Citigroup Inc.

INTEREST REVENUE/EXPENSE AND YIELDSAverage Rates-Interest Revenue, Interest Expense and Net Interest MarginInterest RevenueAverage RateInterest ExpenseAverage RateNet Interest Margin7.00%6.00%5.00%4.00%3.00%2.00%1.00%6.32% 6.24% 6.18%5.90% Interest Revenue-Average Rate5.35%5.01%4.78%4.63%4.61% 4.51%4.24%4.37%Net Interest Margin3.75%3.28% 3.23% 3.30% 3.38%3.29%3.35%3.18%2.99%3.09% 2.97%2.68%2.86%3.21% 3.19%2.78%Interest Expense-Average Rate2.16%1.93%1.83%1.75% 1.60% 1.60% 1.60% 1.58%1Q08 2Q08 3Q08 4Q08 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10In millions of dollars 2010 2009 2008Change2010 vs. 2009Change2009 vs. 2008Interest revenue $ 80,035 $ 77,306 $ 107,130 4% (28)%Interest expense 24,864 27,700 52,682 (10) (47)Net interest revenue (1)(2) $ 55,171 $ 49,606 $ 54,448 11% (9)%Interest revenue—average rate 4.57% 4.80% 6.17% (23) bps (137) bpsInterest expense—average rate 1.59 1.92 3.27 (33) bps (135) bpsNet interest margin 3.15 3.08 3.13 7 bps (5) bpsInterest-rate benchmarksFederal Funds rate—end of period 0.00–0.25% 0.00–0.25% 0.00–0.25% — —Federal Funds rate—average rate 0.00–0.25 0.00–0.25 2.08 — (183+) bpsTwo-year U.S. Treasury note—average rate 0.70% 0.96% 2.01% (26) bps (105) bps10-year U.S. Treasury note—average rate 3.21 3.26 3.66 (5) bps (40) bps10-year vs. two-year spread 251 bps 230 bps 165 bps(1) Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $519 million, $692 million, and $699 million for 2010, 2009, and 2008, respectively.(2) Excludes expenses associated with hybrid financial instruments and beneficial interest in consolidated VIEs. These obligations are classified as Long-term debt and accounted for at fair value with changes recorded inPrincipal transactions.A significant portion of Citi’s business activities are based upon gatheringdeposits and borrowing money and then lending or investing those funds,or participating in market making activities in tradable securities. The netinterest margin (NIM) is calculated by dividing gross interest revenue lessgross interest expense by average interest earning assets.During 2010, NIM was positively impacted by the adoption of SFAS166/167 as well as by the absence of interest on the $20 billion of TARPtrust preferred securities repaid at the end of 2009. However, the continuedde-risking of loan portfolios and run-off and sales of higher-yielding assets inCiti Holdings, and investing the proceeds in lower-yielding securities with ashorter duration, put pressure on NIM during 2010. See “Risk Factors” above.121