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Welcome

Welcome

Welcome to the EU Capital Requirements Regulation (CRR) Regulatory Capital Standard training.

This course provides an overview of the Standard, including regulatory capital requirements, regulatory capital activities, and roles and responsibilities.

If you are accessing the course from a personal device directly over the Internet (outside of the Citi network), some links may not work if they link to content within Citi's network. This will not impact your ability to complete the course.

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Introduction

Here's an introduction before you delve into the training.

Select the Play video button to learn more.

Once the video has completed, use the tab key to navigate to the next item. Text in the video animation. Welcome to this training on the Standard. Before we start, here’s an overview of why the EU CRR Regulatory Capital Standard is important. It covers the measurement and reporting of regulatory capital. It describes the requirements, governance, and roles and responsibilities. It is applicable to consolidated and solo Citibank Europe PLC (CEP) and solo Citigroup Global Markets Europe AG (CGME). Thank you for taking the time to complete this important training on the Standard.

 

Course Objectives


After completing this course, you will be able to:

  • Describe the scope of the EU CRR Regulatory Capital Standard and its impact on Citi
  • Recognize the various methodologies used to calculate risk-based capital ratios and leverage ratio under the EU regulatory capital framework as applied within Citi
  • Identify the common process requirements in regulatory capital activities
  • Recognize the roles and responsibilities related to the Standard

This training will take approximately 25 minutes to complete.

The course is divided into four main topics and an end-of-course assessment. After completing the training content, you must score 80% or higher in the assessment to receive credit for this course.

Note: "Citi," "we," and "our" references throughout this training refer to CEP and/or CGME.

Coming Next

Now that you have a high-level overview of the Standard, let's review the objectives of the EU CRR Regulatory Capital Standard and what it means for Citi.

The EU CRR Regulatory Capital Standard at Citi

Overview

The EU CRR Regulatory Capital Standard (this “Standard”) establishes requirements, governance, and roles and responsibilities to mitigate the risks associated with the measurement and reporting of regulatory capital.

This Standard is also relevant, but not limited, to the overarching risk management framework for credit risk, market risk, and operational risk exposures, associated governance and management oversight processes, and related roles and responsibilities.

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About the EU CRR Regulatory Capital Standard

Citi is subject to the regulatory capital rules contained in the Capital Requirements Regulation (CRR), the Capital Requirements Directive (CRD), and associated technical standards as published in the Official Journal of the European Union (OJ).

These rules establish:

  • An integrated regulatory capital adequacy framework
  • Minimum risk-based capital ratios, a minimum leverage ratio, and regulatory capital buffers
  • Minimum requirements for own funds and eligible liabilities

These are reported to supervisors, on a quarterly frequency, via the Common Reporting Framework (COREP).

Coming Next

Now that you have a high-level overview of the key themes, next, let’s cover more detail on regulatory capital requirements.

Regulatory Capital Requirements

Overview

The Standard addresses EU laws, rules and regulations, and other relevant authoritative EU regulatory capital guidance issued by the European Banking Authority (EBA) or European Central Bank (ECB), as applicable to CEP and CGME.

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Methodologies for Risk-Based Capital Ratios

CRR sets forth minimum requirements for the composition of regulatory capital (including the application of adjustments and deductions), as well as the comprehensive methodologies for measuring total risk-weighted assets. CRR also establishes that institutions are permitted to apply measures that are stricter than the regulation.

To proceed, select each area to learn about the methodologies for risk-based capital ratios.

 

Credit Risk

Both CEP and CGME must calculate credit risk-weighted assets using the standardised approach, which is based on prescribed supervisory risk weights that may be linked to the external credit ratings of credit rating agencies for specific exposure classes.

Further, there is a specific regime for exposures arising from transactions that are centrally cleared by central counterparties.

Counterparty Credit Risk (CCR)

A standardised approach (SA-CCR) or the advanced approach of the Internal Model Method (IMM) can be used in the measurement of CCR exposures for derivatives. The measurement of CCR exposures for Securities Financing Transactions (SFTs) utilizes the Financial Collateral Comprehensive Method mentioned below in relation to Credit Risk Mitigation.

Further, counterparty credit risk exposures for settlement risk and free deliveries are addressed via standardised approaches.

Market Risk

Market risk-weighted assets are calculated either based on the Internal Model Approach (IMA) or standardised approach methodologies.

This includes:

  • General interest rate risk
  • Specific risk
  • Equity risk
  • Foreign Exchange (FX) risk
  • Commodity risk
  • Position risk in collective investment undertakings (CIUs)

Credit Valuation Adjustment (CVA) Risk

CVA risk-weighted assets are calculated using both standardised and advanced methods.

Large Exposures

Large Exposures arise where aggregate exposures and positions arising from the credit risk, counterparty credit risk and market risk frameworks, to a single client or a group of connected clients, exceed thresholds set as a proportion of Tier 1 capital.

An additional own funds requirement for large exposures may also arise on trading book exposures (non-trading book exposures must not exceed large exposure thresholds).

Operational Risk

Operational risk-weighted assets are calculated using the standardised approach.

Credit Risk Mitigation

Funded credit risk mitigation may be recognized, via the Financial Collateral Comprehensive Method, in exposure measurement for credit risk, counterparty credit risk, CVA risk and large exposures.

Unfunded credit risk mitigation may be recognised via risk weight substitution to that of the protection provider.

The recognition of both funded and unfunded credit risk mitigation is subject to meeting the appropriate conditions to be deemed eligible.

Note


Citi does not use all regulatory methodologies and calculations outlined in the regulation. We use only those that are the most appropriate based on the products positions are taken in; regulatory capital impacts; Citi's scope of waivers and permissions; legal entity size and operational considerations.

For example, we do not apply the Internal Ratings Based (IRB) Approach as we lack the relevant waiver and, due to regulatory capital impacts, we typically use standardised rather than simplified approaches.

Minimum Risk-Based Capital Ratios

Per the CRR, an institution’s minimum regulatory capital ratios are as follows:

  • CET1 Capital — 4.5% of RWA
  • Tier 1 Capital — 6.0% of RWA
  • Total Capital — 8.0% of RWA

CET1 Capital is the most loss-absorbing form of capital. Additional Tier 1 Capital is also able to absorb losses without causing the default of the issuer, and Tier 2 Capital absorbs losses before senior debt instruments and liabilities in the event of the default of the issuer.

Capital instruments, balance sheet reserves, and subordinated liabilities must meet the conditions specified in the regulations to be recognised in the appropriate tier of capital.

CET1 may be adjusted for prudential filters, which reverse certain accounting adjustments to capital, and each tier of capital is also subject to deductions for certain exposures. At a consolidated level, capital in the form of minority interests may be recognised where it meets the relevant requirements.

Material Model Changes


Our Model Sponsors, as described in the Citi Model Risk Management Policy, must ensure appropriate regulatory notification to the Joint Supervisory Team (JST) for model extensions and changes to our counterparty credit and market risk internal models, including any changes to our modeling assumptions. For CEP and CGME, regulatory notification is performed by the respective Legal Entity Risk Analytics Model Governance (LERAG) team, in line with respective Procedures.

Model changes and extensions to be notified include those that may result in either a material increase or decrease to RWA or that fulfil qualitative criteria as set out in the relevant regulation. Citi is required to obtain pre-approval from the JST for any planned model changes that will have a material impact on RWA or extensions to the scope of the permission. The LERAG team maintains the IMA or IMM Model Change procedures for the respective Legal Entity, which outlines notification criteria and conditions including respective responsibilities.

Regulatory Capital Buffers

CEP and CGME must maintain regulatory capital buffers above the stated minimum regulatory capital requirements to avoid certain limitations on capital distributions (e.g., dividends) and discretionary bonus payments. These regulatory capital buffers are available to absorb losses in advance of any potential impairment of regulatory capital below the stated minimum regulatory capital ratio requirements.

To proceed, select each buffer to learn about the requirements.

