Citibank 2008 Annual Report Download - page 81
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The following table summarizes VAR to Citigroup in the trading portfolios
as of December 31, 2008 and 2007, including the total VAR, the specific risk-
only component of VAR, and total—general market factors only, along with
the yearly averages:
In millions of dollars
Dec. 31,
2008
2008
average
Dec. 31,
2007
2007
average
Interest rate $ 320 $ 280 $89 $98
Foreign exchange 118 54 28 29
Equity 84 99 150 96
Commodity 15 34 45 35
Covariance adjustment (218) (175) (121) (116)
Total—all market
risk factors,
including general
and specific risk $ 319 $ 292 $ 191 $ 142
Specific risk-only
component $8 $21 $28 $19
Total—general
market factors only $ 311 $ 271 $ 163 $ 123
The specific risk-only component represents the level of equity and debt
issuer-specific risk embedded in VAR.
The table below provides the range of VAR in each type of trading
portfolio that was experienced during 2008 and 2007:
2008 2007
In millions of dollars Low High Low High
Interest rate $227 $339 $71 $128
Foreign exchange 23 130 21 37
Equity 58 235 55 164
Commodity 12 60 17 56
75