7.3 billion - Citigroup

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Own Debt Valuation Adjustments for Structured DebtOwn debt valuation adjustments are recognized on Citi‘s debtliabilities for which the fair value option has been elected usingCiti‘s credit spreads observed in the bond market. The fair valueof debt liabilities for which the fair value option is elected (otherthan non-recourse and similar liabilities) is impacted by thenarrowing or widening of the Company‘s credit spreads. Theestimated change in the fair value of these debt liabilities due tosuch changes in the Company‘s own credit risk (or instrumentspecificcredit risk) was a loss of $1,262 million and a loss of$113 million for the three months ended March 31, 2012 and2011, respectively. Changes in fair value resulting from changesin instrument-specific credit risk were estimated byincorporating the Company‘s current credit spreads observablein the bond market into the relevant valuation technique used tovalue each liability as described above.The Fair Value Option for Financial Assets andFinancial LiabilitiesSelected portfolios of securities purchased under agreementsto resell, securities borrowed, securities sold under agreementsto repurchase, securities loaned and certain non-collateralizedshort-term borrowingsThe Company elected the fair value option for certain portfoliosof fixed-income securities purchased under agreements to reselland fixed-income securities sold under agreements to repurchase,securities borrowed, securities loaned (and certain noncollateralizedshort-term borrowings) on broker-dealer entitiesin the United States, United Kingdom and Japan. In each case,the election was made because the related interest-rate risk ismanaged on a portfolio basis, primarily with derivativeinstruments that are accounted for at fair value through earnings.Changes in fair value for transactions in these portfolios arerecorded in Principal transactions. The related interest revenueand interest expense are measured based on the contractual ratesspecified in the transactions and are reported as interest revenueand expense in the Consolidated Statement of Income.Selected letters of credit and revolving loans hedged by creditdefault swaps or participation notesThe Company has elected the fair value option for certain lettersof credit that are hedged with derivative instruments orparticipation notes. Citigroup elected the fair value option forthese transactions because the risk is managed on a fair valuebasis and mitigates accounting mismatches.The notional amount of these unfunded letters of credit was$0.6 billion at both March 31, 2012 and December 31, 2011.The amount funded was insignificant with no amounts 90 daysor more past due or on non-accrual status at March 31, 2012 andDecember 31, 2011.These items have been classified in Trading account assetsor Trading account liabilities on the Consolidated BalanceSheet. Changes in fair value of these items are classified inPrincipal transactions in the Company‘s ConsolidatedStatement of Income.Certain loans and other credit productsCitigroup has elected the fair value option for certain originatedand purchased loans, including certain unfunded loan products,such as guarantees and letters of credit, executed by Citigroup‘slending and trading businesses. None of these credit products isa highly leveraged financing commitment. Significant groups oftransactions include loans and unfunded loan products that areexpected to be either sold or securitized in the near term, ortransactions where the economic risks are hedged withderivative instruments such as purchased credit default swaps ortotal return swaps where the Company pays the total return onthe underlying loans to a third party. Citigroup has elected thefair value option to mitigate accounting mismatches in caseswhere hedge accounting is complex and to achieve operationalsimplifications. Fair value was not elected for most lendingtransactions across the Company, including where managementobjectives would not be met.177CITIGROUP – 2012 FIRST QUARTER 10-Q
The following table provides information about certain credit products carried at fair value at March 31, 2012 and December 31, 2011:March 31, 2012 December 31, 2011In millions of dollars Trading assets Loans Trading assets LoansCarrying amount reported on the Consolidated Balance Sheet $14,706 $3,234 $14,150 $3,735Aggregate unpaid principal balance in excess of fair value 443 (69) 540 (54)Balance of non-accrual loans or loans more than 90 days past due 35 — 134 —Aggregate unpaid principal balance in excess of fair value fornon-accrual loans or loans more than 90 days past due 40 — 43 —In addition to the amounts reported above, $1,198 millionand $648 million of unfunded loan commitments related tocertain credit products selected for fair value accounting wereoutstanding as of March 31, 2012 and December 31, 2011,respectively.Changes in fair value of funded and unfunded creditproducts are classified in Principal transactions in theCompany‘s Consolidated Statement of Income. Related interestrevenue is measured based on the contractual interest rates andreported as Interest revenue on Trading account assets or loaninterest depending on the balance sheet classifications of thecredit products. The changes in fair value for the three monthsended March 31, 2012 and 2011 was due to instrument-specificcredit risk totaled to a gain of $11 million and $14 million,respectively.Certain mortgage loans (HFS)Citigroup has elected the fair value option for certain purchasedand originated prime fixed-rate and conforming adjustable-ratefirst mortgage loans HFS. These loans are intended for sale orsecuritization and are hedged with derivative instruments. TheCompany has elected the fair value option to mitigateaccounting mismatches in cases where hedge accounting iscomplex and to achieve operational simplifications.Certain investments in private equity and real estate venturesand certain equity method investmentsCitigroup invests in private equity and real estate ventures forthe purpose of earning investment returns and for capitalappreciation. The Company has elected the fair value option forcertain of these ventures, because such investments areconsidered similar to many private equity or hedge fundactivities in Citi‘s investment companies, which are reported atfair value. The fair value option brings consistency in theaccounting and evaluation of these investments. All investments(debt and equity) in such private equity and real estate entitiesare accounted for at fair value. These investments are classifiedas Investments on Citigroup‘s Consolidated Balance Sheet.Citigroup also holds various non-strategic investments inleveraged buyout funds and other hedge funds for which theCompany elected fair value accounting to reduce operationaland accounting complexity. Since the funds account for all oftheir underlying assets at fair value, the impact of applying theequity method to Citigroup‘s investment in these funds wasequivalent to fair value accounting. These investments areclassified as Other assets on Citigroup‘s Consolidated BalanceSheet.Changes in the fair values of these investments areclassified in Other revenue in the Company‘s ConsolidatedStatement of Income.178CITIGROUP – 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
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In millions of dollarsRecordedinves
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Corporate LoansCorporate loans repr
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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 and 172: — Purchases of Corporate debt tra
Page 173 and 174: Fair Value(in millions) Methodology
Page 175 and 176: Items Measured at Fair Value on a N
Page 177: 20. FAIR VALUE ELECTIONSThe Company
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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