In the ordinary course of business, Citigroup enters into various types of derivative transactions. These derivative transactions include:

Citigroup enters into these derivative contracts relating to interest rate, foreign currency, commodity, and other market/credit risks for the following reasons:

Derivatives may expose Citigroup to market, credit or liquidity risks in excess of the amounts recorded on the Consolidated Balance Sheet. Market risk on a derivative product is the exposure created by potential fluctuations in interest rates, foreign-exchange rates and other factors and is a function of the type of product, the volume of transactions, the tenor and terms of the agreement, and the underlying volatility. Credit risk is the exposure to loss in the event of nonperformance by the other party to the transaction where the value of any collateral held is not adequate to cover such losses. The recognition in earnings of unrealized gains on these transactions is subject to management's assessment as to collectability. Liquidity risk is the potential exposure that arises when the size of the derivative position may not be able to be rapidly adjusted in periods of high volatility and financial stress at a reasonable cost.

Information pertaining to the volume of derivative activity is provided in the tables below. The notional amounts, for both long and short derivative positions, of Citigroup's derivative instruments as of June 30, 2011 and December 31, 2010 are presented in the table below.

		Hedging instruments under ASC 815 (SFAS 133)(1)(2)				Other derivative instruments

						Trading derivatives				Management hedges(3)
*In millions of dollars*		June 30, 2011		December 31, 2010		June 30, 2011		December 31, 2010		June 30, 2011		December 31, 2010
Interest rate contracts
	Swaps	$	155,645	$	155,972	$	29,577,006	$	27,084,014	$	129,319	$	135,979
	Futures and forwards		—		—		4,895,690		4,874,209		44,092		46,140
	Written options		—		—		4,294,253		3,431,608		9,639		8,762
	Purchased options		—		—		4,298,897		3,305,664		17,481		18,030

Total interest rate contract notionals		$	155,645	$	155,972	$	43,065,846	$	38,695,495	$	200,531	$	208,911

Foreign exchange contracts
	Swaps	$	30,117	$	29,599	$	1,215,696	$	1,118,610	$	25,815	$	27,830
	Futures and forwards		79,866		79,168		3,648,631		2,745,922		27,572		28,191
	Written options		1,602		1,772		705,968		599,025		234		50
	Purchased options		33,694		16,559		647,561		536,032		57		174

Total foreign exchange contract notionals		$	145,279	$	127,098	$	6,217,856	$	4,999,589	$	53,678	$	56,245

Equity contracts
	Swaps	$	—	$	—	$	93,129	$	67,637	$	—	$	—
	Futures and forwards		—		—		22,071		19,816		—		—
	Written options		—		—		708,789		491,519		—		—
	Purchased options		—		—		672,880		473,621		—		—

Total equity contract notionals		$	—	$	—	$	1,496,869	$	1,052,593	$	—	$	—

Commodity and other contracts
	Swaps	$	—	$	—	$	23,748	$	19,213	$	—	$	—
	Futures and forwards		—		—		133,634		115,578		—		—
	Written options		—		—		83,687		61,248		—		—
	Purchased options		—		—		86,169		61,776		—		—

Total commodity and other contract notionals		$	—	$	—	$	327,238	$	257,815	$	—	$	—

Credit derivatives(4)
	Protection sold	$	—	$	—	$	1,352,785	$	1,223,116	$	—	$	—
	Protection purchased		4,437		4,928		1,442,803		1,289,239		25,237		28,526

Total credit derivatives		$	4,437	$	4,928	$	2,795,588	$	2,512,355	$	25,237	$	28,526

Total derivative notionals		$	305,361	$	287,998	$	53,903,397	$	47,517,847	$	279,446	$	293,682

