DERIVATIVES ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2013

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	March 31, 2013		December 31, 2012		March 31, 2013		December 31, 2012		March 31, 2013		December 31, 2012
Interest rate contracts
Swaps	$	123,698	$	114,296	$	31,154,330	$	30,050,856	$	113,765	$	99,434
Futures and forwards		220		—		5,397,508		4,823,370		80,937		45,856
Written options		—		—		3,871,649		3,752,905		18,497		22,992
Purchased options		—		—		3,598,389		3,542,048		7,080		7,890
Total interest rate contract notionals	$	123,918	$	114,296	$	44,021,876	$	42,169,179	$	220,279	$	176,172
Foreign exchange contracts
Swaps	$	20,847	$	22,207	$	1,375,941	$	1,393,368	$	18,118	$	16,900
Futures and forwards		67,399		70,484		4,051,904		3,484,193		20,664		33,768
Written options		129		96		1,097,717		781,698		—		989
Purchased options		694		456		1,109,849		778,438		129		2,106
Total foreign exchange contract notionals	$	89,069	$	93,243	$	7,635,411	$	6,437,697	$	38,911	$	53,763
Equity contracts
Swaps	$	—	$	—	$	101,404	$	96,039	$	—	$	—
Futures and forwards		—		—		17,704		16,171		—		—
Written options		—		—		335,816		320,243		—		—
Purchased options		—		—		313,794		281,236		—		—
Total equity contract notionals	$	—	$	—	$	768,718	$	713,689	$	—	$	—
Commodity and other contracts
Swaps	$	—	$	—	$	29,318	$	27,323	$	—	$	—
Futures and forwards		—		—		101,703		75,897		—		—
Written options		—		—		96,410		86,418		—		—
Purchased options		—		—		101,581		89,284		—		—
Total commodity and other contract notionals	$	—	$	—	$	329,012	$	278,922	$	—	$	—
Credit derivatives(4)
Protection sold	$	—	$	—	$	1,380,859	$	1,346,494	$	—	$	—
Protection purchased		338		354		1,451,731		1,412,194		19,073		21,741
Total credit derivatives	$	338	$	354	$	2,832,590	$	2,758,688	$	19,073	$	21,741
Total derivative notionals	$	213,325	$	207,893	$	55,587,607	$	52,358,175	$	278,263	$	251,676

(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 $5,123 and $4,888 million at March 31, 2013 and December 31, 2012, 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 accounts assets/liabilities(1)(2)(3)						Derivatives classified in other assets/liabilities(2)(3)
In millions of dollars at March 31, 2013	Assets			Liabilities			Assets			Liabilities
Derivatives instruments designated as ASC 815 (SFAS 133) hedges
Over-the-counter	$	3,340		$	964		$	3,977		$	1,117
Cleared		2,226			567			1			2
Exchange Traded		—			—			—			—
Interest Rate contracts	$	5,566		$	1,531		$	3,978		$	1,119
Over-the-counter	$	518		$	1,193		$	440		$	718
Cleared		—			—			—			—
Exchange Traded		—			—			—			—
Foreign Exchange Contracts	$	518		$	1,193		$	440		$	718
Over-the-counter	$	—		$	—		$	—		$	12
Cleared		—			—			—			—
Exchange Traded		—			—			—			—
Credit Derivatives	$	—		$	—		$	—		$	12
Total derivative instruments designated as ASC 815 (SFAS 133) hedges	$	6,084		$	2,724		$	4,418		$	1,849
Derivatives instruments not designated as ASC 815 (SFAS 133) hedges
Over-the-counter	$	427,999		$	417,684		$	291		$	2
Cleared		370,239			376,498			25			52
Exchange Traded		45			75			—			—
Interest Rate contracts	$	798,283		$	794,257		$	316		$	54
Over-the-counter	$	77,297		$	78,631		$	158		$	137
Cleared		8			9			—			—
Exchange Traded		—			—			—			—
Foreign Exchange Contracts	$	77,305		$	78,640		$	158		$	137
Over-the-counter	$	15,558		$	28,653		$	—		$	—
Cleared		184			161			—			—
Exchange Traded		3,930			3,787			—			—
Equity Contracts	$	19,672		$	32,601		$	—		$	—
Over-the-counter	$	9,072		$	9,884		$	—		$	—
Cleared		—			—			—			—
Exchange Traded		1,639			1,539			—			—
Commodity and other Contracts	$	10,711		$	11,423		$	—		$	—
Over-the-counter	$	49,594		$	48,284		$	126		$	398
Cleared		1,504			1,426			—			—
Exchange Traded		—			—			—			—
Credit Derivatives(4)	$	51,098		$	49,710		$	126		$	398
Total Derivatives instruments not designated as ASC 815 (SFAS 133) hedges	$	957,069		$	966,631		$	600		$	589
Total derivatives	$	963,153		$	969,355		$	5,018		$	2,438
Cash collateral paid/received(5)(6)	$	5,195		$	9,890			339		$	281
Less: Netting agreements(7)		(877,186	)		(877,186	)		—			—
Less: Netting cash collateral received/paid(8)		(35,862	)		(49,274	)		(3,527	)		—
Net receivables/payables	$	55,300		$	52,785		$	1,830		$	2,719
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet
Less: Does not meet applicable offsetting guidance	$	—		$	—		$	—		$	—
Less: Cash collateral received/paid	$	(453	)	$	(15	)	$	—		$	—
Less: Non-cash collateral received/paid	$	(7,531	)	$	(7,279	)	$	—		$	—
Total Net receivables/payables	$	47,316		$	45,491		$	1,830		$	2,719

