7.3 billion - Citigroup

INTEREST REVENUE/EXPENSE AND YIELDSIn millions of dollars1st Qtr.20124th Qtr.20111st Qtr.2011Change1Q12 vs. 1Q11Interest revenue $ 17,671 $ 17,936 $ 18,277 (3)%Interest expense 5,553 5,712 6,051 (8)Net interest revenue (1)(2) $ 12,118 $ 12,224 $ 12,226 (1)%Interest revenue—average rate 4.23% 4.26% 4.31% (8) bpsInterest expense—average rate 1.57 1.59 1.62 (5) bpsNet interest margin 2.90 2.90 2.88 2 bpsInterest-rate benchmarksFederal Funds rate—end of period 0.00–0.25% 0.00–0.25% 0.00–0.25% —Federal Funds rate—average rate 0.00–0.25 0.00–0.25 0.00–0.25 —Two-year U.S. Treasury note—average rate 0.29% 0.26% 0.69% (40) bps10-year U.S. Treasury note—average rate 2.04 2.05 3.46 (142) bps10-year vs. two-year spread 175 bps 179 bps 277 bps(1) Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $171 million, $141 million, and $124million for the three-months ended March 31, 2012, December 31, 2011 and March 31, 2011, respectively.(2) Excludes expenses associated with certain hybrid financial instruments. These obligations are classified as Long-term debt and accounted for at fair value withchanges recorded in Principal transactions.A significant portion of Citi‘s business activities are basedupon gathering deposits and borrowing money and then lendingor investing those funds, or participating in market-makingactivities in tradable securities. Citi‘s net interest margin (NIM)is calculated by dividing gross interest revenue less grossinterest expense by average interest earning assets.During the first quarter of 2012, Citi‘s NIM remainedconsistent with the prior quarter as lower yields on increasedtrading assets were offset by a decline in Citi‘s overall fundingcosts as well as a reserve release in the Japan Consumer Financebusiness (see Citi Holdings—Local Consumer Lending‖ above).Absent any significant items, NIM will likely continue to reflectthe pressure of a low interest rate environment and subsequentchanges in Citi‘s portfolios. Accordingly, Citi believes that NIMcould decrease slightly in the near term, particularly if tradingassets continue to increase and, thereafter, should remainrelatively stable or experience slight growth.71CITIGROUP – 2012 FIRST QUARTER 10-Q