(1): The notional amounts presented in this table do not include hedge accounting relationships under ASC 815 (SFAS 133) where Citigroup is hedging the foreign currency risk of a net investment in a foreign operation by issuing a foreign-currency-denominated debt instrument. The notional amount of such debt is $7,705 million and $8,023 million at June 30, 2011 and December 31, 2010, respectively.
(2): Derivatives in hedge accounting relationships accounted for under ASC 815 (SFAS 133) are recorded in either Other assets/liabilities or Trading account assets/liabilities on the Consolidated Balance Sheet.
(3): Management hedges represent derivative instruments used in certain economic hedging relationships that are identified for management purposes, but for which hedge accounting is not applied. These derivatives are recorded in Other assets/liabilities on the Consolidated Balance Sheet.
(4): Credit derivatives are arrangements designed to allow one party (protection buyer) to transfer the credit risk of a "reference asset" to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company has entered into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.

	Derivatives classified in Trading account assets/liabilities(1)						Derivatives classified in Other assets/liabilities

*In millions of dollars at June 30, 2011*	Assets			Liabilities			Assets			Liabilities
Derivative instruments designated as ASC 815 (SFAS 133) hedges
Interest rate contracts	$	819		$	45		$	5,230		$	3,008
Foreign exchange contracts		243			749			2,455			1,412

Total derivative instruments designated as ASC 815 (SFAS 133) hedges	$	1,062		$	794		$	7,685		$	4,420

Other derivative instruments
Interest rate contracts	$	451,078		$	446,336		$	2,589		$	2,336
Foreign exchange contracts		79,494			81,439			1,552			796
Equity contracts		18,122			38,980			—			—
Commodity and other contracts		12,560			13,629			—			—
Credit derivatives(2)		64,069			60,886			75			378

Total other derivative instruments	$	625,323		$	641,270		$	4,216		$	3,510

Total derivatives	$	626,385		$	642,064		$	11,901		$	7,930
Cash collateral paid/received		47,768			39,852			241			4,262
Less: Netting agreements and market value adjustments		(626,283	)		(623,092	)		(4,183	)		(4,183	)

Net receivables/payables	$	47,870		$	58,824		$	7,959		$	8,009

	Derivatives classified in Trading account assets/liabilities(1)						Derivatives classified in Other assets/liabilities

*In millions of dollars at December 31, 2010*	Assets			Liabilities			Assets			Liabilities
Derivative instruments designated as ASC 815 (SFAS 133) hedges
Interest rate contracts	$	867		$	72		$	6,342		$	2,437
Foreign exchange contracts		357			762			1,656			2,603

Total derivative instruments designated as ASC 815 (SFAS 133) hedges	$	1,224		$	834		$	7,998		$	5,040

Other derivative instruments
Interest rate contracts	$	475,805		$	476,667		$	2,756		$	2,474
Foreign exchange contracts		84,144			87,512			1,401			1,433
Equity contracts		16,146			33,434			—			—
Commodity and other contracts		12,608			13,518			—			—
Credit derivatives(2)		65,041			59,461			88			337

Total other derivative instruments	$	653,744		$	670,592		$	4,245		$	4,244

Total derivatives	$	654,968		$	671,426		$	12,243		$	9,284
Cash collateral paid/received		50,302			38,319			211			3,040
Less: Netting agreements and market value adjustments		(655,057	)		(650,015	)		(2,615	)		(2,615	)

Net receivables/payables	$	50,213		$	59,730		$	9,839		$	9,709

All derivatives are reported on the balance sheet at fair value. In addition, where applicable, all such contracts covered by master netting agreements are reported net. Gross positive fair values are netted with gross negative fair values by counterparty pursuant to a valid master netting agreement. In addition, payables and receivables in respect of cash collateral received from or paid to a given counterparty are included in this netting. However, non-cash collateral is not included.

The amount of payables in respect of cash collateral received that was netted with unrealized gains from derivatives was $33 billion and $31 billion as of June 30, 2011 and December 31, 2010, respectively. The amount of receivables in respect of cash collateral paid that was netted with unrealized losses from derivatives was $42 billion as of June 30, 2011 and $45 billion as of December 31, 2010.

