DERIVATIVES ACTIVITIES (Tables)

6 Months Ended

Jun. 30, 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	June 30, 2013		December 31, 2012		June 30, 2013		December 31, 2012		June 30, 2013		December 31, 2012
Interest rate contracts
Swaps	$	133,418	$	114,296	$	32,216,909	$	30,050,856	$	129,189	$	99,434
Futures and forwards		—		—		6,040,887		4,823,370		79,803		45,856
Written options		—		—		4,169,564		3,752,905		15,521		22,992
Purchased options		—		—		3,971,417		3,542,048		7,717		7,890
Total interest rate contract notionals	$	133,418	$	114,296	$	46,398,777	$	42,169,179	$	232,230	$	176,172
Foreign exchange contracts
Swaps	$	21,331	$	22,207	$	1,410,503	$	1,393,368	$	20,080	$	16,900
Futures and forwards		60,414		70,484		3,583,955		3,484,193		21,808		33,768
Written options		118		96		1,235,021		781,698		—		989
Purchased options		630		456		1,224,655		778,438		63		2,106
Total foreign exchange contract notionals	$	82,493	$	93,243	$	7,454,134	$	6,437,697	$	41,951	$	53,763
Equity contracts
Swaps	$	—	$	—	$	102,413	$	96,039	$	—	$	—
Futures and forwards		—		—		22,955		16,171		—		—
Written options		—		—		355,941		320,243		—		—
Purchased options		—		—		338,180		281,236		—		—
Total equity contract notionals	$	—	$	—	$	819,489	$	713,689	$	—	$	—
Commodity and other contracts
Swaps	$	—	$	—	$	27,966	$	27,323	$	—	$	—
Futures and forwards		—		—		89,526		75,897		—		—
Written options		—		—		100,764		86,418		—		—
Purchased options		—		—		96,417		89,284		—		—
Total commodity and other contract notionals	$	—	$	—	$	314,673	$	278,922	$	—	$	—
Credit derivatives(4)
Protection sold	$	—	$	—	$	1,360,847	$	1,346,494	$	—	$	—
Protection purchased		107		354		1,409,444		1,412,194		17,745		21,741
Total credit derivatives	$	107	$	354	$	2,770,291	$	2,758,688	$	17,745	$	21,741
Total derivative notionals	$	216,018	$	207,893	$	57,757,364	$	52,358,175	$	291,926	$	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 was $5,332 and $4,888 million at June 30, 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 June 30, 2013	Assets			Liabilities			Assets			Liabilities
Derivatives instruments designated as ASC 815 (SFAS 133) hedges
Over-the-counter	$	2,042		$	604		$	3,261		$	925
Cleared		3,005			806			7			—
Exchange traded		—			—			—			—
Interest rate contracts	$	5,047		$	1,410		$	3,268		$	925
Over-the-counter	$	1,681		$	495		$	495		$	658
Cleared		—			—			—			—
Exchange traded		—			—			—			—
Foreign exchange contracts	$	1,681		$	495		$	495		$	658
Over-the-counter	$	—		$	—		$	—		$	3
Cleared		—			—			—			—
Exchange traded		—			—			—			—
Credit Derivatives	$	—		$	—		$	—		$	3
Total derivative instruments designated as ASC 815 (SFAS 133) hedges	$	6,728		$	1,905		$	3,763		$	1,586
Derivatives instruments not designated as ASC 815 (SFAS 133) hedges
Over-the-counter	$	360,660		$	351,664		$	53		$	88
Cleared		306,719			310,686			589			161
Exchange traded		202			283			—			—
Interest rate contracts	$	667,581		$	662,633		$	642		$	249
Over-the-counter	$	95,368		$	95,991		$	64		$	142
Cleared		4			3			—			—
Exchange traded		14			18			—			—
Foreign exchange contracts	$	95,386		$	96,012		$	64		$	142
Over-the-counter	$	19,601		$	32,600		$	—		$	—
Cleared		—			—			—			—
Exchange traded		3,386			828			—			—
Equity contracts	$	22,987		$	33,428		$	—		$	—
Over-the-counter	$	9,936		$	11,185		$	—		$	—
Cleared		—			—			—			—
Exchange traded		1,915			1,203			—			—
Commodity and other contracts	$	11,851		$	12,388		$	—		$	—
Over-the-counter	$	43,591		$	42,006		$	147		$	375
Cleared		1,476			1,549			—			—
Exchange traded		—			—			—			—
Credit derivatives(4)	$	45,067		$	43,555		$	147		$	375
Total derivatives instruments not designated as ASC 815 (SFAS 133) hedges	$	842,872		$	848,016		$	853		$	766
Total derivatives	$	849,600		$	849,921		$	4,616		$	2,352
Cash collateral paid/received(5)(6)	$	5,088		$	8,814		$	7		$	313
Less: Netting agreements(7)		(764,620	)		(764,620	)		—			—
Less: Netting cash collateral received/paid(8)		(33,271	)		(42,193	)		(2,960	)		—
Net receivables/payables(9)	$	56,797		$	51,922		$	1,663		$	2,665
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		(498	)		(15	)		—			—
Less: Non-cash collateral received/paid		(7,126	)		(5,913	)		—			—
Total Net receivables/payables(9)	$	49,173		$	45,994		$	1,663		$	2,665

