Citigroup & Risk Management

Ming Nie
You Zhou
About Cit
Citicorp
Regional consumer banking business
Institutional clients group
Citi Holdings
Brokerage and assets management
Local consumer lending
Special asset pool
Income Statement Contnued
Ratos of Cit
Income summary 3Q 2010
Recent Stats
Recent States
Troubled Asset Relief Program (TARP)

U.S government purchases assets and equity from

financial institutions to help them to overcome fin
ancial crisis and revive the financial industry

Signed in Oct 2008

Purchase or insure up to 700 billion troubled asse

ts
Entering TARP:
Oct & Dec 2008:
Citi raised $25 billion, and $20 billion through sales or preferred stock a
nd warrants to the US Treasury

Jan 2009:
Citi issued $7.1 billion of preferred Stock to the US Treasury and FDIC

July 2009:
$25 billion preferred stock was exchanged to 7.7 billions shares of Citis
common stock

July 2009:
$20b preferred stock issued to U.S treasury and $7.1b preferred stock iss
ued to U.S treasury and FDIC were exchanged to trust preferred securiti
es
Result
Paid U.S government approximately $2.2 billion divide
nds for preferred stock

Paid $800 million interest for trust preferred securities

Repayment of TARP
Dec 2009:
Citi repaid $20 billion of the trust preferred securities to U.S treasury
$1.8 of the $7.1 billion were cancelled

Dec 2009:
Citi raised about $20.3 billion through issuance of common equity
Citi made approximately $439.8 billion credit available to U.S borrower
s

After exiting from TARP:

US Treasury holds 27% of common stock
US Treasury and FDIC continue to hold $5.3 billion of trust preferred securities
Risk Management Overview

Credit risk
Market risk
Liquidity risk
Price risk
Operational risk
Legal risk
Reputational exposures
Risk Management Guiding Principals
a common risk capital model to evaluate risks;
a defined risk appetite, aligned with business strat
egy;
accountability through a common framework to m
anage risks;
risk decisions based on transparent, accurate and r
igorous analytics;
expertise, stature, authority and independence of
risk managers; and
empowering risk managers to make decisions and
escalate issues.
Taking intelligent risk

Citi must carefully measure and aggregate risks, must

appreciate potential downside risks, and must underst
and risk/return relationships.
Shared responsibility

Risk and business management must

actively partner to own risk controls and influence busi
ness outcomes.
Individual accountability

All individuals are ultimately responsible for identifyin

g, understanding and managing risks.
Risk Management Structure
Business Chief Risk Officer:
focal point for risk decisions in companys major busin
ess groups

Regional Chief Risk Officers:

Accountable for risks in their geographic areas

Product Chief Risk Officers:

Accountable for risks within their speciality (real estat
e, structured products, etc)
Credit Risk Credit Risk
Losses result from borrowers or counterparties are not
able to fulfill its obligation
Business activities may involve credit risk:
Lending
Sales and trading
Derivatives
Securities transactions
Settlement
Act as an intermediary
Credit Overview
2009: Citi reduced its aggregate loan portfolio by $
102.7 billion $591.5 billion.
Dec 2009: Coverage ratio of total loans increased t
o 6.09% from 4.27% in Dec 2008
Net credit losses of $30.7 billion during 2009 incre
ased $11.7 billion from year-ago levels
Dec 2009: Consumer non-accrual loans totalled $1
8.6 billion, Corporate non-accrual loans were $13.5
billion
2010 outlook
Credit costs will still be a significant driver of Citis fina
ncial performance