The amounts recognized in Principal transactions in the Consolidated Statement of Income for the three and six months ended June 30, 2011 and June 30, 2010 related to derivatives not designated in a qualifying hedging relationship as well as the underlying non-derivative instruments are included in the table below. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents the way these portfolios are risk managed.

	Principal transactions gains (losses)

	Three Months Ended June 30,					Six Months Ended June 30,
*In millions of dollars*	2011		2010			2011		2010
Interest rate contracts	$	1,722	$	2,376		$	3,346	$	3,750
Foreign exchange contracts		595		262			1,382		503
Equity contracts		147		(250	)		575		315
Commodity and other contracts		49		121			24		230
Credit derivatives		103		(147	)		456		1,680

Total Citigroup(1)	$	2,616	$	2,362		$	5,783	$	6,478

The amounts recognized in Other revenue in the Consolidated Statement of Income for the three and six months ended June 30, 2011 and June 30, 2010 related to derivatives not designated in a qualifying hedging relationship and not recorded in Trading account assets or Trading account liabilities are shown below. The table below does not include the offsetting gains/losses on the hedged items, which amounts are also recorded in Other revenue.

Citigroup accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging (formerly SFAS 133). As a general rule, hedge accounting is permitted where the Company is exposed to a particular risk, such as interest-rate or foreign-exchange risk, that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or a forecasted transaction that may affect earnings.

Derivative contracts hedging the risks associated with the changes in fair value are referred to as fair value hedges, while contracts hedging the risks affecting the expected future cash flows are called cash flow hedges. Hedges that utilize derivatives or debt instruments to manage the foreign exchange risk associated with equity investments in non-U.S.-dollar functional currency foreign subsidiaries (net investment in a foreign operation) are called net investment hedges.

If certain hedging criteria specified in ASC 815 are met, including testing for hedge effectiveness, special hedge accounting may be applied. The hedge effectiveness assessment methodologies for similar hedges are performed in a similar manner and are used consistently throughout the hedging relationships. For fair value hedges, the changes in value of the hedging derivative, as well as the changes in value of the related hedged item due to the risk being hedged, are reflected in current earnings. For cash flow hedges and net investment hedges, the changes in value of the hedging derivative are reflected in Accumulated other comprehensive income (loss) in Citigroup's stockholders' equity, to the extent the hedge is effective. Hedge ineffectiveness, in either case, is reflected in current earnings.

For asset/liability management hedging, the fixed-rate long-term debt would be recorded at amortized cost under current U.S. GAAP. However, by electing to use ASC 815 (SFAS 133) hedge accounting, the carrying value of the debt is adjusted for changes in the benchmark interest rate, with any such changes in value recorded in current earnings. The related interest-rate swap is also recorded on the balance sheet at fair value, with any changes in fair value reflected in earnings. Thus, any ineffectiveness resulting from the hedging relationship is recorded in current earnings. Alternatively, a management hedge, which does not meet the ASC 815 hedging criteria, would involve recording only the derivative at fair value on the balance sheet, with its associated changes in fair value recorded in earnings. The debt would continue to be carried at amortized cost and, therefore, current earnings would be impacted only by the interest rate shifts and other factors that cause the change in the swap's value and the underlying yield of the debt. This type of hedge is undertaken when hedging requirements cannot be achieved or management decides not to apply ASC 815 hedge accounting. Another alternative for the Company would be to elect to carry the debt at fair value under the fair value option. Once the irrevocable election is made upon issuance of the debt, the full change in fair value of the debt would be reported in earnings. The related interest rate swap, with changes in fair value, would also be reflected in earnings, and provides a natural offset to the debt's fair value change. To the extent the two offsets are not exactly equal, the difference would be reflected in current earnings.

Key aspects of achieving ASC 815 hedge accounting are documentation of hedging strategy and hedge effectiveness at the hedge inception and substantiating hedge effectiveness on an ongoing basis. A derivative must be highly effective in accomplishing the hedge objective of offsetting either changes in the fair value or cash flows of the hedged item for the risk being hedged. Any ineffectiveness in the hedge relationship is recognized in current earnings. The assessment of effectiveness excludes changes in the value of the hedged item that are unrelated to the risks being hedged. Similarly, the assessment of effectiveness may exclude changes in the fair value of a derivative related to time value that, if excluded, are recognized in current earnings.

