Citibank 2012 Annual Report Download - page 78

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(overnight, one week, two weeks, one month, three months, one year),
and liquidity limits are set accordingly. To monitor the liquidity of a unit,
those stress tests and potential mismatches may be calculated with varying
frequencies, with several important tests performed daily.
Given the range of potential stresses, Citi maintains a series of contingency
funding plans on a consolidated basis as well as for individual entities. These
plans specify a wide range of readily available actions that are available in a
variety of adverse market conditions, or idiosyncratic disruptions.
Credit Ratings
Citigroup’s funding and liquidity, including its funding capacity, its ability
to access the capital markets and other sources of funds, as well as the cost of
these funds, and its ability to maintain certain deposits, is partially dependent
on its credit ratings. The table below indicates the ratings for Citigroup,
Citibank, N.A. and Citigroup Global Markets Inc. (a broker-dealer subsidiary
of Citigroup) as of December 31, 2012.
Citi’s Debt Ratings as of December 31, 2012
Citigroup Inc. Citibank, N.A.
Citigroup Global
Markets Inc.
Senior
debt
Commercial
paper
Long-
term
Short-
term
Long-
term
Fitch Ratings (Fitch) A F1 A F1 NR
Moody’s Investors Service (Moody’s) Baa2 P-2 A3 P-2 NR
Standard & Poor’s (S&P) A- A-2 A A-1 A
NR Not rated.
Recent Credit Rating Developments
On December 5, 2012, S&P concluded its annual review of Citi with no
changes to the ratings and outlooks on Citigroup and its subsidiaries. On
October 16, 2012, S&P noted that Citi’s ratings remain unchanged despite
the change in senior management. At the same time, S&P maintained
a negative outlook on the ratings. These ratings continue to receive two
notches of government support uplift, in line with other large banks.
On October 16, 2012, Fitch noted the change in Citi’s senior management
as an unexpected, but credit-neutral, event that would likely have no
material impact on the credit profile of Citibank, N.A. or its ratings in the
near term. On October 10, 2012, Fitch affirmed the long- and short-term
ratings of “A/F1” and the Viability Rating of “a-” for Citigroup and Citibank,
N.A. and, as of that date, the rating outlook by Fitch was stable. This rating
action was taken in conjunction with Fitch’s periodic review of the 13 global
trading and universal banks.
On February 12, 2013, Moody’s changed the rating outlook on Citibank,
N.A. from negative to stable, and affirmed the long-term ratings. The
negative outlook was assigned on October 16, 2012, following changes in
Citi’s senior management. Moody’s maintained the negative outlook on the
long-term ratings of Citigroup Inc. On October 16, 2012, Moody’s affirmed
the long- and short-term ratings of Citigroup and Citibank, N.A.
Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact
Citigroup’s and/or Citibank, N.A.’s funding and liquidity due to reduced
funding capacity, including derivatives triggers, which could take the form of
cash obligations and collateral requirements.
The following information is provided for the purpose of analyzing the
potential funding and liquidity impact to Citigroup and Citibank, N.A. of
a hypothetical, simultaneous ratings downgrade across all three major
rating agencies. This analysis is subject to certain estimates, estimation
methodologies, and judgments and uncertainties, including without
limitation those relating to potential ratings limitations certain entities may
have with respect to permissible counterparties, as well as general subjective
counterparty behavior (e.g., certain corporate customers and trading
counterparties could re-evaluate their business relationships with Citi, and
limit the trading of certain contracts or market instruments with Citi).
Moreover, changes in counterparty behavior could impact Citi’s funding
and liquidity as well as the results of operations of certain of its businesses.
Accordingly, the actual impact to Citigroup or Citibank, N.A. is unpredictable
and may differ materially from the potential funding and liquidity impacts
described below.
For additional information on the impact of credit rating changes on Citi
and its applicable subsidiaries, see “Risk Factors—Liquidity Risks” below.