(1)

The trading derivatives fair values are presented in Note 11 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)

Over-the-counter (OTC) derivatives include derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with counterparty in the OTC market but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange Traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.

(4)

The credit derivatives trading assets are composed of $30,572 million related to protection purchased and $20,526 million related to protection sold as of March 31, 2013. The credit derivatives trading liabilities are composed of $21,472 million related to protection purchased and $28,238 million related to protection sold as of March 31, 2013.

(5)

For the trading assets/liabilities, this is the net amount of the $54,469 million and $45,752 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $49,274 million was used to offset derivative liabilities and, of the gross cash collateral received, $35,862 million was used to offset derivative assets.

(6)

For the other assets/liabilities, this is the net amount of the $339 million and $3,808 million of the gross cash collateral paid and received, respectively. Of the gross cash collateral received, $3,527 million was used to offset derivative assets.

(7)

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

(8)

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

	Derivatives classified in trading accounts assets/liabilities(1)(2)(3)						Derivatives classified in other assets/liabilities(2)(3)
In millions of dollars at December 31, 2012	Assets			Liabilities			Assets			Liabilities
Derivatives instruments designated as ASC 815 (SFAS 133) hedges
Over-the-counter	$	5,110		$	1,702		$	4,574		$	1,175
Cleared		2,685			561			—			3
Exchange Traded		—			—			—			—
Interest Rate contracts	$	7,795		$	2,263		$	4,574		$	1,178
Over-the-counter	$	341		$	1,350		$	978		$	525
Cleared		—			—			—			—
Exchange Traded		—			—			—			—
Foreign Exchange Contracts	$	341		$	1,350		$	978		$	525
Over-the-counter	$	—		$	—		$	—		$	16
Cleared		—			—			—			—
Exchange Traded		—			—			—			—
Credit Derivatives	$	—		$	—		$	—		$	16
Total derivative instruments designated as ASC 815 (SFAS 133) hedges	$	8,136		$	3,613		$	5,552		$	1,719
Derivatives instruments not designated as ASC 815 (SFAS 133) hedges
Over-the-counter	$	485,100		$	473,446		$	438		$	4
Cleared		406,384			416,127			11			25
Exchange Traded		68			56			—			—
Interest Rate contracts	$	891,552		$	889,629		$	449		$	29
Over-the-counter	$	75,933		$	80,695		$	200		$	112
Cleared		4			4			—			—
Exchange Traded		—			—			—			—
Foreign Exchange Contracts	$	75,937		$	80,699		$	200		$	112
Over-the-counter	$	14,273		$	28,138		$	—		$	—
Cleared		53			91			—			—
Exchange Traded		3,883			3,610			—			—
Equity Contracts	$	18,209		$	31,839		$	—		$	—
Over-the-counter	$	8,889		$	10,154		$	—		$	—
Cleared		—			—			—			—
Exchange Traded		1,968			1,977			—			—
Commodity and other Contracts	$	10,857		$	12,131		$	—		$	—
Over-the-counter	$	52,809		$	51,175		$	102		$	392
Cleared		1,215			1,079			—			—
Exchange Traded		—			—			—			—
Credit Derivatives(4)	$	54,024		$	52,254		$	102		$	392
Total Derivatives instruments not designated as ASC 815 (SFAS 133) hedges	$	1,050,579		$	1,066,552		$	751		$	533
Total derivatives	$	1,058,715		$	1,070,165		$	6,303		$	2,252
Cash collateral paid/received(5)(6)	$	5,597		$	7,923		$	214		$	658
Less: Netting agreements(7)		(970,782	)		(970,782	)		—			—
Less: Netting cash collateral received/paid(8)		(38,910	)		(55,555	)		(4,660	)		—
Net receivables/payables	$	54,620		$	51,751		$	1,857		$	2,910
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet
Less: Does not meet applicable offsetting guidance	$	—		$	—		$	—		$	—
Less: Cash collateral received/paid	$	(1,021	)	$	(10	)	$	—		$	—
Less: Non-cash collateral received/paid	$	(7,143	)	$	(5,641	)	$	(388	)	$	—
Total Net receivables/payables	$	46,456		$	46,100		$	1,469		$	2,910

(1)

The trading derivatives fair values are presented in Note 11 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)

Over-the-counter (OTC) derivatives include derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with counterparty in the OTC market but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange Traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.

