Citibank 2015 Annual Report Download - page 126

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The following graph shows the daily buy-and-hold profit and loss
associated with Citi’s covered positions compared to Citi’s one-day Regulatory
VAR during 2015. As of December 31, 2015, there was one back-testing
exception observed for Citi’s Regulatory VAR for the prior 12 months. As
previously disclosed, trading losses on January 15, 2015 exceeded the
VAR estimate at the Citigroup level following the Swiss National Bank’s
announcement removing the minimum exchange rate of Swiss franc
per Euro.
The difference between the 38% of days with buy-and-hold gains for
Regulatory VAR back-testing and the 97% of days with trading, net interest
and other revenue associated with Citi’s trading businesses shown in the
histogram of daily trading-related revenue above reflects, among other
things, that a significant portion of Citi’s trading-related revenue is not
generated from daily price movements on these positions and exposures, as
well as differences in the portfolio composition of Regulatory VAR and Risk
Management VAR.
Regulatory Trading VAR and Associated Buy-and-Hold Profit and Loss
(1)—12 Months Ended December 31, 2015
In millions of dollars
-200
-150
-100
-50
0
50
100
150
Total Regulatory VAR Buy-and-Hold Profit and Loss
Regulatory VAR
Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15
One-Day 99% Regulatory VAR and Associated Buy-and-Hold Profit and Loss
(1) Buy-and-hold profit and loss, as defined by the banking regulators under Basel III, represents the daily mark-to-market revenue movement attributable to the trading position from the close of the previous business day.
Buy-and-hold profit and loss excludes realized trading revenue, net interest, intra-day trading profit and loss on new and terminated trades, as well as changes in reserves. Therefore it is not comparable to the trading-
related revenue presented in the chart below of Daily Trading-related revenue.