Citibank 2014 Annual Report Download - page 127

110
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 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 94% of the
trading days in 2014.
0
5
10
15
20
25
30
35
(100) to (90)
(120) to (110)(3)
(110) to (100)
(10) to (0)
(20) to (10) (30) to (20) (40) to (30) (90) to (80)
10 to 20 20 to 30 30 to 40 50 to 60 60 to 70 70 to 80 80 to 90
90 to 100
100 to 110 110 to 120 130 to 140 140 to 150 150 to 160 160 to 170 170 to 180 180 to 190 190 to 200
Number of Days
(50) to (40)
0 to 10
40 to 50
120 to 130
(80) to (70) (70) to (60) (60) to (50)
Histogram of Daily Trading-Related Revenue(1)(2)—Twelve Months Ended December 31, 2014
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, FVA 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 Accumulated other comprehensive income (loss) and not reflected above.
(3) Principally related to the impact of significant market movements and volatility on the trading revenue for ICG on October 15, 2014.