(4)

The credit derivatives trading assets are composed of $34,314 million related to protection purchased and $19,710 million related to protection sold as of December 31, 2012. The credit derivatives trading liabilities are composed of $20,424 million related to protection purchased and $31,830 million related to protection sold as of December 31, 2012.

(5)

For the trading assets/liabilities, this is the net amount of the $61,152 million and $46,833 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $55,555 million was used to offset derivative liabilities and, of the gross cash collateral received, $38,910 million was used to offset derivative assets.

(6)

For the other assets/liabilities, this is the net amount of the $214 million and $5,318 million of the gross cash collateral paid and received, respectively. Of the gross cash collateral received, $4,660 million was used to offset derivative assets.

(7)

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

(8)

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

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 March 31,
In millions of dollars	2013			2012
Interest rate contracts	$	(185	)	$	(435	)
Foreign exchange		(1,071	)		544
Credit derivatives		(111	)		(429	)
Total Citigroup(1)	$	(1,367	)	$	(320	)

(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) for the three months ended March 31,
In millions of dollars	2013			2012
Gain (loss) on the derivatives in designated and qualifying fair value hedges
Interest rate contracts	$	(934	)	$	(1,492	)
Foreign exchange contracts		(292	)		250
Total gain (loss) on the derivatives in designated and qualifying fair value hedges	$	(1,226	)	$	(1,242	)
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	932		$	1,254
Foreign exchange hedges		306			(234	)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	1,238		$	1,020
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
Interest rate hedges	$	(2	)	$	(238	)
Foreign exchange hedges		(12	)		3
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges	$	(14	)	$	(235	)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
Interest rate contracts	$	—		$	—
Foreign exchange contracts		26			13
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges	$	26		$	13

(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.

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

	Three months ended March 31,
In millions of dollars	2013			2012
Effective portion of cash flow hedges included in AOCI
Interest rate contracts	$	39		$	13
Foreign exchange contracts		(68	)		69
Credit derivatives		4			—
Total effective portion of cash flow hedges included in AOCI	$	(25	)	$	82
Effective portion of cash flow hedges reclassified from AOCI to earnings
Interest rate contracts	$	(183	)	$	(237	)
Foreign exchange contracts		(43	)		(40	)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)	$	(226	)	$	(277	)

(1)

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

Credit derivative portfolio

In millions of dollars as of March 31, 2013	Maximum potential amount of future payments		Fair value payable(1)(2)
By industry/counterparty
Bank	$	889,238	$	17,322
Broker-dealer		313,367		7,861
Non-financial		3,233		90
Insurance and other financial institutions		175,021		2,965
Total by industry/counterparty	$	1,380,859	$	28,238
By instrument
Credit default swaps and options	$	1,379,517	$	28,003
Total return swaps and other		1,342		235
Total by instrument	$	1,380,859	$	28,238
By rating
Investment grade	$	599,304	$	5,758
Non-investment grade		203,232		12,947
Not rated		578,323		9,533
Total by rating	$	1,380,859	$	28,238
By maturity
Within 1 year	$	278,003	$	2,001
From 1 to 5 years		988,220		19,058
After 5 years		114,636		7,179
Total by maturity	$	1,380,859	$	28,238

(1)

In addition, fair value amounts payable under credit derivatives purchased were $21,882 million.

(2)

In addition, fair value amounts receivable under credit derivatives sold were $20,526 million.

In millions of dollars as of December 31, 2012	Maximum potential amount of future payments		Fair value payable(1)(2)
By industry/counterparty
Bank	$	863,411	$	18,824
Broker-dealer		304,968		9,193
Non-financial		3,241		87
Insurance and other financial institutions		174,874		3,726
Total by industry/counterparty	$	1,346,494	$	31,830
By instrument
Credit default swaps and options	$	1,345,162	$	31,624
Total return swaps and other		1,332		206
Total by instrument	$	1,346,494	$	31,830
By rating
Investment grade	$	637,343	$	6,290
Non-investment grade		200,529		15,591
Not rated		508,622		9,949
Total by rating	$	1,346,494	$	31,830
By maturity
Within 1 year	$	287,670	$	2,388
From 1 to 5 years		965,059		21,542
After 5 years		93,765		7,900
Total by maturity	$	1,346,494	$	31,830

(1)

In addition, fair value amounts payable under credit derivatives purchased were $20,832 million.

(2)

In addition, fair value amounts receivable under credit derivatives sold were $19,710 million.