compared to approximately 6.2 years as of December 31, 2010. At December 31, 2011 and December 31, 2010, overall long-term debt outstanding for Citigroup was as follows:

In billions of dollars Dec. 31, 2011 Dec. 31, 2010
Non-bank $ 247.0 $ 268.0
Bank (1) 76.5 113.2
Total (2)(3) $ 323.5 $ 381.2

(1) Collateralized advances from the FHLB were approximately $11.0 billion and $18.2 billion, respectively, at December 31, 2011 and December 31, 2010. These advances are reflected in the table above.
(2) Includes long-term debt related to consolidated variable interest entities (VIEs) of approximately $50.5 billion and $69.7 billion, respectively, at December 31, 2011 and December 31, 2010. The majority of these VIEs relate to the Citibank Credit Card Master Trust and the Citibank OMNI Master Trust.
(3) Of this amount, approximately $38.0 billion maturing in 2012 is guaranteed by the FDIC under the Temporary Liquidity Guarantee Program (TLGP).

As set forth in the table above, Citi's overall long-term debt has decreased by approximately $58 billion year-over-year. In the non-bank, the year-over-year decrease was primarily due to TLGP run-off. In the bank entities, the decrease also included TLGP run-off, FHLB reductions, and the maturing of credit card securitization debt, particularly as Citi has grown its overall deposit base. Citi currently expects a continued decline in its overall long-term debt over 2012, particularly within its bank entities. Given its liquidity resources as of December 31, 2011, Citi may consider opportunities to repurchase its long-term debt, pursuant to open market purchases, tender offers or other means.


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The table below details the long-term debt issuances and maturities of Citigroup during the past three years:

2011 2010 2009
In billions of dollars Maturities Issuances Maturities Issuances Maturities Issuances
       Long-term debt (1)(2) $ 50.6 $ 15.1 $ 43.0 $ 18.9 $ 64.0 $ 110.4
       Local country level, FHLB and other 22.4 15.2  (3) 18.7 10.2 59.0 8.9
       Secured debt and securitizations 16.1 0.7 14.2 4.7 0.9 17.0
Total $ 89.1 $ 31.0 $ 75.9 $ 33.8 $ 123.9 $ 136.3

(1) Long-term debt issuances for all periods in the table above reflect Citi's structural long-term debt issuances. Structural long-term debt is a non-GAAP measure. Citi defines structural long-term debt as its long-term debt (original maturities of one year or more), excluding certain structured notes, such as equity-linked and credit-linked notes, with early redemption features effective within one year. Citigroup believes that the structural long-term debt measure provides useful information to its investors as it excludes long-term debt that could in fact be redeemed by the holders thereof within one year. Long-term debt maturities for all periods reflect the total amount of senior and subordinated long-term debt and trust preferred securities.
(2) During 2011 and 2010, Citi issued a total of $7.5 billion of senior debt pursuant to the remarketing of the trust preferred securities held by ADIA.
(3) Includes $0.5 billion of long-term FHLB issuance in the first quarter of 2011 and $5.5 billion in the second quarter of 2011.

The table below shows Citi's aggregate expected annual long-term debt maturities as of December 31, 2011:

Expected Long-Term Debt Maturities as of December 31, 2011
In billions of dollars 2012 2013 2014 2015 2016 Thereafter Total
Senior/subordinated debt $ 60.6 $ 28.7 $ 25.9 $ 16.7 $ 12.2 $ 82.8 $ 226.9
Trust preferred securities 0.0 0.0 0.0 0.0 0.0 16.1 16.1
Securitized debt and securitizations 17.5 7.3 7.6 5.3 2.8 9.6 50.1
Local country and FHLB borrowings 5.8 10.3 4.5 1.6 4.9 3.3 30.4
Total long-term debt $ 83.9 $ 46.3 $ 38.0 $ 23.6 $ 19.9 $ 111.8 $ 323.5

As set forth in the table above, Citi currently estimates its long-term debt maturing during 2012 to be $60.6 billion (which excludes maturities relating to local country, securitizations and FHLB), of which $38.0 billion is TLGP that Citi does not expect to refinance. Given the current status of its liquidity resources and continued asset reductions in Citi Holdings, Citi currently expects to refinance approximately $15 billion to $20 billion of long-term debt during 2012. However, Citi continually reviews its funding and liquidity needs and may adjust its expected issuances due to market conditions, including the continued uncertainty resulting from certain European market concerns, among other factors.

Secured Financing Transactions and Short-Term Borrowings
As referenced above, Citi supplements its primary sources of funding with short-term borrowings (generally defined as original maturities of less than one year). Short-term borrowings generally include (i) secured financing (securities loaned or sold under agreements to repurchase, or repos) and (ii) short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants. The following table contains the year-end, average and maximum month-end amounts for the following respective short-term borrowings 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 2011 2010 2009 2011 2010 2009 2011 2010 2009
Amounts outstanding at year end $ 198.4   $ 189.6   $ 154.3 $ 21.3   $ 24.7   $ 10.2 $ 33.1    $ 54.1    $ 58.7
Average outstanding during the year (5) 219.9 212.3 205.6 25.3 35.0 24.7 45.5 68.8 76.5
Maximum month-end outstanding 226.1 246.5 252.2 25.3 40.1 36.9 58.2 106.0 99.8
Weighted-average interest rate
During the year (5)(6)(7) 1.45 % 1.32 % 1.67 % 0.28 % 0.38 % 0.99 % 1.28 % 1.14 % 1.54 %
At year end (8) 1.10 0.99 0.85 0.38 0.35 0.34 1.09 0.40 0.66

(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 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) Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45). However, interest expense excludes the impact of FIN 41 (ASC 210-20-45).
(8) Based on contractual rates at respective year-end; non-interest-bearing accounts are excluded from the weighted average interest rate calculated at year-end.

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Secured Financing Transactions
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. As of December 31, 2011, secured financing was $198 billion and averaged approximately $220 billion during the year. Secured financing at December 31, 2011 increased year over year by approximately $9 billion from $190 billion at December 31, 2010.

Commercial Paper
At December 31, 2011 and December 31, 2010, commercial paper outstanding for Citigroup's non-bank entities and significant bank entities, respectively, was as follows:

In millions of dollars Dec. 31, 2011 Dec. 31, 2010
Non-bank           $ 6,414           $ 9,670
Bank 14,872 14,987
Total $ 21,286 $ 24,657

Other Short-Term Borrowings
At December 31, 2011, Citi's other short-term borrowings were $33 billion, compared with $54 billion at December 31, 2010. The average balances for the quarters were generally consistent with the quarter-end balances for each period.
See Note 19 to the Consolidated Financial Statements for further information on Citigroup's outstanding long-term debt and short-term borrowings.

Liquidity Risk Management
Liquidity risk is the risk of a financial institution's inability to meet its obligations in a timely manner. Management of liquidity risk at Citi is the responsibility of the Citigroup Treasurer with oversight from senior management through Citi's Finance and Asset and Liability Committee (FinALCO). For additional information on FinALCO and Citi's liquidity management, see "Capital Resources – Overview" above.
Citigroup operates under 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 Citigroup Treasury and independent risk management.

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.

Liquidity Measures
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 Citi's asset base is funded by sufficiently long-dated liabilities. Citi's structural liquidity ratio was 73% at December 31, 2011 and 73% at December 31, 2010.
Internally, Citi also utilizes cash capital to measure and monitor its ability to fund the structurally illiquid portion of the balance sheet, on a specific product-by-product basis. While cash capital is a methodology generally used by financial institutions to provide a maturity structure matching assets and liabilities, there is a lack of standardization in this area and specific product-by-product assumptions vary by firm. Cash capital measures the amount of long-term funding-core deposits, long-term debt 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 and fixed assets). As of December 31, 2011, based on Citi's internal measures, both the non-bank and the aggregate bank subsidiaries had excess cash capital. 
As part of Basel III, the Basel Committee proposed two new liquidity measurements (for an additional discussion of Basel III, see "Capital Resources-Regulatory Capital Standards" above). Specifically, as proposed, the Liquidity Coverage Ratio (LCR) 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 LCR must be at least 100%, and is proposed to be effective beginning January 1, 2015. While the U.S. regulators have not yet provided final rules or guidance with respect to the LCR, based on its current understanding of the LCR requirements, Citi believes it is in compliance with the LCR as of December 31, 2011. 
In addition to the LCR, the Basel Committee proposed a Net Stable Funding Ratio (NSFR) designed to promote the medium- and long-term funding of assets and activities over a one-year time horizon. It is Citi's understanding, however, that this proposed metric is under review by the Basel Committee and may be further revised. 
Moreover, in January 2012, the Federal Reserve Board proposed rules to implement the enhanced prudential standards for systemically important financial institutions, as required by the Dodd-Frank Act. The proposed rules include new requirements for liquidity management and corporate governance related thereto. Citi continues to review these proposed rules and any potential impact they may have on its liquidity management practices.



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Stress Testing
Liquidity stress testing is performed for each of Citi's major entities, operating subsidiaries and/or countries. 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 mismatches between liquidity sources and uses over a variety of horizons

(overnight, one week, two weeks, one month, three months, 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 partially dependent on its credit ratings. See also "Risk Factors-Market and Economic Risks" below. The table below indicates the ratings for Citigroup, Citibank, N.A. and Citigroup Global Markets Inc. (a broker-dealer subsidiary of Citi) as of December 31, 2011.


Citigroup's Debt Ratings as of December 31, 2011

Citigroup Inc./Citigroup Citigroup Global
Funding Inc.  (1) Citibank, N.A. Markets Inc.
Senior Commercial Long- Short- Senior
debt paper term term debt
Fitch Ratings (Fitch) A F1 A F1 NR
Moody's Investors Service (Moody's) A3 P-2 A1 P-1 NR
Standard & Poor's (S&P) A- A-2 A A-1 A

(1) As a result of the Citigroup guarantee, the ratings of, and changes in ratings for, CFI are the same as those of Citigroup.
NR Not rated.

Recent Rating Changes
On September 21, 2011, Moody's concluded its review of government support assumptions for Citi and certain peers and upgraded Citi's unsupported "Baseline Credit Assessment" rating and affirmed Citi's long-term debt ratings at both the Citibank and Citigroup levels. At the same time, however, Moody's changed the short-term rating of Citigroup (the parent holding company) to ‘P-2' from ‘P-1'. On November 29, 2011, following its global review of the banking industry under S&P's revised bank criteria, S&P downgraded the issuer credit rating for Citigroup Inc. to ‘A-/A-2' from ‘A/A-1', and Citibank, N.A. to ‘A/A-1' from ‘A+/A-1'. These ratings continue to receive two notches of uplift, reflecting S&P's view that the U.S. government is supportive to Citi. On December 15, 2011, Fitch announced revised ratings resulting from its review of government support assumptions for 17 U.S. banks. The resolution of this review resulted in a revision to the issuer credit ratings of Citigroup and Citibank, N.A. from ‘A+' to ‘A' and the short-term issuer rating from ‘F1+' to ‘F1'.

The above mentioned rating changes did not have a material impact on Citi's funding profile. Furthermore, forecasts of potential funding loss under various stress scenarios, including the above mentioned rating downgrades, did not occur.

Potential Impact of Ratings Downgrades
Ratings downgrades by Fitch, Moody's or S&P could have material impacts on funding and liquidity in the form of cash obligations, reduced funding capacity and collateral triggers.
Most recently, on February 15, 2012, Moody's announced a review of 17 banks and securities firms with global capital markets operations, including Citi, for possible downgrade during the first half of 2012. Moody's stated this review was to assess adverse market trends, which it believes are weakening the credit profiles of many rated banks globally. It is not certain what the results of this review will be, or if Citigroup or Citibank, N.A. will be impacted.


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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, 2011, Citi estimates that a one-notch downgrade of the senior debt/long-term rating of Citigroup could result in loss of funding due to derivative triggers and additional margin requirements of $1.3 billion and a one-notch downgrade by Fitch of Citigroup's commercial paper/short-term rating could result in the assumed loss of unsecured commercial paper of $6.4 billion. Other funding sources, such as secured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
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, could result in an additional $0.9 billion in funding requirements in the form of cash obligations and collateral as of December 31, 2011. Other funding sources, such as secured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As set forth under "Aggregate Liquidity Resources" above, the aggregate liquidity resources of Citigroup's non-bank entities stood at approximately $98.4 billion as of December 31, 2011, in part as a contingency for such an event, and a broad range of mitigating actions are currently included in Citigroup's detailed contingency funding plans. 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.

Further, as of December 31, 2011, a one-notch downgrade of the senior debt/long-term ratings of Citibank, N.A. could result in an approximate $2.4 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. However, a two-notch downgrade by Moody's could have an adverse impact on Citibank, N.A.'s commercial paper/short-term rating. A two-notch downgrade by Moody's could result in additional funding requirements in the form of cash obligations and collateral estimated at $0.8 billion as of December 31, 2011. As of December 31, 2011, Citibank, N.A. had liquidity commitments of $27.9 billion to asset-backed commercial paper conduits, which could also be impacted by a two-notch downgrade by Moody's, including $14.9 billion of commitments to consolidated conduits, and $13.0 billion of commitments to unconsolidated conduits as referenced in Note 22 to the Consolidated Financial Statements. Additionally, Citibank, N.A. had $11.2 billion of funding programs related to the municipals markets that could be impacted by such a downgrade, of which $10.8 billion is principally reflected as commitments within Note 28 to the Consolidated Financial Statements.
Citi's significant bank entities and other entities, including Citibank, N.A., had aggregate liquidity resources of approximately $307.1 billion at December 31, 2011, in part as a contingency for such an event and also have detailed contingency funding plans that encompass a broad range of mitigating actions. These mitigating actions include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, repricing or reducing certain commitments to commercial paper conduits, exercising reimbursement agreements for the municipal programs mentioned above, adjusting the size of select trading books, reducing loan originations and renewals, raising additional deposits, or borrowing from the FHLB or other central banks. Citi believes these mitigating actions could substantially reduce the funding and liquidity risk of such a downgrade.


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OFF-BALANCE-SHEET ARRANGEMENTS
Citigroup enters into various types of off-balance-sheet arrangements in the ordinary course of business. Citi's involvement in these arrangements can take many different forms, including without limitation:

purchasing or retaining residual and other interests in special purpose entities, such as credit card receivables and mortgage-backed and other asset-backed securitization entities; holding senior and subordinated debt, interests in limited and general partnerships and equity interests in other unconsolidated entities; and providing guarantees, indemnifications, loan commitments, letters of credit and representations and warranties.
Citi enters into these arrangements for a variety of business purposes. These securitization entities offer investors access to specific cash flows and risks created through the securitization process. The securitization arrangements also assist Citi and Citi's customers in monetizing their financial assets at more favorable rates than Citi or the customers could otherwise obtain.
The table below presents a discussion of Citi's various off-balance-sheet arrangements may be found in this Form 10-K. In addition, see "Significant Accounting Policies and Significant Estimates – Securitizations" below, as well as Notes 1, 22 and 28 to the Consolidated Financial Statements.

Types of Off-Balance-Sheet Arrangements Disclosures in
this Form 10-K

Variable interests and other obligations, See Note 22 to the Consolidated
       including contingent obligations,        Financial Statements.
       arising from variable interests in
       nonconsolidated VIEs
Leases, letters of credit, and lending See Note 28 to the Consolidated
       and other commitments        Financial Statements.
Guarantees See Note 28 to the Consolidated
       Financial Statements.


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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, or repos (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, 2011 2012 2013 2014 2015 2016 Thereafter Total
Long-term debt obligations (1) $ 83,907 $ 46,338 $ 37,950 $ 23,625 $ 19,897 $ 111,788 $ 323,505
Operating and capital lease obligations 1,199 1,096 1,008 906 793 2,292 7,294
Purchase obligations 694 437 389 353 274 409 2,556
Other liabilities (2) 40,707 366 310 291 294 5,666 47,634
Total $ 126,507 $ 48,237 $ 39,657 $ 25,175 $ 21,258 $ 120,155 $ 380,989

(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 2012 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

REGULATORY RISKS

Citi faces significant regulatory changes around the world which could negatively impact its businesses, especially given the unfavorable environment facing financial institutions and the lack of international coordination.
As discussed in more detail throughout this section, Citi continues to be subject to a significant number of new regulatory requirements and changes from numerous sources, both in the U.S. and internationally, which could negatively impact its businesses, revenues and earnings. These reforms and proposals are occurring largely simultaneously and generally not on a coordinated basis. In addition, as a result of the financial crisis in the U.S., as well as the continuing adverse economic climate globally, Citi, as well as other financial institutions, is subject to an increased level of distrust, scrutiny and skepticism from numerous constituencies, including the public, state, federal and foreign regulators, the media and within the political arena. This environment, in which the U.S. and international regulatory initiatives are being debated and implemented, engenders not only a bias towards more regulation, but towards the most prescriptive regulation for financial institutions. As a result of this ongoing negative environment, there could be additional regulatory requirements beyond those already proposed, adopted or even currently contemplated by U.S. or international regulators. It is not clear what the cumulative impact of all of this regulatory reform will be.

The ongoing implementation of the Dodd-Frank Act, as well as international regulatory reforms, continues to create much uncertainty for Citi, including with respect to the management of its businesses, the amount and timing of the resulting increased costs and its ability to compete.
Despite enactment in July 2010, the complete scope and ultimate form of a number of provisions of The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd-Frank Act), such as the heightened prudential standards applicable to large financial companies, the so-called "Volcker Rule" and the regulation of derivatives markets, are still in developmental stages and significant rulemaking and interpretation remains. Moreover, agencies and offices created by the Dodd-Frank Act, such as the Bureau of Consumer Financial Protection, are in their early stages and the extent and timing of regulatory efforts by these bodies remains to be seen. 
This uncertainty is further compounded by the numerous regulatory efforts underway outside the U.S. Certain of these efforts overlap with the substantive provisions of the Dodd-Frank Act, while others, such as proposals for financial transaction and/or bank taxes in particular countries or regions, do not. In addition, even where these U.S. and international regulatory efforts overlap, these efforts generally have not been undertaken on a coordinated basis. Areas where divergence between U.S. regulators and their international counterparts exists or has begun to develop (whether with respect to scope, interpretation, timing, approach or otherwise) includes trading, clearing and reporting requirements for derivatives transactions, higher U.S. capital and margin requirements relating to uncleared derivatives transactions, and capital and liquidity requirements that may result in mandatory "ring-fencing" of capital or liquidity in certain jurisdictions, among others.

