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C » Topics » Subprime-Related Direct Exposure in Securities and Banking

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

Subprime-Related Direct Exposure in Securities and Banking

The Company had approximately $14.1 billion in net U.S. subprime-related direct exposures in its S&B business at December 31, 2008.

The exposure consisted of (a) approximately $12.0 billion of net exposures in the super senior tranches (i.e., the most senior tranches) of CDOs, which are collateralized by asset-backed securities, derivatives on asset-backed securities, or both (ABS CDOs), and (b) approximately $2.1 billion of exposures in its lending and structuring business.

Subprime-Related Direct Exposure in Securities and Banking

The Company had approximately $14.1 billion in net U.S. subprime-related direct exposures in its S&B business at December 31, 2008.

The exposure consisted of (a) approximately $12.0 billion of net exposures in the super senior tranches (i.e., the most senior tranches) of CDOs, which are collateralized by asset-backed securities, derivatives on asset-backed securities, or both (ABS CDOs), and (b) approximately $2.1 billion of exposures in its lending and structuring business.

These excerpts taken from the C 10-Q filed Oct 31, 2008.

Subprime-Related Direct Exposure in Securities and Banking

        The following table summarizes Citigroup's U.S. subprime-related direct exposures in Securities and Banking (S&B) at September 30, 2008 and June 30, 2008:

In billions of dollars   June 30, 2008
exposures 		  Third quarter
2008 write-downs(1) 		  Third quarter
2008 sales/transfers(2) 		  September 30, 2008
exposures 		 
Direct ABS CDO Super Senior Exposures:                          
  Gross ABS CDO Super Senior Exposures (A)   $ 27.9               $ 25.7  
  Hedged Exposures (B)     9.8                 9.4  
Net ABS CDO Super Senior Exposures:                          
  ABCP/CDO(3)   $ 14.4   $ (0.8 ) $ (0.3 ) $ 13.3  
  High grade     2.0     0.2 (4)   (1.1 )   1.1  
  Mezzanine     1.6     0.3 (4)   (0.2 )   1.7  
  ABS CDO-squared     0.2     0.0     (0.0 )   0.1  
                   
Total Net Direct ABS CDO Super Senior Exposures (A-B)=(C)   $ 18.1   $ (0.3 ) $ (1.5 )(5) $ 16.3  
                   
Lending & Structuring Exposures:                          
  CDO warehousing/unsold tranches of ABS CDOs   $ 0.1   $ (0.0 ) $ (0.0 ) $ 0.1  
  Subprime loans purchased for sale or securitization     2.8     (0.3 )   (0.4 )   2.1  
  Financing transactions secured by subprime     1.5     (0.2 )(4)   (0.2 )   1.1  
                   
Total Lending and Structuring Exposures (D)   $ 4.3   $ (0.5 ) $ (0.6 ) $ 3.3  
                   
Total Net Exposures C+D(6)   $ 22.5   $ (0.8 ) $ (2.1 ) $ 19.6  
                   
Credit Adjustment on Hedged Counterparty
    Exposures (E)(7)		         $ (0.9 )            
                   
Total Net Write-Downs (C+D+E)         $ (1.7 )            
                   

Note: Table may not foot or cross-foot due to roundings.

(1)
Includes net profits associated with liquidations.

(2)
Reflects sales, transfers, repayment of principal and liquidations.

(3)
Consists of older vintage, high grade ABS CDOs.

(4)
Includes $357 million recorded in credit costs.

(5)
A portion of the underlying securities was purchased in liquidations of CDOs and is reported as Trading account assets. As of September 30, 2008, $347 million relating to deals liquidated were held in the trading books.

(6)
Composed of net CDO super senior exposures and gross Lending and Structuring exposures.

(7)
SFAS 157 adjustment related to counterparty credit risk.

Subprime-Related Direct Exposure in Securities and Banking

        The Company had approximately $19.6 billion in net U.S. subprime-related direct exposures in its S&B business at September 30, 2008.

        The exposure consisted of (a) approximately $16.3 billion of net exposures in the super senior tranches (i.e., most senior tranches) of collateralized debt obligations which are collateralized by asset-backed securities, derivatives on asset-backed securities or both (ABS CDOs), and (b) approximately $3.3 billion of exposures in its lending and structuring business.

These excerpts taken from the C 10-Q filed Aug 1, 2008.

Subprime-Related Direct Exposure in Securities and Banking

        The following table summarizes Citigroup's U.S. subprime-related direct exposures in Securities and Banking (S&B) at June 30, 2008 and March 31, 2008:

In billions of dollars
   March 31, 2008
exposures
   Second quarter
2008 write-downs
   Second quarter
2008 sales/transfers(1)
   June 30, 2008
exposures
Direct ABS CDO Super Senior Exposures:                        
  Gross ABS CDO Super Senior Exposures (A)   $ 33.2               $ 27.9
  Hedged Exposures (B)     10.5                 9.8
Net ABS CDO Super Senior Exposures:                        
  ABCP/CDO   $ 16.8   $ (2.0 ) $ (0.4 ) $ 14.4
  High grade     3.8     (1.3) (2)   (0.5 )   2.0
  Mezzanine     2.0     0.1 (2)   (0.5 )   1.6
  ABS CDO-squared     0.1     0.0     (0.0 )   0.2
   
 
 
 
Total Net Direct ABS CDO Super Senior Exposures (A-B)=(C)   $ 22.7   $ (3.2) (3) $ (1.5) (4) $ 18.1
   
 
 
 
Lending & Structuring Exposures:                        
  CDO warehousing/unsold tranches of ABS CDOs   $ 0.2   $ (0.0 ) $ (0.1 ) $ 0.1
  Subprime loans purchased for sale or securitization     3.6     (0.3 )   (0.6 )   2.8
  Financing transactions secured by subprime     2.6     (0.1) (2)   (1.0 )   1.5
   
 
 
 
Total Lending and Structuring Exposures (D)   $ 6.4   $ (0.3 ) $ (1.7 ) $ 4.3
   
 
 
 
Total Net Exposures C+D(5)   $ 29.1   $ (3.5 ) $ (3.2 ) $ 22.5
   
 
 
 
Credit Adjustment on Hedged Counterparty Exposures (E)(6)         $ (2.4 )          
   
 
 
 
Total Net Write-Downs (C+D+E)         $ (5.9 )          
   
 
 
 

Note: Table may not foot or cross-foot due to roundings

(1)
Reflects sales, transfers, repayment of principal and liquidations.

