Citibank 2011 Annual Report Download - page 197

175
In millions of dollars Non-U.S. pension and postretirement benefit plans
Asset categories (1)
Beginning Level 3
fair value at
Dec. 31, 2009
Realized
gains
(losses)
Unrealized
gains
(losses)
Purchases,
sales, and
issuances
Transfers in
and/or out of
Level 3
Ending Level 3
fair value at
Dec. 31, 2010
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Investment Strategy
Citigroup’s global pension and postretirement funds’ investment strategies
are to invest in a prudent manner for the exclusive purpose of providing
benefits to participants. The investment strategies are targeted to produce a
total return that, when combined with Citigroup’s contributions to the funds,
will maintain the funds’ ability to meet all required benefit obligations.
Risk is controlled through diversification of asset types and investments
in domestic and international equities, fixed-income securities and cash
and short-term investments. The target asset allocation in most locations
outside the U.S. is to have the majority of the assets in equity and debt
securities. These allocations may vary by geographic region and country
depending on the nature of applicable obligations and various other
regional considerations. The wide variation in the actual range of plan
asset allocations for the funded non-U.S. plans is a result of differing local
statutory requirements and economic conditions. For example, in certain
countries local law requires that all pension plan assets must be invested in
fixed-income investments, government funds, or local-country securities.
Significant Concentrations of Risk in Plan Assets
The assets of Citigroup’s pension plans are diversified to limit the impact
of any individual investment. The U.S. pension plan is diversified across
multiple asset classes, with publicly traded fixed income, hedge funds and
private equity representing the most significant asset allocations. Investments
in these three asset classes are further diversified across funds, managers,
strategies, vintages, sectors and geographies, depending on the specific
characteristics of each asset class. The pension assets for Citigroup’s largest
non-U.S. plans are primarily invested in publicly traded fixed income and
publicly traded equity securities.
Oversight and Risk Management Practices
The framework for Citigroup’s pensions oversight process includes
monitoring of retirement plans by plan fiduciaries and/or management
at the global, regional or country level, as appropriate. Independent risk
management contributes to the risk oversight and monitoring for Citigroup’s
U.S. pension plans and largest non-U.S. pension plans. Although the specific
components of the oversight process are tailored to the requirements of each
region, country and plan, the following elements are common to Citigroup’s
monitoring and risk management process:
฀ ฀฀฀฀฀฀฀
allocation reviews
฀ ฀฀฀฀฀฀฀
฀ ฀฀฀฀฀฀฀฀
฀ ฀฀฀฀฀฀฀฀
performance against benchmarks
฀ ฀฀฀฀฀฀