DERIVATIVES ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2012

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, 2012		December 31, 2011		September 30, 2012		December 31, 2011		September 30, 2012		December 31, 2011
Interest rate contracts
Swaps	$	135,176	$	163,079	$	29,882,342	$	28,069,960	$	125,308	$	119,344
Futures and forwards		—		—		5,125,812		3,549,642		50,317		43,965
Written options		—		—		3,872,194		3,871,700		25,067		16,786
Purchased options		—		—		3,639,994		3,888,415		7,780		7,338
Total interest rate contract notionals	$	135,176	$	163,079	$	42,520,342	$	39,379,717	$	208,472	$	187,433
Foreign exchange contracts
Swaps	$	22,791	$	27,575	$	1,392,390	$	1,182,363	$	16,452	$	22,458
Futures and forwards		65,588		55,211		3,402,183		3,191,687		37,603		31,095
Written options		130		4,292		761,308		591,818		137		190
Purchased options		5,743		39,163		761,294		583,891		2,056		53
Total foreign exchange contract notionals	$	94,252	$	126,241	$	6,317,175	$	5,549,759	$	56,248	$	53,796
Equity contracts
Swaps	$	—	$	—	$	95,632	$	86,978	$	—	$	—
Futures and forwards		—		—		16,799		12,882		—		—
Written options		—		—		366,044		552,333		—		—
Purchased options		—		—		325,289		509,322		—		—
Total equity contract notionals	$	—	$	—	$	803,764	$	1,161,515	$	—	$	—
Commodity and other contracts
Swaps	$	—	$	—	$	28,188	$	23,403	$	—	$	—
Futures and forwards		—		—		85,092		73,090		—		—
Written options		—		—		104,423		90,650		—		—
Purchased options		—		—		107,436		99,234		—		—
Total commodity and other contract notionals	$	—	$	—	$	325,139	$	286,377	$	—	$	—
Credit derivatives(4)
Protection sold	$	—	$	—	$	1,438,553	$	1,394,528	$	—	$	—
Protection purchased		2,168		4,253		1,512,036		1,486,723		25,287		21,914
Total credit derivatives	$	2,168	$	4,253	$	2,950,589	$	2,881,251	$	25,287	$	21,914
Total derivative notionals	$	231,596	$	293,573	$	52,917,009	$	49,258,619	$	290,007	$	263,143

(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 $5,739 million and $7,060 million at September 30, 2012 and December 31, 2011, respectively.

(2)

Derivatives in hedge accounting relationships accounted for under ASC 815 (SFAS 133) are recorded in either Other assets/Other liabilities or Trading account assets/Trading account 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 either Other assets/Other liabilities or Trading account assets/Trading account 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)(2)						Derivatives classified in other assets/liabilities(2)
In millions of dollars at September 30, 2012	Assets			Liabilities			Assets			Liabilities
Derivative instruments designated as ASC 815 (SFAS 133) hedges
Interest rate contracts	$	8,746		$	2,192		$	4,046		$	1,437
Foreign exchange contracts		358			1,508			1,028			704
Total derivative instruments designated as ASC 815 (SFAS 133) hedges	$	9,104		$	3,700		$	5,074		$	2,141
Other derivative instruments
Interest rate contracts	$	899,973		$	892,846		$	703		$	184
Foreign exchange contracts		71,467			78,136			238			156
Equity contracts		19,946			34,688			—			—
Commodity and other contracts		11,429			12,648			—			—
Credit derivatives(3)		58,685			56,410			207			319
Total other derivative instruments	$	1,061,500		$	1,074,728		$	1,148		$	659
Total derivatives	$	1,070,604		$	1,078,428		$	6,222		$	2,800
Cash collateral paid/received(4)(5)		4,027			8,871			389			607
Less: Netting agreements and market value adjustments(6)		(978,765	)		(974,456	)		—			—
Less: Net cash collateral received/paid(7)		(38,713	)		(57,124	)		(4,403	)		—
Net receivables/payables	$	57,153		$	55,719		$	2,208		$	3,407

(1)

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

(2)

Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities.

