Citigroup & Risk Management
Ming Nie
You Zhou
About Citi

Citicorp



Regional consumer banking business
Institutional clients group
Citi Holdings



Brokerage and assets management
Local consumer lending
Special asset pool
Income Statement Continued
Ratios of Citi
Income summary 3Q 2010
Recent Stats
Recent States
Troubled Asset Relief Program (TARP)
 U.S government purchases assets and equity from
financial institutions to help them to overcome
financial crisis and revive the financial industry
 Signed in Oct 2008
 Purchase or insure up to 700 billion “troubled
assets”
Entering TARP:
 Oct & Dec 2008:
Citi raised $25 billion, and $20 billion through sales or preferred stock
and warrants to the US Treasury
 Jan 2009:
Citi issued $7.1 billion of preferred Stock to the US Treasury and FDIC
 July 2009:
$25 billion preferred stock was exchanged to 7.7 billions shares of Citi’s
common stock
 July 2009:
$20b preferred stock issued to U.S treasury and $7.1b preferred stock
issued to U.S treasury and FDIC were exchanged to trust preferred
securities
Result
 Paid U.S government approximately $2.2 billion
dividends for preferred stock
 Paid $800 million interest for trust preferred securities
Repayment of TARP
 Dec 2009:
Citi repaid $20 billion of the trust preferred securities to U.S treasury
$1.8 of the $7.1 billion were cancelled
 Dec 2009:
Citi raised about $20.3 billion through issuance of common equity
Citi made approximately $439.8 billion credit available to U.S
borrowers
 After exiting from TARP:
US Treasury holds 27% of common stock
US Treasury and FDIC continue to hold $5.3 billion of trust preferred securities
Risk Management Overview


Credit risk
Market risk



Liquidity risk
Price risk
Operational risk


Legal risk
Reputational exposures
Risk Management Guiding Principals
 a common risk capital model to evaluate risks;
 a defined risk appetite, aligned with business
strategy;
 accountability through a common framework to
manage risks;
 risk decisions based on transparent, accurate and
rigorous analytics;
 expertise, stature, authority and independence of
risk managers; and
 empowering risk managers to make decisions and
escalate issues.
“Taking intelligent risk”
Citi must carefully measure and aggregate risks, must
appreciate potential downside risks, and must
understand risk/return relationships.
“Shared responsibility”
Risk and business management must
actively partner to own risk controls and influence
business outcomes.
“Individual accountability”
All individuals are ultimately responsible for
identifying, understanding and managing risks.
Risk Management Structure
 Business Chief Risk Officer:
focal point for risk decisions in company’s major
business groups
 Regional Chief Risk Officers:
Accountable for risks in their geographic areas
 Product Chief Risk Officers:
Accountable for risks within their speciality (real
estate, structured products, etc)
Credit Risk Credit Risk
 Losses result from borrowers or counterparties are not
able to fulfill its obligation
 Business activities may involve credit risk:
 Lending
 Sales and trading
 Derivatives
 Securities transactions
 Settlement
 Act as an intermediary
Credit Overview
 2009: Citi reduced its aggregate loan portfolio by
$102.7 billion $591.5 billion.
 Dec 2009: Coverage ratio of total loans increased
to 6.09% from 4.27% in Dec 2008
 Net credit losses of $30.7 billion during 2009
increased $11.7 billion from year-ago levels
 Dec 2009: Consumer non-accrual loans totalled
$18.6 billion, Corporate non-accrual loans were
$13.5 billion
2010 outlook
 Credit costs will still be a significant driver of Citi’s
financial performance
 Asia and Latin America will show improvement in
credit trends
 North America will show a slight improvement
Outstanding loans - consumer
Outstanding loans - Corporate
2009
2008
2007
2006
2005
Outstanding loans
Percentage of net unearned income
Credit loss
Forgone interest revenue on loans
Consumer Loan Modification programs
 Programs to assist borrower with financial difficulties
 Involves:
modifying the original loan terms
reducing interest rates
extending the remaining loan duration
waiving a portion of the remaining principal balance
U.S. Treasury’s Home Affordable Modification Program
(HAMP)
 reduce monthly mortgage payments to a 31% housing
debt ratio by lowering the interest rate and extending
the term of the loan and remove some principal of
certain eligible borrowers
 December 2009, about $7.1 billion first mortgages
entered into HAMP
Short term & Long term programs
Short term
Long term
 Interest reduction up to 12-
 troubled debt restructuring
month
 Term of loans are modified to
 Loan volume under short
term program increased
significantly
long term
 Provide permanent interest
reduction
Credit risk mitigation
 Citigroup uses credit derivatives and other risk
mitigants to hedge some portion of its credit risk
 In 2008, $95.5 billion of credit risk were hedged
successfully
 In 2009, $59.6 billion of credit risk were hedged
successfully
Highly leveraged financing transactions
 Agreement to provide borrower higher level of funding
 Normally through corporate acquisitions or
management buy-outs
 Principal and interest payment absorb a significant of
cash flow generated by borrower’s business
 Risk of default will be higher, so a higher interest rate
and fees will be charged
Market Risk
Liquidity risk
risk that an entity may be unable to meet a
financial commitment to a customer, creditor, or
investor when due.
