7.3 billion - Citigroup

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Valuation Techniques and Inputs for Level 3 Fair Value MeasurementsFair Value(in millions) Methodology Input Low (1)(2) High (1)(2)AssetsFederal funds sold and securities borrowedor purchased under agreements to resell $4,497 Cash flow Interest Rate 1.52% 2.15%Trading and investment securitiesMortgage-backed securities 3,950 Cash flow Yield 0.01% 35.95%Price-based Prepayment Period 0.78yrs 10.59yrsPrice $ — $ 125.43State and municipal $ 905 Cash Flow Yield 0.01% 6.00%Price-based Underlying Price(s) $ 100.00 $ 100.00Foreign government 1,208 Price-based Price $ 0.001 $ 115.00Internal Model Yield 1.00% 16.00%Cash flow Interest Rate 0.07% 9.10%Corporate 4,825 Cash flow Credit Spread 22bps 110bpsPrice-based Yield 1.50% 16.00%Internal Model Equity Volatility 14.41% 55.49%Interest Rate 0.35% 16.38%Price $ — $ 126.97Equity securities 1,517 Internal Model Equity Volatility 8.10% 241.80%Price—based Price $ — $ 115.00Cash flow Recovery Rate 10.00% 100.00%Yield 5.00% 15.00%Weighted AverageLife (WAL) 3yrs 3yrsAsset—backed securities 8,729 Cash flow Credit Correlation 20.00% 60.00%Internal Model Yield 0.55% 30.67%Price—based Price $ 0.00 $ 127.86Recovery Rate —% 100.00%WAL 1.44yrs 21.42yrsOther debt securities $ 2,642 Cash flow Credit Spread 22bps 703bpsInternal Model Yield 1.75% 14.40%Price—based Price $ — $ 110.27Recovery Rate 40.00% 40.00%WAL 1.44yrs 21.42yrsNon—marketable equity 8,286 Cash flow Adjustment factor — 0.5ComparablesAnalysis Yield 9.09% 12.00%Price—based EBITDA Multiples 0.70 13.55Price $ — $ 3.70Total trading and investment securities $32,062Derivatives – Gross (3)Interest rate contracts (gross) $ 3,533 Cash flow Yield 1.50% 15.00%Internal Model Interest Rate 0.23% 3.25%Interest Rate Volatility 8.70% 85.00%Interest Rate—ForeignExchange Rate(IR—FX) Correlation (50.00)% 60.00%Interest Rate—InterestRate (IR—IR)Correlation (13.28)% 100.00%Foreign exchange contracts (gross) 1,489 Internal Model FX Volatility 0.06% 29.00%FX—CreditCorrelation 65.00% 100.00%IR Volatility 8.70% 71.63%IR—FX Correlation 40.00% 60.00%Recovery Rate 20.00% 40.00%Equity contracts (gross) (4) 4,559 Cash flow Yield 1.50% 15.00%Internal Model Credit Spread 150bps 500bpsPrice—based Equity Forward 23.60% 248.00%Equity Volatility 3.36% 241.80%Equity—EquityCorrelation 26.20% 98.00%171CITIGROUP – 2012 FIRST QUARTER 10-Q
Fair Value(in millions) Methodology Input Low (1)(2) High (1)(2)Equity—IRCorrelation (43.00)% 57.00%FX Volatility 14.84% 16.04%Price $ 0.01 $ 115.00Yield Volatility 4.45% 13.00%CommodityCommodity contracts (gross) $ 2,723 Internal Model Correlation (72.00)% 96.00%Commodity Volatility 8.00% 141.00%Forward Price 74.00% 328.00%Credit derivatives (gross) 12,232 Cash flow Credit Spread (5) 1bps 33,555bpsInternal Model Credit Correlation 5.00% 95.00%Price—basedFX—CreditCorrelation 65.00% 100.00%Recovery Rate 9.00% 75.00%Price $ 0.00 $ 100.00Nontrading derivatives and other financialassets and liabilities measuredon a recurring basis (gross) 2,325 Internal Model Redemption Rate 6.70% 99.60%Price—based Price $ 100.00 $ 100.00Total derivatives—Gross $26,861Loans and leases $ 4,279 Cash flow Credit Spread 46bps 668bpsInternal Model Yield 0.90% 3.50%Price—based Price $ 0.01 $ 113.38Recovery Rate 36.00% 70.00%Mortgage servicing rights 2,691 Cash flow Yield 0.00% 44.83%Prepayment Period 0.78yrs 10.59yrsLiabilitiesInterest—bearing deposits $ 458 Internal Model IR Volatility 13.00% 20.00%IR—FX Correlation (38.90)% 55.39%IR—IR Correlation 20.00% 90.00%Federal funds purchased and securitiesloaned or sold under agreements torepurchase 1,025 Cash flow Interest Rate 0.93% 2.83%Trading account liabilitiesSecurities sold, not yet purchased 177 Cash flow Yield —% 30.67%Price—based Price $ — 105.01WAL 1.44yrs 21.42yrsShort—term borrowings and long-termdebt 6,941 Internal Model Credit Spread (5) 70bps 10,399bpsPrice—based Equity Forward 23.60% 248.00%Equity Volatility 8.10% 241.80%Equity—EquityCorrelation 26.20% 98.00%Equity—FXCorrelation (83.00)% 60.00%Interest Rate 0.25% 2.00%IR Volatility 8.70% 71.63%Price $ 0.01 $ 128.53(1) Some inputs are shown as zero due to rounding.(2) When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to one largeposition only.(3) Includes both trading and nontrading account derivatives – assets and liabilities – on a gross basis.(4) Includes hybrid products.(5) Large credit spreads related to credit default swaps on distressed underlying assets that have deteriorated credit quality.172CITIGROUP – 2012 FIRST QUARTER 10-Q
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UNITED STATESSECURITIES AND EXCHANG
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CITIGROUP INCFIRST QUARTER 2012 - F
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As described above, Citigroup is ma
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The Consumer allowance for loan los
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SUMMARY OF SELECTED FINANCIAL DATA
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CITIGROUP REVENUESFirst QuarterIn m
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GLOBAL CONSUMER BANKINGGlobal Consu
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EMEA REGIONAL CONSUMER BANKINGEMEA
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ASIA REGIONAL CONSUMER BANKINGAsia
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[THIS PAGE INTENTIONALLY LEFT BLANK
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1Q12 vs. 1Q11Net income of $1.2 bil
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CITI HOLDINGSCiti Holdings contains
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LOCAL CONSUMER LENDINGLocal Consume
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SPECIAL ASSET POOLSpecial Asset Poo
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BALANCE SHEET REVIEWThe following s
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transactions, see ―Capital Resour
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CAPITAL RESOURCES AND LIQUIDITYCAPI
