Citigroup Inc.

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The significant changes from December 31, 2008 to December 31, 2009 inLevel 3 assets and liabilities are due to:• A net decrease in trading securities of $10.8 billion that was driven by:–– Net transfers of $6.5 billion, due mainly to the transfer of debtsecurities from Level 3 to Level 2 due to increased liquidity andpricing transparency; and–– Net settlements of $5.8 billion, due primarily to the liquidations ofsubprime securities of $4.1 billion.• The change in net trading derivatives driven by:–– A net loss of $4.9 billion relating to complex derivative contracts,such as those linked to credit, equity and commodity exposures.These losses include both realized and unrealized losses during 2009and are partially offset by gains recognized in instruments that havebeen classified in Levels 1 and 2; and–– Net increase in derivative assets of $4.3 billion, which includes cashsettlements of derivative contracts in an unrealized loss position,notably those linked to subprime exposures.• The decrease in Level 3 Investments of $6.9 billion primarilyresulted from:–– A reduction of $5.0 billion, due mainly to paydowns on debtsecurities and sales of private equity investments;–– The net transfer of investment securities from Level 3 to Level 2of $1.5 billion, due to increased availability of observable pricinginputs; and–– Net losses recognized of $0.4 billion due mainly to losses on nonmarketableequity securities including write-downs on private equityinvestments.• The decrease in securities sold under agreements to repurchase of$9.1 billion is driven by a $8.6 billion net transfers from Level 3 to Level 2as effective maturity dates on structured repos have shortened.• The decrease in long-term debt of $1.5 billion is driven mainly by$1.3 billion of net terminations of structured notes.Transfers between Level 1 and Level 2 of the Fair ValueHierarchyThe Company did not have any significant transfers of assets or liabilitiesbetween Levels 1 and 2 of the fair value hierarchy during 2010.Items Measured at Fair Value on a Nonrecurring BasisCertain assets and liabilities are measured at fair value on a nonrecurringbasis and therefore are not included in the tables above.These include assets measured at cost that have been written down to fairvalue during the periods as a result of an impairment. In addition, theseassets include loans held-for-sale that are measured at LOCOM that wererecognized at fair value below cost at the end of the period.The fair value of loans measured on a LOCOM basis is determined wherepossible using quoted secondary-market prices. Such loans are generallyclassified as Level 2 of the fair value hierarchy given the level of activity inthe market and the frequency of available quotes. If no such quoted priceexists, the fair value of a loan is determined using quoted prices for a similarasset or assets, adjusted for the specific attributes of that loan.The following table presents all loans held-for-sale that are carried atLOCOM as of December 31, 2010 and 2009:In billions of dollarsAggregatecost Fair value Level 2 Level 3December 31, 2010 $3.1 $2.5 $0.7 $1.8December 31, 2009 $2.5 $1.6 $0.3 $1.3270
26. FAIR VALUE ELECTIONSThe Company may elect to report most financial instruments and certainother items at fair value on an instrument-by-instrument basis with changesin fair value reported in earnings. The election is made upon the acquisitionof an eligible financial asset, financial liability or firm commitment orwhen certain specified reconsideration events occur. The fair value electionmay not be revoked once an election is made. The changes in fair value arerecorded in current earnings. Additional discussion regarding the applicableareas in which fair value elections were made is presented in Note 25 to theConsolidated Financial Statements.All servicing rights must now be recognized initially at fair value. TheCompany has elected fair value accounting for its mortgage and studentloan classes of servicing rights. See Note 22 to the Consolidated FinancialStatements for further discussions regarding the accounting and reportingof MSRs.The following table presents, as of December 31, 2010 and 2009, the fair value of those positions selected for fair value accounting, as well as the changes infair value for the years ended December 31, 2010 and 2009:In millions of dollarsDecember 31,2010Changes in fair value gains(losses) for the yearsFair value atended December 31,December 31,2009 (1) 2010 2009 (1)AssetsFederal funds sold and securities borrowed or purchased under agreements to resellSelected portfolios of securities purchased under agreements to resell and securities borrowed (2) $ 87,512 $ 87,812 $ 56 $ (864)Trading account assets 14,289 16,725 611 8,004Investments 646 574 98 (137)LoansCertain Corporate loans (3) 2,627 1,405 (214) 62Certain Consumer loans (3) 1,745 34 193 3Total loans $ 4,372 $ 1,439 $ (21) $ 65Other assetsMSRs $ 4,554 $ 6,530 $(1,146) $ 1,543Certain mortgage loans (HFS) 7,230 3,338 9 35Certain equity method investments 229 598 (37) 211Total other assets $ 12,013 $ 10,466 $(1,174) $ 1,789Total assets $118,832 $117,016 $ (430) $ 8,857LiabilitiesInterest-bearing deposits $ 1,265 $ 1,545 $ 8 $ (701)Federal funds purchased and securities loaned or sold under agreements to repurchaseSelected portfolios of securities sold under agreements to repurchase and securities loaned (2) 121,193 104,030 149 155Trading account liabilities 3,953 5,325 (481) (2,323)Short-term borrowings 2,429 639 (13) (152)Long-term debt 25,997 25,942 (737) (3,183)Total $154,837 $137,481 $(1,074) $(6,204)(1) Reclassified to conform to current period’s presentation.(2) Reflects netting of the amounts due from securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase.(3) <strong>Inc</strong>ludes mortgage loans held by mortgage loan securitization VIEs consolidated upon the adoption of SFAS 167 on January 1, 2010.271