Regulatory uncertainty makes future planning with respect to the management of Citi's businesses more difficult. For example, the cumulative effect of the new derivative rules and sequencing of implementation requirements will have a significant impact on how Citi chooses to structure its derivatives business and its selection of legal entities in which to conduct this business. Until these rules are final and interpretive questions are answered, management's business planning and proposed pricing for this business necessarily include assumptions based on proposed rules. Incorrect assumptions could impede Citi's ability to effectively implement and comply with the final requirements in a timely manner. Management's planning is further complicated by the continual need to review and evaluate the impact to the business of an ongoing flow of rule proposals and interpretations from numerous regulatory bodies, all within compressed timeframes.
In addition, the operational and technological costs associated with implementation of, as well as the ongoing compliance costs associated with, all of these regulations will likely be substantial. Given the continued uncertainty, the ultimate amount and timing of such costs going forward are difficult to predict. In 2011, Citi invested approximately $1 billion in order to meet various regulatory requirements, and this amount did not include many of the costs likely to be incurred pursuant to the implementation of the Dodd-Frank Act or other regulatory initiatives. For example, the proposed Volcker Rule contemplates a comprehensive internal controls system as well as extensive data collection and reporting duties with respect to "proprietary trading," and rules for registered swap dealers impose extensive recordkeeping requirements and business conduct rules for dealing with customers. All of these costs negatively impact Citi's earnings. Given Citi's global footprint, its implementation and compliance risks and costs are more complex and could be more substantial than its competitors. Ongoing compliance with inconsistent, conflicting or duplicative regulations across U.S. and international jurisdictions, or failure to implement or comply with these new regulations on a timely basis, could further increase costs or harm Citi's reputation generally. 
Citi could also be subject to more stringent regulation because of its global footprint. In accordance with the Dodd-Frank Act, in December 2011 the Federal Reserve Board proposed a set of heightened prudential standards that will be applicable to large financial companies such as Citi. The proposal dictates requirements for aggregate counterparty exposure limits and enhanced risk management processes and oversight, among other things. Compliance with these standards could result in restrictions on Citi's activities. Moreover, other financial institutions, including so-called "shadow banking" financial intermediaries, providing many of the same or similar services or products that Citi makes available to its customers, may not be regulated on the same basis or to the same extent as Citi and consequently may also have certain competitive advantages.
Finally, uncertainty persists as to the extent to which Citi will be subject to more stringent regulations than its foreign competitors with respect to several of the regulatory initiatives, particularly in its non-U.S. operations, including certain aspects of the proposed restrictions under the Volcker Rule and derivatives clearing and margin requirements. Differences in substance


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or severity of regulations across jurisdictions could significantly reduce Citi's ability to compete with foreign competitors, in a variety of businesses and geographic areas, and thus further negatively impact Citi's earnings.

Citi's prospective regulatory capital requirements remain uncertain and will likely be higher than many of its competitors. There is a risk that Citi will be unable to meet these new standards in the timeframe expected by the market or regulators.
As discussed in more detail under "Capital Resources and Liquidity – Capital Resources – Regulatory Capital Standards" above, Citi's prospective regulatory capital requirements continue to be subject to extensive rulemaking and interpretation. Ongoing areas of rulemaking include, among others, (i) the final Basel III rules applicable to U.S. financial institutions, including Citi, (ii) capital surcharges for global systemically important banks (G-SIBs), including the extent of the surcharge to be initially imposed on Citi, and (iii) implementation of the Dodd-Frank Act, including imposition of enhanced prudential capital requirements on financial institutions that are deemed to pose a systemic risk to market-wide financial stability as well as provisions requiring the elimination of credit ratings from capital regulations and the Collins Amendment.
It is clear that final U.S. rules implementing Basel III, the G-SIB surcharge and the capital-related provisions of the Dodd-Frank Act will significantly increase Citi's regulatory capital requirements, including the amount of capital required to be in the form of common equity. However, the various regulatory capital levels Citi must maintain, the types of capital that will meet these requirements and the specific capital requirements associated with Citi's assets remain uncertain. For example, Citi may be required to replace certain of its existing regulatory capital in a compressed timeframe or in unfavorable markets in order to comply with final rules implementing Basel III and the Collins Amendment, which eliminated trust preferred securities from the definition of Tier 1 Capital. In addition, the alternative approaches proposed to replace the use of credit ratings in accordance with the Dodd-Frank Act and final rules implementing Basel II.5 could require Citi to hold more capital against certain of its assets than it must currently. 
The lack of final regulatory capital requirements impedes long-term capital planning by Citi's management. Citi is not able to accurately forecast its capital requirements for particular exposures which complicates its ability to assess the future viability of, and appropriate pricing for, certain of its products. In addition, while management may desire to take certain actions to optimize Citi's regulatory capital profile, such as the reduction of certain investments in unconsolidated financial entities, without clarity as to the final standards, there is risk in management either taking actions based on assumed or proposed rules or waiting to take action until final rules that are implemented in compressed timeframes.
Citi's projected ability to comply with the new capital requirements as they are implemented, or earlier, is also based on certain assumptions specific to Citi's businesses, including its future earnings in Citicorp, the continued wind-down of Citi Holdings and the monetization of Citi's deferred tax assets. If management's assumptions with respect to certain aspects of Citi's

businesses prove to be incorrect, it could negatively impact Citi's ability to comply with the future regulatory capital requirements in a timely manner or in a manner consistent with market or regulator expectations. 
Citi's regulatory capital requirements will also likely be higher than many of its competitors. Citi's strategic focus on emerging markets, for example, will likely result in higher risk-weighted assets and thus potentially higher capital requirements than its less global or less emerging-markets-focused competitors. In addition, within the U.S., Citi will likely face higher regulatory capital requirements than most of its U.S.-based competitors that are not subject to the G-SIB surcharge (or the same level of surcharge) or the heightened prudential capital requirements to be imposed on systemically important financial institutions. Internationally, there have already been instances of Basel III not being consistently adopted or applied across countries or regions. Any lack of a level playing field with respect to capital requirements for Citi as compared to peers or less regulated financial intermediaries, both in the U.S. and internationally, could put Citi at a competitive disadvantage.

As proposed, changes in regulation of derivatives required under the Dodd-Frank Act will require significant and costly restructuring of Citi's derivatives businesses in order to meet the new market structures and could affect the competitive position of these businesses.
Once fully implemented, the provisions of the Dodd-Frank Act relating to the regulation of derivatives will result in comprehensive reform of the derivatives markets. Reforms will include requiring a wide range of over-the-counter derivatives to be cleared through recognized clearing facilities and traded on exchanges or exchange-like facilities, the collection and segregation of collateral for most uncleared derivatives, extensive public transaction reporting and business conduct requirements, and significantly broadened restrictions on the size of positions that may be maintained in specified commodity derivatives. While some of the regulations have been finalized, the rulemaking process is still not complete, and the timing for the effectiveness of many of these requirements is not yet clear. 
The proposed rules implementing the derivatives provisions of the Dodd-Frank Act will necessitate costly and resource-intensive changes to certain areas of Citi's derivatives business structures and practices. Those changes will include restructuring the legal entities through which those businesses are conducted and the successful and timely installation of extensive technological and operational systems and compliance infrastructure, among others. Effective legal entity restructuring will also be dependent on clients and regulators, and so may be subject to delays or disruptions not fully under Citi's control. Moreover, new derivatives-related systems and infrastructure will likely become the basis on which institutions such as Citi compete for clients and, to the extent that Citi's connectivity or services for clients in these businesses is deficient, Citi could be at a competitive disadvantage. More generally, the contemplated reforms will make trading in many derivatives products more costly and may significantly reduce the liquidity of certain derivatives markets and diminish customer demand for covered derivatives. These changes could negatively impact Citi's earnings from these businesses.


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Reforms similar to the derivatives provisions and proposed regulations under the Dodd-Frank Act are also contemplated in the European Union and certain other jurisdictions. These reforms appear likely to take effect after the provisions of the Dodd-Frank Act and, as a result, it is uncertain whether they will be similar to those in the U.S. or will impose different or additional requirements on Citi's derivative activities. Complications due to the sequencing of the effectiveness of derivatives reform, both among different components of the Dodd-Frank Act and between the U.S. and other jurisdictions, could give rise to further disruptions and competitive dislocations.
The proposed regulations implementing the derivatives provisions of the Dodd-Frank Act, if adopted without modification, would also adversely affect the competitiveness of Citi's non-U.S. operations. For example, the proposed regulations would require some of Citi's non-U.S. operations to collect more margin from its non-U.S. derivatives customers than Citi's foreign bank competitors may be required to collect. The Dodd-Frank Act also contains a so-called "push-out" provision that will prevent FDIC-insured depository institutions from dealing in certain equity, commodity and credit-related derivatives. Citi conducts a substantial portion of its derivatives-dealing activities through its insured depository institution and, to the extent that certain of Citi's competitors already conduct such activities outside of FDIC-insured depository institutions, Citi would be disproportionately impacted by any restructuring of its business for push-out purposes. Moreover, the extent to which Citi's non-U.S. operations will be impacted by the push-out provision and other derivative provisions remains unclear, and it is possible that Citi could lose market share or profitability in its derivatives business or client relationships in jurisdictions where foreign bank competitors can operate without the same constraints.

The proposed restrictions imposed on proprietary trading and funds-related activities under the "Volcker Rule" provisions of the Dodd-Frank Act could adversely impact Citi's market-making activities and may cause Citi to dispose of certain of its investments at less than fair value.
The "Volcker Rule" provisions of the Dodd-Frank Act are intended to restrict the proprietary trading activities of institutions such as Citi, as well as such institutions' sponsorship and investment in hedge funds and private equity funds. In October 2011, the Federal Reserve Board, OCC, FDIC and SEC proposed regulations that would implement these restrictions and the CFTC followed with its proposed regulations in January 2012.
The proposed regulations contain narrow exceptions for market-making, underwriting, risk-mitigating hedging, certain transactions on behalf of customers and activities in certain asset classes, and require that certain of these activities be designed not to encourage or reward "proprietary risk taking." Because the regulations are not yet final, the degree to which Citi's activities in these areas will be permitted to continue in their current form remains uncertain. Moreover, if adopted as proposed, the rules would require an extensive compliance regime around these "permitted" activities, and Citi could incur significant ongoing compliance and monitoring costs, including with respect to the frequent reporting of extensive metrics and risk

analytics, to the regulatory agencies. In addition, the proposed rules and any restrictions imposed by final regulations in this area will also likely affect Citi's trading activities globally, and thus will impact it disproportionately in comparison to foreign financial institutions that will not be subject to the Volcker Rule with respect to their activities outside of the U.S.
In addition, under the funds-related provisions of the Volcker Rule, 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 fair value.

The establishment of the new Consumer Financial Protection Bureau, as well as other provisions of the Dodd-Frank 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 Dodd-Frank Act established the Consumer Financial Protection Bureau (CFPB). Among other things, the CFPB was given rulemaking authority over most providers of consumer financial services in the U.S., examination and enforcement authority over the consumer operations of large banks, as well as interpretive authority with respect to numerous existing consumer financial services regulations. The CFPB began exercising these oversight authorities over the largest banks, including Citibank, N.A., during 2011.
Because this is an entirely new agency, the impact on Citi, including its retail banking, mortgages and cards businesses, is largely uncertain. However, any new regulatory requirements, or modified interpretations of existing regulations, will affect Citi's U.S. Consumer business practices and operations, potentially resulting in increased compliance costs. Furthermore, the CFPB represents an additional source of potential enforcement or litigation against Citi and, as an entirely new agency with a focus on consumer protection, the CFPB may have new or different enforcement or litigation strategies than those typically utilized by other regulatory agencies. Such actions could further increase Citi's costs.
In addition, the provisions of the Dodd-Frank 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. Moreover, the Dodd-Frank Act eliminated federal preemption protection for operating subsidiaries of federally chartered institutions. The Dodd-Frank Act also codified existing case law which allowed state authorities to bring certain types of enforcement actions against national banks under applicable state 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 potential exposure to state lawsuits and enforcement actions, which could be extensive, could also subject Citi to increased litigation and regulatory enforcement actions, further increasing costs.


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The Dodd-Frank Act also provides authority to the SEC to determine fiduciary duty standards applicable to brokers for retail customers. Any new such standards or related SEC rulemakings could also affect Citi's business practices with retail investment customers and have indirect additional effects on standards applicable to its business practices with certain institutional customers. Such standards could also likely entail additional compliance costs and result in potential incremental liability.

Regulatory requirements in the U.S. and other jurisdictions aimed at facilitating the future orderly resolution of large financial institutions could result in Citi having to change its business structures, activities and practices in ways that negatively impact its operations.
The Dodd-Frank Act requires Citi to prepare a plan for the rapid and orderly resolution of Citigroup, the bank holding company, under the Bankruptcy Code in the event of future material financial distress or failure. Citi is also required to prepare a resolution plan for its insured depository institution subsidiary, Citibank, N.A., and to demonstrate how it is adequately protected from the risks presented by non-bank affiliates. These plans must include information on resolution strategy, major counterparties and "interdependencies," among other things, and will require substantial effort, time and cost. These resolution plans will be subject to review by the Federal Reserve Board and the FDIC. 
Based on regulator review of these plans, Citi may have to restructure or reorganize businesses, legal entities, or operational systems and intracompany transactions in ways that negatively impact its operations, or be subject to restrictions on growth. For example, Citi could be required to create new subsidiaries instead of branches in foreign jurisdictions, or create subsidiaries to conduct 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. Citi could also eventually be subjected to more stringent capital, leverage or liquidity requirements, or be required to divest certain assets or operations, if both regulators determine that Citi's resolution plans do not meet statutory requirements and Citi does not remedy the deficiencies within required time periods.
In addition, other jurisdictions, such as the United Kingdom, have requested or are expected to request resolution plans from financial institutions, including Citi, and the requirements and timing relating to these plans are different from the U.S. requirements and each other. Responding to these additional requests will require additional effort, time and cost, and regulatory review and requirements in these jurisdictions could be in addition to, or conflict with, changes requested by Citi's regulators in the U.S.

Citi could be harmed competitively if it is unable to hire or retain highly qualified employees as a result of regulatory requirements regarding compensation practices or otherwise.
Citi'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. Competition for highly qualified 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 and other 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. However, the steps that will be required to implement any new requirements, and the consequences of implementation, remain uncertain. In addition, compensation may continue to be a legislative focus both in Europe and in the U.S. as there has been significant legislation in Europe and the U.S. in recent years regarding compensation for certain employees of financial institutions, including provisions of the Dodd-Frank Act. 
Changes required to be made to Citi's compensation policies and practices 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 Citi is often competing for qualified employees with financial institutions that are not subject to the same regulatory regimes as Citi and that are also seeking to expand in these markets. Moreover, new disclosure requirements or other legislation or regulation 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 or to restrict or modify its compensation policies, any of which could hurt its ability to hire, retain and motivate its key employees and thus harm it competitively, particularly in respect of companies not subject to these requirements.

Provisions of the Dodd-Frank Act and other regulations relating to securitizations will impose additional costs on securitization transactions, increase Citi's potential liability in respect of securitizations and may prohibit Citi 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.
Citi 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, trustee to securitization vehicles and counterparty to securitization vehicles under derivative contracts. The Dodd-Frank Act contains a number of provisions that affect securitizations. Among other provisions, 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,


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and extensive additional requirements for review and disclosure of the characteristics of the assets underlying the securitizations. The SEC has also proposed additional extensive regulation of both publicly and privately offered securitization transactions (so-called "Reg AB II").
The cumulative effect of these extensive regulatory changes, many of which have not been finalized, as well as other potential future regulatory changes, such as GSE reform, on securitization markets, 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, and could effectively limit Citi's overall volume of, and the role Citi may play in, securitizations, expose Citi to additional potential liability for securitization transactions and make it impractical for Citi to execute certain types of securitization transactions it previously executed. In addition, certain sectors of the securitization markets, particularly residential mortgage-backed securitizations, have been inactive or experienced dramatically diminished transaction volumes since the financial crisis. The impact of various regulatory reform measures could negatively delay or restrict any future recovery of these sectors of the securitization markets, and thus the opportunities for Citi to participate in securitization transactions in such sectors.

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 Citi 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 Citi'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 Citi records and reports its financial condition and results of operations, and could hinder understanding or cause confusion across comparative financial statement periods. For example, the FASB's financial instruments project could, among other things, significantly change how Citi determines the impairment on those assets and accounts for hedges. 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 financial reporting, including accounting for financial instruments and hedging. In addition, the SEC has not yet determined whether, when or how 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 required transition timeline.