Citigroup hedges exposure to changes in the fair value of outstanding fixed-rate issued debt and certificates of deposit. The fixed cash flows from those financing transactions are converted to benchmark variable-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. Some of these fair value hedge relationships use dollar-offset ratio analysis to determine whether the hedging relationships are highly effective at inception and on an ongoing basis, while others use regression.

Citigroup also hedges exposure to changes in the fair value of fixed-rate assets, including available-for-sale debt securities and loans. The hedging instruments used are receive-variable, pay-fixed interest rate swaps. Some of these fair value hedging relationships use dollar-offset ratio analysis to determine whether the hedging relationships are highly effective at inception and on an ongoing basis, while others use regression analysis.

Citigroup hedges the change in fair value attributable to foreign-exchange rate movements in available-for-sale securities that are denominated in currencies other than the functional currency of the entity holding the securities, which may be within or outside the U.S. The hedging instrument employed is a forward foreign-exchange contract. In this type of hedge, the change in fair value of the hedged available-for-sale security attributable to the portion of foreign exchange risk hedged is reported in earnings and not Accumulated other comprehensive income—a process that serves to offset substantially the change in fair value of the forward contract that is also reflected in earnings. Citigroup considers the premium associated with forward contracts (differential between spot and contractual forward rates) as the cost of hedging; this is excluded from the assessment of hedge effectiveness and reflected directly in earnings. The dollar-offset method is used to assess hedge effectiveness. Since that assessment is based on changes in fair value attributable to changes in spot rates on both the available-for-sale securities and the forward contracts for the portion of the relationship hedged, the amount of hedge ineffectiveness is not significant.

The following table summarizes the gains (losses) on the Company's fair value hedges for the three and six months ended June 30, 2011 and June 30, 2010:

	Gains (losses) on fair value hedges(1)

	Three Months ended June 30,						Six Months ended June 30,
*In millions of dollars*	2011			2010			2011			2010
Gain (loss) on fair value designated and qualifying hedges
Interest rate contracts	$	780		$	1,427		$	(465	)	$	2,365
Foreign exchange contracts		(506	)		1,916			(995	)		1,674

Total gain (loss) on fair value designated and qualifying hedges	$	274		$	3,343		$	(1,460	)	$	4,039

Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	(820	)	$	(1,543	)	$	294		$	(2,448	)
Foreign exchange hedges		457			(1,860	)		931			(1,591	)

Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(363	)	$	(3,403	)	$	1,225		$	(4,039	)

Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
Interest rate hedges	$	(25	)	$	(120	)	$	(134	)	$	(87	)
Foreign exchange hedges		2			26			(3	)		27

Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges	$	(23	)	$	(94	)	$	(137	)	$	(60	)

Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
Interest rate contracts	$	(15	)	$	4		$	(37	)	$	4
Foreign exchange contracts		(51	)		30			(61	)		56

Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges	$	(66	)	$	34		$	(98	)	$	60

Citigroup hedges variable cash flows resulting from floating-rate liabilities and rollover (re-issuance) of short-term liabilities. Variable cash flows from those liabilities are converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps and receive-variable, pay-fixed forward-starting interest rate swaps. These cash-flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis. Since efforts are made to match the terms of the derivatives to those of the hedged forecasted cash flows as closely as possible, the amount of hedge ineffectiveness is not significant.

Citigroup locks in the functional currency equivalent cash flows of long-term debt and short-term borrowings that are denominated in a currency other than the functional currency of the issuing entity. Depending on the risk management objectives, these types of hedges are designated as either cash flow hedges of only foreign exchange risk or cash flow hedges of both foreign exchange and interest rate risk, and the hedging instruments used are foreign exchange cross-currency swaps and forward contracts. These cash flow hedge relationships use dollar-offset ratio analysis to determine whether the hedging relationships are highly effective at inception and on an ongoing basis.

