Citigroup Inc.

The following table summarizes selected cash flow information related toCiticorp’s credit card securitizations for the years ended December 31, 2010,2009 and 2008:In billions of dollars 2010 2009 2008Proceeds from new securitizations $ — $ 16.3 $ 11.8Paydown of maturing notes (24.5) N/A N/AProceeds from collections reinvested innew receivables N/A 144.4 165.6Contractual servicing fees received N/A 1.3 1.3Cash flows received on retainedinterests and other net cash flows N/A 3.1 3.9N/A Not applicable due to the adoption of SFAS 167With the adoption of SFAS 167 in 2010 and resulting consolidation ofthe credit card securitization trusts, there was no residual interest in thesecuritized assets for Citicorp. Under previous accounting standards, theresidual interest was recorded at $0 for Citicorp as of December 31, 2009.Credit Card Securitizations—Citi HoldingsNo gains or losses from securitizations were recorded in 2010, since thetransfer of credit card receivables to the trust did not meet criteria for saleaccounting. The Company recorded net losses from securitization of CitiHoldings’ credit card receivables of $(586) million and $(527) million forthe years ended December 31, 2009 and 2008, respectively.The following table summarizes selected cash flow information relatedto Citi Holdings’ credit card securitizations for the years ended December 31,2010, 2009 and 2008:In billions of dollars 2010 2009 2008Proceeds from new securitizations $ 5.5 $29.4 $16.9Paydown of maturing notes (15.8) N/A N/AProceeds from collections reinvestedin new receivables N/A 46.0 49.1Contractual servicing fees received N/A 0.7 0.7Cash flows received on retainedinterests and other net cash flows N/A 2.6 3.3N/A Not applicable due to the adoption of SFAS 167Similar to Citicorp, with the adoption of SFAS 167 in 2010 there wasno residual interest in securitized credit card receivables for Citi Holdings.Under previous accounting standards, the residual interest was recorded at$786 million as of December 31, 2009. Key assumptions used in measuringthe fair value of the residual interest at the date of sale or securitization ofCiti Holdings’ credit card receivables for the years ended December 31, 2010and 2009, respectively, are as follows:December 31,2010December 31,2009Discount rate N/A 19.7%Constant prepayment rate N/A 6.0% to 11.0%Anticipated net credit losses N/A 9.9% to 13.2%Managed LoansAs previously mentioned, prior to 2010, securitized receivables were treated assold and removed from the balance sheet. Beginning in 2010, substantiallyall securitized credit card receivables are included in the ConsolidatedBalance Sheet. Accordingly, the managed-basis (managed) presentation isonly relevant prior to 2010.After securitization of credit card receivables, the Company continues tomaintain credit card customer account relationships and provides servicingfor receivables transferred to the trusts. As a result, the Company considers thesecuritized credit card receivables to be part of the business it manages.Managed presentations are non-GAAP financial measures. Managedpresentations include results from both the on-balance-sheet loans and offbalance-sheetloans, and exclude the impact of card securitization activity.Managed presentations assume that securitized loans have not been sold andpresent the results of the securitized loans in the same manner as Citigroup’sowned loans. Citigroup’s management believes that managed presentationsprovide a greater understanding of ongoing operations and enhancecomparability of those results in prior periods as well as demonstrating theeffects of unusual gains and charges in the current period. Managementfurther believes that a meaningful analysis of the Company’s financialperformance requires an understanding of the factors underlying thatperformance and that investors find it useful to see these non-GAAP financialmeasures to analyze financial performance without the impact of unusualitems that may obscure trends in Citigroup’s underlying performance.Managed Loans—CiticorpThe following tables present a reconciliation between the managed andon-balance-sheet credit card portfolios and the related delinquencies (loanswhich are 90 days or more past due) and credit losses, net of recoveries:In millions of dollars, except loans in billionsDecember 31,2010December 31,2009Loan amounts, at period endOn balance sheet $114.2 $ 44.0Securitized amounts — 71.6Total managed loans $114.2 $115.6Delinquencies, at period endOn balance sheet $2,161 $1,146Securitized amounts — 1,902Total managed delinquencies $2,161 $3,048Credit losses, net of recoveries,for the years ended December 31, 2010 2009 2008On balance sheet $ 9,950 $ 3,841 $ 2,866Securitized amounts — 6,932 4,300Total managed credit losses $ 9,950 $10,773 $ 7,166N/A Not applicable due to the adoption of SFAS 167The constant prepayment rate assumption range reflects the projectedpayment rates over the life of a credit card balance, excluding new cardpurchases. This results in a high payment in the early life of the securitizedbalances followed by a much lower payment rate, which is depicted in thedisclosed range.238