Citigroup (C)

Credit Card Securitizations—Citicorp

        In the second quarter of 2009 and 2008, the Company recorded net gains (losses) from securitization of Citicorp's credit card receivables of $51 million and ($141) million, and $151 million and ($146) million for the six months ended June 30, 2009 and 2008, respectively. Net gains (losses) reflect the following:

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incremental gains (losses) from new securitizations;



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the reversal of the allowance for loan losses associated with receivables sold;



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net gains on replenishments of the trust assets offset by other-than-temporary impairments; and



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changes in fair value for the portion of the residual interest classified as trading assets.

        The following tables summarize selected cash flow information related to Citicorp's credit card securitizations for the three and six months ended June 30, 2009 and 2008:

        As of June 30, 2009 and December 31, 2008, the residual interest in securitized credit card receivables was valued at $0 for Citicorp. As such, key assumptions used in measuring the fair value of the residual interest are not provided for the three months ended June 30, 2009 or as of June 30, 2009. Key assumptions used in measuring the fair value of the residual interests at the date of sale or securitization of Citicorp's credit card receivables for the three months ended June 30 2008 are as follows:

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        At June 30, 2009, the sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions were as follows: