DERIVATIVES ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2011

DERIVATIVES ACTIVITIES

Derivative Notionals

		Hedging instruments under ASC 815 (SFAS 133)(1)(2)				Other derivative instruments
						Trading derivatives				Management hedges(3)
In millions of dollars		September 30, 2011		December 31, 2010		September 30, 2011		December 31, 2010		September 30, 2011		December 31, 2010
Interest rate contracts
	Swaps	$	158,930	$	155,972	$	29,418,507	$	27,084,014	$	138,688	$	135,979
	Futures and forwards		—		—		4,093,642		4,874,209		39,854		46,140
	Written options		—		—		4,257,002		3,431,608		19,618		8,762
	Purchased options		—		—		4,397,376		3,305,664		8,920		18,030
Total interest rate contract notionals		$	158,930	$	155,972	$	42,166,527	$	38,695,495	$	207,080	$	208,911
Foreign exchange contracts
	Swaps	$	28,156	$	29,599	$	1,171,516	$	1,118,610	$	22,517	$	27,830
	Futures and forwards		65,712		79,168		3,423,837		2,745,922		34,827		28,191
	Written options		1,504		1,772		831,964		599,025		632		50
	Purchased options		33,021		16,559		778,046		536,032		94		174
Total foreign exchange contract notionals		$	128,393	$	127,098	$	6,205,363	$	4,999,589	$	58,070	$	56,245
Equity contracts
	Swaps	$	—	$	—	$	92,394	$	67,637	$	—	$	—
	Futures and forwards		—		—		17,090		19,816		—		—
	Written options		—		—		829,618		491,519		—		—
	Purchased options		—		—		797,841		473,621		—		—
Total equity contract notionals		$	—	$	—	$	1,736,943	$	1,052,593	$	—	$	—
Commodity and other contracts
	Swaps	$	—	$	—	$	27,531	$	19,213	$	—	$	—
	Futures and forwards		—		—		71,651		115,578		—		—
	Written options		—		—		95,554		61,248		—		—
	Purchased options		—		—		117,895		61,776		—		—
Total commodity and other contract notionals		$	—	$	—	$	312,631	$	257,815	$	—	$	—
Credit derivatives(4)
	Protection sold	$	—	$	—	$	1,439,423	$	1,223,116	$	—	$	—
	Protection purchased		4,164		4,928		1,523,675		1,289,239		24,267		28,526
Total credit derivatives		$	4,164	$	4,928	$	2,963,098	$	2,512,355	$	24,267	$	28,526
Total derivative notionals		$	291,487	$	287,998	$	53,384,562	$	47,517,847	$	289,417	$	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 $7,879 million and $8,023 million at September 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.

Derivative Mark-to-Market (MTM) Receivables/Payables

	Derivatives classified in Trading account assets/liabilities(1)						Derivatives classified in Other assets/liabilities
In millions of dollars at September 30, 2011	Assets			Liabilities			Assets			Liabilities
Derivative instruments designated as ASC 815 (SFAS 133) hedges
Interest rate contracts	$	916		$	75		$	10,667		$	4,916
Foreign exchange contracts		503			324			4,272			1,508
Total derivative instruments designated as ASC 815 (SFAS 133) hedges	$	1,419		$	399		$	14,939		$	6,424
Other derivative instruments
Interest rate contracts	$	767,005		$	756,138		$	6,767		$	5,545
Foreign exchange contracts		131,498			133,846			767			1,538
Equity contracts		26,515			44,665			—			—
Commodity and other contracts		13,345			14,475			—			—
Credit derivatives(2)		104,598			98,475			542			152
Total other derivative instruments	$	1,042,961		$	1,047,599		$	8,076		$	7,235
Total derivatives	$	1,044,380		$	1,047,998		$	23,015		$	13,659
Cash collateral paid/received		59,738			53,431			340			4,127
Less: Netting agreements and market value adjustments		(1,043,853	)		(1,040,175	)		(3,425	)		(3,425	)
Net receivables/payables	$	60,265		$	61,254		$	19,930		$	14,361

(1)

The trading derivatives fair values are presented in Note 10 to the Consolidated Financial Statements.

(2)

The credit derivatives trading assets are composed of $94,526 million related to protection purchased and $10,072 million related to protection sold as of September 30, 2011. The credit derivatives trading liabilities are composed of $10,889 million related to protection purchased and $87,586 million related to protection sold as of September 30, 2011.

	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

(1)

The trading derivatives fair values are presented in Note 10 to the Consolidated Financial Statements.

(2)

The credit derivatives trading assets are composed of $42,403 million related to protection purchased and $22,638 million related to protection sold as of December 31, 2010. The credit derivatives trading liabilities are composed of $23,503 million related to protection purchased and $35,958 million related to protection sold as of December 31, 2010.

