Citigroup Inc.

Mortgage Securitizations—Citi HoldingsThe following tables summarize selected cash flow information related to Citi Holdings mortgage securitizations for the years ended December 31, 2010, 2009and 2008:In billions of dollarsU.S. agencysponsoredmortgagesNon-agencysponsoredmortgages2010 2009 2008Agency- andnon-agencysponsoredmortgagesAgency- andnon-agencysponsoredmortgagesProceeds from new securitizations $0.6 $ — $70.1 $81.7Contractual servicing fees received 0.7 0.1 1.4 1.4Cash flows received on retained interests and other net cash flows 0.1 — 0.4 0.7The Company did not recognize gains (losses) on the securitizationof U.S. agency- and non-agency-sponsored mortgages in the years endedDecember 31, 2010 and 2009. There were gains from the securitization ofagency- and non-agency-sponsored mortgages of $73 million in the yearended December 31, 2008.Key assumptions used in measuring the fair value of retained interests atthe date of sale or securitization of mortgage receivables for the years endedDecember 31, 2010 and 2009 are as follows:2010 2009U.S. agencysponsoredmortgagesNon-agencysponsoredmortgagesAgency- and non-agencysponsoredmortgagesDiscount rate 12.8% to 15.4% N/A 7.9% to 15.0%Constant prepayment rate 11.5% to 16.3% N/A 2.8% to 18.2%Anticipated net credit losses NM N/A 0.0% to 0.1%NM Not meaningfulN/A Not applicableThe range in the key assumptions is due to the different characteristicsof the interests retained by the Company. The interests retained rangefrom highly rated and/or senior in the capital structure to unrated and/orresidual interests.The effect of adverse changes of 10% and 20% in each of the keyassumptions used to determine the fair value of retained interests is disclosedbelow. The negative effect of each change is calculated independently, holdingall other assumptions constant. Because the key assumptions may not in factbe independent, the net effect of simultaneous adverse changes in the keyassumptions may be less than the sum of the individual effects shown below.At December 31, 2010, the key assumptions used to value retainedinterests and the sensitivity of the fair value to adverse changes of 10% and20% in each of the key assumptions were as follows:U.S. agencysponsoredmortgagesDecember 31, 2010Non-agencysponsoredmortgagesDiscount rate 12.1% to 15.1 % 2.2% to 44.8%Constant prepayment rate 13.2% to 25.0% 2.0% to 40.4%Anticipated net credit losses NM 0.1% to 85.0%Weighted average life 6.4 years 0.1 to 9.4 yearsIn millions of dollarsU.S. agencysponsoredmortgagesNon-agencysponsoredmortgagesCarrying value of retainedinterests $2,327 $732Discount ratesAdverse change of 10% $ (98) $ (27)Adverse change of 20% (188) (47)Constant prepayment rateAdverse change of 10% $ (116) $ (32)Adverse change of 20% (224) (64)Anticipated net credit lossesAdverse change of 10% $ (26) $ (31)Adverse change of 20% (51) (53)NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.242