SecProbe.io

August 22, 2012

Via E -mail
John C. Gerspach
Chief Financial Officer
Citigroup Inc.
399 Park Avenue
New York, NY 10043

Re: Citigroup Inc.
Form 10 -K for Fiscal Year Ended December 31, 2011
Filed February 24, 2012
Form 10 -Q for the Quart erly Period Ended June 30, 2012
Filed August 3, 2012
  Response filed April 27, 2012
File No. 001 -09924

Dear Mr.  Gerspach :

We have reviewed the above listed filings  and have the following comments.  In some of
our comments, we may ask you to provide us with information so we may better understand your
disclosure.

Please respond to this let ter within ten business days by providing the requested
information, or by advising us when you will p rovide the requested response.   Where we have
requested changes in future filings, please include a draft of your proposed disclosures that
clearly identifies new or revised disclosures.  If you do not believe our comments apply to your
facts and circumsta nces, please tell us why in your response.

After reviewing the information you provide in response to these comments, including
the draft of your proposed disclosures, we may have additional comments.

Form 10 -Q for the Quarterly Period E nded June 30,  2012

Capital and Loan Loss Reserve Positions, page 6

1. We note your disclosure of estimated Tier 1 Common ratio under Basel III at the end of
the second quarter of 2012 here as well as on page 40.  Additionally, we note your
disclosure on page 43 of your estimated Tier 1 Common ratio as of June 30, 2012,
assuming application of the final Basel II.5 rules.  These measures appear to represent
non-GAAP measures as they are not yet a required disclosure by a government,
governmental authority or self -regulator y agency.  Therefore, please expand your
disclosures in future filings to show the calculation of the metrics, similar to the

John C. Gerspach
Citigroup Inc.
August 22, 2012
Page 2

 disclosures on page 40 where you show the calculation of the metrics under current
regulatory requirements.

Segment and Business – Income (Loss) and Revenues, page 11

Citi Holdings – Brokerage and Asset Management, page 29

MSSB JV, page 29

2. We note your response to prior comment 7 from our letter dated April 9, 2012, as well as
your updated disclosure regarding new developments in  the second quarter related to the
MSSB JV Agreement deal with Morgan Stanley.  Due to the fact that you could
potentially record a significant non -cash charge in the third quarter of 2012 related to this
disposition, which would be based in part on your i nternal valuation of the fair value of
that portion of your investment, please provide us with a copy of your valuation report
used in determining the fair value of your interest in the MSSB JV for purposes of this
transaction.

Corporate/Other, page 34

3. We note your disclosure on page 34 that your net loss in the Corporate/Other  segment
for 2Q11 and 2Q12 was $63 million and $437 million, respectively.  However, we also
note your statement that the net loss of $437 million “declined by $374 million year -over-
year” implying that the net loss decreased when in fact it grew to a larger deficit.  Similar
disclosure is included in the year to date comparison on the same page.  In the future,
please ensure that your disclosure accurately depicts the changes betwee n each period
discussed.

Liquidity Management and Measures, page 49

Liquidity Measures, page 49

4. We note your disclosure that you believe you are in compliance with the proposed Basel
III Liquidity Coverage Ratio (LCR) with an estimated LCR of approximat ely 117% as of
June 30, 2012, compared with approximately 126% at March 31, 2012.  Given that this
metric is not yet required by a government, governmental authority or self -regulatory
organization, it would appear to be a non -GAAP financial measure for pu rposes of Item
10 of Regulation S -K. Thus, please revise future filings to label the measure as non -
GAAP and provide further clarifying disclosures regarding the use of the metric ,
including more discussion on how it is calculated .

John C. Gerspach
Citigroup Inc.
August 22, 2012
Page 3

 Managing Global Ri sk, page 52

Credit Risk – North America Consumer Mortgage Lending, page 59

North America Residential First Mortgages – State Delinquency Trends, page 61

5. We note your table showing significantly improved  loan-to-value ( LTV ) percentages
between March 31, 2012 and June 30, 2012 for certain states and state groupings,
including California, Florida, Arizona/Nevada and Other.  Please tell us and expand your
disclosure as appropriate to discuss the primary drivers of the significa nt improvements
in LTVs over such a short period (for example, 20% fewer loans with LTVs greater than
100% in California from one quarter to the next).   To the extent that loans are
concentrated in certain geographic regions within the state(s), please st ate that fact.   To
the extent that modifications that include principal forgiveness are a key driver, please
state that fact and reconcile the information with the disclosures on page 143.

