Citibank 2014 Annual Report Download - page 136

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CROSS-BORDER RISK
FFIEC—Cross Border Outstandings
Citi’s cross-border disclosures are based on the country exposure bank
regulatory reporting guidelines of the Federal Financial Institutions
Examination Council (FFIEC), as revised in December 2013. The following
summarizes some of the FFIEC key reporting guidelines:
•฀ Amounts฀are฀based฀on฀the฀domicile฀of฀the฀ultimate฀obligor,฀counterparty,฀
collateral, issuer or guarantor, as applicable.
•฀ Amounts฀do฀not฀consider฀the฀benefit฀of฀collateral฀received฀for฀securities฀
financing transactions (i.e., repurchase agreements, reverse repurchase
agreements and securities loaned and borrowed) and are reported based
on notional amounts.
•฀ Netting฀of฀derivatives฀receivables฀and฀payables,฀reported฀at฀fair฀value,฀is฀
permitted, but only under a legally binding netting agreement with the
same specific counterparty, and does not include the benefit of margin
received or hedges.
•฀ The฀netting฀of฀long฀and฀short฀positions฀for฀AFS฀securities฀and฀trading฀
portfolios is not permitted.
•฀ Credit฀default฀swaps฀(CDS)฀are฀included฀based฀on฀the฀gross฀notional฀
amount sold and purchased and do not include any offsetting CDS on the
same underlying entity.
•฀ Loans฀are฀reported฀without฀the฀benefit฀of฀hedges.
Given the requirements noted above, Citi’s FFIEC cross-border exposures
and total outstandings tend to fluctuate, in some cases, significantly, from
period to period. As an example, because total outstandings under FFIEC
guidelines do not include the benefit of margin or hedges, market volatility
in interest rates, foreign exchange rates and credit spreads may cause
significant fluctuations in the level of total outstandings, all else being equal.