 

Capital Conservation Buffer

CEP and CGME are subject to a fixed 2.5% Capital Conservation Buffer, which is comprised entirely of CET1 Capital.

Countercyclical Capital Buffer

In addition, CEP and CGME are subject to a Countercyclical Capital Buffer, which is comprised entirely of CET1 Capital.

This buffer is determined by:

  • A combination of the relevant exposures in a particular jurisdiction
  • Divided by the total relevant exposures in all jurisdictions (known as the pass-through rate)
  • And then multiplied by the Countercyclical Capital Buffer rate that has been set for that jurisdiction

Other Systemically Important Institution (O-SII) Buffer

CEP is also subject to an O-SII Buffer, which is comprised entirely of CET1 Capital.

The objective of this buffer is to reduce the probability of failure of a systemically important institution. The buffer enhances the resilience of these institutions, which are systemically important due to the scale or nature of their business, by providing an additional layer of loss-absorbing capital. A higher capital requirement for these institutions acknowledges the greater impact of their failure.

Pillar 2 Requirements and Guidance

Pillar 2 Requirements

CEP and CGME are subject to Pillar 2 requirements, including interest rate risk in the banking book (IRRBB). The Pillar 2 requirement is a bank-specific capital requirement applicable in addition to the minimum capital requirement (known as Pillar 1) where this underestimates or does not cover certain risks. The JST determines the Pillar 2 requirement, taking into consideration the outcomes of the Supervisory Review and Evaluation Process (SREP). The Internal Capital Adequacy Assessment Process (ICAAP), which the Global ICAAP Standard applies to, is an important input factor for the SREP.

Unlike other capital buffers, the Pillar 2 requirement is not available to use during times of stress. Rather, it is a minimum requirement that must be always met in the same manner as the minimum capital ratios.

Pillar 2 Guidance

CEP and CGME are subject to Pillar 2 guidance, which is a bank-specific recommendation that indicates the level of capital to be maintained in addition to binding capital requirements to ensure that potential losses resulting from adverse scenarios can be absorbed.

The Pillar 2 guidance is set as part of the SREP. Unlike the Pillar 2 requirement, it is not legally binding.

Leverage Ratio

Citi is also required to maintain a minimum Leverage ratio of 3.0%.

The Leverage ratio, a non-risk-based measure of capital adequacy, is defined as:

  • Tier 1 Capital as a percentage of leverage ratio exposures less amounts deducted from Tier 1 Capital.

Leverage ratio exposures are calculated as:

  • The sum of assets, off-balance sheet exposures, derivative exposures, counterparty credit risk add-ons, and exposure value of regular-way purchases and sales awaiting settlement, less excluded exposures.

Limitations on Distributions

As noted earlier in the Regulatory Capital Buffers section, we must maintain several regulatory capital buffers above the stated minimum regulatory capital ratio requirements and maintain a leverage ratio buffer above the stated minimum leverage ratio, which is currently set to 0%.

To proceed, select each area to learn the effect if Citi breaches the required buffers.

 

Limitations on Distributions

If we were to breach the Combined Buffer Requirement (Capital Conservation, Countercyclical Capital, Other Systemically Important Institution (O-SII)), or Leverage Ratio Buffer Requirement, we must produce a Capital Conservation Plan and be subject to limitations on capital distributions (e.g., dividends) and discretionary bonus payments, with increasing restrictions based upon the severity of the breach.

We must not make any distributions on CET1 instruments, make payments on Additional Tier 1 instruments, or pay, or create discretionary bonus payments in excess of our Maximum Distributable Amount (MDA).

Maximum Distributable Amount

Formula: We calculate MDA as interim profits plus year-end profits not included in CET1, less foreseeable dividends, tax, and any of the limitations noted above, multiplied by the following factors

*Applicable Factor

Minimum Requirements for Own Funds and Eligible Liabilities (MREL)


MREL is defined as the sum of own funds and eligible liability instruments.

Citi is required to maintain minimum levels of MREL, set by reference to total risk-weighted assets (RWA) and total leverage exposure.