Citigroup generally manages the risk associated with highly leveraged financing it has entered into by seeking to sell a majority of its exposures to the market prior to or shortly after funding. The portion of the highly leveraged financing that is retained by Citigroup is hedged with a total return swap.

The amount of hedge ineffectiveness on the cash flow hedges recognized in earnings for the three and six months ended June 30, 2011 and June 30, 2010 is not significant.

The pretax change in Accumulated other comprehensive income (loss) from cash flow hedges for the three and six months ended June 30, 2011 and June 30, 2010 is presented below:

	Three Months ended June 30,						Six Months ended June 30,

*In millions of dollars*	2011			2010			2011			2010
Effective portion of cash flow hedges included in AOCI
Interest rate contracts	$	(519	)	$	(384	)	$	(557	)	$	(625	)
Foreign exchange contracts		8			(398	)		(101	)		(389	)

Total effective portion of cash flow hedges included in AOCI	$	(511	)	$	(782	)	$	(658	)	$	(1,014	)

Effective portion of cash flow hedges reclassified from AOCI to earnings
Interest rate contracts		(329	)	$	(364	)	$	(666	)	$	(734	)
Foreign exchange contracts		(64	)		(103	)		(138	)		(281	)

Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)	$	(393	)	$	(467	)	$	(804	)	$	(1,015	)

For cash flow hedges, any changes in the fair value of the end-user derivative remaining in Accumulated other comprehensive income (loss) on the Consolidated Balance Sheet will be included in earnings of future periods to offset the variability of the hedged cash flows when such cash flows affect earnings. The net loss associated with cash flow hedges expected to be reclassified from Accumulated other comprehensive income (loss) within 12 months of June 30, 2011 is approximately $1.3 billion. The maximum length of time over which forecasted cash flows are hedged is 10 years.

The impact of cash flow hedges on AOCI is also shown in Note 16 to the Consolidated Financial Statements.

Consistent with ASC 830-20, Foreign Currency Matters—Foreign Currency Transactions (formerly SFAS 52, Foreign Currency Translation), ASC 815 allows hedging of the foreign currency risk of a net investment in a foreign operation. Citigroup uses foreign currency forwards, options, swaps and foreign-currency denominated debt instruments to manage the foreign exchange risk associated with Citigroup's equity investments in several non-U.S. dollar functional currency foreign subsidiaries. Citigroup records the change in the carrying amount of these investments in the Foreign currency translation adjustment account within Accumulated other comprehensive income (loss). Simultaneously, the effective portion of the hedge of this exposure is also recorded in the Foreign currency translation adjustment account and the ineffective portion, if any, is immediately recorded in earnings.

For derivatives used in net investment hedges, Citigroup follows the forward-rate method from FASB Derivative Implementation Group Issue H8 (now ASC 815-35-35-16 through 35-26), "Foreign Currency Hedges: Measuring the Amount of Ineffectiveness in a Net Investment Hedge." According to that method, all changes in fair value, including changes related to the forward-rate component of the foreign currency forward contracts and the time value of foreign currency options, are recorded in the foreign currency translation adjustment account within Accumulated other comprehensive income (loss).

For foreign currency denominated debt instruments that are designated as hedges of net investments, the translation gain or loss that is recorded in the foreign currency translation adjustment account is based on the spot exchange rate between the functional currency of the respective subsidiary and the U.S. dollar, which is the functional currency of Citigroup. To the extent the notional amount of the hedging instrument exactly matches the hedged net investment and the underlying exchange rate of the derivative hedging instrument relates to the exchange rate between the functional currency of the net investment and Citigroup's functional currency (or, in the case of a non-derivative debt instrument, such instrument is denominated in the functional currency of the net investment), no ineffectiveness is recorded in earnings.