MARKET AND ECONOMIC RISKS

The ongoing Eurozone debt crisis could have significant adverse effects on Citi's business, results of operations, financial condition and liquidity, particularly if it leads to any sovereign debt defaults, significant bank failures or defaults and/or the exit of one or more countries from the European Monetary Union.
The ongoing Eurozone debt crisis has caused, and is likely to continue to cause, disruption in global financial markets, particularly if it leads to any future sovereign debt defaults and/or significant bank failures or defaults in the Eurozone. In spite of a number of stabilization measures taken since spring 2010, yields on government bonds of certain Eurozone countries, including Greece, Ireland, Italy, Portugal and Spain, have remained volatile. In addition, some European banks and insurers have experienced a widening of credit spreads (and the resulting decreased availability and increased costs of funding) as a result of uncertainty regarding the exposure of such European financial institutions to these countries. This widening of credit spreads and increased cost of funding has also affected Citi due to concerns about its Eurozone exposure. 
The market disruptions in the Eurozone could intensify or spread further, particularly if ongoing stabilization efforts prove insufficient. Concerns have been raised as to the financial, political and legal ineffectiveness of measures taken to date. Continued economic turmoil in the Eurozone could have a significant negative impact on Citi, both directly through its own exposures and indirectly due to a decline in general global economic conditions, which could particularly impact Citi given its global footprint and strategy. See "Managing Global Risk-Country and Cross-Border Risk" below. There can be no assurance that the various steps Citi has taken to protect its businesses, results of operations and financial condition against the results of the Eurozone crisis will be sufficient.
The effects of the Eurozone debt crisis could be even more significant if they lead to a partial or complete break-up of the European Monetary Union (EMU). The partial or full break-up of the EMU would be unprecedented and its impact highly uncertain. The exit of one or more countries from the EMU or the dissolution of the EMU could lead to redenomination of obligations of obligors in exiting countries. Any such exit and redenomination would cause significant uncertainty with respect to outstanding obligations of counterparties and debtors in any exiting country, whether sovereign or otherwise, and lead to complex, lengthy litigation. The resulting uncertainty and market stress could also cause, among other things, severe disruption to equity markets, significant increases in bond yields generally, potential failure or default of financial institutions, including those of systemic importance, a significant decrease in global liquidity, a freeze-up of global credit markets and worldwide recession. Any combination of such events would negatively impact Citi's businesses, earnings and financial condition, particularly given Citi's global strategy. In addition, exit and redenomination could be accompanied by imposition of capital, exchange and similar controls, which could further negatively impact Citi's cross-border risk, other aspects of its businesses and its earnings.


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The continued uncertainty relating to the sustainability and pace of economic recovery and market volatility has adversely affected, and may continue to adversely affect, certain of Citi's businesses, particularly S&B and the U.S. mortgage businesses within Citi Holdings – Local Consumer Lending.
The financial services industry and the capital markets have been and will likely continue to be adversely affected by the slow pace of economic recovery and continued disruptions in the global financial markets. This continued uncertainty and disruption have adversely affected, and may continue to adversely affect, certain of Citi's businesses, particularly its S&B business and its Local Consumer Lending business within Citi Holdings .
In particular, the corporate and sovereign bond markets, equity and derivatives markets, debt and equity underwriting and other elements of the financial markets have been and could continue to be subject to wide swings and volatility relating to issues emanating from Eurozone and U.S. economic issues. As a result of this uncertainty and volatility, clients have remained and may continue to remain on the sidelines or cut back on trading and other business activities and, accordingly, the results of operations of Citi's S&B businesses have been and could continue to be volatile and negatively impacted.
Moreover, the continued economic uncertainty in the U.S., accompanied by continued high levels of unemployment and depressed values of residential real estate, will continue to negatively impact Citi's U.S. Consumer mortgage businesses, particularly its residential real estate and home equity loans in Citi Holdings – LCL . Given the continued decline in Citi's ability to sell delinquent residential first mortgages, the decreased inventory of such loans for modification and re-defaults of previously modified mortgages, Citi began to experience increased delinquencies in this portfolio during the latter part of 2011. As a result, Citi could also experience increasing net credit losses in this portfolio going forward. Moreover, given the lack of markets in which to sell delinquent home equity loans, as well as the relatively fewer home equity loan modifications and modification programs, Citi's ability to offset increased delinquencies and net credit losses in its home equity loan portfolio in Citi Holdings has been, and will continue to be, more limited as compared to residential first mortgages. See "Managing Global Risk-Credit Risk-North America Consumer Mortgage Lending" and "-Consumer Loan Modification Programs" below.

Concerns about the level of U.S. government debt and downgrade, or concerns about a potential downgrade, of the U.S. government credit rating could have a material adverse effect on Citi's businesses, results of operations, capital, funding and liquidity.
In August 2011, Standard & Poor's lowered its long-term sovereign credit rating on the U.S. government from AAA to AA+ and in the second half of 2011, Moody's Investors Services and Fitch both placed the U.S. rating on negative outlook. According to the credit rating agencies, these actions resulted from the high level of U.S. government debt and the continued inability of Congress to reach an agreement to ensure payment of

U.S. government debt and reduce the U.S. debt level. If the credit rating of the U.S. government is further downgraded, the ratings and perceived creditworthiness of instruments issued, insured or guaranteed by institutions, agencies or instrumentalities directly linked to the U.S. government could also be correspondingly affected. A future downgrade of U.S. debt obligations or U.S. government-related obligations by one or more credit rating agencies, or heightened concern that such a downgrade might occur, could negatively affect Citi's ability to obtain funding collateralized by such obligations as well as the pricing of such funding. Such a downgrade could also negatively impact the pricing or availability of Citi's funding as a U.S. financial institution. In addition, such a downgrade could affect financial markets and economic conditions generally and the market value of the U.S. debt obligations held by Citi. As a result, such a downgrade could lead to a downgrade of Citi debt obligations and could have a material adverse effect on Citi's business, results of operations, capital, funding and liquidity.

Citi's extensive global network, particularly its operations in the world's emerging markets, subject it to emerging market and sovereign volatility and further increases its compliance and regulatory risks and costs.
Citi believes its extensive and diverse global network-which includes a physical presence in approximately 100 countries and services offered in over 160 countries and jurisdictions-provides it with a unique competitive advantage in servicing the broad financial services needs of large multinational clients and customers around the world, including in many emerging markets. International revenues have recently been the largest and fastest-growing component of Citicorp, driven by emerging markets. 
However, this global footprint also subjects Citi to a number of risks associated with international and emerging markets, including exchange controls, limitations on foreign investment, socio-political instability, nationalization, closure of branches or subsidiaries, confiscation of assets and sovereign volatility, among others. For example, there have been recent instances of political turmoil and violent revolutionary uprisings in some of the countries in which Citi operates, including in the Middle East, to which Citi has responded by transferring assets and relocating staff members to more stable jurisdictions. While these previous incidents have not been material to Citi, such disruptions could place Citi's staff and operations in danger and may result in financial losses, some significant, including nationalization of Citi's assets. 
Further, Citi's extensive global operations increase its compliance and regulatory risks and costs. For example, Citi's operations in emerging markets subject it to higher compliance risks under U.S. regulations primarily focused on various aspects of global corporate activities, such as anti-money-laundering regulations and the Foreign Corrupt Practices Act, which can be more acute in less developed markets and thus require substantial investment in order to comply. 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 and its general reputation.


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In addition, complying with inconsistent, conflicting or duplicative regulations requires extensive time and effort and further increases Citi's compliance, regulatory and other costs.
It is uncertain how the ongoing Eurozone debt crisis will affect emerging markets. A recession in the Eurozone could cause a ripple effect in emerging markets, particularly if banks in developed economies decrease or cease lending to emerging markets, as is currently occurring in some cases. This impact could be disproportionate in the case of Citi in light of the emphasis on emerging markets in its global strategy. Decreased, low or negative growth in emerging market economies could make execution of Citi's global strategy more challenging and could adversely affect Citi's revenues, profits and operations.

The maintenance of adequate liquidity depends on numerous factors outside of Citi's control, including without limitation market disruptions and increases in Citi's credit spreads.
Adequate liquidity and sources of funding are essential to Citi's businesses. Citi's liquidity and sources of funding can be significantly and negatively impacted by factors it cannot control, such as general disruptions in the financial markets or negative perceptions about the financial services industry in general, or negative investor perceptions of Citi's liquidity, financial position or credit worthiness in particular. Market perception of sovereign default risks, such as issues in the Eurozone as well as other complexities regarding the current European debt crisis, can also lead to ineffective money markets and capital markets, which could further impact Citi's availability of funding.
In addition, Citi's cost and ability to obtain deposits, secured funding and long-term unsecured funding from the capital markets are directly related to its credit spreads. Changes in credit spreads constantly occur and are market-driven, including both external market factors as well as factors specific to Citi, and can be highly volatile. Citi's credit spreads may also be influenced by movements in the costs to purchasers of credit default swaps referenced to Citi's long-term debt, which are also impacted by these external and Citi-specific factors. Moreover, Citi's ability to obtain funding may be impaired if other market participants are seeking to access the markets at the same time, or if market appetite is reduced, as is likely to occur in a liquidity or other market crisis. In addition, clearing organizations, regulators, clients and financial institutions with which Citi interacts may exercise the right to require additional collateral based on these market perceptions or market conditions, which could further impair Citi's access to funding.

The credit rating agencies continuously review the ratings of Citi and its subsidiaries, and reductions in Citi'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 additional margin requirements.
The rating agencies continuously evaluate Citi and its subsidiaries, and their ratings of Citi's and its more significant subsidiaries' long-term/senior debt and short-term /commercial paper, as applicable, are based on a number of factors, including financial strength, as well as factors not entirely within the control of Citi and its subsidiaries, such as the agencies' proprietary rating agency methodologies and conditions affecting the financial services industry generally.
Citi 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 additional margin requirements for derivatives or other transactions. Ratings downgrades could also have a negative impact on other funding sources, such as secured financing and other margined transactions, for which there are no explicit triggers. Some entities may also have ratings limitations as to their permissible counterparties, of which Citi may or may not be aware. A reduction in Citi'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 Citi's or its subsidiaries' credit ratings, see "Capital Resources and Liquidity-Funding and Liquidity-Credit Ratings" above.


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BUSINESS RISKS

Citi is subject to extensive litigation, investigations and inquiries pertaining to a myriad of U.S. mortgage-related activities that could take significant time to resolve and may subject Citi to extensive liability, including in the form of penalties and other equitable remedies, that could negatively impact Citi's future results of operations.
Virtually every aspect of mortgage-related activity in the U.S. is being challenged across the financial services industry in private and public litigation and by regulators, governmental agencies and state attorneys general, among others. Examples of the activities being challenged include the accuracy of offering documents for residential mortgage-backed securities, potential breaches of representations and warranties in the placement of mortgage loans into securitization trusts, mortgage servicing practices, 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, fair lending, compliance with the Servicemembers Civil Relief Act, and False Claim Act violations alleged in "qui tam" cases, among others.
Sorting out which of the many claims being asserted has legal merit as well as which financial institutions may be subject to liability with respect to their actual practices is a complex process that is highly uncertain and will take time to resolve. All of these inquiries, actions and investigations have resulted in, and will likely continue to result in, significant time, expense and diversion of management's attention, and could result in significant liability as well as negative reputational and other costs to Citi. 
Citi is currently party to numerous actions relating to claims of misrepresentations or omissions in offering documents of residential mortgage-backed securities sponsored or serviced by Citi affiliates. This litigation has been brought by a number of institutional investors, including the Federal Housing Finance Agency. The cases are all in early stages, making it difficult to predict how they will develop, and Citi believes that such litigation will continue for several years. In addition, because the statute of limitations will soon expire for these types of disclosure-based claims, Citi could experience an increase in filed claims in the near term.
Citi is exposed to representation and warranty (i.e., mortgage repurchase) liability through its U.S. Consumer mortgage businesses and, to a lesser extent, through legacy private-label residential mortgage securitizations sponsored by its S&B business. With respect to its Consumer businesses, during 2011, Citi increased its repurchase reserve from approximately $969 million to $1.2 billion at December 31, 2011. To date, the majority of repurchase demands have come from the GSEs. The level of repurchase demands by GSEs has been trending upwards and Citi currently expects it to remain elevated for some time. To a lesser extent, Citi has received repurchase demands from private investors, although these claims have been volatile and could increase in the future.

With regard to legacy S&B private-label mortgage securitizations, while S&B has to date received actual claims for breaches of representations and warranties relating to only a small percentage of the mortgages included in its securitization transactions, the pace of claims remains volatile and has recently increased, Citi has also experienced an increase in the level of inquiries, assertions and requests for loan files, among other matters, relating to such securitization transactions from trustees of securitization trusts and others. These inquiries could lead to actual claims for breaches of representations and warranties, or to litigation relating to such breaches or other matters. For additional information on these matters, see "Managing Global Risk-Credit Risk-Consumer Mortgage-Representations and Warranties" and "- Securities and Banking -Sponsored Private-Label Residential Mortgage Securitizations-Representations and Warranties" below.
For further discussion of the matters above, see Note 29 to the Consolidated Financial Statements.

Citi will not be able to wind down Citi Holdings at the same pace as it has in the past three years. As a result, the remaining assets in Citi Holdings will likely continue to have a negative impact on Citi's results of operations and its ability to utilize the capital supporting the remaining assets in Citi Holdings for more productive purposes.
Citi will 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 three years. As of December 31, 2011, assuming the transfer to Citicorp of the substantial majority of retail partner cards, effective in the first quarter of 2012, LCL constituted approximately 70% of Citi Holdings. As of such date, over half of the remaining assets in LCL consisted of legacy U.S. mortgages which will likely be subject to run-off over an extended period of time. Besides mortgages, the remaining assets in LCL include the OneMain Financial business, as well as student, commercial real estate and credit card loans in North America , and consumer lending businesses in Europe and Asia .
BAM primarily consists of the MSSB JV. Morgan Stanley has call rights on Citi's ownership interest in the venture over a three-year period beginning in 2012, which it is not required to exercise. Of the remaining assets in SAP , interest-earning assets have become a smaller portion of the assets, causing negative net interest revenues in the business as the remaining non-interest earning assets, which require funding, represent a larger portion of the total asset pool. In addition, as of December 31, 2011, approximately 25% of the remaining assets in SAP were held-to-maturity securities.
As a result, the remaining assets within Citi Holdings will likely continue to have a negative impact on Citi's overall results of operations for the foreseeable future, particularly after the transfer of retail partner cards to Citicorp. In addition, as of December 31, 2011 and as adjusted to reflect the transfer of retail partner cards, roughly 21% of Citi's risk-weighted assets were in Citi Holdings, and were supported by approximately $24 billion of Citi's regulatory capital. Accordingly, Citi's ability to release the capital supporting these businesses and thus use such capital for more productive purposes will depend on the ultimate pace and level of Citi Holdings divestitures, portfolio run-offs and asset sales.


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Citi's ability to increase its common stock dividend or initiate a share repurchase program is subject to regulatory and government approval.
Since the second quarter of 2011, Citi has paid a quarterly common stock dividend of $0.01 per share. In addition to Board of Directors' approval, any decision by Citi to increase its common stock dividend, including the amount thereof, or initiate a share repurchase program is subject to regulatory approval, including the results of the Comprehensive Capital Analysis and Review (CCAR) process required by the Federal Reserve Board. Restrictions on Citi's ability to increase the amounts of its common stock dividend or engage in share repurchase programs could negatively impact market perceptions of Citi, including the price of its common stock.
In addition, 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, Citi remains subject to dividend and share repurchase restrictions for as long as the U.S. government continues to hold any Citi trust preferred securities acquired in connection with the exchange offers. While these restrictions may be waived, they generally prohibit Citi from paying regular cash dividends in excess of $0.01 per share of common stock per quarter or from redeeming or repurchasing any Citi equity securities, which includes its common stock, or trust preferred securities. As of December 31, 2011, approximately $3.025 billion of trust preferred securities issued to the FDIC remained outstanding (of which approximately $800 million is being held for the benefit of the U.S. Treasury).

Citi may be unable to maintain or reduce its level of expenses as it expects, and investments in its businesses may not be productive.
Citi continues to pursue a disciplined expense-management strategy, including re-engineering, restructuring operations and improving the efficiency of functions, such as call centers and collections, to achieve a targeted percentage expense savings annually. However, there is no guarantee that Citi will be able to maintain or reduce its level of expenses in the future, particularly as expenses incurred in Citi's foreign entities are subject to foreign exchange volatility, and regulatory compliance and legal and related costs are difficult to predict or control, particularly given the current regulatory and litigation environment. Moreover, Citi has incurred, and will likely continue to incur, costs of investing in its businesses. These investments may not be as productive as Citi expects or at all. Furthermore, as the wind down of Citi Holdings slows, Citi's ability to continue to reduce its expenses as a result of this wind down will also decline. 

The value of Citi's deferred tax assets (DTAs) could be reduced if corporate tax rates in the U.S. or certain state or foreign jurisdictions are decreased or as a result of other potential significant changes in the U.S. corporate tax system.
There have been discussions in Congress and by the Obama Administration regarding potentially decreasing the U.S. corporate tax rate. Similar discussions have taken place in certain state and foreign jurisdictions. While Citi may benefit in some respects from any decreases in these corporate tax rates, any reduction in the U.S., state or foreign corporate tax rates would result in a decrease to the value of Citi's DTAs, which could be significant. There have also been recent discussions of more sweeping changes to the U.S. tax system, including changes to the tax treatment of foreign business income. It is uncertain whether or when any such tax reform proposals will be enacted into law, and whether or how they will affect Citi's ability to make effective use of its DTAs.

The expiration of a provision of the U.S. tax law that allows Citi to defer U.S. taxes on certain active financing income could significantly increase Citi's tax expense.
Citi'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" expired on December 31, 2011 with respect to taxable years beginning after such date. While the exception has been scheduled to expire on numerous prior occasions, Congress has extended it each time, including retroactively to the start of the tax year. Congress could still take action to retroactively extend the active financing exception to the beginning of 2012. However, there can be no assurance that it will do so. If the exception is not extended, the U.S. tax imposed on Citi's active financing income earned outside the U.S. would increase, which could further result in Citi's tax expense increasing significantly, particularly beginning in 2013.