2. Price risk
earnings risk from changes in interest rates,
foreign exchange rates, and equity and commodity
prices, and in their implied volatilities.

arises in non-trading portfolios, as well as in
trading portfolios.
1.
1. Liquidity risk
Capital resources
Liquidity
Capital resources Capital has historically been generated by earnings from
Citi’s operating business.
 Generally, capital is used primarily to support assets in
Citi’s businesses and to absorb market, credit, or
operational losses.
 Citigroup’s capital management framework is designed to
ensure that Citigroup and its principal subsidiaries
maintain sufficient capital consistent with Citi’s risk
profile and all applicable regulatory standards and
guidelines, as well as external rating agency
considerations.
Capital resources Risk-based capital guidelines issued by the Federal Reserve Board
 Risk-based capital ratios: the Tier 1 Capital—the sum of “core capital
elements,” such as qualifying common stockholders’ equity, as adjusted,
qualifying non-controlling interests, and qualifying mandatorily
redeemable securities of subsidiary trusts, principally reduced by goodwill,
other disallowed intangible assets, and disallowed deferred tax assets.
 Total Capital also includes “supplementary” Tier 2 Capital elements, such
as qualifying subordinated debt and a limited portion of the allowance for
credit losses.
 Both measures of capital adequacy are stated as a percentage of riskweighted assets.
 In conjunction with the conduct of the 2009 Supervisory Capital
Assessment Program (SCAP), US banking regulators developed a new
measure of capital termed “Tier 1 Common,” which has been defined as Tier
1 Capital less non-common elements, including qualifying perpetual
preferred stock, qualifying non-controlling interests, and qualifying
mandatorily redeemable securities of subsidiary trusts.
• To be “well capitalized” under federal bank regulatory agency
definitions, a bank holding company must have a Tier 1 Capital
ratio of at least 6%, a Total Capital ratio of at least 10%, and a
Leverage ratio of at least 3%, and not be subject to a Federal
Reserve Board directive to maintain higher capital levels.
• Citigroup’s regulatory capital ratios:
Components of capital under
regulatory guidelines
Citibank, N.A. components of capital and ratios
under regulatory guidelines
Well capitalized—Tier 1 Capital ratio of at least 6%, a Total Capital (Tier 1
Capital + Tier 2 Capital) ratio of at least 10%, and a Leverage ratio of at
least 5%, and not be subject to a regulatory directive to meet and
maintain higher capital levels.
The estimated sensitivity of Citigroup’s and Citibank, NA’s capital ratios
to changes of $100 million in Tier 1 Common, Tier 1 Capital, or Total
Capital (numerator), or changes of $1 billion in risk-weighted assets
or adjusted average total assets (denominator) based on
financial information as of Dec 31,2009:
These sensitivities only consider a single change to either a
component of capital, risk-weighted assets, or adjusted
average total assets.
 Citigroup’s cash flows and liquidity needs are primarily
generated within its operating subsidiaries.
 Exceptions exist for major corporate items, such as the
TARP repayment, and for equity and certain long-term
debt issuances, which take place at the Citigroup corporate
level.
 Citigroup sources of funding include deposits,
collateralized financing transactions and variety of
unsecured short- and long-term instruments.
 In addition to growing its deposit base and engaging in
long-term debt funding, Citi has been actively building its
structural liquidity by reducing total assets.
Management of liquidity
 Citigroup runs a centralized treasury model where the overall
balance sheet is managed by Citigroup Treasury through
Global Franchise Treasurers and Regional Treasurers.
 A uniform liquidity risk management policy exists for
Citigroup, its consolidated subsidiaries and managed affiliates.
