DERIVATIVES ACTIVITIES (Tables)

12 Months Ended

Dec. 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	December 31,  2013		December 31,  2012		December 31,  2013		December 31,  2012		December 31,  2013		December 31,  2012
Interest rate contracts
Swaps	$	150,823	$	114,296	$	36,352,196	$	30,050,856	$	93,286	$	99,434
Futures and forwards	20		—		6,129,742		4,823,370		61,398		45,856
Written options	—		—		4,105,632		3,752,905		3,103		22,992
Purchased options	—		—		3,971,697		3,542,048		3,185		7,890
Total interest rate contract notionals	$	150,843	$	114,296	$	50,559,267	$	42,169,179	$	160,972	$	176,172
Foreign exchange contracts
Swaps	$	22,402	$	22,207	$	1,552,292	$	1,393,368	$	20,013	$	16,900
Futures and forwards	79,646		70,484		3,728,511		3,484,193		14,226		33,768
Written options	101		96		1,037,433		781,698		—		989
Purchased options	106		456		1,029,872		778,438		71		2,106
Total foreign exchange contract notionals	$	102,255	$	93,243	$	7,348,108	$	6,437,697	$	34,310	$	53,763
Equity contracts
Swaps	$	—	$	—	$	100,019	$	96,039	$	—	$	—
Futures and forwards	—		—		23,161		16,171		—		—
Written options	—		—		333,945		320,243		—		—
Purchased options	—		—		266,570		281,236		—		—
Total equity contract notionals	$	—	$	—	$	723,695	$	713,689	$	—	$	—
Commodity and other contracts
Swaps	$	—	$	—	$	22,978	$	27,323	$	—	$	—
Futures and forwards	—		—		98,265		75,897		—		—
Written options	—		—		100,482		86,418		—		—
Purchased options	—		—		97,626		89,284		—		—
Total commodity and other contract notionals	$	—	$	—	$	319,351	$	278,922	$	—	$	—
Credit derivatives(4)
Protection sold	$	—	$	—	$	1,143,363	$	1,346,494	$	—	$	—
Protection purchased	95		354		1,195,223		1,412,194		19,744		21,741
Total credit derivatives	$	95	$	354	$	2,338,586	$	2,758,688	$	19,744	$	21,741
Total derivative notionals	$	253,193	$	207,893	$	61,289,007	$	52,358,175	$	215,026	$	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 $6,450 million and $4,888 million at December 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

In millions of dollars at December 31, 2013	Derivatives classified in Trading accounts assets / liabilities(1)(2)(3)						Derivatives classified in Other assets / liabilities(2)(3)
Derivatives instruments designated as ASC 815 (SFAS 133) hedges	Assets			Liabilities			Assets			Liabilities
Over-the-counter	$	956		$	306		$	3,082		$	854
Cleared	2,505			585			5			—
Exchange traded	—			—			—			—
Interest rate contracts	$	3,461		$	891		$	3,087		$	854
Over-the-counter	$	1,540		$	1,244		$	989		$	293
Cleared	—			—			—			—
Exchange traded	—			—			—			—
Foreign exchange contracts	$	1,540		$	1,244		$	989		$	293
Over-the-counter	$	—		$	—		$	—		$	2
Cleared	—			—			—			—
Exchange traded	—			—			—			—
Credit Derivatives	$	—		$	—		$	—		$	2
Total derivative instruments designated as ASC 815 (SFAS 133) hedges	$	5,001		$	2,135		$	4,076		$	1,149
Derivatives instruments not designated as ASC 815 (SFAS 133) hedges
Over-the-counter	$	314,250		$	297,589		$	37		$	9
Cleared	310,636			318,716			27			5
Exchange traded	33			30			—			—
Interest rate contracts	$	624,919		$	616,335		$	64		$	14
Over-the-counter	$	90,965		$	87,336		$	79		$	3
Cleared	1			2			—			—
Exchange traded	48			55			—			—
Foreign exchange contracts	$	91,014		$	87,393		$	79		$	3
Over-the-counter	$	19,080		$	28,458		$	—		$	—
Cleared	—			—			—			—
Exchange traded	5,797			5,834			—			—
Equity contracts	$	24,877		$	34,292		$	—		$	—
Over-the-counter	$	7,921		$	9,059		$	—		$	—
Cleared	—			—			—			—
Exchange traded	1,161			1,111			—			—
Commodity and other contracts	$	9,082		$	10,170		$	—		$	—
Over-the-counter	$	38,496		$	38,247		$	71		$	563
Cleared	1,850			2,547			—			—
Exchange traded	—			—			—			—
Credit derivatives(4)	$	40,346		$	40,794		$	71		$	563
Total derivatives instruments not designated as ASC 815 (SFAS 133) hedges	$	790,238		$	788,984		$	214		$	580
Total derivatives	$	795,239		$	791,119		$	4,290		$	1,729
Cash collateral paid/received(5)(6)	$	6,073		$	8,827		$	82		$	282
Less: Netting agreements(7)	(713,598		)	(713,598		)	—			—
Less: Netting cash collateral received/paid(8)	(34,893		)	(39,094		)	(2,951		)	—
Net receivables/payables included on the Consolidated Balance Sheet(9)	$	52,821		$	47,254		$	1,421		$	2,011
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	(365		)	(5		)	—			—
Less: Non-cash collateral received/paid	(7,478		)	(3,345		)	(341		)	—
Total Net receivables/payables(9)	$	44,978		$	43,904		$	1,080		$	2,011

(1) The trading derivatives fair values are presented in Note 13 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 comprise $13,673 million related to protection purchased and $26,673 million related to protection sold as of December 31, 2013. The credit derivatives trading liabilities comprise $28,158 million related to protection purchased and $12,636 million related to protection sold as of December 31, 2013.