(3)

The credit derivatives trading assets are composed of $41,888 million related to protection purchased and $16,797 million related to protection sold as of September 30, 2012. The credit derivatives trading liabilities are composed of $17,777 million related to protection purchased and $38,633 million related to protection sold as of September 30, 2012.

(4)

For the trading asset/liabilities, this is the net amount of the $61,151 million and $47,584 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $57,124 million was used to offset derivative liabilities and, of the gross cash collateral received, $38,713 million was used to offset derivative assets.

(5)

For the other asset/liabilities, this is the net amount of the $389 million and $5,010 million of the gross cash collateral paid and received, respectively. Of the gross cash collateral received, $4,403 million was used to offset derivative assets.

(6)

Represents the netting of derivative receivable and payable balances for the same counterparty under enforceable netting agreements.

(7)

Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements.

	Derivatives classified in trading account assets/liabilities(1)(2)						Derivatives classified in other assets/liabilities(2)
In millions of dollars at December 31, 2011	Assets			Liabilities			Assets			Liabilities
Derivative instruments designated as ASC 815 (SFAS 133) hedges
Interest rate contracts	$	8,274		$	3,306		$	3,968		$	1,518
Foreign exchange contracts		3,706			1,451			1,201			863
Total derivative instruments designated as ASC 815 (SFAS 133) hedges	$	11,980		$	4,757		$	5,169		$	2,381
Other derivative instruments
Interest rate contracts	$	749,213		$	736,785		$	212		$	96
Foreign exchange contracts		90,611			95,912			325			959
Equity contracts		20,235			33,139			—			—
Commodity and other contracts		13,763			14,631			—			—
Credit derivatives(3)		90,424			84,726			430			126
Total other derivative instruments	$	964,246		$	965,193		$	967		$	1,181
Total derivatives	$	976,226		$	969,950		$	6,136		$	3,562
Cash collateral paid/received(4)(5)		6,634			7,870			307			180
Less: Netting agreements and market value adjustments(6)		(875,592	)		(870,366	)		—			—
Less: Net cash collateral received/paid(7)		(44,941	)		(51,181	)		(3,462	)		—
Net receivables/payables	$	62,327		$	56,273		$	2,981		$	3,742

(1)

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

(2)

Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities.

(3)

The credit derivatives trading assets are composed of $79,089 million related to protection purchased and $11,335 million related to protection sold as of December 31, 2011. The credit derivatives trading liabilities are composed of $12,235 million related to protection purchased and $72,491 million related to protection sold as of December 31, 2011.

(4)

For the trading assets/liabilities, this is the net amount of the $57,815 million and $52,811 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $51,181 million was used to offset derivative liabilities and, of the gross cash collateral received, $44,941 million was used to offset derivative assets.

(5)

For the other assets/liabilities, this is the net amount of the $307 million and $3,642 million of the gross cash collateral paid and received, respectively. Of the gross cash collateral received, $3,462 million was used to offset derivative assets.

(6)

Represents the netting of derivative receivable and payable balances for the same counterparty under enforceable netting agreements.

(7)

Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements.

Schedule of amounts recognized in Principal transactions in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging

	Principal transactions gains (losses)
	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2012			2011			2012		2011
Interest rate contracts	$	427		$	1,972		$	2,289	$	5,318
Foreign exchange		676			576			1,880		1,958
Equity contracts		(43	)		(358	)		303		217
Commodity and other		8			107			71		131
Credit derivatives		(92	)		(194	)		4		262
Total Citigroup(1)	$	976		$	2,103		$	4,547	$	7,886

(1)

Also see Note 6 to the Consolidated Financial Statements.

