Citibank 2014 Annual Report Download - page 66

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Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at December 31, 2014 (1)
Advanced Approaches Standardized Approach
In millions of dollars Citicorp
Citi
Holdings Total Citicorp
Citi
Holdings Total
Credit Risk $ 760,690 $119,207 $ 879,897 $1,033,064 $ 95,203 $1,128,267
Market Risk 95,835 4,646 100,481 95,835 4,646 100,481
Operational Risk (2) 258,693 53,807 312,500 — — —
Total Risk-Weighted Assets $1,115,218 $177,660 $1,292,878 $1,128,899 $ 99,849 $1,228,748
Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at December 31, 2013 (1)
Advanced Approaches Standardized Approach
In millions of dollars Citicorp
Citi
Holdings Total Citicorp
Citi
Holdings Total
Credit Risk $693,469 $148,644 $ 842,113 $ 962,456 $102,277 $1,064,733
Market Risk 106,919 5,234 112,153 106,919 5,234 112,153
Operational Risk 159,500 72,000 231,500 — — —
Total Risk-Weighted Assets $959,888 $225,878 $1,185,766 $1,069,375 $107,511 $1,176,886
(1) Calculated based on the Final Basel III Rules.
(2) During 2014, Citi’s operational risk-weighted assets were increased by $81 billion, of which $56 billion was in conjunction with the granting of permission by the Federal Reserve Board to exit the parallel run period
and commence applying the Basel III Advanced Approaches framework, effective with the second quarter of 2014. Further, an additional $25 billion was recognized during the last six months of 2014, reflecting an
evaluation of ongoing events in the banking industry.
Total risk-weighted assets under the Basel III Advanced Approaches
increased from year-end 2013 largely due to the previously mentioned
increases in operational risk-weighted assets throughout 2014 as well as
enhancements to Citi’s credit risk models, partially offset by model parameter
updates, the impact of FX translation and the ongoing decline in Citi
Holdings assets.
Total risk-weighted assets under the Basel III Standardized Approach
increased during 2014 substantially due to an increase in credit risk-weighted
assets attributable to an increase in derivative exposures and corporate
lending products within the ICG businesses, partially offset by the ongoing
decline in Citi Holdings assets.