Asia and Latin America will show improvement in cre

dit trends

North America will show a slight improvement

Outstanding loans - consumer
Outstanding loans - Corporate
2009 2008 2007 2006 2005
Outstanding loans
Percentage of net unearned income
Credit loss
Forgone interest revenue on loans
Consumer Loan Modificaton programs
Programs to assist borrower with financial difficulties
Involves:
modifying the original loan terms
reducing interest rates
extending the remaining loan duration
waiving a portion of the remaining principal balance
U.S. Treasurys Home Affordable Modificaton Program
(HAMP)
reduce monthly mortgage payments to a 31% housing
debt ratio by lowering the interest rate and extending t
he term of the loan and remove some principal of certa
in eligible borrowers
December 2009, about $7.1 billion first mortgages ente
red into HAMP
Short term & Long term programs
Short term
Interest reduction up to 12-m
onth
Loan volume under short ter
m program increased signific
antly
Long term
troubled debt restructuring
Term of loans are modified to
long term
Provide permanent interest re
duction
Credit risk mitgaton
Citigroup uses credit derivatives and other risk mitiga
nts to hedge some portion of its credit risk
In 2008, $95.5 billion of credit risk were hedged succes
sfully
In 2009, $59.6 billion of credit risk were hedged succes
sfully
Highly leveraged financing transactons
Agreement to provide borrower higher level of fundin
g
Normally through corporate acquisitions or managem
ent buy-outs
Principal and interest payment absorb a significant of
cash flow generated by borrowers business
Risk of default will be higher, so a higher interest rate a
nd fees will be charged
 Market Risk
1. Liquidity risk-
risk that an entity may be unable to meet a fin
ancial commitment to a customer, creditor, or invest
or when due.
2. Price risk-
earnings risk from changes in interest rates, f
oreign exchange rates, and equity and commodity pri
ces, and in their implied volatilities.
arises in non-trading portfolios, as well as in t
rading portfolios.
1. Liquidity risk

Capital resources
Liquidity
Capital resources-overview
Capital has historically been generated by earnings from
Citis operating business.
Generally, capital is used primarily to support assets in Cit
is businesses and to absorb market, credit, or operational
losses.
Citigroups capital management framework is designed to
ensure that Citigroup and its principal subsidiaries maint
ain sufficient capital consistent with Citis risk profile and
all applicable regulatory standards and guidelines, as well
as external rating agency considerations.
Capital resources-Capital ratios
Risk-based capital guidelines issued by the Federal Reserve Board
Risk-based capital ratios: the Tier 1 Capitalthe sum of core capital elements, su
ch as qualifying common stockholders equity, as adjusted, qualifying non-controll
ing interests, and qualifying mandatorily redeemable securities of subsidiary trust
s, principally reduced by goodwill, other disallowed intangible assets, and disallow
ed deferred tax assets.
Total Capital also includes supplementary Tier 2 Capital elements, such as qualif
ying subordinated debt and a limited portion of the allowance for credit losses.
Both measures of capital adequacy are stated as a percentage of risk-weighted asset
s.
In conjunction with the conduct of the 2009 Supervisory Capital Assessment Prog
ram (SCAP), US banking regulators developed a new measure of capital termed T
ier 1 Common, which has been defined as Tier 1 Capital less non-common elemen
ts, including qualifying perpetual preferred stock, qualifying non-controlling inter
ests, and qualifying mandatorily redeemable securities of subsidiary trusts.
 To be well capitalized under federal bank regulatory agency
definitions, a bank holding company must have a Tier 1 Capital
ratio of at least 6%, a Total Capital ratio of at least 10%, and a
Leverage ratio of at least 3%, and not be subject to a Federal
Reserve Board directive to maintain higher capital levels.
Citigroups regulatory capital ratios:
Components of capital under regulatory gui
delines
Citibank, N.A. components of capital and ratios un
der regulatory guidelines
Well capitalizedTier 1 Capital ratio of at least 6%, a Total Capital (Tier 1
Capital + Tier 2 Capital) ratio of at least 10%, and a Leverage ratio of at lea
st 5%, and not be subject to a regulatory directive to meet and maintain hi
gher capital levels.
The estmated sensitvity of Citgroups and Citbank, NAs capital ratos t
o changes of $100 million in Tier 1 Common, Tier 1 Capital, or Total Capi
tal (numerator), or changes of $1 billion in risk-weighted assets or a
djusted average total assets (denominator) based on financial
informaton as of Dec 31,2009:

