DERIVATIVES ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2013

					Other derivative instruments
	Hedging instruments under ASC 815 (SFAS 133)(1)(2)				Other derivative instruments
	Hedging instruments under ASC 815 (SFAS 133)(1)(2)				Trading derivatives				Management hedges(3)
*In millions of dollars*	September 30, 2013		December 31, 2012		September 30, 2013		December 31, 2012		September 30, 2013		December 31, 2012
Interest rate contracts
Swaps	$	132,113	$	114,296	$	34,847,281	$	30,050,856	$	122,869	$	99,434
Futures and forwards		—		—		5,674,686		4,823,370		51,745		45,856
Written options		—		—		4,191,921		3,752,905		7,081		22,992
Purchased options		—		—		4,065,376		3,542,048		3,975		7,890

Total interest rate contract notionals	$	132,113	$	114,296	$	48,779,264	$	42,169,179	$	185,670	$	176,172

Foreign exchange contracts
Swaps	$	23,002	$	22,207	$	1,495,744	$	1,393,368	$	17,037	$	16,900
Futures and forwards		74,713		70,484		3,495,612		3,484,193		19,990		33,768
Written options		201		96		1,169,856		781,698		—		989
Purchased options		587		456		1,153,172		778,438		92		2,106

Total foreign exchange contract notionals	$	98,503	$	93,243	$	7,314,384	$	6,437,697	$	37,119	$	53,763

Equity contracts
Swaps	$	—	$	—	$	97,257	$	96,039	$	—	$	—
Futures and forwards		—		—		22,144		16,171		—		—
Written options		—		—		387,255		320,243		—		—
Purchased options		—		—		355,549		281,236		—		—

Total equity contract notionals	$	—	$	—	$	862,205	$	713,689	$	—	$	—

Commodity and other contracts
Swaps	$	—	$	—	$	26,606	$	27,323	$	—	$	—
Futures and forwards		—		—		95,651		75,897		—		—
Written options		—		—		116,027		86,418		—		—
Purchased options		—		—		116,751		89,284		—		—

Total commodity and other contract notionals	$	—	$	—	$	355,035	$	278,922	$	—	$	—

Credit derivatives(4)
Protection sold	$	—	$	—	$	1,359,642	$	1,346,494	$	—	$	—
Protection purchased		95		354		1,413,556		1,412,194		17,250		21,741

Total credit derivatives	$	95	$	354	$	2,773,198	$	2,758,688	$	17,250	$	21,741

Total derivative notionals	$	230,711	$	207,893	$	60,084,086	$	52,358,175	$	240,039	$	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 $5,924 million and $4,888 million at September 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 September 30, 2013*	Assets			Liabilities			Assets			Liabilities
Derivatives instruments designated as ASC 815 (SFAS 133) hedges
Over-the-counter	$	1,177		$	867		$	3,234		$	1,013
Cleared		3,268			268			9			—
Exchange traded		—			—			—			—

Interest rate contracts	$	4,445		$	1,135		$	3,243		$	1,013

Over-the-counter	$	1,412		$	1,069		$	1,139		$	509
Cleared		—			—			—			—
Exchange traded		—			—			—			—

Foreign exchange contracts	$	1,412		$	1,069		$	1,139		$	509

Over-the-counter	$	—		$	—		$	—		$	2
Cleared		—			—			—			—
Exchange traded		—			—			—			—

Credit Derivatives	$	—		$	—		$	—		$	2

Total derivative instruments designated as ASC 815 (SFAS 133) hedges	$	5,857		$	2,204		$	4,382		$	1,524

Derivatives instruments not designated as ASC 815 (SFAS 133) hedges
Over-the-counter	$	343,188		$	327,066		$	123		$	11
Cleared		322,065			327,777			47			147
Exchange traded		53			129			—			—

Interest rate contracts	$	665,306		$	654,972		$	170		$	158

Over-the-counter	$	85,253		$	85,930		$	103		$	20
Cleared		3			1			—			—
Exchange traded		43			42			—			—

Foreign exchange contracts	$	85,299		$	85,973		$	103		$	20

Over-the-counter	$	19,245		$	28,460		$	—		$	—
Cleared		—			—			—			—
Exchange traded		5,953			5,771			—			—

Equity contracts	$	25,198		$	34,231		$	—		$	—

Over-the-counter	$	8,331		$	9,838		$	—		$	—
Cleared		—			—			—			—
Exchange traded		1,708			1,148			—			—

Commodity and other contracts	$	10,039		$	10,986		$	—		$	—

Over-the-counter	$	43,272		$	42,707		$	118		$	447
Cleared		1,770			2,012			—			—
Exchange traded		—			—			—			—

Credit derivatives(4)	$	45,042		$	44,719		$	118		$	447

Total derivatives instruments not designated as ASC 815 (SFAS 133) hedges	$	830,884		$	830,881		$	391		$	625

