Citibank Holdings Ireland Limited & Citibank Europe plc Pillar 3 Disclosures 30 June 2018 TABLE OF CONTENTS 1. Introduction ............................................................................................................................. 4 1.1. Background and context ............................................................................................... 4 1.2. Scope ............................................................................................................................. 4 1.3. Pillar 3 Governance ....................................................................................................... 5 1.4. Overview of Citi Organisation Structure ....................................................................... 5 1.5. Basis of Consolidation & Disclosure .............................................................................. 8 2. Capital Resources and Minimum Capital Requirement .......................................................... 9 2.1. Capital Resources .......................................................................................................... 9 2.2. Minimum Capital Requirement .................................................................................. 10 2.3 Minimum Capital Requirement .................................................................................. 11 3. Leverage ................................................................................................................................. 13 3.1. Leverage Ratio............................................................................................................. 13 3.4. Management of Excessive Leverage Risk ................................................................... 13 3.5. Capital Buffers ............................................................................................................. 16 4. Quantitative Disclosures on Credit Risk Profile and Credit Risk Mitigation (CRM) ............... 18 5. Credit Risk and CRM in the Standardised Approach ............................................................. 26 6. Market Risk ............................................................................................................................ 28 7. CEP & CHIL Board and Senior Management Disclosures ...................................................... 29 8. CEP Committees .................................................................................................................... 33 CEP Management Committees ............................................................................................. 36 9. Conflict of Interest Policy ...................................................................................................... 41 10. Business Continuity Management ......................................................................................... 42 10.1. Governance and Oversight ......................................................................................... 42 10.2. Risk Assessment .......................................................................................................... 44 10.3. Key Controls ................................................................................................................ 45 Appendix 1: CEP Senior Management Biographies ...................................................................... 46 2 CITIBANK HOLDINGS IRELAND LIMITED & CITIBANK EUROPE PLC – SEMI-ANNUAL PILLAR 3 DISCLOSURES 30 JUNE 2018 LIST OF CHARTS & TABLES FIGURE 1: HIGH LEVEL ORGANISATION CHART ......................................................................................................................... 5 TABLE 1: KM1- KEY METRICS FOR CHIL ................................................................................................................................. 7 TABLE 2 SHOWS THE REGULATORY CAPITAL RESOURCES OF CHIL AND CEP AS AT 30 JUNE 2018. ...................................................... 9 TABLE 2: OWN FUNDS CHIL & CEP AT 30 JUNE 2018 .......................................................................................................... 10 TABLE 3: EU OV1 – OVERVIEW OF RWAS AS AT 31 MARCH & 30 JUNE 2018 .......................................................................... 12 TABLE 4A: SUMMARY RECONCILIATION OF ACCOUNTING ASSETS AND LEVERAGE RATIO EXPOSURES FOR CHIL .................................. 14 TABLE 4B: SUMMARY RECONCILIATION OF ACCOUNTING ASSETS AND LEVERAGE RATIO EXPOSURES FOR CEP ................................... 14 TABLE 5: LEVERAGE RATIO COMMON DISCLOSURE FOR CHIL & CEP ........................................................................................ 15 TABLE 6: SPLIT OF ON BALANCE SHEET EXPOSURES (EXCLUDING DERIVATIVES AND SFTS) FOR CHIL & CEP ...................................... 