If we were to seek to reduce, redeem, repurchase, repay, or exercise a call in relation to any element of our own funds or eligible liabilities, then we must follow the conditions set forth within the regulation.

Check Your Understanding – Sources of Exposures

You are tasked with preparing the large exposures calculation related to a significant counterparty.

As you scan through the list of open transactions in the books related to the counterparty, you see the following items:

  • Long commodity derivative
  • Short commodity derivative
  • Repurchase transaction
  • Reverse repurchase transaction
  • Loan asset
  • Deposit liability
  • Guarantee received
  • Long position in shares issued by the counterparty

Which of the following transactions should not be included in your calculation of large exposures?

Select the best response from the four options and then select Submit.

Please use the Space key only when selecting a radio option with the keyboard. The Enter key is not fully supported. If the Enter key has been used to select a radio option, please use the Escape key. Then you will be able to use the Space key again to select a radio option.

Submit

Think about it…

Before we move on to the next topic, think about how the regulatory capital requirements impact your role and the work you perform.

Coming Next

As you discovered in this topic, various regulatory methodologies and calculations must be used under the EU regulatory capital framework. Next, let's learn about the required activities we must perform as part of the end-to-end EU Regulatory Capital measurement and reporting processes.

Regulatory Capital Activities

Overview

Country Controllers oversee the end-to-end EU Regulatory Capital measurement and reporting process(es), which involves activities performed by multiple key stakeholders designated as Enterprise Support Function, First Line of Defense, or Second Line of Defense based on the Enterprise Risk Management Framework. We will explore the responsibilities of these key stakeholders in the next topic.

Irrespective of the designation, Country Controllers are the principal stakeholders responsible and accountable for the accuracy and diligence regarding the measurement and reporting of risk-weighted assets under both standardised and advanced approaches for risk-based capital purposes, as well as the leverage ratio. Citi Businesses, Independent Risk Management (IRM), and other Enterprise Support Functions are engaged in varying aspects of this end-to-end process.

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Common Process Requirements

To proceed, select the arrow on the right to review common process requirements necessary to comply with the Standard.

 

Regulatory Capital Rules and Requirements – Guidance and Interpretation

The International Regulatory Capital Policy and Advisory team, residing within International Controllers, must provide regulatory capital guidance and coordinate the governance process for interpretations, as requested by Citi Businesses and other global functions, with respect to proposed or existing transactions, structures, products, or events. This team is independent of the Citi Solution Center and Country Controllers teams, also residing within International Controllers.

The International Regulatory Capital Policy and Advisory team also partners with the Regulatory Strategy and Policy Team to actively engage in trade association advocacy efforts and exercises (e.g., quantitative impact studies) regarding proposed new EU regulatory capital rules, as well as reviewing, assessing, analyzing, and supporting workstreams to deliver the appropriate application of newly issued EU regulatory capital rules.

Citi Businesses and other global functions must seek International Regulatory Capital Policy and Advisory team counsel if there are questions regarding the currently effective EU regulatory capital requirements and/or related historical Citi interpretations.
 

Data Provision

Data Consumers (e.g., Citi Solution Center, Model Sponsors) consistent with the principles outlined in the Citi Data Governance Policy (CDGP) for the Data Consumer role, must document data requirements to perform EU Regulatory Capital measurement and reporting, at an appropriate level of granularity, including Data Quality requirements. They also must describe and document the purposes for which they will use such data.

Citi Businesses, Risk, and Global Functions (reference data providers), consistent with the CDGP principles for the Data Owner role, must partner with each data consumer to jointly agree to the Enterprise Data requirements as expressed and documented by such Data Consumer in an Enterprise Chief Data Office (ECDO) approved Tool, implement and maintain data controls, manage data concerns, and maintain data cataloging and data authority.
 

Legal Review

Legal must conduct a sufficient review to conclude whether certain credit risk mitigation documentation is legally effective and enforceable under applicable law in the relevant jurisdictions.

They also must conduct additional reviews as necessary to confirm continuing enforceability, as required by the operational requirements for credit risk mitigation in the EU regulatory capital rules.
 

