Citigroup Inc.

The level of price risk exposure at any given point in time depends on themarket environment and expectations of future price and market movements, andwill vary from period to period.For Citigroup’s major trading centers, the aggregate pretax VAR in thetrading portfolios was $191 million at December 31, 2010 and $205 million atDecember 31, 2009. Daily exposures averaged $205 million in 2010 and rangedfrom $145 million to $289 million.The following table summarizes VAR of Citigroup in the trading portfoliosas of December 31, 2010 and 2009, including the total VAR, the specific riskonlycomponent of VAR, and total—general market factors only, along withthe yearly averages:In millions of dollarsDec. 31,20102010AverageDec. 31,20092009AverageInterest rate $ 235 $ 234 $ 191 $ 235Foreign exchange 52 61 45 65Equity 56 59 69 79Commodity 19 23 18 34Covariance adjustment (171) (172) (118) (147)Total—all marketrisk factors,including generaland specific risk $ 191 $ 205 $ 205 $ 266Specific risk-onlycomponent $ 8 $ 18 $ 20 $ 20Total—generalmarket factors only $ 183 $ 187 $ 185 $ 246The table below provides the range of VAR in each type of trading portfoliothat was experienced during 2010 and 2009:2010 2009In millions of dollars Low High Low HighInterest rate $171 $315 $185 $320Foreign exchange 31 98 18 140Equity 31 111 46 167Commodity 15 39 12 50The following table provides the VAR for Citicorp’s Securities and Bankingbusiness (ICG Citicorp VAR, which excludes Consumer) during 2010:In millions of dollars Dec. 31, 2010Total—all market riskfactors, includinggeneral and specific risk $159Average—during year $151High—during year 235Low—during year 99The specific risk-only component represents the level of equity and debtissuer-specific risk embedded in VAR.120