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Citi's operational systems and networks have been, and will continue to be, vulnerable to an increasing risk of continually evolving cybersecurity or other technological risks which could result in the disclosure of confidential client or customer information, damage to Citi's reputation, additional costs to Citi, regulatory penalties and financial losses.
A significant portion of Citi's operations relies heavily on the secure processing, storage and transmission of confidential and other information as well as the monitoring of a large number of complex transactions on a minute-by-minute basis. For example, through its global consumer banking, credit card and Transaction Services businesses, Citi obtains and stores an extensive amount of personal and client-specific information for its retail, corporate and governmental customers and clients and must accurately record and reflect their extensive account transactions. These activities have been, and will continue to be, subject to an increasing risk of cyber attacks, the nature of which is continually evolving.
Citi's computer systems, software and networks have been and will continue to be vulnerable to unauthorized access, loss or destruction of data (including confidential client information), account takeovers, unavailability of service, computer viruses or other malicious code, cyber attacks and other events. These threats may derive from human error, fraud or malice on the part of employees or third parties, or may result from accidental technological failure. If one or more of these events occurs, it could result in the disclosure of confidential client information, damage to Citi's reputation with its clients and the market, additional costs to Citi (such as repairing systems or adding new personnel or protection technologies), regulatory penalties and financial losses, to both Citi and its clients and customers. Such events could also cause interruptions or malfunctions in the operations of Citi (such as the lack of availability of Citi's online banking system), as well as the operations of its clients, customers or other third parties. Given the high volume of transactions at Citi, certain errors or actions may be repeated or compounded before they are discovered and rectified, which would further increase these costs and consequences.
Citi has recently been subject to intentional cyber incidents from external sources, including (i) data breaches, which resulted in unauthorized access to customer account data and interruptions of services to customers; (ii) malicious software attacks on client systems, which in turn allowed unauthorized entrance to Citi's systems under the guise of a client and the extraction of client data; and (iii) denial of service attacks, which attempted to interrupt service to clients and customers. While Citi was able to detect these prior incidents before they became significant, they still resulted in losses as well as increases in expenditures to monitor against the threat of similar future cyber incidents. There can be no assurance that such incidents, or other cyber incidents, will not occur again, and they could occur more frequently and on a more significant scale.

In addition, third parties with which Citi does business may also be sources of cybersecurity or other technological risks. Citi outsources certain functions, such as processing of customer credit card transactions, which results in the storage and processing of customer information by third parties. While Citi engages in certain actions to reduce the exposure resulting from outsourcing, such as limiting third-party access to the least privileged level necessary to perform job functions and restricting third-party processing to systems stored within Citi's data centers, unauthorized access, loss or destruction of data or other cyber incidents could occur, resulting in similar costs and consequences to Citi as those discussed above. Furthermore, because financial institutions are becoming increasingly interconnected with central agents, exchanges and clearing houses, including through the derivatives provisions of the Dodd-Frank Act, Citi has increased exposure to operational failure or cyber attacks through third parties.
While Citi maintains insurance coverage that may, subject to policy terms and conditions including significant self-insured deductibles, cover certain aspects of cyber risks, such insurance coverage may be insufficient to cover all losses.

Citi'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, Citi 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 Citi's financial statements are incorrect, Citi 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.

Citi 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, Citi is defending a significant number of legal and regulatory proceedings. The volume of claims and the amount of damages and penalties claimed in litigation, arbitration and regulatory proceedings against financial institutions remain high, and could further increase in the future. See, for example, "-Citi is subject to extensive litigation, investigations and inquiries pertaining to a myriad of mortgage-related activities that could take significant time to resolve and may subject Citi to extensive liability, including in the form of penalties and other equitable remedies, that could negatively impact Citi's future results of operations."
Proceedings brought against Citi may result in judgments, settlements, fines, penalties, disgorgement, injunctions, business improvement orders or other results adverse to it, which could materially and negatively affect Citi's businesses, financial condition or results of operations, require material


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changes in Citi's operations, or cause Citi 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. In addition, certain settlements are subject to court approval and may not be approved. Although Citi 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 takes numerous steps to prevent and detect employee misconduct, such as fraud, employee misconduct is not always possible to deter or prevent, and the extensive precautions Citi takes to prevent and detect this activity may not be effective in all cases, which could subject it to additional liability. Moreover, the "whistle-blower" provisions of the Dodd-Frank Act provide substantial financial incentives for persons to report alleged violations of law to the SEC and the CFTC. The final rules implementing these provisions for the SEC and CFTC became effective in August and October 2011, respectively. As such, there continues to be much uncertainty as to whether these new reporting provisions will incentivize and lead to an increase in the number of claims that Citi will have to investigate or against which Citi will have to defend itself, thus potentially further increasing Citi's legal liabilities.
For additional information relating to Citi's potential exposure relating to legal and regulatory matters, see Note 29 to the Consolidated Financial Statements.

Failure to maintain the value of the Citi brand could harm Citi's global competitive advantage, results of operations and strategy.
As Citi enters into its 200 th year of operations in 2012, one of its most valuable assets is the Citi brand. 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 Citi brand, including in emerging markets as other financial institutions grow their operations in these markets and competition intensifies. As referenced above, as a result of the economic crisis in the U.S. as well as the continuing adverse economic climate globally, Citi, like other financial institutions, is subject to an increased level of distrust, scrutiny and skepticism from numerous constituencies, including the general public. The Citi brand could be further harmed if its public image or reputation were to be tarnished by negative publicity, whether or not true, about Citi or the financial services industry in general, or by a negative perception of Citi's short-term or long-term financial prospects. Maintaining, promoting and positioning the Citi brand will depend largely on Citi's ability to provide consistent, high-quality financial services and products to its clients and customers around the world. Failure to maintain its brand could hurt Citi's competitive advantage, results of operations and strategy.

Citi may incur significant losses if its risk management processes and strategies are ineffective, and concentration of risk increases the potential for such losses.
Citi monitors and controls 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 Citi 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, Citi may suffer losses even when economic and market conditions are generally favorable for Citi's competitors. These concentrations can limit, and have limited, the effectiveness of Citi's hedging strategies and have caused Citi to incur significant losses, and they may do so again in the future. In addition, Citi extends large commitments as part of its credit origination activities. If Citi is unable to reduce its credit risk by selling, syndicating or securitizing these positions, including during periods of market dislocation, Citi's results of operations could be negatively affected 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 Citi's activities expose it to the credit risk of many different entities and counterparties, Citi 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 Citi's concentration of risk in this sector.


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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 2011 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 Chief Executive Officer 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. 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 facilitating the management of risk across these three dimensions, the independent risk management organization 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 Citi has integrated systems and common metrics, thereby allowing Citi to aggregate and stress test exposures across the institution; the enterprise risk management group, which focuses on improving Citi's operational processes across businesses and regions (see "Operational Risk" below); 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 are also 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 trading, 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 independent 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 provides 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.

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.

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 2011 2010 2009 2008 2007
Consumer loans
In U.S. offices
       Mortgage and real estate (1) $ 139,177 $ 151,469 $ 183,842 $ 219,482 $ 240,644
       Installment, revolving credit, and other 15,616 28,291 58,099 64,319 69,379
       Cards (2)(3) 117,908 122,384 28,951 44,418 46,559
       Commercial and industrial 4,766 5,021 5,640 7,041 7,716
       Lease financing 1 2 11 31 3,151
$ 277,468 $ 307,167 $ 276,543 $ 335,291 $ 367,449
In offices outside the U.S.
       Mortgage and real estate (1) $ 52,052 $ 52,175 $ 47,297 $ 44,382 $ 49,326
       Installment, revolving credit, and other 34,613 38,024 42,805 41,272 70,205
       Cards 38,926 40,948 41,493 42,586 46,176
       Commercial and industrial 20,366 16,684 14,780 16,814 18,422
       Lease financing 711 665 331 304 1,124
$ 146,668 $ 148,496 $ 146,706 $ 145,358 $ 185,253
Total Consumer loans $ 424,136 $ 455,663 $ 423,249 $ 480,649 $ 552,702
Unearned income (405 ) 69 808 738 787
Consumer loans, net of unearned income $ 423,731 $ 455,732 $ 424,057 $ 481,387 $ 553,489
Corporate loans
In U.S. offices
       Commercial and industrial $ 21,667 $ 14,334 $ 15,614 $ 26,447 $ 20,696
       Loans to financial institutions (2) 33,265 29,813 6,947 10,200 8,778
       Mortgage and real estate (1) 20,698 19,693 22,560 28,043 18,403
       Installment, revolving credit, and other 15,011 12,640 17,737 22,050 26,539
       Lease financing 1,270 1,413 1,297 1,476 1,630
$ 91,911 $ 77,893 $ 64,155 $ 88,216 $ 76,046
In offices outside the U.S.
       Commercial and industrial $ 79,373 $ 71,618 $ 66,747 $ 79,421 $ 94,188
       Installment, revolving credit, and other 14,114 11,829 9,683 17,441 21,037
       Mortgage and real estate (1) 6,885 5,899 9,779 11,375 9,981
       Loans to financial institutions 29,794 22,620 15,113 18,413 20,467
       Lease financing 568 531 1,295 1,850 2,292
       Governments and official institutions 1,576 3,644 2,949 773 1,029
$ 132,310 $ 116,141 $ 105,566 $ 129,273 $ 148,994
Total Corporate loans $ 224,221 $ 194,034 $ 169,721 $ 217,489 $ 225,040
Unearned income (710 ) (972 ) (2,274 ) (4,660 ) (536 )
Corporate loans, net of unearned income $ 223,511 $ 193,062 $ 167,447 $ 212,829 $ 224,504
Total loans-net of unearned income $ 647,242 $ 648,794 $ 591,504 $ 694,216 $ 777,993
Allowance for loan losses-on drawn exposures (30,115 ) (40,655 ) (36,033 ) (29,616 ) (16,117 )
Total loans-net of unearned income and allowance for credit losses $ 617,127 $ 608,139 $ 555,471 $ 664,600 $ 761,876
Allowance for loan losses as a percentage of total loans-net of
unearned income (3) 4.69 % 6.31 % 6.09 % 4.27 % 2.07 %
Allowance for Consumer loan losses as a percentage of total Consumer
loans-net of unearned income (3) 6.45 % 7.80 % 6.70 % 4.61 % 2.26 %
Allowance for Corporate loan losses as a percentage of total Corporate
loans-net of unearned income (3) 1.31 % 2.76 % 4.56 % 3.48 % 1.61 %

(1)     Loans secured primarily by real estate.
(2) 2011 and 2010 include the impact of consolidating entities in connection with Citi's adoption of SFAS 167. See Note 1 to the Consolidated Financial Statements.
(3) Excludes loans in 2011 and 2010 that are carried at fair value.

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Details of Credit Loss Experience

In millions of dollars at year end 2011 2010 2009 2008 2007
Allowance for loan losses at beginning of year $ 40,655 $ 36,033 $ 29,616 $ 16,117 $ 8,940
Provision for loan losses
       Consumer $ 12,512 $ 25,119 $ 32,407 $ 27,942 $ 15,660
       Corporate (739 ) 75 6,353 5,732 1,172
$ 11,773 $ 25,194 $ 38,760 $ 33,674 $ 16,832
Gross credit losses
Consumer
       In U.S. offices $ 15,767 $ 24,183 $ 17,637 $ 11,624 $ 5,765
       In offices outside the U.S. 5,397 6,890 8,819 7,172 5,165
Corporate
Mortgage and real estate
       In U.S. offices 182 953 592 56 1
       In offices outside the U.S. 171 286 151 37 3
Governments and official institutions outside the U.S. - - - 3 -
Loans to financial institutions
       In U.S. offices 215 275 274 - -
       In offices outside the U.S. 391 111 448 463 69
Commercial and industrial
       In U.S. offices 392 1,222 3,299 627 635
       In offices outside the U.S. 649 571 1,564 778 226
$ 23,164 $ 34,491 $ 32,784 $ 20,760 $ 11,864
Credit recoveries
Consumer
       In U.S. offices $ 1,467 $ 1,323 $ 576 $ 585 $ 695
       In offices outside the U.S. 1,273 1,315 1,089 1,050 966
Corporate
Mortgage and real estate
       In U.S. offices 27 130 3 - 3
       In offices outside the U.S. 2 26 1 1 -
Governments and official institutions outside the U.S. - - - - 4
Loans to financial institutions
       In U.S. offices - - - - -
       In offices outside the U.S. 89 132 11 2 1
Commercial and industrial
       In U.S. offices 175 591 276 6 49
       In offices outside the U.S. 93 115 87 105 220
$ 3,126 $ 3,632 $ 2,043 $ 1,749 $ 1,938
Net credit losses
       In U.S. offices $ 14,887 $ 24,589 $ 20,947 $ 11,716 $ 5,654
       In offices outside the U.S. 5,151 6,270 9,794 7,295 4,272
Total $ 20,038 $ 30,859 $ 30,741 $ 19,011 $ 9,926
Other-net (1) $ (2,275 ) $ 10,287 $ (1,602 ) $ (1,164 ) $ 271
Allowance for loan losses at end of year (2) $ 30,115 $ 40,655 $ 36,033 $ 29,616 $ 16,117
Allowance for unfunded lending commitments (3) $ 1,136 $ 1,066 $ 1,157 $ 887 $ 1,250
Total allowance for loans, leases and unfunded lending commitments $ 31,251 $ 41,721 $ 37,190 $ 30,503 $ 17,367
Net Consumer credit losses $ 18,424 $ 28,435 $ 24,791 $ 17,161 $ 9,269
As a percentage of average Consumer loans 4.20 % 5.74 % 5.43 % 3.34 % 1.87 %
Net Corporate credit losses (recoveries) $ 1,614 $ 2,424 $ 5,950 $ 1,850 $ 657
As a percentage of average Corporate loans 0.79 % 1.27 % 3.13 % 0.84 % 0.30 %
Allowance for loan losses at end of period (4)
Citicorp $ 12,656 $ 17,075 $ 10,731 $ 8,202 $ 5,262
Citi Holdings 17,459 23,580 25,302 21,414 10,855
       Total Citigroup $ 30,115 $ 40,655 $ 36,033 $ 29,616 $ 16,117
Allowance by type
Consumer $ 27,236 $ 35,406 $ 28,347 $ 22,204 $ 12,493
Corporate 2,879 5,249 7,686 7,412 3,624
       Total Citigroup $ 30,115 $ 40,655 $ 36,033 $ 29,616 $ 16,117

See footnotes on the next page.

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(1)     2011 includes reductions of approximately $1.6 billion related to the sale or transfer to held-for-sale of various U.S. loan portfolios, approximately $240 million related to the sale of the Egg Banking PLC credit card business, approximately $72 million related to the transfer of the Citi Belgium business to held-for-sale and approximately $290 million related to FX translation. 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 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 transfer 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, and $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 transfer of loans to held-for-sale and 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.
(2) Included in the allowance for loan losses are reserves for loans that have been modified subject to troubled debt restructurings (TDRs) of $8,772 million, $7,609 million, $4,819 million, and $2,180 million, as of December 31, 2011, 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.

Allowance for Loan Losses (continued)
The following table details information on Citi's allowance for loan losses, loans and coverage ratios as of December 31, 2011:

December 31, 2011
In billions of dollars Allowance for loan losses Loans, net of unearned income Allowance as a percentage of loans  (1)
North America Cards (2) $ 10.1 $ 118.7 8.5 %
North America Residential Mortgages 10.0 138.9 7.3
North America Other 1.6 23.5 6.8
International Cards 2.8 40.1 7.0
International Other (3) 2.7 102.5 2.6
Total Consumer $ 27.2 $ 423.7 6.5 %
Total Corporate $ 2.9 $ 223.5 1.3 %
Total Citigroup $ 30.1 $ 647.2 4.7 %

(1)      Allowance as a percentage of loans excludes loans that are carried at fair value.
(2) Includes both Citi-branded and retail partner cards.
(3) Includes mortgages and other retail loans.

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Non-Accrual Loans and Assets and Renegotiated Loans
The following pages include information on Citi's "Non-Accrual Loans and Assets" and "Renegotiated Loans." There is a certain amount of overlap among these categories. The following general summary provides a basic description of each category:

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. Consumer non-accrual status is based on aging, i.e., the borrower has fallen behind in payments. North America Citi-branded and retail partner cards are not included because, under industry standards, they accrue interest until charge-off.

Renegotiated Loans:

Both Corporate and Consumer loans whose terms have been modified in a TDR. Includes both accrual and non-accrual TDRs.
Non-Accrual Loans and Assets
The table below summarizes Citigroup's 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 therefore considered impaired. In situations where Citi reasonably expects that only a portion of the principal and/or interest owed will ultimately be collected, all payments received are reflected as a reduction of principal and not as interest income. There is no industry-wide definition of non-accrual assets, however, and as such, analysis across the industry is not always comparable.
Corporate non-accrual loans may still be current on interest payments but are considered non-accrual as Citi has determined that the future payment of interest and/or principal is doubtful. Consistent with industry conventions, Citi generally accrues interest on credit card loans until such loans are charged-off, which typically occurs at 180 days contractual delinquency. As such, the non-accrual loan disclosures in this section do not include North America credit card loans.

Non-Accrual Loans

In millions of dollars 2011 2010 2009 2008 2007
Citicorp $ 4,018 $ 4,909 $ 5,353 $ 3,282 $ 2,027
Citi Holdings 7,208 14,498 26,387 19,015 6,941
       Total non-accrual loans (NAL) $ 11,226 $ 19,407 $ 31,740 $ 22,297 $ 8,968
Corporate non-accrual loans (1)
North America $ 1,246 $ 2,112 $ 5,621 $ 2,660 $ 291
EMEA 1,293 5,337 6,308 6,330 1,152
Latin America 362 701 569 229 119
Asia 335 470 981 513 103
       Total corporate non-accrual loans $ 3,236 $ 8,620 $ 13,479 $ 9,732 $ 1,665
Citicorp $ 2,217 $ 3,091 $ 3,238 $ 1,453 $ 247
Citi Holdings 1,019 5,529 10,241 8,279 1,418
       Total corporate non-accrual loans $ 3,236 $ 8,620 $ 13,479 $ 9,732 $ 1,665
Consumer non-accrual loans (1)
North America $ 6,046 $ 8,540 $ 15,111 $ 9,617 $ 4,841
EMEA 387 652 1,159 948 696
Latin America 1,107 1,019 1,340 1,290 1,133
Asia 450 576 651 710 633
       Total consumer non-accrual loans $ 7,990 $ 10,787 $ 18,261 $ 12,565 $ 7,303
Citicorp $ 1,801 $ 1,818 $ 2,115 $ 1,829 $ 1,780
Citi Holdings 6,189 8,969 16,146 10,736 5,523
       Total consumer non-accrual loans $ 7,990 $ 10,787 $ 18,261 $ 12,565 $ 7,303

(1) Excludes purchased distressed loans as they are generally accreting interest. The carrying value of these loans was $511 million at December 31, 2011, $469 million at December 31, 2010, $920 million at December 31, 2009, $1.510 billion at December 31, 2008, and $2.373 billion at December 31, 2007.