 Liquidity management is overseen by the Board of Directors
through its Risk Management and Finance Committee and by
senior management through Citigroup’s Finance and Asset and
Liability Committee (FinALCO).
 Asset and Liability Committees are also established for each
region, country and/or major line of business.
Monitoring liquidity
 Each principal operating subsidiary and/or country
must prepare
for
approval by the Treasurer and independent risk
management.
 Citigroup establishes its key
based on
stress tests and a cash capital ratio.
 A series of tools used to monitor liquidity position—
liquidity gaps and associated limits, liquidity ratios,
stress testing and market triggers.
 liquidity gaps and limits
• measures potential funding gaps over various time horizons in a
standard operating environment
• limits are established such that in stress scenarios, entities are
self-funded or net providers of liquidity.
• the risk tolerance for liquidity funding gaps is limited based on
the capacity to cover the position in a stressed environment.
 liquidity ratios
• cash capital ratio—a broader measure of the ability to fund the
structurally illiquid portion of Citigroup’s balance sheet than
traditional measures such as deposits to loans or core deposits to
loans.
 stress testing
• simulated liquidity stress testing is periodically performed for
each major operating subsidiary and/or country.
• intended to quantify the likely impact of an event on the balance
sheet and liquidity position and to identify viable funding
alternatives that can be utilized in a liquidity event.
 stress testing (continued)
• as a result of the recent financial crisis, Citigroup increased the
frequency, duration, and severity of certain stress testing,
particularly related to the interconnection of idiosyncratic and
systemic risk.
 market triggers
• internal or external market or economic factors that may imply
a change to market liquidity or Citigroup’s access to the markets
• appropriate market triggers are also established and monitored
for each major operating subsidiary and/or country
 credit ratings
• Citigroup’s ability to access the capital markets and other
sources of funds, as well as the cost of these funds and its ability
to maintain certain deposits, is dependent on its credit ratings.
2. Price risknon-trading portfolios
 One primary business function: providing financial
products that meet the needs of customers.
 Net interest revenue (NIR): difference between the
yield earned on the non-trading portfolio assets and
the rate paid on the liabilities.
 NIR is affected by changes in the level of interest
rates.
• a common set of standards that define, measure, limit and report
the market risk
• limits are monitored by independent market risk, country and
business Asset and Liability Committees (ALCOs) and the Global
Finance and Asset and Liability Committee (FinALCO).
• measure of risk to NIR is interest rate exposure (IRE)
• IRE-measures the change in expected NIR in each currency
resulting solely from unanticipated changes in forward interest
rates.
• IRE tests the impact on NIR resulting from unanticipated changes
in forward interest rates.
• the impact of changing prepayment rates on loan portfolios is
incorporated into the results.
• modify pricing on new customer loans and deposits
• enter into transactions with other institutions
• enter into off-balance-sheet derivative transactions that
have the opposite risk exposures
Therefore,
• regularly assesses the viability of strategies when it believes
those actions are prudent
• additional measurements:
stress testing the impact of non-linear interest rate
movements on the value of the balance sheet
 analysis of portfolio duration and volatility, particularly as
they relate to mortgage loans and mortgage-backed
securities
 the potential impact of the change in the spread between
different market indices
Non-trading portfolios
Approximate annualized risk to NIR assuming an unanticipated parallel
instantaneous 100 bps change, as well as a more gradual 100 bps parallel change in
rates compared with the market forward interest rates
The following table shows the risk to NIR from six
different changes in the implied-forward rates. Each
scenario assumes that the rate change will occur on a
gradual basis every three months over the course of one
year.
2. Price risktrading portfolios
Monitored using:
 Factor sensitivities
 Value-at-risk (VAR)
 Stress testing
Factor sensitivities
 Expressed as the change in the value of a position for a
defined change in a market risk factor, such as a
change in the value of a Treasury bill for a one-basispoint change in interest rates.
 Citigroup’s independent market risk management
ensures that factor sensitivities are calculated,
monitored and, in most cases, limited, for all relevant
risks taken in a trading portfolio.
VAR
 Estimates the potential decline in the value of a
position or a portfolio under normal market
conditions.
 The VAR method incorporates the factor sensitivities
of the trading portfolio with the volatilities and
correlations of those factors and is expressed as the
risk to Citigroup over a one-day holding period, at a
99% confidence level.
 Based on the volatilities of and correlations among a
multitude of market risk factors as well as factors that
track the specific issuer risk in debt and equity
securities.
