Citibank 2008 Annual Report Download - page 96

DERIVATIVES
Presented below are the notional and the mark-to-market receivables and payables for Citigroup’s derivative exposures as of December 31, 2008 and 2007:
Notionals (1)
In millions of dollars
Trading
derivatives (2)
Non-trading
derivatives (5)
As of December 31 2008 2007 2008 2007
Interest rate contracts
Swaps $15,096,293 $16,433,117 $ 763,630 $ 521,783
Futures and forwards 2,619,952 1,811,599 118,440 176,146
Written options 2,963,280 3,479,071 25,255 16,741
Purchased options 3,067,443 3,639,075 38,344 167,080
Total interest rate contract notionals $23,746,968 $25,362,862 $ 945,669 $ 881,750
Foreign exchange contracts
Swaps $ 882,327 $ 1,062,267 $ 62,491 $ 75,622
Futures and forwards 2,165,377 2,795,180 40,694 46,732
Written options 483,036 653,535 3,286 292
Purchased options 539,164 644,744 676 686
Total foreign exchange contract notionals $ 4,069,904 $ 5,155,726 $ 107,147 $ 123,332
Equity contracts
Swaps $ 98,315 $ 140,256 $—$—
Futures and forwards 17,390 29,233 ——
Written options 507,327 625,157 ——
Purchased options 471,532 567,030 ——
Total equity contract notionals $ 1,094,564 $ 1,361,676 $—$—
Commodity and other contracts
Swaps $ 44,020 $ 29,415 $—$—
Futures and forwards 60,625 66,860 ——
Written options 31,395 27,087 ——
Purchased options 32,892 30,168 ——
Total commodity and other contract notionals $ 168,932 $ 153,530 $—$—
Credit derivatives (4)
Citigroup as the Guarantor:
Credit default swaps $ 1,441,117 $ 1,755,440 $—$—
Total return swaps 1,905 12,121 ——
Credit default options 258 276 ——
Citigroup as the Beneficiary: —
Credit default swaps 1,560,087 1,890,611 ——
Total return swaps 29,990 15,895 ——
Credit default options 135 450 ——
Total credit derivatives $ 3,033,492 $ 3,674,793
Total derivative notionals $32,113,860 $35,708,587 $1,052,816 $1,005,082
See the following page for footnotes.
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