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C » Topics » OFF-BALANCE-SHEET ARRANGEMENTS

These excerpts taken from the C 10-K filed Feb 27, 2009.

OFF-BALANCE-SHEET ARRANGEMENTS

Citigroup and its subsidiaries are involved with several types of off-balance sheet arrangements, including special purpose entities (SPEs), primarily in connection with securitization activities in the Consumer Banking and Institutional Clients Group. Citigroup and its subsidiaries use SPEs principally to obtain liquidity and favorable capital treatment by securitizing certain of Citigroup’s financial assets, assisting clients in securitizing their financial assets and creating investment products for clients. For further

information about the Company’s securitization activities and involvement in SPEs, see Note 23 to Notes to Consolidated Financial Statements on page 174 and “Significant Accounting Policies and Significant Estimates—Securitizations” on page 18.

The following tables describe certain characteristics of assets owned by certain identified significant unconsolidated VIEs as of December 31, 2008. These VIEs and the Company’s exposure to the VIEs are described in Note 23 to the Consolidated Financial Statements on page 174.


 

         Credit rating distribution  

Citi-Administered Asset-Backed

Commercial Paper Conduits

   

Total
assets

(in billions)

    Weighted
average
life		    AAA     AA    A    BBB/BBB+  
     $ 59.6    4.2 years    41 %   45%    10%    4 %

 

Asset class    % of total
portfolio		  

Student loans

    24 %

Trade receivables

    13 %

Credit cards and consumer loans

    10 %

Portfolio finance

    12 %

Commercial loans and corporate credit

    17 %

Export finance

    13 %

Auto

    8 %

Residential mortgage

    3 %

Total

    100 %

 

               Credit rating distribution  

Collateralized Debt and Loan

Obligations

   

Total
assets

(in billions)

    Weighted
average
life		    A or higher     BBB      BB/B      CCC      Unrated  

Collateralized debt obligations (CDOs)

    $ 17.6    4.5 years    23 %   13 %    11 %    34 %    19 %

Collateralized loan obligations (CLOs)

    $ 20.1    5.9 years    1 %   3 %    45 %    1 %    50 %

 

     Credit rating distribution  

Municipal Securities Tender Option

Bond Trusts (TOB)

   

Total
assets

(in billions)

   

Weighted
average

life

      AAA/Aaa     AA/Aa1 –
AA-/Aa3		      Less
than
AA-/Aa3		  

Customer TOB trusts (not consolidated)

    $ 8.1    11.4 years      48 %   42 %    10 %

Proprietary TOB trusts (consolidated and non-consolidated)

    $ 15.5    19.0 years      50 %   41 %    9 %

QSPE TOB trusts (not consolidated)

    $ 6.5    9.0 years      62 %   29 %    9 %

OFF-BALANCE-SHEET ARRANGEMENTS

Citigroup and its subsidiaries are involved with several types of off-balance sheet arrangements, including special purpose entities (SPEs), primarily in connection with securitization activities in the Consumer Banking and Institutional Clients Group. Citigroup and its subsidiaries use SPEs principally to obtain liquidity and favorable capital treatment by securitizing certain of Citigroup’s financial assets, assisting clients in securitizing their financial assets and creating investment products for clients. For further

information about the Company’s securitization activities and involvement in SPEs, see Note 23 to Notes to Consolidated Financial Statements on page 174 and “Significant Accounting Policies and Significant Estimates—Securitizations” on page 18.

The following tables describe certain characteristics of assets owned by certain identified significant unconsolidated VIEs as of December 31, 2008. These VIEs and the Company’s exposure to the VIEs are described in Note 23 to the Consolidated Financial Statements on page 174.


 

         Credit rating distribution  

Citi-Administered Asset-Backed

Commercial Paper Conduits

   

Total
assets

(in billions)

    Weighted
average
life		    AAA     AA    A    BBB/BBB+  
     $ 59.6    4.2 years    41 %   45%    10%    4 %

 

Asset class    % of total
portfolio		  

Student loans

    24 %

Trade receivables

    13 %

Credit cards and consumer loans

    10 %

Portfolio finance

    12 %

Commercial loans and corporate credit

    17 %

Export finance

    13 %

Auto

    8 %

Residential mortgage

    3 %

Total

    100 %

 

               Credit rating distribution  

Collateralized Debt and Loan

Obligations

   

Total
assets

(in billions)

    Weighted
average
life		    A or higher     BBB      BB/B      CCC      Unrated  

Collateralized debt obligations (CDOs)

    $ 17.6    4.5 years    23 %   13 %    11 %    34 %    19 %

Collateralized loan obligations (CLOs)

    $ 20.1    5.9 years    1 %   3 %    45 %    1 %    50 %

 

     Credit rating distribution  

Municipal Securities Tender Option

Bond Trusts (TOB)

   

Total
assets

(in billions)

   

Weighted
average

life

      AAA/Aaa     AA/Aa1 –
AA-/Aa3		      Less
than
AA-/Aa3		  

Customer TOB trusts (not consolidated)

    $ 8.1    11.4 years      48 %   42 %    10 %

Proprietary TOB trusts (consolidated and non-consolidated)

    $ 15.5    19.0 years      50 %   41 %    9 %

QSPE TOB trusts (not consolidated)

    $ 6.5    9.0 years      62 %   29 %    9 %

EXCERPTS ON THIS PAGE:

10-K (2 sections)
Feb 27, 2009

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