Citigroup Inc. CFO Mark Mason said the bank's losses in Russia could amount to nearly half its exposure in the country at the high end, according to stress scenarios run by its risk management team.
CEO Jane Fraser added that the figure represents "the absolute worst case."
Citi disclosed in its Form 10-K on Feb. 28 that it had about $8.2 billion in exposure in the country as of the end of 2021, including corporate and consumer loans, government debt and deposits with the Bank of Russia. Its net investment was about $1 billion.
"We've been working very closely with our risk management team to run various scenarios as to what that exposure could mean under different stress type of scenarios," Mason said at the bank's investor day on March 2. "Looking at a severe stress scenario, that number on the high end could be a little less than half of that exposure, but it could also be a lot less than that."
Citi appears to have relatively large direct exposure to Russia among U.S. banks, though $8.2 billion represents only about 0.4% of its total assets. The most recent data from the Bank for International Settlements shows that U.S. banks have about $14.7 billion in exposure to Russia in total.
Russia is among 14 markets around the world where Citi is seeking to exit consumer operations as a part of a broad "strategy refresh."
In a note on Feb. 28, analysts at Jefferies observed that Russia's invasion of Ukraine and severe sanctions imposed on Russia by countries around the world make the sale of the Russian operations "a much tougher go."
Citi will likely "need to put aside additional reserves," the analysts said. "We see a gradual rundown of the assets as a more likely option" than a sale, similar to the bank's approach in South Korea.
Citi has executed agreements to sell a number of the retail operations, and Fraser said she does not expect reverberations in emerging markets from the conflict in Ukraine to derail those deals.
"Overall, I don't see a lot of geopolitical risk to the sales," she said, adding that "the situation in Russia is very fluid."
Fraser said Citi started doing business in Russia in the 1990s and that its corporate clients in the country are "primarily American and European and a few Asian multinationals operating on the ground."
Citi also has operations in Ukraine with about 200 employees. "I could not be more proud of them," Fraser said. "Every single day through this war, they have been operating our bank ... so that we're able to serve our clients there, the multinationals."
"We're helping them make sure that the supply chains are coming through and the humanitarian aid that so many countries are providing to Ukraine is able to get through the country despite everything," Fraser said.
She added that Citi's main priority is the employees' health and safety and that the bank has been helping those that want to leave the country get across the border.
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