Citibank 2011 Annual Report Download - page 240

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The previous tables do not include:
฀ ertain venture capital investments made by some of the Company’s
private equity subsidiaries, as the Company accounts for these investments
in accordance with the Investment Company Audit Guide;
฀ certain limited partnerships that are investment funds that qualify for
the deferral from the requirements of ASC 810 where the Company is the
general partner and the limited partners have the right to replace the
general partner or liquidate the funds;
฀ certain investment funds for which the Company provides investment
management services and personal estate trusts for which the Company
provides administrative, trustee and/or investment management services;
฀ VIEs structured by third parties where the Company holds securities in
inventory. These investments are made on arm’s-length terms;
฀ certain positions in mortgage-backed and asset-backed securities
held by the Company, which are classified as Trading account assets
or Investments, where the Company has no other involvement with
the related securitization entity deemed to be significant. For more
information on these positions, see Notes 14 and 15 to the Consolidated
Financial Statements;
฀ certain representations and warranties exposures in legacy Securities and
Banking mortgage-backed and asset-backed securitizations, where the
Company has no variable interest or continuing involvement as servicer. The
outstanding balance of the loans securitized was approximately $22 billion at
December 31, 2011, related to legacy transactions sponsored by Securities and
Banking during the period 2005 to 2008; and
฀ certain representations and warranties exposures in Consumer mortgage
securitizations, where the original mortgage loan balances are no
longer outstanding.
The asset balances for consolidated VIEs represent the carrying amounts
of the assets consolidated by the Company. The carrying amount may
represent the amortized cost or the current fair value of the assets depending
on the legal form of the asset (e.g., security or loan) and the Company’s
standard accounting policies for the asset type and line of business.
The asset balances for unconsolidated VIEs where the Company has
significant involvement represent the most current information available
to the Company. In most cases, the asset balances represent an amortized
cost basis without regard to impairments in fair value, unless fair value
information is readily available to the Company. For VIEs that obtain
asset exposures synthetically through derivative instruments (for example,
synthetic CDOs), the tables generally include the full original notional
amount of the derivative as an asset.
The maximum funded exposure represents the balance sheet carrying
amount of the Company’s investment in the VIE. It reflects the initial
amount of cash invested in the VIE plus any accrued interest and is adjusted
for any impairments in value recognized in earnings and any cash principal
payments received. The maximum exposure of unfunded positions represents
the remaining undrawn committed amount, including liquidity and credit
facilities provided by the Company, or the notional amount of a derivative
instrument considered to be a variable interest, adjusted for any declines
in fair value recognized in earnings. In certain transactions, the Company
has entered into derivative instruments or other arrangements that are not
considered variable interests in the VIE (e.g., interest rate swaps, cross-
currency swaps, or where the Company is the purchaser of credit protection
under a credit default swap or total return swap where the Company pays
the total return on certain assets to the SPE). Receivables under such
arrangements are not included in the maximum exposure amounts.