Citibank 2011 Annual Report Download - page 119

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97
Price Risk—Trading Portfolios
Price risk in Citi’s trading portfolios is monitored using a series of measures,
including but not limited to:
฀ Value at risk (VAR)
฀ Stress testing
฀ Factor sensitivities
Each trading portfolio across Citi’s business segments (Citicorp, Citi
Holdings and Corporate/Other) has its own market risk limit framework
encompassing these measures and other controls, including permitted
product lists and a new product approval process for complex products.
All trading positions are marked to market, with the result reflected in
earnings. In 2011, negative trading-related revenue (net losses) was recorded
for 54 of 260 trading days. Of the 54 days on which negative revenue (net
losses) was recorded, 1 day was greater than $180 million.
The following histogram of total daily trading revenue (loss) captures
trading volatility and shows the number of days in which Citi’s VAR trading-
related revenues fell within particular ranges. A substantial portion of the
volatility relating to Citi’s total daily trading revenue VAR is driven by changes
in CVA on Citi’s derivative assets, net of CVA hedges.
0
5
10
15
20
25
30
35
40
45
(240) to (220)
(280) to (260)(2)
(260) to (240)
(20) to 0
(40) to (20)
(60) to (40)
(80) to (60)
(100) to (80)
(120) to (100)
(140) to (120)
(160) to (140)
(180) to (160)(3)
(200) to (180)
(220) to (200)
0 to 20
20 to 40
40 to 60
60 to 80
80 to 100
100 to 120
120 to 140
140 to 160
160 to 180
180 to 200
200 to 220
220 to 240
240 to 260
260 to 280
280 to 300
Frequency
Histogram of Daily-Total-Trading Revenue(1)—Twelve Months Ended December 31, 2011
(In millions of dollars)
æ 4OTALæTRADINGæREVENUEæCONSISTSæOFæIæCUSTOMERæREVENUEæWHICHæINCLUDESæSPREADSæFROMæCUSTOMERæFLOWæANDæPOSITIONSæTAKENæTOæFACILITATEæCUSTOMERæORDERSæIIæHEDGINGæACTIVITYæINCLUDINGæHEDGINGæOFæTHEæ#ORPORATEæLOANæ
PORTFOLIOæ-32SæETCæIIIæPROPRIETARYæTRADINGæACTIVITIESæINæCASHæANDæDERIVATIVEæTRANSACTIONSæIVæNETæINTERESTæREVENUEæANDæVæ#6!æADJUSTMENTSæINCURREDæDUEæTOæCHANGESæINæTHEæCREDITæQUALITYæOFæCOUNTERPARTIESæASæWELLæASæANYæ
ASSOCIATEDæHEDGESæTOæTHATæ#6!
æ 0RINCIPALLYæRELATEDæTOæTRADINGæREVENUEæINæICGæONæTHEæDAYæOFæTHEæ53æGOVERNMENTæRATINGæDOWNGRADEæBYæ30æ!UGUSTæ
æ 0RINCIPALLYæRELATEDæTOæTRADINGæREVENUEæINæ)#'æANDæ#6!æHEDGESæONæTHEæDAYæOFæTHEæTSUNAMIæINæ*APANæ-ARCHæ