Citibank 2015 Annual Report Download - page 95

77
CORPORATE CREDIT
Consistent with its overall strategy, Citi’s corporate clients are typically large,
multi-national corporations which value Citi’s global network. Citi aims to
establish relationships with these clients that encompass multiple products,
consistent with client needs, including cash management and trade services,
foreign exchange, lending, capital markets and M&A advisory.
Corporate Credit Portfolio
The following table sets forth Citi’s corporate credit portfolio within ICG
(excluding private bank), before consideration of collateral or hedges, by
remaining tenor for the periods indicated:
At December 31, 2015 At September 30, 2015 At December 31, 2014
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Direct outstandings (on-balance sheet) (1) $ 98 $ 97 $25 $ 220 $ 95 $ 99 $30 $224 $ 95 $ 85 $33 $213
Unfunded lending commitments (off-balance sheet) (2) 99 231 26 356 91 222 36 349 92 207 33 332
Total exposure $197 $328 $51 $576 $186 $321 $66 $ 573 $187 $292 $66 $545
(1) Includes drawn loans, overdrafts, bankers’ acceptances and leases.
(2) Includes unused commitments to lend, letters of credit and financial guarantees.
Portfolio Mix—Geography, Counterparty and Industry
Citi’s corporate credit portfolio is diverse across geography and counterparty.
The following table shows the percentage by region based on Citi’s internal
management geography:
December 31,
2015
September 30,
2015
December 31,
2014
North America 56% 56% 55%
EMEA 25 25 25
Asia 12 12 13
Latin America 77 7
Total 100% 100% 100%
The maintenance of accurate and consistent risk ratings across the
corporate credit portfolio facilitates the comparison of credit exposure across
all lines of business, geographic regions and products. Counterparty risk
ratings reflect an estimated probability of default for a counterparty and are
derived primarily through the use of validated statistical models, scorecard
models and external agency ratings (under defined circumstances),
in combination with consideration of factors specific to the obligor or
market, such as management experience, competitive position, regulatory
environment and commodity prices. Facility risk ratings are assigned that
reflect the probability of default of the obligor and factors that affect the
loss-given-default of the facility, such as support or collateral. Internal
obligor ratings that generally correspond to BBB and above are considered
investment grade, while those below are considered non-investment grade.
Citigroup also has incorporated climate risk assessment and reporting
criteria for certain obligors, as necessary. Factors evaluated include
consideration of climate risk to an obligor’s business and physical assets and,
when relevant, consideration of cost-effective options to reduce greenhouse
gas emissions.
The following table presents the corporate credit portfolio by facility risk
rating as a percentage of the total corporate credit portfolio:
Total Exposure
December 31,
2015
September 30,
2015
December 31,
2014
AAA/AA/A 48% 49% 49%
BBB 35 35 33
BB/B 15 15 16
CCC or below 21 1
Unrated —— 1
Total 100% 100% 100%
Note: Total exposure includes direct outstandings and unfunded lending commitments.