North America Consumer Mortgage Quarterly Credit Trends – Delinqu encies and Net Credit
Losses – Home Equity Loans, page 62

6. We note your disclosure that approximately $23.5 billion of home equity lines of credit
are still within their revolving period and have not commenced amortization, and that this
amount has decreas ed from $27.0 billion as of December 31, 2010.  We also note your
response to our prior comment 7 in your letter dated June 29, 2011 that a comparison of
default and delinquency trends for amortizing versus non -amortizing home equity lines of
credit was no t meaningful at that time given the levels of loans that had converted to
amortizing as of March 31, 2011.  However, given the time that has passed, and the fact
that more loans have now converted to amortizing, please tell us and expand your
disclosures a s appropriate to tell us whether there are different trends for the loans that
have converted to amortizing versus those that are still in the revolving stage.

Representation and Warranty Claims – by Claimant, page 70

7. We note your disclosure on page 69 t hat you refined certain of your assumptions in
estimating the repurchase reserve.  Specifically, you now use the historical correlation
between underlying loan characteristics (e.g. delinquencies, LTV, loan channel, etc.) and
the likelihood of receiving a claim based on those characteristics in developing your
claim estimate.  Prior to this change, you used loan documentation requests and
repurchase claims as a percentage of loan documentation requests in order to estimate
future claims.  Your disclosure al so states that the refinement did not have a material
impact on the repurchase reserve balance at June 30, 2012.  Please tell us how you
believe this new approach captures the changes in GSE behavior regarding the levels of
mortgage repurchase requests, as  noted by many other financial institutions, and as
evidenced by the higher levels of GSE mortgage repurchase claims you experienced
during the first and second quarters of 2012.  In this regard, it appears you are now
experiencing some of the highest leve ls of GSE repurchase requests you have ever

John C. Gerspach
Citigroup Inc.
August 22, 2012
Page 4

 experienced, despite the fact that you disclose on page 68 that the repurchase requests are
primarily related to loans originated from 2006 to 2008.  We also note that in June 2012,
the FHFA indicated they would provide a framework to assist banks in developing a
higher degree of certainty and clarity around repurchase exposure and liability, as well as
consistency around repurchase timelines, incentives and remedies.  Please tell us how this
was taken into consid eration in making the policy change and tell us whether you have
received any guidance at this point.  Finally, in light of your change in methodology
where you use historical correlation based on underlying loan characteristics, tell us why
you still beli eve that the activity in , and change in , estimate for the repurchase reserve
will remain volatile , and that you cannot estimate a range of reasonably possible  loss
related to this exposure.

Market Risk, page 78

Value at Risk for Trading Portfolios, page 79

8. We note your discussion of your value at risk (VAR) methodology which is estimated
using a Monte Carlo simulation.   Please respond to the following and expand your
disclosure in future filings as appropriate:
 Tell us the number of different VAR models  that are used to determine your total
trading VAR, and discuss the drivers regarding the need to use multiple different
models.
 Tell us how all of the different VAR models used are aggregated to arrive at your
total trading VAR as well as the individual market risk categories disclosed. For
example, clarify whether you simply aggregate the outputs from the different models
or whether adjustments are made, and if so, how the adjustments are determined.
 We note your disclosure indicates that the conservative features of the VAR
calibration contribute approximately 15% add -on to what would be a VAR estimated
under the assumption of stable and perfectly normally distributed markets, but that
this add -on was 20% as of December 31, 2011 and March 31, 2012.   Please discuss
the drivers of the change in this estimated add -on and whether you expect it to change
over time.
 We note your disclosure in footnote 4 that the credit portfolio is composed of the
asset side of the CVA derivative exposures, all CVA h edges, and hedges to the loan
portfolio, fair value option loans and tail hedges that are not explicitly hedging the
trading book.    Please tell us whether there are other hedges of other assets that are
not explicitly included in this category, or specifi c securities portfolio that are held for
investment rather than trading and give examples and quantification of amounts
excluded to the extent possible.
 Discuss the type of risks excluded from your VAR calculation and the reasons why
such risks are exclude d.
 Tell us whether the VAR models used for regulatory capital purposes are the same as
the VAR models used for your market risk disclosures. To the extent that certain of
the models used for both purposes differ, please tell us the drivers behind those
differences.

