Citigroup Inc.

Managed Loans—Citi HoldingsThe 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 $ 52.8 $ 27.0Securitized amounts — 38.8Total managed loans $ 52.8 $ 65.8Delinquencies, at period endOn balance sheet $1,554 $1,250Securitized amounts — 1,326Total managed delinquencies $1,554 $2,576Credit losses, net of recoveries,for the years ended December 31, 2010 2009 2008On balance sheet $7,230 $4,540 $3,052Securitized amounts — 4,590 3,107Total managed credit losses $7,230 $9,130 $6,159Funding, Liquidity Facilities and Subordinated InterestsCitigroup securitizes credit card receivables through two securitizationtrusts—Citibank Credit Card Master Trust (Master Trust), which is part ofCiticorp, and the Citibank OMNI Master Trust (Omni Trust), which is part ofCiti Holdings. Citigroup previously securitized credit card receivables throughthe Broadway Credit Card Trust (Broadway Trust); however, this Trust wassold as part of a disposition during 2010.Master Trust issues fixed- and floating-rate term notes as well ascommercial paper (CP). Some of the term notes are issued to multi-sellercommercial paper conduits. In 2009, the Master Trust issued $4.3 billionof notes that are eligible for the Term Asset-Backed Securities Loan Facility(TALF) program, where investors can borrow from the Federal Reserve usingthe trust securities as collateral. The weighted average maturity of the termnotes issued by the Master Trust was 3.4 years as of December 31, 2010 and3.6 years as of December 31, 2009. Beginning in 2010, the liabilities of thetrusts are included in the Consolidated Balance Sheet.Master Trust Liabilities (at par value)December 31,2010December 31,2009In billions of dollarsTerm notes issued to multi-sellerCP conduits $ 0.3 $ 0.8Term notes issued to third parties 41.8 51.2Term notes retained byCitigroup affiliates 3.4 5.0Commercial paper — 14.5Total Master Trustliabilities $45.5 $71.5The Omni Trust issues fixed- and floating-rate term notes, some of whichare purchased by multi-seller commercial paper conduits. The Omni Trustalso issues commercial paper. During 2009, a portion of the Omni Trustcommercial paper had been purchased by the Federal Reserve CommercialPaper Funding Facility (CPFF). In addition, some of the multi-seller conduitsthat hold Omni Trust term notes had placed commercial paper with the CPFF.No Omni Trust liabilities were funded through the CPFF as of December 31,2010. The total amount of Omni Trust liabilities funded directly or indirectlythrough the CPFF was $2.5 billion at December 31, 2009.The weighted average maturity of the third-party term notes issued bythe Omni Trust was 1.8 years as of December 31, 2010 and 2.5 years as ofDecember 31, 2009.Omni Trust Liabilities (at par value)In billions of dollarsDecember 31,2010December 31,2009Term notes issued to multi-sellerCP conduits $ 7.2 $13.1Term notes issued to third parties 9.2 9.2Term notes retained byCitigroup affiliates 7.1 9.8Commercial paper — 4.4Total Omni Trust liabilities $23.5 $36.5Citibank (South Dakota), N.A. is the sole provider of full liquidity facilitiesto the commercial paper programs of the Master and Omni Trusts. Bothof these facilities, which represent contractual obligations on the part ofCitibank (South Dakota), N.A. to provide liquidity for the issued commercialpaper, are made available on market terms to each of the trusts. The liquidityfacilities require Citibank (South Dakota), N.A. to purchase the commercialpaper issued by each trust at maturity, if the commercial paper does notroll over, as long as there are available credit enhancements outstanding,typically in the form of subordinated notes. As there was no Omni Trust orMaster Trust commercial paper outstanding as of December 31, 2010, therewas no liquidity commitment at that time. The liquidity commitment relatedto the Omni Trust commercial paper programs amounted to $4.4 billion atDecember 31, 2009. The liquidity commitment related to the Master Trustcommercial paper program amounted to $14.5 billion at December 31, 2009.As of December 31, 2009, none of the Omni Trust or Master Trust liquiditycommitments were drawn.239