Citibank 2015 Annual Report Download - page 81
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63
MANAGING GLOBAL RISK TABLE OF CONTENTS
MANAGING GLOBAL RISK 64
Overview 64
CREDIT RISK (1) 67
Overview 67
Consumer Credit 67
Corporate Credit 77
Additional Consumer and Corporate Credit Details 80
Loans Outstanding 80
Details of Credit Loss Experience 81
Allowance for Loan Losses 83
Non-Accrual Loans and Assets and Renegotiated Loans 84
Foregone Interest Revenue on Loans 87
LIQUIDITY RISK 88
Overview 88
High-Quality Liquid Assets (HQLA) 88
Loans 89
Deposits 89
Long-Term Debt 90
Secured Funding Transactions and Short-Term Borrowings 92
Liquidity Monitoring and Measurement 94
Credit Ratings 95
MARKET RISK (1) 97
Overview 97
Market Risk of Non-Trading Portfolios 97
Net Interest Revenue at Risk 97
Interest Rate Risk of Investment Portfolios—Impact
on AOCI 97
Changes in Foreign Exchange Rates—Impacts on AOCI
and Capital 99
Interest Revenue/Expense and Net Interest Margin 100
Additional Interest Rate Details 101
Market Risk of Trading Portfolios 105
Factor Sensitivities 106
Value at Risk 106
Stress Testing 109
OPERATIONAL RISK 110
COUNTRY RISK 111
COMPLIANCE, CONDUCT AND LEGAL RISK 117
REPUTATIONAL RISK 118
(1) For additional information regarding certain credit risk, market risk and other quantitative and
qualitative information, refer to Citi’s Pillar 3 Basel III Advanced Approaches Disclosures, as required
by the rules of the Federal Reserve Board, on Citi’s Investor Relations website.