These sensitivities only consider a single change to either a

component of capital, risk-weighted assets, or adjusted
average total assets.
Funding and liquidity
Citigroups cash flows and liquidity needs are primarily generated
within its operating subsidiaries.
Exceptions exist for major corporate items, such as the TARP rep
ayment, and for equity and certain long-term debt issuances, whi
ch take place at the Citigroup corporate level.
Citigroup sources of funding include deposits, collateralized fina
ncing transactions and variety of unsecured short- and long-ter
m instruments.
In addition to growing its deposit base and engaging in long-ter
m debt funding, Citi has been actively building its structural liqu
idity by reducing total assets.
Management of liquidity
Citigroup runs a centralized treasury model where the ove
rall balance sheet is managed by Citigroup Treasury throu
gh Global Franchise Treasurers and Regional Treasurers.
A uniform liquidity risk management policy exists for Citi
group, its consolidated subsidiaries and managed affiliate
s.
Liquidity management is overseen by the Board of Direct
ors through its Risk Management and Finance Committee
and by senior management through Citigroups Finance a
nd Asset and Liability Committee (FinALCO).
Asset and Liability Committees are also established for ea
ch region, country and/or major line of business.
Monitoring liquidity
Each principal operating subsidiary and/or country m
ust prepare a Funding and Liquidity Plan for approv
al by the Treasurer and independent risk management.
Citigroup establishes its key risk tolerances based on
stress tests and a cash capital ratio.
A series of tools used to monitor liquidity positionli
quidity gaps and associated limits, liquidity ratios, stre
ss testing and market triggers.
 liquidity gaps and limits
measures potential funding gaps over various time horizons in a
standard operating environment
limits are established such that in stress scenarios, entities are
self-funded or net providers of liquidity.
the risk tolerance for liquidity funding gaps is limited based on
the capacity to cover the position in a stressed environment.
liquidity ratios
cash capital ratioa broader measure of the ability to fund the
structurally illiquid portion of Citigroups balance sheet than
traditional measures such as deposits to loans or core deposits to
loans.
stress testing
simulated liquidity stress testing is periodically performed for
each major operating subsidiary and/or country.
intended to quantify the likely impact of an event on the balance
sheet and liquidity position and to identify viable funding
alternatives that can be utilized in a liquidity event.
 stress testing (continued)
as a result of the recent financial crisis, Citigroup increased the
frequency, duration, and severity of certain stress testing,
particularly related to the interconnection of idiosyncratic and
systemic risk.
market triggers
internal or external market or economic factors that may imply a
change to market liquidity or Citigroups access to the markets
appropriate market triggers are also established and monitored
for each major operating subsidiary and/or country
credit ratings
Citigroups ability to access the capital markets and other
sources of funds, as well as the cost of these funds and its ability
to maintain certain deposits, is dependent on its credit ratings.
2. Price risk-
non-trading portfolios
One primary business function: providing financial pr
oducts that meet the needs of customers.
Net interest revenue (NIR): difference between the yiel
d earned on the non-trading portfolio assets and the ra
te paid on the liabilities.
NIR is affected by changes in the level of interest r
ates .
Interest rate risk governance
a common set of standards that define, measure, limit and report t
he market risk
limits are monitored by independent market risk, country and busi
ness Asset and Liability Committees (ALCOs) and the Global Finan
ce and Asset and Liability Committee (FinALCO).
Interest rate risk measurement
measure of risk to NIR is interest rate exposure (IRE)
IRE-measures the change in expected NIR in each currency resultin
g solely from unanticipated changes in forward interest rates.
IRE tests the impact on NIR resulting from unanticipated changes i
n forward interest rates.
the impact of changing prepayment rates on loan portfolios is incor
porated into the results.
Mitigation and hedging of risk

modify pricing on new customer loans and deposits

enter into transactions with other institutions
enter into off-balance-sheet derivative transactions that
have the opposite risk exposures
Therefore,
regularly assesses the viability of strategies when it believes
those actions are prudent
additional measurements:
stress testing the impact of non-linear interest rate
movements on the value of the balance sheet
analysis of portfolio duration and volatility, particularly as
they relate to mortgage loans and mortgage-backed
securities
the potential impact of the change in the spread between
different market indices
Non-trading portfolios
Approximate annualized risk to NIR assuming an unanticipated parallel
instantaneous 100 bps change, as well as a more gradual 100 bps parallel change in
rates compared with the market forward interest rates
The following table shows the risk to NIR from six different
changes in the implied-forward rates. Each scenario
assumes that the rate change will occur on a gradual basis
every three months over the course of one year.
2. Price risk-
trading portfolios