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 as of the periods indicated. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral.

In millions of dollars 2011 2010 2009 2008 2007
OREO
Citicorp $ 71 $ 826 $ 874 $ 371 $ 541
Citi Holdings 480 863 615 1,022 679
Corporate/Other 15 14 11 40 8
       Total OREO $ 566 $ 1,703 $ 1,500 $ 1,433 $ 1,228
North America $ 441 $ 1,440 $ 1,294 $ 1,349 $ 1,168
EMEA 73 161 121 66 40
Latin America 51 47 45 16 17
Asia 1 55 40 2 3
       Total OREO $ 566 $ 1,703 $ 1,500 $ 1,433 $ 1,228
Other repossessed assets $ 1 $ 28 $ 73 $ 78 $ 99
Non-accrual assets-Total Citigroup 2011 2010 2009 2008 2007
Corporate non-accrual loans $ 3,236 $ 8,620 $ 13,479 $ 9,732 $ 1,665
Consumer non-accrual loans 7,990 10,787 18,261 12,565 7,303
Non-accrual loans (NAL) $ 11,226 $ 19,407 $ 31,740 $ 22,297 $ 8,968
OREO 566 1,703 $ 1,500 $ 1,433 $ 1,228
Other repossessed assets 1 28 73 78 99
Non-accrual assets (NAA) $ 11,793 $ 21,138 $ 33,313 $ 23,808 $ 10,295
NAL as a percentage of total loans 1.73 % 2.99 % 5.37 % 3.21 % 1.15 %
NAA as a percentage of total assets 0.63 1.10 1.79 1.23 0.47
Allowance for loan losses as a percentage of NAL (1)(2) 268 209 114 133 180

(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 (with the exception of certain international portfolios) and purchased distressed loans as these continue to accrue interest until write-off.

Non-accrual assets-Total Citicorp 2011 2010 2009 2008 2007
Non-accrual loans (NAL)        $ 4,018 $ 4,909 $ 5,353 $ 3,282 $ 2,027
OREO 71 826 874 371 541
Other repossessed assets N/A N/A N/A N/A N/A
Non-accrual assets (NAA) $ 4,089 $ 5,735 $ 6,227 $ 3,653 $ 2,568
NAA as a percentage of total assets 0.31 % 0.45 % 0.55 % 0.34 % 0.21 %
Allowance for loan losses as a percentage of NAL (1) 315 348 200 250 242
Non-accrual assets-Total Citi Holdings 2011 2010 2009 2008 2007
Non-accrual loans (NAL) $ 7,208 $ 14,498 $ 26,387 $ 19,015 $ 6,941
OREO 480 863 615 1,022 679
Other repossessed assets N/A N/A N/A N/A N/A
Non-accrual assets (NAA) $ 7,688 $ 15,361 $ 27,002 $ 20,037 $ 7,620
NAA as a percentage of total assets 2.86 % 4.28 % 5.54 % 3.08 % 0.86 %
Allowance for loan losses as a percentage of NAL (1) 242 163 96 113 161

(1) The allowance for loan losses includes the allowance for Citi's credit card portfolios 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 loans modified in TDRs.

Dec. 31, Dec. 31,
In millions of dollars 2011 2010
Corporate renegotiated loans (1)
In U.S. offices
       Commercial and industrial (2) $ 206 $ 240
       Mortgage and real estate (3) 241 61
       Loans to financial institutions 552 671
       Other 79 28
$ 1,078 $ 1,000
In offices outside the U.S.
       Commercial and industrial (2) $ 223 $ 207
       Mortgage and real estate (3) 17 90
       Loans to financial institutions 12 11
       Other 6 7
$ 258 $ 315
Total Corporate renegotiated loans $ 1,336 $ 1,315
Consumer renegotiated loans (4)(5)(6)(7)
In U.S. offices
       Mortgage and real estate $ 21,429 $ 17,717
       Cards 5,766 4,747
       Installment and other 1,357 1,986
$ 28,552 $ 24,450
In offices outside the U.S.
       Mortgage and real estate $ 936 $ 927
       Cards 929 1,159
       Installment and other 1,342 1,875
$ 3,207 $ 3,961
Total Consumer renegotiated loans $ 31,759 $ 28,411

(1) Includes $455 million and $553 million of non-accrual loans included in the non-accrual assets table above, at December 31, 2011 and December 31, 2010, respectively. The remaining loans are accruing interest.
(2) In addition to modifications reflected as TDRs at December 31, 2011, Citi also modified $39 million and $421 million of commercial loans risk rated "Substandard Non-Performing" or worse (asset category defined by banking regulators) in U.S. offices and 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, 2011, Citi also modified $185 million and $33 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 $2,371 million and $2,751 million of non-accrual loans included in the non-accrual assets table above at December 31, 2011 and December 31, 2010, respectively. The remaining loans are accruing interest.
(5) Includes $19 million and $22 million of commercial real estate loans at December 31, 2011 and December 31, 2010, respectively.
(6) Includes $257 million and $177 million of commercial loans at December 31, 2011 and December 31, 2010, 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 or waiver of accrued interest or fees. See "Consumer Loan Modification Programs" below.

Forgone Interest Revenue on Loans (1)

In non-
In U.S. U.S. 2011
In millions of dollars offices offices total
Interest revenue that would have been accrued
       at original contractual rates (2) $ 3,597 $ 1,276 $ 4,873
Amount recognized as interest revenue (2) 1,539 415 1,954
Forgone interest revenue $ 2,058 $ 861 $ 2,919

(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 2011 1 year 5 years years Total
Corporate loan portfolio
       maturities
In U.S. offices
Commercial and
industrial loans $ 10,053 $ 7,600 $ 4,014 $ 21,667
Financial institutions 15,434 11,668 6,163 33,265
Mortgage and real estate 9,603 7,260 3,835 20,698
Lease financing 589 446 235 1,270
Installment, revolving
credit, other 6,965 5,265 2,781 15,011
In offices outside the U.S. 91,060 31,725 9,525 132,310
Total corporate loans $ 133,704 $ 63,964 $ 26,553 $ 224,221
Fixed/variable pricing of
       corporate loans with
       maturities due after one
       year (1)
Loans at fixed interest rates $ 7,005 $ 5,741
Loans at floating or adjustable
interest rates 56,959 20,812
Total $ 63,964 $ 26,553

(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 and Real Estate Loans

Due Over 1 year
within but within Over 5
In millions of dollars at year end 2011 1 year 5 years years Total
U.S. Consumer mortgage
       loan portfolio type
First mortgages $ 219 $ 1,143 $ 95,757 $ 97,119
Second mortgages 858 14,457 26,743 42,058
Total $ 1,077 $ 15,600 $ 122,500 $ 139,177
Fixed/variable pricing of
       U.S. Consumer
       mortgage loans with
       maturities due after one year
Loans at fixed interest rates $ 888 $ 83,159
Loans at floating or adjustable
interest rates 14,712 39,341
Total $ 15,600 $ 122,500


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North America Consumer Mortgage Lending

Overview
Citi's North America Consumer mortgage portfolio consists of both residential first mortgages and home equity loans. As of December 31, 2011, Citi's North America Consumer residential first mortgage portfolio totaled $95.4 billion, while the home equity loan portfolio was $43.5 billion. Of the first mortgages, $67.5 billion are recorded in LCL within Citi Holdings, with the remaining $27.9 billion recorded in Citicorp. With respect to the home equity loan portfolio, $40.0 billion are recorded in LCL , and $3.5 billion are reported in Citicorp.
Citi's residential first mortgage portfolio included $9.2 billion of loans with FHA insurance or VA guarantees as of December 31, 2011. This portfolio consists of loans originated to low-to-moderate-income borrowers with lower FICO (Fair Isaac Corporation) scores and generally has higher loan-to-value ratios (LTVs). Losses on FHA loans are borne by the sponsoring agency, provided that the insurance terms have not been rescinded as a result of an origination defect. With respect to VA loans, the VA establishes a loan-level loss cap, beyond which Citi is liable for loss. While FHA and VA loans have high delinquency rates, given the insurance and guarantees, respectively, Citi has experienced negligible credit losses on these loans to date.
Also as of December 31, 2011, the residential first mortgage portfolio included $1.6 billion of loans with LTVs above 80%, which have insurance through mortgage insurance companies, and $1.2 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 home equity loan portfolio also included $0.4 billion of loans subject to LTSCs with GSEs, for which Citi also has limited exposure to credit losses. These guarantees and commitments may be rescinded in the event of origination defects.

Citi's allowance for loan loss calculations takes into consideration the impact of the guarantees and commitments referenced above.
Citi does not offer option adjustable rate mortgages/negative amortizing mortgage products to its customers. As a result, option adjustable rate mortgages/negative amortizing mortgages represent an insignificant portion of total balances, since they were acquired only incidentally as part of prior portfolio and business purchases.
As of December 31, 2011, Citi's North America residential first mortgage portfolio contained approximately $15 billion of adjustable rate mortgages that are required to make a payment only of accrued interest for the payment period, or an interest-only payment. Borrowers that are currently required to make an interest-only payment cannot select a lower payment that would negatively amortize the loan. Residential first mortgages 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 residential first mortgage portfolio.

North America Consumer Mortgage Quarterly Credit Trends-Delinquencies and Net Credit Losses-Residential First Mortgages
The following charts detail the quarterly trends in delinquencies and net credit losses for Citi's residential first mortgage portfolio in North America . As referenced in the "Overview" section above, the majority of Citi's residential first mortgage exposure arises from its portfolio within Citi Holdings – LCL .


Residential First Mortgages - Citigroup
In billions of dollars

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Residential First Mortgages - Citi Holdings
In billions of dollars



Residential First Mortgage Delinquencies - Citi Holdings
In billions of dollars


Notes:
– Totals may not sum due to rounding.

– For each of the tables above, days past due exclude U.S. mortgage loans that are guaranteed by U.S. government agencies, because the potential loss predominantly resides with the U.S. agencies and loans recorded at fair value.

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As previously disclosed, management actions, including asset sales and modification programs, have been the primary drivers of the improved asset performance within Citi's residential first mortgage portfolio in Citi Holdings during the periods presented above. With respect to asset sales, in total, Citi has sold approximately $7.6 billion of delinquent first mortgages since the beginning of 2010, including $2.7 billion in 2011. As evidenced by the numbers above, the pace of Citi's sales of residential first mortgages has slowed, primarily due to the lack of remaining eligible inventory and demand.
Regarding modifications of residential first mortgages, since the third quarter of 2009, Citi has permanently modified approximately $6.1 billion of residential first mortgage loans under its HAMP and CSM programs, two of Citi's more significant residential first mortgage modification programs. (For additional information on Citi's significant residential first mortgage loan modification programs, see "Consumer Loan Modification Programs" below.) However, the pace of modification activity has also slowed due to the

decrease in the inventory of residential first mortgage loans available for modification, primarily as a result of the significant levels of modifications in prior periods.
As a result of these two converging trends and as set forth in the tables above, Citi's residential first mortgage delinquency trends are beginning to show the impact of re-defaults of previously modified mortgages, including an increase in the 90+ days past due delinquencies during the fourth quarter of 2011, although the re-default rates for the HAMP and CSM programs continued to track favorably versus expectations as of December 31, 2011. While net credit losses in this portfolio decreased during the periods set forth above, if delinquencies continue to increase, Citi could begin experiencing increasing net credit losses in this portfolio going forward. Citi has taken these trends and uncertainties, including the potential for re-defaults, into consideration in determining its loan loss reserves. See " North America Consumer Mortgages – Loan Loss Reserve Coverage" below.


Residential First Mortgages – State Delinquency Trends
The following tables set forth, for total Citigroup, the six states and/or regions with the highest concentration of Citi's residential first mortgages as of December 31, 2011 and December 31, 2010.

In billions of dollars December 31, 2011 December 31, 2010
% %
ENR 90+DPD        LTV > Refreshed ENR 90+DPD LTV > Refreshed
State (1) ENR  (2)        Distribution % 100% FICO        ENR  (2)        Distribution % 100% FICO
CA $ 22.6 28 % 2.7 % 38 % 727 $ 23.0 27 % 4.1 % 40 % 718
NY/NJ/CT 11.2 14 4.9 10 712 9.7 12 6.6 13 693
IN/OH/MI 4.6 6 6.3 44 650 5.0 6 8.3 46 636
FL 4.3 5 10.2 57 668 4.7 6 12.2 59 656
IL 3.5 4 7.2 45 686 3.5 4 8.3 44 669
AZ/NV 2.3 3 5.7 73 698 2.6 3 8.2 73 688
Other 33.2 41 5.8 21 663 35.2 42 7.0 21 650
Total $ 81.7 100 % 5.1 % 30 % 689 $ 83.7 100 % 6.6 % 32 % 675

(1) Certain of the states are included as part of a region based on Citi's view of similar home prices (HPI) within the region.
(2) Ending net receivables. Excludes loans in Canada and Puerto Rico, loans guaranteed by U.S. government agencies, loans recorded at fair value and loans subject to LTSCs.

As evidenced by the tables above, Citi's residential first mortgages portfolio is primarily concentrated in California and the New York/New Jersey/Connecticut region (with New York as the largest of the three states). Year over year, the 90+ days past due delinquency rate improved across each of the states and regions shown in the tables. As referenced under "Citi Holdings-Residential First Mortgages" above, however, the vast majority of the improvement in these delinquency rates was driven by Citi's continued asset sales of delinquent mortgages. As asset sales have slowed, Citi has observed deterioration in 90+ days past due delinquencies for each of the states and/or regions above, including during the fourth quarter of 2011. Combined with the increase in the average number of days to foreclosure (see discussion under "Foreclosures" below) in all of these states and regions, Citi could experience continued deterioration in the 90+ days past due delinquency rate in these areas.

Foreclosures
As of December 31, 2011, approximately 2.5% of Citi's residential first mortgage portfolio was actively in the foreclosure process, which Citi refers to as its "foreclosure inventory." This was down from 3.1% at December 31, 2010. The decline in foreclosure inventory year over year was largely due to two separate trends. First, during 2011, there were fewer residential first mortgages moving into Citi's foreclosure inventory primarily as a result of Citi's continued asset sales of delinquent first mortgages (as discussed above), as well as increased state requirements for foreclosure filings. For example, certain states have increased the number of pre-foreclosure filings and notices required, including various requirements for affidavit filings and demand letters (including the contents of such letters), as well as required additional time to review a borrower's loss mitigation activities prior to permitting a foreclosure filing. In addition, while Citi may generally begin


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the foreclosure process when loans are 90+ days past due, not all such loans become part of Citi's foreclosure inventory as Citi may not refer such loans to foreclosure as it continues to work with the borrower pursuant to its loss mitigation programs, or for other reasons. This also decreased the number of residential first mortgages moving into Citi's foreclosure inventory.
Second, while loans exited foreclosure inventory during 2011, this was not necessarily due to completion of foreclosure and sale. Loans may exit foreclosure inventory if Citi renews efforts to work with the borrower pursuant to its loss mitigation programs, if the borrower enters bankruptcy proceedings, if Citi decides not to pursue the foreclosure, or for other reasons. In each of the circumstances described in the discussion above, however, the loans continue to age through Citi's delinquency buckets and remain part of its non-accrual assets.
In addition to the decline in the actual number of completed foreclosures, the overall foreclosure process has lengthened. This is particularly pronounced in judicial states (i.e., those states that require foreclosures to be processed via court approval)-including New York, New Jersey, Florida and Illinois-but has also occurred in non-judicial states where Citi has a higher concentration of residential first mortgages (see "Residential First Mortgages-State Delinquency Trends" above). The lengthening of the foreclosure process is due to numerous factors, including without limitation the increased state requirements referenced above, Citi's continued work with borrowers through its various modification programs and the overall depressed state of home sales in certain of Citi's high concentration markets. As one example of the lengthening of the foreclosure process, Citi's aged foreclosure inventory (active foreclosures in process for two years or more), as a proportion of Citi's total foreclosure inventory, more than doubled year over year. While the proportion of aged foreclosure inventory continued to represent a small portion of the total (approximately 10%, as of December 31, 2011), Citi believes this trend reflects the increased time involved in the foreclosure process, and believes this trend could continue due, in part, to the issues discussed above.
When combined with the continued pressure on home prices, particularly in certain regions where Citi has a higher concentration of residential first mortgages, this lengthening of the foreclosure process also subjects Citi to increased "severity" risk, or the magnitude of the loss on the amount ultimately realized for the property subject to foreclosure, as well as increased ongoing costs related to the foreclosure process, such as property maintenance.

North America Consumer Mortgage Quarterly Credit Trends-Delinquencies and Net Credit Losses-Home Equity Loans
Citi's home equity loan portfolio consists of both fixed rate home equity loans and loans extended under home equity lines of credit. Fixed rate home equity loans are fully amortizing. Home equity lines of credit allow for amounts to be drawn for a period of time and then, at the end of the draw period, the then-outstanding amount is converted to an amortizing loan. After conversion, the loan typically has a 20-year amortization repayment period.