John C. Gerspach
Citigroup Inc.
August 22, 2012
Page 5

  Discuss the process and validation procedures in place prior to implementing
significant model and assumption changes. For example, discuss the approval process
required, back -testing procedures performed, and periods of parallel model runs
before implementation.
 To the extent that all or some of your VAR models used for your market risk
disclosures are different than those used to calculate regulatory capital, please tell us
whether the model review process and model oversight processes are the  same for
both. As part of your response, please clarify when approval is required from any of
your regulators regarding VAR model changes.
 Given that your VAR models evolve over time, tell us how you consider when
disclosure is required under Item 305(a) (4) of Regulation S -K regarding model,
assumptions and parameter changes.

Country Risk, page 89

Overview, page 89

9. We note your  response to prior comment 5 from our letter dated April 9, 2012, related to
the last bullet point in that comment regarding indirect risk exposure.   We believe
indirect risk exposure is interpreted, defined and managed differently among companies
and there fore believe additional clarifying disclosure outlining identified indirect
exposures, along with quantification to the extent possible, increases transparency to
investors.   Examples of indirect risk exposures could include exposure to other entities
that are highly exposed to the affected areas and counterparties, indirect effects resulting
from the impact on Western European banking sectors, slowdown in global economic
activity and wider economic contraction in the corporate sector, potential for
redenom ination and devaluation risk (which you have now separately discussed in detail
beginning in your June 30, 2012 Form 10 -Q), and related effects to payment and clearing
systems or global exchanges. Therefore, please expand your disclosure to describe how
you consider these factors, identify the related risks and manage them as part of your
overall risk management process.

Redenomination and Devaluation Risk, page 95

10. We note your disclosure that you have purchased credit protection primarily from
investment  grade, global financial institutions predominantly outside of the GIIPS, and
that to the extent that purchased credit protection is available in a redenomination/
devaluation event, any redenomination/devaluation exposure could be reduced.  Please
tell us  and expand your disclosure as appropriate to address whether you have reviewed
these contracts to determine whether this event is covered.  If so, please provide updated
disclosure indicating the extent to which your purchased credit protection contracts
provide coverage in this event and how the particular provisions operate.

John C. Gerspach
Citigroup Inc.
August 22, 2012
Page 6

 Notes to Consolidated Financial Statements

Note 14 – Goodwill and Intangible Assets, page 152

11. We note that as of January 1, 2012, you reorganized your reporting units and reassigned
goodwill using a relative fair value approach.  We also note your response to prior
comment 3 from your letter dated March 3, 2009 that you use a risk capital approach as
the basis for allocating your total book value to each of your reporting units.  Your
response indicated that risk capital is the amount of capital required to absorb potential
unexpected economic losses resulting from extremely severe  events over a one -year time
period , and also indicated that you allocate every dollar of Citigroup book value to the
reporting units as part of the goodwill impairment test and that no net assets are held at
the corporate level.  Please respond to the following:
 Tell us wh ether you have made any changes in how you determine the carrying
value of your reporting units for purposes of your goodwill impairment testing.
 To the extent the total capital allocated to your reporting units is more or less than
the total shareholders’  equity of the company, please explain how you account for
any difference and quantify such amount. In this regard, clarify whether the
carrying  value assigned to your reporting units is always equal to the risk capital
determined for each reporting unit, or whether any excess or deficit of total
shareholders’ equity of the Company over the total calculated risk capital amounts
for each of the reporting units is allocated to the reporting units during certain
periods, and if so, how.
 Expand your disclosure in future filings to discuss how the carrying values of
your reporting units are determined.   Additionally, to the extent that you do not
determine the individual assets and liabilities of your reporting units for purposes
of determining the carrying valu e of the reporting unit, please expand your
discussion of how you perform Step 2 of the goodwill impairment test under your
methodology when you are required to do so.

Note 16 – Changes in Accumulated Other Comprehensive Income (Loss), page 156

12. We note t hat ASC 220 -10-45-12 requires that the amount of income tax expense or
benefit allocated to each component of other comprehensive be shown either on the face
of the statement that those items are displayed on in the notes to the financial statements.
We also note that in cer tain places, such as pages 181 -182, you have disclosed parts of
certain of the components in order to calculate the tax effect, but you do not appear to
show the tax amount in total or for each of the components.  Please revise future filings to
include th is disclosure, or advis