Subprime-Related Exposure in Securities and Banking for Citigroup (C)

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

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

Subprime-Related Exposure in Securities and Banking

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


In billions of dollars	December 31, 2007 exposures		2008 write- downs⁽¹⁾			2008 sales/ transfers⁽²⁾			December 31, 2008 exposures
Direct ABS CDO super senior exposures:
Gross ABS CDO super senior exposures (A)	$	39.8							$	18.9
Hedged exposures (B)		10.5								6.9
Net ABS CDO super senior exposures:
ABCP/CDO ⁽³⁾		20.6	$	(9.0	)	$	(1.7	)		9.9
High grade		4.9		(2.5	)⁽⁴⁾		(1.6	)		0.8
Mezzanine		3.6		(1.4	)⁽⁴⁾		(1.0	)		1.3
ABS CDO-squared		0.2		(0.2	)		0.0			0.0
Total net ABS CDO super senior exposures (A-B=C)	$	29.3	$	(13.1	)	$	(4.2	)⁽⁵⁾	$	12.0
Lending and structuring exposures:
CDO warehousing/unsold tranches of ABS CDOs	$	0.2	$	(0.1	)	$	0.0		$	0.1
Subprime loans purchased for sale or securitization		4.0		(1.3	)		(1.4	)		1.3
Financing transactions secured by subprime		3.8		(0.4	)⁽⁴⁾		(2.6	)		0.7
Total lending and structuring exposures (D)	$	8.0	$	(1.8	)	$	(4.0	)	$	2.0
Total net exposures C+D⁽⁶⁾	$	37.3	$	(14.9	)	$	(8.3	)	$	14.1
Credit adjustment on hedged counterparty exposures (E)⁽⁷⁾			$	(5.7	)
Total net write-downs (C+D+E)			$	(20.7	)

Note:

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

(1)	Includes net profits and losses associated with liquidations and amounts recorded on credit cash.

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

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

(4)	Includes $579 million recorded in credit costs.

(5)	A portion of the underlying securities was purchased in liquidations of CDOs and reported as Trading account assets. As of December 31, 2008, $227 million relating to deals liquidated was 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 Exposure in Securities and Banking

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


In billions of dollars	December 31, 2007 exposures		2008 write- downs⁽¹⁾			2008 sales/ transfers⁽²⁾			December 31, 2008 exposures
Direct ABS CDO super senior exposures:
Gross ABS CDO super senior exposures (A)	$	39.8							$	18.9
Hedged exposures (B)		10.5								6.9
Net ABS CDO super senior exposures:
ABCP/CDO ⁽³⁾		20.6	$	(9.0	)	$	(1.7	)		9.9
High grade		4.9		(2.5	)⁽⁴⁾		(1.6	)		0.8
Mezzanine		3.6		(1.4	)⁽⁴⁾		(1.0	)		1.3
ABS CDO-squared		0.2		(0.2	)		0.0			0.0
Total net ABS CDO super senior exposures (A-B=C)	$	29.3	$	(13.1	)	$	(4.2	)⁽⁵⁾	$	12.0
Lending and structuring exposures:
CDO warehousing/unsold tranches of ABS CDOs	$	0.2	$	(0.1	)	$	0.0		$	0.1
Subprime loans purchased for sale or securitization		4.0		(1.3	)		(1.4	)		1.3
Financing transactions secured by subprime		3.8		(0.4	)⁽⁴⁾		(2.6	)		0.7
Total lending and structuring exposures (D)	$	8.0	$	(1.8	)	$	(4.0	)	$	2.0
Total net exposures C+D⁽⁶⁾	$	37.3	$	(14.9	)	$	(8.3	)	$	14.1
Credit adjustment on hedged counterparty exposures (E)⁽⁷⁾			$	(5.7	)
Total net write-downs (C+D+E)			$	(20.7	)

Note:

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

(1)	Includes net profits and losses associated with liquidations and amounts recorded on credit cash.

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

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

(4)	Includes $579 million recorded in credit costs.

(5)	A portion of the underlying securities was purchased in liquidations of CDOs and reported as Trading account assets. As of December 31, 2008, $227 million relating to deals liquidated was 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.

These excerpts taken from the C 10-K filed Feb 22, 2008.

Subprime-Related 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, 2007 and December 31, 2007:

In billions of dollars

September 30, 2007
exposures

Fourth quarter

2007 write-downs

Fourth quarter
2007 sales/transfers

December 31, 2007
exposures

Direct ABS CDO Super Senior Exposures:

Gross ABS CDO Super Senior Exposures (A)

53.4

39.8

Hedged Exposures (B)

10.5

Net ABS CDO Super Senior Exposures:

ABCP/CDO ⁽¹⁾

24.9

(4.3

)

0.0

20.6

High grade

9.5

(4.9

)⁽²⁾

0.3

4.9

Mezzanine

8.3

(5.2

)⁽²⁾

0.5

3.6

ABS CDO-squared

0.2

0.1

0.0

0.2

Total Net ABS CDO Super Senior
Exposures (A-B=C)

42.9

(14.3

)

0.8

29.3

Lending & Structuring Exposures:

CDO warehousing/unsold tranches
of ABS CDOs

2.7

(2.6

)

0.0

0.2

Subprime loans purchased for sale
or securitization

4.2

(0.2

)

0.0

4.0

Financing transactions secured by subprime

4.8

(0.1

)⁽²⁾

(0.9

)

3.8

Total Lending and Structuring Exposures (D)

11.7

(2.9

)

(0.9

)

8.0

Total Net Exposures

54.6

(17.2

)

(0.1

)

37.3

Credit Adjustment on Hedged Counterparty
Exposures (E)

(0.9

)

Total Net Write-Downs (C+D+E)

(18.1

)

(1)	Primarily backed by high-grade ABS CDOs. During the fourth quarter of 2007, the CDOs which collateralized the ABCP were consolidated on Citigroup’s balance sheet.

(2)	Fair value adjustment related to counterparty credit risk. Includes an aggregate $704 million recorded in credit costs.

Subprime-Related Exposure in Securities and Banking

The Company had approximately $37.3 billion in net U.S. subprime-related direct exposures in its Securities and Banking business at December 31, 2007.

The exposure consisted of (a) approximately $29.3 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 $8.0 billion of subprime-related exposures in its lending and structuring business.

EXCERPTS ON THIS PAGE:

10-K (2 sections)	Feb 27, 2009

10-K (2 sections)	Feb 22, 2008

Citigroup (C)

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