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UNITED STATESSECURITIES AND EXCHANG
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CITIGROUP’S 2010 ANNUAL REPORT ON
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As described above, Citigroup is ma
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Operating ExpensesCitigroup operati
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FIVE-YEAR SUMMARY OF SELECTED FINAN
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CITIGROUP REVENUESIn millions of do
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REGIONAL CONSUMER BANKINGRegional C
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2009 vs. 2008Revenues, net of inter
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SECURITIES AND BANKINGSecurities an
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TRANSACTION SERVICESTransaction Ser
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BROKERAGE AND ASSET MANAGEMENTBroke
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Japan Consumer FinanceCitigroup con
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The following table provides detail
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CORPORATE/OTHERCorporate/Other incl
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During 2010, average Consumer loans
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SEGMENT BALANCE SHEET AT DECEMBER 3
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Citigroup Regulatory Capital Ratios
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Capital Resources of Citigroup’s
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Regulatory Capital Standards Develo
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DepositsCiti continues to focus on
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Secured financing is primarily cond
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Each of the credit rating agencies
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RISK FACTORSThe ongoing implementat
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The emerging markets in which Citi
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is largely uncertain. However, any
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a short-term Liquidity Coverage Rat
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understanding or cause confusion ac
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MANAGING GLOBAL RISKRISK MANAGEMENT
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CREDIT RISKCredit risk is the poten
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(1) 2010 primarily includes an addi
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Non-Accrual Loans and AssetsThe tab
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Renegotiated LoansThe following tab
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Citi’s first mortgage portfolio i
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Consumer Mortgage FICO and LTVData
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Second Mortgages: December 31, 2010
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Interest Rate Risk Associated with
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North America Cards—FICO Informat
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CONSUMER LOAN DETAILSConsumer Loan
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Consumer Loan Modification Programs
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North America CardsNorth America ca
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Payment deferrals that do not conti
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Repurchase ReserveCiti has recorded
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Securities and Banking-Sponsored Pr
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The following table presents the co
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MARKET RISKMarket risk encompasses
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Trading PortfoliosPrice risk in tra
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INTEREST REVENUE/EXPENSE AND YIELDS
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AVERAGE BALANCES AND INTEREST RATES
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ANALYSIS OF CHANGES IN INTEREST EXP
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[This page intentionally left blank
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As required by SEC rules, the table
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The credit valuation adjustment amo
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The fair values shown are prior to
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Key Controls over Fair Value Measur
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The following table reflects the in
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The results of the July 1, 2010 tes