Derivative instruments included in trading and non-trading activities

	Principal transactions gains (losses)
	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2011			2010			2011		2010
Interest rate contracts	$	1,972		$	633		$	5,318	$	4,383
Foreign exchange contracts		576			992			1,958		1,495
Equity contracts		(358	)		468			217		783
Commodity and other contracts		107			(33	)		131		197
Credit derivatives		(194	)		25			262		1,705
Total Citigroup(1)	$	2,103		$	2,085		$	7,886	$	8,563

(1)

Also see Note 6 to the Consolidated Financial Statements.

Schedule of gains (losses) related to derivatives not designated in a qualifying hedging relationship

	Gains (losses) included in Other revenue
	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2011			2010			2011		2010
Interest rate contracts	$	1,090		$	794		$	1,027	$	596
Foreign exchange contracts		(1,576	)		3,909			1,096		(1,916	)
Credit derivatives		586			(389	)		362		(248	)
Total Citigroup(1)	$	100		$	4,314		$	2,485	$	(1,568	)

(1)

Non-designated derivatives are derivative instruments not designated in qualifying hedging relationships.

Gains (losses) on fair value hedges

	Gains (losses) on fair value hedges(1)
	Three Months ended September 30,						Nine Months ended September 30,
In millions of dollars	2011			2010			2011			2010
Gain (loss) on fair value designated and qualifying hedges
Interest rate contracts	$	4,143		$	1,663		$	3,678		$	4,028
Foreign exchange contracts		590			(993	)		(405	)		681
Total gain (loss) on fair value designated and qualifying hedges	$	4,733		$	670		$	3,273		$	4,709
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	(4,207	)	$	(1,710	)	$	(3,913	)	$	(4,158	)
Foreign exchange hedges		(613	)		1,095			318			(496	)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(4,820	)	$	(615	)	$	(3,595	)	$	(4,654	)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
Interest rate hedges	$	(110	)	$	(49	)	$	(244	)	$	(136	)
Foreign exchange hedges		17			3			14			30
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges	$	(93	)	$	(46	)	$	(230	)	$	(106	)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
Interest rate contracts	$	46		$	2		$	9		$	6
Foreign exchange contracts		(40	)		99			(101	)		155
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges	$	6		$	101		$	(92	)	$	161

(1)

Amounts are included in Other revenue on the Consolidated Statement of Income. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.

Change in accumulated other comprehensive income (loss) from cash flow hedges

	Three Months ended September 30,						Nine Months ended September 30,
In millions of dollars	2011			2010			2011			2010
Effective portion of cash flow hedges included in AOCI
Interest rate contracts	$	(1,132	)	$	(239	)	$	(1,689	)	$	(864	)
Foreign exchange contracts		(65	)		(379	)		(166	)		(768	)
Total effective portion of cash flow hedges included in AOCI	$	(1,197	)	$	(618	)	$	(1,855	)	$	(1,632	)
Effective portion of cash flow hedges reclassified from AOCI to earnings
Interest rate contracts	$	(285	)	$	(326	)	$	(951	)	$	(1,060	)
Foreign exchange contracts		(60	)		(97	)		(198	)		(378	)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)	$	(345	)	$	(423	)	$	(1,149	)	$	(1,438	)

(1)

Included primarily in Other revenue and Net interest revenue on the Consolidated Income Statement.

Credit derivative portfolio

In millions of dollars as of September 30, 2011	Maximum potential amount of future payments		Fair value payable(1)(2)
By industry/counterparty
Bank	$	950,836	$	56,298
Broker-dealer		337,216		22,348
Non-financial		1,777		97
Insurance and other financial institutions		149,594		8,843
Total by industry/counterparty	$	1,439,423	$	87,586
By instrument
Credit default swaps and options	$	1,437,893	$	87,449
Total return swaps and other		1,530		137
Total by instrument	$	1,439,423	$	87,586
By rating
Investment grade	$	643,663	$	19,483
Non-investment grade		246,529		34,790
Not rated		549,231		33,313
Total by rating	$	1,439,423	$	87,586
By maturity
Within 1 year	$	203,334	$	3,226
From 1 to 5 years		1,002,106		55,878
After 5 years		233,983		28,482
Total by maturity	$	1,439,423	$	87,586

(1)

Fair value amounts payable under credit derivatives purchased were $11,041 million.

(2)

In addition, fair value amounts receivable under credit derivatives sold were $10,072 million.

In millions of dollars as of December 31, 2010	Maximum potential amount of future payments		Fair value payable(1)(2)
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

(1)

Fair value amounts payable under credit derivatives purchased were $23,840 million.

(2)

In addition, fair value amounts receivable under credit derivatives sold were $22,638 million.