Stress testing
 Performed on trading portfolios on a regular basis to
estimate the impact of extreme market movements.
 Independent market risk management, in conjunction
with the business, develops stress scenarios, reviews
the output of periodic stress-testing exercises, and
uses the information to make judgments as to the
ongoing appropriateness of exposure levels and limits.
Trading portfolios
 Each trading portfolio has its own market risk limit framework
encompassing these measures and other controls.
 Total revenues of the trading business consist of:
• customer revenue, which includes spreads from customer
flow and positions taken to facilitate customer orders
• proprietary trading activities in both cash and derivative
transactions
• net interest revenue
 In 2009, negative trading-related revenue (net losses) was
recorded for 58 of 260 trading days. Of the 58 days on which
negative revenue was recorded, two days were greater than $400
million.
The following histogram of total daily revenue or loss captures
trading volatility and shows the number of days in which
Citigroup’s trading-related revenues fell within particular ranges.
Back-testing
 Citigroup periodically performs extensive back-testing
of many hypothetical test portfolios as one check of
the accuracy of its VAR.
 The process in which the daily VAR of a portfolio is
compared to the actual daily change in the market
value of its transactions.
 Is conducted to confirm that the daily market value
losses in excess of a 99% confidence level occur, on
average, only 1% of the time.
 The VAR calculation for the hypothetical test
portfolios, with different degrees of risk concentration,
meets this statistical criteria.
Expectations
of future price
and market
movements
Vary from
period to
period
Market
environment
Price
risk
exposure
VAR to Citigroup in the trading portfolios (including the total
VAR, the specific risk-only component of VAR, and total—
general market factors only, along with the yearly averages:
The range of VAR in each type of
trading portfolio:
VAR for Citigroup’s Securities and Banking business
(ICG Citicorp VAR, which excludes Consumer):
Operational risk
 Risk of loss resulting from inadequate or failed
internal processes, systems or human factors, or from
external events.
 Includes the reputation and franchise risk associated
with business practices or market conduct in which
Citi is involved.
 Managed through an overall framework designed to
balance strong corporate oversight with well-defined
independent risk management.
The framework includes:
 Recognized ownership of the risk by the business
 Oversight by independent risk management
 Independent review by Citi’s Audit and Risk Review (ARR)
Goal:
 Keep operational risk at appropriate levels relative to the
characteristics of Citigrourp’s businesses, the markets in
which the company operates its capital and liquidity. And
the competitive, economic and regulatory environment.
Framework
 To monitor, mitigate and control operational risk,
Citigroup maintains a system of comprehensive
policies and established a consistent, value-added
framework for assessing and communicating
operational risk and the overall effectiveness of the
internal control environment.
 Operational Risk Council provides oversight
 Council works with the business segments and the
control functions to help ensure a transparent,
consistent and comprehensive framework for
managing operational risk globally.
Framework
The process for operational risk management:
 Identify and assess key operational risks
 Establish key risk indicators
 Produce a comprehensive operational risk report
 Prioritize and assure adequate resources to actively
improve the operational risk environment and
mitigate emerging risks
The operational risk standards facilitate the effective
communication and mitigation of operational risk
both within and across business.
Measurement and Basel II
 Required to capture relevant operational risk capital
information
 Enhanced version of the risk capital model—Basel II
capital calculations
 Uses a combination of internal and external loss data
to support statistical modeling of capital requirement
estimates, which are then adjusted to reflect
qualitative data regarding the operational risk and
control environment.
Information Security
 Information security and the protection of
confidential and sensitive customer data
 Citi has implemented an Information Security
Program that complies with the Gramm-Leach-Bliley
Act and other regulatory guidance.
 The Information Security Program is reviewed and
enhanced periodically to address emerging threats to
customers’ information.
Country risk
 The risk that an event in a foreign country will impair the
value of Citigroup assets or will adversely affect the ability
of obligors within that country to honor their obligations
to Citigroup.
 Country risk events—sovereign defaults, banking or
currency crises, social instability, and changes in
governmental policies
 Country risk includes local franchise risk, credit risk,
market risk, operational risk and cross-border risk.
 The country risk management framework includes
country risk rating models, scenario planning and
stress testing, internal watch lists, and the Country
Risk Committee process.
 The Citigroup Country Risk Committee is the senior
forum to evaluate Citi’s total business footprint within
a specific country franchise with emphasis on
responses to current potential country risk events.
 The Committee regularly reviews all risk exposures
within a country, makes recommendations as to
actions, and follows up to ensure appropriate
accountability.