Schedule of amounts recognized in Other Revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship and underlying non-derivative instruments

	Gains (losses) included in Other revenue
	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2012			2011			2012			2011
Interest rate contracts	$	(122	)	$	1,090		$	(292	)	$	1,027
Foreign exchange		825			(1,576	)		59			1,096
Credit derivatives		(398	)		586			(724	)		362
Total Citigroup(1)	$	305		$	100		$	(957	)	$	2,485

(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	2012			2011			2012			2011
Gain (loss) on the derivatives in designated and qualifying fair value hedges
Interest rate contracts	$	297		$	4,143		$	750		$	3,678
Foreign exchange contracts		196			590			600			(405	)
Total gain (loss) on the derivatives in designated and qualifying fair value hedges	$	493		$	4,733		$	1,350		$	3,273
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	(418	)	$	(4,207	)	$	(953	)	$	(3,913	)
Foreign exchange hedges		(172	)		(613	)		(542	)		318
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(590	)	$	(4,820	)	$	(1,495	)	$	(3,595	)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
Interest rate hedges	$	(121	)	$	(110	)	$	(203	)	$	(244	)
Foreign exchange hedges		(11	)		17			—			14
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges	$	(132	)	$	(93	)	$	(203	)	$	(230	)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
Interest rate contracts	$	—		$	46		$	—		$	9
Foreign exchange contracts		35			(40	)		58			(101	)
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges	$	35		$	6		$	58		$	(92	)

(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	2012			2011			2012			2011
Effective portion of cash flow hedges included in AOCI
Interest rate contracts	$	(59	)	$	(1,132	)	$	(324	)	$	(1,689	)
Foreign exchange contracts		112			(65	)		52			(166	)
Total effective portion of cash flow hedges included in AOCI	$	53		$	(1,197	)	$	(272	)	$	(1,855	)
Effective portion of cash flow hedges reclassified from AOCI to earnings
Interest rate contracts	$	(186	)	$	(285	)	$	(647	)	$	(951	)
Foreign exchange contracts		(56	)		(60	)		(140	)		(198	)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)	$	(242	)	$	(345	)	$	(787	)	$	(1,149	)

(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, 2012	Maximum potential amount of future payments		Fair value payable(1)(2)
By industry/counterparty
Bank	$	930,387	$	23,164
Broker-dealer		320,560		10,753
Non-financial		3,395		107
Insurance and other financial institutions		184,211		4,609
Total by industry/counterparty	$	1,438,553	$	38,633
By instrument
Credit default swaps and options	$	1,437,397	$	38,502
Total return swaps and other		1,156		131
Total by instrument	$	1,438,553	$	38,633
By rating
Investment grade	$	703,826	$	9,884
Non-investment grade		212,614		15,787
Not rated		522,113		12,962
Total by rating	$	1,438,553	$	38,633
By maturity
Within 1 year	$	333,769	$	1,790
From 1 to 5 years		933,192		24,719
After 5 years		171,592		12,124
Total by maturity	$	1,438,553	$	38,633

1)

In addition, fair value amounts payable under credit derivatives purchased were $18,096 million.

(2)

In addition, fair value amounts receivable under credit derivatives sold were $16,797 million.

In millions of dollars as of December 31, 2011	Maximum potential amount of future payments		Fair value payable(1)(2)
By industry/counterparty
Bank	$	929,608	$	45,920
Broker-dealer		321,293		19,026
Non-financial		1,048		98
Insurance and other financial institutions		142,579		7,447
Total by industry/counterparty	$	1,394,528	$	72,491
By instrument
Credit default swaps and options	$	1,393,082	$	72,358
Total return swaps and other		1,446		133
Total by instrument	$	1,394,528	$	72,491
By rating
Investment grade	$	611,447	$	16,913
Non-investment grade		226,939		28,034
Not rated		556,142		27,544
Total by rating	$	1,394,528	$	72,491
By maturity
Within 1 year	$	266,723	$	3,705
From 1 to 5 years		947,211		46,596
After 5 years		180,594		22,190
Total by maturity	$	1,394,528	$	72,491

(1)

In addition, fair value amounts payable under credit derivatives purchased were $12,361 million.

(2)

In addition, fair value amounts receivable under credit derivatives sold were $11,335 million.