7.3 billion - Citigroup

Citi‘s Corporate credit portfolio is also diversified byindustry, with a concentration in the financial sector, broadlydefined, including banks, other financial institutions, insurancecompanies, investment banks and government and central banks.The following table shows the allocation of direct outstandingsand unfunded commitments to industries as a percentage of thetotal Corporate portfolio:Direct outstandings andunfunded commitmentsMarch 31,2012December 31,2011Public sector 19% 19%Petroleum, energy, chemical and metal 17 17Transportation and industrial 16 16Banks/broker-dealers 13 13Consumer retail and health 13 13Technology, media and telecom 8 8Insurance and special purpose vehicles 5 5Hedge funds 4 4Real estate 3 3Other industries (1) 2 2Total 100% 100%At March 31, 2012 and December 31, 2011, the creditprotection was economically hedging underlying creditexposures with the following industry distribution:Industry of Hedged ExposureMarch 31,2012December 31,2011Transportation and industrial 22% 22%Petroleum, energy, chemical and metal 20 22Consumer retail and health 15 15Public sector 14 12Technology, media and telecom 12 12Banks/broker-dealers 10 10Insurance and special purpose vehicles 4 5Other industries (1) 3 2Total 100% 100%(1) Includes all other industries, none of which is greater than 2% of the totalhedged amount.(1) Includes all other industries, none of which exceeds 2% of totaloutstandings.Credit Risk MitigationAs part of its overall risk management activities, Citigroup usescredit derivatives and other risk mitigants to hedge portions ofthe credit risk in its Corporate credit portfolio, in addition tooutright asset sales. The purpose of these transactions is totransfer credit risk to third parties. The results of the mark tomarket and any realized gains or losses on credit derivatives arereflected in the Principal transactions line on the ConsolidatedStatement of Income.At March 31, 2012 and December 31, 2011, $43.8 billionand $41.5 billion, respectively, of credit risk exposures wereeconomically hedged. Citigroup‘s expected loss model used inthe calculation of its loan loss reserve does not include thefavorable impact of credit derivatives and other mitigants thatare marked to market. In addition, the reported amounts ofdirect outstandings and unfunded commitments above do notreflect the impact of these hedging transactions. At March 31,2012 and December 31, 2011, the credit protection waseconomically hedging underlying credit exposure with thefollowing risk rating distribution:Rating of Hedged ExposureMarch 31,2012December 31,2011AAA/AA/A 36% 41%BBB 48 45BB/B 14 13CCC or below 2 1Total 100% 100%67CITIGROUP – 2012 FIRST QUARTER 10-Q