Citibank 2011 Annual Report Download - page 118

96
Non-Trading Portfolios—IRE
The exposures in the following table represent the approximate annualized
risk to NIR assuming an unanticipated parallel instantaneous 100 bps
change, as well as a more gradual 100 bps (25 bps per quarter) parallel
change in interest rates compared with the market forward interest rates in
selected currencies.
December 31, 2011 $ECEMBERææ
In millions of dollars Increase Decrease )NCREASE $ECREASE
U.S. dollar (1) ææ
)NSTANTANEOUSæCHANGE $97 NM  .-
'RADUALæCHANGE 110 NM  .-
Mexican peso ææ
)NSTANTANEOUSæCHANGE $ 87 $(87)   
'RADUALæCHANGE 54 (54)  
Euro ææ
)NSTANTANEOUSæCHANGE $69 NM   .-
'RADUALæCHANGE 35 NM  .-
Japanese yen ææ
)NSTANTANEOUSæCHANGE $105 NM  .-
'RADUALæCHANGE 61 NM  .-
Pound sterling ææ
)NSTANTANEOUSæCHANGE $35 NM  .-
'RADUALæCHANGE 24 NM  .-
ææ #ERTAINæTRADINGORIENTEDæBUSINESSESæWITHINæ#ITIæHAVEæACCRUALACCOUNTEDæPOSITIONSæTHATæAREæEXCLUDEDæ
FROMæTHEæTABLEæ4HEæ53æDOLLARæ)2%æASSOCIATEDæWITHæTHESEæBUSINESSESæWASææMILLIONæFORæAææBASISæ
POINTæINSTANTANEOUSæINCREASEæINæINTERESTæRATESæASæOFæ$ECEMBERææ
.-æ .OTæMEANINGFULæ!ææBASISæPOINTæDECREASEæINæINTERESTæRATESæWOULDæIMPLYæNEGATIVEæRATESæFORæTHEæ
YIELDæCURVE
The changes in the U.S. dollar IRE year over year reflected revised
modeling of mortgages and the impact of lower rates, asset sales, swapping
activities and repositioning of the liquidity portfolio.
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.
3CENARIOæ 3CENARIOæ 3CENARIOæ 3CENARIOæ 3CENARIOæ 3CENARIOæ
/VERNIGHTæRATEæCHANGEæBPS      
YEARæRATEæCHANGEæBPS      
Impact to net interest revenue (in millions of dollars)    æ.- .- æ