Historically, Citi's home equity lines of credit typically had a 10-year draw period. Beginning in June 2010, Citi's new originations of home equity lines of credit typically have a five-year draw period as Citi changed these terms to mitigate risk due to the economic environment and declining home prices. As of December 31, 2011, Citi's home equity loan portfolio included approximately $25 billion of home equity lines of credit that are still within their revolving period and have not commenced amortization (the interest-only payment feature during the revolving period is standard for this product across the industry). The vast majority of Citi's home equity loans extended under lines of credit as of December 31, 2011 will contractually begin to amortize after 2014.
As of December 31, 2011, the percentage of U.S. home equity loans in a junior lien position where Citi also owned or serviced the first lien was approximately 31%. However, for all home equity loans (regardless of whether Citi owns or services the first lien), Citi manages its home equity loan account strategy through obtaining and reviewing refreshed credit bureau scores (which reflect the borrower's performance on all of its debts, including a first lien, if any), refreshed LTV ratios and other borrower credit-related information. Historically, the default and delinquency statistics for junior liens where Citi also owns or services the first lien have been better than for those where Citi does not own or service the first lien, which Citi believes is generally attributable to origination channels and better credit characteristics of the portfolio, including FICO and LTV, for those junior liens where Citi also owns or services the first lien.


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The following charts detail the quarterly trends in delinquencies and net credit losses for Citi's home equity loan portfolio in North America . Similar to Citi's residential first mortgage portfolio, the majority of Citi's home equity loan exposure arises from its portfolio within Citi Holdings – LCL .

Home Equity Loans - Citigroup
In billions of dollars



Home Equity Loans - Citi Holdings
In billions of dollars


Home Equity Loan Delinquencies - Citi Holdings
In billions of dollars



Notes:
– Totals may not sum due to rounding.

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As evidenced by the tables above, the pace of improvement in home equity loan delinquencies has slowed or remained flat. Given the lack of market in which to sell delinquent home equity loans, as well as the relatively smaller number of home equity loan modifications and modification programs, Citi's ability to offset increased delinquencies and net credit losses in its home equity loan portfolio in Citi Holdings has been more limited as compared to residential first mortgages, as discussed above. Accordingly, Citi could begin to experience increased delinquencies and thus increased net credit losses

in this portfolio going forward. Citi has taken these trends and uncertainties into consideration in determining its loan loss reserves. See " North America Consumer Mortgages – Loan Loss Reserve Coverage" below.

Home Equity Loans– State Delinquency Trends
The following tables set forth, for total Citigroup, the six states and/or regions with the highest concentration of Citi's home equity loans as of December 31, 2011 and December 31, 2010.


In billions of dollars December 31, 2011 December 31, 2010
% %
ENR 90+DPD LTV > Refreshed ENR 90+DPD LTV > Refreshed
State (1) ENR (2) Distribution % 100% FICO ENR (2) Distribution % 100% FICO
CA $ 11.2 27 % 2.3 % 50 % 721 $ 12.7 27 % 2.8 % 48 % 724
NY/NJ/CT 9.2 22 2.1 19 715 10.1 21 2.1 20 719
FL 2.8 7 3.3 69 698 3.2 7 3.9 68 698
IL 1.6 4 2.3 62 705 1.9 4 2.4 57 706
IN/OH/MI 1.5 4 2.6 66 678 1.8 4 3.3 64 671
AZ/NV 1.0 3 4.1 83 706 1.3 3 5.5 82 703
Other 13.7 33 2.3 46 695 16.3 34 2.4 44 693
Total $ 41.0 100 % 2.4 % 45 % 707 $ 47.3 100 % 2.6 % 44 % 707

(1) Certain of the states are included as part of a region based on Citi's view of similar home prices (HPI) within the region.
(2) Ending net receivables. Excludes loans in Canada and Puerto Rico and loans subject to LTSCs.

Similar to residential first mortgages (see "Residential First Mortgages-State Delinquency Trends" above), at December 31, 2011, Citi's home equity loan portfolio was primarily concentrated in California and the New York/New Jersey/Connecticut region. Year over year, 90+ days past due delinquencies improved or remained stable across each of the states and regions shown in the tables. See also "Consumer Mortgage FICO and LTV" below.

North America Consumer Mortgages – Loan Loss Reserve Coverage
At December 31, 2011, approximately $9.8 billion of Citi's total loan loss reserves of $30.1 billion was allocated to North America real estate lending in Citi Holdings, representing approximately 31 months of coincident net credit loss coverage as of such date. With respect to Citi's aggregate North America Consumer mortgage portfolio, including Citi Holdings as well as the residential first mortgages and home equity loans in Citicorp, Citi's loan loss reserves of $10.0 billion at December 31, 2011 represented 30 months of coincident net credit loss coverage.

Consumer Mortgage FICO and LTV
As a consequence of the financial crisis, economic environment and the decrease in housing prices, LTV and FICO scores for Citi's residential first mortgage and home equity loan portfolios have generally deteriorated since origination, particularly in the case of originations between 2006 and 2007, although, as set forth in the tables below, the negative migration has generally stabilized. Generally, on a refreshed basis, approximately 30% of residential first mortgages had a LTV ratio above 100%, compared to approximately 0% at origination. Similarly, approximately 36% of residential first mortgages had FICO scores less than 660 on a refreshed basis, compared to 27% at origination. With respect to home equity loans, approximately 45% of home equity loans had refreshed LTVs above 100%, compared to approximately 0% at origination. Approximately 24% of home equity loans had FICO scores less than 660 on a refreshed basis, compared to 9% at origination.


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FICO and LTV Trend Information- North America
Consumer Mortgages

Residential First Mortgages
In billions of dollars


Residential Mortgage-90+ DPD % 4Q10 1Q11 2Q11 3Q11 4Q11
FICO ≥ 660, LTV ≤ 100% 0.3% 0.4% 0.3% 0.3% 0.4%
FICO ≥ 660, LTV > 100% 1.3% 1.1% 1.1% 1.2% 1.2%
FICO < 660, LTV ≤ 100% 12.8% 11.0% 9.8% 10.0% 10.7%
FICO < 660, LTV > 100% 20.4% 16.6% 15.3% 14.9% 16.5%

Home Equity Loans
In billions of dollars


Home Equity-90+ DPD % 4Q10 1Q11 2Q11 3Q11 4Q11
FICO ≥ 660, LTV ≤ 100% 0.1% 0.1% 0.1% 0.1% 0.3%
FICO ≥ 660, LTV > 100% 0.3% 0.3% 0.1% 0.1% 0.2%
FICO < 660, LTV ≤ 100% 7.7% 7.7% 7.0% 7.4% 7.6%
FICO < 660, LTV > 100% 12.1% 11.7% 10.1% 10.3% 10.3%

Notes:
–    Data appearing in the tables above have been sourced from Citi'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.
Tables exclude loans in Canada and Puerto Rico, loans guaranteed by U.S. government agencies (residential first mortgages table only), loans recorded at fair value (residential first mortgages table only) and loans subject to LTSCs.
Balances exclude deferred fees/costs.
Tables exclude balances for which FICO or LTV data is unavailable. For residential first mortgages, balances for which such data is unavailable includes $0.4 billion for 4Q10, $0.6 billion for 1Q11, and $0.4 billion in each of 2Q11, 3Q11 and 4Q11. For home equity loans, balances for which such data is unavailable includes $0.3 billion in 4Q10, $0.1 billion in 1Q11, $0.3 billion in 2Q11, $0.2 billion in 3Q11, and $0.2 billion in 4Q11.

As evidenced by the table above, the overall proportion of 90+ days past due residential first mortgages with refreshed FICO scores of less than 660 decreased year over year. Citi believes that the deterioration in these 90+ days past due delinquency ratios from third to fourth quarter 2011 reflects the decline in Citi's asset sales of delinquent first mortgages, the lengthening of the foreclosure process and the continued economic uncertainty, as discussed in the sections above.
Although home equity loans are typically in junior lien positions and residential first mortgages are typically in a first lien position, residential first mortgages historically have experienced higher delinquency rates as compared to home equity loans. Citi believes this difference is primarily due to the fact that residential first mortgages are written down to collateral value less cost to sell at 180 days past due and remain in the delinquency population until full disposition through sale, repayment or foreclosure, whereas home equity loans are generally fully charged off at 180 days past due and thus removed from the delinquency calculation. In addition, due to the longer timelines to foreclose on a residential first mortgage (see "Foreclosures" above), these loans tend to remain in the delinquency statistics for a longer period and, consequently, the 90 days or more delinquencies of these mortgages remain higher.
Despite this historically higher level of delinquencies for residential first mortgages, however, home equity loan delinquencies have generally decreased at a slower rate than residential first mortgage delinquencies. Citi believes this difference is due primarily to the lack of a market to sell delinquent home equity loans and the relatively smaller number of home equity loan modifications which, to date, have been the primary drivers of Citi's first mortgage delinquency improvement (see "North America Consumer Mortgage Quarterly Credit Trends-Delinquencies and Net Credit Losses-Residential First Mortgages" above).


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Mortgage Servicing Rights
To minimize credit and liquidity risk, Citi sells most of the mortgage loans it originates, but retains the servicing rights. These sale transactions create an intangible asset referred to as mortgage servicing rights (MSRs), which are recorded at fair value on Citi's Consolidated Balance Sheet. The fair value of MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, 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, Citi economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase commitments of mortgage-backed securities and purchased securities classified as Trading account assets .
Citi's MSRs totaled $2.569 billion, $2.852 billion and $4.554 billion at December 31, 2011, September 30, 2011 and December 31, 2010, respectively. The decrease in the value of Citi's MSRs from year end 2010 to year end 2011 primarily represented the impact from lower interest rates in addition to amortization.
For additional information on Citi's MSRs, see Note 22 to the Consolidated Financial Statements.

North America Cards

Overview
As of December 31, 2011, Citi's North America cards portfolio consists of its Citi-branded portfolio in Citicorp -Global Consumer Banking and its retail partner cards portfolio in Citi Holdings -Local Consumer Lending . The substantial majority of the retail partner cards portfolio will be transferred to Citicorp- NA RCB , effective in the first quarter of 2012 (see "Executive Summary" and "Citi Holdings" above). As of December 31, 2011, the Citi-branded portfolio totaled $76 billion, while the retail partner cards portfolio was $43 billion.
See "Consumer Loan Modification Programs" below for a discussion of Citi's significant cards modification programs.

North America Cards Quarterly Credit 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. As evidenced by the charts, delinquencies and net credit losses continued to improve during 2011. Citi currently expects some continued improvement in these metrics, although at a slower pace as the portfolios stabilize.


Citi-Branded Cards – Citigroup


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Retail Partner Cards – Citigroup


North America Cards–Loan Loss Reserve Coverage
At December 31, 2011, approximately $10.1 billion of Citi's total loan loss reserves of $30.1 billion was allocated to Citi's North America cards portfolios, representing over 17 months of coincident net credit loss coverage as of such date.


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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, December 31,
In millions of dollars, except EOP loan amounts in billions 2011 2011 2010 2009 2011 2010 2009
Citicorp (2)(3)(4)
Total              $ 246.6 $ 2,410 $ 3,101 $ 4,103 $ 2,880 $ 3,553 $ 4,338
       Ratio 0.98 % 1.35 % 1.83 % 1.17 % 1.55 % 1.93 %
Retail banking
       Total $ 133.3 $ 736 $ 760 $ 805 $ 1,039 $ 1,146 $ 1,107
              Ratio 0.56 % 0.66 % 0.75 % 0.79 % 0.99 % 1.03 %
North America 38.9 235 228 106 213 212 81
              Ratio 0.63 % 0.76 % 0.33 % 0.57 % 0.71 % 0.25 %
EMEA 4.2 58 84 129 93 136 223
              Ratio 1.38 % 2.00 % 2.48 % 2.21 % 3.24 % 4.29 %
Latin America 24.0 221 223 311 289 265 344
              Ratio 0.92 % 1.09 % 1.71 % 1.20 % 1.30 % 1.89 %
Asia 66.2 222 225 259 444 533 459
              Ratio 0.34 % 0.37 % 0.50 % 0.67 % 0.88 % 0.89 %
Citi-branded cards
       Total $ 113.3 $ 1,674 $ 2,341 $ 3,298 $ 1,841 $ 2,407 $ 3,231
              Ratio 1.48 % 2.05 % 2.81 % 1.62 % 2.11 % 2.75 %
North America 75.9 1,004 1,597 2,371 1,062 1,539 2,182
              Ratio 1.32 % 2.06 % 2.82 % 1.40 % 1.99 % 2.59 %
EMEA 2.7 44 58 85 59 72 140
              Ratio 1.63 % 2.07 % 2.83 % 2.19 % 2.57 % 4.67 %
Latin America 13.7 412 446 565 399 456 556
              Ratio 3.01 % 3.33 % 4.56 % 2.91 % 3.40 % 4.48 %
Asia 21.0 214 240 277 321 340 353
              Ratio 1.02 % 1.18 % 1.55 % 1.53 % 1.67 % 1.97 %
Citi Holdings- Local Consumer Lending (2)(3)(5)(6)
       Total $ 176.0 $ 6,971 $ 10,216 $ 18,457 $ 6,340 $ 9,396 $ 14,105
              Ratio 4.18 % 4.76 % 6.11 % 3.80 % 4.38 % 4.67 %
       International 10.8 422 657 1,362 498 848 1,482
              Ratio 3.91 % 3.00 % 4.22 % 4.61 % 3.87 % 4.59 %
North America retail partner cards 42.8 1,054 1,601 2,681 1,282 1,685 2,674
              Ratio 2.46 % 3.45 % 4.42 % 3.00 % 3.63 % 4.41 %
North America (excluding cards) 122.4 5,495 7,958 14,414 4,560 6,863 9,949
              Ratio 4.85 % 5.43 % 6.89 % 4.03 % 4.68 % 4.76 %
Total Citigroup (excluding Special Asset Pool ) $ 422.6 $ 9,381 $ 13,317 $ 22,560 $ 9,220 $ 12,949 $ 18,443
              Ratio 2.28 % 3.00 % 4.29 % 2.24 % 2.92 % 3.50 %

(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) Periods prior to January 1, 2010 are presented 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 LCL -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 agencies since the potential loss predominantly resides within the U.S. agencies. The amounts excluded for loans 90+ days past due and (EOP loans) are $611 million ($1.3 billion) and $235 million ($0.8 billion) at December 31, 2011 and December 31, 2010, respectively. The amounts excluded for loans 30–89 days past due (end-of-period loans have the same adjustment as above) are $121 million and $30 million, as of December 31, 2011 and December 31, 2010, respectively.
(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 agencies since the potential loss predominantly resides within the U.S. agencies. The amounts excluded for loans 90+ days past due and (EOP loans) for each period are $4.4 billion ($7.9 billion), $5.2 billion ($8.4 billion), and $5.4 billion ($9.0 billion) at December 31, 2011, December 31, 2010, and December 31, 2009, 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 $1.5 billion, $1.6 billion, and $1.0 billion, as of December 31, 2011, December 31, 2010, and December 31, 2009, respectively.
(6) The December 31, 2011 and December 31, 2010 loans 90+ days past due and 30–89 days past due and related ratios for North America (excluding cards) exclude $1.3 billion and $1.7 billion, respectively, 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 2011 2011 2010 2009
Citicorp
Total      $ 236.5  $ 7,688  $ 11,216  $ 5,395
       Add: impact of credit card securitizations (3) - - 6,931
       Managed NCL 7,688 11,216 12,326
       Ratio 3.25 % 5.11 % 5.63 %
Retail banking
       Total $ 126.3 $ 1,174 $ 1,267 $ 1,555
              Ratio 0.93 % 1.16 % 1.48 %
North America 34.5 300 339 311
              Ratio 0.87 % 1.11 % 0.90 %
EMEA 4.4 87 167 287
              Ratio 1.99 % 3.88 % 5.17 %
Latin America 22.6 475 439 512
              Ratio 2.10 % 2.35 % 3.08 %
Asia 64.8 312 322 445
              Ratio 0.48 % 0.58 % 0.92 %
Citi-branded cards
       Total $ 110.2 $ 6,514 $ 9,949 $ 3,840
              Add: impact of credit card securitizations (3) - - 6,931
              Managed NCL 6,514 9,949 10,771
              Ratio 5.92 % 9.04 % 9.46 %
North America 73.1 4,649 7,680 841
              Add: impact of credit card securitizations (3) - - 6,931
              Managed NCL 4,649 7,680 7,772
              Ratio 6.36 % 10.02 % 9.41 %
EMEA 2.9 85 149 185
              Ratio 2.98 % 5.32 % 6.55 %
Latin America 13.7 1,209 1,429 1,920
              Ratio 8.82 % 11.67 % 16.10 %
Asia 20.5 571 691 894
              Ratio 2.78 % 3.77 % 5.42 %
Citi Holdings- Local Consumer Lending
       Total $ 199.7 $ 10,659 $ 17,040 $ 19,185
              Add: impact of credit card securitizations (3) - - 4,590
              Managed NCL 10,659 17,040 23,775
              Ratio 5.34 % 6.20 % 7.03 %
       International 16.8 1,057 1,927 3,521
              Ratio 6.30 % 7.36 % 9.18 %
North America retail partner cards 42.1 3,609 6,564 3,485
              Add: impact of credit card securitizations (3) - - 4,590
              Managed NCL 3,609 6,564 8,075
              Ratio 8.58 % 12.82 % 12.77 %
North America (excluding cards) 140.8 5,993 8,549 12,179
              Ratio 4.25 % 4.33 % 5.15 %
Total Citigroup (excluding Special Asset Pool ) $ 436.2 $ 18,347 $ 28,256 $ 24,580
              Add: impact of credit card securitizations (3) - - 11,521
              Managed NCL 18,347 28,256 36,101
              Ratio 4.21 % 5.72 % 6.48 %

(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 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
Citi has instituted a variety of loan modification programs to assist its borrowers with financial difficulties. Under these programs, the largest of which are predominately long-term modification programs targeted at residential first mortgage borrowers, the original loan terms are modified. Substantially all of these programs incorporate some form of interest rate reduction; other concessions may include reductions or waivers of accrued interest or fees, loan tenor extensions and/or the deferral or forgiveness of principal.
Loans modified under long-term modification programs (as well as short-term modifications originated since January 1, 2011) that provide concessions to borrowers in financial difficulty are reported as troubled debt restructurings (TDRs). Accordingly, loans modified under the programs described below, including modifications under short-term programs since January 1, 2011, are TDRs. These TDRs are concentrated in the U.S. See Note 16 to the Consolidated Financial Statements for a discussion of TDRs and Note 1 to the Consolidated Financial Statements for a discussion of the allowance for loan losses for these loans.
A summary of Citi's more significant U.S. modification programs follows:

Residential First Mortgages
HAMP. The HAMP is a long-term modification program designed to reduce monthly residential 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 (either on an absolute or contingent basis) 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 residential 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 provide the required documentation and complete a trial period (generally three months) by making the agreed payments.
Historically, Citi accounted for modifications under HAMP as TDRs when the borrower successfully completed the trial period and the loan was permanently modified. Effective in the fourth quarter of 2011, trial modifications are reported as TDRs at the beginning of the trial period. Accordingly, all loans in HAMP trials as of the end of 2011 are reported as TDRs.
Citi Supplemental. The Citi Supplemental (CSM) program is a long-term modification program designed to assist residential first mortgage 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%, steps similar to those under HAMP, including potential interest rate reductions, will be taken 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. Three trial payments are required prior to modification, which can be made during the trial period. As in the case of HAMP as discussed above, all loans in CSM trials as of the end of 2011 are reported as TDRs.
FHA/VA. Loans guaranteed by the FHA or VA are modified through the modification process required by those respective agencies and are long-term modification programs. 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 terms have not been rescinded 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. Citi's Responsible Lending program is a long-term modification program designed to assist current residential first mortgage borrowers unable to refinance their loan 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 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.
CFNA Permanent Mortgage Adjustment of Terms. This long-term modification program is targeted to CitiFinancial's (part of Citi Holdings – LCL ) consumer finance residential mortgage borrowers 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 adjustment of terms 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. Borrowers must make a qualifying payment at the reduced payment amount in order to qualify for the modification. In addition, borrowers must provide income and employment verification, and monthly obligations are validated through an updated credit report.

