DERIVATIVES ACTIVITIES (Tables)

12 Months Ended

Dec. 31, 2012


	Hedging instruments under
	ASC 815 (SFAS 133)				⁽¹⁾⁽²⁾					Other derivative instruments
						Trading derivatives				Management hedges				⁽³⁾
	December 31,		December 31,			December 31,		December 31,		December 31,		December 31,
In millions of dollars		2012		2011			2012		2011		2012		2011
Interest rate contracts
Swaps	$	114,296	$	163,079		$	30,050,856	$	28,069,960	$	99,434	$	119,344
Futures and forwards		—		—			4,823,370		3,549,642		45,856		43,965
Written options		—		—			3,752,905		3,871,700		22,992		16,786
Purchased options		—		—			3,542,048		3,888,415		7,890		7,338
Total interest rate contract notionals	$	114,296	$	163,079		$	42,169,179	$	39,379,717	$	176,172	$	187,433
Foreign exchange contracts
Swaps	$	22,207	$	27,575		$	1,393,368	$	1,182,363	$	16,900	$	22,458
Futures and forwards		70,484		55,211			3,484,193		3,191,687		33,768		31,095
Written options		96		4,292			781,698		591,818		989		190
Purchased options		456		39,163			778,438		583,891		2,106		53
Total foreign exchange contract notionals	$	93,243	$	126,241		$	6,437,697	$	5,549,759	$	53,763	$	53,796
Equity contracts
Swaps	$	—	$	—		$	96,039	$	86,978	$	—	$	—
Futures and forwards		—		—			16,171		12,882		—		—
Written options		—		—			320,243		552,333		—		—
Purchased options		—		—			281,236		509,322		—		—
Total equity contract notionals	$	—	$	—		$	713,689	$	1,161,515	$	—	$	—
Commodity and other contracts
Swaps	$	—	$	—		$	27,323	$	23,403	$	—	$	—
Futures and forwards		—		—			75,897		73,090		—		—
Written options		—		—			86,418		90,650		—		—
Purchased options		—		—			89,284		99,234		—		—
Total commodity and other contract notionals	$	—	$	—		$	278,922	$	286,377	$	—	$	—
Credit derivatives ⁽⁴⁾
Protection sold	$	—	$	—		$	1,346,494	$	1,394,528	$	—	$	—
Protection purchased		354		4,253			1,412,194		1,486,723		21,741		21,914
Total credit derivatives	$	354	$	4,253		$	2,758,688	$	2,881,251	$	21,741	$	21,914
Total derivative notionals	$	207,893	$	293,573		$	52,358,175	$	49,258,619	$	251,676	$	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 $4,888 million and $7,060 million at December 31, 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

Derivatives classified in other

account assets/liabilities

⁽¹⁾⁽²⁾

assets/liabilities

⁽²⁾

In millions of dollars at December 31, 2012

Assets

Liabilities

Assets

Liabilities

Derivative instruments designated as ASC 815 (SFAS 133) hedges

Interest rate contracts

7,795

2,263

4,574

1,178

Foreign exchange contracts

341

1,350

978

525

Credit derivatives

—

Total derivative instruments designated as ASC 815 (SFAS 133) hedges

8,136

3,613

5,552

1,719

Other derivative instruments

Interest rate contracts

895,726

890,405

449

Foreign exchange contracts

76,291

80,771

200

112

Equity contracts

18,293

31,867

—

Commodity and other contracts

10,907

12,142

—

Credit derivatives ⁽³⁾

54,275

52,300

102

392

Total other derivative instruments

1,055,492

1,067,485

751

533

Total derivatives

1,063,628

1,071,098

6,303

2,252

Cash collateral paid/received ⁽⁴⁾⁽⁵⁾

5,597

7,923

214

658

Less: Netting agreements and market value adjustments ⁽⁶⁾

(975,695

)

(971,715

)

—

Less: Net cash collateral received/paid ⁽⁷⁾

(38,910

)

(55,555

)

(4,660

)

—

Net receivables/payables

54,620

51,751

1,857

2,910

(1)		The trading derivatives fair values are presented in Note 14 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 $34,565 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 $20,470 million related to protection purchased and $31,830 million related to protection sold as of December 31, 2012.
(4)		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.
(5)		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.
(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						Derivatives classified in other
	account assets/liabilities					⁽¹⁾⁽²⁾	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
Credit derivatives		—			—			—			—
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 14 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

	Year ended December 31,
In millions of dollars	2012			2011			2010
Interest rate contracts	$	2,301		$	5,136		$	3,231
Foreign exchange		2,403			2,309			1,852
Equity contracts		158			3			995
Commodity and other		92			76			126
Credit derivatives		(173	)		(290	)		1,313
Total Citigroup ⁽¹⁾	$	4,781		$	7,234		$	7,517

(1)

Also see Note 7 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
	Year ended December 31,
In millions of dollars	2012			2011		2010
Interest rate contracts	$	(427	)	$	1,192	$	(205	)
Foreign exchange contracts		182			224		(2,052	)
Credit derivatives		(1,022	)		115		(502	)
Total Citigroup ⁽¹⁾	$	(1,267	)	$	1,531	$	(2,759	)

(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⁾
	Year ended December 31,
In millions of dollars	2012			2011			2010
Gain (loss) on derivatives in designated and qualifying fair value hedges
Interest rate contracts	$	122		$	4,423		$	948
Foreign exchange contracts		377			(117	)		729
Total gain (loss) on derivatives in designated and qualifying fair value hedges	$	499		$	4,306		$	1,677
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges	$	(371	)	$	(4,296	)	$	(945	)
Foreign exchange hedges		(331	)		26			(579	)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges	$	(702	)	$	(4,270	)	$	(1,524	)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges
Interest rate hedges	$	(249	)	$	118		$	(23	)
Foreign exchange hedges		16			1			10
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges	$	(233	)	$	119		$	(13	)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges
Interest rate contracts	$	—		$	9		$	26
Foreign exchange contracts		30			(92	)	140
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges	$	30		$	(83	)	$	166

(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

	Year ended December 31,
In millions of dollars	2012			2011			2010
Effective portion of cash flow hedges included in AOCI
Interest rate contracts	$	(322	)	$	(1,827	)	$	(469	)
Foreign exchange contracts		143			81			(570	)
Total effective portion of cash flow hedges included in AOCI	$	(179	)	$	(1,746	)	$	(1,039	)
Effective portion of cash flow hedges reclassified from AOCI to earnings
Interest rate contracts	$	(837	)	$	(1,227	)	$	(1,396	)
Foreign exchange contracts		(180	)		(257	)		(500	)
Total effective portion of cash flow hedges reclassified from AOCI to earnings ⁽¹⁾	$	(1,017	)	$	(1,484	)	$	(1,896	)

(1)

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

Credit derivative portfolio

	Maximum potential		Fair
In millions of dollars as of	amount of		value
December 31, 2012	future payments		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 $20,878 million.
(2)	In addition, fair value amounts receivable under credit derivatives sold were $19,710 million.

	Maximum potential		Fair
In millions of dollars as of	amount of		value
December 31, 2011	future payments		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.

- 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