Citibank 2010 Annual Report Download - page 241

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Managed Loans—Citi Holdings
The following tables present a reconciliation between the managed and
on-balance-sheet credit card portfolios and the related delinquencies (loans
which are 90 days or more past due) and credit losses, net of recoveries:
In millions of dollars,
except loans in billions
December 31,
2010
December 31,
2009
Loan amounts, at period end
On balance sheet $ 52.8 $ 27.0
Securitized amounts —38.8
Total managed loans $ 52.8 $ 65.8
Delinquencies, at period end
On balance sheet $1,554 $1,250
Securitized amounts —1,326
Total managed delinquencies $1,554 $2,576
Credit losses, net of recoveries,
for the years ended December 31, 2010 2009 2008
On balance sheet $7,230 $4,540 $3,052
Securitized amounts —4,590 3,107
Total managed credit losses $7,230 $9,130 $6,159
Funding, Liquidity Facilities and Subordinated Interests
Citigroup securitizes credit card receivables through two securitization
trusts—Citibank Credit Card Master Trust (Master Trust), which is part of
Citicorp, and the Citibank OMNI Master Trust (Omni Trust), which is part of
Citi Holdings. Citigroup previously securitized credit card receivables through
the Broadway Credit Card Trust (Broadway Trust); however, this Trust was
sold as part of a disposition during 2010.
Master Trust issues fixed- and floating-rate term notes as well as
commercial paper (CP). Some of the term notes are issued to multi-seller
commercial paper conduits. In 2009, the Master Trust issued $4.3 billion
of notes that are eligible for the Term Asset-Backed Securities Loan Facility
(TALF) program, where investors can borrow from the Federal Reserve using
the trust securities as collateral. The weighted average maturity of the term
notes issued by the Master Trust was 3.4 years as of December 31, 2010 and
3.6 years as of December 31, 2009. Beginning in 2010, the liabilities of the
trusts are included in the Consolidated Balance Sheet.
Master Trust Liabilities (at par value)
In billions of dollars
December 31,
2010
December 31,
2009
Term notes issued to multi-seller
CP conduits $ 0.3 $ 0.8
Term notes issued to third parties 41.8 51.2
Term notes retained by
Citigroup affiliates 3.4 5.0
Commercial paper —14.5
Total Master Trust
liabilities $45.5 $71.5
The Omni Trust issues fixed- and floating-rate term notes, some of which
are purchased by multi-seller commercial paper conduits. The Omni Trust
also issues commercial paper. During 2009, a portion of the Omni Trust
commercial paper had been purchased by the Federal Reserve Commercial
Paper Funding Facility (CPFF). In addition, some of the multi-seller conduits
that hold Omni Trust term notes had placed commercial paper with the CPFF.
No Omni Trust liabilities were funded through the CPFF as of December 31,
2010. The total amount of Omni Trust liabilities funded directly or indirectly
through the CPFF was $2.5 billion at December 31, 2009.
The weighted average maturity of the third-party term notes issued by
the Omni Trust was 1.8 years as of December 31, 2010 and 2.5 years as of
December 31, 2009.
Omni Trust Liabilities (at par value)
In billions of dollars
December 31,
2010
December 31,
2009
Term notes issued to multi-seller
CP conduits $ 7.2 $13.1
Term notes issued to third parties 9.2 9.2
Term notes retained by
Citigroup affiliates 7.1 9.8
Commercial paper —4.4
Total Omni Trust liabilities $23.5 $36.5
Citibank (South Dakota), N.A. is the sole provider of full liquidity facilities
to the commercial paper programs of the Master and Omni Trusts. Both
of these facilities, which represent contractual obligations on the part of
Citibank (South Dakota), N.A. to provide liquidity for the issued commercial
paper, are made available on market terms to each of the trusts. The liquidity
facilities require Citibank (South Dakota), N.A. to purchase the commercial
paper issued by each trust at maturity, if the commercial paper does not
roll over, as long as there are available credit enhancements outstanding,
typically in the form of subordinated notes. As there was no Omni Trust or
Master Trust commercial paper outstanding as of December 31, 2010, there
was no liquidity commitment at that time. The liquidity commitment related
to the Omni Trust commercial paper programs amounted to $4.4 billion at
December 31, 2009. The liquidity commitment related to the Master Trust
commercial paper program amounted to $14.5 billion at December 31, 2009.
As of December 31, 2009, none of the Omni Trust or Master Trust liquidity
commitments were drawn.