Citibank 2013 Annual Report Download - page 133

115
Price Risk—Trading Portfolios
Price risk in Citi’s trading portfolios is monitored using a series of measures,
including but not limited to:
•฀ Value at risk (VAR)
•฀ Stress฀testing฀
•฀ Factor sensitivity
Each trading portfolio across Citi’s business segments (Citicorp, Citi
Holdings and Corporate/Other) has its own market risk limit framework
encompassing these measures and other controls, including trading
mandates, permitted product lists and a new product approval process for
complex products. All trading positions are marked to market, with the
results reflected in earnings.
The following histogram of total daily trading-related revenue (loss)
captures trading volatility and shows the number of days in which revenues
for Citi’s trading businesses fell within particular ranges. As shown in the
histogram, positive trading-related revenue was achieved for 92% of the
trading days in 2013.
0
5
10
15
20
25
30
35
(50) to (40) (70) to (60) (60) to (50)
40 to 50 30 to 40 20 to 30 10 to 20
(40) to (30)
60 to 70 70 to 80 80 to 90
100 to 110
110 to 120 120 to 130
130 to 140
140 to 150 150 to 160
160 to 170 190 to 200
Number of Days
0 to 10
50 to 60
90 to 100
170 to 180 180 to 190
(30) to (20) (20) to (10)
(10) to 0
Histogram of Daily Trading-Related Revenue(1)(2)—Twelve Months Ended December 31, 2013
In millions of dollars
(1) Daily trading-related revenue includes trading, net interest and other revenue associated with Citi’s trading businesses. It excludes DVA and CVA adjustments incurred due to changes in the credit quality of
counterparties as well as any associated hedges to that CVA. In addition, it excludes fees and other revenue associated with capital markets origination activities.
(2) Reflects the effects of asymmetrical accounting for economic hedges of certain available-for-sale (AFS) debt securities. Specifically, the change in the fair value of hedging derivatives is included in Trading related
revenue, while the offsetting change in the fair value of hedged AFS debt securities is included in Other comprehensive income and not reflected above. As a result, the asymmetry has an increasing effect on Trading
related revenue as the change in the fair value of economic hedging derivatives becomes more significant, and is the primary cause for the majority of days with negative trading revenue and two of highest trading
revenue days.