Citibank 2010 Annual Report Download - page 283

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Collateral
Cash collateral available to the Company to reimburse losses realized
under these guarantees and indemnifications amounted to $35 billion and
$31 billion at December 31, 2010 and December 31, 2009, respectively.
Securities and other marketable assets held as collateral amounted to
$41 billion and $43 billion, respectively, the majority of which collateral is
held to reimburse losses realized under securities lending indemnifications.
Additionally, letters of credit in favor of the Company held as collateral
amounted to $2.0 billion and $1.4 billion at December 31, 2010 and
December 31, 2009, respectively. Other property may also be available to the
Company to cover losses under certain guarantees and indemnifications;
however, the value of such property has not been determined.
Performance risk
Citigroup evaluates the performance risk of its guarantees based on the
assigned referenced counterparty internal or external ratings. Where external
ratings are used, investment-grade ratings are considered to be Baa/BBB
and above, while anything below is considered non-investment grade.
The Citigroup internal ratings are in line with the related external rating
system. On certain underlying referenced credits or entities, ratings are not
available. Such referenced credits are included in the not rated category. The
maximum potential amount of the future payments related to guarantees
and credit derivatives sold is determined to be the notional amount of these
contracts, which is the par amount of the assets guaranteed.
Presented in the tables below are the maximum potential amounts of
future payments that are classified based upon internal and external credit
ratings as of December 31, 2010 and 2009. As previously mentioned, the
determination of the maximum potential future payments is based on
the notional amount of the guarantees without consideration of possible
recoveries under recourse provisions or from collateral held or pledged.
Such amounts bear no relationship to the anticipated losses, if any, on
these guarantees.
Maximum potential amount of future payments
In billions of dollars as of December 31, 2010
Investment
grade
Non-investment
grade
Not
rated Total
Financial standby letters of credit $ 58.7 $13.2 $ 22.9 $ 94.8
Performance guarantees 7.0 3.4 3.3 13.7
Derivative instruments deemed to be guarantees — — 8.1 8.1
Loans sold with recourse — — 0.4 0.4
Securities lending indemnifications — — 70.4 70.4
Credit card merchant processing — — 65.0 65.0
Custody indemnifications and other 40.2 — — 40.2
Total $105.9 $16.6 $170.1 $292.6
Maximum potential amount of future payments
In billions of dollars as of December 31, 2009
Investment
grade
Non-investment
grade
Not
rated Total
Financial standby letters of credit $49.2 $13.5 $ 26.7 $ 89.4
Performance guarantees 6.5 3.7 3.7 13.9
Derivative instruments deemed to be guarantees — — 7.7 7.7
Loans sold with recourse — — 0.3 0.3
Securities lending indemnifications — — 64.5 64.5
Credit card merchant processing — — 59.7 59.7
Custody indemnifications and other 26.7 — — 26.7
Total $82.4 $17.2 $162.6 $ 262.2