(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 a 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 $25,239 million related to protection purchased and $19,828 million related to protection sold as of June 30, 2013. The credit derivatives trading liabilities are composed of $20,163 million related to protection purchased and $23,392 million related to protection sold as of June 30, 2013.

(5)

For the trading assets/liabilities, this is the net amount of the $47,281 million and $42,085 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $42,193 million was used to offset derivative liabilities and, of the gross cash collateral received, $33,271 million was used to offset derivative assets.

(6)

For the other assets/liabilities, this is the net amount of the $7 million and $3,273 million of the gross cash collateral paid and received, respectively. Of the gross cash collateral received, $2,960 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.

(9)

The net receivables/payables include approximately $15 billion and $18 billion of derivative asset and liability fair values, respectively, not subject to enforceable master netting 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(9)	$	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(9)	$	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 a 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.

(9)

The net receivables/payables include approximately $17 billion and $18 billion of derivative asset and liability fair values, respectively, not subject to enforceable master netting 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 June 30,						Six months ended June 30,
In millions of dollars	2013			2012			2013			2012
Interest rate contracts	$	(65	)	$	265		$	(250	)	$	(170	)
Foreign exchange		169			(1,310	)		(902	)		(766	)
Credit derivatives		(59	)		103			(170	)		(326	)
Total Citigroup(1)	$	45		$	(942	)	$	(1,322	)	$	(1,262	)

(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 June 30,						Six months ended June 30,
In millions of dollars	2013			2012			2013			2012
Gain (loss) on the derivatives in designated and qualifying fair value hedges
Interest rate contracts	$	(1,557	)	$	1,945		$	(2,491	)	$	453
Foreign exchange contracts		39			154			(253	)		404
Total gain (loss) on the derivatives in designated and qualifying fair value hedges	$	(1,518	)	$	2,099		$	(2,744	)	$	857
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	1,536		$	(1,789	)	$	2,468		$	(535	)
Foreign exchange hedges		(4	)		(136	)		302			(370	)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	1,532		$	(1,925	)	$	2,770		$	(905	)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
Interest rate hedges	$	(21	)	$	156		$	(23	)	$	(82	)
Foreign exchange hedges		6			8			(6	)		11
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges	$	(15	)	$	164		$	(29	)	$	(71	)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
Interest rate contracts	$	—		$	—		$	—		$	—
Foreign exchange contracts		29			10			55			23
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges	$	29		$	10		$	55		$	23

(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 June 30,						Six months ended June 30,
In millions of dollars	2013			2012			2013			2012
Effective portion of cash flow hedges included in AOCI
Interest rate contracts	$	474		$	(278	)	$	513		$	(265	)
Foreign exchange contracts		71			(129	)		3			(60	)
Credit derivatives		14						18
Total effective portion of cash flow hedges included in AOCI	$	559		$	(407	)	$	534		$	(325	)
Effective portion of cash flow hedges reclassified from AOCI to earnings
Interest rate contracts	$	(202	)	$	(223	)	$	(385	)	$	(461	)
Foreign exchange contracts		(43	)		(44	)		(86	)		(84	)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)	$	(245	)	$	(267	)	$	(471	)	$	(545	)

(1)

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

Credit derivative portfolio

In millions of dollars as of June 30, 2013	Maximum potential amount of future payments		Fair value payable(1)(2)
By industry/counterparty
Bank	$	871,431	$	13,677
Broker-dealer		290,286		6,428
Non-financial		3,317		89
Insurance and other financial institutions		195,813		3,198
Total by industry/counterparty	$	1,360,847	$	23,392
By instrument
Credit default swaps and options	$	1,359,548	$	23,301
Total return swaps and other		1,299		91
Total by instrument	$	1,360,847	$	23,392
By rating
Investment grade	$	618,914	$	6,391
Non-investment grade		188,392		9,121
Not rated		553,541		7,880
Total by rating	$	1,360,847	$	23,392
By maturity
Within 1 year	$	255,357	$	720
From 1 to 5 years		1,027,097		16,483
After 5 years		78,393		6,189
Total by maturity	$	1,360,847	$	23,392

(1)

In addition, fair value amounts payable under credit derivatives purchased were $20,541 million.

(2)

In addition, fair value amounts receivable under credit derivatives sold were $19,828 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.