(5) For the trading assets/liabilities, this is the net amount of the $45,167 million and $43,720 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $39,094 million was used to offset derivative liabilities and, of the gross cash collateral received, $34,893 million was used to offset derivative assets.

(6) For the other assets/liabilities, this is the net amount of the $82 million and $3,233 million of the gross cash collateral paid and received, respectively. Of the gross cash collateral received, $2,951 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 $394 billion, $315 billion and $5 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 $33 billion and $6 billion is netted against OTC and Cleared derivative liabilities, respectively.

(9) The net receivables/payables include approximately $16 billion of both derivative asset and liability fair values not subject to enforceable master netting agreements.

In millions of dollars at December 31, 2012	Derivatives classified in Trading accounts assets / liabilities(1)(2)(3)						Derivatives classified in Other assets / liabilities(2)(3)
Derivatives instruments designated as ASC 815 (SFAS 133) hedges	Assets			Liabilities			Assets			Liabilities
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 included on the Consolidated Balance Sheet(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 13 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 comprise $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 comprise $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.

Derivative gains (losses)

Schedule of gains (losses) on derivatives not designated in a qualifying hedging relationship recognized in Other revenue and gains (losses) on fair value hedges

	Gains (losses) on fair value hedges(1)
	Year ended December 31,
In millions of dollars	2013			2012			2011
Gain (loss) on the derivatives in designated and qualifying fair value hedges
Interest rate contracts	$	(3,288	)	$	122		$	4,423
Foreign exchange contracts	265			377			(117		)
Total gain (loss) on the derivatives in designated and qualifying fair value hedges	$	(3,023	)	$	499		$	4,306
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	3,204		$	(371	)	$	(4,296	)
Foreign exchange hedges	(185		)	(331		)	26
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	3,019		$	(702	)	$	(4,270	)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
Interest rate hedges	$	(84	)	$	(249	)	$	118
Foreign exchange hedges	(4		)	16			1
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges	$	(88	)	$	(233	)	$	119
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
Interest rate contracts	$	—		$	—		$	9
Foreign exchange contracts(2)	84			30			(92		)
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges	$	84		$	30		$	(83	)

(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.

(2) Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates). These amounts are excluded from the assessment of hedge effectiveness and reflected directly in earnings.

Schedule of key characteristics of credit derivative portfolio

In millions of dollars at December  31, 2013	Maximum potential amount of future payments		Fair value payable(1)(2)
By industry/counterparty
Bank	$	727,748	$	6,520
Broker-dealer	224,073		4,001
Non-financial	2,820		56
Insurance and other financial institutions	188,722		2,059
Total by industry/counterparty	$	1,143,363	$	12,636
By instrument
Credit default swaps and options	$	1,141,864	$	12,607
Total return swaps and other	1,499		29
Total by instrument	$	1,143,363	$	12,636
By rating
Investment grade	$	546,011	$	2,385
Non-investment grade	170,789		7,408
Not rated	426,563		2,843
Total by rating	$	1,143,363	$	12,636
By maturity
Within 1 year	$	221,562	$	858
From 1 to 5 years	853,391		7,492
After 5 years	68,410		4,286
Total by maturity	$	1,143,363	$	12,636

(1) In addition, fair value amounts payable under credit derivatives purchased were $28,723 million.

(2) In addition, fair value amounts receivable under credit derivatives sold were $26,673 million.

In millions of dollars at 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.

Fair value hedges

Derivative gains (losses)

Schedule of pretax change in Accumulated other comprehensive income (loss) from cash flow hedges

	Year ended December 31,
In millions of dollars	2013			2012			2011
Effective portion of cash flow hedges included in AOCI
Interest rate contracts	$	749		$	(322	)	$	(1,827	)
Foreign exchange contracts	34			143			81
Credit derivatives	14			—			—
Total effective portion of cash flow hedges included in AOCI	$	797		$	(179	)	$	(1,746	)
Effective portion of cash flow hedges reclassified from AOCI to earnings
Interest rate contracts	$	(700	)	$	(837	)	$	(1,227	)
Foreign exchange contracts	(176		)	(180		)	(257		)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)	$	(876	)	$	(1,017	)	$	(1,484	)

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

Derivatives not designated in a qualifying hedging relationship

Derivative gains (losses)

Schedule of gains (losses) on derivatives not designated in a qualifying hedging relationship recognized in Other revenue and gains (losses) on fair value hedges

	Gains (losses) included in Other revenue
	Year ended December 31,
In millions of dollars	2013			2012			2011
Interest rate contracts	$	(376	)	$	(427	)	$	1,192
Foreign exchange	221			182			224
Credit derivatives	(595		)	(1,022		)	115
Total Citigroup	$	(750	)	$	(1,267	)	$	1,531