Citibank 2012 Annual Report Download - page 211

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13. BROKERAGE RECEIVABLES AND BROKERAGE
PAYABLES
The Company has receivables and payables for financial instruments
purchased from and sold to brokers, dealers and customers, which arise in
the ordinary course of business. The Company is exposed to risk of loss from
the inability of brokers, dealers or customers to pay for purchases or to deliver
the financial instruments sold, in which case the Company would have to sell
or purchase the financial instruments at prevailing market prices. Credit risk
is reduced to the extent that an exchange or clearing organization acts as a
counterparty to the transaction and replaces the broker, dealer or customer
in question.
The Company seeks to protect itself from the risks associated with
customer activities by requiring customers to maintain margin collateral
in compliance with regulatory and internal guidelines. Margin levels are
monitored daily, and customers deposit additional collateral as required.
Where customers cannot meet collateral requirements, the Company will
liquidate sufficient underlying financial instruments to bring the customer
into compliance with the required margin level.
Exposure to credit risk is impacted by market volatility, which may impair
the ability of clients to satisfy their obligations to the Company. Credit limits
are established and closely monitored for customers and for brokers and
dealers engaged in forwards, futures and other transactions deemed to be
credit sensitive.
Brokerage receivables and brokerage payables consisted of the
following at December 31:
In millions of dollars 2012 2011
Receivables from customers $12,191 $19,991
Receivables from brokers, dealers, and clearing organizations 10,299 7,786
Total brokerage receivables (1) $22,490 $27,777
Payables to customers $38,279 $40,111
Payables to brokers, dealers, and clearing organizations 18,734 16,585
Total brokerage payables (1) $57,013 $56,696
(1) Brokerage receivables and payables are accounted for in accordance with ASC 940-320.
14. TRADING ACCOUNT ASSETS AND LIABILITIES
Trading account assets and Trading account liabilities, at fair value,
consisted of the following at December 31:
In millions of dollars 2012 2011
Trading account assets
Mortgage-backed securities (1)
U.S. government-sponsored agency guaranteed $ 31,160 $ 27,535
Prime 1,248 877
Alt-A 801 609
Subprime 812 989
Non-U.S. residential 607 396
Commercial 2,441 2,333
Total mortgage-backed securities $ 37,069 $ 32,739
U.S. Treasury and federal agency securities
U.S. Treasury $ 17,472 $ 18,227
Agency obligations 2,884 1,172
Total U.S. Treasury and federal agency securities $ 20,356 $ 19,399
State and municipal securities $ 3,806 $ 5,364
Foreign government securities 89,239 79,551
Corporate 35,224 37,026
Derivatives (2) 54,620 62,327
Equity securities 56,998 33,230
Asset-backed securities (1) 5,352 7,071
Other debt securities 18,265 15,027
Total trading account assets $320,929 $291,734
Trading account liabilities
Securities sold, not yet purchased $ 63,798 $ 69,809
Derivatives (2) 51,751 56,273
Total trading account liabilities $115,549 $126,082
(1) The Company invests in mortgage-backed and asset-backed securities. These securitizations are
generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to
the carrying amount of the securities, which is reflected in the table above. For mortgage-backed
and asset-backed securitizations in which the Company has other involvement, see Note 22 to the
Consolidated Financial Statements.
(2) Presented net, pursuant to enforceable master netting agreements. See Note 23 to the Consolidated
Financial Statements for a discussion regarding the accounting and reporting for derivatives.