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Common Stockholders’ EquityCitigr
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FUNDING AND LIQUIDITYOverviewCiti
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The table below details the long-te
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Credit RatingsCitigroup‘s funding
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OFF-BALANCE-SHEET ARRANGEMENTSCitig
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Details of Credit Loss Experience1s
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Non-Accrual LoansIn millions of dol
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Renegotiated LoansThe following tab
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North America Residential First Mor
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loans exiting foreclosure inventory
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Note: For each of the tables above,
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Citi will account for the refinanci
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Legacy S&B Securitizations (princip
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In addition to the amounts set fort
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North America Citi Retail Services
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Consumer Loan Net Credit Losses and
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CORPORATE LOAN DETAILSFor corporate
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EXPOSURE TO COMMERCIAL REAL ESTATET
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Value at Risk for Trading Portfolio
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AVERAGE BALANCES AND INTEREST RATES
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(10) Excludes hybrid financial inst
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ANALYSIS OF CHANGES IN INTEREST EXP
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GIIPSGross funded credit exposure t
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Credit Default SwapsCiti buys and s
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CREDIT DERIVATIVESCitigroup makes m
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DISCLOSURE CONTROLS ANDPROCEDURESCi
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FINANCIAL STATEMENTS AND NOTES TABL
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CONSOLIDATED STATEMENT OF COMPREHEN
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CONSOLIDATED BALANCE SHEET(Continue
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CONSOLIDATED STATEMENT OF CASH FLOW
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ACCOUNTING CHANGESPresentation of C
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2. DISCONTINUED OPERATIONSSale of E
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4. INTEREST REVENUE AND EXPENSEFor
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period. The 2012 deferred cash awar
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9. EARNINGS PER SHAREThe following
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11. INVESTMENTSOverviewIn millions
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The following table presents the am
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During the first quarter of 2011, t
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Evaluating Investments for Other-Th
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Recognition and Measurement of OTTI
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12. LOANSCitigroup loans are report
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Consumer Credit Scores (FICO)In the
Page 121 and 122: In millions of dollarsRecordedinves
Page 123 and 124: Corporate LoansCorporate loans repr
Page 125 and 126: Corporate Loans Credit Quality Indi
Page 127 and 128: Corporate Troubled Debt Restructuri
Page 129 and 130: 14. GOODWILL AND INTANGIBLE ASSETSG
Page 131 and 132: 15. DEBTShort-Term BorrowingsShort-
Page 133 and 134: 16. CHANGES IN ACCUMULATED OTHER CO
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Page 137 and 138: In millions of dollars As of Decemb
Page 139 and 140: Funding Commitments for Significant
Page 141 and 142: Credit Card Securitizations—Citic
Page 143 and 144: The range in the key assumptions is
Page 145 and 146: The market for MSRs is not sufficie
Page 147 and 148: investors in the form of funded not
Page 149 and 150: are tendered and the Company (in it
Page 151 and 152: 18. DERIVATIVES ACTIVITIESIn the or
Page 153 and 154: Derivative Mark-to-Market (MTM) Rec
Page 155 and 156: Key aspects of achieving ASC 815 he
Page 157 and 158: Credit DerivativesA credit derivati
Page 159 and 160: 19. FAIR VALUE MEASUREMENTASC 820-1
Page 161 and 162: The key inputs depend upon the type
Page 163 and 164: Items Measured at Fair Value on a R
Page 165 and 166: In millions of dollars at December
Page 167 and 168: Changes in Level 3 Fair Value Categ
Page 169 and 170: Net realized/unrealizedgains (losse
Page 171: — Purchases of Corporate debt tra
Page 175 and 176: Items Measured at Fair Value on a N
Page 177 and 178: 20. FAIR VALUE ELECTIONSThe Company
Page 179 and 180: The following table provides inform
Page 181 and 182: The following table provides inform
Page 183 and 184: Financial standby letters of credit
Page 185 and 186: Value-Transfer NetworksThe Company
Page 187 and 188: Credit Commitments and Lines of Cre
Page 189 and 190: Mortgage-Backed Securities and CDO
Page 191 and 192: Condensed Consolidating Statements
Page 193 and 194: Condensed Consolidating Balance She
Page 195 and 196: Condensed Consolidating Statements
Page 197 and 198: LEGAL PROCEEDINGSFor a discussion o
Page 199 and 200: Item 6. ExhibitsSee Exhibit Index.1
Page 201: EXHIBIT INDEX3.01.1 Restated Certif
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7.3 billion - Citigroup

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