Cross-Border risk
 The risk that actions taken by a non-US government may
prevent the conversion of local currency into non-local
currency and/or the transfer of funds outside the country,
among other risks, thereby impacting the ability of
Citigroup and its customers to transact business across
borders.
 Examples include actions taken by foreign governments
such as exchange controls, debt moratoria, or restrictions
on the remittance of funds.
 The above actions might restrict the transfer of funds or
the ability of Citigroup to obtain payment from customers
on their contractual obligations.
Recent example of this risk—
Venezuelan Bolivar Devaluation
 The Venezuelan government enacted currency restriction
in 2003 that have restricted Citigroup’s ability to obtain
foreign currency in Venezuela at the official foreign
currency rate.
 Citigroup uses the official rate to re-measure the foreign
currency transactions in the financial statements of the
Venezuelan subsidiaries, which have US dollar functional
currencies, into US dollars.
 At
, Citigroup had net monetary assets
denominated in bolivars and subject to the official rate of
approximately
.
 On
, the Venezuelan government announced the
of the official foreign currency exchange rate
from
bolivars per dollar to
bolivars per dollar and
the creation of a dual, subsidized exchange rate of 2.6
bolivars per dollar for the importation of certain essential
goods.
 The devaluation in the rate is expected to result in a
to the Company of approximately
in the
first quarter of 2010.
 Additionally, revenue and net operating profit in US dollar
terms will be reduced on an ongoing basis.
Cross-border outstandings are reported under Federal
Financial Institutions Examination Council (FFIEC) regulatory
guidelines.
All countries where total FFIEC cross-border outstandings
exceed 0.75% of total Citigroup assets:
Derivatives
Derivative Obligor Information:
 The global derivatives
portfolio by internal
obligor credit rating, as a
percentage of credit
exposure:
 The global derivatives
portfolio by industry of the
obligor as a percentage of
credit exposure:
Credit valuation adjustments (CVA)
 Citigroup applies the fair value adjustments to derivative
carrying values
 CVA are used to OTC derivative instruments, in which the
base valuation generally discounts expected cash flows
using LIBOR interest rate curves.
 Not all counterparties have the same credit risk, a CVA is
necessary to incorporate the market view of both
counterparty credit risk and Citi’s own credit risk in the
valuation.
Derivatives activities
Futures and
forward
contracts
• Commitments to buy or sell at a future date a financial
instruments, commodity or currency at a contracted
price and may be settled in cash or through delivery.
Swap
contracts
• Commitments to settle in cash at a future date or dates
that may range from a few days to a number of years,
based on differentials between specified financial
indices, as applied to a notional principal amount.
Option
contracts
• Give the purchaser, for a fee, the right to buy or sell
within a limited time a financial instrument,
commodity or currency at a contracted price that may
also be settled in cash.
Trading
purposes—
own account
Trading
purposes—
customer
needs
Reasons for
entering
into
derivative
contracts
Hedging
 Hedge certain risks or reposition the risk profile of the
Company
 Example: issue fixed-rate long-term debt and then enter into a
receive-fixed, pay-variable-rate interest rate swap with the
same tenor and notional amount to convert the interest
payments to a net variable-rate basis
 Most common form of an interest rate hedge—minimizing
interest risks inherent in specific groups of on-balance-sheet
assets and liabilities
 Foreign-exchange contracts are used to hedge non-US-dollardenominated debt, foreign-currency-denominated availablefor-sale securities, net capital exposures and foreign-exchange
transactions
The notional amounts, for both long and short derivative
positions, of Citigroup’s derivative instruments:
Fair value hedges—hedging of benchmark
interest rate risk
 Citigroup hedges exposure
 Citigroup also hedges
to changes in the fair value
of outstanding fixed-rate
issued debt and borrowing.
 The fixed cash flows from
those financing
transactions are converted
to benchmark variable-rate
cash flows by entering into
receive-fixed, pay-variable
interest rate swaps.
exposure to changes in the
fair value of fixed-rate
assets, including availablefor-sale debt securities and
loans.
 The hedging instruments
used are receive-variable,
pay-fixed interest rate
swaps.
Fair value hedges—hedging of foreign
exchange risk
 Citigroup hedges the change in fair value attributable to
foreign-exchange rate movements in available-for-sale
securities that are denominated in currencies other than
the functional currency of the entity holding the
securities, which may be within or outside the US.
 The hedging instrument employed is a forward foreignexchange contract.