Basel Calculation, Aggregation, Review, and Analysis

Citi Solution Center is accountable and responsible for the calculation, aggregation, review, and analysis processes of all RWAs, except for modelled RWAs owned by Risk. These processes must consider the specific EU regulatory capital requirements and historical Citi interpretations and the appropriate treatments of product-specific features or requirements. They must also provide timely, accurate, frequent, and granular management reporting of EU Regulatory Capital and its significant drivers for treasury capital management (in line with the Legal Entity Capital Standard), business management, and risk management.

The Enterprise Infrastructure & Technology and other Finance data functions establish and maintain appropriate infrastructure and processes that apply logic to input data required to calculate EU Regulatory Capital measures.

Citi Solution Center must also identify required top-side adjustments based on Citi business requests or gaps identified during the quarterly RWA production process, and work with relevant parties, such as Business, Risk and Internal Audit, to develop the top-side methodology (TSM) template for adjustments.

Citi Solution Center must calculate Topside Adjustments (TSAs) per the agreed methodology. They must then review the TSAs against the RWA Flash estimates to confirm completeness and accuracy of the TSAs for the respective month-end cycle and provide sign-off.

 

Reporting and Disclosures

The Citi Solution Center is responsible for the reporting of local regulatory capital ratios. Citi Solution Center teams prepare the local regulatory information included in various regulatory report filings and execute regulatory reporting process controls (e.g., cross report validations, edit checks). They must provide complete, accurate, and timely capital reporting (for both external regulatory reporting and internal management information purposes) using a standardised production process that is largely automated and includes checks for integrity and consistency.

Country Controllers represents Citi regarding EU Regulatory Capital information or other requests from the JST. Consistent with the Global Regulatory and Management Reporting Policy, they attest to the finalized EU Regulatory Capital information needed for Citi Solution Center to conduct their regulatory reporting process and controls. Country Controllers are the report owners for the various EU regulatory capital reports and responsible for governance and oversight activities within the scope of the Global Regulatory and Management Reporting Policy. This includes, but is not limited to, monitoring and escalation of significant issues involving EU regulatory capital reporting to the relevant Business Risk and Control Committee (BRCC).

 

Finance Quality Assurance Testing

The International Conformance Testing team has defined a risk-based approach and methodology to execute testing for the accuracy of Spot RWA and Capital Ratios.
 
 

Independent Verification and Validation

We must perform independent verification and validation checks to ensure we comply with the Standard.

To proceed, select each area to find out what is required and the roles involved.

EU Regulatory Capital Rule Interpretations
 

Regulatory capital interpretations are subject to an established governance process based on the CRR Interpretive Office (CRR IO).
  • Material interpretations (>0.5% of the legal entity's RWAs) are addressed at CRR IO.
  • Immaterial interpretations are delegated to the Capital and Leverage Interpretive Working Group (CL IWG).
  • Significant interpretations (>2% of the legal entity's RWAs) made at CRR IO must be ratified at the legal entity's ALCO.
EU Regulatory Capital Measurement and Reporting
 

Citi Solution Center is responsible for controls including reconciliations and variance analysis of capital and leverage ratio calculations and the reporting production process.
Model Risk Management
 

Model Risk Management (MRM) is an independent risk function within Citi Risk Management that is managed by the Citi Head of Model Risk Management, who reports to the Citi Chief Risk Officer.

The Model Validation group within MRM performs validation activities including validation of new models, annual model review, ongoing performance monitoring, revalidation, and internal approval of model changes.

Refer to the Standard Section 3.2.2.3 for related policies and procedures.

Internal Audit
 

Internal Audit is independent of IRM and Front-Line Units. The role of Internal Audit is to provide independent, objective, reliable, valued, and timely assurance to Boards, Audit Committees, senior management, and the JST regarding the effectiveness of governance, risk management, and controls that are designed to mitigate current and evolving risks, and enhance the control culture within Citi.

