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These excerpts taken from the C 10-Q filed Nov 6, 2009. Hedging of benchmark interest rate risk Citigroup hedges exposure to changes in the fair value of outstanding fixed-rate issued debt and borrowings. The fixed cash flows from those financing transactions are converted to benchmark variable-rate cash flows by entering into receive fixed, pay-variable interest rate swaps. These fair-value hedge relationships use dollar-offset ratio analysis to determine whether the hedging relationships are highly effective at inception and on an ongoing basis. Citigroup also hedges exposure to changes in the fair value of fixed-rate assets, including available-for-sale debt securities and loans. The hedging instruments used are receive-variable, pay-fixed interest rate swaps. Most of these fair-value hedging relationships use dollar-offset ratio analysis to determine whether the hedging relationships are highly effective at inception and on an ongoing basis, while certain others use regression analysis. Hedging of benchmark interest rate risk Citigroup hedges variable cash flows resulting from floating-rate liabilities and roll over (re-issuance) of short-term liabilities. Variable cash flows from those liabilities are converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest-rate swaps and receive-variable, pay-fixed forward-starting interest-rate swaps. For some hedges, the hedge ineffectiveness is eliminated by matching all terms of the hedged item and the hedging derivative at inception and on an ongoing basis. Citigroup does not exclude any terms from consideration when applying the matched terms method. To the extent all terms are not perfectly matched, these cash-flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis. Since efforts are made to match the terms of the derivatives to those of the hedged forecasted cash flows as closely as possible, the amount of hedge ineffectiveness is not significant even when the terms do not match perfectly. These excerpts taken from the C 8-K filed Oct 13, 2009. Hedging of benchmark
interest rate risk—Citigroup
hedges exposure to changes in the fair value of outstanding fixed-rate issued
debt and borrowings. The fixed cash flows from those financing transactions are
converted to benchmark variable-rate cash flows by entering into receive-fixed,
pay-variable interest rate swaps. These fair-value hedge relationships use
dollar-offset ratio analysis to determine whether the hedging relationships are
highly effective at inception and on an ongoing basis.
Citigroup also hedges exposure to changes in the fair value of fixed-rate assets, including available-for-sale debt securities and loans. The hedging instruments used are receive-variable, pay-fixed interest rate swaps. Most of these fair-value hedging relationships use dollar-offset ratio analysis to determine whether the hedging relationships are highly effective at inception and on an ongoing basis, while certain others use regression analysis.
· Hedging of benchmark
interest rate risk—Citigroup
hedges variable cash flows resulting from floating-rate liabilities and roll
over (re-issuance) of short-term liabilities. Variable cash flows from those
liabilities are converted to fixed-rate cash flows by entering into
receive-variable, pay-fixed interest-rate swaps and receive-variable, pay-fixed
forward-starting interest-rate swaps. For some hedges, the hedge
ineffectiveness is eliminated by matching all terms of the hedged item and the
hedging derivative at inception and on an ongoing basis. Citigroup does not
exclude any terms from consideration when applying the matched terms method. To
the extent all terms are not perfectly matched, these cash-flow hedging
relationships use either regression analysis or dollar-offset ratio analysis to
assess whether the hedging relationships are highly effective at inception and
on an ongoing basis. Since efforts are made to match the terms of the
derivatives to those of the hedged forecasted cash flows as closely as
possible, the amount of hedge ineffectiveness is not significant even when the
terms do not match perfectly.
Citigroup also hedges variable cash flows resulting from investments in floating-rate, available-for-sale debt securities. Variable cash flows from those assets are converted to fixed-rate cash flows by entering into receive-fixed, pay-variable interest-rate swaps. These cash-flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis. Since efforts are made to align the terms of the derivatives to those of the hedged forecasted cash flows as closely as possible, the amount of hedge ineffectiveness is not significant.