(2)
Includes $80 million recorded in credit costs.

(3)
Includes losses associated with liquidations and decline in value from March 31, 2008 to dates of liquidation.

(4)
A portion of the underlying securities were repurchased in liquidations of two CDOs and are reported as Trading Account Assets. Some of these repurchased securities have already been resold, and as of June 30, 2008, the remaining balance was $319 million.

(5)
Composed of net CDO super senior exposures and gross Lending and Structuring exposures.

(6)
SFAS 157 adjustment related to counterparty credit risk.

Subprime-Related Direct Exposure in Securities and Banking

        The Company had approximately $22.5 billion in net U.S. subprime-related direct exposures in its Securities and Banking business at June 30, 2008.

        The exposure consisted of (a) approximately $18.1 billion of net exposures in the super senior tranches (i.e., most senior tranches) of collateralized debt obligations which are collateralized by asset-backed securities, derivatives on asset-backed securities or both (ABS CDOs), and (b) approximately $4.4 billion of subprime-related exposures in its lending and structuring business.

These excerpts taken from the C 10-Q filed May 2, 2008.

Subprime-Related Direct Exposure in Securities and Banking

        The following table summarizes Citigroup's U.S. subprime-related direct exposures in Securities and Banking (S&B) at March 31, 2008 and December 31, 2007:

In billions of dollars
   December 31, 2007
exposures
   First quarter
2008 write-downs
   First quarter
2008 sales/transfers(1)
   March 31, 2008
exposures
  
Direct ABS CDO Super Senior Exposures:                          
  Gross ABS CDO Super Senior Exposures (A)   $ 39.8               $ 33.2  
  Hedged Exposures (B)     10.5                 10.5  
Net ABS CDO Super Senior Exposures:                          
  ABCP/CDO(2)   $ 20.6   $ (3.1 ) $ (0.7 ) $ 16.8 (4)
  High grade     4.9     (1.0 )   (0.1 )   3.8 (5)
  Mezzanine     3.6     (1.5) (3)   (0.1 )   2.0 (6)
  ABS CDO-squared     0.2     (0.1) (3)   (0.0 )   0.1  
   
 
 
 
 
Total Net Direct ABS CDO Super Senior Exposures (A-B)=(C)   $ 29.3   $ (5.7 ) $ (0.9 ) $ 22.7  
   
 
 
 
 
Lending & Structuring Exposures:                          
  CDO warehousing/unsold tranches of ABS CDOs   $ 0.2   $ (0.1 ) $ 0.1   $ 0.2  
  Subprime loans purchased for sale or securitization     4.0     (0.2 )   (0.2 )   3.6  
  Financing transactions secured by subprime     3.8     (0.0 )   (1.1 )   2.6  
   
 
 
 
 
Total Lending and Structuring Exposures (D)   $ 8.0   $ (0.3 ) $ (1.2 ) $ 6.4  
   
 
 
 
 
Total Net Exposures (C+D)(7)   $ 37.3   $ (6.0 ) $ (2.1 ) $ 29.1  
   
 
 
 
 
Credit Adjustment on Hedged Counterparty Exposures (E)(8)         $ (1.5 )            
   
 
 
 
 
Total Net Write-Downs (C+D+E)         $ (7.5 )            
   
 
 
 
 
(1)
Reflects sales, transfers, repayment of principal and liquidations.

(2)
Super senior tranches of older vintage, high grade ABS CDOs. During the fourth quarter of 2007 these were consolidated on Citigroup's balance sheet.

(3)
Includes $79 million recorded in credit costs.

(4)
The $16.8 billion of ABCP/CDO exposure as of March 31, 2008 is comprised of the following vintages (41% of 2004 or prior) (40% of 2005) and (19% of 2006 or later).

(5)
The $3.8 billion of High grade exposure as of March 31, 2008 is comprised of the following vintages (6% of 2004 or prior) (14% of 2005) and (80% of 2006 or later).

(6)
The $2.0 billion of Mezzanine exposure as of March 31, 2008 is comprised of the following vintages (8% of 2004 or prior) (41% of 2005) and (51% of 2006 or later).

(7)
Comprised of net CDO Super Senior exposures and gross Lending and Structuring exposures.

(8)
SFAS 157 adjustment related to counterparty credit risk.

Subprime-Related Direct Exposure in Securities and Banking

        The Company had approximately $29.1 billion in net U.S. subprime-related direct exposures in its Securities and Banking business at March 31, 2008.

        The exposure consisted of (a) approximately $22.7 billion of net exposures in the super senior tranches (i.e., most senior tranches) of collateralized debt obligations which are collateralized by asset-backed securities, derivatives on asset-backed securities or both (ABS CDOs), and (b) approximately $6.4 billion of subprime-related exposures in its lending and structuring business.

EXCERPTS ON THIS PAGE:

10-K (2 sections)
Feb 27, 2009
10-Q (2 sections)
Oct 31, 2008
10-Q (2 sections)
Aug 1, 2008
10-Q (2 sections)
May 2, 2008

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