Monitored using:
Factor sensitivities
Value-at-risk (VAR)
Stress testing
Factor sensitvites
Expressed as the change in the value of a position for a
defined change in a market risk factor, such as a chang
e in the value of a Treasury bill for a one-basis-point ch
ange in interest rates.
Citigroups independent market risk management ens
ures that factor sensitivities are calculated, monitored
and, in most cases, limited, for all relevant risks taken i
n a trading portfolio.
VAR
Estimates the potential decline in the value of a positio
n or a portfolio under normal market conditions.
The VAR method incorporates the factor sensitivities o
f the trading portfolio with the volatilities and correlati
ons of those factors and is expressed as the risk to Citig
roup over a one-day holding period, at a 99% confiden
ce level.
Based on the volatilities of and correlations among a m
ultitude of market risk factors as well as factors that tra
ck the specific issuer risk in debt and equity securities.
Stress testng
Performed on trading portfolios on a regular basis to e
stimate the impact of extreme market movements.
Independent market risk management, in conjunction
with the business, develops stress scenarios, reviews th
e output of periodic stress-testing exercises, and uses t
he information to make judgments as to the ongoing a
ppropriateness of exposure levels and limits.
 Trading portfolios
Each trading portfolio has its own market risk limit framework
encompassing these measures and other controls.
Total revenues of the trading business consist of:
customer revenue, which includes spreads from customer
flow and positions taken to facilitate customer orders
proprietary trading activities in both cash and derivative
transactions
net interest revenue
In 2009, negative trading-related revenue (net losses) was
recorded for 58 of 260 trading days. Of the 58 days on which
negative revenue was recorded, two days were greater than $400
million.
The following histogram of total daily revenue or loss captures tra
ding volatlity and shows the number of days in which Citgroups t
rading-related revenues fell within partcular ranges.
Back-testng
Citigroup periodically performs extensive back-testing of
many hypothetical test portfolios as one check of the accu
racy of its VAR.
The process in which the daily VAR of a portfolio is compa
red to the actual daily change in the market value of its tra
nsactions.
Is conducted to confirm that the daily market value losses
in excess of a 99% confidence level occur, on average, only
1% of the time.
The VAR calculation for the hypothetical test portfolios, w
ith different degrees of risk concentration, meets this stati
stical criteria.
VAR to Citgroup in the trading portfolios (including the total VA
R, the specific risk-only component of VAR, and totalgeneral
market factors only, along with the yearly averages:
The range of VAR in each type of trading por
tfolio:
VAR for Citgroups Securites and Banking business (IC
G Citcorp VAR, which excludes Consumer):
 Operational risk
Risk of loss resulting from inadequate or failed interna
l processes, systems or human factors, or from external
events.
Includes the reputation and franchise risk associated
with business practices or market conduct in which Cit
i is involved.
Managed through an overall framework designed to ba
lance strong corporate oversight with well-defined ind
ependent risk management.
The framework includes:
Recognized ownership of the risk by the business
Oversight by independent risk management
Independent review by Citis Audit and Risk Review (AR
R)