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As a result of the losses incurred
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MANAGEMENT’S ANNUAL REPORT ON INT
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• an “ownership change” under
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REPORT OF INDEPENDENT REGISTERED PU
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FINANCIAL STATEMENTS AND NOTES TABL
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CONSOLIDATED FINANCIAL STATEMENTSCO
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CONSOLIDATED BALANCE SHEET(Continue
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CONSOLIDATED STATEMENT OF CHANGES I
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CITIBANK CONSOLIDATED BALANCE SHEET
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NOTES TO CONSOLIDATED FINANCIAL STA
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Repurchase and Resale AgreementsSec
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ecoveries are added. Securities rec
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Consumer Mortgage Representations a
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Transfers of Financial AssetsFor a
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ACCOUNTING CHANGESChange in Account
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The following table reflects the in
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Measuring Liabilities at Fair Value
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Revisions to the Earnings-per-Share
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FUTURE APPLICATION OF ACCOUNTING ST
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3. DISCONTINUED OPERATIONSSale of T
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CitiCapitalOn July 31, 2008, Citigr
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5. INTEREST REVENUE AND EXPENSEFor
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Stock Award ProgramsCitigroup issue
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In January 2009, members of the Man
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Information with respect to stock o
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9. RETIREMENT BENEFITSThe Company h
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The following table shows the chang
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A one-percentage-point change in th
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Level 3 Roll ForwardThe reconciliat
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10. INCOME TAXESIn millions of doll
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The Company is currently under audi
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11. EARNINGS PER SHAREThe following
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13. BROKERAGE RECEIVABLES AND BROKE
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The table below shows the fair valu
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Debt Securities Held-to-MaturityThe
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Evaluating Investments for Other-Th
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The following is a 12-month roll-fo
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16. LOANSCitigroup loans are report
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Residential Mortgage Loan to Values
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Page 205 and 206: Intangible AssetsThe components of
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Page 213 and 214: In millions of dollars As of Decemb
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Page 217 and 218: Credit Card SecuritizationsThe Comp
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Page 223 and 224: Mortgage Servicing RightsIn connect
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Page 229 and 230: Municipal InvestmentsMunicipal inve
Page 231 and 232: Derivative NotionalsIn millions of
Page 233 and 234: activities together with gains and
Page 235 and 236: Cash Flow HedgesHedging of benchmar
Page 237 and 238: The range of credit derivatives sol
Page 239 and 240: 24. CONCENTRATIONS OF CREDIT RISKCo
Page 241 and 242: Trading account assets and liabilit
Page 243 and 244: The internal valuation techniques u
Page 245 and 246: In millions of dollars at December
Page 247 and 248: Changes in Level 3 Fair Value Categ
Page 249: In millions of dollarsDecember 31,2
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Page 255 and 256: Certain structured liabilitiesThe C
Page 257 and 258: 28. PLEDGED SECURITIES, COLLATERAL,
Page 259 and 260: The repurchase reserve estimation p
Page 261 and 262: CollateralCash collateral available
Page 263 and 264: 29. CONTINGENCIESOverviewIn additio
Page 265 and 266: pursuant to which Citigroup agreed
Page 267 and 268: court filings under docket number 0
Page 269 and 270: 30. CITIBANK, N.A. STOCKHOLDER’S
Page 271 and 272: Condensed Consolidating Statements
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Page 279 and 280: 33. SELECTED QUARTERLY FINANCIAL DA
Page 281 and 282: SUPERVISION AND REGULATIONCitigroup
Page 283 and 284: Citigroup continues to evaluate its
Page 285 and 286: CORPORATE INFORMATIONCITIGROUP EXEC
Page 287 and 288: SignaturesPursuant to the requireme
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Citigroup Inc.

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