Citibank 2015 Annual Report Download - page 111

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foreign government debt securities. Generally, daily changes in the level of
Citi’s secured funding are primarily due to fluctuations in secured lending
activity in the matched book (as described below) and securities inventory.
Secured funding of $146 billion as of December 31, 2015 declined 16%
from the prior-year period and 13% sequentially. Excluding the impact of FX
translation, secured funding decreased 11% from the prior-year period and
12% sequentially, both driven by normal business activity. Average balances
for secured funding were approximately $163 billion for the quarter ended
December 31, 2015.
The portion of secured funding in the broker-dealer subsidiaries that
funds secured lending is commonly referred to as “matched book” activity.
The majority of this activity is secured by high quality, liquid securities such
as U.S. Treasury securities, U.S. agency securities and foreign government
debt securities. Other secured funding is secured by less liquid securities,
including equity securities, corporate bonds and asset-backed securities. The
tenor of Citi’s matched book liabilities is generally equal to or longer than
the tenor of the corresponding matched book assets.
The remainder of the secured funding activity in the broker-dealer
subsidiaries serves to fund securities inventory held in the context of market
making and customer activities. To maintain reliable funding under a wide
range of market conditions, including under periods of stress, Citi manages
these activities by taking into consideration the quality of the underlying
collateral, and stipulating financing tenor. The weighted average maturity
of Citi’s secured funding of less liquid securities inventory was greater than
110 days as of December 31, 2015.
Citi manages the risks in its secured funding by conducting daily stress
tests to account for changes in capacity, tenors, haircut, collateral profile and
client actions. Additionally, Citi maintains counterparty diversification by
establishing concentration triggers and assessing counterparty reliability and
stability under stress. Citi generally sources secured funding from more than
150 counterparties.
The following table contains the year-end, average and maximum month-end amounts for the following respective short-term borrowings categories at the
end of each of the three prior fiscal years:
Federal funds purchased and
securities sold under
agreements to repurchase
Short-term borrowings (1)
Commercial paper (2) Other short-term borrowings (3)
In billions of dollars 2015 2014 2013 2015 2014 2013 2015 2014 2013
Amounts outstanding at year end $146.5 $173.4 $203.5 $10.0 $16.2 $17.9 $11.1 $42.1 $41.0
Average outstanding during the year (4)(5) 174.5 190.0 229.4 10.7 16.8 16.3 22.2 45.3 39.6
Maximum month-end outstanding 186.2 200.1 239.9 15.3 17.9 18.8 41.9 47.1 44.7
Weighted-average interest rate
During the year (4)(5)(6) 0.93% 1.00% 1.02% 0.31% 0.21% 0.28% 1.42% 1.20% 1.39%
At year end (7) 0.59 0.49 0.59 0.22 0.23 0.26 1.50 0.53 0.87
(1) Original maturities of less than one year.
(2) Substantially all commercial paper outstanding was issued by certain Citibank entities for the periods presented.
(3) Other short-term borrowings include borrowings from the FHLB and other market participants.
(4) Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(5) Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45); average rates exclude the impact of FIN 41 (ASC 210-20-45).
(6) Average rates reflect prevailing local interest rates, including inflationary effects and monetary correction in certain countries.
(7) Based on contractual rates at respective year ends; non-interest-bearing accounts are excluded from the weighted average interest rate calculated at year end.