Citibank 2012 Annual Report Download - page 300

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Collateral
Cash collateral available to the Company to reimburse losses realized
under these guarantees and indemnifications amounted to $39 billion and
$35 billion at December 31, 2012 and December 31, 2011, respectively.
Securities and other marketable assets held as collateral amounted to
$51 billion and $65 billion at December 31, 2012 and December 31, 2011,
respectively. The majority of collateral is held to reimburse losses realized
under securities lending indemnifications. Additionally, letters of credit
in favor of the Company held as collateral amounted to $1.8 billion and
$1.5 billion at December 31, 2012 and December 31, 2011, respectively. Other
property may also be available to the Company to cover losses under certain
guarantees and indemnifications; however, the value of such property has
not been determined.
Performance risk
Citi evaluates the performance risk of its guarantees based on the assigned
referenced counterparty internal or external ratings. Where external ratings
are used, investment-grade ratings are considered to be Baa/BBB and above,
while anything below is considered non-investment grade. The Citi internal
ratings are in line with the related external rating system. On certain
underlying referenced credits or entities, ratings are not available. Such
referenced credits are included in the “not rated” category. The maximum
potential amount of the future payments related to guarantees and credit
derivatives sold is determined to be the notional amount of these contracts,
which is the par amount of the assets guaranteed.
Presented in the tables below are the maximum potential amounts of
future payments that are classified based upon internal and external credit
ratings as of December 31, 2012 and December 31, 2011. As previously
mentioned, the determination of the maximum potential future payments
is based on the notional amount of the guarantees without consideration
of possible recoveries under recourse provisions or from collateral held or
pledged. As such, the Company believes such amounts bear no relationship to
the anticipated losses, if any, on these guarantees.
Maximum potential amount of future payments
In billions of dollars as of December 31, 2012
Investment
grade
Non-investment
grade
Not
rated Total
Financial standby letters of credit $ 80.9 $11.0 $ 10.2 $102.1
Performance guarantees 7.3 3.0 1.7 12.0
Derivative instruments deemed to be guarantees — — 56.7 56.7
Loans sold with recourse — — 0.5 0.5
Securities lending indemnifications — — 80.4 80.4
Credit card merchant processing — — 70.3 70.3
Custody indemnifications and other 30.1 0.1 — 30.2
Total $118.3 $14.1 $ 219.8 $352.2
Maximum potential amount of future payments
In billions of dollars as of December 31, 2011
Investment
grade
Non-investment
grade
Not
rated Total
Financial standby letters of credit $ 79.3 $17.2 $ 8.2 $104.7
Performance guarantees 6.9 3.2 2.2 12.3
Derivative instruments deemed to be guarantees — — 49.8 49.8
Loans sold with recourse — — 0.4 0.4
Securities lending indemnifications — — 90.9 90.9
Credit card merchant processing — — 70.2 70.2
Custody indemnifications and other 40.0 — — 40.0
Total $ 126.2 $20.4 $ 221.7 $ 368.3