7.3 billion - Citigroup

MARKET RISKMarket risk encompasses liquidity risk and price risk, both ofwhich arise in the normal course of business of a globalfinancial intermediary. Liquidity risk is the risk that an entitymay be unable to meet a financial commitment to a customer,creditor, or investor when due. Liquidity risk is discussed in―Capital Resources and Liquidity—Funding and Liquidity‖above and in Citi‘s 2011 Annual Report on Form 10-K. Pricerisk is the earnings risk from changes in interest rates, foreignexchange rates, equity and commodity prices, and in theirimplied volatilities. Price risk arises in non-trading portfolios, aswell as in trading portfolios.Non-Trading Portfolios—Interest Rate Exposure (IRE)The exposures in the following table represent the approximate annualized risk to Citi‘s net interest revenue assuming anunanticipated parallel instantaneous 100 bps change, as well as a more gradual 100 bps (25 bps per quarter) parallel change, in interestrates compared with the market forward interest rates in selected currencies.March 31, 2012 December 31, 2011 March 31, 2011In millions of dollars Increase Decrease Increase Decrease Increase DecreaseU.S. dollar (1)Instantaneous change $302 NM $ 97 NM $139 NMGradual change 192 NM 110 NM 36 NMMexican pesoInstantaneous change $ 59 $(59) $ 87 $(87) $ 93 (93)Gradual change 44 (44) 54 (54) 59 (59)EuroInstantaneous change $ 39 NM $ 69 NM $ 38 NMGradual change 23 NM 35 NM 23 NMJapanese yenInstantaneous change $ 89 NM $105 NM $ 83 NMGradual change 52 NM 61 NM 49 NMPound sterlingInstantaneous change $ 38 NM $ 35 NM 13 NMGradual change 24 NM 24 NM 5 NM(1) Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the table. The U.S. dollar IRE associated with thesebusinesses was $(86) million for a 100 basis point instantaneous increase in interest rates as of March 31, 2012.NM Not meaningful. A 100 basis point decrease in interest rates would imply negative rates for the yield curve.The changes in the U.S. dollar IRE from quarter-over-quarter revised modeling of mortgages, changes in the customer-relatedasset and liability mix, and swapping activities. The changes from the prior-year period primarily reflected the impact of lower marketrates, debt issuance and swapping activities, and repositioning of the liquidity portfolio.The following table shows the risk to Citi‘s net interest revenue from six different changes in the implied-forward rates. Eachscenario assumes that the rate change will occur on a gradual basis every three months over the course of one year.Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6Overnight rate change (bps) — 100 200 (200) (100) —10-year rate change (bps) (100) — 100 (100) — 100Impact to net interest revenue (in millions of dollars) $(416) $207 $341 NM NM $(133)69CITIGROUP – 2012 FIRST QUARTER 10-Q