Citibank 2011 Annual Report Download - page 137
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115
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form as of December 31, 2011 and
December 31, 2010:
December 31, 2011 Fair values Notionals
In millions of dollars Receivable Payable Beneficiary Guarantor
By industry/counterparty
"ANK $57,175 $ 53,638 $ 981,085 $ 929,608
"ROKERDEALER 21,963 21,952 343,909 321,293
-ONOLINE 10 — 238 —
.ONFINANCIAL 95 130 1,797 1,048
)NSURANCEæANDæOTHERæFINANCIALæINSTITUTIONS 11,611 9,132 185,861 142,579
Total by industry/counterparty $90,854 $ 84,852 $1,512,890 $1,394,528
By instrument
#REDITæDEFAULTæSWAPSæANDæOPTIONS $89,998 $ 83,419 $1,491,053 $1,393,082
4OTALæRETURNæSWAPSæANDæOTHER 856 1,433 21,837 1,446
Total by instrument $90,854 $ 84,852 $1,512,890 $1,394,528
By rating
)NVESTMENTæGRADE $26,457 $ 23,846 $ 681,406 $ 611,447
.ONINVESTMENTæGRADEæ 64,397 61,006 831,484 783,081
Total by rating $90,854 $ 84,852 $1,512,890 $1,394,528
By maturity
7ITHINææYEAR $ 5,707 $ 5,244 $ 281,373 $ 266,723
&ROMææTOææYEARS 56,740 54,553 1,031,575 947,211
!FTERææYEARS 28,407 25,055 199,942 180,594
Total by maturity $90,854 $ 84,852 $1,512,890 $1,394,528
December 31, 2010 Fair values Notionals
In millions of dollars Receivable Payable Beneficiary Guarantor
By industry/counterparty ææææ
"ANK
"ROKERDEALER
-ONOLINE
.ONFINANCIAL
)NSURANCEæANDæOTHERæFINANCIALæINSTITUTIONS
Total by industry/counterparty
By instrument ææææ
#REDITæDEFAULTæSWAPSæANDæOPTIONS
4OTALæRETURNæSWAPSæANDæOTHER
Total by instrument
By rating
)NVESTMENTæGRADE
.ONINVESTMENTæGRADEæ
Total by rating
By maturity
7ITHINææYEAR
&ROMææTOææYEARS
!FTERææYEARS
Total by maturity
æ !LSOæINCLUDESæNOTRATEDæCREDITæDERIVATIVEæINSTRUMENTS