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CFNA Temporary Mortgage Adjustment of Terms. This short-term modification program is similar to the long-term program discussed above, but is targeted to CitiFinancial's consumer finance borrowers with a temporary hardship. 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. Similar to the long-term program, borrowers must make a payment at the reduced payment amount prior to the adjustment of terms being processed to qualify, and they must meet the verification and validation requirements discussed above. 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. 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.

Credit Cards
Credit card long-term modification programs. Citi's long-term modification programs for its Citi-branded and retail partner cards borrowers are designed to liquidate a borrower's balance within 60 months. These programs are available to borrowers who indicate a long-term hardship. Payment requirements are decreased by reducing interest rates charged to either 9.9% or 0%, depending on the borrower's situation, and are designed to fully amortize the balance. Under these programs, fees are discontinued and charging privileges are permanently rescinded.
Universal Payment Program (UPP). The UPP is a short-term cards modification program offered to Citi-branded and retail partner cards borrowers and provides short-term interest rate reductions to assist borrowers experiencing temporary hardships. 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 borrower'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 upon failure to make the required payments.


Modification Programs-Summary
The following table sets forth, as of December 31, 2011, information relating to Citi's significant U.S. loan modification programs.

Average Average
Program interest rate Average % tenor of Deferred Principal
In millions of dollars balance reduction payment relief modified loans principal forgiveness
U.S. Consumer mortgage lending
       HAMP     $ 4,282 4 % 41 % 30 years        $ 558                 $ 7
       CSM 2,061 3 21 26 years 94 1
       FHA/VA 4,117 2 18 28 years - -
       CFNA Adjustment of Terms (AOT) 3,796 3 23 29 years - -
       Responsible Lending 1,694 2 18 28 years - -
       CFNA Temporary Mortgage AOT 1,570 2 N/A N/A - -
North America cards
       Long-term modification programs 5,035 15 - 5 years - -
       UPP 515 20 N/A N/A - -

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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 within CitiMortgage.

CitiMortgage Servicing Portfolio
As of December 31, 2011, Citi services loans previously sold to the U.S. government sponsored entities (GSEs) and private investors as follows:

In millions December 31, 2011 (1)
Unpaid
Vintage sold (2) : Number of loans principal balance
2005 and prior 1.4                $ 141,122
2006 0.3 43,040
2007 0.2 40,080
2008 0.3 39,279
2009 0.2 45,811
2010 0.2 40,474
2011 0.2 46,501
       Total 2.8 $ 396,307

(1) Excludes the fourth quarter 2010 sale of servicing rights on 0.1 million loans with remaining unpaid principal balances of approximately $24,843 million as of December 31, 2011. Citi continues to be exposed to representation and warranty claims on these loans.
(2) Includes 0.7 million loans with remaining unpaid principal balance of approximately $80,690 million as of December 31, 2011 that are serviced by CitiMortgage pursuant to prior acquisitions of mortgage servicing rights. These loans are covered by indemnification agreements from third parties in favor of CitiMortgage; however, substantially all of these agreements will expire prior to March 1, 2012. The expiration of these indemnification agreements is considered in determining the repurchase reserve.

As previously disclosed, during the period 2005 through 2008, Citi sold approximately $25 billion of loans through private-label residential mortgage securitizations. As of December 31, 2011, approximately $11 billion of the $25 billion remained outstanding as a result of repayments of approximately $13 billion and cumulative losses (incurred by the issuing trusts) of approximately $1 billion. The remaining $11 billion outstanding is included in the $396 billion of serviced loans above. As of December 31, 2011, the amount that remained outstanding had a 90 days or more delinquency rate in the aggregate of approximately 12.9%. For information on litigation related to these and other Citi securitization activities, see " Securities and Banking -Sponsored Private-Label Residential Mortgage Securitizations-Representations and Warranties" below and Note 29 to the Consolidated Financial Statements.

Representations and Warranties
When selling a loan, Citi 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 with the identified defects (generally at unpaid principal balance plus accrued interest) 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.
Similar to 2010, during 2011, issues related to (i) misrepresentation of facts by either the borrower or a third party (e.g., income, employment, debts, FICO, etc.), (ii) appraisal issues (e.g., an error or misrepresentation of value), and (iii) program requirements (e.g., a loan that does not meet investor guidelines, such as contractual interest rate) have been the primary drivers of Citi's repurchases and make-whole payments. However, the type of defect that results in a repurchase or make-whole payment has continued and will continue to vary over time. More importantly, there has not been a meaningful difference in Citi's incurred or estimated loss for any particular 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.


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The unpaid principal balance of loans repurchased due to representation and warranty claims for the years ended December 31, 2011 and 2010, respectively, was as follows:

December 31, 2011 December 31, 2010
Unpaid principal Unpaid principal
In millions of dollars balance balance
GSEs                           $ 505 $ 280
Private investors 8 26
Total $ 513 $ 306

As evidenced in the tables above, Citi's repurchases have primarily been from the GSEs. In addition to the amounts set forth in the tables above, Citi recorded make-whole payments of $530 million and $310 million for the years ended December 31, 2011 and 2010, respectively.

Repurchase Reserve
Citi has recorded a reserve for its exposure to losses from the obligation to repurchase or make-whole payments in respect of 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. 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). During 2011, the majority of Citi's repurchases continued to be from the 2006 through 2008 sales vintages, which also represented the vintages with the largest loss severity. An insignificant percentage of repurchases have been from vintages prior to 2006, and Citi continues to believe that this percentage will continue to decrease, as those vintages are later in the credit cycle. Although still early in the credit cycle, Citi continued to experience lower repurchases and loss per repurchase or make-whole from post-2008 sales vintages.

The repurchase reserve is based on various assumptions. These assumptions contain a level of uncertainty and risk that, if different from actual results, could have a material impact on the reserve amounts (see "Sensitivity of Repurchase Reserve" below). 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 in loan documentation requests, recent trends in historical delinquencies, forecasted delinquencies and general industry knowledge about the current repurchase environment. During 2011, the actual number of loan documentation requests declined as compared to 2010. However, because such requests remain elevated from historical levels, and because of the continued increased focus on mortgage-related matters, the assumption for estimated future loan documentation requests increased during 2011. Citi currently believes the level of actual loan documentation requests will remain elevated from historical levels and will continue to be volatile.
Repurchase claims as a percentage of loan documentation requests: Given that loan documentation requests are a potential indicator of future repurchase claims, an assumption is made regarding the conversion rate from loan documentation requests to repurchase claims, which assumption is based on historical performance. During 2011, the conversion rate, or the number of repurchase claims as a percentage of loan documentation requests, increased as compared to 2010, and thus the assumption regarding future repurchase claims also increased. Citi currently believes the claims as a percentage of loan documentation requests will remain at elevated levels.
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, or similar matters. This assumption is based on recent historical successful appeals rates, which can fluctuate based on changes in the validity or composition of claims. During 2011, Citi's appeal success rate remained stable as compared to 2010, meaning approximately half of the repurchase claims were successfully appealed and resulted in no loss to Citi.
Estimated loss per repurchase or make-whole: The assumption of the estimated loss per repurchase or make-whole payment is based on actual and estimated losses of recent historical repurchases/make-whole payments calculated for each sales vintage year in order to capture volatile housing price highs and lows. The estimated loss per repurchase or make-whole payment assumption is also impacted by estimates of loan size at the time of repurchase or make-whole payment. During 2011, the severity of losses increased slightly as compared to 2010, but was more than offset by the reduction in loan size, resulting in a decline in the actual loss per repurchase or make-whole payment. Citi would expect to continue to see reductions in loan size, including for the 2006 to 2008 sales vintages, as the loans continue to amortize through the loan cycle.

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In sum, the increase in estimated future loan documentation requests and repurchase claims as a percentage of loan documentation requests were the primary drivers of the $948 million increase in estimate for the repurchase reserve during 2011. These factors were also the primary drivers of the $305 million increase in estimate during the fourth quarter of 2011.

The table below sets forth the activity in the repurchase reserve for the years ended December 31, 2011 and 2010:

In millions of dollars Dec. 31, 2011 Dec. 31, 2010
Balance, beginning of period $ 969 $ 482
Additions for new sales 20 16
Change in estimate 948 917
Utilizations (749 ) (446 )
Balance, end of period $ 1,188 $ 969

The activity in the repurchase reserve for the three months ended December 31, 2011 was as follows:

In millions of dollars Dec. 31, 2011
Balance, beginning of period $ 1,076
Additions for new sales 7
Change in estimate 305
Utilizations (200 )
Balance, end of period $ 1,188

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 $620 million as of December 31, 2011. 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
For the GSEs, Citi's response (i.e., agree or disagree to repurchase or make-whole) to any repurchase claim is required within 90 days of receipt of the claim. If Citi does not respond within 90 days, the claim is subject to discussions between Citi and the particular GSE. For private investors, the time period for responding to any repurchase claim is governed by the individual sale agreement; however, if the specified timeframe is exceeded, the investor may choose to initiate legal action. As of December 31, 2011, no such legal action has been initiated by private investors.
The representation and warranty claims by claimant, as well as the number of unresolved claims by claimant, for the years ended December 31, 2011 and 2010, respectively, were as follows:


Claims during Unresolved claims as of:
2011 2010 December 31, 2011 December 31, 2010
Original Original Original Original
Number principal Number principal Number principal Number principal
In millions of dollars of claims balance of claims balance of claims balance of claims balance
GSEs 13,584 $ 2,930 11,520 $ 2,433 5,344 $ 1,148 5,257 $ 1,123
Private investors 1,649 331 1,221 313 651 122 581 128
Mortgage insurers (1) 729 164 274 60 62 15 78 17
Total (2) 15,962 $ 3,425 13,015 $ 2,806 6,057 $ 1,285 5,916 $ 1,268

(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. As of December 31, 2011, approximately $31 billion of the total servicing portfolio of $396 billion has insurance through mortgage insurance companies. Failure to collect from mortgage insurers is considered in determining the repurchase reserve. Citi does not believe inability to collect reimbursement from mortgage insurers would have a material impact on its repurchase reserve.
(2) Includes 1,738 and 2,914 claims, and $291 million and $612 million of original principal balance for claims during the years ended December 31, 2011 and 2010, respectively, and 633 and 1,333, and $123 million and $267 million of original principal balance for unresolved claims as of December 31, 2011 and 2010, respectively, that are serviced by CitiMortgage pursuant to prior acquisitions of mortgage servicing rights. These loans are covered by indemnification agreements from third parties in favor of CitiMortgage; however, substantially all of these agreements will expire prior to March 1, 2012. The expiration of these indemnification agreements is considered in determining the repurchase reserve.

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Securities and Banking- Sponsored Legacy Private-Label Residential Mortgage Securitizations-Representations and Warranties

Overview
Citi is also exposed to representation and warranty claims through residential mortgage securitizations that had been sponsored by Citi's S&B business. However, S&B -sponsored legacy securitizations have represented a much smaller portion of Citi's business than Citi's Consumer residential mortgage business discussed above.
As previously disclosed, during the period 2005 through 2008, S&B had sponsored approximately $66.5 billion in legacy private-label mortgage-backed securitization transactions that were backed by loan collateral composed of approximately $15.5 billion prime, $12.4 billion Alt-A and $38.6 billion subprime residential mortgage loans. As of December 31, 2011, approximately $23.4 billion of this amount remains outstanding as a result of repayments of approximately $34.5 billion and cumulative losses (incurred by the issuing trusts) of approximately $8.7 billion (of which approximately $6.6 billion related to subprime loans). Of the amount remaining outstanding, approximately $6.1 billion is backed by prime residential mortgage collateral at origination, approximately $4.9 billion by Alt-A and approximately $12.3 billion by subprime. As of December 31, 2011, the $23.4 billion remaining outstanding had a 90 days or more delinquency rate of approximately 27.2%.
The mortgages included in these securitizations were purchased from parties outside of Citi; fewer than 2% of the mortgages underlying the transactions outstanding as of December 31, 2011 were originated by Citi. In addition, fewer than 10% of the mortgages are serviced by Citi. (The mortgages serviced by Citi are included in the $396 billion of residential mortgage loans referenced under "Consumer Mortgage-Representations and Warranties" above.)

Representation and Warranties
In connection with these securitization transactions, representations and warranties (representations) relating to the mortgages included in each trust issuing the securities were made either by Citi, by third-party sellers (Selling Entities, which were also often the originators of the loans), or both. These representations were generally made or assigned to the issuing trust and related to, among other things, the following:

the absence of fraud on the part of the borrower, the seller or any appraiser, broker or other party involved in the origination of the mortgage (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's compliance with applicable federal, state and local laws; whether the mortgage was originated in conformity with the originator's underwriting guidelines; and detailed data concerning the mortgages that were included on the mortgage loan schedule.

The specific representations relating to the mortgages in each securitization varied, however, depending on various factors such as the Selling Entity, rating agency requirements and whether the mortgages 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 with the identified defects (generally at unpaid principal balance plus accrued interest) or indemnify the investors for their losses through make-whole payments. For securitizations in which Citi made representations, Citi generally also received from the Selling Entities similar representations, with the exception of certain limited representations required by, among others, the rating agencies. In cases where Citi made representations and also received the same representations from the Selling Entity for a particular loan, if Citi receives a claim based on breach of those representations in respect of the loan, it may have a contractual right to pursue a similar (back-to-back) claim against the Selling Entity (see discussion below). If only the Selling Entity made representations with respect to a particular loan, then only the Selling Entity should be responsible for a claim based on breach of the representations.
For the majority of the securitizations where Citi made representations and received similar representations from Selling Entities, Citi currently believes that with respect to the securitizations backed by prime and Alt-A collateral, if it received a repurchase claim for those loans, it would have back-to-back claims against the Selling Entities that the Selling Entities would likely be in a position to honor. However, for the significant majority of the subprime collateral where Citi has back-to-back claims against Selling Entities, Citi believes that those Selling Entities would be unlikely to honor back-to-back claims because they are in bankruptcy, liquidation, or financial distress. In those situations, in the event that claims for breaches of representations were made against Citi, the Selling Entities' financial condition might preclude Citi from obtaining back-to-back recoveries from them.
To date, Citi has received actual claims for breaches of representations relating to only a small percentage of the mortgages included in these securitization transactions, although the pace of claims remains volatile and has recently increased. Citi has also experienced an increase in the level of inquiries, assertions and requests for loan files, among other matters, relating to the above securitization transactions from trustees of securitization trusts and others. Trustee activities have been prompted in part by lawsuits and other actions by investors. Given the continued increased focus on mortgage-related matters, as well as the increasing level of litigation and regulatory activity relating to mortgage loans and mortgage-backed securities, the level of inquiries and assertions regarding these securitizations may further increase. These inquiries and assertions could lead to actual claims for breaches of representations, or to litigation relating to such breaches or other matters. For information on litigation, claims and regulatory proceedings regarding these and other S&B mortgage-related 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, 2011. The Corporate portfolio is broken out by direct outstandings, which include drawn loans, overdrafts, interbank placements, bankers' acceptances and leases, and unfunded commitments, which include unused commitments to lend, letters of credit and financial guarantees.