The pretax loss recorded in the Foreign currency translation adjustment account within Accumulated other comprehensive income (loss), related to the effective portion of the net investment hedges, is $(990) million and $(1,874) million for the three and six months ended June 30, 2011, respectively, and $666 million and $476 million for the three and six months ended June 30, 2010, respectively.

A credit derivative is a bilateral contract between a buyer and a seller under which the seller agrees to provide protection to the buyer against the credit risk of a particular entity ("reference entity" or "reference credit"). Credit derivatives generally require that the seller of credit protection make payments to the buyer upon the occurrence of predefined credit events (commonly referred to as "settlement triggers"). These settlement triggers are defined by the form of the derivative and the reference credit and are generally limited to the market standard of failure to pay on indebtedness and bankruptcy of the reference credit and, in a more limited range of transactions, debt restructuring. Credit derivative transactions referring to emerging market reference credits will also typically include additional settlement triggers to cover the acceleration of indebtedness and the risk of repudiation or a payment moratorium. In certain transactions, protection may be provided on a portfolio of referenced credits or asset-backed securities. The seller of such protection may not be required to make payment until a specified amount of losses has occurred with respect to the portfolio and/or may only be required to pay for losses up to a specified amount.

The Company makes markets in and trades a range of credit derivatives, both on behalf of clients as well as for its own account. Through these contracts, the Company either purchases or writes protection on either a single name or a portfolio of reference credits. The Company uses credit derivatives to help mitigate credit risk in its Corporate and Consumer loan portfolios and other cash positions, to take proprietary trading positions, and to facilitate client transactions.

The range of credit derivatives sold includes credit default swaps, total return swaps, credit options and credit-linked notes.

A credit default swap is a contract in which, for a fee, a protection seller agrees to reimburse a protection buyer for any losses that occur due to a credit event on a reference entity. If there is no credit default event or settlement trigger, as defined by the specific derivative contract, then the protection seller makes no payments to the protection buyer and receives only the contractually specified fee. However, if a credit event occurs as defined in the specific derivative contract sold, the protection seller will be required to make a payment to the protection buyer.

A total return swap transfers the total economic performance of a reference asset, which includes all associated cash flows, as well as capital appreciation or depreciation. The protection buyer receives a floating rate of interest and any depreciation on the reference asset from the protection seller and, in return, the protection seller receives the cash flows associated with the reference asset plus any appreciation. Thus, according to the total return swap agreement, the protection seller will be obligated to make a payment any time the floating interest rate payment and any depreciation of the reference asset exceed the cash flows associated with the underlying asset. A total return swap may terminate upon a default of the reference asset subject to the provisions of the related total return swap agreement between the protection seller and the protection buyer.

A credit option is a credit derivative that allows investors to trade or hedge changes in the credit quality of the reference asset. For example, in a credit spread option, the option writer assumes the obligation to purchase or sell the reference asset at a specified "strike" spread level. The option purchaser buys the right to sell the reference asset to, or purchase it from, the option writer at the strike spread level. The payments on credit spread options depend either on a particular credit spread or the price of the underlying credit-sensitive asset. The options usually terminate if the underlying assets default.

A credit-linked note is a form of credit derivative structured as a debt security with an embedded credit default swap. The purchaser of the note writes credit protection to the issuer, and receives a return which will be negatively affected by credit events on the underlying reference credit. If the reference entity defaults, the purchaser of the credit-linked note may assume the long position in the debt security and any future cash flows from it, but will lose the amount paid to the issuer of the credit-linked note. Thus the maximum amount of the exposure is the carrying amount of the credit-linked note. As of June 30, 2011 and December 31, 2010, the amount of credit-linked notes held by the Company in trading inventory was immaterial.