An Internal Audit function that is independent of business line management must:

  • Regularly assess the effectiveness of the controls supporting Citi's advanced approaches and report its findings to the CEP and CGME Board of Directors as necessary
  • Consider its role in assessing the effectiveness of internal controls supporting Citi's advanced approaches, per the relevant regulatory guidance
  • Per the requirements of the CRR market risk capital rules, as part of its regular internal auditing process, perform an independent review of IMA
  • Per the requirements of the CRR counterparty credit capital rules, perform an independent review of the risk measurement system regularly
    • This review shall include both the activities of the business trading units and the independent risk control unit
    • A review of the overall CCR management process must take place at regular intervals (and no less than once a year)

Check Your Understanding – Legal Certainty

You are tasked with evaluating whether four collateral agreements should be recognized as risk mitigating for RWA purposes. All four agreements have been partially flagged in the system as meeting legal certainty requirements. You reach out to the Legal department, and you are provided with the following additional information in relation to each agreement.

Considering this information, which one of the four collateral agreements may be recognised as risk mitigating?

Select the best response from the four options and then select Submit.

Please use the Space key only when selecting a radio option with the keyboard. The Enter key is not fully supported. If the Enter key has been used to select a radio option, please use the Escape key. Then you will be able to use the Space key again to select a radio option.

Submit

Think about it…

Before we move on to the next topic, think about how the various regulatory capital activities directly or indirectly affect your role and the work you perform.

Coming Next

As you learned in this topic, we must perform various regulatory capital activities as part of the end-to-end EU Regulatory Capital measurement and reporting processes. In our final topic, we will review the key stakeholders responsible for regulatory capital activities at Citi.

Roles and Responsibilities

Overview

Three lines of defense and Enterprise Support are key stakeholders accountable for regulatory capital activities at Citi. Let’s identify the roles and the related responsibilities for each of these stakeholders.

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First Line of Defense

To proceed, select each numbered icon to review the roles and responsibilities of first line of defense stakeholders.

The Business (Front-Line Units):
  • Seek International Regulatory Capital Policy and Advisory counsel on EU regulatory capital requirements, in particular with respect to proposed or existing transactions, products, structures, or events
  • Partner with data consumers on relevant Enterprise Data Requirements, data controls, managing data concerns, and maintaining data cataloging and data authority

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Model Sponsors

Model Sponsors provide EU regulatory capital data requirements as required by the CDGP.

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Country Controllers:
  • Report owners accountable for the various EU Regulatory Capital related reports and relevant controls
  • Monitoring and appropriate escalation of EU Regulatory Capital reporting issues to the relevant BRCC

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Citi Solution Center (Budapest):
  • Execute the EU Regulatory Capital measurement, reporting process(es) and relevant controls, including TSAs, reconciliations and variance analysis.
  • Calculation, aggregation, review and analysis of all RWAs, except for modelled RWAs owned by Risk.
  • Daily monitoring of EU Regulatory Capital, and its significant drivers.
  • Provide EU Regulatory Capital data requirements to the upstream data owners as required by the CDGP

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International Regulatory Capital Policy and Advisory:

  • Coordinate EU regulatory capital interpretations
  • Advise Businesses and Global Functions on EU regulatory capital requirements, in particular with respect to proposed and existing transactions, products, and other events
  • Review, analyze, assess, and conclude upon the appropriate application of the EU regulatory capital rules to proposed, new or existing transactions, structures, products, or events
  • Partner with the Regulatory Strategy and Policy Team in advocacy efforts, support exercises with respect to EU regulatory capital rules, and review, assess, analyze, and support workstreams related to newly issued EU regulatory capital rules

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International Conformance Testing

International Conformance Testing tests the accuracy and reporting of Regulatory Capital and RWA calculations.

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CRR/CRD Tier 1 Team

CRR/CRD Tier 1 Team develops and delivers training on this Standard through the Citi Learning Management System on an annual basis.

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A professional team of seven people
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Additional Key Stakeholders

To proceed, select each stakeholder to review the roles and responsibilities.