Goal:
Keep operational risk at appropriate levels relative to the c
haracteristics of Citigrourps businesses, the markets in wh
ich the company operates its capital and liquidity. And the
competitive, economic and regulatory environment.
Framework
To monitor, mitigate and control operational risk, Citi
group maintains a system of comprehensive policies an
d established a consistent, value-added framework for
assessing and communicating operational risk and the
overall effectiveness of the internal control environme
nt.
Operational Risk Council provides oversight
Council works with the business segments and the con
trol functions to help ensure a transparent, consistent
and comprehensive framework for managing operatio
nal risk globally.
Framework
The process for operational risk management:
Identify and assess key operational risks
Establish key risk indicators
Produce a comprehensive operational risk report
Prioritize and assure adequate resources to actively im
prove the operational risk environment and mitigate e
merging risks
The operational risk standards facilitate the effective co
mmunication and mitigation of operational risk both
within and across business.
Measurement and Basel II
Required to capture relevant operational risk capital in
formation
Enhanced version of the risk capital modelBasel II c
apital calculations
Uses a combination of internal and external loss data t
o support statistical modeling of capital requirement e
stimates, which are then adjusted to reflect qualitative
data regarding the operational risk and control environ
ment.
Informaton Security
Information security and the protection of confidentia
l and sensitive customer data
Citi has implemented an Information Security Progra
m that complies with the Gramm-Leach-Bliley Act and
other regulatory guidance.
The Information Security Program is reviewed and en
hanced periodically to address emerging threats to cus
tomers information.
 Country risk
The risk that an event in a foreign country will impair the
value of Citigroup assets or will adversely affect the ability
of obligors within that country to honor their obligations t
o Citigroup.
Country risk eventssovereign defaults, banking or curre
ncy crises, social instability, and changes in governmental
policies
Country risk includes local franchise risk, credit risk, mar
ket risk, operational risk and cross-border risk.
The country risk management framework includes cou
ntry risk rating models, scenario planning and stress te
sting, internal watch lists, and the Country Risk Com
mittee process.
The Citigroup Country Risk Committee is the senior fo
rum to evaluate Citis total business footprint within a
specific country franchise with emphasis on responses
to current potential country risk events.
The Committee regularly reviews all risk exposures wit
hin a country, makes recommendations as to actions, a
nd follows up to ensure appropriate accountability.
Cross-Border risk
The risk that actions taken by a non-US government may
prevent the conversion of local currency into non-local cu
rrency and/or the transfer of funds outside the country, a
mong other risks, thereby impacting the ability of Citigro
up and its customers to transact business across borders.
Examples include actions taken by foreign governments s
uch as exchange controls, debt moratoria, or restrictions o
n the remittance of funds.
The above actions might restrict the transfer of funds or t
he ability of Citigroup to obtain payment from customers
on their contractual obligations.
Recent example of this riskVenezuela
n Bolivar Devaluaton
The Venezuelan government enacted currency restriction
in 2003 that have restricted Citigroups ability to obtain fo
reign currency in Venezuela at the official foreign currenc
y rate.
Citigroup uses the official rate to re-measure the foreign c
urrency transactions in the financial statements of the Ve
nezuelan subsidiaries, which have US dollar functional cu
rrencies, into US dollars.
At Dec 31 2009, Citigroup had net monetary assets deno
minated in bolivars and subject to the official rate of appr
oximately $290 million.
On Jan 8, 2010, the Venezuelan government announced th
e devaluation of the official foreign currency exchange rate
from 2.15 bolivars per dollar to 4.3 bolivars per dollar and t
he creation of a dual, subsidized exchange rate of 2.6 boliva
rs per dollar for the importation of certain essential goods.
The devaluation in the rate is expected to result in a pretax
loss to the Company of approximately $170 million in the fi
rst quarter of 2010.
Additionally, revenue and net operating profit in US dollar
terms will be reduced on an ongoing basis.
Cross-border outstandings are reported under Federal Financi
Insttutons Examinaton Council (FFIEC) regulatory guidelines.
All countries where total FFIEC cross-border outstandings exce
d 0.75% of total Citgroup assets:
 Derivatives
Derivative Obligor Information:
The global derivatives po The global derivatives po
rtfolio by internal obligor rtfolio by industry of the
credit rating, as a percent obligor as a percentage of
age of credit exposure: credit exposure:
Credit valuaton adjustments (CVA)
Citigroup applies the fair value adjustments to derivative c
arrying values
CVA are used to OTC derivative instruments, in which the
base valuation generally discounts expected cash flows usi
ng LIBOR interest rate curves.
Not all counterparties have the same credit risk, a CVA is
necessary to incorporate the market view of both counter
party credit risk and Citis own credit risk in the valuation.
Derivatves actvites
Hedging
Hedge certain risks or reposition the risk profile of the Company
Example: issue fixed-rate long-term debt and then enter into a re
ceive-fixed, pay-variable-rate interest rate swap with the same te
nor and notional amount to convert the interest payments to a n
et variable-rate basis
Most common form of an interest rate hedgeminimizing inter
est risks inherent in specific groups of on-balance-sheet assets a
nd liabilities
Foreign-exchange contracts are used to hedge non-US-dollar-de
nominated debt, foreign-currency-denominated available-for-sa
le securities, net capital exposures and foreign-exchange transact
ions
The notonal amounts, for both long and short derivatve posit
ons, of Citgroups derivatve instruments:
Fair value hedgeshedging of benchmark inter
est rate risk

Citigroup hedges exposure Citigroup also hedges ex

to changes in the fair value posure to changes in the
of outstanding fixed-rate i fair value of fixed-rate ass
ssued debt and borrowing. ets, including available-f
The fixed cash flows from or-sale debt securities an
those financing transactio d loans.
ns are converted to bench The hedging instrument
mark variable-rate cash flo
s used are receive-variabl
ws by entering into receiv
e, pay-fixed interest rate
e-fixed, pay-variable intere
swaps.
st rate swaps.
Fair value hedgeshedging of foreign exchan
ge risk
Citigroup hedges the change in fair value attributable to fore
ign-exchange rate movements in available-for-sale securities
that are denominated in currencies other than the functiona
l currency of the entity holding the securities, which may be
within or outside the US.
The hedging instrument employed is a forward foreign-exch
ange contract.
Citigroup considers the premium associated with forward co
ntracts (differential between spot and contractual forward ra
tes) as the cost of hedging, this is excluded from the assessm
ent of hedge effectiveness and reflected directly in earning.
Dollar-offset method is used to assess hedge effectiveness.
Citgroups fair value hedges
Cash flow hedges
Hedging of benchmark interest rate risk
Citigroup hedges variable cash flows resulting from floating-rate liabilities and roll-ove
r of short-term liabilities.
By entering into receive-variable, pay-fixed interest-rate swaps and receive-variable, pa
y-fixed forward-starting interest-rate swaps.

