Citigroup Inc.

Certain structured liabilitiesThe Company has elected the fair value option for certain structuredliabilities whose performance is linked to structured interest rates, inflation,currency, equity, referenced credit or commodity risks (structured liabilities).The Company elected the fair value option, because these exposures areconsidered to be trading-related positions and, therefore, are managed on afair value basis. These positions will continue to be classified as debt, depositsor derivatives (Trading account liabilities) on the Company’s ConsolidatedBalance Sheet according to their legal form.The change in fair value for these structured liabilities is reported inPrincipal transactions in the Company’s Consolidated Statement of Income.Changes in fair value for structured debt with embedded equity, referencedcredit or commodity underlyings includes an economic component foraccrued interest. For structured debt that contains embedded interest rate,inflation or currency risks, related interest expense is measured based on thecontracted interest rates and reported as such in the Consolidated Statementof Income.Certain non-structured liabilitiesThe Company has elected the fair value option for certain non-structuredliabilities with fixed and floating interest rates (non-structured liabilities).The Company has elected the fair value option where the interest-rate riskof such liabilities is economically hedged with derivative contracts or theproceeds are used to purchase financial assets that will also be accountedfor at fair value through earnings. The election has been made to mitigateaccounting mismatches and to achieve operational simplifications. Thesepositions are reported in Short-term borrowings and Long-term debt onthe Company’s Consolidated Balance Sheet. The change in fair value forthese non-structured liabilities is reported in Principal transactions in theCompany’s Consolidated Statement of Income.Related interest expense continues to be measured based on thecontractual interest rates and reported as such in the Consolidated Statementof Income.The following table provides information about long-term debt, excluding the debt issued by the consolidated VIEs at December 31, 2010, carried at fairvalue at December 31, 2010 and 2009:In millions of dollars December 31, 2010 December 31, 2009Carrying amount reported on the Consolidated Balance Sheet $22,055 $25,942Aggregate unpaid principal balance in excess of fair value 477 3,399The following table provides information about short-term borrowings carried at fair value:In millions of dollars December 31, 2010 December 31, 2009Carrying amount reported on the Consolidated Balance Sheet $2,429 $639Aggregate unpaid principal balance in excess of fair value 81 53275