Second Line of Defense

Model Risk Management:

  • Validate models, annual model review, ongoing performance monitoring, revalidation, and review of model changes
  • Review and approve model changes
  • Model validation and determine whether the model is approved for the designated specific use
  • Perform validation of models' fit for purpose
Third Line of Defense

Internal Audit:

  • Regularly assess the effectiveness of the controls supporting advanced approaches
  • Assess the effectiveness of internal controls supporting advanced approaches
  • Perform independent reviews of IMA
  • Perform at least an annual independent review of the risk measurement system
Enterprise Support

Enterprise Support

Legal tests whether credit risk mitigation documentation is legally effective and enforceable.
Enterprise Infrastructure & Technology establishes and maintains appropriate infrastructure and processes that apply logic to input data required to calculate EU Regulatory Capital measures.

Coming Next

Having reviewed the key stakeholders accountable for regulatory capital activities at Citi, that concludes our training on the Standard. Up next, there's a summary of what you've learned in this course.

Summary

Key Takeaways

Review the key takeaways from this course before you take the assessment. 

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Course Recap


Here's a recap of your key takeaways from the EU CRR Regulatory Capital Standard training:

  • The EU CRR Regulatory Capital Standard establishes requirements, governance, and roles and responsibilities to mitigate the risks associated with the measurement and reporting of regulatory capital.
  • It applies to consolidated and solo Citibank Europe PLC and solo Citigroup Global Markets Europe AG.
  • The Standard is also relevant, but not limited, to the overarching risk management framework for credit risk, market risk, and operational risk exposures, and associated governance and management oversight processes, and related roles and responsibilities.
  • Methodologies used to calculate risk-based capital ratios and leverage ratios under the EU regulatory capital framework include SA-CRR, IMM, CVA, and so forth.

Coming Next

It's time to check your understanding of the content by completing a 10-question assessment.

Assessent Intro

Assessent Intro

Which risk is calculated with the following methodology?

"Risk-weighted assets under the standardised approach are calculated based on prescribed supervisory risk weights, which may be linked to the external credit ratings of credit rating agencies for specific exposure classes."

Select the best response from the five options and then select Submit.

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Submit

Which methodology is applied by CEP and CGME for recognizing credit risk mitigation in exposure measurement for credit risk, counterparty credit risk, credit valuation adjustment risk, and large exposures for funded credit protections?

Select the best response from the four options and then select Submit.

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Submit

Which of the following set of minimum regulatory capital ratio requirements for CET1 Capital, Tier 1 Capital, and Total Capital ratios are currently in force?

Select the best response from the four options and then select Submit.

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Submit

In which of the following four cases must Citi notify the Joint Supervisory Team (JST) in case of model changes?

Select the best response from the four options and then select Submit.

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Submit

Which of the following best describes the Countercyclical Capital Buffer that CEP and CGME must maintain?

Select the best response from the four options and then select Submit.

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Submit

What is the minimum Leverage Ratio CEP and CGME must maintain before buffers?

Select the best response from the four options and then select Submit.

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Submit

CEP or CGME is subject to limitations on capital distributions and discretionary bonus payments, with increasing restrictions based upon the severity of the breach if which of the following buffers is breached?

Select the best response from the five options and then select Submit.

Please use the Space key only when selecting a radio option with the keyboard. The Enter key is not fully supported. If the Enter key has been used to select a radio option, please use the Escape key. Then you will be able to use the Space key again to select a radio option.

Submit

How is Minimum Requirements for Own Funds and Eligible Liabilities (MREL) defined?

Select the best response from the four options and then select Submit.

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Submit

Which team is responsible for the reporting of local regulatory capital ratios?

Select the best response from the four options and then select Submit.

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Submit

If CEP or CGME fails to meet minimum buffer requirements, what is the implication for the legal entity?

Select the best response from the four options and then select Submit.

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Submit

Assessment Results

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Welcome

The EU CRR Regulatory Capital Standard at Citi

Regulatory Capital Requirements

Regulatory Capital Activities

Roles and Responsibilities

Summary

Assessment

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Welcome
The EU CRR Regulatory Capital Standard at Citi
Regulatory Capital Requirements
Regulatory Capital Activities
Roles and Responsibilities
Summary
Assessment

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