Total derivatives	$	836,741		$	833,085		$	4,773		$	2,149

Cash collateral paid/received(5)(6)	$	5,349		$	8,985		$	327		$	276
Less: Netting agreements(7)		(755,725	)		(755,725	)		—			—
Less: Netting cash collateral received/paid(8)		(34,616	)		(36,202	)		(3,384	)		—

Net receivables/payables(9)	$	51,749		$	50,143		$	1,716		$	2,425

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

(391

)

(16

)

—

Less: Non-cash collateral received/paid

(6,268

)

(4,036

)

(127

)

—

Total Net receivables/payables(9)

45,090

46,091

1,589

2,425

(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 $21,197 million related to protection purchased and $23,845 million related to protection sold as of September 30, 2013. The credit derivatives trading liabilities are composed of $25,203 million related to protection purchased and $19,516 million related to protection sold as of September 30, 2013.
(5): For the trading assets/liabilities, this is the net amount of the $41,551 million and $43,601 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $36,202 million was used to offset derivative liabilities and, of the gross cash collateral received, $34,616 million was used to offset derivative assets.
(6): For the other assets/liabilities, this is the net amount of the $327 million and $3,660 million of the gross cash collateral paid and received, respectively. Of the gross cash collateral received, $3,384 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. Approximately $426 billion, $327 billion and $3 billion of the netting against trading account asset/liability balances is attributable to OTC, Cleared and Exchange traded derivatives, respectively.
(8): Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received is netted against OTC derivative assets. Cash collateral paid of approximately $34 billion and $2 billion is netted against OTC and Cleared derivative liabilities, respectively.
(9): The net receivables/payables include approximately $14 billion and $19 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 September 30,						Nine months ended September 30,
*In millions of dollars*	2013			2012			2013			2012
Interest rate contracts	$	5		$	(122	)	$	(245	)	$	(292	)
Foreign exchange		867			825			(35	)		59
Credit derivatives		(196	)		(398	)		(367	)		(724	)

Total Citigroup	$	676		$	305		$	(647	)	$	(957	)

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*	2013			2012			2013			2012
Gain (loss) on the derivatives in designated and qualifying fair value hedges
Interest rate contracts	$	(97	)	$	297		$	(2,588	)	$	750
Foreign exchange contracts		343			196			90			600

Total gain (loss) on the derivatives in designated and qualifying fair value hedges	$	246		$	493		$	(2,498	)	$	1,350

Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	51		$	(418	)	$	2,519		$	(953	)
Foreign exchange hedges		(296	)		(172	)		6			(542	)

Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(245	)	$	(590	)	$	2,525		$	(1,495	)

Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
Interest rate hedges	$	(46	)	$	(121	)	$	(69	)	$	(203	)
Foreign exchange hedges		2			(11	)		(4	)		—

Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges	$	(44	)	$	(132	)	$	(73	)	$	(203	)

Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
Interest rate contracts	$	—		$	—		$	—		$	—
Foreign exchange contracts		45			35			100			58

Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges	$	45		$	35		$	100		$	58

(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 September 30,						Nine months ended September 30,

*In millions of dollars*	2013			2012			2013			2012
Effective portion of cash flow hedges included in AOCI
Interest rate contracts	$	230		$	(60	)	$	748		$	(327	)
Foreign exchange contracts		34			112			37			52
Credit derivatives		1			—			14			—

Total effective portion of cash flow hedges included in AOCI	$	265		$	52		$	799		$	(275	)

Effective portion of cash flow hedges reclassified from AOCI to earnings
Interest rate contracts	$	(211	)	$	(186	)	$	(596	)	$	(647	)
Foreign exchange contracts		(38	)		(56	)		(124	)		(140	)

Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)	$	(249	)	$	(242	)	$	(720	)	$	(787	)

(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, 2013	Maximum potential amount of future payments		Fair value payable(1)(2)

By industry/counterparty
Bank	$	886,450	$	11,294
Broker-dealer		262,902		5,635
Non-financial		3,440		82
Insurance and other financial institutions		206,850		2,505

Total by industry/counterparty	$	1,359,642	$	19,516

By instrument
Credit default swaps and options	$	1,358,327	$	19,484
Total return swaps and other		1,315		32

Total by instrument	$	1,359,642	$	19,516

By rating
Investment grade	$	629,884	$	4,929
Non-investment grade		196,785		9,752
Not rated		532,973		4,835

Total by rating	$	1,359,642	$	19,516

By maturity
Within 1 year	$	258,714	$	997
From 1 to 5 years		1,002,689		12,860
After 5 years		98,239		5,659

Total by maturity	$	1,359,642	$	19,516

(1): In addition, fair value amounts payable under credit derivatives purchased were $25,652 million.
(2): In addition, fair value amounts receivable under credit derivatives sold were $23,845 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.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References+ Details

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

+ References+ Details

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References+ Details