15 TABLE 7: GEOGRAPHICAL DISTRIBUTION OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL BUFFER 30 JUNE 2018 ............................................................................................................................................................ 16 TABLE 8: AMOUNT OF INSTITUTION-SPECIFIC COUNTERCYCLICAL BUFFER 30 JUNE 2018 ................................................................ 17 TABLE 9: CR1-A – CREDIT QUALITY OF EXPOSURES BY EXPOSURES CLASS AND INSTRUMENT AS OF 30 JUNE 2018 .............................. 18 TABLE 10: CR1-B – CREDIT QUALITY OF EXPOSURES BY INDUSTRY OR COUNTERPARTY TYPES AS OF 30 JUNE 2018 ............................. 18 TABLE 11: CR1-C - CREDIT QUALITY OF EXPOSURES BY GEOGRAPHY AS OF 30 JUNE 2018 ............................................................. 19 TABLE 12: CR1-D – AGEING OF PAST-DUE EXPOSURES AS AT 30 JUNE 2018 ............................................................................... 19 TABLE 13: CR1-E – NON-PERFORMING AND FORBORNE EXPOSURES AS AT 30 JUNE 2018 ............................................................. 20 TABLE 14: CR2-A – CHANGES IN THE STOCK OF GENERAL AND SPECIFIC CREDIT RISK ADJUSTMENTS AS AT 30 JUNE 2018 .................... 21 TABLE 15: CR2-B – CHANGES IN THE STOCK OF DEFAULTED AND IMPAIRED LOANS AND DEBT SECURITIES AS AT 30 JUNE 2018 ............. 21 TABLE 16: CR3 - CRM TECHNIQUES – OVERVIEW AS OF 30 JUNE 2018 .................................................................................... 22 TABLE 17: CCR1: ANALYSIS OF CCR EXPOSURE BY APPROACH AS OF 30 JUNE 2018 ..................................................................... 22 TABLE 18: CCR2 - CREDIT VALUATION ADJUSTMENT (CVA) CAPITAL CHARGE AS OF 30 JUNE 2018 ................................................. 22 TABLE 19: CCR8 - EXPOSURES TO CCPS AS OF 30 JUNE 2018 ................................................................................................. 23 TABLE 20: CCR3: STANDARDISED APPROACH – CCR EXPOSURES BY REGULATORY PORTFOLIO AND RISK AS OF 30 JUNE 2018 ............... 24 TABLE 21: CCR5-A - IMPACT OF NETTING AND COLLATERAL HELD ON EXPOSURE VALUES AS OF 30 JUNE 2018 .................................. 25 TABLE 22: CCR5-B - COMPOSITION OF COLLATERAL FOR EXPOSURES TO CCR AS OF 30 JUNE 2018 ................................................ 25 TABLE 23: CCR6: CREDIT DERIVATIVES EXPOSURES 30 JUNE 2018 ............................................................................................ 25 TABLE 24: CR4 - STANDARDISED APPROACH – CREDIT RISK EXPOSURE AND CRM EFFECTS AS OF 30 JUNE 2018 ................................ 26 TABLE 25: CR5 - STANDARDISED APPROACH - RISK WEIGHTED AS OF 30 JUNE 2018 .................................................................... 27 TABLE 26: MR1 - MARKET RISK UNDER THE STANDARDISED APPROACH AS OF 30 JUNE 2018......................................................... 28 TABLE 27: DIRECTORSHIPS HELD BY CITIBANK EUROPE PLC BOARD OF DIRECTORS AS OF 30 JUNE 2018 (INCLUDING CEP) ................... 30 TABLE 28: MEMBERSHIPS OF THE CEP BOARD OF DIRECTORS ................................................................................................... 31 TABLE 29: MEMBERSHIPS OF THE CHIL BOARD OF DIRECTORS ................................................................................................. 32 TABLE 30: CEP BOARD RISK COMMITTEE COMPOSITION ......................................................................................................... 33 TABLE 31: CEP AUDIT COMMITTEE COMPOSITION ................................................................................................................. 34 TABLE 32 CEP REMUNERATION COMMITTEE COMPOSITION ..................................................................................................... 34 TABLE 33 CEP NOMINATION COMMITTEE COMPOSITION ........................................................................................................ 35 TABLE 34 CEP RELATED PARTY LENDING COMMITTEE COMPOSITION ......................................................................................... 35 TABLE 35 CEP EXECUTIVE COMMITTEE COMPOSITION ............................................................................................................ 36 TABLE 36 CEP CREDIT COMMITTEE COMPOSITION ................................................................................................................. 37 TABLE 37 CEP PRODUCT REVIEW COMMITTEE COMPOSITION .................................................................................................. 37 TABLE 38 CEP OPERATIONAL RISK COMMITTEE COMPOSITION ................................................................................................