 Citigroup considers the premium associated with forward
contracts (differential between spot and contractual
forward rates) as the cost of hedging, this is excluded
from the assessment of hedge effectiveness and reflected
directly in earning.
 Dollar-offset method is used to assess hedge effectiveness.
Citigroup’s fair value hedges
Cash flow hedges
 Citigroup hedges variable cash flows resulting from floating-rate liabilities and rollover of short-term liabilities.
 By entering into receive-variable, pay-fixed interest-rate swaps and receive-variable,
pay-fixed forward-starting interest-rate swaps.
 Citigroup locks in the functional currency equivalent of cash flows of various
balance sheet liability exposures, including short-term borrowings and long-term
debt that are denominated in a currency other than the functional currency of the
issuing entity.
 The hedging instruments used are foreign-exchange forward contracts, crosscurrency swaps and foreign-currency options.
 For some hedges, Citigroup matches all terms of the hedged item and the hedging
derivative at inception and on an ongoing basis to eliminate hedge ineffectiveness.
 Manages the risk associated with highly leveraged financing it has entered into by
seeking to sell a majority of its exposures to the market prior to or shortly after
funding.
 Hedged with a total return swap.
The pretax change in Accumulated other comprehensive
income (loss) from cash flow hedges:
Net investment hedges
 Citigroup uses foreign-currency forwards, options and
swaps and foreign-currency-denominated debt
instruments to manage the foreign-exchange risk
associated with Citigroup’s equity investments in several
non-US dollar functional currency foreign subsidiaries.
 The pretax loss recorded in foreign-currency translation
adjustment within Accumulated other comprehensive
income (loss), related to the effective portion of the net
investment hedges, is $4,560 million during the year
ended December 31, 2009.
Credit derivatives
 A bilateral contract between a buyer and a seller under which
the seller agrees to provide protection to the buyer against the
credit risk of a particular entity.
 Citi makes markets in and trades a range of credit derivatives,
both on behalf of clients as well as for its own account.
Through these contracts, the Company either purchases or
writes protection on either a single name or a portfolio of
reference credits.
 Citi uses credit derivatives to help mitigate credit risk in its
corporate and consumer loan portfolio and other cash
positions, to take proprietary trading positions, and to
facilitate client transactions.
 The range of credit derivatives sold includes credit default
swaps, total return swaps and credit options.
Key characteristics of Citi’s credit derivative
portfolio as protection seller
Payment/performance risk
 Citigroup evaluates the payment/performance risk of the
credit derivatives to which it stands as a protection seller based
on the credit rating which has been assigned to the underlying
referenced credit.
 Where external ratings by nationally recognized statistical
rating organizations (Moody’s and S&P) are used, investment
grade ratings are considered to be Baa/BBB or above.
 Internal ratings are in line with the related external credit
rating system.
 The
in the table above
primarily includes credit derivatives where the underlying
referenced entity has been downgraded subsequent to the
inception of the derivative.
Citi’s credit derivative portfolio
 Citi actively monitors its counterparty credit risk in credit
derivative contracts.
 Approximately 85% and 88% of the gross receivables are
from counterparties with which Citi maintains collateral
agreements as of Dec 31, 2009 and 2008.
 A majority of Citi’s top 15 counterparties are banks,
financial institutions or other dealers. Contracts with
these counterparties do not include ratings-based
termination events.
Key characteristics of Citi’s credit derivative
portfolio by counterparty and derivative form:
Concentrations of credit risk
 Exist when changes in economic, industry or geographic
factors similarly affect groups of counterparties whose
aggregate credit exposure is material in relation to Citigroup’s
total credit exposure.
 In connection with the Company’s effort to maintain a
diversified portfolio, the Company limits its exposure to any
one geographic region, country or individual creditor and
monitors this exposure on a continuous basis.
 Most significant concentration—the US government and its
agencies. Primarily results from trading assets and investments
issued by the US government and its agencies.
 The Mexican and Japanese governments and their agencies are
the next largest exposures.
Risk Management Practice
 Risk management oversight for Citigroup’s U.S.
pension plans and largest non-U.S. pension plans
 Managed by Citigroup’s Independent Risk Management
Regional Units
Risk Management Practices
 Periodic asset liability management and strategic
asset allocation studies
 Monitoring of funding levels and funding ratios
 Monitoring compliance with asset allocation
guidelines
 Monitoring asset class performance against asset
class benchmarks
 Monitoring investor manager performance against
benchmarks
 Quarterly risk capital measurement