Hedging of foreign exchange risk

Citigroup locks in the functional currency equivalent of cash flows of various balance s
heet liability exposures, including short-term borrowings and long-term debt that are
denominated in a currency other than the functional currency of the issuing entity.
The hedging instruments used are foreign-exchange forward contracts, cross-currency
swaps and foreign-currency options.
For some hedges, Citigroup matches all terms of the hedged item and the hedging deri
vative at inception and on an ongoing basis to eliminate hedge ineffectiveness.
Hedging total return
Manages the risk associated with highly leveraged financing it has entered into by seek
ing to sell a majority of its exposures to the market prior to or shortly after funding.
Hedged with a total return swap.
The pretax change in Accumulated other comprehensive i
ncome (loss) from cash flow hedges:
Net investment hedges
Citigroup uses foreign-currency forwards, options and sw
aps and foreign-currency-denominated debt instruments
to manage the foreign-exchange risk associated with Citig
roups equity investments in several non-US dollar functio
nal currency foreign subsidiaries.
The pretax loss recorded in foreign-currency translation a
djustment within Accumulated other comprehensive inco
me (loss), related to the effective portion of the net invest
ment hedges, is $4,560 million during the year ended Dec
ember 31, 2009.
Credit derivatves
A bilateral contract between a buyer and a seller under which the
seller agrees to provide protection to the buyer against the credit r
isk of a particular entity.
Citi makes markets in and trades a range of credit derivatives, bot
h on behalf of clients as well as for its own account. Through thes
e contracts, the Company either purchases or writes protection o
n either a single name or a portfolio of reference credits.
Citi uses credit derivatives to help mitigate credit risk in its corpo
rate and consumer loan portfolio and other cash positions, to take
proprietary trading positions, and to facilitate client transactions.
The range of credit derivatives sold includes credit default swaps,
total return swaps and credit options.
Key characteristcs of Cits credit derivatve
portfolio as protecton seller
Payment/performance risk
Citigroup evaluates the payment/performance risk of the credit
derivatives to which it stands as a protection seller based on the
credit rating which has been assigned to the underlying referenc
ed credit.
Where external ratings by nationally recognized statistical ratin
g organizations (Moodys and S&P) are used, investment grade r
atings are considered to be Baa/BBB or above.
Internal ratings are in line with the related external credit rating
system.
The non-investment grade category in the table above primarily
includes credit derivatives where the underlying referenced enti
ty has been downgraded subsequent to the inception of the deri
vative.
Cits credit derivatve portfolio
Citi actively monitors its counterparty credit risk in credit
derivative contracts.
Approximately 85% and 88% of the gross receivables are f
rom counterparties with which Citi maintains collateral a
greements as of Dec 31, 2009 and 2008.
A majority of Citis top 15 counterparties are banks, financ
ial institutions or other dealers. Contracts with these coun
terparties do not include ratings-based termination event
s.
Key characteristcs of Cits credit derivatve portfo
lio by counterparty and derivatve form:
Concentratons of credit risk
Exist when changes in economic, industry or geographic factors si
milarly affect groups of counterparties whose aggregate credit exp
osure is material in relation to Citigroups total credit exposure.
In connection with the Companys effort to maintain a diversified
portfolio, the Company limits its exposure to any one geographic
region, country or individual creditor and monitors this exposure
on a continuous basis.
Most significant concentrationthe US government and its agen
cies. Primarily results from trading assets and investments issued
by the US government and its agencies.
The Mexican and Japanese governments and their agencies are th
e next largest exposures.
Risk Management Practce
Risk management oversight for Citigroups U.S. pe
nsion plans and largest non-U.S. pension plans

Managed by Citigroups Independent Risk Management

Regional Units
Risk Management Practces
Periodic asset liability management and strategic asset
allocation studies
Monitoring of funding levels and funding ratios
Monitoring compliance with asset allocation guideline
s
Monitoring asset class performance against asset class
benchmarks
Monitoring investor manager performance against ben
chmarks
Quarterly risk capital measurement
Thank
You!