· These excerpts taken from the C 10-Q filed Aug 7, 2009. Hedging of benchmark interest rate risk Citigroup hedges exposure to changes in the fair value of outstanding fixed-rate issued debt and borrowings. The fixed cash flows from those financing transactions are converted to benchmark variable-rate cash flows by entering into receive fixed, pay-variable interest rate swaps. These fair-value hedge relationships use dollar-offset ratio analysis to determine whether the hedging relationships are highly effective at inception and on an ongoing basis. Citigroup also hedges exposure to changes in the fair value of fixed-rate assets, including available-for-sale debt securities and loans. The hedging instruments used are receive-variable, pay-fixed interest rate swaps. Most of these fair-value hedging relationships use dollar-offset ratio analysis to determine whether the hedging relationships are highly effective at inception and on an ongoing basis, while certain others use regression analysis. Hedging of benchmark interest rate risk Citigroup hedges variable cash flows resulting from floating-rate liabilities and roll over (re-issuance) of short-term liabilities. Variable cash flows from those liabilities are converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest-rate swaps and receive-variable, pay-fixed forward-starting interest-rate swaps. For some hedges, the hedge ineffectiveness is eliminated by matching all terms of the hedged item and the hedging derivative at inception and on an ongoing basis. Citigroup does not exclude any terms from consideration when applying the matched terms method. To the extent all terms are not perfectly matched, these cash-flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis. Since efforts are made to match the terms of the derivatives to those of the hedged forecasted cash flows as closely as possible, the amount of hedge ineffectiveness is not significant even when the terms do not match perfectly. These excerpts taken from the C 10-Q filed Aug 3, 2007. Hedging of benchmark interest rate
risk—Citigroup
hedges exposure to changes in the fair value of fixed-rate financing
transactions, including liabilities related to outstanding debt, borrowings and
time deposits. The fixed cash flows from those financing transactions are
converted to benchmark-variable-rate cash flows by entering into receive-fixed,
pay-variable interest rate swaps. Typically these fair value hedge
relationships use dollar-offset ratio analysis to assess whether the hedging
relationships are highly effective at inception and on an ongoing basis.
Citigroup also hedges exposure to changes in the fair value of fixed-rate assets, including available-for-sale securities, and inter-bank placements. The hedging instruments mainly used are receive-variable, pay-fixed interest rate swaps for the remaining hedged asset categories. Most of these fair value hedging relationships use dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis, while others use regression analysis. For a limited number of fair value hedges of benchmark interest rate risk, Citigroup uses the “shortcut” method as SFAS 133 allows the Company to assume no 69 ineffectiveness if the hedging relationship involves an interest-bearing financial asset or liability and an interest rate swap. In order to assume no ineffectiveness, Citigroup ensures that all the shortcut method requirements of SFAS 133 for these types of hedging relationships are met. · Hedging of benchmark interest rate
risk—Citigroup
hedges variable cash flows resulting from floating-rate liabilities and
roll-over of short-term liabilities. Variable cash flows from those liabilities
are converted to fixed-rate cash flows by entering into receive-variable,
pay-fixed interest rate swaps. Efforts are made to match all critical terms of
the hedged item and the hedging derivative at inception and on an ongoing basis
to eliminate hedge ineffectiveness. To the extent all critical terms are not
matched, these cash flow hedging relationships use regression or dollar-offset
ratio analysis to assess whether the hedging relationships are highly effective
at inception and on an ongoing basis. Since efforts are made initially to align
the terms of the derivatives to those hedged forecasted cash flows, the amount
of hedge ineffectiveness is not significant.
Citigroup also hedges variable cash flows resulting from investments in floating-rate available-for-sale securities. Variable cash flows from those assets are converted to fixed-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. These cash flow hedging relationships use regression or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis. Efforts are made initially to align the terms of the derivatives to those hedged forecasted cash flows. As a result, the amount of hedge ineffectiveness is not significant. · | EXCERPTS ON THIS PAGE:
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