Citibank 2010 Annual Report Download - page 235

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233
In millions of dollars As of December 31, 2009
Total
involvement
with SPE
assets
QSPE
assets
Consolidated
VIE assets
Significant
unconsolidated
VIE assets (1)
Maximum exposure to
loss in significant
unconsolidated
VIEs (2)
Credit card securitizations $ 78,833 $ 78,833 $ — $ — $ —
Mortgage securitizations (6) 264,949 264,949 — — —
U.S. agency-sponsored
Non-agency-sponsored
Citi-administered asset-backed
commercial paper conduits (ABCP) 36,327 — — 36,327 36,326
Third-party commercial paper conduits 3,718 — — 3,718 353
Collateralized debt obligations (CDOs) 2,785 — — 2,785 21
Collateralized loan obligations (CLOs) 5,409 — — 5,409 120
Asset-based financing 19,612 — 1,279 18,333 5,221
Municipal securities tender
option bond trusts (TOBs) 19,455 705 9,623 9,127 6,841
Municipal investments 10,906 — 11 10,895 2,370
Client intermediation 8,607 — 2,749 5,858 881
Investment funds 93 — 39 54 10
Trust preferred securities 19,345 — — 19,345 128
Other 7,380 1,808 1,838 3,734 446
$477,419 $346,295 $ 15,539 $ 115,585 $ 52,717
Credit card securitizations $ 42,274 $ 42,274 $ — $ — $ —
Mortgage securitizations (6) 308,504 308,504 — — —
U.S. agency-sponsored
Non-agency-sponsored
Student loan securitizations 14,343 14,343 — — —
Citi-administered asset-backed
commercial paper conduits (ABCP) 98 — 98 — —
Third-party commercial paper conduits 5,776 — — 5,776 439
Collateralized debt obligations (CDOs) 24,157 — 7,614 16,543 1,158
Collateralized loan obligations (CLOs) 13,515 — 142 13,373 1,658
Asset-based financing 52,598 — 370 52,228 18,385
Municipal securities tender
option bond trusts (TOBs) 1,999 — 1,999 — —
Municipal investments 5,364 — 882 4,482 375
Client intermediation 675 — 230 445 396
Investment funds 10,178 — 1,037 9,141 268
Other 3,732 610 1,472 1,650 604
$483,213 $365,731 $ 13,844 $ 103,638 $ 23,283
$960,632 $712,026 $ 29,383 $ 219,223 $ 76,000
(1) The definition of maximum exposure to loss is included in the text that follows.
(2) Included in Citigroup’s December 31, 2010 Consolidated Balance Sheet.
(3) Not included in Citigroup’s December 31, 2010 Consolidated Balance Sheet.
(4) Due to the adoption of ASC 810, (SFAS 167) on January 1, 2010, the previously disclosed assets of former QSPEs are now included in either the “Consolidated VIE / SPE assets” or the “Significant
unconsolidated VIE assets” columns for the December 31, 2010 period.
(5) A significant unconsolidated VIE is an entity where the Company has any variable interest considered to be significant, regardless of the likelihood of loss or the notional amount of exposure.
(6) A significant portion of the Company’s securitized mortgage portfolio was transferred from Citi Holdings to Citicorp during the first quarter of 2010.
(1) A significant unconsolidated VIE is an entity where the Company has any variable interest considered to be significant, regardless of the likelihood of loss or the notional amount of exposure.
(2) The definition of maximum exposure to loss is included in the text that follows.
Reclassified to conform to the current period’s presentation.