At December 31, 2011 At December 31, 2010
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 $ 177 $ 62 $ 13 $ 252 $ 191 $ 43 $ 8 $ 242
Unfunded lending commitments 144 151 21 316 174 94 19 287
Total $ 321 $ 213 $ 34 $ 568 $ 365 $ 137 $ 27 $ 529

Portfolio Mix
Citi's Corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of direct outstandings and unfunded commitments by region:

December 31, December 31,
2011 2010
North America 47 % 47 %
EMEA 27 28
Latin America 8 7
Asia 18 18
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 validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, and regulatory environment. Facility risk ratings are assigned that reflect

the probability of default of the obligor and factors that affect the loss-given default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are considered investment grade, while those below are considered non-investment grade.
Citigroup also has incorporated climate risk assessment criteria for certain obligors, as necessary. Factors evaluated include consideration of climate risk to an obligor's business and physical assets.
The following table presents the Corporate credit portfolio by facility risk rating at December 31, 2011 and December 31, 2010, as a percentage of the total portfolio:

Direct outstandings and
unfunded commitments
December 31, December 31,
2011 2010
AAA/AA/A 55 % 56 %
BBB 29 26
BB/B 13 13
CCC or below 2 5
Unrated 1 -
Total 100 % 100 %


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Citi's Corporate credit portfolio is also diversified by industry, with a concentration in the financial sector, broadly defined, 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,
2011 2010
Public sector 19 % 19 %
Petroleum, energy, chemical and metal 17 15
Transportation and industrial 16 16
Banks/broker-dealers 13 14
Consumer retail and health 13 12
Technology, media and telecom 8 8
Insurance and special purpose vehicles 5 5
Hedge funds 4 3
Real estate 3 4
Other industries (1) 2 4
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 Corporate credit 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, 2011 and December 31, 2010, $41.5 billion and $49.0 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 mitigants that are marked to market. In addition, the reported amounts of direct outstandings and unfunded commitments above do not reflect the impact of these hedging transactions. At December 31, 2011 and December 31, 2010, the credit protection was economically hedging underlying credit exposure with the following risk rating distribution, respectively:

Rating of Hedged Exposure

December 31, December 31,
2011 2010
AAA/AA/A 41 % 53 %
BBB 45 32
BB/B 13 11
CCC or below 1 4
Total 100 % 100 %

At December 31, 2011 and December 31, 2010, the credit protection was economically hedging underlying credit exposures with the following industry distribution:

Industry of Hedged Exposure

December 31, December 31,
2011 2010
Petroleum, energy, chemical and metal 22 % 24 %
Transportation and industrial 22 19
Consumer retail and health 15 19
Public sector 12 13
Technology, media and telecom 12 10
Banks/broker-dealers 10 7
Insurance and special purpose vehicles 5 4
Other industries (1) 2 4
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 each of LCL and GCB hold loans that are collateralized by CRE. These exposures are represented primarily by the following three categories:
(1) Assets held at fair value included approximately $5.5 billion at December 31, 2011, of which approximately $4.0 billion are securities, loans and other items linked to CRE that are carried at fair value as Trading account assets , approximately $1.1 billion are securities backed by CRE carried at fair value as available-for-sale (AFS) investments, and approximately $0.4 billion are other exposures classified as Other assets. Changes in fair value for these trading account assets are reported in current earnings, while for AFS investments change in fair value 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 $1.2 billion of securities classified as held-to-maturity (HTM) and approximately $26.2 billion of loans and commitments each as of December 31, 2011. HTM securities are accounted for at amortized cost, subject to an other-than-temporary impairment evaluation. Loans and commitments are recorded at amortized cost. The impact of 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 $3.6 billion of equity and other investments (such as limited partner fund investments) at December 31, 2011 that are accounted for under the equity method, which recognizes gains or losses based on the investor's share of the net income (loss) of the investee.

The following table provides a summary of Citigroup's global CRE funded and unfunded exposures at December 31, 2011 and 2010:

December 31, December 31,
In billions of dollars 2011 2010
Institutional Clients Group
       CRE exposures carried at fair value
              (including AFS securities) $ 4.6 $ 4.4
       Loans and unfunded commitments 19.9 17.5
       HTM securities 1.2 1.5
       Equity method investments 3.4 3.5
Total ICG $ 29.1 $ 26.9
Special Asset Pool
       CRE exposures carried at fair value
              (including AFS securities) $ 0.4 $ 0.8
       Loans and unfunded commitments 2.4 5.1
       HTM securities - 0.1
       Equity method investments 0.2 0.2
Total SAP $ 3.0 $ 6.2
Global Consumer Banking
       Loans and unfunded commitments $ 2.9 $ 2.7
Local Consumer Lending
       Loans and unfunded commitments $ 1.0 $ 4.0
Brokerage and Asset Management
       CRE exposures carried at fair value $ 0.5 $ 0.5
Total Citigroup $ 36.5 $ 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 losses arise from fluctuations in the market value of trading and non-trading positions, including the changes in value resulting from fluctuations in rates. 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, 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 Citi's overall risk tolerance. These limits are monitored by independent market risk, country and business Asset and Liability Committees and the Global Finance and Asset and Liability Committee. In all cases, the businesses are ultimately responsible for the market risks taken and for remaining within their defined limits.

Price Risk-Non-Trading Portfolios
Net interest revenue and interest rate risk
One of Citi'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), for interest rate exposure (IRE) purposes, 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 any particular 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 Measurement
Citi'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, credit spreads, margins and the impact of prior-period pricing decisions are not captured by IRE. IRE also assumes that businesses make no additional changes in pricing or balances in response to the unanticipated rate changes.
For example, if the current 90-day LIBOR rate is 3% and the one-year-forward rate (i.e., the estimated 90-day LIBOR rate in one year) is 5%, 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.

Mitigation and Hedging of Risk
In order to manage changes in interest rates effectively, Citi 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. Citi regularly assesses the viability of these and other strategies to reduce its interest rate risks and implements such strategies when it believes those actions are prudent.
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.


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Non-Trading Portfolios-IRE
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 interest rates compared with the market forward interest rates in selected currencies.

December 31, 2011 December 31, 2010
In millions of dollars Increase Decrease Increase Decrease
U.S. dollar (1)
Instantaneous change $ 97 NM $ (105 ) NM
Gradual change 110 NM 25 NM
Mexican peso
Instantaneous change $ 87 $ (87 ) $ 181 $ (181 )
Gradual change 54 (54 ) 107 (107 )
Euro
Instantaneous change $ 69 NM $ (10 ) NM
Gradual change 35 NM (8 ) NM
Japanese yen
Instantaneous change $ 105 NM $ 93 NM
Gradual change 61 NM 52 NM
Pound sterling
Instantaneous change $ 35 NM $ 33 NM
Gradual change 24 NM 21 NM

(1) Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the table. The U.S. dollar IRE associated with these businesses was $61 million for a 100 basis point instantaneous increase in interest rates as of December 31, 2011.
NM Not meaningful. A 100 basis point decrease in interest rates would imply negative rates for the yield curve.

The changes in the U.S. dollar IRE year over year reflected revised modeling of mortgages and the impact of lower rates, asset sales, swapping activities and repositioning of the liquidity portfolio.
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) $ (380 ) $ 163 $ 247 NM NM $ (37 )

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Price Risk-Trading Portfolios
Price risk in Citi's trading portfolios is monitored using a series of measures, including but not limited to:

Value at risk (VAR) Stress testing Factor sensitivities

Each trading portfolio across Citi's business segments (Citicorp, Citi Holdings and Corporate/Other) 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.

All trading positions are marked to market, with the result reflected in earnings. In 2011, negative trading-related revenue (net losses) was recorded for 54 of 260 trading days. Of the 54 days on which negative revenue (net losses) was recorded, 1 day was greater than $180 million.
The following histogram of total daily trading revenue (loss) captures trading volatility and shows the number of days in which Citi's VAR trading-related revenues fell within particular ranges. A substantial portion of the volatility relating to Citi's total daily trading revenue VAR is driven by changes in CVA on Citi's derivative assets, net of CVA hedges.


(1) Total trading revenue consists of: (i) customer revenue, which includes spreads from customer flow and positions taken to facilitate customer orders; (ii) hedging activity, including hedging of the Corporate loan portfolio, MSRs, etc.; (iii) proprietary trading activities in cash and derivative transactions; (iv) net interest revenue; and (v) CVA adjustments incurred due to changes in the credit quality of counterparties as well as any associated hedges to that CVA.
(2) Principally related to trading revenue in ICG on the day of the U.S. government rating downgrade by S&P (August 2011).
(3) Principally related to trading revenue in ICG and CVA hedges on the day of the tsunami in Japan (March 2011).

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Value at Risk
Value at risk (VAR) estimates, at a 99% confidence level, the potential decline in the value of a position or a portfolio under normal market conditions. VAR statistics can be materially different across firms due to differences in portfolio composition, differences in VAR methodologies, and differences in model parameters. Citi believes VAR statistics can be used more effectively as indicators of trends in risk taking within a firm, rather than as a basis for inferring differences in risk taking across firms.
Citi uses Monte Carlo simulation, which it believes is conservatively calibrated to incorporate the greater of short-term (most recent month) and long-term (three years) market volatility. The Monte Carlo simulation involves approximately 300,000 market factors, making use of 180,000 time series, with market factors updated daily and model parameters updated weekly.
The conservative features of the VAR calibration contribute approximately 20% add-on to what would be a VAR estimated under the assumption of stable and perfectly normally distributed markets. Under normal and stable market conditions, Citi would thus expect the number of days where trading losses exceed its VAR to be less than two or three exceptions per year. Periods of unstable market conditions could increase the number of these exceptions. During the last four quarters, there was one back-testing exception where trading losses exceeded the VAR estimate at the Citigroup level (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 transactions). This occurred on August 8, 2011, after the U.S. government rating was downgraded by S&P.
The table below summarizes VAR for Citi-wide trading portfolios at and during 2011 and 2010, including quarterly averages. Historically, Citi included only the hedges associated with the CVA of its derivative transactions in its VAR calculations and disclosures (these hedges were, and continue to be, included within the relevant risk type (e.g., interest rate, foreign exchange, equity, etc.)). However, Citi now includes both the hedges associated with the CVA of its derivatives and the CVA on the derivative counterparty exposure (included in the line "Incremental Impact of Derivative CVA"). The inclusion of the CVA on derivative counterparty exposure reduces Citi's total trading VAR; Citi believes this calculation and presentation reflect a more complete and accurate view of its mark-to-market risk profile as it incorporates both the CVA underlying derivative transactions and related hedges.
For comparison purposes, Citi has included in the table below (i) total VAR, the specific risk-only component of VAR and the isolated general market factor VAR, each as reported previously (i.e., including only hedges associated with the CVA of its derivatives counterparty exposures), (ii) the incremental impact of adding in the derivative counterparty CVA, and (iii) the total trading and CVA VAR.

As set forth in the table below, Citi's total trading and CVA VAR was $183 million at December 31, 2011 and $186 million at December 31, 2010. Daily total trading and CVA VAR averaged $189 million in 2011 and ranged from $135 million to $255 million (prior period information is not available for comparability purposes). The change in total trading and CVA VAR year over year was driven by a reduction in Citi's trading exposures across S&B , particularly in the latter part of the year, offset by an increase in market volatility and an increase in CVA exposures and associated hedges.

Dec. 31, 2011 Dec. 31, 2010
In millions of dollars 2011 Average 2010 Average
Interest rate $ 250 $ 246 $ 235 $ 234
Foreign exchange 51 61 52 61
Equity 36 46 56 59
Commodity 16 22 19 23
Covariance adjustment (1) (118 ) (162 ) (171 ) (172 )
Total Trading VAR-
       all market risk factors,
       including general
       and specific risk
       (excluding derivative CVA) $ 235 $ 213 $ 191 $ 205
Specific risk-only
       Component (2) $ 14 $ 22 $ 8 $ 18
Total-general
market factors only $ 221 $ 191 $ 183 $ 187
Incremental Impact of
       Derivative CVA $ (52 ) $ (24 ) $ (5 ) N/A
Total Trading and
CVA VAR $ 183 $ 189 $ 186 N/A

(1) Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each individual risk type. The benefit reflects the fact that the risks within each and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each individual risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.
(2) The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.
N/A Not available

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The table below provides the range of market factor VARs, inclusive of specific risk, that was experienced during 2011 and 2010.

2011 2010
In millions of dollars Low High Low High
Interest rate $ 187 $ 322 $ 171 $ 315
Foreign exchange 34 105 31 98
Equity 26 86 31 111
Commodity 14 36 15 39

The following table provides the VAR for S&B during 2011 excluding the CVA relating to derivative counterparties CVA and hedges of CVA.

In millions of dollars Dec. 31, 2011
Total-all market risk
       factors, including
       general and specific risk $ 144
Average-during year $ 153
High-during year 205
Low-during year 104

Stress Testing
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 both systemic and specific 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.

Factor Sensitivities
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. Citi'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.


99


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


Change Change
In millions of dollars 2011 2010 2009 2011 vs. 2010 2010 vs. 2009
Interest revenue        $ 73,201 $ 79,801 $ 77,069 (8 )% 4 %
Interest expense 24,229 25,096 27,881 (3 ) (10 )
Net interest revenue (1)(2)(3) $ 48,972 $ 54,705 $ 49,188 (10 )% 11 %
Interest revenue-average rate 4.27 % 4.55 % 4.78 % (28 ) bps (23 ) bps
Interest expense-average rate 1.63 1.61 1.93 2  bps (32 ) bps
Net interest margin 2.86 3.12 3.05 (26 ) bps 7  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 0.00–0.25 - -
Two-year U.S. Treasury note-average rate 0.45 % 0.70 % 0.96 % (25 ) bps (26 ) bps
10-year U.S. Treasury note-average rate 2.78 3.21 3.26 (43 ) bps (5 ) bps
10-year vs. two-year spread 233  bps 251  bps 230  bps

(1)     Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $525 million, $519 million, and $692 million for 2011, 2010, and 2009, respectively.
(2) Excludes expenses associated with certain hybrid financial instruments. These obligations are classified as Long-term debt and accounted for at fair value with changes recorded in Principal transactions .
(3) The increase in the net interest revenue from the fourth quarter of 2009 to the first quarter of 2010 was primarily driven by the adoption of SFAS 166/167 on January 1, 2010. See Note 1 to the Consolidated Financial Statements for further information.

As described under "Market Risk" above, 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. Citi's net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest earning assets.

During 2011, Citi's NIM declined as compared to the prior year, decreasing by approximately 26 basis points, primarily driven by the continued run-off and sales of higher-yielding assets in Citi Holdings and lower investment yields driven by the continued low interest rate environment, partially offset by the growth of lower-yielding loans in Citicorp and lower borrowing costs (e.g., substituting maturing long-term debt with deposits as a funding source). Absent any significant changes or events (e.g., a significant portfolio sale in Citi Holdings), Citi expects NIM will likely continue to reflect the pressure of a low interest rate environment, but should generally stabilize around end-of-year-2011 levels.


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101


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

Taxable Equivalent Basis

Average volume Interest revenue % Average rate
In millions of dollars 2011 2010 2009 2011 2010 2009 2011 2010 2009
Assets
Deposits with banks (5) $ 169,688 $ 166,120 $ 186,841 $ 1,750 $ 1,252 $ 1,478 1.03 % 0.75 % 0.79 %
Federal funds sold and securities borrowed or
       purchased under agreements to resell (6)
In U.S. offices $ 158,154 $ 162,799 $ 138,579 $ 1,487 $ 1,774 $ 1,975 0.94 % 1.09 % 1.43 %
In offices outside the U.S. (5) 116,681 86,926 63,909 2,144 1,382 1,109 1.84 1.59 1.74
Total $ 274,835 $ 249,725 $ 202,488 $ 3,631 $ 3,156 $ 3,084 1.32 % 1.26 % 1.52 %
Trading account assets (7) (8)
In U.S. offices $ 122,234 $ 128,443 $ 140,233 $ 4,270 $ 4,352 $ 6,975 3.49 % 3.39 % 4.97 %
In offices outside the U.S. (5) 147,417 151,717 126,309 4,033 3,819 3,879 2.74 2.52 3.07
Total $ 269,651 $ 280,160 $ 266,542 $ 8,303 $ 8,171 $ 10,854 3.08 % 2.92 % 4.07 %
Investments
In U.S. offices
       Taxable $ 170,196 $ 169,218 $ 124,404 $ 3,313 $ 4,806 $ 6,208 1.95 % 2.84 % 4.99 %
       Exempt from U.S. income tax 13,592 14,876 16,489 922 918 1,110 6.78 6.17 6.73
In offices outside the U.S. (5) 122,298 136,713 118,988 4,478 5,678 6,047 3.66 4.15 5.08
Total $ 306,086 $ 320,807 $ 259,881 $ 8,713 $ 11,402 $ 13,365 2.85 % 3.55 % 5.14 %
Loans (net of unearned income) (9)
In U.S. offices $ 369,656 $ 430,685 $ 378,937 $ 29,111 $ 34,773 $ 24,748 7.88 % 8.07 % 6.53 %
In offices outside the U.S. (5) 274,035 255,168 267,683 21,180 20,312 22,766 7.73 7.96 8.50
Total $ 643,691 $ 685,853 $ 646,620 $ 50,291 $ 55,085 $ 47,514 7.81 % 8.03 % 7.35 %
Other interest-earning assets $ 49,467 $ 50,936 $ 49,707 $ 513 $ 735 $ 774 1.04 % 1.44 % 1.56 %
Total interest-earning assets $ 1,713,418 $ 1,753,601 $ 1,612,079 $ 73,201 $ 79,801 $ 77,069 4.27 % 4.55 % 4.78 %
Non-interest-earning assets (7) 238,550 225,271 264,165
Total assets from discontinued operations 668 18,989 15,137
Total assets $ 1,952,636 $ 1,997,861 $ 1,891,381

(1)     Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $525 million, $519 million, and $692 million for 2011, 2010, and 2009, respectively.
(2) Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.
(3) Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4) Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations . See Note 3 to the Consolidated Financial Statements.
(5) Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6) Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest revenue excludes the impact of FIN 41 (ASC 210-20-45).
(7) The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities .
(8) Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue . Interest revenue and interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities , respectively.
(9) Includes cash-basis loans.

102


AVERAGE BALANCES AND INTEREST RATES-LIABILITIES AND EQUITY,
AND NET INTEREST REVENUE
(1)(2)(3)(4)

Taxable Equivalent Basis

Average volume Interest expense % Average rate
In millions of dollars 2011 2010 2009 2011 2010 2009 2011 2010 2009
Liabilities
Deposits
In U.S. offices
       Savings deposits (5) $ 193,762 $ 189,311 $ 174,260 $ 1,922 $ 1,872 $ 2,765 0.99 % 0.99 % 1.59 %
       Other time deposits 29,034 46,238 59,673 249 412 1,104 0.86 0.89 1.85
In offices outside the U.S. (6) 485,101 483,796 443,601 6,385 6,087 6,277 1.32 1.26 1.42