The following tables summarize the key characteristics of the Company's credit derivative portfolio as protection seller as of June 30, 2011 and December 31, 2010:

*In millions of dollars as of June 30, 2011*	Maximum potential amount of future payments		Fair value payable(1)

By industry/counterparty
Bank	$	896,051	$	22,364
Broker-dealer		305,309		9,626
Non-financial		3,137		86
Insurance and other financial institutions		148,288		5,323

Total by industry/counterparty	$	1,352,785	$	37,399

By instrument
Credit default swaps and options	$	1,351,146	$	37,263
Total return swaps and other		1,639		136

Total by instrument	$	1,352,785	$	37,399

By rating
Investment grade	$	605,034	$	5,912
Non-investment grade		249,876		17,539
Not rated		497,875		13,948

Total by rating	$	1,352,785	$	37,399

By maturity
Within 1 year	$	181,442	$	603
From 1 to 5 years		952,825		18,899
After 5 years		218,518		17,897

Total by maturity	$	1,352,785	$	37,399

*In millions of dollars as of December 31, 2010*	Maximum potential amount of future payments		Fair value payable(1)

By industry/counterparty
Bank	$	784,080	$	20,718
Broker-dealer		312,131		10,232
Non-financial		1,463		54
Insurance and other financial institutions		125,442		4,954

Total by industry/counterparty		1,223,116		35,958

By instrument
Credit default swaps and options	$	1,221,211	$	35,800
Total return swaps and other		1,905		158

Total by instrument		1,223,116		35,958

By rating
Investment grade	$	487,270	$	6,124
Non-investment grade		218,296		11,364
Not rated		517,550		18,470

Total by rating	$	1,223,116	$	35,958

By maturity
Within 1 year	$	162,075	$	353
From 1 to 5 years		853,808		16,524
After 5 years		207,233		19,081

Total by maturity	$	1,223,116	$	35,958

Citigroup evaluates the payment/performance risk of the credit derivatives for which it stands as a protection seller based on the credit rating assigned to the underlying referenced credit. Where external ratings by nationally recognized statistical rating organizations (such as Moody's and S&P) are used, investment grade ratings are considered to be Baa/BBB or above, while anything below is considered non-investment grade. The Citigroup internal ratings are in line with the related external credit rating system. On certain underlying reference credits, mainly related to over-the-counter credit derivatives, ratings are not available, and these are included in the not-rated category. Credit derivatives written on an underlying non-investment grade reference credit represent greater payment risk to the Company. The non-investment grade category in the table above primarily includes credit derivatives where the underlying referenced entity has been downgraded subsequent to the inception of the derivative.

The maximum potential amount of future payments under credit derivative contracts presented in the table above is based on the notional value of the derivatives. The Company believes that the maximum potential amount of future payments for credit protection sold is not representative of the actual loss exposure based on historical experience. This amount has not been reduced by the Company's rights to the underlying assets and the related cash flows. In accordance with most credit derivative contracts, should a credit event (or settlement trigger) occur, the Company is usually liable for the difference between the protection sold and the recourse it holds in the value of the underlying assets. Thus, if the reference entity defaults, Citi will generally have a right to collect on the underlying reference credit and any related cash flows, while being liable for the full notional amount of credit protection sold to the buyer. Furthermore, this maximum potential amount of future payments for credit protection sold has not been reduced for any cash collateral paid to a given counterparty as such payments would be calculated after netting all derivative exposures, including any credit derivatives with that counterparty in accordance with a related master netting agreement. Due to such netting processes, determining the amount of collateral that corresponds to credit derivative exposures only is not possible. The Company actively monitors open credit risk exposures, and manages this exposure by using a variety of strategies including purchased credit derivatives, cash collateral or direct holdings of the referenced assets. This risk mitigation activity is not captured in the table above.

Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified credit-risk-related event. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates. The fair value (excluding CVA) of all derivative instruments with credit-risk-related contingent features that are in a liability position at June 30, 2011 and December 31, 2010 is $20 billion and $23 billion, respectively. The Company has posted $15 billion and $18 billion as collateral for this exposure in the normal course of business as of June 30, 2011 and December 31, 2010, respectively. Each downgrade would trigger additional collateral requirements for the Company and its affiliates. In the event that each legal entity was downgraded a single notch as of June 30, 2011, the Company would be required to post additional collateral of $2.7 billion.