Citibank 2012 Annual Report Download - page 136

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Sovereign, Financial Institution and Corporate Exposures
In billions of U.S. dollars as of December 31, 2012 GIIPS (1) Greece Ireland Italy Portugal Spain France
Funded loans, before reserves (2) $ 8.0 $ 1.1 $ 0.3 $ 1.8 $ 0.3 $ 4.5 $ 5.4
Derivative counterparty mark-to-market, inclusive of CVA (3) 13.6 0.6 0.5 9.6 0.2 2.6 6.0
Gross funded credit exposure $ 21.6 $ 1.7 $ 0.8 $11.4 $ 0.5 $ 7.1 $11.5
Less: margin and collateral (4) $ (5.5) $(0.3) $(0.3) $ (1.2) $(0.1) $(3.5) $ (5.0)
Less: purchased credit protection (5) (10.1) (0.3) (0.0) (7.6) (0.2) (2.0) (2.6)
Net current funded credit exposure $ 6.0 $ 1.2 $ 0.5 $ 2.6 $ 0.2 $ 1.5 $ 3.9
Net trading exposure $ 2.6 $ 0.0 $(0.0) $ 1.4 $ 0.1 $ 1.1 $ (0.2)
AFS exposure 0.3 0.0 0.0 0.2 0.0 0.0 0.3
Net trading and AFS exposure $ 2.9 $ 0.0 $(0.0) $ 1.6 $ 0.1 $ 1.2 $ 0.1
Net current funded exposure $ 8.9 $ 1.2 $ 0.5 $ 4.2 $ 0.3 $ 2.7 $ 4.0
Additional collateral received, not reducing amounts above $ (2.1) $(0.9) $(0.2) $ (0.6) $(0.0) $(0.4) $ (4.0)
Net current funded credit exposure detail
Sovereigns $ 1.1 $ 0.2 $ 0.0 $ 1.1 $ 0.0 $(0.3) $ 0.0
Financial institutions 0.8 0.0 0.0 0.2 0.0 0.6 1.9
Corporations 4.1 1.0 0.5 1.3 0.1 1.2 2.0
Net current funded credit exposure $ 6.0 $ 1.2 $ 0.5 $ 2.6 $ 0.2 $ 1.5 $ 3.9
Net unfunded commitments (6)
Sovereigns $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.0 $ 0.1
Financial institutions 0.4 0.0 0.0 0.1 0.0 0.3 3.2
Corporations, net 6.9 0.8 0.5 3.0 0.2 2.3 11.2
Total net unfunded commitments $ 7.3 $ 0.8 $ 0.5 $ 3.1 $ 0.2 $ 2.6 $14.4
Note: Totals may not sum due to rounding. The exposures in the table above do not include retail, small business and Citi Private Bank exposures in the GIIPS. See “GIIPS—Retail, Small Business and Citi Private Bank”
below. Retail, small business and Citi Private Bank exposure in France was not material as of December 31, 2012. Citi has exposures to obligors located within the GIIPS and France that are not included in the table
above because Citi’s internal risk management systems determine that the client relationship, taken as a whole, is not in GIIPS or France (e.g., a funded loan to a Greece subsidiary of a Switzerland-based corporation).
However, the total amount of such exposures was less than $1.3 billion of funded loans and $1.8 billion of unfunded commitments across the GIIPS and in France as of December 31, 2012.
(1) Greece, Ireland, Italy, Portugal and Spain.
(2) As of December 31, 2012, Citi held $0.3 billion and $0.1 billion in reserves against these loans in the GIIPS and France, respectively.
(3) Includes the net credit exposure arising from secured financing transactions, such as repurchase agreements and reverse repurchase agreements. See “Secured Financing Transactions” below.
(4) For derivatives and loans, includes margin and collateral posted under legally enforceable margin agreements. Does not include collateral received on secured financing transactions.
(5) Credit protection purchased primarily from investment grade, global financial institutions predominantly outside of the GIIPS and France. See “Credit Default Swaps” below.
(6) Unfunded commitments net of approximately $0.7 billion and $1.2 billion of purchased credit protection as of December 31, 2012 on unfunded commitments in the GIIPS and France, respectively.