Netting uncertainty inflates Citi’s Russia exposure

Russia made up 1.2% of the bank’s top 25 exposures by country, up from 0.8% in Q1

Citi removed collateral netting for Russian-related reverse repurchase agreements in the second quarter, citing uncertainty about the country’s legal framework – a development that helped inflate the bank’s locally booked exposure to $5.5 billion.

Reverse repos on a pre-netting basis, which had fallen by two-thirds to $600 million in the first quarter, shot up to $1.3 billion in the following three months as the ruble appreciated 40%.

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